2022-11-04T11:00:21-05:00 2021-12-31 346565596 ERNST & YOUNG US LLP 99 WOOD AVE SOUTH ISELIN NJ 08830 990PF 2021-01-01 136170340 BOOTH FERRIS FOUNDATION XXXXX4008 FERR 8004962583 10 S DEARBORN IL1-0111 CHICAGO IL 60603 KRYSTAL ZEC Vice President 8004962583 2022-11-01 true HEATHER A HAWES P01379658 7327679100 2022-11-01 2021 2022-09-23 18:48:47Z X 269319562 X 6145266 6145266 14106544 67874057 14106544 0 12815 12815 20264625 20264625 1205900 585050 620850 0 0 0 0 0 0 0 0 353897 102537 0 0 0 0 0 0 0 1500 1500 1561297 687587 0 622350 10655424 10655424 12216721 687587 0 11277774 8047904 19577038 0 11169030 17330515 17330515 0 0 0 89612268 92070695 140614630 69775938 70723322 71559777 29292397 27829393 39814640 199849633 207953925 269319562 0 X 199849633 207953925 199849633 207953925 199849633 207953925 199849633 8047904 74252 207971789 17864 207953925 630. APPLE COMPUTER INC 2006-04-07 2021-01-08 83278 1557 81721 81721 42. FIDELITY NATL INFORMATION SVCS INC 2019-08-14 2021-01-11 5810 5502 308 308 645. FIDELITY NATL INFORMATION SVCS INC 2021-01-11 88583 48102 40481 40481 29. FIDELITY NATL INFORMATION SVCS INC 2014-12-18 2021-01-11 3971 1826 2145 2145 32. FIDELITY NATL INFORMATION SVCS INC 2021-01-11 4382 2012 2370 2370 169. FIDELITY NATL INFORMATION SVCS INC 2021-01-11 22992 10601 12391 12391 141. FIDELITY NATL INFORMATION SVCS INC 2021-01-12 18958 8697 10261 10261 . GS MTG SECURITIES TR 2017-GS5 2017-GS5 CL A2 3.218% 03/10/2050 DTD 2018-01-23 2021-01-12 1630 1655 -25 -25 . DRIVE AUTO RECEIVABLES TR 2019-4 2019-4 CL A3 2.16% 05/15/2023 DTD 2020-10-06 2021-01-15 69445 69884 -439 -439 . FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2021-01-15 195 204 -9 -9 . FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2021-01-15 85 94 -9 -9 . FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2021-01-15 80 84 -4 -4 . FHLMC GOLD G16394 3.5% 08/01/32 2020-10-01 2021-01-15 14388 15445 -1057 -1057 . FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2021-01-15 1894 1958 -64 -64 . FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2021-01-15 1734 1728 6 6 . FREDDIE MAC 2005-01-19 2021-01-15 30 31 -1 -1 . FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2021-01-15 435 472 -37 -37 . FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2021-01-15 237 249 -12 -12 . FHLMC GOLD U93118 3.5% 02/01/46 2016-06-07 2021-01-15 433 457 -24 -24 . FHLMC 2338 CL ZC 6.5% 07/15/2031 DTD 07/01/2001 2011-04-19 2021-01-15 209 234 -25 -25 . FHLMC 1611 CL Z 6.5% 11/15/2023 DTD 11/01/1993 2013-08-19 2021-01-15 1135 1277 -142 -142 . FHLMC 1974 CL ZA 7.0% 07/15/2027 DTD 07/01/1997 2011-04-25 2021-01-15 282 319 -37 -37 . FHLMC 2122 CL ZE 6.0% 02/15/2029 DTD 02/01/1999 2013-01-30 2021-01-15 749 856 -107 -107 . FHLMC 2310 CL Z 6.0% 04/15/2031 DTD 04/01/2001 2013-09-19 2021-01-15 390 429 -39 -39 . FHLMC 2355 CL AE 6.0% 09/15/2031 DTD 09/01/2001 2017-01-27 2021-01-15 238 264 -26 -26 . FHLMC 3854 CL EW 4.0% 05/15/2026 DTD 05/01/2011 2012-01-06 2021-01-15 3594 3863 -269 -269 . FHLMC 3939 CL BZ 4.5% 06/15/2041 DTD 10/01/2011 2018-05-16 2021-01-15 19879 20584 -705 -705 . FHLMC 4616 CL HP 3.0% 09/15/2046 DTD 09/01/2016 2018-03-27 2021-01-15 7141 6972 169 169 . FHLMC 3735 CL KL 3.5% 10/15/2025 DTD 10/01/2010 2018-01-23 2021-01-15 3376 3446 -70 -70 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2011-04-19 2021-01-15 60 65 -5 -5 . FHLMC 2020-04-30 2021-01-15 118 60 58 58 . FHLMC 2011-10-05 2021-01-15 69 -69 -69 . FHLMC 2590 CL OA 4.0% 03/15/2033 DTD 03/01/2003 2011-04-13 2021-01-15 1176 1207 -31 -31 . FHLMC 2598 CL QE 5.5% 04/15/2033 DTD 04/01/2003 2020-05-28 2021-01-15 1020 344 676 676 . FHLMC 2598 CL QE 5.5% 04/15/2033 DTD 04/01/2003 2021-01-15 796 -796 -796 . FHLMC 2696 CL DG 5.5% 10/15/2033 DTD 10/01/2003 2021-01-15 2269 2530 -261 -261 . FHLMC 2949 CL PB 5.5% 03/15/2035 DTD 03/01/2005 2012-11-07 2021-01-15 2572 3086 -514 -514 . FREDDIE MAC 2005-09-15 2021-01-15 88 90 -2 -2 . FHLMC 3027 CL DE 5.0% 09/15/2025 DTD 09/01/2005 2020-01-17 2021-01-15 291 -291 -291 . FHLMC 3027 CL DE 5.0% 09/15/2025 DTD 09/01/2005 2011-04-19 2021-01-15 1768 1604 164 164 . FHLMC 3508 CL PK 4.0% 02/15/2039 DTD 02/01/2009 2011-04-27 2021-01-15 4 4 . FHLMC 3548 CL ZE 5.5% 12/15/2032 DTD 07/01/2009 2018-11-16 2021-01-15 2893 3104 -211 -211 . FHLMC 3684 CL CY 4.5% 06/15/2025 DTD 06/01/2010 2015-05-05 2021-01-15 5773 6502 -729 -729 . FHLMC 3653 CL B 4.5% 04/15/2030 DTD 04/01/2010 2011-12-29 2021-01-15 3080 3353 -273 -273 . FHLMC 3631 CL PA 4.0% 02/15/2040 DTD 02/01/2010 2011-04-26 2021-01-15 536 552 -16 -16 . GNMA 737022 4.5% 02/15/40 2010-05-13 2021-01-15 3198 3278 -80 -80 . GNMA POOL NO 550851 2001-10-17 2021-01-15 104 108 -4 -4 . GNMA 550750 5.5% 12/15/35 2013-07-23 2021-01-15 137 150 -13 -13 . GNMA 658181 5.5% 11/15/36 2011-01-26 2021-01-15 42 46 -4 -4 . GNMA 701738 5% 03/15/39 2009-07-29 2021-01-15 436 446 -10 -10 . UBS COML MTG TR 2018-C10 2018-C10 CL A1 3.1847% 05/15/2051 DTD 05/01 2018-05-23 2021-01-15 2214 2214 125459. FEDERAL HOME LOAN MORTGAGE CORP 1996-05-08 2021-01-19 781 782 -1 -1 . GNMA 2003-26 CL MB 2021-01-19 1004 1086 -82 -82 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-01-19 1097 1213 -116 -116 . GNMA 2009-84 CL C 4.0% 09/16/2024 DTD 09/01/2009 2013-06-18 2021-01-19 2912 3127 -215 -215 . GNMA 2010-146 CL HB 3.75% 11/16/2040 DTD 11/01/2010 2018-02-16 2021-01-19 6583 6550 33 33 . HONDA AUTO RECEIVABLES OWNER TR 2018-2 CL A3 3.01% 05/18/2022 DTD 2018-05-22 2021-01-19 12589 12589 . GNMA II POOL 004697 5.0% 05/20/2040 DTD 05/01/2010 2010-05-13 2021-01-20 1247 1310 -63 -63 . GNMA 2002-79 CL KL 5.5% 11/20/2032 DTD 11/01/2002 2013-05-16 2021-01-20 1663 1923 -260 -260 . GNMA 2003-62 CL HE 5.0% 07/20/2033 DTD 07/01/2003 2020-02-21 2021-01-20 1267 230 1037 1037 . GNMA 2003-62 CL HE 5.0% 07/20/2033 DTD 07/01/2003 2013-05-22 2021-01-20 1189 -1189 -1189 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2017-12-06 2021-01-20 3447 3904 -457 -457 . GNMA 2003-75 CL ZA 5.5% 09/20/2033 DTD 09/01/2003 2011-04-26 2021-01-20 1305 1414 -109 -109 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-01-20 2578 2859 -281 -281 . GNMA 2004-37 CL PE 5.5% 05/20/2034 DTD 05/01/2004 2021-01-20 2657 3123 -466 -466 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-01-20 919 1039 -120 -120 . GNMA 2008-83 CL ND 5.5% 09/20/2038 DTD 09/01/2008 2021-01-20 661 772 -111 -111 . GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2021-01-20 2583 2944 -361 -361 . GNMA 2015-79 CL QP 3.0% 11/20/2044 DTD 05/01/2015 2019-12-06 2021-01-20 6059 6205 -146 -146 . GNMA 2008-63 CL PE 5.5% 07/20/2038 DTD 07/01/2008 2020-04-30 2021-01-20 1760 233 1527 1527 . GNMA 2008-63 CL PE 5.5% 07/20/2038 DTD 07/01/2008 2014-02-06 2021-01-20 1731 -1731 -1731 . GNMA 2019-31 CL UA 3.0% 06/20/2047 DTD 03/01/2019 2020-09-28 2021-01-20 11863 12212 -349 -349 . FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2021-01-21 148 146 2 2 . CHL MTG PASS-THROUGH TR 2003-56 2003-56 CL 4A1 VAR RT 12/25/2033 DTD 2014-02-25 2021-01-25 54 53 1 1 . FNMA 1991-52 CL J 8.5% 05/25/2021 DTD 05/01/1991 2013-06-11 2021-01-25 589 691 -102 -102 . FNMA 2011-99 CL DB 5.0% 10/25/2041 DTD 09/01/2011 2012-07-05 2021-01-25 1629 1858 -229 -229 . FNMA 2012-52 CL NY 3.5% 05/25/2042 DTD 04/01/2012 2017-12-05 2021-01-25 24433 24479 -46 -46 . FNMA 2013-M9 CL A2 VAR RT 01/25/2023 DTD 06/01/2013 2016-01-21 2021-01-25 1305 1305 . FNMA 2014-2 CL PX 4.5% 01/25/2041 DTD 01/01/2014 2018-11-06 2021-01-25 4269 4399 -130 -130 . FNMA 2014-M8 CL A2 VAR RT 06/25/2024 DTD 07/01/2014 2014-12-30 2021-01-25 288 296 -8 -8 . FNMA 2014-73 CL PJ 3.0% 12/25/2043 DTD 10/01/2014 2016-12-09 2021-01-25 3656 3664 -8 -8 . FNMA 2016-9 CL D 3.0% 03/25/2046 DTD 02/01/2016 2017-07-28 2021-01-25 6991 7024 -33 -33 . FNMA 256749 6% 06/01/37 2008-09-30 2021-01-25 1126 1142 -16 -16 . FHLMC STRUCTURED PASS-THROUGH CERTIFICATES FRESR 2017-SR01 2017-12-06 2021-01-25 576 582 -6 -6 . FHLMC KJ18 CL A2 3.065% 08/25/2022 DTD 12/01/2017 2017-12-19 2021-01-25 17664 18017 -353 -353 . FNMA 469130 4.87% 10/01/41 2016-12-20 2021-01-25 306 334 -28 -28 . FNMA 555424 5.5% 05/01/33 2010-09-17 2021-01-25 2089 2249 -160 -160 . FNMA AH5823 4.5% 02/01/41 2011-02-17 2021-01-25 5222 5300 -78 -78 . FNMA AL2602 VAR RATE 10/01/22 2014-10-28 2021-01-25 217 219 -2 -2 . FNMA AL2965 VAR RATE 12/01/22 2014-06-11 2021-01-25 87 86 1 1 . FNMA AL3876 VAR RATE 06/01/23 2013-12-18 2021-01-25 205 198 7 7 . FNMA AL5263 4% 02/01/29 2020-04-02 2021-01-25 14064 14844 -780 -780 . FNMA AM3301 2.35% 05/01/23 2014-01-28 2021-01-25 295 277 18 18 . FNMA AM8970 2.87% 05/01/30 2016-01-27 2021-01-25 324 316 8 8 . FNMA AN2497 2.6% 09/01/28 2017-02-06 2021-01-25 589 563 26 26 . FNMA AU6278 5% 11/01/43 2014-10-28 2021-01-25 166 184 -18 -18 . FNMA 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2021-01-25 281 314 -33 -33 . FNMA 2003-33 CL AM 4.25% 05/25/2033 DTD 04/01/2003 2011-04-15 2021-01-25 1165 1197 -32 -32 . FNMA 2003-42 CL JH 5.5% 05/25/2033 DTD 04/01/2003 2011-04-20 2021-01-25 520 559 -39 -39 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2016-12-09 2021-01-25 4577 4983 -406 -406 . FNMA 2004-60 CL LB 5.0% 04/25/2034 DTD 07/01/2004 2011-04-19 2021-01-25 666 710 -44 -44 . FNMA 2005-48 CL AU 5.5% 06/25/2035 DTD 05/01/2005 2015-03-02 2021-01-25 2781 3322 -541 -541 . FNMA 2005-73 CL EZ 5.5% 08/25/2035 DTD 07/01/2005 2016-12-09 2021-01-25 1109 1136 -27 -27 . FNMA 2006-9 CL DG 5.5% 03/25/2036 DTD 02/01/2006 2021-01-25 3811 4311 -500 -500 . FNMA 2006-102 CL A 6.5% 10/25/2036 DTD 09/01/2006 2011-04-07 2021-01-25 114 126 -12 -12 . FNMA 2007-22 CL A 5.5% 03/25/2037 DTD 02/01/2007 2012-12-04 2021-01-25 124 139 -15 -15 . FNMA 2009-33 CL FB VAR RT 03/25/2037 DTD 04/25/2009 2013-03-01 2021-01-25 857 869 -12 -12 . FNMA 2010-64 CL DM 5.0% 06/25/2040 DTD 05/01/2010 2011-04-13 2021-01-25 1070 1129 -59 -59 . FNMA 776289 5% 05/01/34 2013-04-04 2021-01-25 4123 4543 -420 -420 . FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2021-01-25 26 28 -2 -2 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-01-25 4344 4557 -213 -213 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-01-25 12 13 -1 -1 . FNMA BC0100 3.5% 12/01/45 2016-06-07 2021-01-25 71 75 -4 -4 . FNMA BC3492 3.5% 02/01/46 2016-04-05 2021-01-25 439 462 -23 -23 . FNMA BC4899 3.5% 04/01/46 2016-06-07 2021-01-25 225 238 -13 -13 . FNMA AA0835 5% 01/01/39 2009-07-29 2021-01-25 35 35 . FNMA AB1693 4% 11/01/40 2011-03-01 2021-01-25 6317 6207 110 110 . FNMA AB3678 3.5% 10/01/41 2011-10-26 2021-01-25 1510 1535 -25 -25 . FNMA MA1213 3.5% 10/01/42 2014-02-28 2021-01-25 1313 1313 . FNMA MA1546 3.5% 08/01/43 2014-03-19 2021-01-25 2493 2475 18 18 . FNMA MA2369 4% 08/01/45 2016-04-05 2021-01-25 3425 3712 -287 -287 . GNMA 2003-19 CL DH 5.0% 03/20/2033 DTD 03/01/2003 2011-04-26 2021-01-25 1272 1347 -75 -75 . JPM MTG TR 2004-A1 2004-A1 CL 1A1 VAR RT 02/25/2034 DTD 02/01/2004 2021-01-25 44 43 1 1 . MERRILL LYNCH MTG INVESTORS TR SER 2003-A5 2003-A5 CL 2A6 VAR RT 2015-12-08 2021-01-25 337 335 2 2 . WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2019-A 2019-A CL 2020-10-27 2021-01-25 44525 45158 -633 -633 445. CITIGROUP INC NEW 2020-06-30 2021-01-28 26901 22818 4083 4083 966. CITIGROUP INC NEW 2021-01-28 58397 51677 6720 6720 14000. HEALTHPEAK PROPERTIES SR NTS 4.25% 11/15/2023 DTD 2013-11-05 2021-01-28 15363 13936 1427 1427 808. MERCK & CO INC 2021-01-28 63016 58599 4417 4417 16908.692 FIDELITY 500 INDEX FUND 2020-09-22 2021-02-04 2271514 1950925 320589 320589 19616.41 FIDELITY 500 INDEX FUND 2018-11-02 2021-02-04 2635269 1868816 766453 766453 201897.34 PIMCO INV GRD CRD BND-INST 2020-03-11 2021-02-04 2245098 2184529 60569 60569 . GS MTG SECURITIES TR 2017-GS5 2017-GS5 CL A2 3.218% 03/10/2050 DTD 2018-01-23 2021-02-12 1636 1661 -25 -25 . DRIVE AUTO RECEIVABLES TR 2019-4 2019-4 CL A3 2.16% 05/15/2023 DTD 2020-10-06 2021-02-16 69382 69821 -439 -439 . FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2021-02-16 265 278 -13 -13 . FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2021-02-16 185 206 -21 -21 . FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2021-02-16 533 560 -27 -27 . FHLMC GOLD G16394 3.5% 08/01/32 2020-10-01 2021-02-16 10352 11112 -760 -760 . FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2021-02-16 1971 2038 -67 -67 . FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2021-02-16 50 49 1 1 . FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2021-02-16 1105 1101 4 4 . FREDDIE MAC 2005-01-19 2021-02-16 30 31 -1 -1 . FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2021-02-16 3230 3509 -279 -279 . FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2021-02-16 7439 7821 -382 -382 . FHLMC GOLD U93118 3.5% 02/01/46 2016-06-07 2021-02-16 415 438 -23 -23 . FHLMC 2338 CL ZC 6.5% 07/15/2031 DTD 07/01/2001 2011-04-19 2021-02-16 631 706 -75 -75 . FHLMC 1611 CL Z 6.5% 11/15/2023 DTD 11/01/1993 2013-08-19 2021-02-16 1023 1151 -128 -128 . FHLMC 1974 CL ZA 7.0% 07/15/2027 DTD 07/01/1997 2011-04-25 2021-02-16 383 433 -50 -50 . FHLMC 2122 CL ZE 6.0% 02/15/2029 DTD 02/01/1999 2013-01-30 2021-02-16 596 681 -85 -85 . FHLMC 2310 CL Z 6.0% 04/15/2031 DTD 04/01/2001 2013-09-19 2021-02-16 396 436 -40 -40 . FHLMC 2355 CL AE 6.0% 09/15/2031 DTD 09/01/2001 2017-01-27 2021-02-16 240 265 -25 -25 . FHLMC 3854 CL EW 4.0% 05/15/2026 DTD 05/01/2011 2012-01-06 2021-02-16 2641 2840 -199 -199 . FHLMC 3939 CL BZ 4.5% 06/15/2041 DTD 10/01/2011 2018-05-16 2021-02-16 553 573 -20 -20 . FHLMC 4616 CL HP 3.0% 09/15/2046 DTD 09/01/2016 2018-03-27 2021-02-16 2897 2828 69 69 . FHLMC 3735 CL KL 3.5% 10/15/2025 DTD 10/01/2010 2018-01-23 2021-02-16 4189 4275 -86 -86 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2021-01-19 2021-02-16 1051 789 262 262 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2011-04-19 2021-02-16 373 -373 -373 . FHLMC 2020-04-30 2021-02-16 234 119 115 115 . FHLMC 2011-10-05 2021-02-16 136 -136 -136 . FHLMC 2590 CL OA 4.0% 03/15/2033 DTD 03/01/2003 2011-04-13 2021-02-16 493 506 -13 -13 . FHLMC 2598 CL QE 5.5% 04/15/2033 DTD 04/01/2003 2020-05-28 2021-02-16 2765 932 1833 1833 . FHLMC 2598 CL QE 5.5% 04/15/2033 DTD 04/01/2003 2021-02-16 2159 -2159 -2159 . FHLMC 2696 CL DG 5.5% 10/15/2033 DTD 10/01/2003 2021-02-16 3105 3463 -358 -358 . FHLMC 2949 CL PB 5.5% 03/15/2035 DTD 03/01/2005 2012-11-07 2021-02-16 2524 3029 -505 -505 . FREDDIE MAC 2005-09-15 2021-02-16 89 91 -2 -2 . FHLMC 3027 CL DE 5.0% 09/15/2025 DTD 09/01/2005 2021-02-16 1371 1470 -99 -99 . FHLMC 3508 CL PK 4.0% 02/15/2039 DTD 02/01/2009 2011-04-27 2021-02-16 4 4 . FHLMC 3548 CL ZE 5.5% 12/15/2032 DTD 07/01/2009 2018-11-16 2021-02-16 6785 7279 -494 -494 . FHLMC 3684 CL CY 4.5% 06/15/2025 DTD 06/01/2010 2015-05-05 2021-02-16 5850 6589 -739 -739 . FHLMC 3653 CL B 4.5% 04/15/2030 DTD 04/01/2010 2011-12-29 2021-02-16 3294 3586 -292 -292 . FHLMC 3631 CL PA 4.0% 02/15/2040 DTD 02/01/2010 2011-04-26 2021-02-16 728 750 -22 -22 . GNMA 737022 4.5% 02/15/40 2010-05-13 2021-02-16 2587 2652 -65 -65 . GNMA POOL NO 550851 2001-10-17 2021-02-16 107 111 -4 -4 . GNMA 550750 5.5% 12/15/35 2013-07-23 2021-02-16 3011 3294 -283 -283 . GNMA 658181 5.5% 11/15/36 2011-01-26 2021-02-16 50 54 -4 -4 . GNMA 701738 5% 03/15/39 2009-07-29 2021-02-16 86 88 -2 -2 . GNMA 2003-26 CL MB 2021-02-16 1023 1106 -83 -83 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-02-16 1245 1376 -131 -131 . GNMA 2009-84 CL C 4.0% 09/16/2024 DTD 09/01/2009 2013-06-18 2021-02-16 2572 2762 -190 -190 . GNMA 2010-146 CL HB 3.75% 11/16/2040 DTD 11/01/2010 2018-02-16 2021-02-16 1440 1433 7 7 1170000. US TREAS 3.625% 02/15/21 2021-02-16 1170000 1217584 -47584 -47584 210000. WORLD FINL NETWORK CR CARD MASTER TR 2018-A CL A 3.07% 12/16/2 2019-04-22 2021-02-16 210000 211091 -1091 -1091 . WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2019-A 2019-A CL 2020-10-27 2021-02-16 53415 54174 -759 -759 757. COCA-COLA CO 2020-08-04 2021-02-17 38013 35280 2733 2733 1639. COCA-COLA CO 2021-02-17 82303 73015 9288 9288 . HONDA AUTO RECEIVABLES OWNER TR 2018-2 CL A3 3.01% 05/18/2022 DTD 2018-05-22 2021-02-18 12018 12018 117. NORTHROP GRUMMAN CORP 2021-02-18 34835 38109 -3274 -3274 . UBS COML MTG TR 2018-C10 2018-C10 CL A1 3.1847% 05/15/2051 DTD 05/01 2018-05-23 2021-02-18 2225 2225 1405. CITIGROUP INC NEW 2021-02-19 90984 40936 50048 50048 18278.302 FIDELITY 500 INDEX FUND 2018-11-02 2021-02-19 2480000 1741337 738663 738663 19. NORTHROP GRUMMAN CORP 2020-08-04 2021-02-19 5655 6162 -507 -507 5. NORTHROP GRUMMAN CORP 2020-08-04 2021-02-19 1488 1622 -134 -134 27. NORTHROP GRUMMAN CORP 2019-05-20 2021-02-19 8036 8455 -419 -419 98. NORTHROP GRUMMAN CORP 2020-06-24 2021-02-19 29174 29655 -481 -481 31. NORTHROP GRUMMAN CORP 2019-05-20 2021-02-19 9229 9708 -479 -479 50. NORTHROP GRUMMAN CORP 2021-02-19 14870 14657 213 213 91. NORTHROP GRUMMAN CORP 2021-02-19 27064 26676 388 388 51. NORTHROP GRUMMAN CORP 2020-07-10 2021-02-19 15168 14830 338 338 35. NORTHROP GRUMMAN CORP 2021-02-19 10409 9848 561 561 74. NORTHROP GRUMMAN CORP 2021-02-19 22027 20543 1484 1484 38. NORTHROP GRUMMAN CORP 2021-02-19 11302 8042 3260 3260 60. NORTHROP GRUMMAN CORP 2021-02-19 17845 12682 5163 5163 25. NORTHROP GRUMMAN CORP 2016-09-16 2021-02-19 7436 5276 2160 2160 41. NORTHROP GRUMMAN CORP 2021-02-19 12195 8636 3559 3559 . GNMA II POOL 004697 5.0% 05/20/2040 DTD 05/01/2010 2010-05-13 2021-02-22 952 1000 -48 -48 . GNMA 2003-19 CL DH 5.0% 03/20/2033 DTD 03/01/2003 2011-04-26 2021-02-22 1315 1392 -77 -77 . GNMA 2002-79 CL KL 5.5% 11/20/2032 DTD 11/01/2002 2013-05-16 2021-02-22 1704 1971 -267 -267 . GNMA 2003-62 CL HE 5.0% 07/20/2033 DTD 07/01/2003 2021-02-22 1448 1622 -174 -174 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2017-12-06 2021-02-22 3727 4221 -494 -494 . GNMA 2003-75 CL ZA 5.5% 09/20/2033 DTD 09/01/2003 2011-04-26 2021-02-22 1342 1455 -113 -113 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-02-22 2090 2318 -228 -228 . GNMA 2004-37 CL PE 5.5% 05/20/2034 DTD 05/01/2004 2021-02-22 2678 3147 -469 -469 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-02-22 856 968 -112 -112 . GNMA 2008-83 CL ND 5.5% 09/20/2038 DTD 09/01/2008 2021-02-22 718 838 -120 -120 . GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2021-02-22 883 1006 -123 -123 . GNMA 2015-79 CL QP 3.0% 11/20/2044 DTD 05/01/2015 2019-12-06 2021-02-22 5114 5237 -123 -123 . GNMA 2008-63 CL PE 5.5% 07/20/2038 DTD 07/01/2008 2020-04-30 2021-02-22 1296 172 1124 1124 . GNMA 2008-63 CL PE 5.5% 07/20/2038 DTD 07/01/2008 2014-02-06 2021-02-22 1274 -1274 -1274 . GNMA 2019-31 CL UA 3.0% 06/20/2047 DTD 03/01/2019 2020-09-28 2021-02-22 8334 8579 -245 -245 99. HOME DEPOT INC 2011-09-29 2021-02-24 25710 3345 22365 22365 394. HOME DEPOT INC 2011-09-29 2021-02-24 102639 13310 89329 89329 1083. MERCK & CO INC 2021-02-24 80960 68350 12610 12610 . CHL MTG PASS-THROUGH TR 2003-56 2003-56 CL 4A1 VAR RT 12/25/2033 DTD 2014-02-25 2021-02-25 61 60 1 1 . FNMA 1991-52 CL J 8.5% 05/25/2021 DTD 05/01/1991 2013-06-11 2021-02-25 447 525 -78 -78 . FNMA 2011-99 CL DB 5.0% 10/25/2041 DTD 09/01/2011 2012-07-05 2021-02-25 1819 2073 -254 -254 . FNMA 2012-52 CL NY 3.5% 05/25/2042 DTD 04/01/2012 2017-12-05 2021-02-25 10964 10984 -20 -20 . FNMA 2013-M9 CL A2 VAR RT 01/25/2023 DTD 06/01/2013 2016-01-21 2021-02-25 169 169 . FNMA 2014-2 CL PX 4.5% 01/25/2041 DTD 01/01/2014 2018-11-06 2021-02-25 4260 4389 -129 -129 . FNMA 2014-M8 CL A2 VAR RT 06/25/2024 DTD 07/01/2014 2014-12-30 2021-02-25 290 297 -7 -7 . FNMA 2014-73 CL PJ 3.0% 12/25/2043 DTD 10/01/2014 2016-12-09 2021-02-25 2165 2170 -5 -5 . FNMA 2016-9 CL D 3.0% 03/25/2046 DTD 02/01/2016 2017-07-28 2021-02-25 6264 6293 -29 -29 . FNMA 256749 6% 06/01/37 2008-09-30 2021-02-25 995 1009 -14 -14 . FHLMC STRUCTURED PASS-THROUGH CERTIFICATES FRESR 2017-SR01 2017-12-06 2021-02-25 16527 16691 -164 -164 . FHLMC KJ18 CL A2 3.065% 08/25/2022 DTD 12/01/2017 2017-12-19 2021-02-25 186 189 -3 -3 . FNMA 469130 4.87% 10/01/41 2016-12-20 2021-02-25 308 335 -27 -27 . FNMA 555424 5.5% 05/01/33 2010-09-17 2021-02-25 1751 1885 -134 -134 . FNMA AH5823 4.5% 02/01/41 2011-02-17 2021-02-25 2289 2323 -34 -34 . FNMA AL2602 VAR RATE 10/01/22 2014-10-28 2021-02-25 218 220 -2 -2 . FNMA AL2965 VAR RATE 12/01/22 2014-06-11 2021-02-25 87 86 1 1 . FNMA AL3876 VAR RATE 06/01/23 2013-12-18 2021-02-25 206 198 8 8 . FNMA AL5263 4% 02/01/29 2020-04-02 2021-02-25 11879 12538 -659 -659 . FNMA AM3301 2.35% 05/01/23 2014-01-28 2021-02-25 296 278 18 18 . FNMA AM8970 2.87% 05/01/30 2016-01-27 2021-02-25 325 317 8 8 . FNMA AN2497 2.6% 09/01/28 2017-02-06 2021-02-25 591 565 26 26 . FNMA AU6278 5% 11/01/43 2014-10-28 2021-02-25 6298 7005 -707 -707 . FNMA 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2021-02-25 246 275 -29 -29 . FNMA 2003-33 CL AM 4.25% 05/25/2033 DTD 04/01/2003 2011-04-15 2021-02-25 1099 1129 -30 -30 . FNMA 2003-42 CL JH 5.5% 05/25/2033 DTD 04/01/2003 2011-04-20 2021-02-25 96 103 -7 -7 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2021-02-18 2021-02-25 555 41 514 514 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2016-12-09 2021-02-25 565 -565 -565 . FNMA 2004-60 CL LB 5.0% 04/25/2034 DTD 07/01/2004 2011-04-19 2021-02-25 654 697 -43 -43 . FNMA 2005-48 CL AU 5.5% 06/25/2035 DTD 05/01/2005 2015-03-02 2021-02-25 2711 3238 -527 -527 . FNMA 2005-73 CL EZ 5.5% 08/25/2035 DTD 07/01/2005 2016-12-09 2021-02-25 4705 4820 -115 -115 . FNMA 2006-9 CL DG 5.5% 03/25/2036 DTD 02/01/2006 2021-02-25 770 871 -101 -101 . FNMA 2006-102 CL A 6.5% 10/25/2036 DTD 09/01/2006 2011-04-07 2021-02-25 19 21 -2 -2 . FNMA 2007-22 CL A 5.5% 03/25/2037 DTD 02/01/2007 2012-12-04 2021-02-25 82 91 -9 -9 . FNMA 2009-33 CL FB VAR RT 03/25/2037 DTD 04/25/2009 2013-03-01 2021-02-25 641 650 -9 -9 . FNMA 2010-64 CL DM 5.0% 06/25/2040 DTD 05/01/2010 2011-04-13 2021-02-25 1045 1103 -58 -58 . FNMA 776289 5% 05/01/34 2013-04-04 2021-02-25 277 305 -28 -28 . FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2021-02-25 27 28 -1 -1 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-02-25 111 117 -6 -6 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-02-25 12 13 -1 -1 . FNMA BC0100 3.5% 12/01/45 2016-06-07 2021-02-25 71 75 -4 -4 . FNMA BC3492 3.5% 02/01/46 2016-04-05 2021-02-25 452 475 -23 -23 . FNMA BC4899 3.5% 04/01/46 2016-06-07 2021-02-25 226 239 -13 -13 . FNMA AA0835 5% 01/01/39 2009-07-29 2021-02-25 605 617 -12 -12 . FNMA AB1693 4% 11/01/40 2011-03-01 2021-02-25 525 515 10 10 . FNMA AB3678 3.5% 10/01/41 2011-10-26 2021-02-25 1866 1897 -31 -31 . FNMA MA1213 3.5% 10/01/42 2014-02-28 2021-02-25 1021 1020 1 1 . FNMA MA1546 3.5% 08/01/43 2014-03-19 2021-02-25 1458 1448 10 10 . FNMA MA2369 4% 08/01/45 2016-04-05 2021-02-25 6805 7376 -571 -571 . JPM MTG TR 2004-A1 2004-A1 CL 1A1 VAR RT 02/25/2034 DTD 02/01/2004 2021-02-25 62 61 1 1 . MERRILL LYNCH MTG INVESTORS TR SER 2003-A5 2003-A5 CL 2A6 VAR RT 2015-12-08 2021-02-25 1828 1817 11 11 771. PROCTER & GAMBLE CO 2019-06-05 2021-03-03 95000 82296 12704 12704 194. PROCTER & GAMBLE CO 2021-03-03 23918 20703 3215 3215 195. SALESFORCE.COM INC 2021-03-03 40774 27159 13615 13615 67. SALESFORCE.COM INC 2021-03-03 13856 8232 5624 5624 43. SALESFORCE.COM INC 2021-03-03 9058 5223 3835 3835 25. SALESFORCE.COM INC 2021-03-03 5200 2991 2209 2209 14. SALESFORCE.COM INC 2018-04-16 2021-03-03 2925 1674 1251 1251 108. SALESFORCE.COM INC 2021-03-04 22251 12888 9363 9363 30. SALESFORCE.COM INC 2021-03-04 6128 3578 2550 2550 52. SALESFORCE.COM INC 2018-04-13 2021-03-04 10775 6201 4574 4574 5. SALESFORCE.COM INC 2018-04-13 2021-03-04 1036 596 440 440 32. SALESFORCE.COM INC 2018-04-13 2021-03-04 6580 3816 2764 2764 9. SALESFORCE.COM INC 2018-04-13 2021-03-04 1837 1073 764 764 12. SALESFORCE.COM INC 2018-04-13 2021-03-04 2453 1431 1022 1022 5. SALESFORCE.COM INC 2018-04-13 2021-03-04 1019 596 423 423 22. SALESFORCE.COM INC 2018-04-13 2021-03-04 4498 2623 1875 1875 499. APPLE COMPUTER INC 2006-04-07 2021-03-05 59439 1234 58205 58205 17. PAYPAL HOLDINGS INC 2020-03-04 2021-03-05 3903 1949 1954 1954 21. PAYPAL HOLDINGS INC 2020-03-04 2021-03-05 4727 2408 2319 2319 62. PAYPAL HOLDINGS INC 2020-03-04 2021-03-05 14500 7108 7392 7392 73. PAYPAL HOLDINGS INC 2020-03-04 2021-03-05 16780 8369 8411 8411 185. PAYPAL HOLDINGS INC 2020-03-04 2021-03-05 43841 21209 22632 22632 . GS MTG SECURITIES TR 2017-GS5 2017-GS5 CL A2 3.218% 03/10/2050 DTD 2018-01-23 2021-03-12 2046 2077 -31 -31 . DRIVE AUTO RECEIVABLES TR 2019-4 2019-4 CL A3 2.16% 05/15/2023 DTD 2020-10-06 2021-03-15 61613 62003 -390 -390 . FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2021-03-15 506 530 -24 -24 . FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2021-03-15 106 118 -12 -12 . FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2021-03-15 69 72 -3 -3 . FHLMC GOLD G16394 3.5% 08/01/32 2020-10-01 2021-03-15 9117 9787 -670 -670 . FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2021-03-15 2987 3088 -101 -101 . FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2021-03-15 76 76 . FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2021-03-15 1452 1447 5 5 . FREDDIE MAC 2005-01-19 2021-03-15 31 32 -1 -1 . FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2021-03-15 343 373 -30 -30 . FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2021-03-15 244 256 -12 -12 . FHLMC GOLD U93118 3.5% 02/01/46 2016-06-07 2021-03-15 393 415 -22 -22 . FHLMC 2338 CL ZC 6.5% 07/15/2031 DTD 07/01/2001 2011-04-19 2021-03-15 576 644 -68 -68 . FHLMC 1611 CL Z 6.5% 11/15/2023 DTD 11/01/1993 2013-08-19 2021-03-15 897 1010 -113 -113 . FHLMC 1974 CL ZA 7.0% 07/15/2027 DTD 07/01/1997 2011-04-25 2021-03-15 254 288 -34 -34 . FHLMC 2122 CL ZE 6.0% 02/15/2029 DTD 02/01/1999 2013-01-30 2021-03-15 677 774 -97 -97 . FHLMC 2310 CL Z 6.0% 04/15/2031 DTD 04/01/2001 2013-09-19 2021-03-15 397 437 -40 -40 . FHLMC 2355 CL AE 6.0% 09/15/2031 DTD 09/01/2001 2017-01-27 2021-03-15 241 267 -26 -26 . FHLMC 3854 CL EW 4.0% 05/15/2026 DTD 05/01/2011 2012-01-06 2021-03-15 3490 3752 -262 -262 . FHLMC 3939 CL BZ 4.5% 06/15/2041 DTD 10/01/2011 2018-05-16 2021-03-15 983 1018 -35 -35 . FHLMC 4212 CL CB 4.0% 02/15/2039 DTD 06/01/2013 2015-02-19 2021-03-15 39623 42359 -2736 -2736 . FHLMC 4616 CL HP 3.0% 09/15/2046 DTD 09/01/2016 2018-03-27 2021-03-15 5959 5817 142 142 . FHLMC 3735 CL KL 3.5% 10/15/2025 DTD 10/01/2010 2018-01-23 2021-03-15 2708 2764 -56 -56 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2021-03-15 932 730 202 202 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2011-04-19 2021-03-15 301 -301 -301 . FHLMC 2020-04-30 2021-03-15 617 313 304 304 . FHLMC 2011-10-05 2021-03-15 358 -358 -358 . FHLMC 2590 CL OA 4.0% 03/15/2033 DTD 03/01/2003 2011-04-13 2021-03-15 905 929 -24 -24 . FHLMC 2598 CL QE 5.5% 04/15/2033 DTD 04/01/2003 2020-05-28 2021-03-15 1293 436 857 857 . FHLMC 2598 CL QE 5.5% 04/15/2033 DTD 04/01/2003 2021-03-15 1009 -1009 -1009 . FHLMC 2696 CL DG 5.5% 10/15/2033 DTD 10/01/2003 2021-03-15 1663 1854 -191 -191 . FHLMC 2949 CL PB 5.5% 03/15/2035 DTD 03/01/2005 2012-11-07 2021-03-15 2477 2972 -495 -495 . FREDDIE MAC 2005-09-15 2021-03-15 1528 1567 -39 -39 . FHLMC 3027 CL DE 5.0% 09/15/2025 DTD 09/01/2005 2021-03-15 1481 1588 -107 -107 . FHLMC 3508 CL PK 4.0% 02/15/2039 DTD 02/01/2009 2011-04-27 2021-03-15 4 4 . FHLMC 3548 CL ZE 5.5% 12/15/2032 DTD 07/01/2009 2018-11-16 2021-03-15 2596 2785 -189 -189 . FHLMC 3684 CL CY 4.5% 06/15/2025 DTD 06/01/2010 2015-05-05 2021-03-15 5190 5846 -656 -656 . FHLMC 3653 CL B 4.5% 04/15/2030 DTD 04/01/2010 2011-12-29 2021-03-15 3131 3409 -278 -278 . FHLMC 3631 CL PA 4.0% 02/15/2040 DTD 02/01/2010 2011-04-26 2021-03-15 675 695 -20 -20 . GNMA 737022 4.5% 02/15/40 2010-05-13 2021-03-15 1280 1312 -32 -32 . GNMA POOL NO 550851 2001-10-17 2021-03-15 106 110 -4 -4 . GNMA 550750 5.5% 12/15/35 2013-07-23 2021-03-15 136 149 -13 -13 . GNMA 658181 5.5% 11/15/36 2011-01-26 2021-03-15 43 46 -3 -3 . GNMA 701738 5% 03/15/39 2009-07-29 2021-03-15 81 83 -2 -2 . WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2019-A 2019-A CL 2020-10-27 2021-03-15 56385 57187 -802 -802 73000. CARMAX AUTO OWNER TR 2017-1 2017-1 CL B 2.54% 09/15/2022 DTD 01 2017-01-25 2021-03-16 73000 72988 12 12 . GNMA 2003-26 CL MB 2021-03-16 781 845 -64 -64 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-02-18 2021-03-16 2085 929 1156 1156 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-03-16 1392 -1392 -1392 . GNMA 2009-84 CL C 4.0% 09/16/2024 DTD 09/01/2009 2013-06-18 2021-03-16 2576 2766 -190 -190 . GNMA 2010-146 CL HB 3.75% 11/16/2040 DTD 11/01/2010 2018-02-16 2021-03-16 4173 4152 21 21 . UBS COML MTG TR 2018-C10 2018-C10 CL A1 3.1847% 05/15/2051 DTD 05/01 2018-05-23 2021-03-17 3018 3018 . HONDA AUTO RECEIVABLES OWNER TR 2018-2 CL A3 3.01% 05/18/2022 DTD 2018-05-22 2021-03-18 11157 11157 54. NETFLIX.COM INC 2018-09-13 2021-03-18 27374 20017 7357 7357 39. NETFLIX.COM INC 2018-09-13 2021-03-18 19689 14457 5232 5232 . GNMA II POOL 004697 5.0% 05/20/2040 DTD 05/01/2010 2010-05-13 2021-03-22 1012 1064 -52 -52 . GNMA 2003-26 CL MB 2021-03-22 2115 2349 -234 -234 . GNMA 2003-19 CL DH 5.0% 03/20/2033 DTD 03/01/2003 2011-04-26 2021-03-22 1045 1106 -61 -61 . GNMA 2002-79 CL KL 5.5% 11/20/2032 DTD 11/01/2002 2013-05-16 2021-03-22 1590 1839 -249 -249 . GNMA 2003-62 CL HE 5.0% 07/20/2033 DTD 07/01/2003 2021-03-22 786 881 -95 -95 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2021-02-18 2021-03-22 5552 1387 4165 4165 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2017-12-06 2021-03-22 4907 -4907 -4907 . GNMA 2003-75 CL ZA 5.5% 09/20/2033 DTD 09/01/2003 2011-04-26 2021-03-22 1069 1158 -89 -89 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-02-18 2021-03-22 3466 1055 2411 2411 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-03-22 2805 -2805 -2805 . GNMA 2004-37 CL PE 5.5% 05/20/2034 DTD 05/01/2004 2021-03-22 2785 3273 -488 -488 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-02-18 2021-03-22 1411 592 819 819 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-03-22 1008 -1008 -1008 . GNMA 2008-83 CL ND 5.5% 09/20/2038 DTD 09/01/2008 2021-03-22 1105 1290 -185 -185 . GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2021-03-22 2879 3282 -403 -403 . GNMA 2015-79 CL QP 3.0% 11/20/2044 DTD 05/01/2015 2019-12-06 2021-03-22 7077 7247 -170 -170 . GNMA 2008-63 CL PE 5.5% 07/20/2038 DTD 07/01/2008 2020-04-30 2021-03-22 1204 160 1044 1044 . GNMA 2008-63 CL PE 5.5% 07/20/2038 DTD 07/01/2008 2014-02-06 2021-03-22 1185 -1185 -1185 . GNMA 2019-31 CL UA 3.0% 06/20/2047 DTD 03/01/2019 2020-09-28 2021-03-22 11247 11578 -331 -331 69000. KEYCORP SR NTS MTN 5.1% 03/24/2021 DTD 2012-08-30 2021-03-24 69000 79334 -10334 -10334 . CHL MTG PASS-THROUGH TR 2003-56 2003-56 CL 4A1 VAR RT 12/25/2033 DTD 2014-02-25 2021-03-25 54 53 1 1 . FNMA 1991-52 CL J 8.5% 05/25/2021 DTD 05/01/1991 2013-06-11 2021-03-25 310 364 -54 -54 . FNMA 2011-99 CL DB 5.0% 10/25/2041 DTD 09/01/2011 2012-07-05 2021-03-25 1630 1858 -228 -228 . FNMA 2012-52 CL NY 3.5% 05/25/2042 DTD 04/01/2012 2017-12-05 2021-03-25 25859 25907 -48 -48 . FNMA 2014-2 CL PX 4.5% 01/25/2041 DTD 01/01/2014 2018-11-06 2021-03-25 1989 2050 -61 -61 . FNMA 2014-M8 CL A2 VAR RT 06/25/2024 DTD 07/01/2014 2014-12-30 2021-03-25 350 359 -9 -9 . FNMA 2014-73 CL PJ 3.0% 12/25/2043 DTD 10/01/2014 2016-12-09 2021-03-25 3770 3778 -8 -8 . FNMA 2016-9 CL D 3.0% 03/25/2046 DTD 02/01/2016 2017-07-28 2021-03-25 6245 6274 -29 -29 . FNMA 256749 6% 06/01/37 2008-09-30 2021-03-25 88 90 -2 -2 . FHLMC STRUCTURED PASS-THROUGH CERTIFICATES FRESR 2017-SR01 2017-12-06 2021-03-25 4400 4444 -44 -44 . FHLMC KJ18 CL A2 3.065% 08/25/2022 DTD 12/01/2017 2017-12-19 2021-03-25 18823 19199 -376 -376 . FNMA 469130 4.87% 10/01/41 2016-12-20 2021-03-25 395 431 -36 -36 . FNMA 555424 5.5% 05/01/33 2010-09-17 2021-03-25 2346 2526 -180 -180 . FNMA AH5823 4.5% 02/01/41 2011-02-17 2021-03-25 1118 1134 -16 -16 . FNMA AL2602 VAR RATE 10/01/22 2014-10-28 2021-03-25 251 254 -3 -3 . FNMA AL2965 VAR RATE 12/01/22 2014-06-11 2021-03-25 102 101 1 1 . FNMA AL3876 VAR RATE 06/01/23 2013-12-18 2021-03-25 248 238 10 10 . FNMA AL5263 4% 02/01/29 2020-04-02 2021-03-25 9267 9781 -514 -514 . FNMA AM3301 2.35% 05/01/23 2014-01-28 2021-03-25 333 312 21 21 . FNMA AM8970 2.87% 05/01/30 2016-01-27 2021-03-25 398 388 10 10 . FNMA AN2497 2.6% 09/01/28 2017-02-06 2021-03-25 734 701 33 33 . FNMA AU6278 5% 11/01/43 2014-10-28 2021-03-25 157 174 -17 -17 . FNMA 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2021-03-25 223 249 -26 -26 . FNMA 2003-33 CL AM 4.25% 05/25/2033 DTD 04/01/2003 2011-04-15 2021-03-25 1251 1285 -34 -34 . FNMA 2003-42 CL JH 5.5% 05/25/2033 DTD 04/01/2003 2011-04-20 2021-03-25 89 96 -7 -7 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2021-02-18 2021-03-25 5081 371 4710 4710 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2016-12-09 2021-03-25 5172 -5172 -5172 . FNMA 2004-60 CL LB 5.0% 04/25/2034 DTD 07/01/2004 2011-04-19 2021-03-25 642 684 -42 -42 . FNMA 2005-48 CL AU 5.5% 06/25/2035 DTD 05/01/2005 2015-03-02 2021-03-25 2643 3157 -514 -514 . FNMA 2005-73 CL EZ 5.5% 08/25/2035 DTD 07/01/2005 2016-12-09 2021-03-25 927 949 -22 -22 . FNMA 2006-9 CL DG 5.5% 03/25/2036 DTD 02/01/2006 2021-03-25 799 904 -105 -105 . FNMA 2006-102 CL A 6.5% 10/25/2036 DTD 09/01/2006 2011-04-07 2021-03-25 112 124 -12 -12 . FNMA 2007-22 CL A 5.5% 03/25/2037 DTD 02/01/2007 2012-12-04 2021-03-25 141 158 -17 -17 . FNMA 2009-33 CL FB VAR RT 03/25/2037 DTD 04/25/2009 2013-03-01 2021-03-25 179 181 -2 -2 . FNMA 2010-64 CL DM 5.0% 06/25/2040 DTD 05/01/2010 2011-04-13 2021-03-25 1021 1078 -57 -57 . FNMA 776289 5% 05/01/34 2013-04-04 2021-03-25 278 306 -28 -28 . FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2021-03-25 27 28 -1 -1 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-03-25 114 120 -6 -6 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-03-25 12 13 -1 -1 . FNMA BC0100 3.5% 12/01/45 2016-06-07 2021-03-25 71 75 -4 -4 . FNMA BC3492 3.5% 02/01/46 2016-04-05 2021-03-25 429 452 -23 -23 . FNMA BC4899 3.5% 04/01/46 2016-06-07 2021-03-25 227 240 -13 -13 . FNMA BP3773 2% 02/01/36 2021-02-18 2021-03-25 2235 2330 -95 -95 . FNMA AA0835 5% 01/01/39 2009-07-29 2021-03-25 599 611 -12 -12 . FNMA AB1693 4% 11/01/40 2011-03-01 2021-03-25 20243 19892 351 351 . FNMA AB3678 3.5% 10/01/41 2011-10-26 2021-03-25 1109 1127 -18 -18 . FNMA MA1213 3.5% 10/01/42 2014-02-28 2021-03-25 1008 1008 . FNMA MA1546 3.5% 08/01/43 2014-03-19 2021-03-25 1596 1584 12 12 . FNMA MA2369 4% 08/01/45 2016-04-05 2021-03-25 1533 1662 -129 -129 . JPM MTG TR 2004-A1 2004-A1 CL 1A1 VAR RT 02/25/2034 DTD 02/01/2004 2021-03-25 69 67 2 2 . MERRILL LYNCH MTG INVESTORS TR SER 2003-A5 2003-A5 CL 2A6 VAR RT 2015-12-08 2021-03-25 1801 1790 11 11 45000. VODAFONE GROUP PLC SR NTS 3.75% 01/16/2024 DTD 2019-07-11 2021-03-30 48918 46853 2065 2065 100000. BLACKROCK INC SR NTS 1.9% 01/28/2031 DTD 2021-03-31 97018 100013 -2995 -2995 24000. CME GROUP INC SR NTS 5.3% 09/15/2043 DTD 2013-09-04 2021-03-31 32808 23957 8851 8851 35000. COSTCO WHSL CORP SR NTS 1.75% 04/20/2032 DTD 2020-04-16 2021-03-31 33380 34928 -1548 -1548 . FNMA 2013-M9 CL A2 VAR RT 01/25/2023 DTD 06/01/2013 2016-01-21 2021-03-31 2241 2241 40000. INVESCO FIN PLC 4.0% 01/30/2024 DTD 11/12/2013 2018-10-22 2021-03-31 43721 39863 3858 3858 60000. QUALCOMM INC SR NTS 4.65% 05/20/2035 DTD 2017-05-19 2021-03-31 73416 64793 8623 8623 80000. CHARLES SCHWAB CORP SR NTS 3.225% 09/01/2022 DTD 2013-03-01 2021-03-31 83132 83072 60 60 90000. STARBUCKS CORP SR NTS 2.55% 11/15/2030 DTD 2020-08-24 2021-03-31 90441 95563 -5122 -5122 100000. TYSON FOODS INC SR NTS 3.95% 08/15/2024 DTD 2020-08-19 2021-03-31 109430 111298 -1868 -1868 . GS MTG SECURITIES TR 2017-GS5 2017-GS5 CL A2 3.218% 03/10/2050 DTD 2018-01-23 2021-04-12 1649 1674 -25 -25 50000. KOHL'S CORP SR NTS 4.25% 07/17/2025 DTD 2021-03-31 2021-04-13 54852 54866 -14 -14 . DRIVE AUTO RECEIVABLES TR 2019-4 2019-4 CL A3 2.16% 05/15/2023 DTD 2020-10-06 2021-04-15 79833 80339 -506 -506 . FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2021-04-15 378 395 -17 -17 . FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2021-04-15 86 96 -10 -10 . FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2021-04-15 69 72 -3 -3 . FHLMC GOLD G16394 3.5% 08/01/32 2020-10-01 2021-04-15 18301 19645 -1344 -1344 . FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2021-04-15 1303 1347 -44 -44 . FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2021-04-15 4290 4248 42 42 . FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2021-04-15 2002 1995 7 7 . FREDDIE MAC 2005-01-19 2021-04-15 31 32 -1 -1 . FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2021-04-15 433 471 -38 -38 . FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2021-04-15 240 252 -12 -12 . FHLMC GOLD U93118 3.5% 02/01/46 2016-06-07 2021-04-15 417 440 -23 -23 . FHLMC 2338 CL ZC 6.5% 07/15/2031 DTD 07/01/2001 2011-04-19 2021-04-15 548 613 -65 -65 . FHLMC 1611 CL Z 6.5% 11/15/2023 DTD 11/01/1993 2013-08-19 2021-04-15 797 897 -100 -100 . FHLMC 1974 CL ZA 7.0% 07/15/2027 DTD 07/01/1997 2011-04-25 2021-04-15 409 463 -54 -54 . FHLMC 2122 CL ZE 6.0% 02/15/2029 DTD 02/01/1999 2013-01-30 2021-04-15 557 637 -80 -80 . FHLMC 2310 CL Z 6.0% 04/15/2031 DTD 04/01/2001 2013-09-19 2021-04-15 599 659 -60 -60 . FHLMC 2355 CL AE 6.0% 09/15/2031 DTD 09/01/2001 2017-01-27 2021-04-15 243 268 -25 -25 . FHLMC 3854 CL EW 4.0% 05/15/2026 DTD 05/01/2011 2012-01-06 2021-04-15 2697 2900 -203 -203 . FHLMC 3939 CL BZ 4.5% 06/15/2041 DTD 10/01/2011 2018-05-16 2021-04-15 567 588 -21 -21 . FHLMC 4212 CL CB 4.0% 02/15/2039 DTD 06/01/2013 2015-02-19 2021-04-15 43317 46308 -2991 -2991 . FHLMC 4616 CL HP 3.0% 09/15/2046 DTD 09/01/2016 2018-03-27 2021-04-15 7108 6940 168 168 . FHLMC 3735 CL KL 3.5% 10/15/2025 DTD 10/01/2010 2018-01-23 2021-04-15 2153 2197 -44 -44 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2021-04-15 1570 1230 340 340 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2011-04-19 2021-04-15 507 -507 -507 . FHLMC 2020-04-30 2021-04-15 318 161 157 157 . FHLMC 2011-10-05 2021-04-15 185 -185 -185 . FHLMC 2590 CL OA 4.0% 03/15/2033 DTD 03/01/2003 2011-04-13 2021-04-15 477 489 -12 -12 . FHLMC 2598 CL QE 5.5% 04/15/2033 DTD 04/01/2003 2020-05-28 2021-04-15 3674 1238 2436 2436 . FHLMC 2598 CL QE 5.5% 04/15/2033 DTD 04/01/2003 2021-04-15 2868 -2868 -2868 . FHLMC 2696 CL DG 5.5% 10/15/2033 DTD 10/01/2003 2021-04-15 2144 2390 -246 -246 . FHLMC 2949 CL PB 5.5% 03/15/2035 DTD 03/01/2005 2012-11-07 2021-04-15 2431 2917 -486 -486 . FREDDIE MAC 2005-09-15 2021-04-15 640 656 -16 -16 . FHLMC 3027 CL DE 5.0% 09/15/2025 DTD 09/01/2005 2021-04-15 1428 1531 -103 -103 . FHLMC 3508 CL PK 4.0% 02/15/2039 DTD 02/01/2009 2011-04-27 2021-04-15 59 60 -1 -1 . FHLMC 3548 CL ZE 5.5% 12/15/2032 DTD 07/01/2009 2018-11-16 2021-04-15 1940 2081 -141 -141 . FHLMC 3684 CL CY 4.5% 06/15/2025 DTD 06/01/2010 2015-05-05 2021-04-15 3958 4458 -500 -500 . FHLMC 3653 CL B 4.5% 04/15/2030 DTD 04/01/2010 2011-12-29 2021-04-15 1676 1825 -149 -149 . FHLMC 3631 CL PA 4.0% 02/15/2040 DTD 02/01/2010 2011-04-26 2021-04-15 833 858 -25 -25 . GNMA 737022 4.5% 02/15/40 2010-05-13 2021-04-15 1010 1036 -26 -26 . GNMA POOL NO 550851 2001-10-17 2021-04-15 108 112 -4 -4 . GNMA 550750 5.5% 12/15/35 2013-07-23 2021-04-15 137 150 -13 -13 . GNMA 658181 5.5% 11/15/36 2011-01-26 2021-04-15 43 47 -4 -4 . GNMA 701738 5% 03/15/39 2009-07-29 2021-04-15 86 88 -2 -2 . JPMORGAN BETABUILDERS CANADA 2021-04-15 30 30 30 . WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2019-A 2019-A CL 2020-10-27 2021-04-15 76498 77586 -1088 -1088 39. CHARTER COMMUNICATIONS INC-A 2021-04-16 25022 19716 5306 5306 98. CHARTER COMMUNICATIONS INC-A 2021-04-16 62875 29325 33550 33550 . GNMA 2003-26 CL MB 2021-04-16 630 681 -51 -51 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-02-18 2021-04-16 2719 1211 1508 1508 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-04-16 1816 -1816 -1816 . GNMA 2009-84 CL C 4.0% 09/16/2024 DTD 09/01/2009 2013-06-18 2021-04-16 2868 3080 -212 -212 . GNMA 2010-146 CL HB 3.75% 11/16/2040 DTD 11/01/2010 2018-02-16 2021-04-16 17591 17503 88 88 . UBS COML MTG TR 2018-C10 2018-C10 CL A1 3.1847% 05/15/2051 DTD 05/01 2018-05-23 2021-04-16 2249 2249 318877.55 BLCKRCK HI YLD BND PORT-K 2020-03-30 2021-04-19 2496811 2101403 395408 395408 17612.457 FIDELITY 500 INDEX FUND 2018-11-02 2021-04-19 2545000 1677904 867096 867096 . HONDA AUTO RECEIVABLES OWNER TR 2018-2 CL A3 3.01% 05/18/2022 DTD 2018-05-22 2021-04-19 12483 12483 63371. VANGUARD LONG-TERM TREASURY ETF 2021-04-19 5361850 6044530 -682680 -682680 . GNMA II POOL 004697 5.0% 05/20/2040 DTD 05/01/2010 2010-05-13 2021-04-20 1267 1332 -65 -65 . GNMA 2003-26 CL MB 2021-04-20 2579 2864 -285 -285 . GNMA 2003-19 CL DH 5.0% 03/20/2033 DTD 03/01/2003 2011-04-26 2021-04-20 1549 1640 -91 -91 . GNMA 2002-79 CL KL 5.5% 11/20/2032 DTD 11/01/2002 2013-05-16 2021-04-20 1575 1822 -247 -247 . GNMA 2003-62 CL HE 5.0% 07/20/2033 DTD 07/01/2003 2021-04-20 969 1085 -116 -116 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2021-02-18 2021-04-20 4488 1121 3367 3367 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2017-12-06 2021-04-20 3967 -3967 -3967 . GNMA 2003-75 CL ZA 5.5% 09/20/2033 DTD 09/01/2003 2011-04-26 2021-04-20 1079 1169 -90 -90 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-02-18 2021-04-20 2544 774 1770 1770 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-04-20 2058 -2058 -2058 . GNMA 2004-37 CL PE 5.5% 05/20/2034 DTD 05/01/2004 2021-04-20 2821 3315 -494 -494 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-02-18 2021-04-20 1541 647 894 894 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-04-20 1101 -1101 -1101 . GNMA 2008-83 CL ND 5.5% 09/20/2038 DTD 09/01/2008 2021-04-20 1199 1400 -201 -201 . GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2021-04-20 945 1077 -132 -132 . GNMA 2015-79 CL QP 3.0% 11/20/2044 DTD 05/01/2015 2019-12-06 2021-04-20 6763 6926 -163 -163 . GNMA 2008-63 CL PE 5.5% 07/20/2038 DTD 07/01/2008 2020-04-30 2021-04-20 1404 186 1218 1218 . GNMA 2008-63 CL PE 5.5% 07/20/2038 DTD 07/01/2008 2014-02-06 2021-04-20 1381 -1381 -1381 . GNMA 2019-31 CL UA 3.0% 06/20/2047 DTD 03/01/2019 2020-09-28 2021-04-20 17516 18031 -515 -515 . CHL MTG PASS-THROUGH TR 2003-56 2003-56 CL 4A1 VAR RT 12/25/2033 DTD 2014-02-25 2021-04-26 54 53 1 1 . FHLMC POOL POOL ZT1361 3.0% 05/01/2047 DTD 11/01/2018 2021-03-05 2021-04-26 11022 11859 -837 -837 . FNMA 1991-52 CL J 8.5% 05/25/2021 DTD 05/01/1991 2013-06-11 2021-04-26 133 156 -23 -23 . FNMA 2011-99 CL DB 5.0% 10/25/2041 DTD 09/01/2011 2012-07-05 2021-04-26 2257 2573 -316 -316 . FNMA 2012-52 CL NY 3.5% 05/25/2042 DTD 04/01/2012 2017-12-05 2021-04-26 16543 16574 -31 -31 . FNMA 2013-M9 CL A2 VAR RT 01/25/2023 DTD 06/01/2013 2016-01-21 2021-04-26 166 166 . FNMA 2014-2 CL PX 4.5% 01/25/2041 DTD 01/01/2014 2018-11-06 2021-04-26 2615 2694 -79 -79 . FNMA 2014-M8 CL A2 VAR RT 06/25/2024 DTD 07/01/2014 2014-12-30 2021-04-26 292 300 -8 -8 . FNMA 2014-73 CL PJ 3.0% 12/25/2043 DTD 10/01/2014 2016-12-09 2021-04-26 3433 3441 -8 -8 . FNMA 2016-9 CL D 3.0% 03/25/2046 DTD 02/01/2016 2017-07-28 2021-04-26 8638 8679 -41 -41 . FNMA 256749 6% 06/01/37 2008-09-30 2021-04-26 2692 2732 -40 -40 . FHLMC STRUCTURED PASS-THROUGH CERTIFICATES FRESR 2017-SR01 2017-12-06 2021-04-26 37511 37886 -375 -375 . FHLMC KJ18 CL A2 3.065% 08/25/2022 DTD 12/01/2017 2017-12-19 2021-04-26 3546 3617 -71 -71 . FNMA 469130 4.87% 10/01/41 2016-12-20 2021-04-26 311 339 -28 -28 . FNMA 555424 5.5% 05/01/33 2010-09-17 2021-04-26 2644 2847 -203 -203 . FNMA AH5823 4.5% 02/01/41 2011-02-17 2021-04-26 2613 2652 -39 -39 . FNMA AL2602 VAR RATE 10/01/22 2014-10-28 2021-04-26 219 221 -2 -2 . FNMA AL2965 VAR RATE 12/01/22 2014-06-11 2021-04-26 88 87 1 1 . FNMA AL3876 VAR RATE 06/01/23 2013-12-18 2021-04-26 208 200 8 8 . FNMA AL5263 4% 02/01/29 2020-04-02 2021-04-26 19231 20298 -1067 -1067 . FNMA AM3301 2.35% 05/01/23 2014-01-28 2021-04-26 298 279 19 19 . FNMA AM8970 2.87% 05/01/30 2016-01-27 2021-04-26 328 320 8 8 . FNMA AN2497 2.6% 09/01/28 2017-02-06 2021-04-26 596 569 27 27 . FNMA AU6278 5% 11/01/43 2014-10-28 2021-04-26 158 176 -18 -18 . FNMA 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2021-04-26 175 195 -20 -20 . FNMA 2003-33 CL AM 4.25% 05/25/2033 DTD 04/01/2003 2011-04-15 2021-04-26 891 916 -25 -25 . FNMA 2003-42 CL JH 5.5% 05/25/2033 DTD 04/01/2003 2011-04-20 2021-04-26 123 133 -10 -10 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2021-02-18 2021-04-26 1547 113 1434 1434 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2016-12-09 2021-04-26 1574 -1574 -1574 . FNMA 2004-60 CL LB 5.0% 04/25/2034 DTD 07/01/2004 2011-04-19 2021-04-26 630 672 -42 -42 . FNMA 2005-48 CL AU 5.5% 06/25/2035 DTD 05/01/2005 2015-03-02 2021-04-26 2577 3077 -500 -500 . FNMA 2005-73 CL EZ 5.5% 08/25/2035 DTD 07/01/2005 2016-12-09 2021-04-26 457 468 -11 -11 . FNMA 2006-9 CL DG 5.5% 03/25/2036 DTD 02/01/2006 2021-04-26 581 657 -76 -76 . FNMA 2006-102 CL A 6.5% 10/25/2036 DTD 09/01/2006 2011-04-07 2021-04-26 26 29 -3 -3 . FNMA 2007-22 CL A 5.5% 03/25/2037 DTD 02/01/2007 2012-12-04 2021-04-26 137 153 -16 -16 . FNMA 2009-33 CL FB VAR RT 03/25/2037 DTD 04/25/2009 2013-03-01 2021-04-26 572 580 -8 -8 . FNMA 2010-123 CL KU 4.5% 11/25/2040 DTD 10/01/2010 2018-03-26 2021-04-26 3746 3930 -184 -184 . FNMA 2010-64 CL DM 5.0% 06/25/2040 DTD 05/01/2010 2011-04-13 2021-04-26 998 1054 -56 -56 . FNMA 776289 5% 05/01/34 2013-04-04 2021-04-26 4334 4775 -441 -441 . FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2021-04-26 27 29 -2 -2 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-04-26 117 122 -5 -5 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-04-26 13 14 -1 -1 . FNMA BC0100 3.5% 12/01/45 2016-06-07 2021-04-26 72 76 -4 -4 . FNMA BC3492 3.5% 02/01/46 2016-04-05 2021-04-26 430 452 -22 -22 . FNMA BC4899 3.5% 04/01/46 2016-06-07 2021-04-26 44289 46853 -2564 -2564 . FNMA BP3773 2% 02/01/36 2021-02-18 2021-04-26 2331 2430 -99 -99 . FNMA CA3804 2.5% 07/01/49 2021-02-26 2021-04-26 18642 19460 -818 -818 . FNMA FM2014 3% 11/01/49 2021-03-05 2021-04-26 6029 6486 -457 -457 . FNMA FM5937 4% 01/01/49 2021-03-05 2021-04-26 15595 17045 -1450 -1450 . FNMA AA0835 5% 01/01/39 2009-07-29 2021-04-26 31 31 . FNMA AB1693 4% 11/01/40 2011-03-01 2021-04-26 12761 12540 221 221 . FNMA AB3678 3.5% 10/01/41 2011-10-26 2021-04-26 1529 1554 -25 -25 . FNMA MA1213 3.5% 10/01/42 2014-02-28 2021-04-26 1182 1181 1 1 . FNMA MA1546 3.5% 08/01/43 2014-03-19 2021-04-26 1760 1747 13 13 . FNMA MA2369 4% 08/01/45 2016-04-05 2021-04-26 220 239 -19 -19 . JPM MTG TR 2004-A1 2004-A1 CL 1A1 VAR RT 02/25/2034 DTD 02/01/2004 2021-04-26 66 65 1 1 . MERRILL LYNCH MTG INVESTORS TR SER 2003-A5 2003-A5 CL 2A6 VAR RT 2015-12-08 2021-04-26 2748 2732 16 16 329. CHUBB LTD 2021-04-27 54849 17118 37731 37731 330. CHUBB LTD 2008-11-19 2021-04-28 54088 13925 40163 40163 165. CHUBB LTD 2008-11-19 2021-04-28 27505 6963 20542 20542 61. CHUBB LTD 2008-11-19 2021-04-28 9904 2574 7330 7330 . FNMA 2011-52 CL KB 5.5% 06/25/2041 DTD 05/01/2011 2014-03-20 2021-04-30 603 666 -63 -63 81000. ENERGY TRANSFER LP SR NTS 4.25% 03/15/2023 DTD 2019-04-25 2021-05-10 85316 83034 2282 2282 . GS MTG SECURITIES TR 2017-GS5 2017-GS5 CL A2 3.218% 03/10/2050 DTD 2018-01-23 2021-05-12 1789 1817 -28 -28 156905.371 BLCKRCK HI YLD BND PORT-K 2021-04-12 2021-05-14 1228569 1227000 1569 1569 413337.285 BLCKRCK HI YLD BND PORT-K 2021-05-14 3236431 2755908 480523 480523 57. NEXTERA ENERGY INC 2020-09-30 2021-05-14 4181 3941 240 240 457. NEXTERA ENERGY INC 2020-09-30 2021-05-14 33449 31594 1855 1855 51. NEXTERA ENERGY INC 2020-09-30 2021-05-14 3739 3526 213 213 116. ASML HOLDING NV-NY REG SHS 2021-05-14 73943 34493 39450 39450 . DRIVE AUTO RECEIVABLES TR 2019-4 2019-4 CL A3 2.16% 05/15/2023 DTD 2020-10-06 2021-05-17 20166 20293 -127 -127 . FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2021-05-17 464 486 -22 -22 . FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2021-05-17 129 143 -14 -14 . FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2021-05-17 654 687 -33 -33 . FHLMC GOLD G16394 3.5% 08/01/32 2020-10-01 2021-05-17 9069 9735 -666 -666 . FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2021-05-17 1132 1171 -39 -39 . FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2021-05-17 3306 3273 33 33 . FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2021-05-17 1689 1682 7 7 . FREDDIE MAC 2005-01-19 2021-05-17 31 32 -1 -1 . FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2021-05-17 345 375 -30 -30 . FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2021-05-17 222 234 -12 -12 . FHLMC GOLD U93118 3.5% 02/01/46 2016-06-07 2021-05-17 432 457 -25 -25 . FHLMC 2338 CL ZC 6.5% 07/15/2031 DTD 07/01/2001 2011-04-19 2021-05-17 850 950 -100 -100 . FHLMC 1611 CL Z 6.5% 11/15/2023 DTD 11/01/1993 2013-08-19 2021-05-17 796 896 -100 -100 . FHLMC 1974 CL ZA 7.0% 07/15/2027 DTD 07/01/1997 2011-04-25 2021-05-17 463 524 -61 -61 . FHLMC 2122 CL ZE 6.0% 02/15/2029 DTD 02/01/1999 2013-01-30 2021-05-17 497 568 -71 -71 . FHLMC 2310 CL Z 6.0% 04/15/2031 DTD 04/01/2001 2013-09-19 2021-05-17 512 563 -51 -51 . FHLMC 2355 CL AE 6.0% 09/15/2031 DTD 09/01/2001 2017-01-27 2021-05-17 244 270 -26 -26 . FHLMC 3854 CL EW 4.0% 05/15/2026 DTD 05/01/2011 2012-01-06 2021-05-17 2963 3186 -223 -223 . FHLMC 3939 CL BZ 4.5% 06/15/2041 DTD 10/01/2011 2018-05-16 2021-05-17 568 588 -20 -20 121000. FHLMC 4212 CL CB 4.0% 02/15/2039 DTD 06/01/2013 2015-02-19 2021-05-17 38060 40689 -2629 -2629 . FHLMC 4616 CL HP 3.0% 09/15/2046 DTD 09/01/2016 2018-03-27 2021-05-17 3213 3137 76 76 . FHLMC 3735 CL KL 3.5% 10/15/2025 DTD 10/01/2010 2018-01-23 2021-05-17 2134 2178 -44 -44 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2021-05-17 283 221 62 62 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2011-04-19 2021-05-17 91 -91 -91 . FHLMC 2021-05-17 668 727 -59 -59 . FHLMC 2590 CL OA 4.0% 03/15/2033 DTD 03/01/2003 2011-04-13 2021-05-17 1071 1099 -28 -28 . FHLMC 2598 CL QE 5.5% 04/15/2033 DTD 04/01/2003 2020-05-28 2021-05-17 1142 385 757 757 . FHLMC 2598 CL QE 5.5% 04/15/2033 DTD 04/01/2003 2021-05-17 891 -891 -891 . FHLMC 2696 CL DG 5.5% 10/15/2033 DTD 10/01/2003 2021-05-17 1420 1583 -163 -163 . FHLMC 2949 CL PB 5.5% 03/15/2035 DTD 03/01/2005 2012-11-07 2021-05-17 2385 2863 -478 -478 . FREDDIE MAC 2005-09-15 2021-05-17 656 673 -17 -17 . FHLMC 3027 CL DE 5.0% 09/15/2025 DTD 09/01/2005 2021-05-17 1417 1519 -102 -102 . FHLMC 3508 CL PK 4.0% 02/15/2039 DTD 02/01/2009 2011-04-27 2021-05-17 71 72 -1 -1 . FHLMC 3548 CL ZE 5.5% 12/15/2032 DTD 07/01/2009 2018-11-16 2021-05-17 2183 2342 -159 -159 . FHLMC 3684 CL CY 4.5% 06/15/2025 DTD 06/01/2010 2015-05-05 2021-05-17 3663 4125 -462 -462 . FHLMC 3653 CL B 4.5% 04/15/2030 DTD 04/01/2010 2011-12-29 2021-05-17 1963 2137 -174 -174 . FHLMC 3631 CL PA 4.0% 02/15/2040 DTD 02/01/2010 2011-04-26 2021-05-17 702 723 -21 -21 . GNMA 737022 4.5% 02/15/40 2010-05-13 2021-05-17 1410 1445 -35 -35 . GNMA POOL NO 550851 2001-10-17 2021-05-17 110 114 -4 -4 . GNMA 550750 5.5% 12/15/35 2013-07-23 2021-05-17 168 183 -15 -15 . GNMA 658181 5.5% 11/15/36 2011-01-26 2021-05-17 1742 1892 -150 -150 . GNMA 701738 5% 03/15/39 2009-07-29 2021-05-17 85 87 -2 -2 8. NEXTERA ENERGY INC 2020-09-30 2021-05-17 584 553 31 31 171. NEXTERA ENERGY INC 2021-05-17 12296 11342 954 954 80000. ANTHEM INC SR NTS 3.7% 08/15/2021 DTD 2017-01-27 2021-05-17 80000 82712 -2712 -2712 . WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2019-A 2019-A CL 2020-10-27 2021-05-17 85793 87013 -1220 -1220 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-02-18 2021-05-18 1782 794 988 988 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-05-18 1190 -1190 -1190 . GNMA 2009-84 CL C 4.0% 09/16/2024 DTD 09/01/2009 2013-06-18 2021-05-18 3477 3734 -257 -257 . GNMA 2010-146 CL HB 3.75% 11/16/2040 DTD 11/01/2010 2018-02-16 2021-05-18 11855 11796 59 59 . HONDA AUTO RECEIVABLES OWNER TR 2018-2 CL A3 3.01% 05/18/2022 DTD 2018-05-22 2021-05-18 10762 10762 . GNMA II POOL 004697 5.0% 05/20/2040 DTD 05/01/2010 2010-05-13 2021-05-20 1137 1195 -58 -58 . GNMA 2003-26 CL MB 2021-05-20 3461 3844 -383 -383 . GNMA 2003-26 CL MB 2021-05-20 650 703 -53 -53 . GNMA 2003-19 CL DH 5.0% 03/20/2033 DTD 03/01/2003 2011-04-26 2021-05-20 783 829 -46 -46 . GNMA 2002-79 CL KL 5.5% 11/20/2032 DTD 11/01/2002 2013-05-16 2021-05-20 1699 1965 -266 -266 . GNMA 2003-62 CL HE 5.0% 07/20/2033 DTD 07/01/2003 2021-05-20 1241 1390 -149 -149 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2021-02-18 2021-05-20 4654 1162 3492 3492 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2017-12-06 2021-05-20 4113 -4113 -4113 . GNMA 2003-75 CL ZA 5.5% 09/20/2033 DTD 09/01/2003 2011-04-26 2021-05-20 1227 1330 -103 -103 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-02-18 2021-05-20 2962 902 2060 2060 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-05-20 2397 -2397 -2397 . GNMA 2004-37 CL PE 5.5% 05/20/2034 DTD 05/01/2004 2021-05-20 2302 2705 -403 -403 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-02-18 2021-05-20 1419 595 824 824 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-05-20 1014 -1014 -1014 . GNMA 2008-83 CL ND 5.5% 09/20/2038 DTD 09/01/2008 2021-05-20 1112 1299 -187 -187 . GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2021-05-20 1542 1758 -216 -216 . GNMA 2015-79 CL QP 3.0% 11/20/2044 DTD 05/01/2015 2019-12-06 2021-05-20 5437 5568 -131 -131 . GNMA 2008-63 CL PE 5.5% 07/20/2038 DTD 07/01/2008 2021-05-20 1250 1396 -146 -146 . GNMA 2019-31 CL UA 3.0% 06/20/2047 DTD 03/01/2019 2020-09-28 2021-05-20 14140 14556 -416 -416 121000. FHLMC 4212 CL CB 4.0% 02/15/2039 DTD 06/01/2013 1960-11-11 2021-05-24 . CHL MTG PASS-THROUGH TR 2003-56 2003-56 CL 4A1 VAR RT 12/25/2033 DTD 2014-02-25 2021-05-25 54 53 1 1 . FHLMC POOL POOL ZT1361 3.0% 05/01/2047 DTD 11/01/2018 2021-03-05 2021-05-25 6912 7437 -525 -525 17049658. FNMA 1991-52 CL J 8.5% 05/25/2021 DTD 05/01/1991 2013-06-11 2021-05-25 43 51 -8 -8 . FNMA 2011-99 CL DB 5.0% 10/25/2041 DTD 09/01/2011 2012-07-05 2021-05-25 2021 2304 -283 -283 . FNMA 2012-52 CL NY 3.5% 05/25/2042 DTD 04/01/2012 2017-12-05 2021-05-25 11643 11665 -22 -22 . FNMA 2013-M9 CL A2 VAR RT 01/25/2023 DTD 06/01/2013 2016-01-21 2021-05-25 174 174 . FNMA 2014-2 CL PX 4.5% 01/25/2041 DTD 01/01/2014 2018-11-06 2021-05-25 3781 3897 -116 -116 . FNMA 2014-M8 CL A2 VAR RT 06/25/2024 DTD 07/01/2014 2014-12-30 2021-05-25 313 321 -8 -8 . FNMA 2014-73 CL PJ 3.0% 12/25/2043 DTD 10/01/2014 2016-12-09 2021-05-25 2236 2241 -5 -5 . FNMA 2016-9 CL D 3.0% 03/25/2046 DTD 02/01/2016 2017-07-28 2021-05-25 6974 7007 -33 -33 . FNMA GRANTOR TR 2017-T1 2017-T1 CL A 2.898% 06/25/2027 DTD 04/01/201 2017-04-19 2021-05-25 104 104 . FNMA 256749 6% 06/01/37 2008-09-30 2021-05-25 131 133 -2 -2 . FHLMC STRUCTURED PASS-THROUGH CERTIFICATES FRESR 2017-SR01 2017-12-06 2021-05-25 1667 1683 -16 -16 . FHLMC KJ18 CL A2 3.065% 08/25/2022 DTD 12/01/2017 2017-12-19 2021-05-25 173 177 -4 -4 . FNMA 469130 4.87% 10/01/41 2016-12-20 2021-05-25 341 372 -31 -31 . FNMA 555424 5.5% 05/01/33 2010-09-17 2021-05-25 2575 2773 -198 -198 . FNMA AH5823 4.5% 02/01/41 2011-02-17 2021-05-25 4149 4211 -62 -62 . FNMA AL2602 VAR RATE 10/01/22 2014-10-28 2021-05-25 231 233 -2 -2 . FNMA AL2965 VAR RATE 12/01/22 2014-06-11 2021-05-25 93 92 1 1 . FNMA AL3876 VAR RATE 06/01/23 2013-12-18 2021-05-25 222 214 8 8 . FNMA AL5263 4% 02/01/29 2020-04-02 2021-05-25 15189 16031 -842 -842 . FNMA AM3301 2.35% 05/01/23 2014-01-28 2021-05-25 311 292 19 19 . FNMA AM8970 2.87% 05/01/30 2016-01-27 2021-05-25 353 344 9 9 . FNMA AN2497 2.6% 09/01/28 2017-02-06 2021-05-25 645 616 29 29 . FNMA AU6278 5% 11/01/43 2014-10-28 2021-05-25 6340 7051 -711 -711 . FNMA 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2021-05-25 823 919 -96 -96 . FNMA 2003-33 CL AM 4.25% 05/25/2033 DTD 04/01/2003 2011-04-15 2021-05-25 873 897 -24 -24 . FNMA 2003-42 CL JH 5.5% 05/25/2033 DTD 04/01/2003 2011-04-20 2021-05-25 667 716 -49 -49 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2021-02-18 2021-05-25 1098 80 1018 1018 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2016-12-09 2021-05-25 1117 -1117 -1117 . FNMA 2004-60 CL LB 5.0% 04/25/2034 DTD 07/01/2004 2011-04-19 2021-05-25 618 659 -41 -41 . FNMA 2005-48 CL AU 5.5% 06/25/2035 DTD 05/01/2005 2015-03-02 2021-05-25 2512 3000 -488 -488 . FNMA 2005-73 CL EZ 5.5% 08/25/2035 DTD 07/01/2005 2016-12-09 2021-05-25 3851 3945 -94 -94 . FNMA 2006-9 CL DG 5.5% 03/25/2036 DTD 02/01/2006 2021-05-25 1542 1745 -203 -203 . FNMA 2006-102 CL A 6.5% 10/25/2036 DTD 09/01/2006 2011-04-07 2021-05-25 184 202 -18 -18 . FNMA 2007-22 CL A 5.5% 03/25/2037 DTD 02/01/2007 2012-12-04 2021-05-25 257 287 -30 -30 . FNMA 2009-33 CL FB VAR RT 03/25/2037 DTD 04/25/2009 2013-03-01 2021-05-25 1223 1240 -17 -17 . FNMA 2011-52 CL KB 5.5% 06/25/2041 DTD 05/01/2011 2014-03-20 2021-05-25 2680 2962 -282 -282 . FNMA 2010-123 CL KU 4.5% 11/25/2040 DTD 10/01/2010 2018-03-26 2021-05-25 9539 10007 -468 -468 . FNMA 2010-64 CL DM 5.0% 06/25/2040 DTD 05/01/2010 2011-04-13 2021-05-25 975 1029 -54 -54 . FNMA 776289 5% 05/01/34 2013-04-04 2021-05-25 262 288 -26 -26 . FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2021-05-25 27 29 -2 -2 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-05-25 126 132 -6 -6 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-05-25 12 13 -1 -1 . FNMA BC0100 3.5% 12/01/45 2016-06-07 2021-05-25 72 76 -4 -4 . FNMA BC3492 3.5% 02/01/46 2016-04-05 2021-05-25 434 457 -23 -23 . FNMA BC4899 3.5% 04/01/46 2016-06-07 2021-05-25 152 161 -9 -9 . FNMA BP3773 2% 02/01/36 2021-02-18 2021-05-25 2334 2433 -99 -99 . FNMA CA3804 2.5% 07/01/49 2021-02-26 2021-05-25 15174 15840 -666 -666 . FNMA FM2014 3% 11/01/49 2021-03-05 2021-05-25 9567 10292 -725 -725 . FNMA FM5937 4% 01/01/49 2021-03-05 2021-05-25 8547 9342 -795 -795 . FNMA AA0835 5% 01/01/39 2009-07-29 2021-05-25 31 32 -1 -1 . FNMA AB1693 4% 11/01/40 2011-03-01 2021-05-25 3719 3654 65 65 . FNMA AB3678 3.5% 10/01/41 2011-10-26 2021-05-25 1736 1764 -28 -28 . FNMA MA1213 3.5% 10/01/42 2014-02-28 2021-05-25 996 996 . FNMA MA1546 3.5% 08/01/43 2014-03-19 2021-05-25 2571 2552 19 19 . FNMA MA2369 4% 08/01/45 2016-04-05 2021-05-25 1704 1846 -142 -142 . JPM MTG TR 2004-A1 2004-A1 CL 1A1 VAR RT 02/25/2034 DTD 02/01/2004 2021-05-25 71 70 1 1 . MERRILL LYNCH MTG INVESTORS TR SER 2003-A5 2003-A5 CL 2A6 VAR RT 2015-12-08 2021-05-25 1145 1138 7 7 . UBS COML MTG TR 2018-C10 2018-C10 CL A1 3.1847% 05/15/2051 DTD 05/01 2018-05-23 2021-05-26 2816 2816 . GS MTG SECURITIES TR 2017-GS5 2017-GS5 CL A2 3.218% 03/10/2050 DTD 2018-01-23 2021-06-11 143869 146061 -2192 -2192 . FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2021-06-15 282 295 -13 -13 . FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2021-06-15 155 173 -18 -18 . FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2021-06-15 66 70 -4 -4 . FHLMC GOLD G16394 3.5% 08/01/32 2020-10-01 2021-06-15 12197 13092 -895 -895 . FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2021-06-15 1507 1558 -51 -51 . FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2021-06-15 63 63 . FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2021-06-15 1164 1160 4 4 . FREDDIE MAC 2005-01-19 2021-06-15 31 32 -1 -1 . FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2021-06-15 369 401 -32 -32 . FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2021-06-15 221 232 -11 -11 . FHLMC GOLD U93118 3.5% 02/01/46 2016-06-07 2021-06-15 433 457 -24 -24 . FHLMC 2338 CL ZC 6.5% 07/15/2031 DTD 07/01/2001 2011-04-19 2021-06-15 221 247 -26 -26 . FHLMC 1611 CL Z 6.5% 11/15/2023 DTD 11/01/1993 2013-08-19 2021-06-15 789 888 -99 -99 . FHLMC 1974 CL ZA 7.0% 07/15/2027 DTD 07/01/1997 2011-04-25 2021-06-15 255 289 -34 -34 . FHLMC 2122 CL ZE 6.0% 02/15/2029 DTD 02/01/1999 2013-01-30 2021-06-15 1714 1959 -245 -245 . FHLMC 2310 CL Z 6.0% 04/15/2031 DTD 04/01/2001 2013-09-19 2021-06-15 852 938 -86 -86 . FHLMC 2355 CL AE 6.0% 09/15/2031 DTD 09/01/2001 2017-01-27 2021-06-15 245 271 -26 -26 . FHLMC 3854 CL EW 4.0% 05/15/2026 DTD 05/01/2011 2012-01-06 2021-06-15 2647 2846 -199 -199 . FHLMC 3939 CL BZ 4.5% 06/15/2041 DTD 10/01/2011 2018-05-16 2021-06-15 17649 18275 -626 -626 . FHLMC 4616 CL HP 3.0% 09/15/2046 DTD 09/01/2016 2018-03-27 2021-06-15 5327 5200 127 127 . FHLMC 3735 CL KL 3.5% 10/15/2025 DTD 10/01/2010 2018-01-23 2021-06-15 2107 2150 -43 -43 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2021-06-15 437 342 95 95 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2011-04-19 2021-06-15 141 -141 -141 . FHLMC 2021-06-15 1012 1102 -90 -90 . FHLMC 2590 CL OA 4.0% 03/15/2033 DTD 03/01/2003 2011-04-13 2021-06-15 902 927 -25 -25 . FHLMC 2598 CL QE 5.5% 04/15/2033 DTD 04/01/2003 2021-06-15 1336 1493 -157 -157 . FHLMC 2696 CL DG 5.5% 10/15/2033 DTD 10/01/2003 2021-06-15 2515 2804 -289 -289 . FHLMC 2949 CL PB 5.5% 03/15/2035 DTD 03/01/2005 2012-11-07 2021-06-15 2341 2809 -468 -468 . FREDDIE MAC 2005-09-15 2021-06-15 84 86 -2 -2 . FHLMC 3027 CL DE 5.0% 09/15/2025 DTD 09/01/2005 2021-06-15 1485 1592 -107 -107 . FHLMC 3508 CL PK 4.0% 02/15/2039 DTD 02/01/2009 2011-04-27 2021-06-15 60 61 -1 -1 . FHLMC 3548 CL ZE 5.5% 12/15/2032 DTD 07/01/2009 2018-11-16 2021-06-15 2334 2503 -169 -169 . FHLMC 3684 CL CY 4.5% 06/15/2025 DTD 06/01/2010 2015-05-05 2021-06-15 4756 5357 -601 -601 . FHLMC 3653 CL B 4.5% 04/15/2030 DTD 04/01/2010 2011-12-29 2021-06-15 2634 2868 -234 -234 . FHLMC 3631 CL PA 4.0% 02/15/2040 DTD 02/01/2010 2011-04-26 2021-06-15 694 715 -21 -21 . GNMA 737022 4.5% 02/15/40 2010-05-13 2021-06-15 928 951 -23 -23 . GNMA POOL NO 550851 2001-10-17 2021-06-15 107 111 -4 -4 . GNMA 550750 5.5% 12/15/35 2013-07-23 2021-06-15 139 151 -12 -12 . GNMA 658181 5.5% 11/15/36 2011-01-26 2021-06-15 38 41 -3 -3 . GNMA 701738 5% 03/15/39 2009-07-29 2021-06-15 784 802 -18 -18 . WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2019-A 2019-A CL 2020-10-27 2021-06-15 78740 79860 -1120 -1120 . GNMA 2003-26 CL MB 2021-06-16 465 503 -38 -38 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-02-18 2021-06-16 2123 946 1177 1177 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-06-16 1418 -1418 -1418 . GNMA 2009-84 CL C 4.0% 09/16/2024 DTD 09/01/2009 2013-06-18 2021-06-16 2280 2449 -169 -169 . GNMA 2010-146 CL HB 3.75% 11/16/2040 DTD 11/01/2010 2018-02-16 2021-06-16 988 983 5 5 . UBS COML MTG TR 2018-C10 2018-C10 CL A1 3.1847% 05/15/2051 DTD 05/01 2018-05-23 2021-06-17 2715 2715 . HONDA AUTO RECEIVABLES OWNER TR 2018-2 CL A3 3.01% 05/18/2022 DTD 2018-05-22 2021-06-18 9965 9965 . GNMA II POOL 004697 5.0% 05/20/2040 DTD 05/01/2010 2010-05-13 2021-06-21 1044 1097 -53 -53 . GNMA 2003-26 CL MB 2021-06-21 2065 2293 -228 -228 . GNMA 2003-19 CL DH 5.0% 03/20/2033 DTD 03/01/2003 2011-04-26 2021-06-21 1211 1283 -72 -72 . GNMA 2003-62 CL HE 5.0% 07/20/2033 DTD 07/01/2003 2021-06-21 855 958 -103 -103 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2021-02-18 2021-06-21 6241 1559 4682 4682 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2017-12-06 2021-06-21 5516 -5516 -5516 . GNMA 2003-75 CL ZA 5.5% 09/20/2033 DTD 09/01/2003 2011-04-26 2021-06-21 1318 1428 -110 -110 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-02-18 2021-06-21 2849 867 1982 1982 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-06-21 2305 -2305 -2305 . GNMA 2004-37 CL PE 5.5% 05/20/2034 DTD 05/01/2004 2021-06-21 2320 2727 -407 -407 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-06-21 1560 1139 421 421 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-06-21 607 -607 -607 . GNMA 2008-83 CL ND 5.5% 09/20/2038 DTD 09/01/2008 2021-06-21 845 987 -142 -142 . GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2021-06-21 1583 1804 -221 -221 . GNMA 2015-79 CL QP 3.0% 11/20/2044 DTD 05/01/2015 2019-12-06 2021-06-21 4695 4808 -113 -113 . GNMA 2008-63 CL PE 5.5% 07/20/2038 DTD 07/01/2008 2021-06-21 1761 1965 -204 -204 . GNMA 2019-31 CL UA 3.0% 06/20/2047 DTD 03/01/2019 2020-09-28 2021-06-21 9834 10123 -289 -289 239086.607 BLCKRCK HI YLD BND PORT-K 2020-03-30 2021-06-22 1886393 1575581 310812 310812 210000. GNMA 2002-79 CL KL 5.5% 11/20/2032 DTD 11/01/2002 2013-05-16 2021-06-22 63260 73144 -9884 -9884 . CHL MTG PASS-THROUGH TR 2003-56 2003-56 CL 4A1 VAR RT 12/25/2033 DTD 2014-02-25 2021-06-25 54 54 . FHLMC POOL POOL ZT1361 3.0% 05/01/2047 DTD 11/01/2018 2021-03-05 2021-06-25 4817 5183 -366 -366 . FNMA 2011-99 CL DB 5.0% 10/25/2041 DTD 09/01/2011 2012-07-05 2021-06-25 1910 2177 -267 -267 . FNMA 2012-52 CL NY 3.5% 05/25/2042 DTD 04/01/2012 2017-12-05 2021-06-25 23235 23279 -44 -44 . FNMA 2013-M9 CL A2 VAR RT 01/25/2023 DTD 06/01/2013 2016-01-21 2021-06-25 3704 3704 . FNMA 2014-2 CL PX 4.5% 01/25/2041 DTD 01/01/2014 2018-11-06 2021-06-25 2286 2355 -69 -69 . FNMA 2014-M8 CL A2 VAR RT 06/25/2024 DTD 07/01/2014 2014-12-30 2021-06-25 294 302 -8 -8 . FNMA 2014-73 CL PJ 3.0% 12/25/2043 DTD 10/01/2014 2016-12-09 2021-06-25 2953 2960 -7 -7 . FNMA 2016-9 CL D 3.0% 03/25/2046 DTD 02/01/2016 2017-07-28 2021-06-25 7388 7423 -35 -35 . FNMA GRANTOR TR 2017-T1 2017-T1 CL A 2.898% 06/25/2027 DTD 04/01/201 2017-04-19 2021-06-25 27 27 . FNMA 256749 6% 06/01/37 2008-09-30 2021-06-25 1067 1083 -16 -16 . FHLMC STRUCTURED PASS-THROUGH CERTIFICATES FRESR 2017-SR01 2017-12-06 2021-06-25 756 764 -8 -8 . FHLMC KJ18 CL A2 3.065% 08/25/2022 DTD 12/01/2017 2017-12-19 2021-06-25 3166 3229 -63 -63 . FNMA 469130 4.87% 10/01/41 2016-12-20 2021-06-25 315 343 -28 -28 . FNMA 555424 5.5% 05/01/33 2010-09-17 2021-06-25 2102 2263 -161 -161 . FNMA AH5823 4.5% 02/01/41 2011-02-17 2021-06-25 1432 1454 -22 -22 . FNMA AL2602 VAR RATE 10/01/22 2014-10-28 2021-06-25 221 223 -2 -2 . FNMA AL2965 VAR RATE 12/01/22 2014-06-11 2021-06-25 88 87 1 1 . FNMA AL3876 VAR RATE 06/01/23 2013-12-18 2021-06-25 210 202 8 8 . FNMA AL5263 4% 02/01/29 2020-04-02 2021-06-25 8243 8700 -457 -457 . FNMA AM3301 2.35% 05/01/23 2014-01-28 2021-06-25 300 281 19 19 . FNMA AM8970 2.87% 05/01/30 2016-01-27 2021-06-25 330 322 8 8 . FNMA AN2497 2.6% 09/01/28 2017-02-06 2021-06-25 600 573 27 27 . FNMA AU6278 5% 11/01/43 2014-10-28 2021-06-25 6155 6846 -691 -691 . FNMA 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2021-06-25 421 471 -50 -50 . FNMA 2003-33 CL AM 4.25% 05/25/2033 DTD 04/01/2003 2011-04-15 2021-06-25 744 764 -20 -20 . FNMA 2003-42 CL JH 5.5% 05/25/2033 DTD 04/01/2003 2011-04-20 2021-06-25 81 87 -6 -6 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2021-02-18 2021-06-25 3813 279 3534 3534 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2016-12-09 2021-06-25 3882 -3882 -3882 . FNMA 2004-60 CL LB 5.0% 04/25/2034 DTD 07/01/2004 2011-04-19 2021-06-25 607 647 -40 -40 . FNMA 2005-48 CL AU 5.5% 06/25/2035 DTD 05/01/2005 2015-03-02 2021-06-25 2449 2924 -475 -475 . FNMA 2005-73 CL EZ 5.5% 08/25/2035 DTD 07/01/2005 2016-12-09 2021-06-25 3295 3376 -81 -81 . FNMA 2006-9 CL DG 5.5% 03/25/2036 DTD 02/01/2006 2021-06-25 1396 1579 -183 -183 . FNMA 2006-102 CL A 6.5% 10/25/2036 DTD 09/01/2006 2011-04-07 2021-06-25 92 102 -10 -10 . FNMA 2007-22 CL A 5.5% 03/25/2037 DTD 02/01/2007 2012-12-04 2021-06-25 66 73 -7 -7 . FNMA 2009-33 CL FB VAR RT 03/25/2037 DTD 04/25/2009 2013-03-01 2021-06-25 741 751 -10 -10 . FNMA 2011-52 CL KB 5.5% 06/25/2041 DTD 05/01/2011 2014-03-20 2021-06-25 2325 2569 -244 -244 . FNMA 2010-123 CL KU 4.5% 11/25/2040 DTD 10/01/2010 2018-03-26 2021-06-25 6937 7278 -341 -341 . FNMA 2010-64 CL DM 5.0% 06/25/2040 DTD 05/01/2010 2011-04-13 2021-06-25 953 1006 -53 -53 . FNMA 776289 5% 05/01/34 2013-04-04 2021-06-25 2793 3078 -285 -285 . FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2021-06-25 27 29 -2 -2 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-06-25 145 152 -7 -7 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-06-25 12 13 -1 -1 . FNMA BC0100 3.5% 12/01/45 2016-06-07 2021-06-25 72 76 -4 -4 . FNMA BC3492 3.5% 02/01/46 2016-04-05 2021-06-25 433 455 -22 -22 . FNMA BC4899 3.5% 04/01/46 2016-06-07 2021-06-25 153 161 -8 -8 . FNMA BP3773 2% 02/01/36 2021-02-18 2021-06-25 3987 4157 -170 -170 . FNMA CA3804 2.5% 07/01/49 2021-02-26 2021-06-25 9228 9633 -405 -405 . FNMA FM2014 3% 11/01/49 2021-03-05 2021-06-25 4788 5151 -363 -363 . FNMA FM5937 4% 01/01/49 2021-03-05 2021-06-25 6338 6927 -589 -589 . FNMA AA0835 5% 01/01/39 2009-07-29 2021-06-25 221 226 -5 -5 . FNMA AB1693 4% 11/01/40 2011-03-01 2021-06-25 9981 9808 173 173 . FNMA AB3678 3.5% 10/01/41 2011-10-26 2021-06-25 664 675 -11 -11 . FNMA MA1213 3.5% 10/01/42 2014-02-28 2021-06-25 882 882 . FNMA MA1546 3.5% 08/01/43 2014-03-19 2021-06-25 2091 2076 15 15 . FNMA MA2369 4% 08/01/45 2016-04-05 2021-06-25 6143 6658 -515 -515 . JPM MTG TR 2004-A1 2004-A1 CL 1A1 VAR RT 02/25/2034 DTD 02/01/2004 2021-06-25 67 66 1 1 . MERRILL LYNCH MTG INVESTORS TR SER 2003-A5 2003-A5 CL 2A6 VAR RT 2015-12-08 2021-06-25 1430 1421 9 9 33000. PPL CAP FDG INC NON-TRADEABLE ASSET 2017-04-07 2021-06-30 34413 33870 543 543 40000. PPL CAP FDG INC 4.125% 04/15/2030 DTD 04/03/2020 2020-10-08 2021-06-30 46671 47156 -485 -485 . GS MTG SECURITIES TR 2017-GS5 2017-GS5 CL A2 3.218% 03/10/2050 DTD 2018-01-23 2021-07-12 1802 1829 -27 -27 25057.699 FIDELITY 500 INDEX FUND 2018-11-02 2021-07-13 3800000 2387197 1412803 1412803 13044.613 JPM SMALL CAP EQTY FD - USD - R6 ISIN US48127B8625 2021-07-13 1000000 445308 554692 554692 . FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2021-07-15 181 190 -9 -9 . FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2021-07-15 55 62 -7 -7 . FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2021-07-15 214 225 -11 -11 . FHLMC GOLD G16394 3.5% 08/01/32 2020-10-01 2021-07-15 12633 13561 -928 -928 . FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2021-07-15 1840 1902 -62 -62 . FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2021-07-15 26 25 1 1 . FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2021-07-15 1249 1244 5 5 . FREDDIE MAC 2005-01-19 2021-07-15 31 32 -1 -1 . FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2021-07-15 372 404 -32 -32 . FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2021-07-15 221 233 -12 -12 . FHLMC GOLD U93118 3.5% 02/01/46 2016-06-07 2021-07-15 434 459 -25 -25 . FHLMC 2338 CL ZC 6.5% 07/15/2031 DTD 07/01/2001 2011-04-19 2021-07-15 370 414 -44 -44 . FHLMC 1611 CL Z 6.5% 11/15/2023 DTD 11/01/1993 2013-08-19 2021-07-15 823 926 -103 -103 . FHLMC 1974 CL ZA 7.0% 07/15/2027 DTD 07/01/1997 2011-04-25 2021-07-15 310 351 -41 -41 . FHLMC 2122 CL ZE 6.0% 02/15/2029 DTD 02/01/1999 2013-01-30 2021-07-15 514 587 -73 -73 . FHLMC 2310 CL Z 6.0% 04/15/2031 DTD 04/01/2001 2013-09-19 2021-07-15 421 463 -42 -42 . FHLMC 2355 CL AE 6.0% 09/15/2031 DTD 09/01/2001 2017-01-27 2021-07-15 247 273 -26 -26 . FHLMC 3854 CL EW 4.0% 05/15/2026 DTD 05/01/2011 2012-01-06 2021-07-15 2786 2995 -209 -209 . FHLMC 3939 CL BZ 4.5% 06/15/2041 DTD 10/01/2011 2018-05-16 2021-07-15 8313 8608 -295 -295 . FHLMC 4616 CL HP 3.0% 09/15/2046 DTD 09/01/2016 2018-03-27 2021-07-15 5829 5691 138 138 . FHLMC 3735 CL KL 3.5% 10/15/2025 DTD 10/01/2010 2018-01-23 2021-07-15 1970 2010 -40 -40 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2021-07-15 173 135 38 38 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2011-04-19 2021-07-15 56 -56 -56 . FHLMC 2021-07-15 148 161 -13 -13 . FHLMC 2590 CL OA 4.0% 03/15/2033 DTD 03/01/2003 2011-04-13 2021-07-15 1015 1042 -27 -27 . FHLMC 2598 CL QE 5.5% 04/15/2033 DTD 04/01/2003 2021-07-15 1403 1568 -165 -165 . FHLMC 2696 CL DG 5.5% 10/15/2033 DTD 10/01/2003 2021-07-15 1988 2217 -229 -229 . FHLMC 2949 CL PB 5.5% 03/15/2035 DTD 03/01/2005 2012-11-07 2021-07-15 2297 2757 -460 -460 . FREDDIE MAC 2005-09-15 2021-07-15 85 88 -3 -3 . FHLMC 3027 CL DE 5.0% 09/15/2025 DTD 09/01/2005 2021-07-15 1440 1544 -104 -104 . FHLMC 3508 CL PK 4.0% 02/15/2039 DTD 02/01/2009 2011-04-27 2021-07-15 4 4 . FHLMC 3548 CL ZE 5.5% 12/15/2032 DTD 07/01/2009 2018-11-16 2021-07-15 2367 2539 -172 -172 . FHLMC 3684 CL CY 4.5% 06/15/2025 DTD 06/01/2010 2015-05-05 2021-07-15 4517 5087 -570 -570 . FHLMC 3653 CL B 4.5% 04/15/2030 DTD 04/01/2010 2011-12-29 2021-07-15 2143 2333 -190 -190 . FHLMC 3631 CL PA 4.0% 02/15/2040 DTD 02/01/2010 2011-04-26 2021-07-15 842 867 -25 -25 . GNMA 737022 4.5% 02/15/40 2010-05-13 2021-07-15 3689 3781 -92 -92 . GNMA POOL NO 550851 2001-10-17 2021-07-15 404 421 -17 -17 . GNMA 550750 5.5% 12/15/35 2013-07-23 2021-07-15 140 153 -13 -13 . GNMA 658181 5.5% 11/15/36 2011-01-26 2021-07-15 1587 1724 -137 -137 . GNMA 701738 5% 03/15/39 2009-07-29 2021-07-15 778 795 -17 -17 . GNMA 2003-26 CL MB 2021-07-16 466 505 -39 -39 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-02-18 2021-07-16 2507 1117 1390 1390 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-07-16 1674 -1674 -1674 . GNMA 2009-84 CL C 4.0% 09/16/2024 DTD 09/01/2009 2013-06-18 2021-07-16 2179 2339 -160 -160 . GNMA 2010-146 CL HB 3.75% 11/16/2040 DTD 11/01/2010 2018-02-16 2021-07-16 4457 4435 22 22 . HONDA AUTO RECEIVABLES OWNER TR 2018-2 CL A3 3.01% 05/18/2022 DTD 2018-05-22 2021-07-19 9619 9619 . UBS COML MTG TR 2018-C10 2018-C10 CL A1 3.1847% 05/15/2051 DTD 05/01 2018-05-23 2021-07-19 3047 3047 . GNMA II POOL 004697 5.0% 05/20/2040 DTD 05/01/2010 2010-05-13 2021-07-20 1090 1145 -55 -55 . GNMA 2003-26 CL MB 2021-07-20 2737 3040 -303 -303 . GNMA 2003-19 CL DH 5.0% 03/20/2033 DTD 03/01/2003 2011-04-26 2021-07-20 1387 1468 -81 -81 . GNMA 2003-62 CL HE 5.0% 07/20/2033 DTD 07/01/2003 2021-07-20 1159 1298 -139 -139 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2021-02-18 2021-07-20 5142 1284 3858 3858 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2017-12-06 2021-07-20 4545 -4545 -4545 . GNMA 2003-75 CL ZA 5.5% 09/20/2033 DTD 09/01/2003 2011-04-26 2021-07-20 1155 1252 -97 -97 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-02-18 2021-07-20 2631 801 1830 1830 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-07-20 2129 -2129 -2129 . GNMA 2004-37 CL PE 5.5% 05/20/2034 DTD 05/01/2004 2021-07-20 3166 3720 -554 -554 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-07-20 2667 1970 697 697 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-07-20 1048 -1048 -1048 . GNMA 2008-83 CL ND 5.5% 09/20/2038 DTD 09/01/2008 2021-07-20 621 725 -104 -104 . GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2021-07-20 2758 3143 -385 -385 . GNMA 2015-79 CL QP 3.0% 11/20/2044 DTD 05/01/2015 2019-12-06 2021-07-20 6579 6738 -159 -159 . GNMA 2008-63 CL PE 5.5% 07/20/2038 DTD 07/01/2008 2021-07-20 1347 1504 -157 -157 . GNMA 2019-31 CL UA 3.0% 06/20/2047 DTD 03/01/2019 2020-09-28 2021-07-20 22915 23589 -674 -674 465000. WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2019-A 2019-A CL 2020-10-27 2021-07-20 69644 70634 -990 -990 28754. ISHARES US TREASURY BOND ETF 2021-04-19 2021-07-22 772041 758531 13510 13510 8552. ISHARES US TREASURY BOND ETF 2021-04-19 2021-07-22 229694 225602 4092 4092 . CHL MTG PASS-THROUGH TR 2003-56 2003-56 CL 4A1 VAR RT 12/25/2033 DTD 2014-02-25 2021-07-26 54 54 . FHLMC POOL POOL ZT1361 3.0% 05/01/2047 DTD 11/01/2018 2021-03-05 2021-07-26 6128 6593 -465 -465 . FNMA 2011-99 CL DB 5.0% 10/25/2041 DTD 09/01/2011 2012-07-05 2021-07-26 1974 2251 -277 -277 . FNMA 2012-52 CL NY 3.5% 05/25/2042 DTD 04/01/2012 2017-12-05 2021-07-26 17713 17747 -34 -34 . FNMA 2013-M9 CL A2 VAR RT 01/25/2023 DTD 06/01/2013 2016-01-21 2021-07-26 477 477 . FNMA 2014-2 CL PX 4.5% 01/25/2041 DTD 01/01/2014 2018-11-06 2021-07-26 4949 5100 -151 -151 . FNMA 2014-M8 CL A2 VAR RT 06/25/2024 DTD 07/01/2014 2014-12-30 2021-07-26 315 324 -9 -9 . FNMA 2014-73 CL PJ 3.0% 12/25/2043 DTD 10/01/2014 2016-12-09 2021-07-26 2272 2277 -5 -5 . FNMA 2016-9 CL D 3.0% 03/25/2046 DTD 02/01/2016 2017-07-28 2021-07-26 6333 6362 -29 -29 . FNMA 256749 6% 06/01/37 2008-09-30 2021-07-26 473 480 -7 -7 . FHLMC STRUCTURED PASS-THROUGH CERTIFICATES FRESR 2017-SR01 2017-12-06 2021-07-26 5695 5751 -56 -56 . FHLMC KJ18 CL A2 3.065% 08/25/2022 DTD 12/01/2017 2017-12-19 2021-07-26 170 173 -3 -3 . FNMA 469130 4.87% 10/01/41 2016-12-20 2021-07-26 345 376 -31 -31 . FNMA 555424 5.5% 05/01/33 2010-09-17 2021-07-26 2038 2195 -157 -157 . FNMA AH5823 4.5% 02/01/41 2011-02-17 2021-07-26 5523 5605 -82 -82 . FNMA AL2602 VAR RATE 10/01/22 2014-10-28 2021-07-26 233 235 -2 -2 . FNMA AL2965 VAR RATE 12/01/22 2014-06-11 2021-07-26 94 93 1 1 . FNMA AL3876 VAR RATE 06/01/23 2013-12-18 2021-07-26 3135 3016 119 119 . FNMA AL5263 4% 02/01/29 2020-04-02 2021-07-26 5829 6152 -323 -323 . FNMA AM3301 2.35% 05/01/23 2014-01-28 2021-07-26 313 293 20 20 . FNMA AM8970 2.87% 05/01/30 2016-01-27 2021-07-26 355 347 8 8 . FNMA AN2497 2.6% 09/01/28 2017-02-06 2021-07-26 649 620 29 29 . FNMA AU6278 5% 11/01/43 2014-10-28 2021-07-26 10158 11298 -1140 -1140 . FNMA 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2021-07-26 278 311 -33 -33 . FNMA 2003-33 CL AM 4.25% 05/25/2033 DTD 04/01/2003 2011-04-15 2021-07-26 1098 1128 -30 -30 . FNMA 2003-42 CL JH 5.5% 05/25/2033 DTD 04/01/2003 2011-04-20 2021-07-26 80 86 -6 -6 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2021-02-18 2021-07-26 2433 178 2255 2255 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2016-12-09 2021-07-26 2477 -2477 -2477 . FNMA 2004-60 CL LB 5.0% 04/25/2034 DTD 07/01/2004 2011-04-19 2021-07-26 596 636 -40 -40 . FNMA 2005-48 CL AU 5.5% 06/25/2035 DTD 05/01/2005 2015-03-02 2021-07-26 2387 2851 -464 -464 . FNMA 2005-73 CL EZ 5.5% 08/25/2035 DTD 07/01/2005 2016-12-09 2021-07-26 7164 7340 -176 -176 . FNMA 2006-9 CL DG 5.5% 03/25/2036 DTD 02/01/2006 2021-07-26 1158 1310 -152 -152 . FNMA 2006-102 CL A 6.5% 10/25/2036 DTD 09/01/2006 2011-04-07 2021-07-26 93 103 -10 -10 . FNMA 2007-22 CL A 5.5% 03/25/2037 DTD 02/01/2007 2012-12-04 2021-07-26 218 244 -26 -26 . FNMA 2009-33 CL FB VAR RT 03/25/2037 DTD 04/25/2009 2013-03-01 2021-07-26 439 445 -6 -6 . FNMA 2011-52 CL KB 5.5% 06/25/2041 DTD 05/01/2011 2014-03-20 2021-07-26 1486 1642 -156 -156 . FNMA 2010-123 CL KU 4.5% 11/25/2040 DTD 10/01/2010 2018-03-26 2021-07-26 10215 10716 -501 -501 . FNMA 2010-38 CL KC 4.5% 04/25/2040 DTD 03/01/2010 2018-02-15 2021-07-26 2826 2982 -156 -156 . FNMA 2010-64 CL DM 5.0% 06/25/2040 DTD 05/01/2010 2011-04-13 2021-07-26 931 983 -52 -52 . FNMA 776289 5% 05/01/34 2013-04-04 2021-07-26 243 268 -25 -25 . FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2021-07-26 27 29 -2 -2 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-07-26 1828 1918 -90 -90 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-07-26 12 13 -1 -1 . FNMA BC0100 3.5% 12/01/45 2016-06-07 2021-07-26 72 77 -5 -5 . FNMA BC3492 3.5% 02/01/46 2016-04-05 2021-07-26 463 487 -24 -24 . FNMA BC4899 3.5% 04/01/46 2016-06-07 2021-07-26 153 162 -9 -9 . FNMA BP3773 2% 02/01/36 2021-02-18 2021-07-26 2229 2324 -95 -95 . FNMA CA3804 2.5% 07/01/49 2021-02-26 2021-07-26 15824 16519 -695 -695 . FNMA FM2014 3% 11/01/49 2021-03-05 2021-07-26 6969 7497 -528 -528 . FNMA FM5937 4% 01/01/49 2021-03-05 2021-07-26 10305 11263 -958 -958 . FNMA AA0835 5% 01/01/39 2009-07-29 2021-07-26 181 185 -4 -4 . FNMA AB1693 4% 11/01/40 2011-03-01 2021-07-26 396 389 7 7 . FNMA AB3678 3.5% 10/01/41 2011-10-26 2021-07-26 2252 2289 -37 -37 . FNMA MA1213 3.5% 10/01/42 2014-02-28 2021-07-26 1255 1255 . FNMA MA1546 3.5% 08/01/43 2014-03-19 2021-07-26 1576 1565 11 11 . FNMA MA2369 4% 08/01/45 2016-04-05 2021-07-26 220 239 -19 -19 . JPM MTG TR 2004-A1 2004-A1 CL 1A1 VAR RT 02/25/2034 DTD 02/01/2004 2021-07-26 6542 6401 141 141 . MERRILL LYNCH MTG INVESTORS TR SER 2003-A5 2003-A5 CL 2A6 VAR RT 2015-12-08 2021-07-26 1006 1000 6 6 75000. BOEING CO SR NTS 4.508% 05/01/2023 DTD 2020-10-13 2021-08-03 79648 79523 125 125 . GS MTG SECURITIES TR 2017-GS5 2017-GS5 CL A2 3.218% 03/10/2050 DTD 2018-01-23 2021-08-12 1675 1700 -25 -25 . FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2021-08-16 437 457 -20 -20 . FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2021-08-16 165 184 -19 -19 . FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2021-08-16 54 57 -3 -3 . FHLMC GOLD G16394 3.5% 08/01/32 2020-10-01 2021-08-16 9422 10114 -692 -692 . FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2021-08-16 1006 1041 -35 -35 . FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2021-08-16 77 77 . FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2021-08-16 848 845 3 3 . FREDDIE MAC 2005-01-19 2021-08-16 31 32 -1 -1 . FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2021-08-16 357 387 -30 -30 . FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2021-08-16 8691 9137 -446 -446 . FHLMC GOLD U93118 3.5% 02/01/46 2016-06-07 2021-08-16 44732 47237 -2505 -2505 . FHLMC 2338 CL ZC 6.5% 07/15/2031 DTD 07/01/2001 2011-04-19 2021-08-16 547 611 -64 -64 . FHLMC 1611 CL Z 6.5% 11/15/2023 DTD 11/01/1993 2013-08-19 2021-08-16 729 820 -91 -91 . FHLMC 1974 CL ZA 7.0% 07/15/2027 DTD 07/01/1997 2011-04-25 2021-08-16 256 290 -34 -34 . FHLMC 2122 CL ZE 6.0% 02/15/2029 DTD 02/01/1999 2013-01-30 2021-08-16 655 749 -94 -94 . FHLMC 2310 CL Z 6.0% 04/15/2031 DTD 04/01/2001 2013-09-19 2021-08-16 392 432 -40 -40 . FHLMC 2355 CL AE 6.0% 09/15/2031 DTD 09/01/2001 2017-01-27 2021-08-16 12095 13380 -1285 -1285 . FHLMC 3854 CL EW 4.0% 05/15/2026 DTD 05/01/2011 2012-01-06 2021-08-16 3406 3662 -256 -256 . FHLMC 3939 CL BZ 4.5% 06/15/2041 DTD 10/01/2011 2018-05-16 2021-08-16 10070 10427 -357 -357 . FHLMC 4616 CL HP 3.0% 09/15/2046 DTD 09/01/2016 2018-03-27 2021-08-16 4400 4296 104 104 . FHLMC 3735 CL KL 3.5% 10/15/2025 DTD 10/01/2010 2018-01-23 2021-08-16 3079 3143 -64 -64 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2021-08-16 466 365 101 101 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2011-04-19 2021-08-16 151 -151 -151 . FHLMC 2021-08-16 195 212 -17 -17 . FHLMC 2590 CL OA 4.0% 03/15/2033 DTD 03/01/2003 2011-04-13 2021-08-16 1105 1135 -30 -30 . FHLMC 2598 CL QE 5.5% 04/15/2033 DTD 04/01/2003 2021-08-16 933 1043 -110 -110 . FHLMC 2696 CL DG 5.5% 10/15/2033 DTD 10/01/2003 2021-08-16 3363 3750 -387 -387 . FHLMC 2949 CL PB 5.5% 03/15/2035 DTD 03/01/2005 2012-11-07 2021-08-16 2254 2705 -451 -451 . FREDDIE MAC 2005-09-15 2021-08-16 87 90 -3 -3 . FHLMC 3027 CL DE 5.0% 09/15/2025 DTD 09/01/2005 2021-08-16 1207 1294 -87 -87 . FHLMC 3508 CL PK 4.0% 02/15/2039 DTD 02/01/2009 2011-04-27 2021-08-16 4 4 . FHLMC 3548 CL ZE 5.5% 12/15/2032 DTD 07/01/2009 2018-11-16 2021-08-16 1868 2005 -137 -137 . FHLMC 3684 CL CY 4.5% 06/15/2025 DTD 06/01/2010 2015-05-05 2021-08-16 5214 5873 -659 -659 . FHLMC 3653 CL B 4.5% 04/15/2030 DTD 04/01/2010 2011-12-29 2021-08-16 1395 1519 -124 -124 . FHLMC 3631 CL PA 4.0% 02/15/2040 DTD 02/01/2010 2011-04-26 2021-08-16 857 882 -25 -25 . GNMA 737022 4.5% 02/15/40 2010-05-13 2021-08-16 2012 2063 -51 -51 . GNMA POOL NO 550851 2001-10-17 2021-08-16 756 787 -31 -31 . GNMA 550750 5.5% 12/15/35 2013-07-23 2021-08-16 140 153 -13 -13 . GNMA 658181 5.5% 11/15/36 2011-01-26 2021-08-16 103 112 -9 -9 . GNMA 701738 5% 03/15/39 2009-07-29 2021-08-16 83 85 -2 -2 . GNMA 2003-26 CL MB 2021-08-16 631 682 -51 -51 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-02-18 2021-08-16 2298 1024 1274 1274 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-08-16 1535 -1535 -1535 . GNMA 2009-84 CL C 4.0% 09/16/2024 DTD 09/01/2009 2013-06-18 2021-08-16 1906 2046 -140 -140 . GNMA 2010-146 CL HB 3.75% 11/16/2040 DTD 11/01/2010 2018-02-16 2021-08-16 623 619 4 4 . UBS COML MTG TR 2018-C10 2018-C10 CL A1 3.1847% 05/15/2051 DTD 05/01 2018-05-23 2021-08-17 2742 2742 221000. HONDA AUTO RECEIVABLES OWNER TR 2018-2 CL A3 3.01% 05/18/2022 2018-05-22 2021-08-18 2957 2956 1 1 223. HONEYWELL INTL INC 2009-12-16 2021-08-19 50620 8702 41918 41918 . INTUITIVE SURGICAL INC NEW 2021-08-19 124 124 124 575. RAYTHEON TECHNOLOGIES CORP 2021-08-19 48006 43854 4152 4152 36. STANLEY BLACK & DECKER,INC. 2020-10-05 2021-08-19 6817 6099 718 718 . GNMA II POOL 004697 5.0% 05/20/2040 DTD 05/01/2010 2010-05-13 2021-08-20 1032 1085 -53 -53 . GNMA 2003-26 CL MB 2021-08-20 3136 3482 -346 -346 . GNMA 2003-19 CL DH 5.0% 03/20/2033 DTD 03/01/2003 2011-04-26 2021-08-20 1195 1265 -70 -70 . GNMA 2003-62 CL HE 5.0% 07/20/2033 DTD 07/01/2003 2021-08-20 1009 1130 -121 -121 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2021-02-18 2021-08-20 5786 1445 4341 4341 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2017-12-06 2021-08-20 5114 -5114 -5114 . GNMA 2003-75 CL ZA 5.5% 09/20/2033 DTD 09/01/2003 2011-04-26 2021-08-20 1145 1241 -96 -96 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-02-18 2021-08-20 2578 785 1793 1793 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-08-20 2086 -2086 -2086 . GNMA 2004-37 CL PE 5.5% 05/20/2034 DTD 05/01/2004 2021-08-20 2238 2631 -393 -393 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-08-20 2558 1888 670 670 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-08-20 1005 -1005 -1005 . GNMA 2008-83 CL ND 5.5% 09/20/2038 DTD 09/01/2008 2021-08-20 626 731 -105 -105 . GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2021-08-20 2276 2594 -318 -318 . GNMA 2015-79 CL QP 3.0% 11/20/2044 DTD 05/01/2015 2019-12-06 2021-08-20 4747 4861 -114 -114 . GNMA 2008-63 CL PE 5.5% 07/20/2038 DTD 07/01/2008 2021-08-20 1591 1776 -185 -185 . GNMA 2019-31 CL UA 3.0% 06/20/2047 DTD 03/01/2019 2020-09-28 2021-08-20 9435 9713 -278 -278 11. STANLEY BLACK & DECKER,INC. 2021-08-20 2090 1864 226 226 95. STANLEY BLACK & DECKER,INC. 2021-08-20 18060 16090 1970 1970 12. STANLEY BLACK & DECKER,INC. 2021-08-20 2281 1285 996 996 4. STANLEY BLACK & DECKER,INC. 2015-11-11 2021-08-20 756 428 328 328 63. STANLEY BLACK & DECKER,INC. 2021-08-23 12018 6724 5294 5294 48. STANLEY BLACK & DECKER,INC. 2021-08-24 9211 5105 4106 4106 . CHL MTG PASS-THROUGH TR 2003-56 2003-56 CL 4A1 VAR RT 12/25/2033 DTD 2014-02-25 2021-08-25 54 54 . FHLMC POOL POOL ZT1361 3.0% 05/01/2047 DTD 11/01/2018 2021-03-05 2021-08-25 6813 7330 -517 -517 . FNMA 2011-99 CL DB 5.0% 10/25/2041 DTD 09/01/2011 2012-07-05 2021-08-25 1601 1825 -224 -224 . FNMA 2012-52 CL NY 3.5% 05/25/2042 DTD 04/01/2012 2017-12-05 2021-08-25 12844 12868 -24 -24 . FNMA 2013-M9 CL A2 VAR RT 01/25/2023 DTD 06/01/2013 2016-01-21 2021-08-25 1930 1930 . FNMA 2014-2 CL PX 4.5% 01/25/2041 DTD 01/01/2014 2018-11-06 2021-08-25 2044 2106 -62 -62 . FNMA 2014-M8 CL A2 VAR RT 06/25/2024 DTD 07/01/2014 2014-12-30 2021-08-25 297 305 -8 -8 . FNMA 2014-73 CL PJ 3.0% 12/25/2043 DTD 10/01/2014 2016-12-09 2021-08-25 2048 2053 -5 -5 . FNMA 2016-9 CL D 3.0% 03/25/2046 DTD 02/01/2016 2017-07-28 2021-08-25 5320 5345 -25 -25 . FNMA GRANTOR TR 2017-T1 2017-T1 CL A 2.898% 06/25/2027 DTD 04/01/201 2017-04-19 2021-08-25 19 19 . FNMA 256749 6% 06/01/37 2008-09-30 2021-08-25 436 443 -7 -7 . FHLMC STRUCTURED PASS-THROUGH CERTIFICATES FRESR 2017-SR01 2017-12-06 2021-08-25 21916 22135 -219 -219 . FHLMC KJ18 CL A2 3.065% 08/25/2022 DTD 12/01/2017 2017-12-19 2021-08-25 154 157 -3 -3 . FNMA 469130 4.87% 10/01/41 2016-12-20 2021-08-25 318 347 -29 -29 . FNMA 555424 5.5% 05/01/33 2010-09-17 2021-08-25 1562 1682 -120 -120 . FNMA AH5823 4.5% 02/01/41 2011-02-17 2021-08-25 3773 3829 -56 -56 . FNMA AL2602 VAR RATE 10/01/22 2014-10-28 2021-08-25 222 225 -3 -3 . FNMA AL2965 VAR RATE 12/01/22 2014-06-11 2021-08-25 89 88 1 1 . FNMA AL3876 VAR RATE 06/01/23 2013-12-18 2021-08-25 21001 20203 798 798 . FNMA AL5263 4% 02/01/29 2020-04-02 2021-08-25 12052 12721 -669 -669 . FNMA AM3301 2.35% 05/01/23 2014-01-28 2021-08-25 302 283 19 19 . FNMA AM8970 2.87% 05/01/30 2016-01-27 2021-08-25 333 325 8 8 . FNMA AN2497 2.6% 09/01/28 2017-02-06 2021-08-25 605 577 28 28 . FNMA AU6278 5% 11/01/43 2014-10-28 2021-08-25 118 131 -13 -13 . FNMA 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2021-08-25 213 238 -25 -25 . FNMA 2003-33 CL AM 4.25% 05/25/2033 DTD 04/01/2003 2011-04-15 2021-08-25 1150 1182 -32 -32 . FNMA 2003-42 CL JH 5.5% 05/25/2033 DTD 04/01/2003 2011-04-20 2021-08-25 89 95 -6 -6 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2021-02-18 2021-08-25 2722 199 2523 2523 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2016-12-09 2021-08-25 2771 -2771 -2771 . FNMA 2004-60 CL LB 5.0% 04/25/2034 DTD 07/01/2004 2011-04-19 2021-08-25 585 624 -39 -39 . FNMA 2005-48 CL AU 5.5% 06/25/2035 DTD 05/01/2005 2015-03-02 2021-08-25 2327 2779 -452 -452 . FNMA 2005-73 CL EZ 5.5% 08/25/2035 DTD 07/01/2005 2016-12-09 2021-08-25 635 651 -16 -16 . FNMA 2006-9 CL DG 5.5% 03/25/2036 DTD 02/01/2006 2021-08-25 611 691 -80 -80 . FNMA 2006-102 CL A 6.5% 10/25/2036 DTD 09/01/2006 2011-04-07 2021-08-25 65 71 -6 -6 . FNMA 2007-22 CL A 5.5% 03/25/2037 DTD 02/01/2007 2012-12-04 2021-08-25 156 175 -19 -19 . FNMA 2009-33 CL FB VAR RT 03/25/2037 DTD 04/25/2009 2013-03-01 2021-08-25 276 280 -4 -4 . FNMA 2011-52 CL KB 5.5% 06/25/2041 DTD 05/01/2011 2014-03-20 2021-08-25 1837 2030 -193 -193 . FNMA 2010-123 CL KU 4.5% 11/25/2040 DTD 10/01/2010 2018-03-26 2021-08-25 8977 9417 -440 -440 . FNMA 2010-38 CL KC 4.5% 04/25/2040 DTD 03/01/2010 2018-02-15 2021-08-25 2824 2980 -156 -156 . FNMA 2010-64 CL DM 5.0% 06/25/2040 DTD 05/01/2010 2011-04-13 2021-08-25 909 960 -51 -51 . FNMA 776289 5% 05/01/34 2013-04-04 2021-08-25 246 271 -25 -25 . FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2021-08-25 28 29 -1 -1 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-08-25 104 109 -5 -5 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-08-25 852 907 -55 -55 . FNMA BC0100 3.5% 12/01/45 2016-06-07 2021-08-25 73 77 -4 -4 . FNMA BC3492 3.5% 02/01/46 2016-04-05 2021-08-25 17572 18486 -914 -914 . FNMA BC4899 3.5% 04/01/46 2016-06-07 2021-08-25 154 163 -9 -9 . FNMA BP3773 2% 02/01/36 2021-02-18 2021-08-25 7798 8129 -331 -331 . FNMA CA3804 2.5% 07/01/49 2021-02-26 2021-08-25 11435 11937 -502 -502 . FNMA FM2014 3% 11/01/49 2021-03-05 2021-08-25 9406 10119 -713 -713 . FNMA FM5937 4% 01/01/49 2021-03-05 2021-08-25 4699 5135 -436 -436 . FNMA AA0835 5% 01/01/39 2009-07-29 2021-08-25 31 31 . FNMA AB1693 4% 11/01/40 2011-03-01 2021-08-25 13291 13061 230 230 . FNMA AB3678 3.5% 10/01/41 2011-10-26 2021-08-25 1540 1565 -25 -25 . FNMA MA1213 3.5% 10/01/42 2014-02-28 2021-08-25 946 945 1 1 . FNMA MA1546 3.5% 08/01/43 2014-03-19 2021-08-25 1933 1919 14 14 . FNMA MA2369 4% 08/01/45 2016-04-05 2021-08-25 3538 3835 -297 -297 . JPM MTG TR 2004-A1 2004-A1 CL 1A1 VAR RT 02/25/2034 DTD 02/01/2004 2021-08-25 27 26 1 1 . MERRILL LYNCH MTG INVESTORS TR SER 2003-A5 2003-A5 CL 2A6 VAR RT 2015-12-08 2021-08-25 166 165 1 1 . WELLS FARGO & CO NEW 2021-09-03 35 35 35 . CASH RECEIPT SECURITIES LITIGATION 2021-09-07 940 940 940 734. FISERV INC 2021-09-09 84765 73241 11524 11524 57. LAM RESEARCH CORPORATION COMMON 2020-12-17 2021-09-09 33694 27691 6003 6003 52. UNION PAC CORP 2021-09-09 10948 6943 4005 4005 78. UNION PAC CORP 2018-02-22 2021-09-09 16405 10409 5996 5996 274. UNION PAC CORP 2021-09-09 57427 29989 27438 27438 515. UNION PAC CORP 2021-09-09 108172 49933 58239 58239 76. UNION PAC CORP 2015-09-29 2021-09-09 15978 6556 9422 9422 43. ASML HOLDING NV-NY REG SHS 2021-09-09 36737 12583 24154 24154 750000. US TREAS 1.875% 11/30/21 2021-09-10 752988 748584 4404 4404 . GS MTG SECURITIES TR 2017-GS5 2017-GS5 CL A2 3.218% 03/10/2050 DTD 2018-01-23 2021-09-13 1681 1706 -25 -25 . FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2021-09-15 248 260 -12 -12 . FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2021-09-15 107 119 -12 -12 . FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2021-09-15 60 63 -3 -3 . FHLMC GOLD G16394 3.5% 08/01/32 2020-10-01 2021-09-15 12328 13234 -906 -906 . FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2021-09-15 1621 1676 -55 -55 . FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2021-09-15 34 34 . FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2021-09-15 1328 1324 4 4 . FREDDIE MAC 2005-01-19 2021-09-15 32 33 -1 -1 . FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2021-09-15 356 386 -30 -30 . FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2021-09-15 180 190 -10 -10 . FHLMC GOLD U93118 3.5% 02/01/46 2016-06-07 2021-09-15 377 398 -21 -21 . FHLMC 2338 CL ZC 6.5% 07/15/2031 DTD 07/01/2001 2011-04-19 2021-09-15 803 897 -94 -94 . FHLMC 1611 CL Z 6.5% 11/15/2023 DTD 11/01/1993 2013-08-19 2021-09-15 814 916 -102 -102 . FHLMC 1974 CL ZA 7.0% 07/15/2027 DTD 07/01/1997 2011-04-25 2021-09-15 326 369 -43 -43 . FHLMC 2122 CL ZE 6.0% 02/15/2029 DTD 02/01/1999 2013-01-30 2021-09-15 433 495 -62 -62 . FHLMC 2310 CL Z 6.0% 04/15/2031 DTD 04/01/2001 2013-09-19 2021-09-15 396 436 -40 -40 . FHLMC 2355 CL AE 6.0% 09/15/2031 DTD 09/01/2001 2017-01-27 2021-09-15 176 195 -19 -19 . FHLMC 3854 CL EW 4.0% 05/15/2026 DTD 05/01/2011 2012-01-06 2021-09-15 1819 1955 -136 -136 . FHLMC 3939 CL BZ 4.5% 06/15/2041 DTD 10/01/2011 2018-05-16 2021-09-15 478 495 -17 -17 . FHLMC 4616 CL HP 3.0% 09/15/2046 DTD 09/01/2016 2018-03-27 2021-09-15 4731 4618 113 113 . FHLMC 3735 CL KL 3.5% 10/15/2025 DTD 10/01/2010 2018-01-23 2021-09-15 2011 2052 -41 -41 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2021-09-15 293 229 64 64 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2011-04-19 2021-09-15 95 -95 -95 . FHLMC 2021-09-15 81 88 -7 -7 . FHLMC 2590 CL OA 4.0% 03/15/2033 DTD 03/01/2003 2011-04-13 2021-09-15 840 863 -23 -23 . FHLMC 2598 CL QE 5.5% 04/15/2033 DTD 04/01/2003 2021-09-15 720 804 -84 -84 . FHLMC 2696 CL DG 5.5% 10/15/2033 DTD 10/01/2003 2021-09-15 1236 1378 -142 -142 . FHLMC 2949 CL PB 5.5% 03/15/2035 DTD 03/01/2005 2012-11-07 2021-09-15 2212 2654 -442 -442 . FREDDIE MAC 2005-09-15 2021-09-15 85 88 -3 -3 . FHLMC 3027 CL DE 5.0% 09/15/2025 DTD 09/01/2005 2021-09-15 1407 1508 -101 -101 . FHLMC 3508 CL PK 4.0% 02/15/2039 DTD 02/01/2009 2011-04-27 2021-09-15 4 4 . FHLMC 3548 CL ZE 5.5% 12/15/2032 DTD 07/01/2009 2018-11-16 2021-09-15 4801 5150 -349 -349 . FHLMC 3684 CL CY 4.5% 06/15/2025 DTD 06/01/2010 2015-05-05 2021-09-15 4215 4747 -532 -532 . FHLMC 3653 CL B 4.5% 04/15/2030 DTD 04/01/2010 2011-12-29 2021-09-15 804 875 -71 -71 . FHLMC 3631 CL PA 4.0% 02/15/2040 DTD 02/01/2010 2011-04-26 2021-09-15 395 407 -12 -12 . GNMA 737022 4.5% 02/15/40 2010-05-13 2021-09-15 2222 2278 -56 -56 . GNMA POOL NO 550851 2001-10-17 2021-09-15 89 93 -4 -4 . GNMA 550750 5.5% 12/15/35 2013-07-23 2021-09-15 141 154 -13 -13 . GNMA 658181 5.5% 11/15/36 2011-01-26 2021-09-15 33 36 -3 -3 . GNMA 701738 5% 03/15/39 2009-07-29 2021-09-15 439 449 -10 -10 165. LILLY ELI & CO 2021-09-15 38654 23967 14687 14687 30. RAYTHEON TECHNOLOGIES CORP 2020-11-24 2021-09-15 2533 2230 303 303 561. RAYTHEON TECHNOLOGIES CORP 2021-09-15 47477 41608 5869 5869 . SANTANDER DRIVE AUTO RECEIVABLES TR 2020-3 2020-3 CL A3 0.52% 07/15/ 2020-09-25 2021-09-15 45086 45176 -90 -90 300000. SYNCHRONY CARD ISSUANCE TR 2018-A1 CL A 3.38% 09/15/2024 DTD 0 2018-09-19 2021-09-15 300000 299991 9 9 64. VERTEX PHARMACEUTICALS INC 2021-09-15 12086 2615 9471 9471 252. VERTEX PHARMACEUTICALS INC 2021-09-15 47726 6849 40877 40877 26. VERTEX PHARMACEUTICALS INC 2011-11-29 2021-09-15 4927 705 4222 4222 . GNMA 2003-26 CL MB 2021-09-16 962 1041 -79 -79 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-02-18 2021-09-16 1500 668 832 832 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-09-16 1002 -1002 -1002 . GNMA 2009-84 CL C 4.0% 09/16/2024 DTD 09/01/2009 2013-06-18 2021-09-16 1943 2086 -143 -143 . GNMA 2010-146 CL HB 3.75% 11/16/2040 DTD 11/01/2010 2018-02-16 2021-09-16 6157 6127 30 30 675000. WORLD FINL NETWORK CR CARD MASTER TR 2018-B CL A 3.46% 07/15/2 2019-04-25 2021-09-17 675000 685942 -10942 -10942 . GNMA II POOL 004697 5.0% 05/20/2040 DTD 05/01/2010 2010-05-13 2021-09-20 878 922 -44 -44 . GNMA 2003-26 CL MB 2021-09-20 3092 3434 -342 -342 . GNMA 2003-19 CL DH 5.0% 03/20/2033 DTD 03/01/2003 2011-04-26 2021-09-20 987 1045 -58 -58 . GNMA 2003-62 CL HE 5.0% 07/20/2033 DTD 07/01/2003 2021-09-20 1438 1611 -173 -173 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2021-02-18 2021-09-20 5399 1349 4050 4050 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2017-12-06 2021-09-20 4771 -4771 -4771 . GNMA 2003-75 CL ZA 5.5% 09/20/2033 DTD 09/01/2003 2011-04-26 2021-09-20 1086 1177 -91 -91 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-02-18 2021-09-20 2772 844 1928 1928 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-09-20 2243 -2243 -2243 . GNMA 2004-37 CL PE 5.5% 05/20/2034 DTD 05/01/2004 2021-09-20 2273 2671 -398 -398 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-09-20 2442 1803 639 639 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-09-20 960 -960 -960 . GNMA 2008-83 CL ND 5.5% 09/20/2038 DTD 09/01/2008 2021-09-20 1025 1197 -172 -172 . GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2021-09-20 1975 2250 -275 -275 . GNMA 2015-79 CL QP 3.0% 11/20/2044 DTD 05/01/2015 2019-12-06 2021-09-20 4731 4845 -114 -114 . GNMA 2008-63 CL PE 5.5% 07/20/2038 DTD 07/01/2008 2021-09-20 1314 1467 -153 -153 . GNMA 2019-31 CL UA 3.0% 06/20/2047 DTD 03/01/2019 2020-09-28 2021-09-20 16818 17313 -495 -495 . UBS COML MTG TR 2018-C10 2018-C10 CL A1 3.1847% 05/15/2051 DTD 05/01 2018-05-23 2021-09-21 2755 2755 . CASH RECEIPT SECURITIES LITIGATION 2021-09-21 4 4 4 . LEHMAN BROS HLDGS INC 2021-09-23 20 20 20 . LEHMAN BROS HLDGS INC 2021-09-23 33 33 33 25000. MARATHON PETRLM CORP SR NTS 3.625% 09/15/2024 DTD 2017-02-24 2021-09-23 26843 24795 2048 2048 9000. MARATHON PETRLM CORP SR NTS 3.625% 09/15/2024 DTD 2017-02-24 2021-09-23 9658 8926 732 732 . CHL MTG PASS-THROUGH TR 2003-56 2003-56 CL 4A1 VAR RT 12/25/2033 DTD 2014-02-25 2021-09-27 55 54 1 1 . FHLMC POOL POOL ZT1361 3.0% 05/01/2047 DTD 11/01/2018 2021-03-05 2021-09-27 7484 8053 -569 -569 . FNMA 2011-99 CL DB 5.0% 10/25/2041 DTD 09/01/2011 2012-07-05 2021-09-27 1543 1759 -216 -216 . FNMA 2012-52 CL NY 3.5% 05/25/2042 DTD 04/01/2012 2017-12-05 2021-09-27 7156 7170 -14 -14 . FNMA 2013-M9 CL A2 VAR RT 01/25/2023 DTD 06/01/2013 2016-01-21 2021-09-27 157 157 . FNMA 2014-2 CL PX 4.5% 01/25/2041 DTD 01/01/2014 2018-11-06 2021-09-27 2785 2869 -84 -84 . FNMA 2014-M8 CL A2 VAR RT 06/25/2024 DTD 07/01/2014 2014-12-30 2021-09-27 4782 4909 -127 -127 . FNMA 2014-73 CL PJ 3.0% 12/25/2043 DTD 10/01/2014 2016-12-09 2021-09-27 2480 2486 -6 -6 . FNMA 2016-9 CL D 3.0% 03/25/2046 DTD 02/01/2016 2017-07-28 2021-09-27 5756 5783 -27 -27 . FNMA GRANTOR TR 2017-T1 2017-T1 CL A 2.898% 06/25/2027 DTD 04/01/201 2017-04-19 2021-09-27 73 73 . FNMA 256749 6% 06/01/37 2008-09-30 2021-09-27 254 258 -4 -4 . FHLMC STRUCTURED PASS-THROUGH CERTIFICATES FRESR 2017-SR01 2017-12-06 2021-09-27 12450 12574 -124 -124 . FHLMC KJ18 CL A2 3.065% 08/25/2022 DTD 12/01/2017 2017-12-19 2021-09-27 1555 1586 -31 -31 . FNMA 469130 4.87% 10/01/41 2016-12-20 2021-09-27 320 348 -28 -28 . FNMA 555424 5.5% 05/01/33 2010-09-17 2021-09-27 1906 2053 -147 -147 . FNMA AH5823 4.5% 02/01/41 2011-02-17 2021-09-27 4049 4109 -60 -60 . FNMA AL2602 VAR RATE 10/01/22 2014-10-28 2021-09-27 2232 2253 -21 -21 . FNMA AL2965 VAR RATE 12/01/22 2014-06-11 2021-09-27 89 88 1 1 . FNMA AL3876 VAR RATE 06/01/23 2013-12-18 2021-09-27 167 161 6 6 . FNMA AL5263 4% 02/01/29 2020-04-02 2021-09-27 10317 10889 -572 -572 . FNMA AM3301 2.35% 05/01/23 2014-01-28 2021-09-27 303 284 19 19 . FNMA AM8970 2.87% 05/01/30 2016-01-27 2021-09-27 334 326 8 8 . FNMA AN2497 2.6% 09/01/28 2017-02-06 2021-09-27 607 579 28 28 . FNMA AU6278 5% 11/01/43 2014-10-28 2021-09-27 6037 6714 -677 -677 . FNMA 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2021-09-27 534 596 -62 -62 . FNMA 2003-33 CL AM 4.25% 05/25/2033 DTD 04/01/2003 2011-04-15 2021-09-27 1734 1781 -47 -47 . FNMA 2003-42 CL JH 5.5% 05/25/2033 DTD 04/01/2003 2011-04-20 2021-09-27 82 88 -6 -6 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2021-02-18 2021-09-27 408 30 378 378 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2016-12-09 2021-09-27 416 -416 -416 . FNMA 2004-60 CL LB 5.0% 04/25/2034 DTD 07/01/2004 2011-04-19 2021-09-27 575 613 -38 -38 . FNMA 2005-48 CL AU 5.5% 06/25/2035 DTD 05/01/2005 2015-03-02 2021-09-27 2268 2709 -441 -441 . FNMA 2005-73 CL EZ 5.5% 08/25/2035 DTD 07/01/2005 2016-12-09 2021-09-27 423 433 -10 -10 . FNMA 2006-9 CL DG 5.5% 03/25/2036 DTD 02/01/2006 2021-09-27 1532 1734 -202 -202 . FNMA 2006-102 CL A 6.5% 10/25/2036 DTD 09/01/2006 2011-04-07 2021-09-27 99 109 -10 -10 . FNMA 2007-22 CL A 5.5% 03/25/2037 DTD 02/01/2007 2012-12-04 2021-09-27 131 147 -16 -16 . FNMA 2009-33 CL FB VAR RT 03/25/2037 DTD 04/25/2009 2013-03-01 2021-09-27 100 101 -1 -1 . FNMA 2011-52 CL KB 5.5% 06/25/2041 DTD 05/01/2011 2014-03-20 2021-09-27 1531 1692 -161 -161 . FNMA 2010-123 CL KU 4.5% 11/25/2040 DTD 10/01/2010 2018-03-26 2021-09-27 8525 8943 -418 -418 . FNMA 2010-38 CL KC 4.5% 04/25/2040 DTD 03/01/2010 2018-02-15 2021-09-27 7097 7487 -390 -390 . FNMA 2010-64 CL DM 5.0% 06/25/2040 DTD 05/01/2010 2011-04-13 2021-09-27 889 938 -49 -49 . FNMA 776289 5% 05/01/34 2013-04-04 2021-09-27 247 272 -25 -25 . FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2021-09-27 28 29 -1 -1 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-09-27 112 118 -6 -6 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-09-27 7 8 -1 -1 . FNMA BC0100 3.5% 12/01/45 2016-06-07 2021-09-27 73 77 -4 -4 . FNMA BC3492 3.5% 02/01/46 2016-04-05 2021-09-27 592 623 -31 -31 . FNMA BC4899 3.5% 04/01/46 2016-06-07 2021-09-27 242 256 -14 -14 . FNMA BP3773 2% 02/01/36 2021-02-18 2021-09-27 2202 2295 -93 -93 . FNMA CA3804 2.5% 07/01/49 2021-02-26 2021-09-27 9865 10298 -433 -433 . FNMA FM2014 3% 11/01/49 2021-03-05 2021-09-27 13182 14180 -998 -998 . FNMA FM5937 4% 01/01/49 2021-03-05 2021-09-27 6006 6564 -558 -558 . FNMA AA0835 5% 01/01/39 2009-07-29 2021-09-27 31 32 -1 -1 . FNMA AB1693 4% 11/01/40 2011-03-01 2021-09-27 350 344 6 6 . FNMA AB3678 3.5% 10/01/41 2011-10-26 2021-09-27 2187 2223 -36 -36 . FNMA MA1213 3.5% 10/01/42 2014-02-28 2021-09-27 660 660 . FNMA MA1546 3.5% 08/01/43 2014-03-19 2021-09-27 1624 1613 11 11 . FNMA MA2369 4% 08/01/45 2016-04-05 2021-09-27 6157 6673 -516 -516 . JPM MTG TR 2004-A1 2004-A1 CL 1A1 VAR RT 02/25/2034 DTD 02/01/2004 2021-09-27 26 26 . MERRILL LYNCH MTG INVESTORS TR SER 2003-A5 2003-A5 CL 2A6 VAR RT 2015-12-08 2021-09-27 153 152 1 1 11000. MARATHON PETRLM CORP SR NTS 3.625% 09/15/2024 DTD 2017-02-24 2021-10-01 11812 10910 902 902 404. FISERV INC 2021-10-12 42145 35497 6648 6648 176. MASTERCARD INC - CLASS A 2021-02-24 2021-10-12 60796 64485 -3689 -3689 247. PAYPAL HOLDINGS INC 2021-10-12 63145 27930 35215 35215 . GS MTG SECURITIES TR 2017-GS5 2017-GS5 CL A2 3.218% 03/10/2050 DTD 2018-01-23 2021-10-13 1820 1848 -28 -28 . FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2021-10-15 295 309 -14 -14 . FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2021-10-15 102 113 -11 -11 . FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2021-10-15 1045 1098 -53 -53 . FHLMC GOLD G16394 3.5% 08/01/32 2020-10-01 2021-10-15 13011 13967 -956 -956 . FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2021-10-15 1034 1069 -35 -35 . FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2021-10-15 39 39 . FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2021-10-15 1173 1169 4 4 . FREDDIE MAC 2005-01-19 2021-10-15 32 33 -1 -1 . FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2021-10-15 352 383 -31 -31 . FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2021-10-15 714 750 -36 -36 . FHLMC GOLD U93118 3.5% 02/01/46 2016-06-07 2021-10-15 378 399 -21 -21 . FHLMC 2338 CL ZC 6.5% 07/15/2031 DTD 07/01/2001 2011-04-19 2021-10-15 208 232 -24 -24 . FHLMC 1611 CL Z 6.5% 11/15/2023 DTD 11/01/1993 2013-08-19 2021-10-15 651 732 -81 -81 . FHLMC 1974 CL ZA 7.0% 07/15/2027 DTD 07/01/1997 2011-04-25 2021-10-15 256 290 -34 -34 . FHLMC 2122 CL ZE 6.0% 02/15/2029 DTD 02/01/1999 2013-01-30 2021-10-15 1084 1239 -155 -155 . FHLMC 2310 CL Z 6.0% 04/15/2031 DTD 04/01/2001 2013-09-19 2021-10-15 731 804 -73 -73 . FHLMC 2355 CL AE 6.0% 09/15/2031 DTD 09/01/2001 2017-01-27 2021-10-15 180 199 -19 -19 . FHLMC 3854 CL EW 4.0% 05/15/2026 DTD 05/01/2011 2012-01-06 2021-10-15 1857 1996 -139 -139 . FHLMC 3939 CL BZ 4.5% 06/15/2041 DTD 10/01/2011 2018-05-16 2021-10-15 492 510 -18 -18 . FHLMC 4616 CL HP 3.0% 09/15/2046 DTD 09/01/2016 2018-03-27 2021-10-15 4292 4191 101 101 . FHLMC 3735 CL KL 3.5% 10/15/2025 DTD 10/01/2010 2018-01-23 2021-10-15 3123 3187 -64 -64 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2021-10-15 1812 1420 392 392 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2011-04-19 2021-10-15 585 -585 -585 . FHLMC 2021-10-08 2021-10-15 210 -210 -210 . FHLMC 2021-10-15 604 439 165 165 . FHLMC 2590 CL OA 4.0% 03/15/2033 DTD 03/01/2003 2011-04-13 2021-10-15 708 727 -19 -19 . FHLMC 2598 CL QE 5.5% 04/15/2033 DTD 04/01/2003 2021-10-15 3185 3560 -375 -375 . FHLMC 2696 CL DG 5.5% 10/15/2033 DTD 10/01/2003 2021-10-15 702 783 -81 -81 . FHLMC 2949 CL PB 5.5% 03/15/2035 DTD 03/01/2005 2012-11-07 2021-10-15 2171 2605 -434 -434 . FREDDIE MAC 2005-09-15 2021-10-15 92 94 -2 -2 . FHLMC 3027 CL DE 5.0% 09/15/2025 DTD 09/01/2005 2021-10-15 1117 1197 -80 -80 . FHLMC 3508 CL PK 4.0% 02/15/2039 DTD 02/01/2009 2011-04-27 2021-10-15 4 4 . FHLMC 3548 CL ZE 5.5% 12/15/2032 DTD 07/01/2009 2018-11-16 2021-10-15 2743 2942 -199 -199 . FHLMC 3684 CL CY 4.5% 06/15/2025 DTD 06/01/2010 2015-05-05 2021-10-15 4227 4761 -534 -534 . FHLMC 3653 CL B 4.5% 04/15/2030 DTD 04/01/2010 2011-12-29 2021-10-15 2531 2756 -225 -225 . FHLMC 3631 CL PA 4.0% 02/15/2040 DTD 02/01/2010 2011-04-26 2021-10-15 470 484 -14 -14 . GNMA 737022 4.5% 02/15/40 2010-05-13 2021-10-15 3328 3412 -84 -84 . GNMA POOL NO 550851 2001-10-17 2021-10-15 90 94 -4 -4 . GNMA 550750 5.5% 12/15/35 2013-07-23 2021-10-15 142 155 -13 -13 . GNMA 658181 5.5% 11/15/36 2011-01-26 2021-10-15 807 876 -69 -69 . GNMA 701738 5% 03/15/39 2009-07-29 2021-10-15 81 83 -2 -2 . SANTANDER DRIVE AUTO RECEIVABLES TR 2020-3 2020-3 CL A3 0.52% 07/15/ 2020-09-25 2021-10-15 79980 80140 -160 -160 . GNMA 2003-26 CL MB 2021-10-18 587 635 -48 -48 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-02-18 2021-10-18 1604 715 889 889 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-10-18 1071 -1071 -1071 . GNMA 2009-84 CL C 4.0% 09/16/2024 DTD 09/01/2009 2013-06-18 2021-10-18 1476 1585 -109 -109 . GNMA 2010-146 CL HB 3.75% 11/16/2040 DTD 11/01/2010 2018-02-16 2021-10-18 8057 8016 41 41 . UBS COML MTG TR 2018-C10 2018-C10 CL A1 3.1847% 05/15/2051 DTD 05/01 2018-05-23 2021-10-18 3086 3086 . GNMA II POOL 004697 5.0% 05/20/2040 DTD 05/01/2010 2010-05-13 2021-10-20 894 940 -46 -46 . GNMA 2003-26 CL MB 2021-10-20 4977 5527 -550 -550 . GNMA 2003-19 CL DH 5.0% 03/20/2033 DTD 03/01/2003 2011-04-26 2021-10-20 1020 1080 -60 -60 . GNMA 2003-62 CL HE 5.0% 07/20/2033 DTD 07/01/2003 2021-10-20 1601 1794 -193 -193 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2021-02-18 2021-10-20 4095 1023 3072 3072 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2017-12-06 2021-10-20 3619 -3619 -3619 . GNMA 2003-75 CL ZA 5.5% 09/20/2033 DTD 09/01/2003 2011-04-26 2021-10-20 881 955 -74 -74 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-02-18 2021-10-20 1980 603 1377 1377 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-10-20 1602 -1602 -1602 . GNMA 2004-37 CL PE 5.5% 05/20/2034 DTD 05/01/2004 2021-10-20 2250 2644 -394 -394 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-10-20 2230 1646 584 584 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-10-20 876 -876 -876 . GNMA 2008-83 CL ND 5.5% 09/20/2038 DTD 09/01/2008 2021-10-20 1184 1382 -198 -198 . GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2021-10-20 966 1101 -135 -135 . GNMA 2015-79 CL QP 3.0% 11/20/2044 DTD 05/01/2015 2019-12-06 2021-10-20 4371 4477 -106 -106 . GNMA 2008-63 CL PE 5.5% 07/20/2038 DTD 07/01/2008 2021-10-20 1237 1381 -144 -144 . GNMA 2019-31 CL UA 3.0% 06/20/2047 DTD 03/01/2019 2020-09-28 2021-10-20 13853 14260 -407 -407 12. LAM RESEARCH CORPORATION COMMON 2020-12-17 2021-10-21 6464 5830 634 634 72. LAM RESEARCH CORPORATION COMMON 2021-10-21 38991 32436 6555 6555 45. LAM RESEARCH CORPORATION COMMON 2020-11-03 2021-10-21 24551 16611 7940 7940 180. LAM RESEARCH CORPORATION COMMON 2021-10-21 99254 66322 32932 32932 740. RAYTHEON TECHNOLOGIES CORP 2021-10-21 67413 54676 12737 12737 162. RAYTHEON TECHNOLOGIES CORP 2020-12-03 2021-10-21 14723 11874 2849 2849 86. RAYTHEON TECHNOLOGIES CORP 2020-12-03 2021-10-21 7831 6303 1528 1528 26. RAYTHEON TECHNOLOGIES CORP 2020-12-03 2021-10-21 2365 1906 459 459 645. RAYTHEON TECHNOLOGIES CORP 2021-10-21 58656 44101 14555 14555 . CHL MTG PASS-THROUGH TR 2003-56 2003-56 CL 4A1 VAR RT 12/25/2033 DTD 2014-02-25 2021-10-25 55 55 . FHLMC POOL POOL ZT1361 3.0% 05/01/2047 DTD 11/01/2018 2021-03-05 2021-10-25 4816 5182 -366 -366 . FNMA 2011-99 CL DB 5.0% 10/25/2041 DTD 09/01/2011 2012-07-05 2021-10-25 1262 1439 -177 -177 . FNMA 2012-52 CL NY 3.5% 05/25/2042 DTD 04/01/2012 2017-12-05 2021-10-25 4806 4815 -9 -9 . FNMA 2013-M9 CL A2 VAR RT 01/25/2023 DTD 06/01/2013 2016-01-21 2021-10-25 10097 10097 . FNMA 2014-2 CL PX 4.5% 01/25/2041 DTD 01/01/2014 2018-11-06 2021-10-25 1895 1953 -58 -58 . FNMA 2014-M8 CL A2 VAR RT 06/25/2024 DTD 07/01/2014 2014-12-30 2021-10-25 309 317 -8 -8 . FNMA 2014-73 CL PJ 3.0% 12/25/2043 DTD 10/01/2014 2016-12-09 2021-10-25 2044 2049 -5 -5 . FNMA 2016-9 CL D 3.0% 03/25/2046 DTD 02/01/2016 2017-07-28 2021-10-25 4533 4555 -22 -22 . FNMA 256749 6% 06/01/37 2008-09-30 2021-10-25 234 237 -3 -3 . FHLMC STRUCTURED PASS-THROUGH CERTIFICATES FRESR 2017-SR01 2017-12-06 2021-10-25 540 545 -5 -5 . FHLMC KJ18 CL A2 3.065% 08/25/2022 DTD 12/01/2017 2017-12-19 2021-10-25 2009 2049 -40 -40 . FNMA 469130 4.87% 10/01/41 2016-12-20 2021-10-25 350 381 -31 -31 . FNMA 555424 5.5% 05/01/33 2010-09-17 2021-10-25 1672 1801 -129 -129 . FNMA AH5823 4.5% 02/01/41 2011-02-17 2021-10-25 1866 1894 -28 -28 . FNMA AL2602 VAR RATE 10/01/22 2014-10-28 2021-10-25 230 232 -2 -2 . FNMA AL2965 VAR RATE 12/01/22 2014-06-11 2021-10-25 95 94 1 1 . FNMA AL3876 VAR RATE 06/01/23 2013-12-18 2021-10-25 178 171 7 7 . FNMA AL5263 4% 02/01/29 2020-04-02 2021-10-25 8793 9281 -488 -488 . FNMA AM3301 2.35% 05/01/23 2014-01-28 2021-10-25 315 296 19 19 . FNMA AM8970 2.87% 05/01/30 2016-01-27 2021-10-25 359 350 9 9 . FNMA AN2497 2.6% 09/01/28 2017-02-06 2021-10-25 655 626 29 29 . FNMA AN2840 2.49% 09/01/28 2017-02-07 2021-10-25 359 339 20 20 . FNMA AU6278 5% 11/01/43 2014-10-28 2021-10-25 3075 3420 -345 -345 . FNMA 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2021-10-25 119 133 -14 -14 . FNMA 2003-33 CL AM 4.25% 05/25/2033 DTD 04/01/2003 2011-04-15 2021-10-25 849 873 -24 -24 . FNMA 2003-42 CL JH 5.5% 05/25/2033 DTD 04/01/2003 2011-04-20 2021-10-25 81 87 -6 -6 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2021-02-18 2021-10-25 1485 109 1376 1376 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2016-12-09 2021-10-25 1512 -1512 -1512 . FNMA 2004-60 CL LB 5.0% 04/25/2034 DTD 07/01/2004 2011-04-19 2021-10-25 565 602 -37 -37 . FNMA 2004-91 CL HC 6.0% 12/25/2034 DTD 11/01/2004 2017-11-01 2021-10-25 5073 6037 -964 -964 . FNMA 2005-48 CL AU 5.5% 06/25/2035 DTD 05/01/2005 2015-03-02 2021-10-25 2211 2640 -429 -429 . FNMA 2005-73 CL EZ 5.5% 08/25/2035 DTD 07/01/2005 2016-12-09 2021-10-25 2442 2502 -60 -60 . FNMA 2006-9 CL DG 5.5% 03/25/2036 DTD 02/01/2006 2021-10-25 938 1061 -123 -123 . FNMA 2006-102 CL A 6.5% 10/25/2036 DTD 09/01/2006 2011-04-07 2021-10-25 42 46 -4 -4 . FNMA 2007-22 CL A 5.5% 03/25/2037 DTD 02/01/2007 2012-12-04 2021-10-25 165 184 -19 -19 . FNMA 2009-33 CL FB VAR RT 03/25/2037 DTD 04/25/2009 2013-03-01 2021-10-25 99 100 -1 -1 . FNMA 2011-52 CL KB 5.5% 06/25/2041 DTD 05/01/2011 2014-03-20 2021-10-25 1650 1823 -173 -173 . FNMA 2010-123 CL KU 4.5% 11/25/2040 DTD 10/01/2010 2018-03-26 2021-10-25 4170 4374 -204 -204 . FNMA 2010-38 CL KC 4.5% 04/25/2040 DTD 03/01/2010 2018-02-15 2021-10-25 4736 4997 -261 -261 . FNMA 2010-64 CL DM 5.0% 06/25/2040 DTD 05/01/2010 2011-04-13 2021-10-25 868 917 -49 -49 . FNMA 776289 5% 05/01/34 2013-04-04 2021-10-25 3963 4366 -403 -403 . FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2021-10-25 28 29 -1 -1 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-10-25 113 118 -5 -5 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-10-25 7 8 -1 -1 . FNMA BC0100 3.5% 12/01/45 2016-06-07 2021-10-25 73 78 -5 -5 . FNMA BC3492 3.5% 02/01/46 2016-04-05 2021-10-25 403 423 -20 -20 . FNMA BC4899 3.5% 04/01/46 2016-06-07 2021-10-25 155 164 -9 -9 . FNMA BP3773 2% 02/01/36 2021-02-18 2021-10-25 2385 2486 -101 -101 . FNMA CA3804 2.5% 07/01/49 2021-02-26 2021-10-25 5800 6054 -254 -254 . FNMA FM2014 3% 11/01/49 2021-03-05 2021-10-25 6868 7388 -520 -520 . FNMA FM5937 4% 01/01/49 2021-03-05 2021-10-25 4488 4905 -417 -417 . FNMA AA0835 5% 01/01/39 2009-07-29 2021-10-25 30 31 -1 -1 . FNMA AB1693 4% 11/01/40 2011-03-01 2021-10-25 342 336 6 6 . FNMA AB3678 3.5% 10/01/41 2011-10-26 2021-10-25 840 854 -14 -14 . FNMA MA1213 3.5% 10/01/42 2014-02-28 2021-10-25 786 786 . FNMA MA1546 3.5% 08/01/43 2014-03-19 2021-10-25 1927 1913 14 14 . FNMA MA2369 4% 08/01/45 2016-04-05 2021-10-25 2571 2787 -216 -216 . JPM MTG TR 2004-A1 2004-A1 CL 1A1 VAR RT 02/25/2034 DTD 02/01/2004 2021-10-25 123 121 2 2 . MERRILL LYNCH MTG INVESTORS TR SER 2003-A5 2003-A5 CL 2A6 VAR RT 2015-12-08 2021-10-25 151 150 1 1 1530. COMCAST CORP NEW CL A 2021-04-16 2021-10-27 81072 84324 -3252 -3252 108. COMCAST CORP NEW CL A 2019-01-29 2021-10-27 5723 3903 1820 1820 86. YUM BRANDS INC 2020-10-16 2021-10-27 10924 8562 2362 2362 250. YUM BRANDS INC 2021-10-27 31707 24667 7040 7040 101. YUM BRANDS INC 2020-10-14 2021-10-27 12703 9765 2938 2938 280. YUM BRANDS INC 2021-10-27 35485 25943 9542 9542 154. YUM BRANDS INC 2021-10-27 19433 13966 5467 5467 26. YUM BRANDS INC 2018-11-27 2021-10-27 3310 2321 989 989 182. YUM BRANDS INC 2021-10-27 23022 15676 7346 7346 54356. ISHARES CORE MSCI EMERGING 2021-10-28 3431933 2987332 444601 444601 20897. ISHARES CORE MSCI EMERGING 2020-10-27 2021-10-28 1319614 1148041 171573 171573 30742. JPMORGAN BETABUILDERS JAPAN ETF 2021-10-28 1759061 1743735 15326 15326 282. YUM BRANDS INC 2020-03-11 2021-10-28 35246 22938 12308 12308 23. YUM BRANDS INC 2020-03-11 2021-10-28 2848 1871 977 977 108. YUM BRANDS INC 2020-03-11 2021-10-28 13391 8785 4606 4606 18. YUM BRANDS INC 2020-03-11 2021-10-28 2257 1464 793 793 19. PAYPAL HOLDINGS INC 2019-01-23 2021-10-29 4414 1718 2696 2696 409. PAYPAL HOLDINGS INC 2021-10-29 95529 36908 58621 58621 294. PAYPAL HOLDINGS INC 2021-11-01 67901 25351 42550 42550 2068. COMCAST CORP NEW CL A 2021-11-02 107904 37511 70393 70393 518. COMCAST CORP NEW CL A 2009-12-07 2021-11-02 27101 4383 22718 22718 81. ZIMMER HLDGS INC 2020-06-30 2021-11-02 11843 9678 2165 2165 198. ZIMMER HLDGS INC 2021-11-02 28874 23583 5291 5291 76. ZIMMER HLDGS INC 2018-04-26 2021-11-02 11052 8715 2337 2337 30. ZIMMER HLDGS INC 2021-11-02 4370 3439 931 931 112. ZIMMER HLDGS INC 2018-10-30 2021-11-02 16311 12835 3476 3476 102. ZIMMER HLDGS INC 2021-11-03 14961 11598 3363 3363 1. STANLEY BLACK & DECKER,INC. 2015-11-10 2021-11-05 184 106 78 78 257. STANLEY BLACK & DECKER,INC. 2021-11-05 47331 25399 21932 21932 25. STANLEY BLACK & DECKER,INC. 2016-02-12 2021-11-05 4603 2297 2306 2306 98. STANLEY BLACK & DECKER,INC. 2021-11-08 18100 8969 9131 9131 152. STANLEY BLACK & DECKER,INC. 2021-11-08 27933 13689 14244 14244 77. STANLEY BLACK & DECKER,INC. 2021-11-08 14125 6900 7225 7225 20000. VEREIT OPER PARTNER 4.6% 02/06/2024 DTD 10/16/2014 2016-11-22 2021-11-10 21587 20366 1221 1221 70000. VEREIT OPER PARTNER 4.875% 06/01/2026 DTD 06/02/2016 2021-11-10 80368 70548 9820 9820 . FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2021-11-15 329 345 -16 -16 . FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2021-11-15 107 119 -12 -12 . FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2021-11-15 51 53 -2 -2 . FHLMC GOLD G16394 3.5% 08/01/32 2020-10-01 2021-11-15 13842 14859 -1017 -1017 . FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2021-11-15 1431 1479 -48 -48 . FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2021-11-15 62 61 1 1 . FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2021-11-15 1486 1481 5 5 . FREDDIE MAC 2005-01-19 2021-11-15 32 33 -1 -1 . FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2021-11-15 396 430 -34 -34 . FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2021-11-15 205 216 -11 -11 . FHLMC GOLD U93118 3.5% 02/01/46 2016-06-07 2021-11-15 380 401 -21 -21 . FHLMC 2338 CL ZC 6.5% 07/15/2031 DTD 07/01/2001 2011-04-19 2021-11-15 576 644 -68 -68 . FHLMC 1611 CL Z 6.5% 11/15/2023 DTD 11/01/1993 2013-08-19 2021-11-15 853 960 -107 -107 . FHLMC 1974 CL ZA 7.0% 07/15/2027 DTD 07/01/1997 2011-04-25 2021-11-15 303 343 -40 -40 . FHLMC 2122 CL ZE 6.0% 02/15/2029 DTD 02/01/1999 2013-01-30 2021-11-15 537 614 -77 -77 . FHLMC 2310 CL Z 6.0% 04/15/2031 DTD 04/01/2001 2013-09-19 2021-11-15 316 348 -32 -32 . FHLMC 2355 CL AE 6.0% 09/15/2031 DTD 09/01/2001 2017-01-27 2021-11-15 181 200 -19 -19 . FHLMC 3854 CL EW 4.0% 05/15/2026 DTD 05/01/2011 2012-01-06 2021-11-15 1682 1809 -127 -127 . FHLMC 3939 CL BZ 4.5% 06/15/2041 DTD 10/01/2011 2018-05-16 2021-11-15 7085 7336 -251 -251 . FHLMC 4616 CL HP 3.0% 09/15/2046 DTD 09/01/2016 2018-03-27 2021-11-15 5517 5386 131 131 . FHLMC 3735 CL KL 3.5% 10/15/2025 DTD 10/01/2010 2018-01-23 2021-11-15 2268 2315 -47 -47 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2021-11-15 190 149 41 41 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2011-04-19 2021-11-15 61 -61 -61 . FHLMC 2021-10-08 2021-11-15 33 -33 -33 . FHLMC 2021-11-15 93 69 24 24 . FHLMC 2590 CL OA 4.0% 03/15/2033 DTD 03/01/2003 2011-04-13 2021-11-15 757 777 -20 -20 . FHLMC 2598 CL QE 5.5% 04/15/2033 DTD 04/01/2003 2021-10-20 2021-11-15 1387 835 552 552 . FHLMC 2598 CL QE 5.5% 04/15/2033 DTD 04/01/2003 2021-11-15 721 -721 -721 . FHLMC 2696 CL DG 5.5% 10/15/2033 DTD 10/01/2003 2021-11-15 1390 1549 -159 -159 . FHLMC 2949 CL PB 5.5% 03/15/2035 DTD 03/01/2005 2012-11-07 2021-11-15 2130 2556 -426 -426 . FREDDIE MAC 2005-09-15 2021-11-15 88 90 -2 -2 . FHLMC 3027 CL DE 5.0% 09/15/2025 DTD 09/01/2005 2021-11-15 1217 1305 -88 -88 . FHLMC 3508 CL PK 4.0% 02/15/2039 DTD 02/01/2009 2011-04-27 2021-11-15 16 16 . FHLMC 3548 CL ZE 5.5% 12/15/2032 DTD 07/01/2009 2018-11-16 2021-11-15 2492 2673 -181 -181 . FHLMC 3684 CL CY 4.5% 06/15/2025 DTD 06/01/2010 2015-05-05 2021-11-15 4331 4878 -547 -547 . FHLMC 3653 CL B 4.5% 04/15/2030 DTD 04/01/2010 2011-12-29 2021-11-15 1046 1139 -93 -93 . FHLMC 3631 CL PA 4.0% 02/15/2040 DTD 02/01/2010 2011-04-26 2021-11-15 711 732 -21 -21 . GNMA 737022 4.5% 02/15/40 2010-05-13 2021-11-15 1631 1672 -41 -41 . GNMA POOL NO 550851 2001-10-17 2021-11-15 829 863 -34 -34 . GNMA 550750 5.5% 12/15/35 2013-07-23 2021-11-15 172 188 -16 -16 250000. GS MTG SECURITIES TR 2017-GS5 2017-GS5 CL A2 3.218% 03/10/2050 2018-01-23 2021-11-15 1689 1715 -26 -26 . GNMA 658181 5.5% 11/15/36 2011-01-26 2021-11-15 1478 1605 -127 -127 . GNMA 701738 5% 03/15/39 2009-07-29 2021-11-15 1063 1087 -24 -24 115000. PAC GAS & ELEC VAR RT 11/15/2021 DTD 11/16/2020 2020-11-12 2021-11-15 115000 115000 . SANTANDER DRIVE AUTO RECEIVABLES TR 2020-3 2020-3 CL A3 0.52% 07/15/ 2020-09-25 2021-11-15 103920 104127 -207 -207 . GNMA 2003-26 CL MB 2021-11-16 771 834 -63 -63 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-02-18 2021-11-16 1416 631 785 785 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-11-16 946 -946 -946 . GNMA 2009-84 CL C 4.0% 09/16/2024 DTD 09/01/2009 2013-06-18 2021-11-16 2677 2874 -197 -197 . GNMA 2010-146 CL HB 3.75% 11/16/2040 DTD 11/01/2010 2018-02-16 2021-11-16 8323 8281 42 42 75000. PRUDENTIAL FINL INC SR NTS MTN 4.5% 11/16/2021 DTD 2013-10-30 2021-11-16 75000 81587 -6587 -6587 100000. U S A BONDS 2019-02-22 2021-11-18 133484 127238 6246 6246 2. ANALOG DEVICES INC 2021-09-09 2021-11-19 377 339 38 38 20. ANALOG DEVICES INC 2021-09-09 2021-11-19 3761 3392 369 369 4. ANALOG DEVICES INC 2021-09-09 2021-11-19 755 678 77 77 78. ANALOG DEVICES INC 2021-09-09 2021-11-19 14724 13230 1494 1494 100000. U S A BONDS 2019-02-22 2021-11-19 133867 127238 6629 6629 250000. US TREAS 1.125% 08/31/28 2021-09-10 2021-11-19 245000 250068 -5068 -5068 100000. STRIPS ZERO CPN 02/15/2033 DTD 02/15/2006 2021-09-10 2021-11-19 82254 83508 -1254 -1254 100000. STRIPS ZERO CPN 02/15/2030 DTD 02/15/2001 2016-07-11 2021-11-19 87703 86716 987 987 50000. ABBVIE INC SR NTS 3.6% 05/14/2025 DTD 2020-08-19 2021-11-22 53259 55962 -2703 -2703 27. ANALOG DEVICES INC 2021-09-09 2021-11-22 5159 4579 580 580 2. ANALOG DEVICES INC 2021-09-09 2021-11-22 381 339 42 42 2. ANALOG DEVICES INC 2021-09-09 2021-11-22 380 339 41 41 19. ANALOG DEVICES INC 2021-09-09 2021-11-22 3645 3223 422 422 71. ANALOG DEVICES INC 2021-09-09 2021-11-22 13214 12042 1172 1172 12. ANALOG DEVICES INC 2021-09-09 2021-11-22 2251 2035 216 216 6. ANALOG DEVICES INC 2021-09-09 2021-11-22 1126 1007 119 119 3. ANALOG DEVICES INC 2021-09-09 2021-11-22 563 504 59 59 38. ANALOG DEVICES INC 2021-09-09 2021-11-22 7066 6380 686 686 2. ANALOG DEVICES INC 2021-09-09 2021-11-22 375 336 39 39 17. ANALOG DEVICES INC 2021-09-09 2021-11-22 3200 2854 346 346 75000. BALTIMORE GAS & ELEC SR NTS 2.8% 08/15/2022 DTD 2013-04-29 2021-11-22 75785 77245 -1460 -1460 . GNMA II POOL 004697 5.0% 05/20/2040 DTD 05/01/2010 2010-05-13 2021-11-22 904 950 -46 -46 . GNMA 2003-26 CL MB 2021-11-22 4927 5471 -544 -544 . GNMA 2003-19 CL DH 5.0% 03/20/2033 DTD 03/01/2003 2011-04-26 2021-11-22 895 948 -53 -53 . GNMA 2003-62 CL HE 5.0% 07/20/2033 DTD 07/01/2003 2021-11-22 1481 1658 -177 -177 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2021-02-18 2021-11-22 4979 1244 3735 3735 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2017-12-06 2021-11-22 4400 -4400 -4400 . GNMA 2003-75 CL ZA 5.5% 09/20/2033 DTD 09/01/2003 2011-04-26 2021-11-22 1276 1383 -107 -107 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-02-18 2021-11-22 2911 886 2025 2025 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-11-22 2356 -2356 -2356 . GNMA 2004-37 CL PE 5.5% 05/20/2034 DTD 05/01/2004 2021-11-22 2192 2576 -384 -384 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-11-22 2438 1800 638 638 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-11-22 958 -958 -958 . GNMA 2008-83 CL ND 5.5% 09/20/2038 DTD 09/01/2008 2021-11-22 363 424 -61 -61 . GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2021-11-22 1477 1684 -207 -207 . GNMA 2015-79 CL QP 3.0% 11/20/2044 DTD 05/01/2015 2019-12-06 2021-11-22 3956 4051 -95 -95 . GNMA 2008-63 CL PE 5.5% 07/20/2038 DTD 07/01/2008 2021-11-22 1440 1607 -167 -167 . GNMA 2019-31 CL UA 3.0% 06/20/2047 DTD 03/01/2019 2020-09-28 2021-11-22 133 137 -4 -4 90000. LOCKHEED MARTIN CORP SR NTS 2.9% 03/01/2025 DTD 2021-03-31 2021-11-22 94442 96382 -1940 -1940 35000. MARTIN MARIETTA MATL SR NTS 3.45% 06/01/2027 DTD 2020-08-25 2021-11-22 37436 38906 -1470 -1470 45000. MITSUBISHI UFJ FIN GRP 2.998% 02/22/2022 DTD 02/22/2017 2017-03-01 2021-11-22 45292 45194 98 98 95000. NORTHROP GRUMMAN CORP SR NTS 3.2% 02/01/2027 DTD 2021-03-31 2021-11-22 101000 102935 -1935 -1935 5000. OFFICE PPTY INCOME TRST SR NTS 4.5% 02/01/2025 DTD 2021-08-10 2021-11-22 5280 5416 -136 -136 . UBS COML MTG TR 2018-C10 2018-C10 CL A1 3.1847% 05/15/2051 DTD 05/01 2018-05-23 2021-11-22 2782 2782 115000. ZIMMER BIOMET HOLDINGS SR NTS 2.6% 11/24/2031 DTD 2021-11-15 2021-11-22 115010 114970 40 40 . CHL MTG PASS-THROUGH TR 2003-56 2003-56 CL 4A1 VAR RT 12/25/2033 DTD 2014-02-25 2021-11-26 2480 2449 31 31 . FHLMC POOL POOL ZT1361 3.0% 05/01/2047 DTD 11/01/2018 2021-03-05 2021-11-26 6980 7510 -530 -530 . FNMA 2011-99 CL DB 5.0% 10/25/2041 DTD 09/01/2011 2012-07-05 2021-11-26 1081 1233 -152 -152 . FNMA 2012-52 CL NY 3.5% 05/25/2042 DTD 04/01/2012 2017-12-05 2021-11-26 11558 11579 -21 -21 . FNMA 2014-2 CL PX 4.5% 01/25/2041 DTD 01/01/2014 2018-11-06 2021-11-26 1837 1893 -56 -56 . FNMA 2014-M8 CL A2 VAR RT 06/25/2024 DTD 07/01/2014 2014-12-30 2021-11-26 291 299 -8 -8 . FNMA 2014-73 CL PJ 3.0% 12/25/2043 DTD 10/01/2014 2016-12-09 2021-11-26 1432 1435 -3 -3 . FNMA 2016-9 CL D 3.0% 03/25/2046 DTD 02/01/2016 2017-07-28 2021-11-26 4708 4730 -22 -22 . FNMA 256749 6% 06/01/37 2008-09-30 2021-11-26 77 79 -2 -2 . FHLMC STRUCTURED PASS-THROUGH CERTIFICATES FRESR 2017-SR01 2017-12-06 2021-11-26 57114 57684 -570 -570 . FHLMC KJ18 CL A2 3.065% 08/25/2022 DTD 12/01/2017 2017-12-19 2021-11-26 151 154 -3 -3 . FNMA 469130 4.87% 10/01/41 2016-12-20 2021-11-26 323 352 -29 -29 . FNMA 555424 5.5% 05/01/33 2010-09-17 2021-11-26 1499 1614 -115 -115 . FNMA AH5823 4.5% 02/01/41 2011-02-17 2021-11-26 790 802 -12 -12 . FNMA AL2602 VAR RATE 10/01/22 2014-10-28 2021-11-26 220 222 -2 -2 . FNMA AL2965 VAR RATE 12/01/22 2014-06-11 2021-11-26 90 89 1 1 . FNMA AL5263 4% 02/01/29 2020-04-02 2021-11-26 5037 5316 -279 -279 . FNMA AM3301 2.35% 05/01/23 2014-01-28 2021-11-26 304 285 19 19 . FNMA AM8970 2.87% 05/01/30 2016-01-27 2021-11-26 337 329 8 8 . FNMA AN2497 2.6% 09/01/28 2017-02-06 2021-11-26 611 584 27 27 . FNMA AN2840 2.49% 09/01/28 2017-02-07 2021-11-26 333 315 18 18 . FNMA AU6278 5% 11/01/43 2014-10-28 2021-11-26 108 120 -12 -12 . FNMA 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2021-11-26 403 451 -48 -48 . FNMA 2003-33 CL AM 4.25% 05/25/2033 DTD 04/01/2003 2011-04-15 2021-11-26 1345 1382 -37 -37 . FNMA 2003-42 CL JH 5.5% 05/25/2033 DTD 04/01/2003 2011-04-20 2021-11-26 87 93 -6 -6 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2021-02-18 2021-11-26 404 30 374 374 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2016-12-09 2021-11-26 412 -412 -412 . FNMA 2004-60 CL LB 5.0% 04/25/2034 DTD 07/01/2004 2011-04-19 2021-11-26 267 285 -18 -18 . FNMA 2004-91 CL HC 6.0% 12/25/2034 DTD 11/01/2004 2017-11-01 2021-11-26 6563 7810 -1247 -1247 . FNMA 2005-48 CL AU 5.5% 06/25/2035 DTD 05/01/2005 2015-03-02 2021-11-26 2155 2573 -418 -418 . FNMA 2005-73 CL EZ 5.5% 08/25/2035 DTD 07/01/2005 2016-12-09 2021-11-26 2802 2870 -68 -68 . FNMA 2006-9 CL DG 5.5% 03/25/2036 DTD 02/01/2006 2021-11-26 2038 2305 -267 -267 . FNMA 2006-102 CL A 6.5% 10/25/2036 DTD 09/01/2006 2011-04-07 2021-11-26 164 180 -16 -16 . FNMA 2007-22 CL A 5.5% 03/25/2037 DTD 02/01/2007 2012-12-04 2021-11-26 254 285 -31 -31 . FNMA 2009-33 CL FB VAR RT 03/25/2037 DTD 04/25/2009 2013-03-01 2021-11-26 101 102 -1 -1 . FNMA 2011-52 CL KB 5.5% 06/25/2041 DTD 05/01/2011 2014-03-20 2021-11-26 2108 2329 -221 -221 . FNMA 2010-123 CL KU 4.5% 11/25/2040 DTD 10/01/2010 2018-03-26 2021-11-26 5475 5744 -269 -269 . FNMA 2010-38 CL KC 4.5% 04/25/2040 DTD 03/01/2010 2018-02-15 2021-11-26 3644 3845 -201 -201 . FNMA 2010-64 CL DM 5.0% 06/25/2040 DTD 05/01/2010 2011-04-13 2021-11-26 848 895 -47 -47 . FNMA 776289 5% 05/01/34 2013-04-04 2021-11-26 4179 4605 -426 -426 . FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2021-11-26 28 30 -2 -2 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-11-26 113 119 -6 -6 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-11-26 7 8 -1 -1 . FNMA BC0100 3.5% 12/01/45 2016-06-07 2021-11-26 74 78 -4 -4 . FNMA BC3492 3.5% 02/01/46 2016-04-05 2021-11-26 404 425 -21 -21 . FNMA BC4899 3.5% 04/01/46 2016-06-07 2021-11-26 156 165 -9 -9 . FNMA BP3773 2% 02/01/36 2021-02-18 2021-11-26 12704 13244 -540 -540 . FNMA CA3804 2.5% 07/01/49 2021-02-26 2021-11-26 9772 10201 -429 -429 . FNMA FM2014 3% 11/01/49 2021-03-05 2021-11-26 10781 11598 -817 -817 . FNMA FM5937 4% 01/01/49 2021-03-05 2021-11-26 7992 8735 -743 -743 . FNMA AA0835 5% 01/01/39 2009-07-29 2021-11-26 652 664 -12 -12 . FNMA AB1693 4% 11/01/40 2011-03-01 2021-11-26 14637 14383 254 254 . FNMA AB3678 3.5% 10/01/41 2011-10-26 2021-11-26 782 794 -12 -12 . FNMA MA1213 3.5% 10/01/42 2014-02-28 2021-11-26 674 674 . FNMA MA1546 3.5% 08/01/43 2014-03-19 2021-11-26 1562 1550 12 12 . FNMA MA2369 4% 08/01/45 2016-04-05 2021-11-26 2013 2182 -169 -169 . JPM MTG TR 2004-A1 2004-A1 CL 1A1 VAR RT 02/25/2034 DTD 02/01/2004 2021-11-26 27 26 1 1 . MERRILL LYNCH MTG INVESTORS TR SER 2003-A5 2003-A5 CL 2A6 VAR RT 2015-12-08 2021-11-26 1988 1976 12 12 45000. VOYA FINANCIAL INC 3.125% 07/15/2024 DTD 07/05/2017 2019-04-09 2021-11-29 47309 44685 2624 2624 750000. US TREAS 1.875% 11/30/21 2021-11-30 750000 750000 64000. GENERAL ELEC CAP CORP DD 03/20/02 6.750% DUE 03/15/32 2021-03-31 2021-12-01 90030 86049 3981 3981 . FNMA 2013-M9 CL A2 VAR RT 01/25/2023 DTD 06/01/2013 2016-01-21 2021-12-03 4066 4066 26. ANALOG DEVICES INC 2021-09-09 2021-12-06 4707 4365 342 342 493. ANALOG DEVICES INC 2021-12-06 89263 73242 16021 16021 72. NETFLIX.COM INC 2018-09-13 2021-12-06 44088 26690 17398 17398 52. ANALOG DEVICES INC 2021-12-07 9626 7455 2171 2171 . FNMA AL3876 VAR RATE 06/01/23 2013-12-18 2021-12-08 2693 2591 102 102 20000. HOST HOTELS & RESORTS LP SR NTS 3.75% 10/15/2023 DTD 2016-12-14 2021-12-08 21079 19895 1184 1184 . FHLMC K025 CL A2 2.682% 10/25/2022 DTD 02/01/2013 2013-12-02 2021-12-09 176 168 8 8 32000. MUFG AMERICAS HLDGS CORP SR NTS 3.0% 02/10/2025 DTD 2015-02-06 2021-12-09 33906 31830 2076 2076 50000. SYSCO CORP 5.65% 04/01/2025 DTD 04/02/2020 2020-08-19 2021-12-14 56416 59214 -2798 -2798 . FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2021-12-15 362 379 -17 -17 . FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2021-12-15 128 142 -14 -14 . FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2021-12-15 62 65 -3 -3 . FHLMC GOLD G16394 3.5% 08/01/32 2020-10-01 2021-12-15 6243 6701 -458 -458 . FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2021-12-15 1116 1153 -37 -37 . FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2021-12-15 52 51 1 1 . FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2021-12-15 656 654 2 2 . FREDDIE MAC 2005-01-19 2021-12-15 32 33 -1 -1 . FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2021-12-15 375 408 -33 -33 . FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2021-12-15 3147 3309 -162 -162 . FHLMC GOLD U93118 3.5% 02/01/46 2016-06-07 2021-12-15 381 402 -21 -21 . FHLMC 2338 CL ZC 6.5% 07/15/2031 DTD 07/01/2001 2011-04-19 2021-12-15 190 212 -22 -22 . FHLMC 1611 CL Z 6.5% 11/15/2023 DTD 11/01/1993 2013-08-19 2021-12-15 777 874 -97 -97 . FHLMC 1974 CL ZA 7.0% 07/15/2027 DTD 07/01/1997 2011-04-25 2021-12-15 298 338 -40 -40 . FHLMC 2122 CL ZE 6.0% 02/15/2029 DTD 02/01/1999 2013-01-30 2021-12-15 519 593 -74 -74 . FHLMC 2310 CL Z 6.0% 04/15/2031 DTD 04/01/2001 2013-09-19 2021-12-15 846 931 -85 -85 . FHLMC 2355 CL AE 6.0% 09/15/2031 DTD 09/01/2001 2017-01-27 2021-12-15 182 201 -19 -19 . FHLMC 3854 CL EW 4.0% 05/15/2026 DTD 05/01/2011 2012-01-06 2021-12-15 2041 2195 -154 -154 . FHLMC 3939 CL BZ 4.5% 06/15/2041 DTD 10/01/2011 2018-05-16 2021-12-15 449 465 -16 -16 . FHLMC 4616 CL HP 3.0% 09/15/2046 DTD 09/01/2016 2018-03-27 2021-12-15 3148 3073 75 75 . FHLMC 4961 CL JB 2.5% 12/15/2042 DTD 02/01/2020 2021-11-17 2021-12-15 5470 5658 -188 -188 . FHLMC 3735 CL KL 3.5% 10/15/2025 DTD 10/01/2010 2018-01-23 2021-12-15 1960 2000 -40 -40 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2021-12-15 253 198 55 55 . FHLMC 2532 CL PH 5.5% 12/15/2032 DTD 12/01/2002 2011-04-19 2021-12-15 82 -82 -82 . FHLMC 2021-10-08 2021-12-15 65 -65 -65 . FHLMC 2021-12-15 182 135 47 47 . FHLMC 2590 CL OA 4.0% 03/15/2033 DTD 03/01/2003 2011-04-13 2021-12-15 633 650 -17 -17 . FHLMC 2598 CL QE 5.5% 04/15/2033 DTD 04/01/2003 2021-10-20 2021-12-15 1947 1172 775 775 . FHLMC 2598 CL QE 5.5% 04/15/2033 DTD 04/01/2003 2021-12-15 1011 -1011 -1011 . FHLMC 2696 CL DG 5.5% 10/15/2033 DTD 10/01/2003 2021-12-15 780 869 -89 -89 . FHLMC 2949 CL PB 5.5% 03/15/2035 DTD 03/01/2005 2012-11-07 2021-12-15 2090 2508 -418 -418 . FREDDIE MAC 2005-09-15 2021-12-15 87 89 -2 -2 . FHLMC 3027 CL DE 5.0% 09/15/2025 DTD 09/01/2005 2021-12-15 1156 1240 -84 -84 . FHLMC 3508 CL PK 4.0% 02/15/2039 DTD 02/01/2009 2011-04-27 2021-12-15 4 4 . FHLMC 3548 CL ZE 5.5% 12/15/2032 DTD 07/01/2009 2018-11-16 2021-12-15 2223 2385 -162 -162 . FHLMC 3684 CL CY 4.5% 06/15/2025 DTD 06/01/2010 2015-05-05 2021-12-15 4904 5523 -619 -619 . FHLMC 3653 CL B 4.5% 04/15/2030 DTD 04/01/2010 2011-12-29 2021-12-15 3426 3730 -304 -304 . FHLMC 3631 CL PA 4.0% 02/15/2040 DTD 02/01/2010 2011-04-26 2021-12-15 526 542 -16 -16 . GNMA 737022 4.5% 02/15/40 2010-05-13 2021-12-15 3265 3347 -82 -82 . GNMA POOL NO 550851 2001-10-17 2021-12-15 86 90 -4 -4 . GNMA 550750 5.5% 12/15/35 2013-07-23 2021-12-15 143 157 -14 -14 . GNMA 658181 5.5% 11/15/36 2011-01-26 2021-12-15 24 26 -2 -2 . GNMA 701738 5% 03/15/39 2009-07-29 2021-12-15 76 78 -2 -2 . SANTANDER DRIVE AUTO RECEIVABLES TR 2020-3 2020-3 CL A3 0.52% 07/15/ 2020-09-25 2021-12-15 96152 96344 -192 -192 . GNMA 2003-26 CL MB 2021-12-16 532 576 -44 -44 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-02-18 2021-12-16 1540 686 854 854 . GNMA 2004-19 CL KE 5.0% 03/16/2034 DTD 03/01/2004 2021-12-16 1028 -1028 -1028 . GNMA 2009-84 CL C 4.0% 09/16/2024 DTD 09/01/2009 2013-06-18 2021-12-16 1845 1981 -136 -136 . GNMA 2010-146 CL HB 3.75% 11/16/2040 DTD 11/01/2010 2018-02-16 2021-12-16 2242 2231 11 11 45000. NUTRIEN LTD SR NTS 3.625% 03/15/2024 DTD 2014-03-04 2021-12-16 47493 44600 2893 2893 30000. NUTRIEN LTD SR NTS 3.375% 03/15/2025 DTD 2016-12-20 2021-12-16 31915 29450 2465 2465 . UBS COML MTG TR 2018-C10 2018-C10 CL A1 3.1847% 05/15/2051 DTD 05/01 2018-05-23 2021-12-17 3112 3112 . GNMA II POOL 004697 5.0% 05/20/2040 DTD 05/01/2010 2010-05-13 2021-12-20 760 798 -38 -38 . GNMA 2003-26 CL MB 2021-12-20 3994 4435 -441 -441 . GNMA 2003-19 CL DH 5.0% 03/20/2033 DTD 03/01/2003 2011-04-26 2021-12-20 877 929 -52 -52 . GNMA 2003-62 CL HE 5.0% 07/20/2033 DTD 07/01/2003 2021-12-20 1113 1247 -134 -134 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2021-02-18 2021-12-20 3905 975 2930 2930 . GNMA 2003-65 CL AN 5.5% 08/20/2033 DTD 08/01/2003 2017-12-06 2021-12-20 3451 -3451 -3451 . GNMA 2003-75 CL ZA 5.5% 09/20/2033 DTD 09/01/2003 2011-04-26 2021-12-20 1034 1121 -87 -87 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-02-18 2021-12-20 2742 835 1907 1907 . GNMA 2003-84 CL PC 5.5% 10/20/2033 DTD 10/01/2003 2021-12-20 2219 -2219 -2219 . GNMA 2004-37 CL PE 5.5% 05/20/2034 DTD 05/01/2004 2021-12-20 1954 2296 -342 -342 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-12-20 2217 1637 580 580 . GNMA 2005-26 CL XY 5.5% 03/20/2035 DTD 03/01/2005 2021-12-20 871 -871 -871 . GNMA 2008-83 CL ND 5.5% 09/20/2038 DTD 09/01/2008 2021-12-20 581 679 -98 -98 . GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2021-12-20 1235 1408 -173 -173 . GNMA 2015-79 CL QP 3.0% 11/20/2044 DTD 05/01/2015 2019-12-06 2021-12-20 3702 3791 -89 -89 . GNMA 2008-63 CL PE 5.5% 07/20/2038 DTD 07/01/2008 2021-12-20 1387 1548 -161 -161 . GNMA 2019-31 CL UA 3.0% 06/20/2047 DTD 03/01/2019 2020-09-28 2021-12-20 8666 8921 -255 -255 40000. NEXTERA ENERGY CAP 3.625% 06/15/2023 DTD 06/06/2013 2013-12-18 2021-12-22 41702 39689 2013 2013 85000. BP CAP MARKETS AMER 3.224% 04/14/2024 DTD 12/14/2018 2018-12-17 2021-12-23 89304 84191 5113 5113 . CHL MTG PASS-THROUGH TR 2003-56 2003-56 CL 4A1 VAR RT 12/25/2033 DTD 2014-02-25 2021-12-27 22 21 1 1 . FHLMC POOL POOL ZT1361 3.0% 05/01/2047 DTD 11/01/2018 2021-03-05 2021-12-27 4521 4864 -343 -343 . FNMA 2011-99 CL DB 5.0% 10/25/2041 DTD 09/01/2011 2012-07-05 2021-12-27 1406 1602 -196 -196 . FNMA 2012-52 CL NY 3.5% 05/25/2042 DTD 04/01/2012 2017-12-05 2021-12-27 20192 20230 -38 -38 . FNMA 2012-120 CL PA 3.5% 10/25/2042 DTD 10/01/2012 2021-11-17 2021-12-27 3031 3240 -209 -209 . FNMA 2013-M9 CL A2 VAR RT 01/25/2023 DTD 06/01/2013 2016-01-21 2021-12-27 131 131 . FNMA 2014-2 CL PX 4.5% 01/25/2041 DTD 01/01/2014 2018-11-06 2021-12-27 649 668 -19 -19 . FNMA 2014-M8 CL A2 VAR RT 06/25/2024 DTD 07/01/2014 2014-12-30 2021-12-27 311 320 -9 -9 . FNMA 2014-73 CL PJ 3.0% 12/25/2043 DTD 10/01/2014 2016-12-09 2021-12-27 1600 1604 -4 -4 . FNMA 2016-9 CL D 3.0% 03/25/2046 DTD 02/01/2016 2017-07-28 2021-12-27 4407 4428 -21 -21 . FNMA GRANTOR TR 2017-T1 2017-T1 CL A 2.898% 06/25/2027 DTD 04/01/201 2017-04-19 2021-12-27 18 18 . FNMA 256749 6% 06/01/37 2008-09-30 2021-12-27 594 603 -9 -9 . FHLMC K025 CL A2 2.682% 10/25/2022 DTD 02/01/2013 2013-12-02 2021-12-27 256 246 10 10 . FHLMC STRUCTURED PASS-THROUGH CERTIFICATES FRESR 2017-SR01 2017-12-06 2021-12-27 4010 4050 -40 -40 . FHLMC KJ18 CL A2 3.065% 08/25/2022 DTD 12/01/2017 2017-12-19 2021-12-27 5979 6098 -119 -119 . FNMA 469130 4.87% 10/01/41 2016-12-20 2021-12-27 353 385 -32 -32 . FNMA 555424 5.5% 05/01/33 2010-09-17 2021-12-27 1618 1742 -124 -124 . FNMA AH5823 4.5% 02/01/41 2011-02-17 2021-12-27 1933 1962 -29 -29 . FNMA AL2602 VAR RATE 10/01/22 2014-10-28 2021-12-27 4457 4499 -42 -42 . FNMA AL2965 VAR RATE 12/01/22 2014-06-11 2021-12-27 95 94 1 1 . FNMA AL3876 VAR RATE 06/01/23 2013-12-18 2021-12-27 174 167 7 7 . FNMA AL5263 4% 02/01/29 2020-04-02 2021-12-27 10240 10808 -568 -568 . FNMA AM3301 2.35% 05/01/23 2014-01-28 2021-12-27 317 297 20 20 . FNMA AM8970 2.87% 05/01/30 2016-01-27 2021-12-27 362 353 9 9 . FNMA AN2497 2.6% 09/01/28 2017-02-06 2021-12-27 659 630 29 29 . FNMA AN2840 2.49% 09/01/28 2017-02-07 2021-12-27 361 341 20 20 . FNMA AU6278 5% 11/01/43 2014-10-28 2021-12-27 11550 12846 -1296 -1296 . FNMA 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2021-12-27 632 707 -75 -75 . FNMA 2003-33 CL AM 4.25% 05/25/2033 DTD 04/01/2003 2011-04-15 2021-12-27 757 778 -21 -21 . FNMA 2003-42 CL JH 5.5% 05/25/2033 DTD 04/01/2003 2011-04-20 2021-12-27 1397 1500 -103 -103 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2021-02-18 2021-12-27 427 31 396 396 . FNMA 2003-80 CL QG 5.0% 08/25/2033 DTD 07/01/2003 2016-12-09 2021-12-27 435 -435 -435 . FNMA 2004-60 CL LB 5.0% 04/25/2034 DTD 07/01/2004 2011-04-19 2021-12-27 128 137 -9 -9 . FNMA 2004-91 CL HC 6.0% 12/25/2034 DTD 11/01/2004 2017-11-01 2021-12-27 6397 7612 -1215 -1215 . FNMA 2005-48 CL AU 5.5% 06/25/2035 DTD 05/01/2005 2015-03-02 2021-12-27 2100 2508 -408 -408 . FNMA 2005-73 CL EZ 5.5% 08/25/2035 DTD 07/01/2005 2016-12-09 2021-12-27 3967 4065 -98 -98 . FNMA 2006-9 CL DG 5.5% 03/25/2036 DTD 02/01/2006 2021-12-27 3148 3561 -413 -413 . FNMA 2006-102 CL A 6.5% 10/25/2036 DTD 09/01/2006 2011-04-07 2021-12-27 116 127 -11 -11 . FNMA 2007-22 CL A 5.5% 03/25/2037 DTD 02/01/2007 2012-12-04 2021-12-27 151 170 -19 -19 . FNMA 2009-33 CL FB VAR RT 03/25/2037 DTD 04/25/2009 2013-03-01 2021-12-27 829 840 -11 -11 . FNMA 2011-52 CL KB 5.5% 06/25/2041 DTD 05/01/2011 2014-03-20 2021-12-27 1722 1903 -181 -181 . FNMA 2010-123 CL KU 4.5% 11/25/2040 DTD 10/01/2010 2018-03-26 2021-12-27 7585 7957 -372 -372 . FNMA 2010-38 CL KC 4.5% 04/25/2040 DTD 03/01/2010 2018-02-15 2021-12-27 1437 1516 -79 -79 . FNMA 2010-64 CL DM 5.0% 06/25/2040 DTD 05/01/2010 2011-04-13 2021-12-27 829 875 -46 -46 . FNMA 776289 5% 05/01/34 2013-04-04 2021-12-27 213 234 -21 -21 . FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2021-12-27 28 30 -2 -2 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-12-27 114 120 -6 -6 . FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2021-12-27 7 8 -1 -1 . FNMA BC0100 3.5% 12/01/45 2016-06-07 2021-12-27 74 78 -4 -4 . FNMA BC3492 3.5% 02/01/46 2016-04-05 2021-12-27 405 426 -21 -21 . FNMA BC4899 3.5% 04/01/46 2016-06-07 2021-12-27 157 166 -9 -9 . FNMA BP3773 2% 02/01/36 2021-02-18 2021-12-27 2251 2347 -96 -96 . FNMA CA3804 2.5% 07/01/49 2021-02-26 2021-12-27 8501 8874 -373 -373 . FNMA FM2014 3% 11/01/49 2021-03-05 2021-12-27 13074 14064 -990 -990 . FNMA FM5937 4% 01/01/49 2021-03-05 2021-12-27 7211 7881 -670 -670 . FNMA AA0835 5% 01/01/39 2009-07-29 2021-12-27 300 306 -6 -6 . FNMA AB1693 4% 11/01/40 2011-03-01 2021-12-27 3469 3409 60 60 . FNMA AB3678 3.5% 10/01/41 2011-10-26 2021-12-27 998 1014 -16 -16 . FNMA MA1213 3.5% 10/01/42 2014-02-28 2021-12-27 756 756 . FNMA MA1546 3.5% 08/01/43 2014-03-19 2021-12-27 1728 1716 12 12 . FNMA MA2369 4% 08/01/45 2016-04-05 2021-12-27 1043 1130 -87 -87 . JPM MTG TR 2004-A1 2004-A1 CL 1A1 VAR RT 02/25/2034 DTD 02/01/2004 2021-12-27 123 121 2 2 . MERRILL LYNCH MTG INVESTORS TR SER 2003-A5 2003-A5 CL 2A6 VAR RT 2015-12-08 2021-12-27 540 537 3 3 81. ZIMMER HLDGS INC 2021-12-29 10385 9166 1219 1219 133. ZIMMER HLDGS INC 2021-12-29 17122 14932 2190 2190 265. ZIMMER HLDGS INC 2021-12-29 34134 29582 4552 4552 363. ZIMMER HLDGS INC 2021-12-29 46530 40174 6356 6356 11. ZIMMER HLDGS INC 2017-11-13 2021-12-30 1418 1215 203 203 1. ZIMMER HLDGS INC 2017-11-13 2021-12-30 128 110 18 18 1. BLACKSTONE GSO PRIVATE INVESTORS, L.P. (OFFSHORE) - NSD FIDUCIARY 2021-12-31 29071 29524 -453 -453 1. APOLLO EPF II PRIVATE INVESTORS,L.P. (OFFSHORE) CLASS A - 2021-12-31 94670 11357 83313 83313 1. CRP VIII (CARLYLE) PRIVATE INVESTORS OFFSHORE, L.P. (NON-SELF 2021-12-31 247882 274791 -26909 -26909 1. BSREP III (BROOKFIELD) PRIVATE INVESTORS OFFSHORE, L.P. (NON-SELF 2021-12-31 57153 62083 -4930 -4930 1. AP VIII (APAX) PRIVATE INVESTORS OFFSHORE LP - CLASS A (NON-SELF 2021-12-31 96386 3486 92900 92900 1. RIVERSTONE GLOBAL ENERGY AND POWER PRIVATE INVESTORS V, LP (OFFSHOR 2021-12-31 14511 15570 -1059 -1059 1. BREP IX PRIVATE INVESTORS OFFSHORE, L.P. - CLASS A - 2021-12-31 76085 96440 -20355 -20355 1. DFJ GROWTH 2013 PRIVATE INVESTORS OFFSHORE, L.P. CLASS A - 2021-12-31 2514747 471456 2043291 2043291 1. KKR ASIAN FUND II PRIVATE INVESTORS OFFSHORE, LP - CLASS A - NON-SE 2021-12-31 157153 162889 -5736 -5736 1. KKR NORTH AMERICA XI PRIVATE INVESTORS OFFSHORE CLASS A NON SELF 2021-12-31 719210 24045 695165 695165 1. GSO PRIVATE INVESTORS OFFSHORE II, LP CLASS A - NON-SELF DEALING 2021-12-31 123870 126193 -2323 -2323 1. CCMP III PRIVATE INVESTORS OFFSHORE, L.P. - CLASS A - 2021-12-31 587324 609184 -21860 -21860 1. MARINER ATLANTIC MULTI-STRATEGY FUND, LTD. CLASS N SHARES - SERIES 2021-12-31 1500000 1298887 201113 201113 1. WP GROWTH PRIVATE INVESTORS OFFSHORE, L.P. - CLASS A - 2021-12-31 32947 36323 -3376 -3376 1. AP X PRIVATE INVESTORS OFFSHORE, L.P. - CLASS A - NON-SELF DEALING 2021-12-31 1 2942 -2941 -2941 1. STARWOOD SOF IX PRIVATE INVESTORS OFFSHORE L.P. CLASS A - NON-SELF 2021-12-31 23466 580 22886 22886 1. SILVER LAKE PARTNERS IV (SLP IV) PRIVATE INVESTORS, L.P. (OFFSHORE 2021-12-31 170581 174651 -4070 -4070 1. STARWOOD SOF XI PRIVATE INVESTORS OFFSHORE 2, L.P. (NON-SELF DEALIN 2021-12-31 137903 139604 -1701 -1701 1. BREP ASIA II PRIVATE INVESTORS OFFSHORE, L.P. (NON-SELF DEALING 2021-12-31 32454 44051 -11597 -11597 1. GOLDENTREE OFFSHORE FUND, LTD. (NON-SELF DEALING FIDUCIARY 2021-12-31 599407 90345 509062 509062 1. GOLDENTREE OFFSHORE FUND, LTD SPF-R MGMT SERIES '655 2021-12-31 50984 9054 41930 41930 1. ASF VIII PRIVATE INVESTORS OFFSHORE, SICAV-RAIF S.C.SP. - CLASS A - 2021-12-31 125540 128664 -3124 -3124 1. DFJ GROWTH IV PRIVATE INVESTORS OFFSHORE, L.P. - CLASS A NON-SELF 2021-12-31 187388 187839 -451 -451 1. EQT INFRASTRUCTURE V PRIVATE INVESTORS OFFSHORE SICAV-RAIF S.C.SP 2021-12-31 13062 15928 -2866 -2866 1. SVSS V PRIVATE INVESTORS OFFSHORE, L.P - CLASS A NON-SELF DEALING 2021-12-31 2172 8397 -6225 -6225 1. BLOOM TREE OFFSHORE FUND, LTD. SUB-CLASS B-5 - NEW ISSUES 2021-12-31 2967777 2300000 667777 667777 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL 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DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 CAPITAL GAIN DIVIDENDS P 2715711 14106544 272121 0 272121 0 272121 199124 0 130000 329124 X 0 57003 57003 0 false false false false false false false true true NY true false false false false true JPMORGAN CHASE BANK N A 8004962583 10 S DEARBORN IL1-0111 CHICAGO IL 606032003 false false false false true false false false false false false false false false false false false false false false false false JP MORGAN CHASE BANK NA 10 S DEARBORN IL1-0111 CHICAGO IL 606032003 TRUSTEE 50 1205900 NONE 0 NONE 0 247396919 11970332 0 259367251 0 0 259367251 3890509 255476742 12773837 12773837 272121 272121 12501716 0 12501716 0 12501716 11277774 0 0 0 0 11277774 12501716 1806621 0 0 0 0 0 0 0 11277774 1806621 0 0 9471153 0 0 0 0 0 0 0 0 3030563 0 0 0 0 0 0 0 0 BOOTH FERRIS FOUNDATION JPMORGAN C 270 PARK AVENUE NEW YORK NY 10017 2124642487 NONE@JPMORGAN.COM ONE COPY OF THE PROPOSAL SHOULD BE ACCOMPANIED BY AN ANNUAL REPORT. FINANCIAL DATA, INCLUDING THE ORGANIZATION'S CURRENT BUDGET AND ITS LATEST AUDITED FINANCIAL STATEMENTS SHOULD BE SUBMITTED AS WELL. N/A THE FOUNDATION'S PRIMARY INTERESTS ARE IN THE FIELD OF EDUCATION, ESPECIALLY THEOLOGICAL, SMALLER COLLEGES AND INDEPENDENT SECONDARY SCHOOLS. A LIMITED NUMBER OF GRANTS ARE MADE IN THE AREAS OF SOCIAL SERVICES AND CULTURAL ACTIVITIES IN NEW YORK CITY. GRANTS ARE NOT MADE QUEENS COMMUNITY HOUSE INC 108-25 62ND DRIVE FOREST HILLS NY 11375 NONE PC GENERAL 100000 PHILANTHROPY NEW YORK INC 320 EAST 43RD STREET NEW YORK NY 10017 NONE PC GENERAL 218100 VISUAL ARTS RESEARCH AND RESOURCE CENTER RELATING TO THE CARIBBEAN INC 120 EAST 125TH STREET NEW YORK NY 10035 NONE PC GENERAL 125000 WOMEN IN NEED INC ONE STATE STREET PLAZA NEW YORK NY 10004 NONE PC GENERAL 150000 NONPROFIT COORDINATING COMMITTEE OF NEW YORK 320 EAST 43RD STREET THIRD FL NEW YORK NY 10017 NONE PC GENERAL 200000 CITY PARKS FOUNDATION 830 FIFTH AVENUE NEW YORK NY 10065 NONE PC GENERAL 175000 PARTNERSHIP FOR AFTER SCHOOL EDUCATION 120 BROADWAY SUITE 230 NEW YORK NY 10271 NONE PC GENERAL 175000 GRANTMAKERS FOR EDUCATION 700 SW 5TH AVENUE SUITE 4000 PORTLAND OR 97204 NONE PC GENERAL 4100 WORKFORCE PROFESSIONALS TRAINING INSTITUTE 11 PARK PLACE SUITE 701 NEW YORK NY 10007 NONE PC GENERAL 100000 SEACHANGE CAPITAL PARTNERS 1385 BROADWAY 23RD FLOOR NEW YORK NY 10018 NONE PC GENERAL 50000 PERFORMANCE ZONE 75 MAIDEN LANE SUITE 906 NEW YORK NY 10038 NONE PC GENERAL 100000 CITY YEAR NEW YORK 55 BROAD STREET 24TH FL NEW YORK NY 10004 NONE PC GENERAL 200000 EXPONENT PHILANTHROPY 1720 N ST NW WASHINGTON DC 20036 NONE PC GENERAL 780 GODDARD RIVERSIDE COMMUNITYCENTER 593 COLUMBUS AVE NEW YORK NY 10024 NONE PC GENERAL 300000 NEIGHBORHOOD COALITION FOR SHELTER INC 50 BROADWAY SUITE 1301 NEW YORK NY 10004 NONE PC GENERAL 250000 NEW YORKERS FOR PARKS 55 BROAD STREET 23RD FLOOR NEW YORK NY 10004 NONE PC GENERAL 100000 THE NEW YORK COMMUNITY TRUST 909 THIRD AVENUE FLOOR 22 NEW YORK NY 10022 NONE PC GENERAL 150000 STREB INC 51 NORTH FIRST STREET BROOKLYN NY 11211 NONE PC GENERAL 100000 COMMUNITY RESOURCE EXCHANGE 42 BROADWAY 20TH FLOOR NEW YORK NY 10004 NONE PC GENERAL 150000 QUEENS MUSEUM OF ART NEW YORK CITY BUILDING QUEENS NY 113683398 NONE PC GENERAL 200000 URBAN ARTS PARTNERSHIP 21 HOWARD STREET 5TH FLOOR NEW YORK NY 10013 NONE PC GENERAL 150000 THE LESBIAN GAY BISEXUAL & TRANSGENDER COMMUNITY CENTER 208 WEST 13TH STREET NEW YORK NY 10011 NONE PC GENERAL 150000 THE HOPE PROGRAM INC 1 SMITH STREET 4TH FLOOR BROOKLYN NY 11201 NONE PC GENERAL 150000 CITIZENS FOR NYC 30 EAST 125TH STREET 189 NEW YORK NY 10035 NONE PC GENERAL 150000 BEDFORD STUYVESANT RESTORATION CORPORATION 1368 FULTON STREET BROOKLYN NY 11216 NONE PC GENERAL 150000 BLOOMINGDALE SCHOOL OF MUSIC 323 W 108TH STREET NEW YORK NY 10025 NONE PC GENERAL 150000 BROOKLYN ACADEMY OF MUSIC 30 LAFAYETTE AVENUE BROOKLYN NY 11217 NONE PC GENERAL 150000 BROOKLYN BAR ASSOCIATION VOLUNTEER LAWYER 123 REMSEN STREET BROOKLYN NY 11201 NONE PC GENERAL 134000 BUSINESSES UNITED IN INVESTMENT LENDING AND DEVELOPMENT (BUILD NYC) 1460 BROADWAY NEW YORK NY 10036 NONE PC GENERAL 150000 CENTER FOR FAMILY LIFE IN SUNSET PARK 443 39TH STREET BROOKLYN NY 11232 NONE PC GENERAL 200000 CHILDRENS AID 117 WEST 124TH STREET 5TH FLOOR NEW YORK NY 10027 NONE PC GENERAL 300000 CLASSROOM INC 123 WILLIAM STREET SUITE 1201 NEW YORK NY 10038 NONE PC GENERAL 300000 COALITION FOR ASIAN AMERICAN CHILDREN 50 BROAD STREET 18TH FLOOR NEW YORK NY 10004 NONE PC GENERAL 75000 COUNCIL OF PEOPLES ORGANIZATION INC 1077 CONEY ISLAND AVENUE BROOKLYN NY 11230 NONE PC GENERAL 153203 EDIBLE SCHOOLYARD NYC 20 JAY STREET SUITE M9 BROOKLYN NY 11215 NONE PC GENERAL 125000 EL MUSEO DEL BARRIO 1230 FIFTH AVENUE NEW YORK NY 10029 NONE PC GENERAL 100000 FJC BO NEW YORK CITY FUND TO END YOUTH 520 EIGHTH AVE 20TH FL NEW YORK NY 10018 NONE PC GENERAL 100000 FUTURES AND OPTIONS INC 120 BROADWAYSUITE 1019 NEW YORK NY 10271 NONE PC GENERAL 125000 GIBNEY 280 BROADWAY NEW YORK NY 10007 NONE PC GENERAL 100000 GRADUATE NYC 16 COURT STREET 4TH FLOOR BROOKLYN NY 11201 NONE PC GENERAL 100000 GROUP I ACTING COMPANY INC 630 NINTH AVENUE SUITE 803B NEW YORK NY 10026 NONE PC GENERAL 50000 HARLEM EDUCATIONAL ACTIVITIES FUND INC 2090 ADAM CLAYTON POWELL JR BLVD NEW YORK NY 10027 NONE PC GENERAL 100000 ITHACA COLLEGE 953 DANBY ROAD ITHACA NY 14850 NONE PC GENERAL 135000 JOYCE THEATER 175 EIGHTH AVENUE NEW YORK NY 10011 NONE PC GENERAL 100000 LESLIE-LOHMAN MUSEUM OF GAY AND LESBIAN ART 26 WOOSTER STREET NEW YORK NY 10013 NONE PC GENERAL 100000 MAGNUM FOUNDATION 59 EAST 4TH STREET 7W NEW YORK NY 10003 NONE PC GENERAL 200000 MARYMOUNT MANHATTAN COLLEGE 221 EAST 71ST STREET NEW YORK NY 10021 NONE PC GENERAL 150000 METROPOLITAN CENTER FOR MENTAL HEALTH 160 WEST 86TH STREET NEW YORK NY 10024 NONE PC GENERAL 130741 MIND-BUILDERS CREATIVE ARTS CENTER 3415 OLINVILLE AVENUE Bronx NY 10467 NONE PC GENERAL 100000 MUSEUM OF CHINESE IN AMERICA 215 CENTRE STREET NEW YORK NY 10013 NONE PC GENERAL 60000 NEW ART PUBLICATIONS INC DBA BOMB MAGAZINE 80 HANSON PLACE SUITE 703 BROOKLYN NY 11217 NONE PC GENERAL 100000 NEW MUSIC USA P O BOX 370550 BROOKLYN NY 11237 NONE PC GENERAL 100000 NEW TEACHER CENTER 1205 PACIFIC AVENUE SUITE 301 SANTA CRUZ CA 95060 NONE PC GENERAL 155000 NEW YORK COMMUNITY TRUST 909 THIRD AVENUE 22ND FLOOR NEW YORK NY 10022 NONE PC GENERAL 40000 PARSONS DANCE FOUNDATION INC 124 EAST 91ST STREET 2B NEW YORK NY 10128 NONE PC GENERAL 200000 PLAYWORKS EDUCATION ENERGIZED 31 WEST 34TH STREET SUITE 7153 NEW YORK NY 10001 NONE PC GENERAL 100000 RATTLESTICK PRODUCTIONS INC DBA RATTLESTICK PLAYWRIGHTS THEATER 244 WAVERLY PLACE NEW YORK NY 10014 NONE PC GENERAL 225000 SALVADORI CENTER LTD 475 RIVERSIDE DRIVE SUITE 1272 NEW YORK NY 10115 NONE PC GENERAL 175000 SCHOOL FOR THE PHYSICAL CITY AN EXPEDITIONARY LEARNING CENTER 247 WEST 35TH STREET 8TH FLOOR NEW YORK NY 10001 NONE PC GENERAL 182000 ST ANN'S WAREHOUSE 45 WATER STREET BROOKLYN NY 11201 NONE PC GENERAL 100000 ST NICKS ALLIANCE WORKFORCE DEVELOPMENT 2 KINGSLAND AVENUE BROOKLYN NY 11211 NONE PC GENERAL 75000 STANLEY M ISAACS NEIGHBORHOOD CENTER 415 E 93RD STREET NEW YORK NY 10128 NONE PC GENERAL 100000 THE BUSHWICK STARR 207 STARR STREET 2-2 BROOKLYN NY 11237 NONE PC GENERAL 150000 THE CLASSICAL THEATRE OF HARLEM 8 W 126TH STREET NEW YORK NY 10027 NONE PC GENERAL 100000 THE KNOWLEDGE HOUSE 363 RIDER AVENUE 3RD FLOOR BRONX NY 10451 NONE PC GENERAL 50000 THE LAUNDROMAT PROJECT INC 1476 FULTON ST BROOKLYN NY 11216 NONE PC GENERAL 120000 THE NATIONAL BLACK THEATRE WORKSHOP INC 213 WEST 137TH STREET NEW YORK NY 10030 NONE PC GENERAL 125000 THE NEW 42ND STREET INC 229 WEST 42ND STREET NEW YORK NY 10036 NONE PC GENERAL 150000 THE OPPORTUNITY NETWORK 85 BROAD STREET SIXTH FLOOR NEW YORK NY 10004 NONE PC GENERAL 400000 THE SOCIETY FOR THE PRESERVATION OF WEEKSVILLE AND BEDFORD-STUYVESANT HISTOR 158 BUFFALO AVENUE BROOKLYN NY 11213 NONE PC GENERAL 130000 THE TRUSTEES OF COLUMBIA UNIVERSITY IN THE CITY OF NEW YORK 615 WEST 131ST STREET 6TH FLOOR NEW YORK NY 10027 NONE PC GENERAL 172500 THOMAS EDISON STATE UNIVERSITY 111 WEST STATE STREET TRENTON NJ 08608 NONE PC GENERAL 100000 UASPIRE 55 EXCHANGE PLACE SUITE 503 NEW YORK NY 10005 NONE PC GENERAL 150000 UP2US INC 520 8TH AVE SUITE 201D NEW YORK NY 10018 NONE PC GENERAL 150000 WOMANKIND 32 BROADWAY 10TH FLOOR NEW YORK NY 10004 NONE PC GENERAL 100000 WORKS AND PROCESS INC 155 EAST 44TH STREET SUITE 1005 NEW YORK NY 10017 NONE PC GENERAL 120000 BATTERY DANCE 380 BROADWAY 5TH FLOOR NEW YORK NY 10013 NONE PC GENERAL 100000 10655424 14 6145266 18 14106544 K1 INCOME 15 12815 20264625 20264625 false false false false false false false false false false 00507UAS0 ALLERGAN FDG SCS 3.8 75794 78589 026874CY1 AMERICAN INTL GROUP 20987 22298 035242AM8 ANHEUSER-BUSCH INBEV 103638 119055 037735CM7 APPALACHIAN PWR CO S 101398 107763 03879QAF1 VEREIT OPER PARTNER 059165EE6 BALTIMORE GAS & ELEC 12189TAZ7 BURLINGTN NORTH SANT 58141 77926 12572QAF2 CME GROUP INC SR NTS 12669FBN2 CHL MTG PASS-THROUGH 16542 17536 171232AE1 CHUBB CORP 6.8% 11/1 77731 83617 172967EW7 CITIGROUP INC SR NTS 103162 118350 25156PAC7 DEUTSCHE TELEKOM INT 138199 145346 29364DAR1 ENTERGY AR LLC 3.05% 32077 32786 29379VAM5 ENTERPRISE PRODUCTS 27303 32775 3128M4SQ7 FHLMC GOLD G02927 5. 13756 15030 3128M6UR7 FHLMC GOLD G04792 6. 5866 5954 3128M8GL2 FHLMC GOLD G06203 5% 9661 10214 3128MJMC1 FHLMC GOLD G08354 5% 45598 50043 3128NH5J8 FHLMC POOL 1J1749 AR 18496 17992 31292GP83 FHLMC GOLD C00447 8% 312938K51 FHLMC GOLD A90316 4. 29897 33148 31297LDH0 FHLMC GOLD A31004 6% 8051 8565 31298EX75 FHLMC GOLD C46102 5. 27678 28037 3132H3HK2 FHLMC GOLD U90234 3% 56182 56498 3132QDDX6 FHLMC GOLD U93118 3. 150137 152101 3133984L0 FHLMC 2338 CL ZC 6.5 21885 22315 3133T2QN3 FHLMC 1611 CL Z 6.5% 12272 11398 3133TAN73 FHLMC 1974 CL ZA 7.0 10426 10021 3133TJDF7 FHLMC 2122 CL ZE 6.0 35553 34851 3133TSQF3 FHLMC 2310 CL Z 6.0% 23254 23788 31358GXJ1 FNMA 1991-52 CL J 8. 3136A1MA0 FNMA 2011-99 CL DB 5 63890 62485 3136AEX69 FNMA 2013-M9 CL A2 V 60189 60922 3136AKQM8 FNMA 2014-M8 CL A2 V 159410 160736 3136ALMX6 FNMA 2014-73 CL PJ 3 36997 38014 31371NEW1 FNMA 256749 6% 06/01 19936 22760 3137AA5D1 FHLMC 3854 CL EW 4.0 40321 38786 3137ALYM5 FHLMC 4000 CL VH 3.5 287297 287247 3137AYCE9 FHLMC K025 CL A2 2.6 95422 100878 3137B2PC8 FHLMC 4212 CL CB 4.0 31381SEB4 FNMA 469130 4.87% 10 184121 188987 31385XAZ0 FNMA 555424 5.5% 05/ 77180 80045 3138A7PH5 FNMA AH5823 4.5% 02/ 142720 155854 3138EJ3L0 FNMA AL2602 VAR RATE 95965 95437 3138EKJK2 FNMA AL2965 VAR RATE 39202 39817 3138ELJW4 FNMA AL3876 VAR RATE 75067 79369 3138L3U37 FNMA AM3301 2.35% 05 114569 123929 3138L4H55 FNMA POOL AM3851 3.0 345379 347975 3138L96G2 FNMA AM8970 2.87% 05 187415 206403 3138L9T85 FNMA POOL AM8674 2.8 206570 208672 3138X56Q5 FNMA AU6278 5% 11/01 44035 43645 31392HMM2 FNMA 2003-11 CL BY 5 17011 16893 31393BFF7 FNMA 2003-33 CL AM 4 47501 49711 31393BVP7 FNMA 2003-42 CL JH 5 10695 10936 31393DK42 FNMA 2003-80 CL QG 5 64489 64912 31393FPA8 FHLMC 2532 CL PH 5.5 24206 24331 31393FPW0 FHLMC 2544 CL KE 5.5 13757 14072 31393NK57 FHLMC 2590 CL OA 4.0 6039 5947 31393NVW6 FHLMC 2598 CL QE 5.5 101919 101467 31394AWY8 FNMA 2004-60 CL LB 5 220 206 31394DA59 FNMA 2005-48 CL AU 5 91395 84642 31394ED54 FNMA 2005-73 CL EZ 5 192293 212381 31394KR89 FHLMC 2696 CL DG 5.5 81079 79129 31395BBS1 FNMA 2006-9 CL DG 5. 37091 35940 31395R2Z0 FHLMC 2949 CL PB 5.5 118805 111375 31395UEH0 FHLMC 2980 CL QB 6.5 14573 16685 31396AU69 FHLMC 3027 CL DE 5.0 31750 31164 31396LLF5 FNMA 2006-102 CL A 6 4444 4727 31396PW64 FNMA 2007-22 CL A 5. 11396 11565 31397NXK6 FNMA 2009-33 CL FB V 20452 20649 31397UDK2 FNMA 2011-52 CL KB 5 92885 95567 31397YWZ0 FHLMC 3508 CL PK 4.0 1092 1153 31398QK30 FHLMC 3684 CL CY 4.5 81053 75219 31398RM85 FNMA 2010-64 CL DM 5 34165 35775 31398VWE2 FHLMC 3653 CL B 4.5% 71861 71114 31398WKY9 FHLMC 3631 CL PA 4.0 34053 35912 31404RNE3 FNMA 776289 5% 05/01 21232 21113 31405E5Q4 FNMA 787555 6.5% 02/ 7194 7731 31405E5Y7 FNMA 787563 6.5% 03/ 20695 22914 31405E5Z4 FNMA 787564 7% 03/01 2036 1954 3140EUDE6 FNMA BC0100 3.5% 12/ 34880 35002 3140EX3A9 FNMA BC3492 3.5% 02/ 176725 180453 3140F0NR1 FNMA BC4899 3.5% 04/ 73627 74596 31416H4V4 FNMA AA0835 5% 01/01 8441 9384 31416W3B6 FNMA AB1693 4% 11/01 89143 98796 31417ACQ0 FNMA AB3678 3.5% 10/ 78242 83410 31418AK31 FNMA MA1213 3.5% 10/ 21067 22644 31418AWG9 FNMA MA1546 3.5% 08/ 50812 55002 31418BT30 FNMA MA2369 4% 08/01 88220 88759 36202FGE0 GNMA II POOL 004697 31700 34074 3620AQYT4 GNMA 737022 4.5% 02/ 91796 101632 36213C5L0 GNMA 550851 7% 09/15 12531 13534 36213CZP8 GNMA 550750 5.5% 12/ 28205 29092 36294SFW2 GNMA 658181 5.5% 11/ 5113 5230 36296US35 GNMA 701738 5% 03/15 19910 22478 36962GXZ2 GEN ELEC CO SR NTS M 90087 103645 375558AW3 GILEAD SCIENCES INC 35852 36791 38141EC23 GOLDMAN SACHS GROUP 39990 40206 38141GGM0 GOLDMAN SACHS GROUP 59774 87225 38148LAC0 GOLDMAN SACHS GROUP 25989 27410 38373S3V7 GNMA 2003-26 CL MB 5 152052 144939 38373SYG6 GNMA 2003-19 CL GT 5 26085 24876 38373SZB6 GNMA 2003-19 CL DH 5 51882 50578 38373YAB0 GNMA 2002-79 CL KL 5 38374BDZ3 GNMA 2003-62 CL HE 5 57060 55003 38374CBC4 GNMA 2003-75 CL ZA 5 50858 51374 38374CYU9 GNMA 2003-84 CL PC 5 134080 132122 38374FTH7 GNMA 2004-19 CL KE 5 89320 87237 38374GSQ6 GNMA 2004-37 CL PE 5 113949 106970 38374JYA8 GNMA 2004-86 CL C 5. 174188 168387 38374KP23 GNMA 2005-26 CL XY 5 116799 114966 38374KTZ6 GNMA 2005-13 CL AH 5 79969 84783 38374XD93 GNMA 2009-84 CL C 4. 39187 37501 38375YET5 GNMA 2008-83 CL ND 5 45375 42692 38376WCN3 GNMA 2010-14 CL KP 5 264344 254520 38377QRF6 GNMA 2011-22 CL PL 5 230125 231320 38377YX39 GNMA 2011-137 CL WA 62290 62780 3837H27G8 GNMA 2008-63 CL PE 5 76868 75969 40414LAJ8 HEALTHPEAK PROPERTIE 44107TAU0 HOST HOTELS & RESORT 458140AS9 INTEL CORP SR NTS 3. 18972 20502 466247BL6 JPM MTG TR 2004-A1 2 21105 20726 49326EED1 KEYCORP SR NTS MTN 5 501044CN9 KROGER CO SR NTS 5.4 64427 85115 544646ZR6 LOS ANGELES CA UNIF 90000 125342 553794AC2 MUFG AMERICAS HLDGS 5899293T3 MERRILL LYNCH MTG IN 16936 17082 59156RAM0 METLIFE INC SR NTS 5 76577 87212 65339KAG5 NEXTERA ENERGY CAP 3 656531AD2 EQUINOR ASA 7.15% 11 70558 60226 74251VAM4 PRIN FINL GROU 3.1% 32952 34682 74432QBT1 PRUDENTIAL FINL INC 796253T93 SAN ANTONIO TX ELEC 95000 134051 808513AG0 CHARLES SCHWAB CORP 82481LAC3 SHIRE ACQ INV IRELAN 40296 41139 842434CG5 SOUTHN CALIF GAS CO 96069 95031 857477AL7 ST STR CORP 3.1% 05/ 23961 24747 85771PAQ5 EQUINOR ASA 4.8% 11/ 9950 12944 867229AE6 SUNCOR ENERGY INC SR 41836 47858 86765BAQ2 ENERGY TRANSFER LP 5 19866 22969 880591CS9 TVA SR NTS 5.88% 04/ 92867 109355 88059ENT7 TVA CPN STRIP ZERO C 261346 300371 90265EAL4 UDR INC MTN 2.95% 09 34766 36377 911596AL8 US BANCORP 7.5% 06/0 65965 61957 912810EP9 US TREAS 7.125% 02/1 469540 392147 912810EW4 US TREAS 6% 02/15/26 1329813 1194531 912810QK7 US TREAS 3.875% 08/1 143944 217471 912810QN1 US TREAS 4.75% 02/15 154936 220682 912828D56 US TREAS 2.375% 08/1 736586 726824 912828PX2 US TREAS 3.625% 02/1 9128334V9 STRIPS ZERO CPN 02/1 515833 530174 912833XX3 STRIPS ZERO CPN 02/1 286736 308202 927804FR0 VA ELEC & PWR CO SR 21827 26855 94974BFY1 WELLS FARGO & COMPAN 25973 28339 00185AAF1 AON PLC 3.5% 06/14/2 85261 89330 00206RCP5 AT&T INC SR NTS 4.5% 96246 115520 00912XAV6 AIR LEASE CORP SR NT 19347 20977 026874DC8 AMERN INTL GROUP SR 24558 27640 03027XAD2 AMERN TOWER CORP SR 26978 26900 084670BR8 BERKSHIRE HATHAWAY I 66024 66367 096630AD0 BOARDWALK PIPELINES 36657 37929 11120VAA1 BRIXMOR OPER PART SR 44807 47577 14314JAE0 CARMAX AUTO OWNER TR 166764BD1 CHEVRON CORP SR NTS 86527 90716 23317HAD4 SITE CENTERS CORP SR 37257 40828 26884ABF9 ERP OPER LP SR NTS 2 43844 47335 29250NAH8 ENBRIDGE INC 3.5% 06 44250 46965 3133TVEN2 FHLMC 2355 CL AE 6.0 21410 21613 3136A6BM5 FNMA 2012-52 CL NY 3 213454 224099 3136AQ5Y2 FNMA 2016-9 CL D 3.0 159441 164290 3136AV6R5 FNMA GRANTOR TR 2017 157271 166263 3137FAWS3 FHLMC K067 CL A2 3.1 366662 386157 3137FCJF2 FHLMC STRUCTURED PAS 91092 90374 3137FCJK1 FHLMC K070 CL A2 VAR 242046 256918 3137FCWX8 FHLMC KJ18 CL A2 3.0 113536 111906 3138LAU72 FNMA POOL AM9605 3.1 304406 325056 3138LEX30 FNMA AN2497 2.6% 09/ 390047 429777 3138LFEN4 FNMA AN2840 2.49% 09 230225 255114 31394BZB3 FNMA 2004-91 CL HC 6 276041 256325 349553AM9 FORTIS INC SR NTS 3. 27135 29147 38374BQW6 GNMA 2003-65 CL AN 5 229125 221102 38376CN62 GNMA 2009-92 CL CP 5 341625 347390 56501RAC0 MANULIFE FINANCIAL C 20931 21891 56585AAG7 MARATHON PETRLM CORP 606822AL8 MITSUBISHI UFJ FIN G 61746BDZ6 MORGAN STANLEY SR NT 101522 108133 637417AG1 NATL RETAIL PROP INC 41253 42235 69352PAE3 PPL CAP FDG INC 3.5% 74432QAC9 PRUDENTIAL FINL INC 23274 25939 747525AJ2 QUALCOMM INC SR NTS 912810FE3 US TREAS 5.5% 08/15/ 226347 220090 912810RQ3 US TREAS 2.5% 02/15/ 609477 718021 912810RS9 US TREAS 2.5% 05/15/ 318445 397870 912828G53 US TREAS 1.875% 11/3 92343VCQ5 VERIZON COMMUNICATIO 129665 157247 92936UAA7 WP CAREY INC SR NTS 62780 63698 94973VAW7 ANTHEM INC SR NTS 3. 96950FAQ7 WILLIAMS COMPANIES I 74648 77574 025932AK0 AMERN FINL GROUP SR 41792 48132 026874DD6 AMERN INTL GROUP SR 19153 21400 026874DK0 AMERN INTL GROUP SR 24907 27888 042735BG4 ARROW ELECTRONICS IN 47178 52186 10373QAY6 BP CAP MARKETS AMER 126650CY4 CVS HEALTH CORP SR N 204758 249536 20030NBL4 COMCAST CORP 3.375% 136228 148554 3136A5HP4 FNMA 2012-31 CL LJ 3 405375 427496 3136A9CU0 FNMA 2012-115 CL DY 180813 204560 3136AJBN5 FNMA 2014-2 CL PX 4. 119073 125264 3136AJD52 FNMA 2014-26 CL YW 3 73500 80245 3137AGEG1 FHLMC 3939 CL BZ 4.5 169244 171324 3137BS3J0 FHLMC 4616 CL HP 3.0 134384 143052 3137GAG35 FHLMC 3735 CL KL 3.5 62030 63212 31398ETK0 FHLMC 3548 CL ZE 5.5 118432 124868 31398N2Z6 FNMA 2010-123 CL KU 176533 186679 31398PEC9 FNMA 2010-38 CL KC 4 187194 195038 36252HAB7 GS MTG SECURITIES TR 38377MUH7 GNMA 2010-146 CL HB 54275 56528 38378UNX1 GNMA 2013-147 CL BE 385781 417012 43814UAG4 HONDA AUTO RECEIVABL 46132FAB6 INVESCO FIN PLC 4.0% 61945CAG8 MOSAIC CO SR NTS 4.0 34043 38620 67077MAC2 NUTRIEN LTD SR NTS 3 67077MAL2 NUTRIEN LTD SR NTS 3 686330AJ0 ORIX CORP SR NTS 3.7 93298 103125 756109AQ7 REALTY INCOME CORP 3 89061 95470 822582AN2 SHELL INTL FIN 5.5% 88859 101620 83002G108 SIX CIRCLES ULTR SHR 5082183 5050293 857477AZ6 ST STR CORP SR NTS V 19393 20145 87166PAA9 SYNCHRONY CARD ISSUA 90276FAS3 UBS COML MTG TR 2018 46818 47433 9128284N7 US TREAS 2.875% 05/1 30448 33338 92340LAA7 VEREIT OPER PARTNER 95040QAD6 WELLTOWER INC SR NTS 44982 50406 001055AQ5 AFLAC INC SR NTS 2.8 43810 47338 00912XBA1 AIR LEASE CORP SR NT 75257 77823 05351WAB9 AVANGRID INC SR NTS 44936 48925 064159MK9 BK OF NOVA SCOTIA SR 93065 94429 10112RAX2 BOSTON PROPERTIES LP 35943 37495 124857AZ6 VIACOMCBS INC SR NTS 27156 27778 14040HBN4 CAPITAL ONE FINANCIA 118843 129912 174610AR6 CITIZENS FINL GROUP 50829 52085 26078JAE0 DUPONT DE NEMOURS IN 42903 51541 29278NAL7 ENERGY TRANSFER OPER 29365TAG9 ENTERGY TX INC 4.0% 54898 60230 3137AMDT1 FHLMC 3997 CL WC 3.5 524578 553188 316773CX6 FIFTH THIRD BANCORP 24954 26190 38148YAA6 GOLDMAN SACHS GROUP 140747 154403 38379LY91 GNMA 2015-79 CL QP 3 114931 116610 404121AF2 HCA INC SR NTS 4.75% 48157 47132 42225UAG9 HEALTHCARE TR OF AME 83615 86707 464287440 ISHARES 7-10 YEAR TR 1939961 1933265 53227JAB0 LIFE STORAGE LP 4.0% 9948 11085 55336VAK6 MPLX LP SR NTS 4.125 61573 65645 573284AT3 MARTIN MARIETTA MATE 47978 53773 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