Report of Independent Registered Public Accounting Firm
To the Plan Participants and the Plan Administrator of
CVS Health Future Fund 401(k) Plan
Opinion on the Financial Statements
We have audited the accompanying statements of net assets available for benefits of the CVS Health Future Fund 401(k) Plan (the Plan) as of December 31, 2021 and 2020, and the related statements of changes in net assets available for benefits for the years then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the net assets available for benefits of the Plan at December 31, 2021 and 2020, and the changes in its net assets available for benefits for the years then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on the Plan’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Plan in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Plan is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Plan’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
Supplemental Schedule Required by ERISA
The accompanying supplemental schedule of assets (held at end of year) as of December 31, 2021, (referred to as the “supplemental schedule”), has been subjected to audit procedures performed in conjunction with the audit of the Plan’s financial statements. The information in the supplemental schedule is the responsibility of the Plan’s management. Our audit procedures included determining whether the information reconciles to the financial statements or the underlying accounting and other records, as applicable, and performing procedures to test the completeness and accuracy of the information presented in the supplemental schedule. In forming our opinion on the information, we evaluated whether such information, including its form and content, is presented in conformity with the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. In our opinion, the information is fairly stated, in all material respects, in relation to the financial statements as a whole.
/s/ Ernst & Young LLP
We have served as the Plan’s auditor since 2008.
Boston, Massachusetts
June 23, 2022
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CVS HEALTH FUTURE FUND 401(k) PLAN
Statements of Net Assets Available for Benefits
December 31, 2021 and 2020
2021
2020
Assets:
Investments at fair value:
Cash
$
5,942
$
165
Mutual funds (Note 2 (b))
8,854,788,000
8,766,302,034
Common stock (Note 2 (b))
6,324,137,708
2,862,966,978
Corporate bonds (Note 2 (b))
564,198,024
545,382,430
U.S. Government securities (Note 2 (b))
663,368,441
623,000,895
Other securities (Note 2 (b))
45,847,002
41,058,186
Common collective trust funds (Note 2 (b))
8,951,440,390
8,793,173,189
Total investments at fair value
25,403,785,507
21,631,883,877
Fully benefit responsive investments at contract value:
Total fully benefit responsive investments at contract value
2,909,717,279
2,954,581,257
Total investments
28,313,502,786
24,586,465,134
Receivables:
Interest and dividends (Note 2 (f))
9,207,147
7,543,858
Notes receivable from participants (Note 2 (h) and Note 4)
365,058,309
363,506,833
Employer contributions
18,603,721
—
Employee contributions
32,408,245
—
Total receivables
425,277,422
371,050,691
Total assets
28,738,780,208
24,957,515,825
Liabilities:
Accrued expenses and other liabilities
(18,392,294)
(15,951,127)
Pending securities settlements (Note 2 (g))
(108,109,268)
(62,607,756)
Total liabilities
(126,501,562)
(78,558,883)
Net assets available for benefits
$
28,612,278,646
$
24,878,956,942
See accompanying notes to financial statements.
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CVS HEALTH FUTURE FUND 401(k) PLAN
Statements of Changes in Net Assets Available for Benefits
Years Ended December 31, 2021 and 2020
2021
2020
Investment activity:
Interest and dividend income (Note 2 (f))
$
352,165,242
$
289,155,902
Net appreciation in value of investments (Note 2 (f))
3,609,317,183
2,731,673,228
Total investment activity
3,961,482,425
3,020,829,130
Participant loan interest (Note 4)
16,635,090
19,274,835
Contributions:
Employer contributions (Note 1 (c))
541,297,167
511,021,063
Employee contributions (Note 1 (c))
1,000,119,852
892,865,915
Rollovers
100,835,675
90,614,571
Total contributions
1,642,252,694
1,494,501,549
Deductions:
Benefits paid to participants (Notes 1 (f) and 2 (c))
1,846,647,599
1,655,168,832
Administrative expenses (Note 1 (g))
40,400,906
30,758,930
Total deductions
1,887,048,505
1,685,927,762
Net increase in net assets for the year before transfers
3,733,321,704
2,848,677,752
Aetna assets transferred in (Note 1 (a))
—
9,373,320,971
Net increase in net assets for the year
3,733,321,704
12,221,998,723
Net assets beginning of the year
24,878,956,942
12,656,958,219
Net assets end of the year
$
28,612,278,646
$
24,878,956,942
See accompanying notes to financial statements.
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CVS HEALTH FUTURE FUND 401(k) PLAN
Notes to Financial Statements
Years Ended December 31, 2021 and 2020
1.Plan Description
The following description of the CVS Health Future Fund 401(k) Plan (the “Plan” or “Future Fund”) provides only general information. Participants should refer to the Plan documents for a more complete description of the Plan’s provisions.
(a)Background
The Plan was established as of January 1, 1989. The Plan is a defined contribution plan subject to the provisions of the Employee Retirement Income Security Act of 1974 (“ERISA”), as amended. The general administration of the Plan and the responsibility for carrying out the provisions of the Plan are maintained by a committee (the “Benefit Plans Committee”) of not less than three persons appointed by the Board of Directors of CVS Health Corporation (“CVS Health”, and, together with its subsidiaries, the “Company”), the sponsor of the Plan. In accordance with the provisions of the Plan, the Benefit Plans Committee has appointed an Administrative Subcommittee (the “Plan Administrator”) and an Investment Subcommittee and delegated certain fiduciary duties and responsibilities to each of the Subcommittees. Also, the Vanguard Group, Inc. has been appointed as the recordkeeper to assist with administering the Plan (the “Recordkeeper”) and the Bank of New York Mellon has been appointed as the trustee of the Plan (the “Trustee”).The Recordkeeper maintains participant account records and works with the Trustee to execute transactions such as benefit payments to participants. The Trustee holds the assets of the Plan and executes transactions at the direction of the Plan Administrator.
On November 28, 2018, the Company acquired Aetna Inc. On January 1, 2020, the Company merged the Aetna 401(k) Plan into Future Fund. The Aetna 401(k) Plan was a participant-directed defined contribution plan covering eligible employees of Aetna Inc., and its subsidiaries. The merger resulted in a transfer of assets of approximately $9.4 billion into Future Fund effective January 1, 2020.
(b)Eligibility
Employees are eligible to participate in the Plan upon attainment of age 18, with the first payroll following 90 days of service as an employee. Effective January 1, 2022 employees are eligible to participate upon attainment of age 18 and as of the first of the month following their employment date.
Employees referred to above are defined as regular employees of the Company other than:
•A nonresident alien receiving no United States (“U.S.”) earned income from the Company;
•A resident of Puerto Rico;
•An individual covered under a collective bargaining agreement (unless the agreement provides for membership);
•A leased employee (as defined in the Internal Revenue Code (the “Code”);
•A temporary employee (as determined by the Company); or
•An independent contractor or consultant (as defined by the Company).
(c)Contributions
Participants may direct the Company to contribute to their accounts a percentage of the eligible compensation that would otherwise be due to them. Percentages can be elected in multiples of 1%, with a minimum participant contribution percentage of 1%, pursuant to a salary reduction agreement. Each participant’s total elective deferrals for any calendar year may not exceed 75% of eligible compensation for each of 2021 and 2020 or the maximum elective deferral allowed by the Code, whichever is less, as specified in the Plan document. The maximum elective deferral allowed by the Code was $19,500 for each of 2021 and 2020. All employees that are age 50 or over before December 31 of the calendar year and who contribute the maximum amount to the Plan (as dollar limit or percentage) are permitted to make additional catch-up contributions. Catch-up contributions may be made up to an additional $6,500 for each of 2021 and 2020.
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Plan participants making elective deferrals are eligible to receive Company matching contributions with the first payroll following the completion of one year of service with the Company. One year of service is defined as either:
•12 months of service, beginning on the employee's employment date, during which the employee completed at least 1,000 hours of service, or
•1,000 hours of service in the course of any calendar year after the calendar year in which the employee was hired.
The Plan provides a match of 100% up to 5% of an employee’s eligible compensation contributed to the Plan. The maximum annual match per participant was $14,500 for 2021 and $14,250 for 2020.
(d)Participant’s Account
Each participant’s account is credited with an allocable share of the participant’s selected Plan investments and any unrealized appreciation or depreciation and interest and dividends of those investments, net of administrative expenses.
(e)Vesting
Participants are 100% vested in participant and Company matching contributions.
Participants whose account balances have been transferred into the Plan from other defined contribution plans maintain at least the degree of vesting in the account that they had at the time of the transfer. Participants are always fully vested in and have a non-forfeitable right to (1) their accounts upon retirement, death or disability and (2) any elective deferrals described in Note 1(c) and any rollover amounts they make to the Plan. As of September 2021, all active accounts for participants became fully vested.
(f)Payment of Benefits
Upon termination of service by a participant, the Recordkeeper pays the participant his or her benefit under one or more options, such as a single lump sum (including a rollover) or in equal annual installments over a period not to exceed the participant’s expected lifetime.
(g)Administrative Expenses
Administrative expenses specifically attributable to the Plan and not covered by forfeitures were funded by the Plan for 2021 and 2020. Recordkeeping and Trustee’s fees were paid by the Plan for 2021 and 2020.
(h)Forfeitures
On a participant’s termination date, any unvested portion of the participant’s account is forfeited at the earlier of distribution or five years from the date of termination. The Plan formerly contained certain vesting schedules for Company matching contributions which could lead to forfeited matching contributions if a participant did not satisfy the criteria to vest the contributions upon the termination date. If a former participant resumed employment and eligibility in the Plan within five years of termination, any amounts previously forfeited were restored to the participant’s account, but remained subject to the vesting provisions of the Plan. Forfeitures during any plan year were applied as follows: (i) to restore amounts previously forfeited by participants but required to be reinstated upon resumption of employment; (ii) to pay administrative expenses of the Plan; or (iii) to the extent allowed by law, to reduce future Company contributions. If forfeitures for any plan year were insufficient to restore the required reinstated amounts, the Company would have contributed the balance required for that purpose.
There were no cash forfeitures required to be restored to participants upon resumption of employment in 2021 or 2020. The forfeitures for each year were applied to the administrative expenses of the Plan.
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(i)Investment Options
Upon enrollment in the Plan, a participant elects to direct contributions or investment balances to the investment fund options offered by and subject to the restrictions under the Plan. Participants may modify investment elections daily thereafter, subject to certain trading restrictions. The Plan’s investments are composed of guaranteed insurance contracts, common stock of CVS Health, marketable mutual funds, common collective trust (“CCT”) funds, U.S government securities, corporate bonds, other securities and separately managed funds (composed of marketable securities). The following is a brief explanation of each fund’s investment objectives:
Core Equity Fund
The investment seeks to track the performance of a benchmark index that measures the investment return of large capitalization stocks. The fund employs an indexing investment approach designed to track the performance of the Standard & Poor’s 500 Index, a widely recognized benchmark of U.S. stock market performance that is dominated by the stocks of large U.S. companies. The advisor attempts to replicate the target index by investing all, or substantially all, of its assets in the stocks that make up the index, holding each stock in approximately the same proportion as its weighting in the index.
CVS Health Stock Fund
The fund invests in CVS Health common stock to provide participants the possibility of long-term growth through increases in the value of the stock and the reinvestment of its dividends. At the time of contribution, participant deferrals into the CVS Health Stock Fund are limited to 20% of eligible compensation.
Diversified Bond Fund
This custom white label fund of funds seeks a stable rate of return and capital appreciation through investment in high quality bonds and other debt instruments. It is co-managed by Loomis Sayles (50%) and Dodge & Cox (50%) for Future Fund colleagues. Intermediate-term bond portfolios invest primarily in corporate and other investment-grade U.S. fixed-income issues and typically have durations of 3.5 to 6.0 years. These portfolios are less sensitive to interest rates, and therefore less volatile, than portfolios that have longer durations.
Emerging Markets Index Fund
The investment seeks to track the performance of a benchmark index that measures the investment return of stocks issued by companies located in emerging market countries. The fund employs an indexing investment approach designed to track the performance of the FTSE Emerging Markets All Cap China A Inclusion Index, a market-capitalization-weighted index that is made up of approximately 3,500 common stocks of large, mid, and small cap companies located in emerging markets around the world. The fund invests by sampling the index, meaning that it holds a broadly diversified collection of securities that, in the aggregate, approximates the index in terms of key characteristics. These key characteristics include industry weightings and market capitalization, as well as certain financial measures, such as price/earnings ratio and dividend yield.
Global Equity Fund
The investment seeks long-term growth of capital; future income is a secondary objective. The fund normally invests in stocks of companies located around the world to take advantage of investment opportunities generated by changes in international trade patterns and economic and political relationships. In pursuing its primary investment objective, it invests primarily in common stocks that the investment adviser believes have the potential for growth. In pursuing its secondary objective, the fund invests in common stocks of companies with the potential to pay dividends in the future. Effective February 2, 2021, this fund was removed from the Plan’s investment options.
Growth & Income Fund
This fund seeks stocks that reflect value characteristics such as price/earnings and price/book ratios below the market through investment in high dividend yield stocks at discounted valuations. It is co-managed by Columbia Threadneedle (50%), Barrow Hanley (25%), and Mellon Capital (25%) for Future Fund participants. Large value portfolios invest primarily in big U.S. companies that are less expensive or growing more slowly than other large cap stocks. Stocks in the top 70% of the capitalization of the U.S. equity market are defined as large cap. Value is defined based on low valuations (low price ratios and high dividend yields) and slow growth (low growth rates for earnings, sales, book value, and cash flow). Effective February 2, 2021, this fund was removed from the Plan’s investment options.
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International Equity Fund
This custom white label fund of funds seeks long-term growth of capital through investment in foreign (non-U.S.) equity securities. It also invests in depository receipts and companies located in emerging market countries. Co-managed by First Eagle (30%), American Funds (30%), Vanguard (30%), and Allspring Global Investments (10%) for Future Fund participants. Foreign large blend portfolios invest in a variety of large cap international stocks. Most of these portfolios divide their assets among a dozen or more developed markets, including Japan, Britain, France, and Germany. These portfolios primarily invest in stocks that have market caps in the top 70% of each economically integrated market (such as Europe or Asia ex-Japan). The blend style is assigned to portfolios where neither growth nor value characteristics predominate. These portfolios typically will have less than 20% of assets invested in U.S. stocks. In 2021, Wells Fargo Asset Management commenced operations as Allspring Global Investments.
International Equity Index Fund
The investment seeks to track the performance of a benchmark index that measures the investment return of stocks issued by companies located in the major markets of Europe, the Pacific Region, and Canada. The fund employs a “passive management” or indexing-investment approach designed to track the performance of the Financial Times Stock Exchange Group Developed All Cap ex US Index, which includes approximately 3,800 common stocks of companies located in Europe, Australia, Asia, and Canada. It attempts to replicate the target index by investing in all, or substantially all, of its assets in the stocks that make up the index, holding each stock in approximately the same proportion as its weighting in the index.
Large Cap Core Fund
Effective February 2, 2021, this fund was added to the Plan’s investment options. This custom white label fund of funds seeks long-term capital appreciation in excess of the Russell 1000 Index over a full market cycle primarily through investments in a diverse portfolio of large market capitalization U.S. stocks. The multi-manager approach brings diversification to the fund and helps protect it from single-manager risk. The fund is sub-advised by complementary asset managers that select stocks as follows:
Columbia Threadneedle (25%) – Seeks long-term capital appreciation by investing in a concentrated portfolio of value stocks and invests in underappreciated companies that show accelerating earnings growth that have potential catalysts to drive earnings forward.
T. Rowe Price (25%) – Invests in blue chip companies that are market leaders in their respective industry with strong management teams, solid financial fundamentals, strong earnings growth and increasing operating cash flow within industries where there is a positive outlook.
Barrow Hanley (15%) – The strategy is implemented by constructing portfolios of individual stocks, selected on a bottom-up basis, reflecting all three value characteristics: a price/earnings and price/book below the market and a dividend yield above the market.
MFS (15%) – Seeks to invest in companies where rate and duration of growth is being underestimated by the market over the long-term. The manager integrates rigorous risk management analysis in seeking to ensure that fundamental, bottom-up stock selection drives alpha.
Wellington (20%) – Seeks to maximize risk-adjusted total return and to outperform the S&P 500 Index over a market cycle by investing in companies with improving quality and attractive fundamentals. The manager utilizes a disciplined valuation framework that has the potential to lead to more predictable and consistent excess returns.
Large Cap Growth Fund
This fund seeks stocks that reflect growth characteristics such as sales and earnings growth above the market through investment in positive momentum stocks and that will continue to beat investor expectations. It is co-managed by Columbus Circle (one-third), T. Rowe Price (one-third), and Mellon Capital (one-third) for Future Fund colleagues. Large growth portfolios invest primarily in big U.S. companies that are projected to grow faster than other large cap stocks. Stocks in the top 70% of the capitalization of the U.S. equity market are defined as large cap. Growth is defined based on fast growth (high growth rates for earnings, sales, book value, and cash flow) and high valuations (high price ratios and low dividend yields). Most of these portfolios focus on companies in rapidly expanding industries. Effective February 2, 2021, this fund was removed from the Plan’s investment options.
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Mid Cap Index Fund
The investment seeks to track the performance of a benchmark index that measures the investment return of mid capitalization stocks. The fund employs an indexing investment approach designed to track the performance of the Center for Research in Security Prices US Mid Cap Index, a broadly diversified index of stocks of midsize U.S. companies. It attempts to replicate the target index by investing all, or substantially all, of its assets in the stocks that make up the index, holding each stock in approximately the same proportion as its weighting in the index.
Real Asset Index Fund
The fund seeks to offer broad, cost-effective exposure to commodities, global natural resource equities, global infrastructure equities, U.S. commercial real estate securities, and U.S. inflation linked bonds. The fund employs an indexing investment approach designed to track the performance of a custom index, which is made up of: 25% Bloomberg Roll Select Commodity Index, 25% S&P Global Large Midcap Commodity and Resources Index, 15% Dow Jones U.S. Select REIT Index, 25% Bloomberg Barclays U.S. TIPS Index, and 10% S&P Global Infrastructure Index. The allocation across the five broad asset classes seeks to provide a long-term return while targeting a level of risk relative to longer-dated U.S. Treasury Inflation Protected Securities.
Small Cap Growth Fund
The investment seeks to provide long-term capital appreciation. The fund invests mainly in the stocks of small companies. These companies are considered by the fund's advisors to have superior growth potential. Also, these companies often provide little or no dividend income. Effective July 3, 2021, this fund was removed from the Plan’s investment options.
Small Cap Index Fund
The investment seeks to track the performance of a benchmark index that measures the investment return of small-capitalization stocks. The fund employs an indexing investment approach designed to track the performance of the CRSP US Small Cap Index, a broadly diversified index of stocks of small U.S. companies. It attempts to replicate the target index by investing all, or substantially all, of its assets in the stocks that make up the index, holding each stock in approximately the same proportion as its weighting in the index.
Small Mid Cap Core Fund
Effective July 3, 2021, this fund was added to the Plan’s investment options. This custom white label fund of funds seeks long-term capital appreciation in excess of the Russell 2500 Index over a full market cycle primarily through investment in a diverse portfolio of small- and mid-size capitalization U.S. stocks. The multi-manager approach brings diversification to the fund and helps protect it from single-manager risk. The fund is sub-advised by complementary asset managers that select stocks as follows:
Sapience Small Cap Value (20%) – The portfolio consists of investments in businesses with market capitalizations between $300 million and $4 billion at initial investment. The strategy is to pursue companies across the value spectrum. The team invests in four types of businesses that are primarily differentiated through their assessment of quality and the nature of the opportunity. Discounted franchises are companies with solid financials and highly durable distinctive competencies. Value with drivers are acceptable businesses that have underperformed from an operational perspective and/or are out of favor. Undervalued growth and undervalued assets are restructurings, turnarounds, and spin-offs.
MFS Mid Cap Value Equity (20%) – The strategy seeks mid-cap companies with attractive valuations and high-quality fundamentals. The managers will also invest in companies that they believe to be undervalued compared to their perceived worth (value companies) and have significant potential for improvement and/or low market expectations. The fund leverages MFS’s bottom-up, global research platform to identify undervalued, high quality companies that generally: have solid balance sheets, resilient business models, scope for improving returns, capital investment discipline, and prospects for beneficial capital deployment (dividends and/or share buybacks).
Snyder Capital Mgt Small/Mid Cap Value (20%) – The objective of the strategy is long-term growth of principal by targeting companies that can appreciate 50% over a 3-year time horizon. This is implemented with an emphasis on downside protection by selecting high-quality companies while avoiding those that are more speculative. These characteristics include differentiated and sustainable products or services, above average free cash flow, below average financial leverage, and a management team with a strong track record of both operational execution and capital allocation. The strategy is implemented by constructing portfolios of
8
individual stocks, selected on a bottom-up basis, reflecting all three value characteristics: a price/earnings and price/book below the market and a dividend yield above the market.
Baron Discovery Strategy (20%) - The fund invests primarily in small-sized U.S. companies. It invests in a select number of high-growth businesses that tend to be in an early phase of their lifecycles. The strategy seeks long-term investments in companies based on open-ended growth potential, sustainable competitive advantages, exceptional management, and compelling valuations relative to our projections of intrinsic value.
DF Dent Mid Cap Growth (20%) –The strategy seeks a concentrated approach to quality-growth investing. The managers look for companies that can grow their earnings per share over time with strong management teams, a sustainable competitive advantage, and a best-in-class or niche focus. The fund invests in companies with market capitalizations of approximately $1 billion to $58 billion, but generally buys from the lower end of that range to allow for a bigger runway.
Small Cap Value Fund
The fund seeks long-term growth by investing primarily in stocks of small- to medium-sized companies, which either are believed to offer superior earnings growth or appear to be undervalued. This fund may experience above-average share price volatility. Co-managed by Dimensional Fund Advisors (50%), Sapience Investments (25%), and Vanguard (25%) for Future Fund colleagues. These small-blend portfolios favor U.S. firms at the smaller end of the market-capitalization range. Some aim to own an array of value and growth stocks while others employ a discipline that leads to holdings with valuations and growth rates close to the small-cap averages. Stocks in the bottom 10% of the capitalization of the U.S. equity market are defined as small cap. The blend style is assigned to portfolios where neither growth nor value characteristics predominate. Effective July 3, 2021, this fund was removed from the Plan’s investment options.
Stable Value Fund
The fund’s investment objectives are preservation of principal, consistent returns and a stable credited rate of interest. Managed by Invesco, the fund is primarily comprised of highly rated (AA or higher) insurance company and bank investment contracts issued by financial institutions and other eligible stable value investments that seek to provide participants with safety of principal and accrued interest as well as a stable crediting rate. All contract issuers and securities utilized in the portfolio are rated investment grade at time of purchase.
Target Date Funds
The Target Date Funds seek to provide both income and capital appreciation by investing in multiple asset classes, including stocks, bonds, and cash investments. Target Date Funds provide a diversified exposure to stocks, bonds, and cash for those investors who have a specific date in mind for retirement. Target Date Funds are custom funds aimed to provide investors with an optimal level of return and risk, based solely on the target date. The Target Date Funds are custom fund of funds and invest in other Future Fund investment options and management adjusts the allocation among asset classes to more conservative mixes as the target date approaches, following a preset glide path. A Target Date Fund is part of a suite of funds offering multiple retirement dates to investors. The Plan’s ten Target Date Funds include a Target Date Retirement Fund as well as Target Date Funds in five-year increments (2020-2060).
U.S. Bond Index Fund
The investment seeks to track the performance of a broad, market-weighted bond index. The fund employs an indexing investment approach designed to track the performance of Bloomberg Barclays U.S. Aggregate Bond Index. It invests by sampling the index, meaning that it holds a broadly diversified collection of securities that, in the aggregate, approximates the full index in terms of key risk factors and other characteristics. The fund invests at least 80% of assets in bonds held in the index. It maintains a dollar-weighted average maturity consistent with that of the index, ranging between 5 and 10 years.
Socially Responsible Fund
The investment seeks to track the performance of a benchmark index that measures the investment return of large and mid capitalization stocks and invests primarily in securities of companies that meet the fund's environmental, social and governance criteria. The fund employs a passive management or indexing investment approach designed to track the performance of the S&P 500 Index. The index is composed primarily of large and mid cap stocks that have been screened for certain social and environmental criteria. The fund attempts to replicate the index by investing all, or substantially all, of its assets in the stocks that make up the index.
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2. Summary of Significant Accounting Policies
(a)Basis of Presentation
The Plan prepares its financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), which include the application of accrual accounting.
(b)Investment Valuation
The value of the investments held at December 31, 2021 and 2020 are stated at fair value with the exception of the fully benefit responsive investment contracts. Shares of mutual funds are valued at quoted market prices, which represent the net asset values of shares held by the Plan at year-end. CVS Health common stock and common stock owned directly in the Small Mid Cap Core Fund and the Large Cap Core Fund separately managed funds, are valued based upon quoted market prices.
Corporate bonds are valued at fair value using quoted prices for similar assets and liabilities in active markets, quoted prices for identical assets and liabilities in markets that are not active, inputs that are observable for the asset or liability that are not prices (such as interest rates and credit risks), or unobservable inputs based upon management’s best estimate of inputs market participants could use in pricing the asset or liability.
Government securities, U.S. and non-U.S., are valued at fair value using quoted prices for identical assets and liabilities in active markets, quoted prices for similar assets and liabilities in active markets, quoted prices for identical assets and liabilities in markets that are not active, or inputs that are observable for the asset or liability that are not prices (such as interest rates and credit risks).
The Plan invests in fully benefit responsive synthetic guaranteed investment contracts (“synthetic GICs”) which are investment contracts issued by an insurance company, or other financial institution, backed by a portfolio of bonds that are owned by the Plan. Contract value is the relevant measurement attributable to fully benefit responsive investment contracts because contract value is the amount participants would receive if they were to initiate permitted transactions under the terms of the Plan. The contract value of the fully benefit responsive investment contracts represents contributions plus earnings, less participant withdrawals and administrative expenses.
Common collective trust (“CCT”) funds are valued at the net asset value (“NAV”) and reported by the respective funds at each valuation date.
Refer to Note 3 for further information related to the valuation of investments.
(c)Benefits Paid
Distributions of benefits are recorded when paid. The Plan has made available to participants certain relief under the Coronavirus Aid, Relief, and Economic Security Act (the “CARES Act”).
(d)Use of Estimates
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of changes in net assets available for benefits during the reporting period. Actual results could differ from those estimates.
(e)Accrual Basis of Accounting
The Plan utilizes the accrual basis of accounting.
(f)Investment Income
Dividend and interest income is recorded when earned. Net appreciation and depreciation include the Plan’s gains and losses on investments bought and sold as well as held during the year.
(g)Purchases and Sales of Securities
Purchases and sales of securities are made on a trade-date basis. Due to timing of settlements, there may be pending transactions as of the financial statement date that result in a receivable or payable to the Plan.
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(h)Notes Receivable from Participants
Notes receivable from participants represent participant loans that are recorded at their unpaid principal balance plus any accrued but unpaid interest. Notes receivable are collateralized by the participant’s account balance and bear interest at a market rate (Prime + 1%). If a participant ceases to make loan repayments, the outstanding loan balance will be deemed defaulted and result in a taxable event to the participant.
3. Fair Value Measurements
The Plan uses the three-level hierarchy for the recognition and disclosure of fair value measurements. The categorization of assets and liabilities within this hierarchy is based upon the lowest level of input that is significant to the measurement of fair value. The three levels of the fair value hierarchy consist of the following:
•Level 1 - Inputs to the valuation methodology are unadjusted quoted prices in active markets for identical assets or liabilities that the Plan has the ability to access at the measurement date.
•Level 2 - Inputs to the valuation methodology are quoted prices for similar assets and liabilities in active markets, quoted prices in markets that are not active, or inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the instrument.
•Level 3 - Inputs to the valuation methodology are unobservable inputs based upon management’s best estimate of inputs market participants could use in pricing the asset or liability at the measurement date, including assumptions about risk.
Following is a description of the valuation methodologies used for assets measured at fair value. There have been no changes in the methodologies used at December 31, 2021 and 2020.
Mutual funds: Valued at the NAV of shares held by the Plan at year-end which are reported on an active market (level 1).
Common stock: Valued at the closing price reported on the active market on which the individual securities are traded (level 1).
Corporate bonds: Valued at observable quoted prices and inputs (level 2) or investment manager pricing at measurement date (level 3).
U.S. Government securities: Valued at unadjusted closing prices reported on active markets (level 1) or observable quoted prices and inputs (level 2).
Other securities: Valued at observable quoted prices and inputs (level 2).
CCT funds: Valued at the NAV and reported by the respective funds at each valuation date (level 1).
Synthetic GICs: These contracts meet the fully benefit responsive investment contract criteria, and the underlying securities, collective funds, and wrapper contracts are reported at contract value.
11
The market value of CVS Health common stock was $103.16 and $68.30 per share at December 31, 2021 and 2020, respectively. The following tables set forth by level, within the fair value hierarchy, the Plan’s assets at fair value as of December 31, 2021 and 2020:
December 31, 2021
Level 1
Level 2
Level 3
Total
Cash
$
5,942
$
—
$
—
$
5,942
Mutual funds
8,854,788,000
—
—
8,854,788,000
Common stock
6,324,137,708
—
—
6,324,137,708
Corporate bonds
—
533,534,162
30,663,862
564,198,024
U.S. government securities
269,636,544
393,731,897
—
663,368,441
Other securities
—
45,847,002
—
45,847,002
CCT funds
8,951,440,390
—
—
8,951,440,390
Total investments at fair value
$
24,400,008,584
$
973,113,061
$
30,663,862
25,403,785,507
Synthetic GICs
2,909,717,279
Total investments at contract value
2,909,717,279
Total investments
$
28,313,502,786
December 31, 2020
Level 1
Level 2
Level 3
Total
Cash
$
165
$
—
$
—
$
165
Mutual funds
8,766,302,034
—
—
8,766,302,034
Common stock
2,862,966,978
—
—
2,862,966,978
Corporate bonds
—
531,614,111
13,768,319
545,382,430
U.S. government securities
236,474,999
386,525,896
—
623,000,895
Other securities
—
41,058,186
—
41,058,186
CCT funds
8,793,173,189
—
—
8,793,173,189
Total investments at fair value
$
20,658,917,365
$
959,198,193
$
13,768,319
21,631,883,877
Synthetic GICs
2,954,581,257
Total investments at contract value
2,954,581,257
Total investments
$
24,586,465,134
4. Notes Receivable from Participants
Participants may obtain loans from the Plan utilizing funds accumulated in their accounts. The minimum amount that may be borrowed is $1,000. Participants can borrow up to 50% of their vested account balance but not more than $50,000, less their highest outstanding loan balance during the previous twelve months. The loans are repaid to the Plan through after-tax payroll deductions and direct repayments to the Recordkeeper. The term of the loan is selected at the discretion of the participant, but may not exceed five years for a general loan and twenty-five years for a primary residence loan, except that primary residence loans initiated under the former CareSave plan, which merged into the Plan as of December 31, 2012, were permitted to have a maximum loan repayment period of up to ten years only. Participants may have two loans outstanding at any time, but no more than one primary residence loan. Interest on loans is equal to the Prime Rate as of the prior month-end plus 1%.
5. Investment Policy
At December 31, 2021 and 2020, the Plan’s 401(k)-related assets were allocated among the investment options discussed in Note 1(i) based on participants’ elections. The investment options are recommended by an independent investment consultant and approved by the Investment Subcommittee. Notes receivable from participants repayments and interest earned are allocated to each of the investment funds based upon the participants’ contribution election percentages.
12
6. Plan Termination and Related Commitments
Although it has not expressed any intention to do so, the Company has the right under the Plan to discontinue its contributions at any time and to terminate the Plan subject to the provisions of ERISA. If the Company terminates the Plan, all participants in the Plan become fully vested.
7. Federal Income Taxes
The Plan received a determination letter from the Internal Revenue Service (“IRS”) dated February 16, 2017, confirming the 2016 amended and restated document was qualified under Section 401(a) of the Code and, therefore, the related trust is exempt from taxation. The Plan has been further amended and restated, most recently as of January 1, 2021, to comply with all laws since the last determination letter in 2017. The IRS no longer allows for interim determination letter request following a restatement. The Plan Administrator believes the Plan, as most recently amended and restated, conforms with, and is being operated in compliance with, the applicable requirements of the Code and, therefore, the Plan, as amended, is qualified and the related trust is tax exempt.
GAAP requires plan management to evaluate uncertain tax positions taken by the Plan and recognize a tax liability if the organization has taken an uncertain position that more likely than not would not be sustained upon examination by the IRS. The Plan Administrator has analyzed the tax positions taken by the Plan and has concluded that, as of December 31, 2021, there are no uncertain tax positions taken or expected to be taken. The Plan has recognized no interest related to uncertain tax positions. The Plan is subject to routine audits by taxing jurisdictions; in January 2021 the U.S. Department of Labor completed a routine audit for Plan years 2017 through 2019 and issued a no further action closing letter dated January 14, 2021.
8. Transactions with Parties-In-Interest
As of December 31, 2021 and 2020, certain Plan investments are investment funds managed by the Plan’s Trustee, The Bank of New York Mellon. The Plan also invests in shares of CVS Health’s common stock and records associated dividend income. Although these transactions qualify as party-in-interest transactions, they are exempt from the prohibited transaction rule under ERISA.
9. Reconciliation of Financial Statements to Form 5500
The following is a reconciliation of the net assets available for benefits per the financial statements to the Form 5500 as of December 31, 2021 and 2020:
2021
2020
Net assets available for benefits per the financial statements
$
28,612,278,646
$
24,878,956,942
Adjustment from contract value to fair value for certain fully benefit responsive investment contracts
88,132,209
130,756,873
Net assets available for benefits per the Form 5500
$
28,700,410,855
$
25,009,713,815
The following is a reconciliation of total additions per the financial statements to total income per the Form 5500 for the year ended December 31, 2021 and 2020:
2021
2020
Total additions per the financial statements
$
5,620,370,209
$
13,907,926,485
Net change on adjustment from contract value to fair value for certain fully benefit responsive investment contracts
(42,624,664)
123,761,602
Total income per the Form 5500
$
5,577,745,545
$
14,031,688,087
13
10. Investment Contracts with Insurance Companies
The Plan holds a portfolio of investment contracts which could include synthetic guaranteed investment contracts. These contracts meet the fully benefit‐responsive investment contract criteria and, therefore, are reported at contract value. Contract value is the relevant measure for fully benefit‐responsive investment contracts because this is the amount received by participants when they initiate permitted transactions under the terms of the Plan. Contract value represents contributions made under each contract, plus earnings, less withdrawals.
Synthetic guaranteed investment contracts are issued by insurance companies or other financial institutions, backed by a portfolio of bonds. The bond portfolio may be structured as a fixed income separately managed account or collective fund. The bond portfolio is owned directly by the Plan (synthetic guaranteed investment contract). The issuer guarantees that all qualified participant withdrawals will be at contract value and that the crediting rate applied will not be less than 0%. Crediting rates are typically reset monthly to account for the difference between the contract value and the fair value of the underlying portfolio.
If the Plan defaults in its obligations under the contract (including the issuer's determination that the agreement constitutes a nonexempt prohibited transaction as defined under ERISA), and such default is not corrected within the time permitted by the contract, then the contract may be terminated by the issuer and the Plan will receive the fair value as of the date of termination. Each contract recognizes certain "events of default" which can invalidate the contracts' coverage. Among these are investments outside of the range of instruments which are permitted under the investment guidelines contained in the investment contract, fraudulent or other material misrepresentations made to the issuer, changes of control of the investment adviser not approved by the contract issuer, changes in certain key regulatory requirements, delivery of any communication to plan participants to influence a participant not to invest in the stable value option, termination of the plan or failure of the Plan to be tax qualified.
The contracts also generally provide for withdrawals associated with certain events which are not in the ordinary course of Plan operations. These withdrawals are paid with a market value adjustment applied to the withdrawal as defined in the investment contract. Each contract issuer specifies the events which may trigger a market value adjustment; however, such events may include, but not be limited to, the following:
•The redemption of all or a portion of the interests in the Plan at the direction of the plan sponsor, including partial termination of the plan, withdrawals due to the removal of a specifically identifiable group of employees from coverage under the plan (such as a group layoff or early retirement incentive program), the closing or sale of a subsidiary, employing unit, or affiliate, or the bankruptcy or insolvency of the plan sponsor.
At this time, the occurrence of any such market value adjustment event is not probable.
11. Risks and Uncertainties
The Plan invests in various investment securities. Investment securities are exposed to various risks such as interest rate, market, and credit risks. Due to the level of risk associated with certain investment securities, it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could materially affect participants’ account balances and the amounts reported in the statements of net assets available for benefits.
The coronavirus disease 2019 (“COVID-19”) pandemic continues to impact the economies of the U.S. and other countries around the world, as well as the values of investment securities. As of June 23, 2022, the impact of COVID-19 on the Plan’s net assets, including with respect to certain COVID-19 related relief that was allowable and offered under the Plan, has not been material. The impact of COVID-19 on companies and the U.S. and global economies continues to evolve and the potential future effects of COVID-19 on the Plan’s net assets are uncertain.
14
CVS HEALTH FUTURE FUND 401(k) PLAN
SUPPLEMENTAL SCHEDULE
Schedule H, Line 4i - Schedule of Assets (Held at End of Year)
December 31, 2021
Plan Number: 017 EIN 05-0494040
Fund
Par value /number of shares
Identity of issue
Description
Current Value**
Small Cap Index Fund
59,956,586
Vanguard Small Cap Index Fund
Mutual Fund
$
1,071,541,044
Mid Cap Index Fund
138,524,883
Vanguard Mid Cap Index Fund
Mutual Fund
2,673,889,984
International Equity Index Fund
187,159,742
Vanguard Developed Markets Index Fund Institutional Shares
Mutual Fund
2,807,537,619
Inflation-Protected Bond Fund
6,529,521
Vanguard Inflation-Protected Securities Admiral Fund
Mutual Fund
82,886,395
Socially Responsible Fund
4,717,827
Large Cap Equity Neuberger Berman
Mutual Fund
99,047,744
Core Equity Fund
296,936,246
Vanguard Institutional 500 Index Trust Fund
Common Collective Trust Fund
5,950,232,094
U.S. Bond Index Fund
224,287,537
Vanguard Total Bond Market Index Trust Fund
Common Collective Trust Fund
2,585,048,436
Real Asset Index Fund
11,651,724
Real Asset Index Fund
Common Collective Trust Fund
146,040,914
Emerging Markets Index Fund
50,926,971
Emerging Markets Index Fund
Mutual Fund
582,551,226
CVS Health Common Stock Fund
14,665,979
CVS Health Common Stock
CVS Health Corporation Common Stock
1,512,942,394
18,164,586
EB Temporary Investment Fund *
Common Collective Trust Fund
18,164,586
2,157,175
EB Temporary Investment Fund *
Common Collective Trust Fund
2,157,175
Stable Value Fund
Invesco Voya Core, Invesco Floating Portfolio
Separately Managed Fund
375,000
ABBVIE INC
Synthetic
$
447,453
438,000
ABBVIE INC
Synthetic
523,945
500,000
ABBVIE INC
Synthetic
589,410
263,000
ABBVIE INC
Synthetic
272,897
140,000
ABBVIE INC
Synthetic
160,626
129,000
ABBVIE INC
Synthetic
157,795
1,000,000
ABERDEEN ASIA-PACIFIC
Synthetic
1,073,642
200,000
ABN AMRO BANK NV 144A
Synthetic
199,831
650,000
ABU DHABI GOVERNMENT INTE 144A
Synthetic
703,788
82,000
AEP TEXAS INC
Synthetic
82,986
168,000
AEP TEXAS INC 144A
Synthetic
179,204
185,000
AEP TRANSMISSION CO LLC
Synthetic
204,221
261,000
AES CORP/THE
Synthetic
253,289
215,000
AES CORP/THE 144A
Synthetic
229,061
1,000,000
AGL CLO 5 LTD 5A A1R 144A
Synthetic
999,439
1,000,000
AGL ENERGY LTD SER C GTD SR NT
Synthetic
1,088,258
1,000,000
AGNICO EAGLE MINES LIMITED
Synthetic
1,038,899
94,424
AIR CANADA 2020-2 CLASS A 144A
Synthetic
102,774
95,000
ALABAMA POWER CO
Synthetic
100,658
216,579
ALASKA AIRLINES 2020-1 CL 144A
Synthetic
236,621
492,000
ALIBABA GROUP HOLDING LTD
Synthetic
517,546
520,000
ALLEGANY PARK CLO LT 1A A 144A
Synthetic
520,115
87,000
ALLIANT ENERGY FINANCE LL 144A
Synthetic
90,116
14,000
ALTRIA GROUP INC
Synthetic
15,791
55,000
ALTRIA GROUP INC
Synthetic
66,109
255,000
ALTRIA GROUP INC
Synthetic
318,222
200,000
ALTRIA GROUP INC
Synthetic
206,314
116,000
ALTRIA GROUP INC
Synthetic
110,132
498,000
ALTRIA GROUP INC
Synthetic
464,196
250,000
AMAZON.COM INC
Synthetic
259,612
112,000
AMAZON.COM INC
Synthetic
119,574
15
84,095
AMERICAN AIRLINES 2016-2 CLASS
Synthetic
84,524
24,219
AMERICAN AIRLINES 2017-1 CLASS
Synthetic
24,164
25,938
AMERICAN AIRLINES 2017-2 CLASS
Synthetic
25,224
289,000
AMERICAN CAMPUS COMMUNITIES OP
Synthetic
285,839
117,000
AMERICAN HOMES 4 RENT LP
Synthetic
114,664
189,000
AMERICAN INTERNATIONAL GROUP I
Synthetic
208,959
331,000
AMERICAN INTERNATIONAL GROUP I
Synthetic
358,740
204,000
AMERICAN INTERNATIONAL GROUP I
Synthetic
233,101
239,000
AMERICAN INTERNATIONAL GROUP I
Synthetic
258,446
1,000,000
AMERICAN TRANSMISSION CO LLC
Synthetic
1,071,822
111,000
AMERICAN TRANSMISSION SYS 144A
Synthetic
142,169
120,000
AMERICAN TRANSMISSION SYS 144A
Synthetic
121,115
750,000
AMERICREDIT AUTOMOBILE REC 1 B
Synthetic
755,155
500,000
AMERICREDIT AUTOMOBILE REC 2 B
Synthetic
500,772
400,000
AMERICREDIT AUTOMOBILE REC 2 B
Synthetic
403,763
400,000
AMGEN INC
Synthetic
416,982
105,000
AMGEN INC
Synthetic
101,881
52,000
AMPHENOL CORP
Synthetic
59,078
66,000
ANALOG DEVICES INC
Synthetic
66,755
70,000
ANGLO AMERICAN CAPITAL PL 144A
Synthetic
73,479
323,000
ANHEUSER-BUSCH COS LLC / ANHEU
Synthetic
389,800
150,000
ANHEUSER-BUSCH COS LLC / ANHEU
Synthetic
189,590
509,000
ANHEUSER-BUSCH INBEV FINANCE I
Synthetic
566,302
95,000
ANHEUSER-BUSCH INBEV WORLDWIDE
Synthetic
124,332
198,000
ANTHEM INC
Synthetic
207,230
710,000
APIDOS CLO XXV 25A A1R 144A
Synthetic
710,004
176,000
APPALACHIAN POWER CO
Synthetic
189,364
132,000
APPALACHIAN POWER CO
Synthetic
135,302
136,000
APPLE INC
Synthetic
160,150
65,000
APPLE INC
Synthetic
81,550
75,000
APPLE INC
Synthetic
87,685
600,000
APPLE INC
Synthetic
589,924
145,000
APPLE INC
Synthetic
143,436
1,000,000
ARCTIC SLOPE REGIONAL CORP
Synthetic
1,034,086
190,000
ARIZONA PUBLIC SERVICE CO
Synthetic
198,834
1,000,000
ARTHUR J GALLAGHER &CO SR NT Q
Synthetic
1,081,884
275,000
ASSURANT INC
Synthetic
291,645
227,000
ASSURANT INC
Synthetic
222,618
120,000
ASTRAZENECA FINANCE LLC
Synthetic
119,302
401,000
ASTRAZENECA PLC
Synthetic
387,871
99,000
AT&T INC
Synthetic
118,285
258,000
AT&T INC
Synthetic
298,041
55,000
AT&T INC
Synthetic
56,526
335,000
AT&T INC
Synthetic
346,941
504,000
AT&T INC
Synthetic
489,959
175,000
AT&T INC
Synthetic
171,376
453,000
AT&T INC
Synthetic
443,053
264,000
ATHENE GLOBAL FUNDING 144A
Synthetic
275,974
81,000
AVANGRID INC
Synthetic
85,123
61,000
AVIATION CAPITAL GROUP LL 144A
Synthetic
62,791
109,000
AVIATION CAPITAL GROUP LL 144A
Synthetic
114,294
240,000
AVIATION CAPITAL GROUP LL 144A
Synthetic
262,581
113,000
AVIATION CAPITAL GROUP LL 144A
Synthetic
109,755
73,000
AVNET INC
Synthetic
72,064
54,000
AVOLON HOLDINGS FUNDING L 144A
Synthetic
55,162
230,000
AVOLON HOLDINGS FUNDING L 144A
Synthetic
243,730
82,000
AVOLON HOLDINGS FUNDING L 144A
Synthetic
80,481
248,000
AVOLON HOLDINGS FUNDING L 144A
Synthetic
243,341
156,000
BALTIMORE GAS AND ELECTRIC CO
Synthetic
156,123
200,000
BANCO SANTANDER SA
Synthetic
204,705
200,000
BANCO SANTANDER SA
Synthetic
206,869
200,000
BANCO SANTANDER SA
Synthetic
206,718
16
1,248,000
BANK 2017-BNK4 BNK4 D 144A
Synthetic
1,168,701
700,000
BANK 2017-BNK8 BNK8 A4
Synthetic
757,477
300,000
BANK 2017-BNK9 BNK9 D 144A
Synthetic
261,905
430,000
BANK 2019-BNK21 BN21 A5
Synthetic
451,681
255,000
BANK 2021-BNK35 BN35 C
Synthetic
252,349
200,000
BANK 2021-BNK36 BN36 A5
Synthetic
204,388
600,000
BANK 2021-BNK37 BN37 A5
Synthetic
620,885
236,000
BANK OF AMERICA CORP
Synthetic
250,880
330,000
BANK OF AMERICA CORP
Synthetic
364,123
160,000
BANK OF AMERICA CORP
Synthetic
171,024
239,000
BANK OF AMERICA CORP
Synthetic
261,500
274,000
BANK OF AMERICA CORP
Synthetic
297,354
300,000
BANK OF AMERICA CORP
Synthetic
334,482
195,000
BANK OF AMERICA CORP
Synthetic
203,933
200,000
BANK OF AMERICA CORP
Synthetic
247,422
35,000
BANK OF AMERICA CORP
Synthetic
35,450
100,000
BANK OF AMERICA CORP
Synthetic
96,257
167,000
BANK OF AMERICA CORP
Synthetic
159,832
461,000
BANK OF AMERICA CORP
Synthetic
455,402
267,000
BANK OF AMERICA CORP
Synthetic
261,671
501,000
BANK OF AMERICA CORP
Synthetic
497,351
125,000
BANK OF AMERICA CORP
Synthetic
126,853
258,000
BANK OF AMERICA CORP
Synthetic
256,187
175,000
BANK OF AMERICA CORP
Synthetic
175,841
530,000
BANK OF AMERICA MERRILL BNK3 B
Synthetic
560,040
200,000
BARCLAYS PLC
Synthetic
204,827
1,333,333
BASIN ELEC PWR COOP
Synthetic
1,470,757
300,000
BAT CAPITAL CORP
Synthetic
316,094
270,000
BAT CAPITAL CORP
Synthetic
280,973
246,000
BAT CAPITAL CORP
Synthetic
239,711
119,000
BAT CAPITAL CORP
Synthetic
115,480
119,000
BAT CAPITAL CORP
Synthetic
114,304
175,000
BAT CAPITAL CORP
Synthetic
168,218
80,000
BAXTER INTERNATIONAL INC 144A
Synthetic
80,293
160,000
BAXTER INTERNATIONAL INC 144A
Synthetic
161,159
120,000
BAXTER INTERNATIONAL INC 144A
Synthetic
121,226
60,000
BAXTER INTERNATIONAL INC 144A
Synthetic
61,730
250,000
BEECHWOOD PARK CLO 1A A1 144A
Synthetic
250,066
320,000
BENCHMARK 2019-B10 MORT B10 A4
Synthetic
352,586
2,000,000
BENCHMARK 2021-B29 MORT B29 A5
Synthetic
2,024,609
600,000
BENEFIT STREET PART 19A A 144A
Synthetic
600,076
208,000
BERKSHIRE HATHAWAY ENERGY CO
Synthetic
197,578
205,000
BERRY GLOBAL INC
Synthetic
200,263
164,000
BERRY GLOBAL INC
Synthetic
162,524
208,000
BLACK HILLS CORP
Synthetic
218,416
148,000
BLACK HILLS CORP
Synthetic
153,942
80,000
BLACK HILLS CORP
Synthetic
83,076
193,000
BLACK HILLS CORP
Synthetic
190,769
65,000
BLACKROCK INC
Synthetic
64,491
500
BLACKSTONE / GSO LONG-SHORT
Synthetic
516,085
1,000
BLACKSTONE / GSO STRATEGIC CR
Synthetic
1,032,170
113,000
BLACKSTONE HOLDINGS FINAN 144A
Synthetic
109,743
305,000
BLACKSTONE HOLDINGS FINAN 144A
Synthetic
293,608
233,000
BLACKSTONE HOLDINGS FINAN 144A
Synthetic
226,784
135,000
BLACKSTONE SECURED LENDIN 144A
Synthetic
131,609
4,901,928
BLUEMOUNTAIN CLO 2 2A A1R 144A
Synthetic
4,902,085
136,000
BMW US CAPITAL LLC 144A
Synthetic
142,016
292,000
BNP PARIBAS SA 144A
Synthetic
292,876
233,000
BNP PARIBAS SA 144A
Synthetic
223,217
320,000
BNP PARIBAS SA 144A
Synthetic
329,326
300,000
BOEING CO/THE
Synthetic
311,366
178,000
BOEING CO/THE
Synthetic
180,989
17
535,000
BOEING CO/THE
Synthetic
585,328
348,000
BOEING CO/THE
Synthetic
371,102
126,000
BOSTON PROPERTIES LP
Synthetic
131,923
168,000
BOSTON PROPERTIES LP
Synthetic
176,013
156,000
BP CAPITAL MARKETS AMERICA INC
Synthetic
168,356
120,000
BP CAPITAL MARKETS AMERICA INC
Synthetic
126,322
250,000
BP CAPITAL MARKETS AMERICA INC
Synthetic
282,184
497,000
BPCE SA 144A
Synthetic
534,248
267,000
BPCE SA 144A
Synthetic
267,853
271,000
BPCE SA 144A
Synthetic
276,852
350,000
BRISTOL-MYERS SQUIBB CO
Synthetic
413,999
175,000
BRISTOL-MYERS SQUIBB CO
Synthetic
216,259
117,000
BRISTOL-MYERS SQUIBB CO
Synthetic
110,678
69,477
BRITISH AIRWAYS 2020-1 CL 144A
Synthetic
73,915
272,000
BROOKFIELD FINANCE INC
Synthetic
299,256
149,000
BURLINGTON NORTHERN SANTA FE L
Synthetic
199,546
180,000
BURLINGTON RESOURCES LLC
Synthetic
244,848
300,000
BX COMMERCIAL MORT VIV2 C 144A
Synthetic
303,910
255,000
CANADIAN NATURAL RESOURCES LTD
Synthetic
327,795
60,000
CANADIAN NATURAL RESOURCES LTD
Synthetic
82,775
299,000
CANADIAN PACIFIC RAILWAY CO
Synthetic
310,977
58,000
CANADIAN PACIFIC RAILWAY CO
Synthetic
59,136
275,000
CANADIAN PACIFIC RAILWAY CO
Synthetic
281,207
110,000
CANADIAN PACIFIC RAILWAY CO
Synthetic
113,115
166,000
CAPITAL ONE FINANCIAL CORP
Synthetic
174,709
150,000
CAPITAL ONE FINANCIAL CORP
Synthetic
149,233
145,000
CAPITAL ONE FINANCIAL CORP
Synthetic
144,603
500,000
CARDS II TRUST 1A A 144A
Synthetic
494,209
105,000
CARGILL INC 144A
Synthetic
126,100
150,000
CARGILL INC 144A
Synthetic
147,893
250,000
CARLYLE C17 CLO C17A A1AR 144A
Synthetic
250,203
92,244
CARMAX AUTO OWNER TRUST 2 4 A3
Synthetic
92,895
850,000
CARMAX AUTO OWNER TRUST 20 2 B
Synthetic
872,825
600,000
CARMAX AUTO OWNER TRUST 20 4 B
Synthetic
611,690
1,000,000
CARMAX AUTO SUPERSTORES INC
Synthetic
1,035,930
2,000,000
CASEYS GEN STORES INC
Synthetic
2,068,898
1,000,000
CASEYS GEN STORES INC
Synthetic
1,064,396
192,000
CBRE SERVICES INC
Synthetic
193,106
1,695,814
CD 2016-CD1 MORTGAGE TR CD1 XA
Synthetic
85,925
62,000
CDW LLC / CDW FINANCE CORP
Synthetic
63,527
85,000
CDW LLC / CDW FINANCE CORP
Synthetic
88,433
170,000
CELANESE US HOLDINGS LLC
Synthetic
165,869
625,000
CELULOSA ARAUCO Y CONSTIT 144A
Synthetic
665,625
153,000
CENOVUS ENERGY INC
Synthetic
153,373
400,000
CHARTER COMMUNICATIONS OPERATI
Synthetic
386,715
110,000
CHARTER COMMUNICATIONS OPERATI
Synthetic
107,327
10
CHASE FUNDING LOAN ACQUI C2 1A
Synthetic
10
1,433
CHASE FUNDING TRUST SERI 5 2A2
Synthetic
1,379
115,000
CHENIERE CORPUS CHRISTI HOLDIN
Synthetic
123,183
46,000
CHEVRON CORP
Synthetic
46,994
31,000
CHEVRON USA INC
Synthetic
33,491
700,000
CHILE GOVERNMENT INTERNATIONAL
Synthetic
695,632
114,000
CHUBB INA HOLDINGS INC
Synthetic
107,371
62,000
CHUBB INA HOLDINGS INC
Synthetic
62,191
40,000
CHURCH & DWIGHT CO INC
Synthetic
40,342
144,000
CI FINANCIAL CORP
Synthetic
156,064
380,000
CIFC FUNDING 2019-V 6A A1 144A
Synthetic
380,028
200,000
CIGNA CORP
Synthetic
227,300
222,000
CIGNA CORP
Synthetic
273,060
90,000
CIGNA CORP
Synthetic
116,291
200,000
CITIGROUP COMMERCIAL MORT P5 C
Synthetic
209,778
100,000
CITIGROUP INC
Synthetic
108,127
18
232,000
CITIGROUP INC
Synthetic
248,764
150,000
CITIGROUP INC
Synthetic
161,781
84,000
CITIGROUP INC
Synthetic
90,105
95,000
CITIGROUP INC
Synthetic
95,493
112,000
CITIGROUP INC
Synthetic
110,089
67,000
CITIGROUP INC
Synthetic
66,339
116,000
CITRIX SYSTEMS INC
Synthetic
112,970
475,000
CK HUTCHISON INTERNATIONA 144A
Synthetic
480,177
207,000
CLEVELAND ELECTRIC ILLUMI 144A
Synthetic
220,384
224,000
CNO GLOBAL FUNDING 144A
Synthetic
221,289
23,000
COLUMBIA PROPERTY TRUST OPERAT
Synthetic
24,939
42,000
COLUMBIA PROPERTY TRUST OPERAT
Synthetic
45,650
173,000
COMCAST CORP
Synthetic
200,463
180,000
COMCAST CORP
Synthetic
186,677
200,000
COMCAST CORP
Synthetic
218,274
1,794,443
COMM 2012-CCRE2 MORTGAG CR2 XA
Synthetic
2,905
2,554,828
COMM 2012-CCRE4 MORTGAG CR4 XA
Synthetic
20,812
4,725,319
COMM 2012-CCRE5 MORTGAG CR5 XA
Synthetic
40,091
172,000
COMM 2013-CCRE13 MORTG CR13 A4
Synthetic
180,455
3,364,835
COMM 2016-COR1 MORTGAG COR1 XA
Synthetic
171,799
4,800,000
COMM 2016-CR28 MORTGAGE CR28 D
Synthetic
4,778,318
7,400,000
COMMIT TO PUR FNMA SF MTG
Synthetic
7,360,723
2,200,000
COMMIT TO PUR FNMA SF MTG
Synthetic
2,238,940
10,400,000
COMMIT TO PUR GNMA II JUMBOS
Synthetic
10,505,177
211,000
COMMONWEALTH BANK OF AUST 144A
Synthetic
207,500
255,000
COMMONWEALTH BANK OF AUST 144A
Synthetic
266,604
300,000
COMMONWEALTH EDISON CO
Synthetic
338,277
35,000
CONSOLIDATED EDISON CO OF NEW
Synthetic
43,515
88,000
CONSOLIDATED EDISON CO OF NEW
Synthetic
99,374
85,000
CONTINENTAL RESOURCES INC/OK
Synthetic
94,201
510,000
COOPERATIEVE RABOBANK UA
Synthetic
552,479
135,000
CORNING INC
Synthetic
178,220
200,000
CORP FINANCIERA DE DESARR REGS
Synthetic
217,500
346,000
COTERRA ENERGY INC 144A
Synthetic
371,820
259,000
CREDIT AGRICOLE SA/LONDON 144A
Synthetic
259,498
423,000
CREDIT SUISSE AG 144A
Synthetic
455,254
326,000
CROWN CASTLE INTERNATIONAL COR
Synthetic
314,823
1,320,000
CSAIL 2017-CX9 COMMERCI CX9 A5
Synthetic
1,410,768
130,000
CSX CORP
Synthetic
168,597
110,000
CUBESMART LP
Synthetic
110,015
65,000
CUBESMART LP
Synthetic
64,712
12,000
CVS HEALTH CORP
Synthetic
12,934
57,000
CVS HEALTH CORP
Synthetic
60,187
187,000
DAIMLER FINANCE NORTH AME 144A
Synthetic
193,270
60,000
DANAHER CORP
Synthetic
59,166
320,000
DBJPM 2016-C3 MORTGA C3 D 144A
Synthetic
268,242
540,000
DBWF MORTGAGE TRUST LCM D 144A
Synthetic
487,960
1,000,000
DCC TREAS IRELAND
Synthetic
1,037,319
2,000,000
DELOITTE LLP
Synthetic
2,069,317
46,681
DELTA AIR LINES 2020-1 CLASS A
Synthetic
46,479
48,000
DELTA AIR LINES INC / SKY 144A
Synthetic
50,449
275,000
DELTA AIR LINES INC / SKY 144A
Synthetic
300,295
455,000
DIAMONDBACK ENERGY INC
Synthetic
472,023
190,000
DIAMONDBACK ENERGY INC
Synthetic
200,379
180,000
DIAMONDBACK ENERGY INC
Synthetic
190,873
18,000
DIAMONDBACK ENERGY INC
Synthetic
18,552
174,000
DIGITAL REALTY TRUST LP
Synthetic
192,622
275,000
DISCOVER BANK
Synthetic
287,410
200,000
DISCOVERY COMMUNICATIONS LLC
Synthetic
217,359
320,000
DISCOVERY COMMUNICATIONS LLC
Synthetic
396,662
170,000
DOMINION ENERGY INC
Synthetic
177,225
88,000
DOMINION ENERGY SOUTH CAROLINA
Synthetic
88,724
19
325,000
DOW CHEMICAL CO/THE
Synthetic
383,827
176,000
DOW CHEMICAL CO/THE
Synthetic
203,148
400,000
DOW CHEMICAL CO/THE
Synthetic
430,919
37,000
DTE ELECTRIC CO
Synthetic
38,739
620,000
DUKE ENERGY CAROLINAS LLC
Synthetic
711,661
64,000
DUKE ENERGY CAROLINAS LLC
Synthetic
72,072
200,000
DUKE ENERGY CAROLINAS LLC
Synthetic
210,915
120,000
DUKE ENERGY CAROLINAS LLC
Synthetic
133,437
68,000
DUKE ENERGY CAROLINAS LLC
Synthetic
69,801
225,000
DUKE ENERGY CORP
Synthetic
233,438
130,000
DUKE ENERGY FLORIDA LLC
Synthetic
131,597
350,000
DUKE ENERGY PROGRESS LLC
Synthetic
408,646
138,000
DUKE ENERGY PROGRESS LLC
Synthetic
164,024
188,000
DUKE ENERGY PROGRESS LLC
Synthetic
209,471
176,000
DUKE ENERGY PROGRESS LLC
Synthetic
189,924
148,000
DUKE REALTY LP
Synthetic
157,090
63,000
DUKE REALTY LP
Synthetic
70,329
119,000
DUQUESNE LIGHT HOLDINGS I 144A
Synthetic
116,326
110,000
DXC TECHNOLOGY CO
Synthetic
108,696
110,000
DXC TECHNOLOGY CO
Synthetic
107,529
140,000
ECOLAB INC
Synthetic
138,836
193,000
ELEMENT FLEET MANAGEMENT 144A
Synthetic
205,123
244,347
ELFI GRADUATE LOAN PR A A 144A
Synthetic
246,707
169,000
EMPOWER FINANCE 2020 LP 144A
Synthetic
163,873
200,000
EMPRESA NACIONAL DEL PETR REGS
Synthetic
215,500
325,000
EMPRESA NACIONAL DEL PETR REGS
Synthetic
333,531
95,000
ENERGY TRANSFER LP
Synthetic
107,254
110,000
ENERGY TRANSFER LP
Synthetic
133,238
205,000
ENERGY TRANSFER LP
Synthetic
210,656
22,000
ENERGY TRANSFER LP
Synthetic
23,096
454,000
ENERGY TRANSFER LP
Synthetic
519,865
101,000
ENTERGY CORP
Synthetic
102,784
271,000
ENTERGY CORP
Synthetic
262,472
185,000
ENTERGY CORP
Synthetic
182,204
112,000
ENTERGY LOUISIANA LLC
Synthetic
133,214
200,000
ENTERGY LOUISIANA LLC
Synthetic
237,742
93,000
ENTERGY TEXAS INC
Synthetic
101,844
109,000
EQUINOR ASA
Synthetic
117,101
885,482
ERGON PERU S A C
Synthetic
921,382
1,000,000
ESSILOR INTL (COMPAGNIE GENERA
Synthetic
1,000,587
130,000
EVERSOURCE ENERGY
Synthetic
127,395
75,000
EXELON CORP
Synthetic
83,330
110,000
EXELON CORP
Synthetic
138,087
95,000
EXXON MOBIL CORP
Synthetic
112,148
607,416
FANNIE MAE CONNECTICUT C06 1M2
Synthetic
627,092
1,325,000
FEDERAL HOME LN BK CONS BD
Synthetic
1,374,993
111,000
FEDERAL REALTY INVESTMENT TRUS
Synthetic
113,203
136,000
FEDEX CORP
Synthetic
151,753
148,000
FEDEX CORP
Synthetic
174,296
125,000
FEDEX CORP
Synthetic
140,333
234,000
FEDEX CORP
Synthetic
264,395
6,073
FHLMC POOL #1H-2548
Synthetic
6,360
9,638
FHLMC POOL #1H-2601
Synthetic
10,244
51,264
FHLMC POOL #2B-6384
Synthetic
53,197
76,335
FHLMC POOL #2B-6451
Synthetic
79,338
78,611
FHLMC POOL #A9-6423
Synthetic
88,479
69,861
FHLMC POOL #C9-1403
Synthetic
74,343
2,031
FHLMC POOL #G0-3073
Synthetic
2,308
196,885
FHLMC POOL #G0-4540
Synthetic
228,446
92,125
FHLMC POOL #G0-5816
Synthetic
103,624
1,188,953
FHLMC POOL #G0-7921
Synthetic
1,279,559
64,244
FHLMC POOL #G0-8655
Synthetic
70,050
20
228,468
FHLMC POOL #G0-8693
Synthetic
243,868
76,208
FHLMC POOL #G0-8707
Synthetic
82,522
108,352
FHLMC POOL #G6-0238
Synthetic
116,712
742,075
FHLMC POOL #G6-0250
Synthetic
799,272
433,845
FHLMC POOL #G6-1573
Synthetic
457,373
409,397
FHLMC POOL #G6-1594
Synthetic
429,522
472,701
FHLMC POOL #G6-1748
Synthetic
508,879
92,585
FHLMC POOL #G6-7700
Synthetic
99,721
158,693
FHLMC POOL #G6-7702
Synthetic
173,490
308,965
FHLMC POOL #G6-7706
Synthetic
332,499
247,798
FHLMC POOL #G6-7707
Synthetic
268,229
920,667
FHLMC POOL #G6-7709
Synthetic
990,818
454,761
FHLMC POOL #G6-7710
Synthetic
486,533
527,153
FHLMC POOL #G6-7712
Synthetic
579,409
564,517
FHLMC POOL #G6-7713
Synthetic
613,080
53,951
FHLMC POOL #Q0-2669
Synthetic
59,093
50,455
FHLMC POOL #Q0-4636
Synthetic
55,422
20,371
FHLMC POOL #Q0-4674
Synthetic
22,304
43,868
FHLMC POOL #Q0-5292
Synthetic
48,035
96,847
FHLMC POOL #Q0-5793
Synthetic
106,053
122,081
FHLMC POOL #Q3-2638
Synthetic
131,499
196,160
FHLMC POOL #Q3-3095
Synthetic
211,292
107,565
FHLMC POOL #Q3-6103
Synthetic
116,679
53,971
FHLMC POOL #Q3-6104
Synthetic
58,455
46,203
FHLMC POOL #Q3-6126
Synthetic
50,295
109,408
FHLMC POOL #Q3-6181
Synthetic
118,681
67,502
FHLMC POOL #Q3-6283
Synthetic
73,749
140,699
FHLMC POOL #Q3-7437
Synthetic
153,979
175,824
FHLMC POOL #Q3-7876
Synthetic
192,582
126,042
FHLMC POOL #Q3-8474
Synthetic
137,372
126,490
FHLMC POOL #Q4-0496
Synthetic
135,758
172,049
FHLMC POOL #Q4-1085
Synthetic
183,888
240,728
FHLMC POOL #Q4-1744
Synthetic
253,699
108,986
FHLMC POOL #Q4-1930
Synthetic
115,179
120,328
FHLMC POOL #Q4-1931
Synthetic
126,804
61,511
FHLMC POOL #Q4-4624
Synthetic
66,812
66,108
FHLMC POOL #Q4-4658
Synthetic
71,795
426,661
FHLMC POOL #Q4-6277
Synthetic
457,524
229,378
FHLMC POOL #Q4-9490
Synthetic
243,805
200,447
FHLMC POOL #Q5-0695
Synthetic
216,217
104,407
FHLMC POOL #Q5-4870
Synthetic
111,797
193,709
FHLMC POOL #Q5-9717
Synthetic
210,907
345,425
FHLMC POOL #Q5-9721
Synthetic
374,311
963,694
FHLMC POOL #QA-4675
Synthetic
1,009,524
841,337
FHLMC POOL #QA-5182
Synthetic
881,826
74,933
FHLMC POOL #U8-0035
Synthetic
80,474
594,311
FHLMC POOL #U9-9115
Synthetic
638,743
1,183,711
FHLMC POOL #U9-9163
Synthetic
1,273,171
339,937
FHLMC POOL #V8-3907
Synthetic
362,753
66,078
FHLMC POOL #Z4-0007
Synthetic
76,665
520,330
FHLMC POOL #ZA-6681
Synthetic
561,176
16,922
FHLMC MULTICLASS MTG 2519 ZD
Synthetic
18,859
54,908
FHLMC MULTICLASS MTG 2541 NE
Synthetic
61,913
22,244
FHLMC MULTICLASS MTG 2861 Z
Synthetic
25,561
78,359
FHLMC MULTICLASS MTG 3351 ZC
Synthetic
87,405
61,921
FHLMC MULTICLASS MTG 3394 ZY
Synthetic
71,040
116,557
FHLMC MULTICLASS MTG 3662 ZB
Synthetic
133,124
75,035
FHLMC MULTICLASS MTG 3724 CM
Synthetic
84,250
1,021,838
FHLMC MULTICLASS MTG 3751 ME
Synthetic
1,085,750
822,563
FHLMC MULTICLASS MTG 3753 KZ
Synthetic
895,211
516,270
FHLMC MULTICLASS MTG 3843 JZ
Synthetic
611,786
530,000
FHLMC MULTICLASS MTG 3867 PL
Synthetic
598,605
21
1,395,052
FHLMC MULTICLASS MTG 3898 KD
Synthetic
1,532,931
280,000
FHLMC MULTICLASS MTG 3934 KB
Synthetic
318,501
1,838,906
FHLMC MULTICLASS MTG 4048 CE
Synthetic
2,045,144
210,000
FHLMC MULTICLASS MTG 4235 QD
Synthetic
223,415
1,367,265
FHLMC MULTICLASS MTG 4310 BZ
Synthetic
1,479,451
2,600,000
FHLMC MULTICLASS MTG 4427 LB
Synthetic
2,866,136
154,704
FHLMC MULTICLASS MTG 4468 EV
Synthetic
156,392
773,224
FHLMC MULTICLASS MTG 4634 ZM
Synthetic
987,492
12,094
FHLMC MULTICLASS MTG 4678 AB
Synthetic
12,115
17,429
FHLMC MULTICLASS MTG 4754 QA
Synthetic
18,129
455,556
FHLMC MULTICLASS MTG 4793 CD
Synthetic
470,625
1,049,876
FHLMC MULTICLASS MTG 4950 KE
Synthetic
1,079,712
349,000
FHLMC MULTICLASS MTG K052 A2
Synthetic
370,965
926,000
FHLMC MULTICLASS MTG K735 A2
Synthetic
979,435
499,000
FHLMC MULTICLASS MTG K736 A2
Synthetic
516,794
206,945
FHLMC MULTICLASS MTG R003 ZA
Synthetic
234,514
814,512
FHLMC MULTICLASS STRIP 326 350
Synthetic
856,549
300,000
FIDELITY NATIONAL INFORMATION
Synthetic
292,222
154,000
FIRSTENERGY CORP
Synthetic
154,477
442,000
FISERV INC
Synthetic
475,345
206,000
FLEX INTERMEDIATE HOLDCO 144A
Synthetic
206,782
265,000
FLORIDA GAS TRANSMISSION 144A
Synthetic
286,018
110,000
FLORIDA POWER & LIGHT CO
Synthetic
111,556
250,000
FMC CORP
Synthetic
299,888
29,823
FNMA POOL #0251366
Synthetic
32,688
53,026
FNMA POOL #0310015
Synthetic
59,793
102,722
FNMA POOL #0357342
Synthetic
116,046
5,866
FNMA POOL #0372188
Synthetic
5,971
2,106
FNMA POOL #0535575
Synthetic
2,114
1,856
FNMA POOL #0545349
Synthetic
1,875
268,024
FNMA POOL #0633699
Synthetic
297,939
134,269
FNMA POOL #0682088
Synthetic
150,194
59,849
FNMA POOL #0725423
Synthetic
67,049
105,596
FNMA POOL #0735925
Synthetic
119,346
3,099
FNMA POOL #0745275
Synthetic
3,504
111,346
FNMA POOL #0759850
Synthetic
127,168
3,239
FNMA POOL #0826398
Synthetic
3,259
17,551
FNMA POOL #0889139
Synthetic
19,662
25,672
FNMA POOL #0909169
Synthetic
30,148
62,732
FNMA POOL #0909178
Synthetic
77,071
11,745
FNMA POOL #0914081
Synthetic
12,957
93,271
FNMA POOL #0952602
Synthetic
108,147
105,268
FNMA POOL #0968340
Synthetic
112,593
140,375
FNMA POOL #0AB6609
Synthetic
151,605
132,834
FNMA POOL #0AB7342
Synthetic
140,366
74,673
FNMA POOL #0AC9295
Synthetic
84,604
221,384
FNMA POOL #0AD0732
Synthetic
256,771
60,192
FNMA POOL #0AD0826
Synthetic
68,608
18,995
FNMA POOL #0AD0847
Synthetic
21,694
20,568
FNMA POOL #0AE0689
Synthetic
23,295
83,326
FNMA POOL #0AE3691
Synthetic
91,829
75,720
FNMA POOL #0AE3695
Synthetic
83,408
77,757
FNMA POOL #0AE4342
Synthetic
85,940
46,171
FNMA POOL #0AE8259
Synthetic
51,622
66,800
FNMA POOL #0AH0575
Synthetic
73,616
103,917
FNMA POOL #0AH1141
Synthetic
114,885
116,841
FNMA POOL #0AH1161
Synthetic
129,208
77,000
FNMA POOL #0AH4772
Synthetic
84,313
125,358
FNMA POOL #0AJ8122
Synthetic
137,414
55,031
FNMA POOL #0AJ9198
Synthetic
59,438
126,153
FNMA POOL #0AJ9611
Synthetic
136,497
54,253
FNMA POOL #0AL0998
Synthetic
59,470
22
177,574
FNMA POOL #0AL2528
Synthetic
189,339
224,115
FNMA POOL #0AL3414
Synthetic
245,660
46,112
FNMA POOL #0AL6134
Synthetic
48,636
97,052
FNMA POOL #0AL9424
Synthetic
104,091
187,392
FNMA POOL #0AP9631
Synthetic
199,227
67,726
FNMA POOL #0AQ4651
Synthetic
73,112
78,231
FNMA POOL #0AQ4697
Synthetic
84,459
66,143
FNMA POOL #0AS4227
Synthetic
72,607
318,674
FNMA POOL #0AS5018
Synthetic
346,343
138,295
FNMA POOL #0AS5082
Synthetic
151,231
211,865
FNMA POOL #0AS6187
Synthetic
227,371
113,305
FNMA POOL #0AS6477
Synthetic
121,543
173,632
FNMA POOL #0AS6542
Synthetic
186,948
126,583
FNMA POOL #0AS6611
Synthetic
136,293
277,317
FNMA POOL #0AS6612
Synthetic
298,590
58,196
FNMA POOL #0AS6937
Synthetic
62,423
97,419
FNMA POOL #0AS7321
Synthetic
101,460
118,985
FNMA POOL #0AS7440
Synthetic
124,059
100,643
FNMA POOL #0AS7441
Synthetic
104,861
100,511
FNMA POOL #0AS7444
Synthetic
104,874
67,397
FNMA POOL #0AS7469
Synthetic
71,931
242,843
FNMA POOL #0AS7613
Synthetic
256,508
765,392
FNMA POOL #0AS7742
Synthetic
824,050
316,204
FNMA POOL #0AU1292
Synthetic
333,557
75,073
FNMA POOL #0AW0797
Synthetic
83,162
119,730
FNMA POOL #0AW3059
Synthetic
131,159
234,460
FNMA POOL #0AZ1730
Synthetic
255,819
143,359
FNMA POOL #0AZ4420
Synthetic
156,120
174,883
FNMA POOL #0AZ7351
Synthetic
190,956
55,590
FNMA POOL #0BE7488
Synthetic
59,457
301,767
FNMA POOL #0BF0078
Synthetic
333,093
275,328
FNMA POOL #0BF0108
Synthetic
308,398
222,178
FNMA POOL #0BF0118
Synthetic
248,865
81,676
FNMA POOL #0BF0125
Synthetic
88,873
250,867
FNMA POOL #0BF0130
Synthetic
271,515
979,802
FNMA POOL #0BF0132
Synthetic
1,085,342
394,843
FNMA POOL #0BF0157
Synthetic
434,364
143,770
FNMA POOL #0BF0201
Synthetic
159,736
761,259
FNMA POOL #0BF0202
Synthetic
845,125
269,292
FNMA POOL #0BH5155
Synthetic
284,657
95,504
FNMA POOL #0BK3209
Synthetic
101,806
521,731
FNMA POOL #0BK7939
Synthetic
566,785
1,970,000
FNMA POOL #0BL0752
Synthetic
2,211,717
776,000
FNMA POOL #0BL3670
Synthetic
798,115
573,986
FNMA POOL #0BL4112
Synthetic
588,036
402,000
FNMA POOL #0BL4480
Synthetic
414,480
309,902
FNMA POOL #0BM4984
Synthetic
331,760
401,371
FNMA POOL #0BN5324
Synthetic
432,969
241,238
FNMA POOL #0BO5023
Synthetic
252,709
435,570
FNMA POOL #0CA4446
Synthetic
455,600
272,022
FNMA POOL #0FM1000
Synthetic
284,350
67,142
FNMA POOL #0MA1058
Synthetic
70,977
138,082
FNMA POOL #0MA1332
Synthetic
147,232
105,145
FNMA POOL #0MA1366
Synthetic
110,291
419,501
FNMA POOL #0MA2895
Synthetic
438,650
21,999
FNMA GTD REMIC P/T 01-52 YZ
Synthetic
25,325
21,869
FNMA GTD REMIC P/T 04-56 FE
Synthetic
22,017
327,224
FNMA GTD REMIC P/T 09-50 HZ
Synthetic
369,604
675,000
FNMA GTD REMIC P/T 10-139 NB
Synthetic
762,109
1,018,462
FNMA GTD REMIC P/T 10-59 PC
Synthetic
1,137,444
92,205
FNMA GTD REMIC P/T 11-10 ZC
Synthetic
102,800
242,099
FNMA GTD REMIC P/T 11-122 TL
Synthetic
254,991
23
453,373
FNMA GTD REMIC P/T 11-30 ZA
Synthetic
504,582
3,900,000
FNMA GTD REMIC P/T 11-87 GB
Synthetic
4,538,242
885,840
FNMA GTD REMIC P/T 11-99 CZ
Synthetic
974,867
155,446
FNMA GTD REMIC P/T 12-110 CA
Synthetic
161,566
1,141,000
FNMA GTD REMIC P/T 12-30 ME
Synthetic
1,213,449
650,000
FNMA GTD REMIC P/T 14-61 PY
Synthetic
710,982
72,232
FNMA GTD REMIC P/T 16-M11 AL
Synthetic
73,730
342,704
FNMA GTD REMIC P/T 18-27 EA
Synthetic
355,095
6,873,477
FNMA GTD REMIC P/T 19-M21 X2
Synthetic
647,805
16,672
FNMA GTD REMIC P/T 99-33 Z
Synthetic
18,168
2,000,000
FOOTBALL CLUB TERM NTS
Synthetic
2,094,256
359,000
FORD CREDIT AUTO OWNE 1 A 144A
Synthetic
359,978
373,000
FORD CREDIT AUTO OWNE 2 A 144A
Synthetic
377,728
526,000
FORTINET INC
Synthetic
509,502
2,000,000
FOUR CORNERS OPER PARTNER 144A
Synthetic
2,019,211
187,000
FOX CORP
Synthetic
197,489
198,061
FREDDIE MAC STRUCTURED DN3 M3
Synthetic
201,663
1,400,000
FREDDIE MAC STRUCTURED DNA2 M2
Synthetic
1,440,510
351,216
FREDDIE MAC STRUCTURED DNA3 M3
Synthetic
362,003
765,782
FREDDIE MAC STRUCTURED HQA2 M3
Synthetic
792,658
179,000
GE CAPITAL FUNDING LLC
Synthetic
194,097
188,000
GENERAL DYNAMICS CORP
Synthetic
204,669
235,000
GENERAL MOTORS CO
Synthetic
299,806
127,000
GENERAL MOTORS CO
Synthetic
145,889
110,000
GENERAL MOTORS FINANCIAL CO IN
Synthetic
115,746
91,000
GEORGIA POWER CO
Synthetic
96,428
120,000
GEORGIA POWER CO
Synthetic
122,762
1,000,000
GILDAN ACTIVEWEAR INC A 144A
Synthetic
1,024,949
100,000
GILEAD SCIENCES INC
Synthetic
121,908
259,000
GILEAD SCIENCES INC
Synthetic
257,909
200,000
GLENCORE FUNDING LLC 144A
Synthetic
194,374
15,000
GLOBAL PAYMENTS INC
Synthetic
15,415
145,000
GLOBAL PAYMENTS INC
Synthetic
151,026
231,000
GLOBAL PAYMENTS INC
Synthetic
224,223
350,000
GM FINANCIAL CONSUMER AUTO 3 B
Synthetic
355,699
700,000
GM FINANCIAL CONSUMER AUTO 3 C
Synthetic
706,751
23,546
GNMA POOL #0723362
Synthetic
26,528
16,310
GNMA POOL #0726918
Synthetic
18,511
134,588
GNMA GTD REMIC P/T 09-29 PB
Synthetic
148,896
10,444
GNMA GTD REMIC P/T 10-123 IA
Synthetic
292
12,685
GNMA GTD REMIC P/T 11-169 BC
Synthetic
13,777
53,710
GNMA GTD REMIC P/T 12-31 MJ
Synthetic
53,885
34,445
GNMA GTD REMIC P/T 13-8 BE
Synthetic
34,596
376,022
GNMA GTD REMIC P/T 13-97 AT
Synthetic
382,785
2,000,000
GNMA GTD REMIC P/T 15-143 B
Synthetic
2,162,398
3,000,000
GNMA GTD REMIC P/T 17-180 QB
Synthetic
3,078,279
378,779
GNMA GTD REMIC P/T 18-112 AL
Synthetic
400,334
486,695
GNMA GTD REMIC P/T 19-H06 FD
Synthetic
495,464
97,689
GNMA II POOL #0004853
Synthetic
105,807
34,478
GNMA II POOL #0005116
Synthetic
38,948
98,277
GNMA II POOL #0005140
Synthetic
108,826
50,828
GNMA II POOL #0005175
Synthetic
56,284
53,679
GNMA II POOL #0741136
Synthetic
57,546
42,655
GNMA II POOL #0741137
Synthetic
45,535
55,999
GNMA II POOL #0AR4868
Synthetic
60,278
139,634
GNMA II POOL #0MA6476
Synthetic
147,083
200,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
283,580
50,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
50,150
187,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
200,982
113,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
115,890
126,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
132,181
5,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
5,973
24
224,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
219,461
113,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
112,345
600,000
GRAPHIC PACKAGING INTERNA 144A
Synthetic
589,213
1,000,000
GREENSANDS FING PLC
Synthetic
1,063,592
53,066
GS MORTGAGE SECURITIES GCJ7 A4
Synthetic
53,054
520,000
GS MORTGAGE SECURITIES GCJ7 AS
Synthetic
522,732
270,000
GS MORTGAGE SECURITIES GCJ7 B
Synthetic
272,456
11,651
GSR MORTGAGE LOAN TRUST 5F 8A1
Synthetic
11,401
84,000
GXO LOGISTICS INC 144A
Synthetic
81,962
1,000,000
HARDWOOD FDG LLC
Synthetic
1,030,094
1,000,000
HARDWOOD FDG LLC
Synthetic
1,032,128
150,000
HARLEY-DAVIDSON FINANCIAL 144A
Synthetic
157,142
183,000
HARTFORD FINANCIAL SERVICES GR
Synthetic
245,393
227,000
HASBRO INC
Synthetic
236,231
2,000,000
HAWAIIAN ELEC CO INC
Synthetic
2,139,657
58,000
HCA INC
Synthetic
64,160
121,000
HCA INC
Synthetic
133,294
400,000
HCA INC
Synthetic
523,417
162,000
HCA INC
Synthetic
178,261
197,000
HCA INC
Synthetic
242,611
70,000
HEALTHCARE TRUST OF AMERICA HO
Synthetic
74,617
106,000
HEINEKEN NV 144A
Synthetic
114,144
400,000
HESS CORP
Synthetic
493,825
109,000
HEWLETT PACKARD ENTERPRISE CO
Synthetic
110,656
315,000
HOME DEPOT INC/THE
Synthetic
331,972
60,000
HOME DEPOT INC/THE
Synthetic
65,051
200,000
HORMEL FOODS CORP
Synthetic
212,408
170,000
HP INC 144A
Synthetic
167,595
200,000
HSBC HOLDINGS PLC
Synthetic
219,156
200,000
HSBC HOLDINGS PLC
Synthetic
215,250
215,000
HSBC HOLDINGS PLC
Synthetic
233,221
523,000
HSBC HOLDINGS PLC
Synthetic
536,434
200,000
HSBC HOLDINGS PLC
Synthetic
195,779
218,000
HSBC HOLDINGS PLC
Synthetic
213,190
236,000
HSBC HOLDINGS PLC
Synthetic
236,000
618,000
HSBC HOLDINGS PLC
Synthetic
606,024
350,000
HSBC HOLDINGS PLC
Synthetic
350,729
160,000
HUMANA INC
Synthetic
155,580
220,000
HUMANA INC
Synthetic
212,725
750,000
HUNGARY GOVERNMENT INTERN 144A
Synthetic
737,886
300,000
HYUNDAI AUTO RECEIVABLES T C B
Synthetic
297,345
115,000
IDAHO POWER CO
Synthetic
141,009
248,000
INDIANA MICHIGAN POWER CO
Synthetic
254,573
400,000
INDONESIA GOVERNMENT INTERNATI
Synthetic
416,730
262,000
ING GROEP NV
Synthetic
274,639
600,000
INTEL CORP
Synthetic
633,249
251,000
INTEL CORP
Synthetic
334,252
45,000
INTERCONTINENTAL EXCHANGE INC
Synthetic
48,473
178,000
INTERCONTINENTAL EXCHANGE INC
Synthetic
170,556
239,000
INTERNATIONAL BUSINESS MACHINE
Synthetic
259,373
135,000
INTERNATIONAL FLAVORS & F 144A
Synthetic
137,082
109,000
INTERNATIONAL PAPER CO
Synthetic
133,511
155,000
INTERSTATE POWER AND LIGHT CO
Synthetic
154,117
80,000
INTERSTATE POWER AND LIGHT CO
Synthetic
79,473
135,000
INVITATION HOMES OPERATING PAR
Synthetic
133,529
147,000
IPALCO ENTERPRISES INC
Synthetic
161,327
350,000
ISRAEL ELECTRIC CORP LTD 144A
Synthetic
384,265
1,000,000
ITR CONCESSION CO LLC
Synthetic
1,092,060
130,000
JACKSON FINANCIAL INC 144A
Synthetic
130,684
105,000
JACKSON FINANCIAL INC 144A
Synthetic
105,844
2,000,000
JAMES CAMPBELL COMPANY LLC
Synthetic
2,075,756
213,000
JERSEY CENTRAL POWER & LI 144A
Synthetic
230,984
25
72,000
JERSEY CENTRAL POWER & LI 144A
Synthetic
72,965
100,000
JOHNSON & JOHNSON
Synthetic
114,800
2,594,605
JP MORGAN CHASE COMMERC CBX XA
Synthetic
6,209
2,721,219
JPMBB COMMERCIAL C18 A4A2 144A
Synthetic
2,809,536
1,300,000
JPMBB COMMERCIAL MORTGAG C19 C
Synthetic
1,355,746
760,000
JPMCC COMMERCIAL MORTGAG JP6 C
Synthetic
780,252
200,000
JPMORGAN CHASE & CO
Synthetic
212,134
74,000
JPMORGAN CHASE & CO
Synthetic
80,107
130,000
JPMORGAN CHASE & CO
Synthetic
140,463
166,000
JPMORGAN CHASE & CO
Synthetic
181,413
123,000
JPMORGAN CHASE & CO
Synthetic
125,793
600,000
JPMORGAN CHASE & CO
Synthetic
621,390
100,000
JPMORGAN CHASE & CO
Synthetic
100,816
204,000
JPMORGAN CHASE & CO
Synthetic
193,983
163,000
JPMORGAN CHASE & CO
Synthetic
157,760
172,000
JPMORGAN CHASE & CO
Synthetic
165,664
321,000
JPMORGAN CHASE & CO
Synthetic
317,217
322,000
JPMORGAN CHASE & CO
Synthetic
336,129
288,000
JPMORGAN CHASE & CO
Synthetic
285,597
205,000
JPMORGAN CHASE & CO
Synthetic
200,946
200,000
JPMORGAN CHASE & CO
Synthetic
201,124
475,000
KAZMUNAYGAS NATIONAL CO J 144A
Synthetic
553,613
100,000
KENTUCKY UTILITIES CO
Synthetic
105,420
157,000
KILROY REALTY LP
Synthetic
152,602
253,000
KIMCO REALTY CORP
Synthetic
265,911
412,000
KIMCO REALTY CORP
Synthetic
422,642
117,000
KINDER MORGAN INC
Synthetic
117,663
260,000
KINDER MORGAN INC 144A
Synthetic
277,817
47,902
KING INTERNATIONAL LEASING LLC
Synthetic
48,271
125,000
KITE REALTY GROUP LP
Synthetic
132,572
84,000
KYNDRYL HOLDINGS INC 144A
Synthetic
81,789
224,000
KYNDRYL HOLDINGS INC 144A
Synthetic
216,785
76,000
KYNDRYL HOLDINGS INC 144A
Synthetic
73,721
1,000,000
LA STAD FIN CO LLC
Synthetic
1,000,932
1,000,000
LA STAD FIN CO LLC
Synthetic
1,091,197
210,144
LAUREL ROAD PRIME A A2FX 144A
Synthetic
211,882
84,247
LAUREL ROAD PRIME S C A2B 144A
Synthetic
85,050
670,000
LCM XIV LP 14A AR 144A
Synthetic
670,092
137,000
LIFE STORAGE LP
Synthetic
134,659
1,000,000
LION INDL PPTYS LP
Synthetic
1,080,053
1,000,000
LITTLEFUSE INC
Synthetic
1,002,983
220,000
LLOYDS BANKING GROUP PLC
Synthetic
224,286
160,000
LOWE'S COS INC
Synthetic
152,014
85,000
LOWE'S COS INC
Synthetic
82,933
200,000
LSEGA FINANCING PLC 144A
Synthetic
196,022
203,000
LUNDIN ENERGY FINANCE BV 144A
Synthetic
201,578
550,000
MAGNETITE XII LTD 12A ARR 144A
Synthetic
550,039
2,000,000
MAJOR LEAGUE BASEBALL TR
Synthetic
2,096,423
185,000
MARATHON PETROLEUM CORP
Synthetic
217,710
117,000
MARATHON PETROLEUM CORP
Synthetic
138,636
100,000
MARS INC 144A
Synthetic
115,592
31,000
MARS INC 144A
Synthetic
38,798
1,000,000
MARS INCORPORATED
Synthetic
1,045,467
82,000
MARSH & MCLENNAN COS INC
Synthetic
93,471
225,000
MCKESSON CORP
Synthetic
219,627
1,000,000
MCKINSEY + CO INC
Synthetic
992,292
61,000
MEDTRONIC INC
Synthetic
75,038
1,000,000
MEGGITT PLC
Synthetic
1,028,876
68,000
MERCK & CO INC
Synthetic
67,286
700,000
MEXICO GOVERNMENT INTERNATIONA
Synthetic
725,375
282,000
MICROCHIP TECHNOLOGY INC
Synthetic
288,005
329,000
MICROSOFT CORP
Synthetic
392,404
26
54,000
MID-AMERICA APARTMENTS LP
Synthetic
60,284
17,000
MISSISSIPPI POWER CO
Synthetic
19,460
235,000
MISSISSIPPI POWER CO
Synthetic
269,252
135,000
MITSUBISHI UFJ FINANCIAL GROUP
Synthetic
141,322
433,000
MITSUBISHI UFJ FINANCIAL GROUP
Synthetic
441,573
224,000
MITSUBISHI UFJ FINANCIAL GROUP
Synthetic
220,012
270,000
MIZUHO FINANCIAL GROUP CA REGS
Synthetic
274,906
114,000
MONONGAHELA POWER CO 144A
Synthetic
121,916
310,000
MORGAN STANLEY
Synthetic
335,959
89,000
MORGAN STANLEY
Synthetic
94,348
700,000
MORGAN STANLEY
Synthetic
756,932
89,000
MORGAN STANLEY
Synthetic
96,490
59,000
MORGAN STANLEY
Synthetic
60,799
130,000
MORGAN STANLEY
Synthetic
132,550
183,000
MORGAN STANLEY
Synthetic
173,218
107,000
MORGAN STANLEY
Synthetic
128,359
169,000
MORGAN STANLEY
Synthetic
166,336
400,000
MORGAN STANLEY
Synthetic
391,230
182,000
MORGAN STANLEY
Synthetic
181,806
264,000
MORGAN STANLEY
Synthetic
261,398
436,942
MORGAN STANLEY BANK OF A C5 A4
Synthetic
438,411
982,000
MORGAN STANLEY CAPITAL BNK2 C
Synthetic
972,745
390,000
MORGAN STANLEY CAPITAL I L1 A4
Synthetic
443,171
225,000
MOSAIC CO/THE
Synthetic
229,348
210,464
MOSAIC SOLAR LOAN T 2GS A 144A
Synthetic
224,029
66,000
MPLX LP
Synthetic
80,801
130,000
MPLX LP
Synthetic
149,985
356,000
MPLX LP
Synthetic
365,050
127,000
MPLX LP
Synthetic
154,210
105,000
MPLX LP
Synthetic
104,520
150,000
MPLX LP
Synthetic
148,491
258,000
MYLAN INC
Synthetic
319,390
3,071,779
NAC AVIATION 29 DESIGN
Synthetic
2,583,366
58,000
NARRAGANSETT ELECTRIC CO/ 144A
Synthetic
61,780
268,000
NATIONAL AUSTRALIA BANK L 144A
Synthetic
256,739
865,000
NATIONAL AUSTRALIA BANK L 144A
Synthetic
917,196
56,000
NATIONAL RETAIL PROPERTIES INC
Synthetic
62,959
88,000
NATIONAL RURAL UTILITIES COOPE
Synthetic
91,163
256,000
NATIONAL RURAL UTILITIES COOPE
Synthetic
258,128
114,000
NATIONAL RURAL UTILITIES COOPE
Synthetic
116,602
210,000
NATWEST GROUP PLC
Synthetic
207,205
226,000
NATWEST GROUP PLC
Synthetic
236,425
243,000
NATWEST GROUP PLC
Synthetic
252,742
293,912
NAVIENT PRIVATE EDU FA A2 144A
Synthetic
297,733
386,505
NAVIENT PRIVATE EDUC EA A 144A
Synthetic
386,353
144,487
NAVIENT PRIVATE EDUC FA A 144A
Synthetic
142,031
455,000
NBN CO LTD 144A
Synthetic
448,096
212,000
NESTLE HOLDINGS INC 144A
Synthetic
206,528
1,000,000
NEW JERSEY RES CORP
Synthetic
1,032,527
1,500,000
NEWARK BSL CLO 1 L 1A A1R 144A
Synthetic
1,500,303
120,000
NEXTERA ENERGY CAPITAL HOLDING
Synthetic
118,735
115,000
NISOURCE INC
Synthetic
123,950
243,000
NISSAN MOTOR CO LTD 144A
Synthetic
271,762
210,000
NORDEA BANK ABP 144A
Synthetic
199,080
155,000
NORTHROP GRUMMAN CORP
Synthetic
161,463
1,000,000
NORTHWESTERN CORP
Synthetic
1,062,271
224,000
NORTHWESTERN MUTUAL GLOBA 144A
Synthetic
221,663
92,000
NSTAR ELECTRIC CO
Synthetic
89,598
321,000
NVIDIA CORP
Synthetic
318,438
50,000
NXP BV / NXP FUNDING LLC 144A
Synthetic
53,286
80,000
NXP BV / NXP FUNDING LLC 144A
Synthetic
79,946
1,000,000
OAKTREE CAP MGMT L P
Synthetic
1,122,183
27
167,000
OAKTREE SPECIALTY LENDING CORP
Synthetic
165,707
380,000
OCTAGON INVESTMENT 1A A1 144A
Synthetic
380,000
500,000
OCTAGON LOAN FUNDI 1A ARR 144A
Synthetic
500,054
154,000
OGLETHORPE POWER CORP
Synthetic
164,711
153,000
OLD REPUBLIC INTERNATIONAL COR
Synthetic
164,534
347,000
ONE GAS INC
Synthetic
345,110
100,000
ONEOK INC
Synthetic
101,001
99,000
ONEOK PARTNERS LP
Synthetic
124,727
127,000
ONEOK PARTNERS LP
Synthetic
163,924
299,000
ORACLE CORP
Synthetic
315,846
136,000
ORACLE CORP
Synthetic
137,514
184,000
ORACLE CORP
Synthetic
191,012
410,000
ORIX CORP
Synthetic
431,995
150,000
OSCAR US FUNDING XI 2A A3 144A
Synthetic
149,013
135,000
PACIFIC GAS AND ELECTRIC CO
Synthetic
137,038
221,000
PACIFIC GAS AND ELECTRIC CO
Synthetic
223,433
101,000
PACIFIC GAS AND ELECTRIC CO
Synthetic
100,783
228,000
PACIFIC LIFE GLOBAL FUNDI 144A
Synthetic
226,817
65,000
PACIFICORP
Synthetic
70,249
250,000
PALMER SQUARE CLO 2 1A A1 144A
Synthetic
250,066
48,000
PAYPAL HOLDINGS INC
Synthetic
50,517
55,000
PECO ENERGY CO
Synthetic
65,316
177,000
PENSKE TRUCK LEASING CO L 144A
Synthetic
172,449
69,000
PEPSICO INC
Synthetic
69,811
250,000
PERKINELMER INC
Synthetic
264,599
34,000
PERKINELMER INC
Synthetic
33,193
275,000
PERTAMINA PERSERO PT 144A
Synthetic
280,295
400,000
PERUSAHAAN PENERBIT SBSN REGS
Synthetic
442,720
650,000
PERUSAHAAN PERSEROAN PERS REGS
Synthetic
693,576
675,000
PERUVIAN GOVERNMENT INTERNATIO
Synthetic
671,632
500,000
PETROLEOS DEL PERU SA REGS
Synthetic
521,720
68,500
PETROLEOS MEXICANOS
Synthetic
69,492
400,000
PHILLIPS 66
Synthetic
384,948
75,000
PHILLIPS 66
Synthetic
74,917
70,000
PIEDMONT OPERATING PARTNERSHIP
Synthetic
73,793
178,000
PIEDMONT OPERATING PARTNERSHIP
Synthetic
182,295
24,000
PLAINS ALL AMERICAN PIPELINE L
Synthetic
26,368
110,000
PLAINS ALL AMERICAN PIPELINE L
Synthetic
119,376
208,000
PLAINS ALL AMERICAN PIPELINE L
Synthetic
228,340
327,000
PLAINS ALL AMERICAN PIPELINE L
Synthetic
338,748
1,000,000
PORTLAND GENERAL ELECTRIC CO
Synthetic
1,066,317
408,000
PPL CAPITAL FUNDING INC
Synthetic
427,566
1,510,000
PRIVATE EXPORT FUNDING CORP
Synthetic
1,523,474
375,000
PUBLIC SERVICE ENTERPRISE GROU
Synthetic
370,554
55,000
PUBLIC STORAGE
Synthetic
54,807
55,000
PUBLIC STORAGE
Synthetic
55,277
475,000
QATAR ENERGY 144A
Synthetic
480,043
400,000
QATAR GOVERNMENT INTERNAT 144A
Synthetic
448,520
250,000
RAD CLO 6 LTD 6A A1 144A
Synthetic
250,042
1,000,000
RAD CLO 7 LTD 7A A1 144A
Synthetic
1,001,348
150,000
RAYTHEON TECHNOLOGIES CORP
Synthetic
185,433
11,000
RAYTHEON TECHNOLOGIES CORP
Synthetic
12,819
181,000
RAYTHEON TECHNOLOGIES CORP
Synthetic
218,141
21,000
RAYTHEON TECHNOLOGIES CORP
Synthetic
21,833
173,000
REALTY INCOME CORP
Synthetic
179,522
38,000
REGENCY CENTERS LP
Synthetic
41,588
265,000
REGENERON PHARMACEUTICALS INC
Synthetic
250,598
64,000
REYNOLDS AMERICAN INC
Synthetic
78,373
85,000
REYNOLDS AMERICAN INC
Synthetic
100,719
64,000
REYNOLDS AMERICAN INC
Synthetic
77,763
171,000
RIO TINTO FINANCE USA LTD
Synthetic
169,522
205,000
ROCHE HOLDINGS INC 144A
Synthetic
206,244
28
215,000
ROCHE HOLDINGS INC 144A
Synthetic
214,365
142,000
ROYAL BANK OF CANADA
Synthetic
142,661
327,000
ROYAL BANK OF CANADA
Synthetic
321,202
200,000
ROYALTY PHARMA PLC
Synthetic
195,781
345,000
ROYALTY PHARMA PLC
Synthetic
338,954
498,000
ROYALTY PHARMA PLC
Synthetic
482,034
600,000
ROYALTY PHARMA PLC
Synthetic
594,881
335,000
SABINE PASS LIQUEFACTION LLC
Synthetic
371,925
526,000
SABINE PASS LIQUEFACTION LLC
Synthetic
590,790
122,000
SABRA HEALTH CARE LP
Synthetic
119,223
379,000
SALESFORCE INC
Synthetic
378,516
63,000
SALESFORCE INC
Synthetic
64,116
300,000
SANTANDER DRIVE AUTO RECEI 1 C
Synthetic
308,744
850,460
SANTANDER DRIVE AUTO RECEI 2 B
Synthetic
851,216
350,000
SANTANDER DRIVE AUTO RECEI 2 C
Synthetic
348,955
172,051
SANTANDER DRIVE AUTO RECEI 2 D
Synthetic
173,615
450,000
SANTANDER DRIVE AUTO RECEI 3 B
Synthetic
448,288
450,000
SANTANDER RETAIL AUTO B B 144A
Synthetic
452,740
142,000
SANTOS FINANCE LTD 144A
Synthetic
144,582
250,000
SAUDI GOVERNMENT INTERNAT 144A
Synthetic
291,290
24,361
SAYARRA LTD
Synthetic
24,440
339,835
SBA GTD PARTN CTFS 2018-20K 1
Synthetic
373,360
253,099
SBA GTD PARTN CTFS 2018-20L 1
Synthetic
274,805
1,254,501
SBA GTD PARTN CTFS 2019-25E 1
Synthetic
1,342,781
194,000
SCENTRE GROUP TRUST 1 / S 144A
Synthetic
207,087
155,000
SEALED AIR CORP 144A
Synthetic
150,285
43,000
SEMPRA ENERGY
Synthetic
47,181
200,000
SHELL INTERNATIONAL FINANCE BV
Synthetic
233,392
50,000
SHELL INTERNATIONAL FINANCE BV
Synthetic
50,042
1,000,000
SHERMAN FINL GROUP LLC / CR ON
Synthetic
1,000,458
194,000
SIERRA PACIFIC POWER CO
Synthetic
201,713
481,000
SILGAN HOLDINGS INC 144A
Synthetic
469,244
76,000
SIMON PROPERTY GROUP LP
Synthetic
77,352
268,000
SOCIETE GENERALE SA 144A
Synthetic
262,263
20,252
SOFI CONSUMER LOAN PR 2 B 144A
Synthetic
20,282
650,000
SOFI CONSUMER LOAN PR 4 B 144A
Synthetic
653,271
127,194
SOFI CONSUMER LOAN PR 6 B 144A
Synthetic
127,446
267,922
SOFI PROFESSIONAL C A2FX 144A
Synthetic
274,514
108,777
SOFI PROFESSIONAL F A2FX 144A
Synthetic
110,655
1,000,000
SOLAR SR CAP LTD
Synthetic
1,048,886
250,000
SOUND POINT CLO XX 4A A1A 144A
Synthetic
250,028
936,000
SOUNDS POINT CLO IV 3RA A 144A
Synthetic
935,997
302,000
SOUTHERN CALIFORNIA EDISON CO
Synthetic
326,520
317,000
SOUTHERN CO/THE
Synthetic
317,000
331,000
SOUTHERN NATURAL GAS CO L 144A
Synthetic
329,038
208,000
SOUTHWESTERN ELECTRIC POWER CO
Synthetic
206,298
112,000
SPIRE MISSOURI INC
Synthetic
121,352
440,000
STANDARD CHARTERED PLC 144A
Synthetic
434,161
500,000
STANDARD CHARTERED PLC 144A
Synthetic
484,268
1,000,000
STAR ENTMT FIN LTD
Synthetic
1,055,813
158,000
STEEL DYNAMICS INC
Synthetic
154,523
20,000
SUMITOMO MITSUI FINANCIAL GROU
Synthetic
20,945
180,000
SUMITOMO MITSUI FINANCIAL GROU
Synthetic
189,171
260,000
SVENSKA HANDELSBANKEN AB 144A
Synthetic
255,754
550,000
SYNCHRONY CREDIT CARD MAST 2 A
Synthetic
569,810
450,000
SYNCHRONY CREDIT CARD MAST 2 B
Synthetic
457,372
300,000
TAKEDA PHARMACEUTICAL CO LTD
Synthetic
305,274
55,000
TD SYNNEX CORP 144A
Synthetic
53,600
250,000
TEACHERS INSURANCE & ANNU 144A
Synthetic
260,717
150,000
TECK RESOURCES LTD
Synthetic
194,459
53,000
TECK RESOURCES LTD
Synthetic
64,627
291,000
TELEDYNE TECHNOLOGIES INC
Synthetic
288,149
29
2,000,000
TEXAS-NEW MEXICO PWR CO
Synthetic
2,069,298
1,000,000
TFORCE HLDGS INC
Synthetic
1,050,240
250,000
THL CREDIT WIND RIV 2A A2 144A
Synthetic
250,010
164,000
TIME WARNER CABLE LLC
Synthetic
204,658
190,000
T-MOBILE USA INC
Synthetic
217,205
402,000
T-MOBILE USA INC
Synthetic
435,326
475,000
T-MOBILE USA INC
Synthetic
519,533
119,000
T-MOBILE USA INC
Synthetic
116,221
137,000
T-MOBILE USA INC
Synthetic
135,987
57,000
TOTALENERGIES CAPITAL INTERNAT
Synthetic
59,916
65,866
TOWD POINT MORTGAGE 1 A1 144A
Synthetic
66,434
461,046
TOWD POINT MORTGAGE 4 A1 144A
Synthetic
469,916
323,000
TOYOTA AUTO LOAN EXT 1A A 144A
Synthetic
333,544
600,000
TOYOTA AUTO LOAN EXT 1A A 144A
Synthetic
598,367
1,250,000
TOYOTA AUTO RECEIVABLES 2 B A4
Synthetic
1,272,150
2,000,000
TRAFIGURA FDG S A
Synthetic
2,132,165
291,000
TRANS-ALLEGHENY INTERSTAT 144A
Synthetic
308,168
80,000
TRANSCONTINENTAL GAS PIPE LINE
Synthetic
84,321
1,000,000
TRANSURBAN QUEENSLAND FIN LP
Synthetic
1,068,778
113,000
TRITON CONTAINER INTERNAT 144A
Synthetic
112,112
120,000
TRITON CONTAINER INTERNAT 144A
Synthetic
121,019
85,000
TRITON CONTAINER INTERNAT 144A
Synthetic
84,162
64,000
TRUIST FINANCIAL CORP
Synthetic
69,058
208,000
TRUIST FINANCIAL CORP
Synthetic
204,070
240,000
TRUIST FINANCIAL CORP
Synthetic
236,327
250,000
TTX CO 144A
Synthetic
266,162
7,171,000
U S TREASURY BOND
Synthetic
8,614,724
2,500
U S TREASURY BOND
Synthetic
2,123
11,100
U S TREASURY BOND
Synthetic
10,342
103,700
U S TREASURY BOND
Synthetic
94,505
6,433,200
U S TREASURY BOND
Synthetic
6,557,843
3,824,000
U S TREASURY BOND
Synthetic
3,867,618
79,500
U S TREASURY NOTE
Synthetic
85,922
321,500
U S TREASURY NOTE
Synthetic
351,113
113,100
U S TREASURY NOTE
Synthetic
120,553
355,400
U S TREASURY NOTE
Synthetic
384,207
1,025,000
U S TREASURY NOTE
Synthetic
1,033,208
296,800
U S TREASURY NOTE
Synthetic
303,443
3,266,000
U S TREASURY NOTE
Synthetic
3,291,133
174,000
U S TREASURY NOTE
Synthetic
176,522
3,000
U S TREASURY NOTE
Synthetic
3,047
160,700
U S TREASURY NOTE
Synthetic
163,223
3,600
U S TREASURY NOTE
Synthetic
3,366
161,000
U S TREASURY NOTE
Synthetic
152,390
26,214,000
U S TREASURY NOTE
Synthetic
26,179,185
3,000
U S TREASURY NOTE
Synthetic
2,970
105,000
U S TREASURY NOTE
Synthetic
101,903
1,207,000
U S TREASURY NOTE
Synthetic
1,196,250
1,281,000
U S TREASURY NOTE
Synthetic
1,273,044
2,397,000
U S TREASURY NOTE
Synthetic
2,361,700
216,000
U S TREASURY NOTE
Synthetic
213,460
4,757,500
U S TREASURY NOTE
Synthetic
4,697,288
630,800
U S TREASURY NOTE
Synthetic
630,406
1,564,100
U S TREASURY NOTE
Synthetic
1,570,210
171,200
U S TREASURY NOTE
Synthetic
170,545
4,747,000
U S TREASURY NOTE
Synthetic
4,752,192
5,434,200
U S TREASURY NOTE
Synthetic
5,409,576
6,176,700
U S TREASURY NOTE
Synthetic
6,169,944
1,529,400
U S TREASURY NOTE
Synthetic
1,529,699
200,000
UBS AG REGS
Synthetic
214,000
8,633,850
UBS COMMERCIAL MORTGAGE C16 XA
Synthetic
740,683
200,000
UBS GROUP AG 144A
Synthetic
199,361
30
279,000
UBS GROUP AG 144A
Synthetic
270,003
80,000
UNION ELECTRIC CO
Synthetic
90,317
155,000
UNION ELECTRIC CO
Synthetic
164,742
141,939
UNITED AIRLINES 2016-2 CLASS A
Synthetic
140,418
510,193
UNITED AIRLINES 2016-2 CLASS A
Synthetic
519,481
55,805
UNITED AIRLINES 2019-2 CLASS A
Synthetic
55,320
471,523
UNITED AIRLINES 2020-1 CLASS A
Synthetic
516,493
329,566
UNITED AIRLINES 2020-1 CLASS B
Synthetic
343,112
86,000
UNITEDHEALTH GROUP INC
Synthetic
95,356
65,000
UNITEDHEALTH GROUP INC
Synthetic
65,987
36,000
UNITEDHEALTH GROUP INC
Synthetic
37,678
175,000
UNITEDHEALTH GROUP INC
Synthetic
189,320
125,000
UNUM GROUP
Synthetic
126,874
(49)
US 10YR NOTE FUTURE (CBT)
Synthetic
(60,063)
(72)
US 10YR ULTRA FUTURE (CBT)
Synthetic
(148,992)
103
US 2YR TREAS NTS FUT (CBT)
Synthetic
(7,210)
67
US 5YR NOTE FUTURE (CBT)
Synthetic
13,149
104,758
US AIRWAYS 2012-1 CLASS A PASS
Synthetic
109,780
71
US LONG BOND FUTURE (CBT)
Synthetic
64,905
99
US ULTRA BOND FUTURE (CBT)
Synthetic
468,771
130,000
VALERO ENERGY CORP
Synthetic
129,166
2,000,000
VECTOR LTD
Synthetic
2,013,182
259,000
VENTAS REALTY LP
Synthetic
348,394
100,000
VENTAS REALTY LP
Synthetic
105,415
250,000
VENTURE 34 CLO LTD 34A A 144A
Synthetic
250,001
112,000
VERISIGN INC
Synthetic
112,560
825,000
VERIZON COMMUNICATIONS IN 144A
Synthetic
812,887
190,000
VERIZON COMMUNICATIONS INC
Synthetic
212,238
274,000
VERIZON COMMUNICATIONS INC
Synthetic
343,535
103,000
VERIZON COMMUNICATIONS INC
Synthetic
118,268
592,000
VERIZON COMMUNICATIONS INC
Synthetic
561,741
265,000
VERIZON COMMUNICATIONS INC
Synthetic
285,369
266,000
VERIZON COMMUNICATIONS INC
Synthetic
266,507
44,000
VERIZON COMMUNICATIONS INC
Synthetic
46,066
1,090
VERIZON OWNER TRUST 2018 A A1A
Synthetic
1,092
76,951
VERIZON OWNER TRUST 2019 A A1A
Synthetic
77,373
175,000
VIATRIS INC
Synthetic
175,621
196,000
VISA INC
Synthetic
246,640
175,000
VISA INC
Synthetic
153,261
229,000
VITERRA FINANCE BV 144A
Synthetic
227,535
255,000
VMWARE INC
Synthetic
250,609
110,000
VMWARE INC
Synthetic
107,047
300,000
VODAFONE GROUP PLC
Synthetic
351,722
42,000
WALT DISNEY CO/THE
Synthetic
41,778
37,382
WAMU MORTGAGE PASS-THRO CB1 4A
Synthetic
39,092
135,000
WASHINGTON GAS LIGHT CO
Synthetic
150,891
231,000
WEC ENERGY GROUP INC
Synthetic
222,720
76,000
WELLS FARGO & CO
Synthetic
94,852
165,000
WELLS FARGO & CO
Synthetic
169,120
90,000
WELLS FARGO & CO
Synthetic
92,297
9,400
WELLS FARGO & CO
Synthetic
251,826
250,000
WELLS FARGO COMMERC C37 D 144A
Synthetic
231,225
69,000
WELLTOWER INC
Synthetic
71,884
13,000
WESTERN DIGITAL CORP
Synthetic
13,125
211,000
WESTPAC BANKING CORP
Synthetic
206,947
120,000
WESTPAC BANKING CORP
Synthetic
119,520
155,000
WESTPAC BANKING CORP
Synthetic
153,156
280,000
WFLD 2014-MONT MOR MONT B 144A
Synthetic
268,970
3,863,852
WFRBS COMMERCIAL MO C9 XA 144A
Synthetic
27,501
135,000
WFRBS COMMERCIAL MORTGA C17 A4
Synthetic
140,577
120,000
WISCONSIN ELECTRIC POWER CO
Synthetic
117,544
185,000
WRKCO INC
Synthetic
192,845
31
99,000
XLIT LTD
Synthetic
107,313
419,000
XLIT LTD
Synthetic
573,455
400,000
XYLEM INC/NY
Synthetic
427,105
4,677
BNY MELLON CASH RESERVE
Synthetic
—
4,300,000
FEDERAL HOME LN BK CONS DISC N
Synthetic
4,299,900
15,000,000
U S TREASURY BILL
Synthetic
14,997,346
9,700,000
U S TREASURY BILL
Synthetic
9,699,715
15,000,000
U S TREASURY BILL
Synthetic
14,997,422
2,500,000
U S TREASURY BILL
Synthetic
2,499,152
5,000,000
U S TREASURY BILL
Synthetic
4,996,598
5,650,000
U S TREASURY BILL
Synthetic
5,644,309
4,800,000
U S TREASURY BILL
Synthetic
4,798,334
313,743
EB Temporary Investment Fund*
Common Collective Trust Fund
313,743
1,071,000
ABBVIE INC
Synthetic
1,074,970
2,500,000
AIR LEASE CORP
Synthetic
2,498,286
5,000,000
ALLSTATE CORP/THE
Synthetic
5,015,745
3,000,000
AMERICAN ELECTRIC POWER CO INC
Synthetic
3,000,272
5,000,000
AMERICAN EXPRESS CO
Synthetic
4,995,364
3,000,000
AMERICAN EXPRESS CO
Synthetic
3,006,265
2,000,000
AMERICAN EXPRESS CREDIT AC 3 A
Synthetic
2,005,085
1,340,000
AMERICAN EXPRESS CREDIT AC 5 A
Synthetic
1,342,168
2,750,000
AMERICAN EXPRESS CREDIT AC 7 A
Synthetic
2,760,440
2,065,000
AMERICAN EXPRESS CREDIT AC 9 A
Synthetic
2,072,850
6,000,000
AMERICAN HONDA FINANCE CORP
Synthetic
6,009,701
4,611,000
AT&T INC
Synthetic
4,673,064
3,000,000
AT&T INC
Synthetic
3,000,853
2,500,000
BANK OF AMERICA CORP
Synthetic
2,505,815
3,000,000
BANK OF AMERICA CORP
Synthetic
3,015,073
1,250,000
BANK OF AMERICA CORP
Synthetic
1,260,520
2,250,000
BANK OF AMERICA CORP
Synthetic
2,261,915
2,000,000
BANK OF NOVA SCOTIA/THE
Synthetic
1,999,831
6,422,000
BARCLAYS PLC
Synthetic
6,429,542
4,000,000
BMW US CAPITAL LLC 144A
Synthetic
4,010,520
1,500,000
CANADIAN IMPERIAL BANK OF COMM
Synthetic
1,507,719
5,000,000
CAPITAL ONE FINANCIAL CORP
Synthetic
4,998,240
3,000,000
CATERPILLAR FINANCIAL SERVICES
Synthetic
3,011,919
3,000,000
CATERPILLAR FINANCIAL SERVICES
Synthetic
3,006,510
820,000
CENTERPOINT ENERGY INC
Synthetic
820,303
3,623,000
CENTERPOINT ENERGY RESOURCES C
Synthetic
3,614,561
1,586,767
CHESAPEAKE FUNDING 1A A2 144A
Synthetic
1,587,748
5,000,000
CIGNA CORP
Synthetic
5,046,805
2,500,000
CITIBANK CREDIT CARD ISS A2 A2
Synthetic
2,506,027
4,360,000
CITIBANK CREDIT CARD ISS A4 A4
Synthetic
4,373,848
1,000,000
CITIBANK CREDIT CARD ISS A6 A6
Synthetic
1,016,029
2,000,000
CITIGROUP INC
Synthetic
2,005,701
4,000,000
CITIGROUP INC
Synthetic
4,041,760
2,750,000
CITIGROUP INC
Synthetic
2,773,265
3,000,000
CLECO POWER LLC 144A
Synthetic
2,997,703
3,317,000
COMCAST CORP
Synthetic
3,349,329
2,500,000
CONOCOPHILLIPS CO
Synthetic
2,506,728
1,814,000
CREDIT SUISSE AG/NEW YORK NY
Synthetic
1,809,072
1,923,000
DOMINION ENERGY INC
Synthetic
1,921,283
714,000
ENBRIDGE INC
Synthetic
714,000
3,749,000
EVERSOURCE ENERGY
Synthetic
3,745,819
454,683
FHLMC MULTICLASS MTG 3983 DF
Synthetic
455,850
1,022,049
FHLMC MULTICLASS MTG 4477 FG
Synthetic
1,024,105
1,151,507
FHLMC MULTICLASS MTG 4497 CF
Synthetic
1,150,453
908,699
FHLMC MULTICLASS MTG 4911 FM
Synthetic
915,843
97,852
FHLMC MULTICLASS MTG KF22 A
Synthetic
97,942
32
2,441,643
FHLMC MULTICLASS MTG KF64 A
Synthetic
2,449,946
1,071,219
FHLMC MULTICLASS MTG KF77 AL
Synthetic
1,081,022
1,401,453
FHLMC MULTICLASS MTG Q008 A
Synthetic
1,405,048
2,030,875
FHLMC MULTICLASS STRIP 350 F2
Synthetic
2,036,507
5,217,000
FLORIDA POWER & LIGHT CO
Synthetic
5,201,892
1,862,377
FNMA GTD REMIC P/T 18-57 FA
Synthetic
1,873,049
5,236,000
FORD CREDIT FLOORPLAN MAS 3 A2
Synthetic
5,248,995
2,500,000
FORD MOTOR CREDIT CO LLC
Synthetic
2,504,397
4,808,000
GENERAL MOTORS FINANCIAL CO IN
Synthetic
4,829,275
33,895
GM FINANCIAL AUTOMOBILE 2 A2B
Synthetic
33,900
2,000,000
GOLDEN CREDIT CARD T 4A A 144A
Synthetic
2,002,309
2,500,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
2,508,306
3,500,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
3,514,603
2,254,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
2,266,265
3,325,000
INTOWN HOTEL PORTF STAY A 144A
Synthetic
3,320,889
5,000,000
JACKSON NATIONAL LIFE GLO 144A
Synthetic
5,014,245
3,000,000
JOHN DEERE CAPITAL CORP
Synthetic
2,995,603
5,807,338
JP MORGAN CHASE C WPT AFL 144A
Synthetic
5,809,277
1,470,233
JP MORGAN MORTGAGE 1 A11 144A
Synthetic
1,465,622
1,646,090
JP MORGAN MORTGAGE 3 A11 144A
Synthetic
1,637,224
2,500,000
JPMORGAN CHASE & CO
Synthetic
2,514,973
3,900,000
JPMORGAN CHASE & CO
Synthetic
3,935,721
4,000,000
JPMORGAN CHASE & CO
Synthetic
4,000,999
6,295,000
LIFE 2021-BMR MORTG BMR A 144A
Synthetic
6,281,319
5,000,000
M&T BANK CORP
Synthetic
5,035,823
3,756,000
MASSMUTUAL GLOBAL FUNDING 144A
Synthetic
3,768,883
3,090,000
MED TRUST 2021-MDL MDLN A 144A
Synthetic
3,086,282
5,000,000
MET TOWER GLOBAL FUNDING 144A
Synthetic
5,016,806
1,500,000
METROPOLITAN LIFE GLOBAL 144A
Synthetic
1,505,820
3,500,000
MIZUHO FINANCIAL GROUP INC
Synthetic
3,515,971
4,769,000
MORGAN STANLEY
Synthetic
4,769,741
2,057,386
MORGAN STANLEY B C10 A3FL 144A
Synthetic
2,058,423
3,000,000
NATIONAL AUSTRALIA BANK L 144A
Synthetic
3,008,704
3,000,000
NATWEST GROUP PLC
Synthetic
3,047,262
370,862
NAVIENT STUDENT LOA 2A A2 144A
Synthetic
371,023
1,235,000
NEXTERA ENERGY CAPITAL HOLDING
Synthetic
1,236,866
930,000
NEXTGEAR FLOORPLAN 1A A1 144A
Synthetic
930,589
3,855,000
NEXTGEAR FLOORPLAN 1A A1 144A
Synthetic
3,875,630
1,650,000
NORTHWESTERN MUTUAL GLOBA 144A
Synthetic
1,648,647
2,500,000
PNC BANK NA
Synthetic
2,500,931
5,000,000
PPL ELECTRIC UTILITIES CORP
Synthetic
4,987,843
2,051,000
PUBLIC STORAGE
Synthetic
2,049,830
3,500,000
RLGH TRUST 2021-TR TROT A 144A
Synthetic
3,497,980
1,797,863
SLM STUDENT LOAN TRUST 20 6 A3
Synthetic
1,803,777
3,000,000
SOUTHERN CALIFORNIA EDISON CO
Synthetic
3,000,000
3,250,000
SOUTHERN CALIFORNIA EDISON CO
Synthetic
3,250,000
2,632,000
SOUTHERN CO/THE
Synthetic
2,625,889
5,000,000
STANDARD CHARTERED PLC 144A
Synthetic
5,001,883
2,500,000
SUMITOMO MITSUI FINANCIAL GROU
Synthetic
2,511,844
2,000,000
THERMO FISHER SCIENTIFIC INC
Synthetic
1,997,398
5,000,000
THERMO FISHER SCIENTIFIC INC
Synthetic
4,994,584
3,000,000
TORONTO-DOMINION BANK/THE
Synthetic
3,022,654
1,821,000
TORONTO-DOMINION BANK/THE
Synthetic
1,825,939
5,000,000
TRUIST BANK
Synthetic
4,980,280
83,000,000
U S TREASURY NOTE
Synthetic
83,015,593
2,500,000
VERIZON COMMUNICATIONS INC
Synthetic
2,504,322
4,000,000
VERIZON COMMUNICATIONS INC
Synthetic
4,076,893
3,000,000
WELLS FARGO COM NXS5 A6FL 144A
Synthetic
3,077,556
3,000,000
WESTPAC BANKING CORP
Synthetic
3,011,425
7,850,588
EB Temporary Investment Fund*
Common Collective Trust Fund
7,850,588
33
Mass Mutual
140,259,743
IGT Jennison Short Term Bond Fund
Synthetic
105,492,337
350,989,178
IGT Pimco Itermediate Fund
Synthetic
263,986,428
Trans America
350,948,675
IGT Invesco Intermediate Fund
Synthetic
263,749,367
140,277,909
IGT Jennison Short Term Bond Fund
Synthetic
105,423,421
PAC Life
140,304,042
IGT Jennison Short Term Bond Fund
Synthetic
105,910,808
350,967,197
IGT Loomis Sayles Itermediate Fund
Synthetic
264,933,345
Prudential
350,988,478
IGT Jennison Intermediate Fund
Synthetic
265,482,256
140,299,492
IGT Jennison Short Term Bond Fund
Synthetic
106,120,366
Voya
476,424,765
IGT Invesco Short Term Bond Fund
Synthetic
321,749,763
State Street
476,422,064
IGT Invesco Short Term Bond Fund
Synthetic
321,691,826
48,090,200
EB Temporary Investment Fund*
Common Collective Trust Fund
48,090,200
Stable Value Fund Subtotal
$
3,054,104,018
Diversified Bond Fund
Loomis Sayles, Dodge & Cox
Separately Managed Fund
865,000
ABBVIE INC
Corporate Debt Instruments
$
925,717
510,000
ABBVIE INC
Corporate Debt Instruments
587,882
1,779,612
ACWA POWER MANAGEMENT AND 144A
Corporate Debt Instruments
2,108,841
485,000
AERCAP IRELAND CAPITAL DAC / A
Corporate Debt Instruments
492,277
214,000
AES CORP/THE 144A
Corporate Debt Instruments
221,576
394,000
AES CORP/THE 144A
Corporate Debt Instruments
419,768
1,394,000
AIR LEASE CORP
Corporate Debt Instruments
1,478,593
1,710,000
AIRCASTLE LTD 144A
Corporate Debt Instruments
1,721,222
200,000
AKER BP ASA 144A
Corporate Debt Instruments
207,343
1,035,000
ALBERTSONS COS INC / SAFE 144A
Corporate Debt Instruments
1,054,406
940,000
ALBERTSONS COS INC / SAFE 144A
Corporate Debt Instruments
941,842
2,054,000
ALLY FINANCIAL INC
Corporate Debt Instruments
2,106,062
200,000
ALPEK SAB DE CV 144A
Corporate Debt Instruments
199,500
201,000
ALTRIA GROUP INC
Corporate Debt Instruments
205,803
1,055,000
AMC NETWORKS INC
Corporate Debt Instruments
1,048,406
755,000
AMERICA MOVIL SAB DE CV
Corporate Debt Instruments
782,936
550,000
AMERICAN AIRLINES INC/AAD 144A
Corporate Debt Instruments
571,931
625,000
AMERICAN AIRLINES INC/AAD 144A
Corporate Debt Instruments
667,244
1,275,000
AMERICAN BUILDERS & CONTR 144A
Corporate Debt Instruments
1,271,813
1,384,000
AMERICAN EXPRESS CO
Corporate Debt Instruments
1,430,128
90,000
AMERICAN HOMES 4 RENT LP
Corporate Debt Instruments
88,306
125,000
AMERICAN HOMES 4 RENT LP
Corporate Debt Instruments
125,960
613,000
ANGLO AMERICAN CAPITAL PL 144A
Corporate Debt Instruments
726,971
200,000
ANGLO AMERICAN CAPITAL PL 144A
Corporate Debt Instruments
196,320
245,000
ANGLO AMERICAN CAPITAL PL 144A
Corporate Debt Instruments
260,841
200,000
ANGLO AMERICAN CAPITAL PL 144A
Corporate Debt Instruments
196,568
1,385,000
ANHEUSER-BUSCH COS LLC / ANHEU
Corporate Debt Instruments
1,755,976
790,000
ANHEUSER-BUSCH INBEV WORLDWIDE
Corporate Debt Instruments
1,096,481
430,000
ANHEUSER-BUSCH INBEV WORLDWIDE
Corporate Debt Instruments
506,678
1,002,000
ANHEUSER-BUSCH INBEV WORLDWIDE
Corporate Debt Instruments
1,180,678
597,000
ANHEUSER-BUSCH INBEV WORLDWIDE
Corporate Debt Instruments
741,907
635,000
ANTARES HOLDINGS LP 144A
Corporate Debt Instruments
653,309
34
1,625,000
AOA 2021-1177 MORT 1177 A 144A
Corporate Debt Instruments
1,621,567
1,995,000
ARES CAPITAL CORP
Corporate Debt Instruments
1,968,895
70,000
ASBURY AUTOMOTIVE GROUP INC
Corporate Debt Instruments
71,400
135,000
ASBURY AUTOMOTIVE GROUP INC
Corporate Debt Instruments
137,194
200,000
ASCOT GROUP LTD 144A
Corporate Debt Instruments
205,854
1,640,000
ASHLAND LLC 144A
Corporate Debt Instruments
1,627,700
304,000
AT&T INC
Corporate Debt Instruments
355,585
710,000
AT&T INC
Corporate Debt Instruments
1,041,315
740,000
AT&T INC
Corporate Debt Instruments
755,827
1,520,000
AT&T INC
Corporate Debt Instruments
1,539,498
654,000
AT&T INC
Corporate Debt Instruments
658,997
3,749,000
AT&T INC
Corporate Debt Instruments
3,801,925
220,000
AT&T INC
Corporate Debt Instruments
228,685
475,000
AT&T INC
Corporate Debt Instruments
481,093
125,000
AT&T INC
Corporate Debt Instruments
125,955
1,300,000
AT&T INC
Corporate Debt Instruments
1,318,352
1,570,000
AT&T INC
Corporate Debt Instruments
1,562,726
524,000
AT&T INC
Corporate Debt Instruments
547,728
805,000
ATHENE GLOBAL FUNDING 144A
Corporate Debt Instruments
820,950
800,000
ATMOS ENERGY CORP
Corporate Debt Instruments
796,989
525,000
AVIS BUDGET RENTAL C 1A A 144A
Corporate Debt Instruments
531,657
126,500
AVIS BUDGET RENTAL C 1A A 144A
Corporate Debt Instruments
126,997
190,000
AVIS BUDGET RENTAL C 2A A 144A
Corporate Debt Instruments
200,293
1,015,000
AVIS BUDGET RENTAL C 2A A 144A
Corporate Debt Instruments
1,063,074
765,000
AVIS BUDGET RENTAL C 2A A 144A
Corporate Debt Instruments
773,255
615,000
AVOLON HOLDINGS FUNDING L 144A
Corporate Debt Instruments
603,927
270,000
BAIDU INC
Corporate Debt Instruments
280,012
240,000
BAIDU INC
Corporate Debt Instruments
232,776
812,000
BANCO SANTANDER CHILE 144A
Corporate Debt Instruments
826,713
1,091,000
BANCO SANTANDER CHILE 144A
Corporate Debt Instruments
1,114,195
1,000,000
BANCO SANTANDER SA
Corporate Debt Instruments
995,017
200,000
BANCO SANTANDER SA
Corporate Debt Instruments
204,284
2,355,000
BANGKOK BANK PCL/HONG KON 144A
Corporate Debt Instruments
2,489,471
255,000
BANK 2019-BNK16 BN16 A4
Corporate Debt Instruments
286,234
758,929
BANK 2019-BNK22 BN22 A4
Corporate Debt Instruments
804,519
366,921
BANK 2019-BNK24 BN24 A3
Corporate Debt Instruments
388,985
1,150,000
BANK OF AMERICA CORP
Corporate Debt Instruments
1,232,934
1,305,000
BANK OF AMERICA CORP
Corporate Debt Instruments
1,440,792
530,000
BANK OF AMERICA CORP
Corporate Debt Instruments
531,885
1,915,000
BANK OF AMERICA CORP
Corporate Debt Instruments
2,308,835
516,000
BANK OF AMERICA CORP
Corporate Debt Instruments
526,697
2,831,000
BANK OF AMERICA CORP
Corporate Debt Instruments
3,028,931
2,230,000
BANK OF AMERICA CORP
Corporate Debt Instruments
2,212,527
1,685,000
BARCLAYS PLC
Corporate Debt Instruments
1,800,925
575,000
BARCLAYS PLC
Corporate Debt Instruments
641,625
350,000
BARCLAYS PLC
Corporate Debt Instruments
385,793
1,570,000
BARCLAYS PLC
Corporate Debt Instruments
1,678,336
425,000
BAT CAPITAL CORP
Corporate Debt Instruments
414,475
1,150,000
BAT CAPITAL CORP
Corporate Debt Instruments
1,117,227
175,000
BAT CAPITAL CORP
Corporate Debt Instruments
168,536
1,150,000
BAT CAPITAL CORP
Corporate Debt Instruments
1,109,239
2,548,000
BAT CAPITAL CORP
Corporate Debt Instruments
2,625,594
839,000
BAUSCH HEALTH COS INC 144A
Corporate Debt Instruments
738,320
2,125,000
BAYER US FINANCE II LLC 144A
Corporate Debt Instruments
2,220,930
590,000
BAYER US FINANCE II LLC 144A
Corporate Debt Instruments
638,432
590,000
BAYER US FINANCE II LLC 144A
Corporate Debt Instruments
659,526
57,957
BAYVIEW KOITERE FU SPL3 A 144A
Corporate Debt Instruments
58,724
35,355
BAYVIEW OPPORTUNIT RT1 A1 144A
Corporate Debt Instruments
35,530
60,566
BAYVIEW OPPORTUNIT SPL1 A 144A
Corporate Debt Instruments
60,805
136,398
BAYVIEW OPPORTUNIT SPL1 A 144A
Corporate Debt Instruments
138,047
52,436
BAYVIEW OPPORTUNIT SPL2 A 144A
Corporate Debt Instruments
53,228
202,955
BAYVIEW OPPORTUNITY RT5 A 144A
Corporate Debt Instruments
205,037
35
550,000
BBVA BANCOMER SA/TEXAS 144A
Corporate Debt Instruments
545,325
1,463,000
BHARTI AIRTEL LTD 144A
Corporate Debt Instruments
1,558,552
2,685,000
BNP PARIBAS SA
Corporate Debt Instruments
2,896,432
815,000
BNP PARIBAS SA 144A
Corporate Debt Instruments
886,736
510,000
BNP PARIBAS SA 144A
Corporate Debt Instruments
552,771
3,760,000
BNP PARIBAS SA 144A
Corporate Debt Instruments
4,170,302
2,226,000
BNP PARIBAS SA 144A
Corporate Debt Instruments
2,291,383
1,325,000
BNP PARIBAS SA 144A
Corporate Debt Instruments
1,289,966
116,096
BNSF RAILWAY CO 2007-1 PASS TH
Corporate Debt Instruments
123,625
483,529
BNSF RAILWAY CO 2015-1 PA 144A
Corporate Debt Instruments
526,153
1,275,000
BOC AVIATION USA CORP 144A
Corporate Debt Instruments
1,273,214
1,328,000
BOEING CO/THE
Corporate Debt Instruments
1,709,759
1,673,000
BOEING CO/THE
Corporate Debt Instruments
2,272,778
1,545,000
BOEING CO/THE
Corporate Debt Instruments
1,542,895
161,000
BOSTON GAS CO 144A
Corporate Debt Instruments
164,257
450,000
BOSTON PROPERTIES LP
Corporate Debt Instruments
470,689
205,000
BOSTON PROPERTIES LP
Corporate Debt Instruments
219,720
330,000
BOSTON PROPERTIES LP
Corporate Debt Instruments
345,634
425,000
BOSTON PROPERTIES LP
Corporate Debt Instruments
479,350
115,000
BOSTON PROPERTIES LP
Corporate Debt Instruments
117,221
1,810,000
BOSTON PROPERTIES LP
Corporate Debt Instruments
1,894,338
545,000
BPR TRUST 2021-NRD NRD A 144A
Corporate Debt Instruments
543,648
1,956,000
BRASKEM AMERICA FINANCE C 144A
Corporate Debt Instruments
2,525,685
1,290,000
BRF SA 144A
Corporate Debt Instruments
1,283,550
1,115,000
BRIGHTHOUSE FINANCIAL INC
Corporate Debt Instruments
1,331,693
121,000
BRIXMOR OPERATING PARTNERSHIP
Corporate Debt Instruments
132,161
365,000
BROADCOM INC 144A
Corporate Debt Instruments
367,733
1,750,000
CALPINE CORP 144A
Corporate Debt Instruments
1,697,500
910,000
CAPITAL ONE FINANCIAL CORP
Corporate Debt Instruments
943,054
105,000
CAPITAL ONE FINANCIAL CORP
Corporate Debt Instruments
110,684
325,000
CAPITAL ONE FINANCIAL CORP
Corporate Debt Instruments
340,671
895,000
CAPITAL ONE FINANCIAL CORP
Corporate Debt Instruments
973,511
358,000
CATERPILLAR FINANCIAL SERVICES
Corporate Debt Instruments
368,462
1,600,000
CCO HOLDINGS LLC / CCO HO 144A
Corporate Debt Instruments
1,632,368
1,275,000
CCO HOLDINGS LLC / CCO HO 144A
Corporate Debt Instruments
1,254,380
1,720,000
CCO HOLDINGS LLC / CCO HO 144A
Corporate Debt Instruments
1,692,183
294,000
CELULOSA ARAUCO Y CONSTITUCION
Corporate Debt Instruments
312,378
2,730,000
CEMEX SAB DE CV 144A
Corporate Debt Instruments
3,005,757
1,625,000
CEMEX SAB DE CV 144A
Corporate Debt Instruments
1,744,844
775,000
CEMEX SAB DE CV 144A
Corporate Debt Instruments
772,156
727,000
CENTENE CORP
Corporate Debt Instruments
741,693
1,510,000
CENTENE CORP
Corporate Debt Instruments
1,470,008
610,000
CENTENE CORP
Corporate Debt Instruments
597,800
855,000
CENTERPOINT ENERGY INC
Corporate Debt Instruments
855,221
3,225,000
CHARTER COMMUNICATIONS OPERATI
Corporate Debt Instruments
4,416,363
405,000
CHARTER COMMUNICATIONS OPERATI
Corporate Debt Instruments
484,864
2,335,000
CHARTER COMMUNICATIONS OPERATI
Corporate Debt Instruments
2,920,674
60,000
CHESAPEAKE ENERGY CORP 144A
Corporate Debt Instruments
64,185
621,000
CIGNA CORP
Corporate Debt Instruments
645,841
335,000
CIGNA CORP
Corporate Debt Instruments
366,528
835,000
CIGNA CORP
Corporate Debt Instruments
949,730
190,000
CIGNA CORP
Corporate Debt Instruments
245,792
1,311,815
CITIGROUP COMMERCIAL M GC43 A4
Corporate Debt Instruments
1,391,321
790,000
CITIGROUP COMMERCIAL M GC46 A5
Corporate Debt Instruments
821,388
847,619
CITIGROUP COMMERCIAL MOR C7 A4
Corporate Debt Instruments
902,863
510,000
CITIGROUP INC
Corporate Debt Instruments
527,259
220,000
CITIGROUP INC
Corporate Debt Instruments
234,438
485,000
CITIGROUP INC
Corporate Debt Instruments
554,434
1,523,000
CITIGROUP INC
Corporate Debt Instruments
1,554,031
355,000
CITIGROUP INC
Corporate Debt Instruments
378,297
1,225,000
CITIGROUP INC
Corporate Debt Instruments
1,400,374
590,000
CITIGROUP INC
Corporate Debt Instruments
585,456
36
903,000
CK HUTCHISON INTERNATIONA 144A
Corporate Debt Instruments
914,166
165,000
CLARK EQUIPMENT CO 144A
Corporate Debt Instruments
171,394
1,300,000
CLEARWAY ENERGY OPERATING 144A
Corporate Debt Instruments
1,296,750
1,448,672
CLI FUNDING VIII LLC 1A A 144A
Corporate Debt Instruments
1,414,824
441,000
CNH INDUSTRIAL CAPITAL LLC
Corporate Debt Instruments
444,933
393,000
CNPC GENERAL CAPITAL LTD 144A
Corporate Debt Instruments
396,140
880,000
COCA-COLA CO/THE
Corporate Debt Instruments
975,205
1,738,666
COMETA ENERGIA SA DE CV 144A
Corporate Debt Instruments
1,979,906
96,792
CONTINENTAL AIRLINES 2012-2 CL
Corporate Debt Instruments
100,336
224,956
COREVEST AMERICAN FIN 3 A 144A
Corporate Debt Instruments
229,859
952,000
CORNING INC
Corporate Debt Instruments
1,262,325
902
COUNTRYWIDE ASSET-BACKED S1 A3
Corporate Debt Instruments
919
1,630,000
COX COMMUNICATIONS INC 144A
Corporate Debt Instruments
1,733,878
980,000
COX COMMUNICATIONS INC 144A
Corporate Debt Instruments
1,040,645
340,000
COX COMMUNICATIONS INC 144A
Corporate Debt Instruments
365,461
750,000
CRH AMERICA INC 144A
Corporate Debt Instruments
801,530
59,000
CROWN CASTLE INTERNATIONAL COR
Corporate Debt Instruments
66,581
183,088
CSMC 2014-USA OA L USA A1 144A
Corporate Debt Instruments
188,792
702,000
CSMC 2014-USA OA L USA A2 144A
Corporate Debt Instruments
738,635
365,000
DANA INC
Corporate Debt Instruments
370,019
1,101,000
DAVITA INC 144A
Corporate Debt Instruments
1,127,149
1,090,000
DB MASTER FINANCE 1A A2II 144A
Corporate Debt Instruments
1,085,126
27,000
DELL INTERNATIONAL LLC / EMC C
Corporate Debt Instruments
28,484
210,000
DELL INTERNATIONAL LLC / EMC C
Corporate Debt Instruments
242,849
300,000
DELL INTERNATIONAL LLC / EMC C
Corporate Debt Instruments
358,065
1,125,000
DELTA AIR LINES INC / SKY 144A
Corporate Debt Instruments
1,229,257
855,000
DEUTSCHE BANK AG/NEW YORK NY
Corporate Debt Instruments
854,014
810,000
DEUTSCHE BANK AG/NEW YORK NY
Corporate Debt Instruments
828,950
710,000
DEUTSCHE BANK AG/NEW YORK NY
Corporate Debt Instruments
703,933
680,000
DEUTSCHE BANK AG/NEW YORK NY
Corporate Debt Instruments
677,011
701,000
DEVON ENERGY CORP
Corporate Debt Instruments
753,023
571,000
DIAMONDBACK ENERGY INC
Corporate Debt Instruments
625,750
150,000
DILLARD'S INC
Corporate Debt Instruments
178,950
90,000
DILLARD'S INC
Corporate Debt Instruments
106,628
200,000
DILLARD'S INC
Corporate Debt Instruments
233,953
1,815,000
DNB BANK ASA 144A
Corporate Debt Instruments
1,841,651
1,680,000
DOMINION ENERGY INC
Corporate Debt Instruments
1,793,100
165,000
DOMINION ENERGY INC
Corporate Debt Instruments
175,265
1,100,000
DOMINION ENERGY INC
Corporate Debt Instruments
1,087,858
398,000
DOMINO'S PIZZA MAS 1A A2I 144A
Corporate Debt Instruments
399,675
835,000
DONLEN FLEET LEASE F 2 A2 144A
Corporate Debt Instruments
830,138
629,000
DOW CHEMICAL CO/THE
Corporate Debt Instruments
1,130,341
275,000
DPL INC
Corporate Debt Instruments
292,188
204,000
DPL INC
Corporate Debt Instruments
213,260
51,000
EDISON INTERNATIONAL
Corporate Debt Instruments
55,483
1,890,000
EL PUERTO DE LIVERPOOL SA 144A
Corporate Debt Instruments
2,012,869
230,000
ELANCO ANIMAL HEALTH INC
Corporate Debt Instruments
244,723
1,205,000
ELANCO ANIMAL HEALTH INC
Corporate Debt Instruments
1,397,800
757,000
EMBRAER NETHERLANDS FINANCE BV
Corporate Debt Instruments
783,313
275,000
EMPRESA DE LOS FERROCARRI 144A
Corporate Debt Instruments
235,796
390,000
EMPRESA NACIONAL DE TELEC 144A
Corporate Debt Instruments
383,179
168,000
ENEL AMERICAS SA
Corporate Debt Instruments
178,920
1,780,000
ENEL FINANCE INTERNATIONA 144A
Corporate Debt Instruments
2,538,680
1,145,000
ENEL FINANCE INTERNATIONA 144A
Corporate Debt Instruments
1,524,621
170,000
ENEL GENERACION CHILE SA
Corporate Debt Instruments
177,225
805,000
ENERGEAN ISRAEL FINANCE L 144A
Corporate Debt Instruments
809,025
80,000
ENERGY TRANSFER LP
Corporate Debt Instruments
101,517
511,000
ENERGY TRANSFER LP
Corporate Debt Instruments
659,938
34,000
ENERGY TRANSFER LP
Corporate Debt Instruments
37,593
353,000
ENERGY TRANSFER LP
Corporate Debt Instruments
425,371
700,000
ENERGY TRANSFER LP
Corporate Debt Instruments
823,937
671,000
ENERGY TRANSFER LP / REGENCY E
Corporate Debt Instruments
684,339
37
476,000
ENTERGY CORP
Corporate Debt Instruments
484,909
280,000
EPR PROPERTIES
Corporate Debt Instruments
277,330
295,000
EQM MIDSTREAM PARTNERS LP
Corporate Debt Instruments
306,800
408,000
EQM MIDSTREAM PARTNERS LP 144A
Corporate Debt Instruments
456,960
495,000
EQM MIDSTREAM PARTNERS LP 144A
Corporate Debt Instruments
514,800
260,000
EQT CORP
Corporate Debt Instruments
279,178
35,000
EQT CORP
Corporate Debt Instruments
38,763
115,000
EQT CORP 144A
Corporate Debt Instruments
118,051
259,000
EQUIFAX INC
Corporate Debt Instruments
368,208
152,000
EQUIFAX INC
Corporate Debt Instruments
154,689
332,000
EQUIFAX INC
Corporate Debt Instruments
343,732
180,000
EXETER AUTOMOBILE RECEIVA 2A B
Corporate Debt Instruments
179,447
255,000
EXETER AUTOMOBILE RECEIVA 2A C
Corporate Debt Instruments
254,009
495,000
EXPEDIA GROUP INC
Corporate Debt Instruments
514,352
450,000
EXPEDIA GROUP INC
Corporate Debt Instruments
501,420
152,000
EXPEDIA GROUP INC 144A
Corporate Debt Instruments
171,545
467,568
EXTENDED STAY AMERI ESH A 144A
Corporate Debt Instruments
468,183
104,457
EXTENDED STAY AMERI ESH D 144A
Corporate Debt Instruments
104,456
1,045,000
EXXON MOBIL CORP
Corporate Debt Instruments
1,238,803
725,000
EXXON MOBIL CORP
Corporate Debt Instruments
752,184
785,000
FALABELLA SA 144A
Corporate Debt Instruments
777,150
1,535,000
FEDEX CORP
Corporate Debt Instruments
2,060,456
1,080,000
FMG RESOURCES AUGUST 2006 144A
Corporate Debt Instruments
1,134,000
575,000
FORD MOTOR CREDIT CO LLC
Corporate Debt Instruments
625,313
950,000
FORD MOTOR CREDIT CO LLC
Corporate Debt Instruments
986,974
1,615,000
FORD MOTOR CREDIT CO LLC
Corporate Debt Instruments
1,680,278
215,000
FORD MOTOR CREDIT CO LLC
Corporate Debt Instruments
215,000
1,550,000
FORD MOTOR CREDIT CO LLC
Corporate Debt Instruments
1,644,938
1,575,000
FORD MOTOR CREDIT CO LLC
Corporate Debt Instruments
1,633,653
895,000
FORD MOTOR CREDIT CO LLC
Corporate Debt Instruments
916,301
745,000
FORD MOTOR CREDIT CO LLC
Corporate Debt Instruments
745,522
835,000
FORD MOTOR CREDIT CO LLC
Corporate Debt Instruments
878,562
1,185,000
FORD MOTOR CREDIT CO LLC
Corporate Debt Instruments
1,187,963
200,000
FORD MOTOR CREDIT CO LLC
Corporate Debt Instruments
203,600
565,000
FORESTAR GROUP INC 144A
Corporate Debt Instruments
566,413
1,225,000
FRESNILLO PLC 144A
Corporate Debt Instruments
1,280,750
1,365,000
FS KKR CAPITAL CORP
Corporate Debt Instruments
1,386,815
247,000
GATX CORP
Corporate Debt Instruments
275,242
1,493,000
GENERAL MOTORS CO
Corporate Debt Instruments
1,764,421
422,000
GENERAL MOTORS FINANCIAL CO IN
Corporate Debt Instruments
436,471
204,000
GEORGETOWN UNIVERSITY/THE
Corporate Debt Instruments
292,333
2,090,000
GLENCORE FUNDING LLC 144A
Corporate Debt Instruments
2,026,155
902,000
GOLDMAN SACHS GROUP INC/THE
Corporate Debt Instruments
1,281,533
644,000
GOLDMAN SACHS GROUP INC/THE
Corporate Debt Instruments
663,266
310,000
GOLDMAN SACHS GROUP INC/THE
Corporate Debt Instruments
328,711
300,000
GOLDMAN SACHS GROUP INC/THE
Corporate Debt Instruments
323,263
590,000
GOLDMAN SACHS GROUP INC/THE
Corporate Debt Instruments
621,922
1,395,000
GOODYEAR TIRE & RUBBER CO/THE
Corporate Debt Instruments
1,522,294
70,000
GRAY OAK PIPELINE LLC 144A
Corporate Debt Instruments
73,120
140,000
GRAY OAK PIPELINE LLC 144A
Corporate Debt Instruments
140,336
110,000
GROUP 1 AUTOMOTIVE INC 144A
Corporate Debt Instruments
109,588
3,230,000
GRUPO TELEVISA SAB
Corporate Debt Instruments
111,429
336,361
GS MORTGAGE SECURIT GC5 C 144A
Corporate Debt Instruments
288,430
165,000
GS MORTGAGE SECURITIES GC18 B
Corporate Debt Instruments
163,628
394,288
GS MORTGAGE SECURITIES GC45 A5
Corporate Debt Instruments
414,921
51,000
HANESBRANDS INC 144A
Corporate Debt Instruments
53,404
299,000
HANESBRANDS INC 144A
Corporate Debt Instruments
319,556
53,000
HASBRO INC
Corporate Debt Instruments
58,488
80,000
HCA INC
Corporate Debt Instruments
90,009
800,000
HCA INC
Corporate Debt Instruments
1,030,813
955,000
HCL AMERICA INC 144A
Corporate Debt Instruments
929,875
1,270,000
HEWLETT PACKARD ENTERPRISE CO
Corporate Debt Instruments
1,664,564
38
583,000
HEWLETT PACKARD ENTERPRISE CO
Corporate Debt Instruments
615,243
650,000
HILTON DOMESTIC OPERATING 144A
Corporate Debt Instruments
646,581
1,590,000
HSBC HOLDINGS PLC
Corporate Debt Instruments
2,163,225
1,965,000
HSBC HOLDINGS PLC
Corporate Debt Instruments
2,724,492
245,000
HSBC HOLDINGS PLC
Corporate Debt Instruments
347,524
815,000
HSBC HOLDINGS PLC
Corporate Debt Instruments
893,488
940,000
HSBC HOLDINGS PLC
Corporate Debt Instruments
974,915
470,000
HSBC HOLDINGS PLC
Corporate Debt Instruments
552,023
1,850,000
HSBC HOLDINGS PLC
Corporate Debt Instruments
1,873,288
550,000
HSBC HOLDINGS PLC
Corporate Debt Instruments
537,920
1,600,000
HSBC HOLDINGS PLC
Corporate Debt Instruments
1,580,955
1,030,000
HSBC HOLDINGS PLC
Corporate Debt Instruments
1,017,740
1,184,000
HUNTINGTON BANCSHARES INC/OH
Corporate Debt Instruments
1,219,455
619,000
HYUNDAI CAPITAL AMERICA 144A
Corporate Debt Instruments
634,593
605,000
HYUNDAI CAPITAL AMERICA 144A
Corporate Debt Instruments
626,387
575,000
HYUNDAI CAPITAL AMERICA 144A
Corporate Debt Instruments
572,176
240,000
ICAHN ENTERPRISES LP / ICAHN E
Corporate Debt Instruments
246,600
440,000
ICAHN ENTERPRISES LP / ICAHN E
Corporate Debt Instruments
429,000
3,005,000
IMPERIAL BRANDS FINANCE P 144A
Corporate Debt Instruments
3,185,461
4,090,000
IMPERIAL BRANDS FINANCE P 144A
Corporate Debt Instruments
4,392,997
198,000
INTERNATIONAL LEASE FINANCE CO
Corporate Debt Instruments
204,110
345,000
INTESA SANPAOLO SPA 144A
Corporate Debt Instruments
348,363
1,204,276
INVITATION HOMES 2 SFR2 A 144A
Corporate Debt Instruments
1,204,464
1,210,000
IRON MOUNTAIN INC 144A
Corporate Debt Instruments
1,222,935
76,000
ISTAR INC
Corporate Debt Instruments
78,850
1,426,000
ISTAR INC
Corporate Debt Instruments
1,458,085
410,000
JABIL INC
Corporate Debt Instruments
421,610
280,000
JAZZ SECURITIES DAC 144A
Corporate Debt Instruments
289,923
243,000
JOHN DEERE CAPITAL CORP
Corporate Debt Instruments
251,328
650,000
JPMORGAN CHASE & CO
Corporate Debt Instruments
670,168
845,000
JPMORGAN CHASE & CO
Corporate Debt Instruments
932,535
930,000
JPMORGAN CHASE & CO
Corporate Debt Instruments
1,043,952
70,000
JPMORGAN CHASE & CO
Corporate Debt Instruments
71,993
2,595,000
JPMORGAN CHASE & CO
Corporate Debt Instruments
3,005,849
480,000
JPMORGAN CHASE & CO
Corporate Debt Instruments
485,650
600,000
JPMORGAN CHASE & CO
Corporate Debt Instruments
622,313
1,445,000
JPMORGAN CHASE & CO
Corporate Debt Instruments
1,497,640
1,196,000
JPMORGAN CHASE & CO
Corporate Debt Instruments
1,198,781
553,000
JPMORGAN CHASE & CO
Corporate Debt Instruments
568,034
2,010,000
JPMORGAN CHASE & CO
Corporate Debt Instruments
2,067,231
888,000
JPMORGAN CHASE & CO
Corporate Debt Instruments
920,349
270,000
KEN GARFF AUTOMOTIVE LLC 144A
Corporate Debt Instruments
270,338
545,000
KENBOURNE INVEST SA 144A
Corporate Debt Instruments
533,501
200,000
KIMBERLY-CLARK DE MEXICO 144A
Corporate Debt Instruments
197,642
360,000
KINDER MORGAN ENERGY PARTNERS
Corporate Debt Instruments
476,349
685,000
KINDER MORGAN ENERGY PARTNERS
Corporate Debt Instruments
949,769
510,000
KINDER MORGAN ENERGY PARTNERS
Corporate Debt Instruments
680,355
555,000
KINDER MORGAN ENERGY PARTNERS
Corporate Debt Instruments
645,410
610,000
KINDER MORGAN ENERGY PARTNERS
Corporate Debt Instruments
712,321
680,000
KINDER MORGAN ENERGY PARTNERS
Corporate Debt Instruments
835,897
490,000
KINDER MORGAN ENERGY PARTNERS
Corporate Debt Instruments
597,637
1,173,000
KINDER MORGAN ENERGY PARTNERS
Corporate Debt Instruments
1,244,703
254,000
KINDER MORGAN ENERGY PARTNERS
Corporate Debt Instruments
267,238
911,000
KINDER MORGAN INC 144A
Corporate Debt Instruments
973,623
925,000
KLABIN AUSTRIA GMBH 144A
Corporate Debt Instruments
1,064,916
602,000
KOPPERS INC 144A
Corporate Debt Instruments
612,529
39,000
LAMAR MEDIA CORP
Corporate Debt Instruments
39,566
500,000
LAMAR MEDIA CORP
Corporate Debt Instruments
486,900
1,201,000
LEAR CORP
Corporate Debt Instruments
1,521,198
69,000
LENNAR CORP
Corporate Debt Instruments
70,553
15,000
LENNAR CORP
Corporate Debt Instruments
15,935
630,000
LEVIATHAN BOND LTD 144A
Corporate Debt Instruments
664,852
39
474,000
LIBERTY MUTUAL GROUP INC 144A
Corporate Debt Instruments
522,590
700,000
LITHIA MOTORS INC 144A
Corporate Debt Instruments
747,250
255,000
LITHIA MOTORS INC 144A
Corporate Debt Instruments
260,330
210,000
LLOYDS BANKING GROUP PLC
Corporate Debt Instruments
229,183
1,535,000
LLOYDS BANKING GROUP PLC
Corporate Debt Instruments
1,654,216
820,000
LLOYDS BANKING GROUP PLC
Corporate Debt Instruments
903,161
546,079
LUNAR 2021-1 STRUCTUR 1 A 144A
Corporate Debt Instruments
543,122
280,000
LYB INTERNATIONAL FINANCE III
Corporate Debt Instruments
324,764
1,540,000
MARRIOTT INTERNATIONAL INC/MD
Corporate Debt Instruments
1,614,730
650,000
MED TRUST 2021-MDL MDLN A 144A
Corporate Debt Instruments
649,218
255,000
MERCADOLIBRE INC
Corporate Debt Instruments
247,990
340,000
MERCADOLIBRE INC
Corporate Debt Instruments
321,303
381,000
MICROCHIP TECHNOLOGY INC
Corporate Debt Instruments
397,166
1,040,000
MICROCHIP TECHNOLOGY INC
Corporate Debt Instruments
1,062,254
1,600,000
MICROCHIP TECHNOLOGY INC 144A
Corporate Debt Instruments
1,570,935
4,900
MILL CITY MORTGAGE L 1 A1 144A
Corporate Debt Instruments
4,900
180,900
MILLICOM INTERNATIONAL CE 144A
Corporate Debt Instruments
189,493
200,000
MILLICOM INTERNATIONAL CE 144A
Corporate Debt Instruments
201,502
955,000
MINERVA LUXEMBOURG SA 144A
Corporate Debt Instruments
908,444
1,347,000
MOHAWK INDUSTRIES INC
Corporate Debt Instruments
1,445,045
368,000
MOLEX ELECTRONIC TECHNOLO 144A
Corporate Debt Instruments
386,023
690,000
MORGAN STANLEY
Corporate Debt Instruments
744,379
1,283,000
MORGAN STANLEY
Corporate Debt Instruments
1,360,341
316,000
MORGAN STANLEY
Corporate Debt Instruments
336,597
1,655,000
MORGAN STANLEY
Corporate Debt Instruments
1,649,995
400,000
MORGAN STANLEY BANK OF C11 A4
Corporate Debt Instruments
412,456
1,024,000
NATIONAL RURAL UTILITIES COOPE
Corporate Debt Instruments
1,047,459
1,076,000
NATIONWIDE BUILDING SOCIE 144A
Corporate Debt Instruments
1,084,774
845,000
NATURA COSMETICOS SA 144A
Corporate Debt Instruments
828,100
2,275,000
NATWEST GROUP PLC
Corporate Debt Instruments
2,245,062
590,000
NATWEST GROUP PLC
Corporate Debt Instruments
629,064
1,675,000
NATWEST GROUP PLC
Corporate Debt Instruments
1,820,517
2,455,000
NATWEST GROUP PLC
Corporate Debt Instruments
2,567,886
54,000
NAVIENT CORP
Corporate Debt Instruments
57,578
57,000
NAVIENT CORP
Corporate Debt Instruments
63,005
917,000
NAVIENT CORP
Corporate Debt Instruments
934,625
451,000
NAVIENT CORP
Corporate Debt Instruments
480,879
80,565
NAVIENT PRIVATE EDU A A2A 144A
Corporate Debt Instruments
81,404
892,756
NAVIENT PRIVATE EDUC CA A 144A
Corporate Debt Instruments
879,630
55,889
NAVIENT PRIVATE EDUC HA A 144A
Corporate Debt Instruments
55,665
9,212,130
NAVIENT STUDENT LO 1A A1B 144A
Corporate Debt Instruments
9,217,387
690,000
NAVIENT STUDENT LOA 1A A3 144A
Corporate Debt Instruments
696,633
1,646,957
NAVIENT STUDENT LOA 1A A3 144A
Corporate Debt Instruments
1,668,501
2,758,289
NAVIENT STUDENT LOA 2A A2 144A
Corporate Debt Instruments
2,819,641
2,280,000
NAVIENT STUDENT LOA 3A A3 144A
Corporate Debt Instruments
2,285,697
1,295,000
NAVIENT STUDENT LOA 3A A3 144A
Corporate Debt Instruments
1,312,706
1,403,348
NAVIENT STUDENT LOA 4A A2 144A
Corporate Debt Instruments
1,413,150
455,000
NAVIENT STUDENT LOA 4A A2 144A
Corporate Debt Instruments
457,125
805,000
NAVIENT STUDENT LOA 4A A3 144A
Corporate Debt Instruments
817,274
1,070,000
NAVIENT STUDENT LOA 6A A3 144A
Corporate Debt Instruments
1,108,288
1,724,650
NAVIENT STUDENT LOAN 1A A 144A
Corporate Debt Instruments
1,718,705
1,183,815
NAVIENT STUDENT LOAN 2A A 144A
Corporate Debt Instruments
1,193,048
449,287
NAVIENT STUDENT LOAN 3A A 144A
Corporate Debt Instruments
453,236
1,753,817
NAVIENT STUDENT LOAN 5A A 144A
Corporate Debt Instruments
1,793,001
1,749,709
NAVIENT STUDENT LOAN 5A A 144A
Corporate Debt Instruments
1,755,193
1,451,126
NAVIENT STUDENT LOAN 7A A 144A
Corporate Debt Instruments
1,468,177
835,625
NAVIGATOR AIRCRAFT AB 1 A 144A
Corporate Debt Instruments
832,696
1,490,000
NBN CO LTD 144A
Corporate Debt Instruments
1,467,993
225,000
NEW FORTRESS ENERGY INC 144A
Corporate Debt Instruments
227,250
555,000
NEW FORTRESS ENERGY INC 144A
Corporate Debt Instruments
550,838
169,000
NEWELL BRANDS INC
Corporate Debt Instruments
184,210
545,000
NISSAN MOTOR CO LTD 144A
Corporate Debt Instruments
559,273
40
1,050,000
NISSAN MOTOR CO LTD 144A
Corporate Debt Instruments
1,101,081
140,000
NORDSTROM INC
Corporate Debt Instruments
157,675
545,000
NRG ENERGY INC 144A
Corporate Debt Instruments
534,100
796,000
NVR INC
Corporate Debt Instruments
827,908
93,401
OBX 2018-EXP1 TR EXP1 1A3 144A
Corporate Debt Instruments
93,989
275,000
OCCIDENTAL PETROLEUM CORP
Corporate Debt Instruments
283,392
2,495,000
OCCIDENTAL PETROLEUM CORP
Corporate Debt Instruments
2,559,745
1,360,000
OCCIDENTAL PETROLEUM CORP
Corporate Debt Instruments
1,388,219
75,000
OCCIDENTAL PETROLEUM CORP
Corporate Debt Instruments
74,795
135,000
OCCIDENTAL PETROLEUM CORP
Corporate Debt Instruments
157,613
995,000
OCCIDENTAL PETROLEUM CORP
Corporate Debt Instruments
1,096,988
923,000
OCP SA 144A
Corporate Debt Instruments
987,296
490,000
OCP SA 144A
Corporate Debt Instruments
516,881
585,000
OCP SA 144A
Corporate Debt Instruments
567,684
215,000
ONEAMERICA FINANCIAL PART 144A
Corporate Debt Instruments
233,891
1,305,000
ONEMAIN FINANCE CORP
Corporate Debt Instruments
1,278,900
505,000
ONEMAIN FINANCIAL IS 1A A 144A
Corporate Debt Instruments
516,426
673,000
OOREDOO INTERNATIONAL FIN 144A
Corporate Debt Instruments
689,203
755,000
OOREDOO INTERNATIONAL FIN 144A
Corporate Debt Instruments
831,741
1,180,000
OOREDOO INTERNATIONAL FIN 144A
Corporate Debt Instruments
1,184,425
930,000
ORACLE CORP
Corporate Debt Instruments
941,489
520,000
ORACLE CORP
Corporate Debt Instruments
523,543
1,250,000
ORACLE CORP
Corporate Debt Instruments
1,308,250
566,000
ORBIA ADVANCE CORP SAB DE 144A
Corporate Debt Instruments
744,998
919,000
ORBIA ADVANCE CORP SAB DE 144A
Corporate Debt Instruments
1,123,487
565,000
OUTFRONT MEDIA CAPITAL LL 144A
Corporate Debt Instruments
566,028
434,000
OWENS CORNING
Corporate Debt Instruments
464,216
1,095,000
OWL ROCK CAPITAL CORP
Corporate Debt Instruments
1,113,193
325,000
OWL ROCK CAPITAL CORP
Corporate Debt Instruments
318,071
850,000
OWL ROCK TECHNOLOGY FINAN 144A
Corporate Debt Instruments
876,001
585,000
PAN AMERICAN ENERGY LLC/A 144A
Corporate Debt Instruments
653,738
680,000
PATTERN ENERGY OPERATIONS 144A
Corporate Debt Instruments
705,500
135,000
PETROBRAS GLOBAL FINANCE BV
Corporate Debt Instruments
149,513
1,065,000
PETROBRAS GLOBAL FINANCE BV
Corporate Debt Instruments
1,134,225
4,450,000
PETROBRAS GLOBAL FINANCE BV
Corporate Debt Instruments
4,628,312
1,030,000
PETROBRAS GLOBAL FINANCE BV
Corporate Debt Instruments
1,077,638
1,350,000
PETROLEOS MEXICANOS
Corporate Debt Instruments
1,297,073
380,000
PETROLEOS MEXICANOS
Corporate Debt Instruments
340,911
960,000
PETROLEOS MEXICANOS
Corporate Debt Instruments
833,760
560,000
PETROLEOS MEXICANOS
Corporate Debt Instruments
497,000
4,925,000
PETROLEOS MEXICANOS
Corporate Debt Instruments
4,752,625
570,000
PETROLEOS MEXICANOS
Corporate Debt Instruments
508,725
4,182,194
PETROLEOS MEXICANOS 144A
Corporate Debt Instruments
4,224,016
453,000
PG&E CORP
Corporate Debt Instruments
476,474
710,145
PLANET FITNESS MAS 1A A2I 144A
Corporate Debt Instruments
710,412
1,214,000
POST HOLDINGS INC 144A
Corporate Debt Instruments
1,236,459
1,155,000
POST HOLDINGS INC 144A
Corporate Debt Instruments
1,146,338
1,050,000
PROSUS NV 144A
Corporate Debt Instruments
1,171,884
3,230,000
PROSUS NV 144A
Corporate Debt Instruments
3,327,282
3,650,000
PROSUS NV 144A
Corporate Debt Instruments
3,561,950
1,120,000
PROSUS NV 144A
Corporate Debt Instruments
1,153,732
1,130,000
PROSUS NV 144A
Corporate Debt Instruments
1,057,587
1,065,000
QATAR ENERGY 144A
Corporate Debt Instruments
1,076,306
345,000
QORVO INC 144A
Corporate Debt Instruments
345,222
480,000
RATTLER MIDSTREAM LP 144A
Corporate Debt Instruments
499,200
420,000
RELX CAPITAL INC
Corporate Debt Instruments
466,228
1,954,519
RIO OIL FINANCE TRUST SER 144A
Corporate Debt Instruments
2,096,222
423,533
RIO OIL FINANCE TRUST SER 144A
Corporate Debt Instruments
484,945
1,275,725
RIO OIL FINANCE TRUST SER 144A
Corporate Debt Instruments
1,443,164
260,000
ROCKET MORTGAGE LLC / ROC 144A
Corporate Debt Instruments
260,975
800,000
ROCKET MORTGAGE LLC / ROC 144A
Corporate Debt Instruments
812,000
375,000
ROCKET MORTGAGE LLC / ROC 144A
Corporate Debt Instruments
379,688
41
223,000
RPM INTERNATIONAL INC
Corporate Debt Instruments
226,519
680,000
RYDER SYSTEM INC
Corporate Debt Instruments
699,647
585,000
SA GLOBAL SUKUK LTD 144A
Corporate Debt Instruments
575,963
88,000
SABRE GLBL INC 144A
Corporate Debt Instruments
99,440
395,000
SABRE GLBL INC 144A
Corporate Debt Instruments
412,775
585,000
SANTANDER DRIVE AUTO RECEI 1 C
Corporate Debt Instruments
584,419
605,000
SANTANDER DRIVE AUTO RECEI 2 C
Corporate Debt Instruments
603,197
665,000
SANTANDER DRIVE AUTO RECEI 3 C
Corporate Debt Instruments
658,601
662,000
SANTANDER UK GROUP HOLDIN 144A
Corporate Debt Instruments
856,769
770,000
SAUDI ARABIAN OIL CO 144A
Corporate Debt Instruments
891,391
870,000
SAUDI ARABIAN OIL CO 144A
Corporate Debt Instruments
846,075
1,280,000
SBA COMMUNICATIONS CORP 144A
Corporate Debt Instruments
1,228,800
82,000
SCIENCE APPLICATIONS INTE 144A
Corporate Debt Instruments
84,050
123,000
SEAGATE HDD CAYMAN
Corporate Debt Instruments
127,969
92,178
SEASONED CREDIT RISK TR 4 M45T
Corporate Debt Instruments
99,628
400,000
SENSATA TECHNOLOGIES BV 144A
Corporate Debt Instruments
408,500
560,000
SENSATA TECHNOLOGIES INC 144A
Corporate Debt Instruments
558,600
18,332
SEQUOIA MORTGAGE T CH1 A1 144A
Corporate Debt Instruments
18,450
49,161
SEQUOIA MORTGAGE T CH1 A1 144A
Corporate Debt Instruments
49,649
73,595
SEQUOIA MORTGAGE T CH3 A2 144A
Corporate Debt Instruments
74,155
1,070,000
SIRIUS XM RADIO INC 144A
Corporate Debt Instruments
1,075,981
418,032
SLM STUDENT LOAN T 3A A6A 144A
Corporate Debt Instruments
415,225
809,629
SLM STUDENT LOAN TR 8A A6 144A
Corporate Debt Instruments
808,654
696,934
SLM STUDENT LOAN TRUST 2 9 A7A
Corporate Debt Instruments
696,103
191,435
SLM STUDENT LOAN TRUST 20 2 A2
Corporate Debt Instruments
192,403
139,928
SLM STUDENT LOAN TRUST 201 3 A
Corporate Debt Instruments
142,880
1,654,039
SMB PRIVATE EDUCAT A APT2 144A
Corporate Debt Instruments
1,610,163
357,608
SMB PRIVATE EDUCAT A APT2 144A
Corporate Debt Instruments
348,122
88,146
SMB PRIVATE EDUCATI A A2A 144A
Corporate Debt Instruments
89,482
242,508
SMB PRIVATE EDUCATI A A2A 144A
Corporate Debt Instruments
251,208
306,174
SMB PRIVATE EDUCATI B A2A 144A
Corporate Debt Instruments
318,326
98,132
SMB PRIVATE EDUCATI B A2A 144A
Corporate Debt Instruments
99,995
110,000
SMITHFIELD FOODS INC 144A
Corporate Debt Instruments
109,665
1,108,000
SOCIEDAD QUIMICA Y MINERA 144A
Corporate Debt Instruments
1,195,266
2,169,000
SOCIETE GENERALE SA 144A
Corporate Debt Instruments
2,224,511
223,833
SOFI PROFESSIONAL A A2FX 144A
Corporate Debt Instruments
227,838
2,875,000
SOUTHERN CO/THE
Corporate Debt Instruments
2,939,688
1,100,000
SOUTHERN CO/THE
Corporate Debt Instruments
1,100,000
485,000
SOUTHERN NATURAL GAS CO L 144A
Corporate Debt Instruments
482,203
1,180,000
SOUTHWEST AIRLINES CO
Corporate Debt Instruments
1,349,836
175,000
SOUTHWESTERN ENERGY CO
Corporate Debt Instruments
184,226
1,824,000
STANDARD CHARTERED PLC 144A
Corporate Debt Instruments
1,870,483
1,119,000
SUMITOMO MITSUI FINANCIAL GROU
Corporate Debt Instruments
1,155,791
1,130,000
SUMITOMO MITSUI FINANCIAL GROU
Corporate Debt Instruments
1,178,831
760,000
SUMITOMO MITSUI FINANCIAL GROU
Corporate Debt Instruments
756,359
75,000
SUMMIT MATERIALS LLC / SU 144A
Corporate Debt Instruments
78,555
455,000
SUNCOKE ENERGY INC 144A
Corporate Debt Instruments
452,725
600,000
SUZANO AUSTRIA GMBH
Corporate Debt Instruments
609,756
620,000
SUZANO AUSTRIA GMBH
Corporate Debt Instruments
599,856
35,000
TARGA RESOURCES PARTNERS LP /
Corporate Debt Instruments
37,520
430,000
TELECOM ITALIA CAPITAL SA
Corporate Debt Instruments
493,021
1,995,000
TELECOM ITALIA CAPITAL SA
Corporate Debt Instruments
2,344,664
3,125,000
TELECOM ITALIA SPA/MILANO 144A
Corporate Debt Instruments
3,288,938
912,000
TENCENT HOLDINGS LTD 144A
Corporate Debt Instruments
845,734
665,000
TEVA PHARMACEUTICAL FINANCE NE
Corporate Debt Instruments
625,100
654,000
TEVA PHARMACEUTICAL FINANCE NE
Corporate Debt Instruments
699,780
732,667
TEXTAINER MARINE CON 1A A 144A
Corporate Debt Instruments
712,472
960,686
TEXTAINER MARINE CON 2A A 144A
Corporate Debt Instruments
955,011
1,907,733
TEXTAINER MARINE CON 3A A 144A
Corporate Debt Instruments
1,870,825
635,000
TEXTRON INC
Corporate Debt Instruments
655,935
1,516,000
THAIOIL TREASURY CENTER C 144A
Corporate Debt Instruments
1,586,025
2,690,000
TIME WARNER CABLE LLC
Corporate Debt Instruments
3,673,202
42
428,000
TIME WARNER CABLE LLC
Corporate Debt Instruments
561,098
102,000
TIME WARNER CABLE LLC
Corporate Debt Instruments
139,281
134,000
TIME WARNER CABLE LLC
Corporate Debt Instruments
167,619
47,000
TIME WARNER CABLE LLC
Corporate Debt Instruments
57,125
600,000
TIME WARNER CABLE LLC
Corporate Debt Instruments
655,882
790,000
T-MOBILE USA INC
Corporate Debt Instruments
905,393
220,000
T-MOBILE USA INC
Corporate Debt Instruments
258,375
1,185,000
T-MOBILE USA INC
Corporate Debt Instruments
1,297,724
1,445,000
T-MOBILE USA INC
Corporate Debt Instruments
1,582,456
1,075,000
T-MOBILE USA INC 144A
Corporate Debt Instruments
1,077,688
1,000,000
T-MOBILE USA INC 144A
Corporate Debt Instruments
1,018,940
1,000,000
T-MOBILE USA INC 144A
Corporate Debt Instruments
1,040,000
825,000
T-MOBILE USA INC 144A
Corporate Debt Instruments
824,053
1,281,000
TORONTO-DOMINION BANK/THE
Corporate Debt Instruments
1,328,989
36,459
TOWD POINT MORTGAGE 2 A1A 144A
Corporate Debt Instruments
36,545
304,940
TOWD POINT MORTGAGE 2 M2 144A
Corporate Debt Instruments
313,066
373,009
TOWD POINT MORTGAGE 3 A1 144A
Corporate Debt Instruments
385,683
254,311
TOWD POINT MORTGAGE 4 M2 144A
Corporate Debt Instruments
259,596
525,000
TOYOTA MOTOR CORP
Corporate Debt Instruments
541,079
1,225,000
TOYOTA MOTOR CREDIT CORP
Corporate Debt Instruments
1,243,826
1,880,000
TRANSCANADA TRUST
Corporate Debt Instruments
1,974,000
1,300,000
TRANSCANADA TRUST
Corporate Debt Instruments
1,420,250
2,580,000
TRANSCANADA TRUST
Corporate Debt Instruments
2,667,075
1,620,000
TRANSCANADA TRUST
Corporate Debt Instruments
1,729,350
222,000
TRANSELEC SA 144A
Corporate Debt Instruments
231,937
426,000
TRANSELEC SA 144A
Corporate Debt Instruments
450,235
554,000
TRANSPORTADORA DE GAS INT 144A
Corporate Debt Instruments
610,791
777,087
TRITON CONTAINER FIN 1A A 144A
Corporate Debt Instruments
761,030
413,040
UBS-BARCLAYS COMMERCIAL C5 A4
Corporate Debt Instruments
418,759
1,085,000
ULTRAPAR INTERNATIONAL SA 144A
Corporate Debt Instruments
1,146,042
1,890,000
ULTRAPAR INTERNATIONAL SA 144A
Corporate Debt Instruments
1,953,334
839,000
ULTRAPAR INTERNATIONAL SA 144A
Corporate Debt Instruments
886,202
2,070,000
UNICREDIT SPA 144A
Corporate Debt Instruments
2,483,140
2,125,000
UNICREDIT SPA 144A
Corporate Debt Instruments
2,317,422
1,320,000
UNICREDIT SPA 144A
Corporate Debt Instruments
1,286,752
137,597
UNION PACIFIC RAILROAD CO 2006
Corporate Debt Instruments
157,449
130,343
UNION PACIFIC RAILROAD CO 2007
Corporate Debt Instruments
152,168
310,000
UNITED AIRLINES INC 144A
Corporate Debt Instruments
323,248
465,000
UNITED AIRLINES INC 144A
Corporate Debt Instruments
479,531
625,000
UNITED RENTALS NORTH AMERICA I
Corporate Debt Instruments
629,377
447,000
UNIVAR SOLUTIONS USA INC/ 144A
Corporate Debt Instruments
466,431
135,000
UNUM GROUP
Corporate Debt Instruments
169,831
55,000
UNUM GROUP
Corporate Debt Instruments
68,274
163,000
VALVOLINE INC 144A
Corporate Debt Instruments
166,296
675,000
VALVOLINE INC 144A
Corporate Debt Instruments
653,603
1,170,000
VERIZON COMMUNICATIONS INC
Corporate Debt Instruments
1,374,444
174,000
VIATRIS INC
Corporate Debt Instruments
185,978
650,000
VMWARE INC
Corporate Debt Instruments
645,505
825,000
VMWARE INC
Corporate Debt Instruments
811,269
704,000
VOLKSWAGEN GROUP OF AMERI 144A
Corporate Debt Instruments
741,132
535,000
WALT DISNEY CO/THE
Corporate Debt Instruments
794,586
915,000
WELLS FARGO & CO
Corporate Debt Instruments
997,779
1,120,000
WELLS FARGO & CO
Corporate Debt Instruments
1,248,578
330,000
WELLS FARGO & CO
Corporate Debt Instruments
343,395
310,000
WELLS FARGO & CO
Corporate Debt Instruments
316,785
2,075,000
WELLS FARGO & CO
Corporate Debt Instruments
2,843,405
385,000
WELLTOWER INC
Corporate Debt Instruments
392,596
297,814
WFRBS COMMERCIAL MOR C4 D 144A
Corporate Debt Instruments
282,524
385,000
WFRBS COMMERCIAL MORTGA C20 AS
Corporate Debt Instruments
402,159
905,000
WILLIAMS COS INC/THE
Corporate Debt Instruments
962,920
1,299,000
WILLIAMS COS INC/THE
Corporate Debt Instruments
1,382,135
1,313,000
ZIFF DAVIS INC 144A
Corporate Debt Instruments
1,346,665
43
1,245,468
ABC SUPPLY 10/19 COV-LITE TL
Corporate Debt Instruments
1,236,127
498,750
AECOM 4/21 TLB
Corporate Debt Instruments
498,750
560,557
ARAMARK 4/21 COV-LITE TLB
Corporate Debt Instruments
557,053
1,012,197
ASURION 12/20 B8 COV-LITE TL
Corporate Debt Instruments
1,004,606
982,154
BEACON ROOFING 5/21 COV-LITE T
Corporate Debt Instruments
975,770
1,116,625
BURGER KING/RESTAURANT BRANDS
Corporate Debt Instruments
1,099,875
787,970
CABLEVISION SYSTEMS/ALTICE USA
Corporate Debt Instruments
777,135
273,346
CALPINE 3/19 B-9 COV-LITE TLB
Corporate Debt Instruments
270,058
361,788
CALPINE 8/19 B10 COV-LITE TLB
Corporate Debt Instruments
356,889
1,094,500
CHURCHILL DOWNS 3/21 INCREMENT
Corporate Debt Instruments
1,086,291
636,695
CITADEL SECURITIES 1/21 TLB
Corporate Debt Instruments
632,334
535,325
DT MIDSTREAM 5/21 COV-LITE TL
Corporate Debt Instruments
536,080
1,244,424
ELANCO ANIMAL HEALTH 8/20 COV-
Corporate Debt Instruments
1,226,927
700,217
EMDEON 3/17 COV-LITE TLB
Corporate Debt Instruments
699,418
320,975
EW SCRIPPS 12/20 INCREMENTAL
Corporate Debt Instruments
320,529
1,036,238
INTERNATIONAL SOS 7/21 TLB
Corporate Debt Instruments
1,036,238
789,770
IRON MOUNTAIN 3/18 TLB
Corporate Debt Instruments
776,936
789,924
KAR AUCTION 9/19 COV-LITE B6
Corporate Debt Instruments
776,101
565,250
MKS INSTRUMENTS 10/21 (USD) TL
Corporate Debt Instruments
563,696
1,276,816
ON SEMICONDUCTOR 9/19 TLB
Corporate Debt Instruments
1,274,748
790,000
PACIFIC GAS & ELECTRIC 6/20 TL
Corporate Debt Instruments
780,520
1,245,492
QUIKRETE 11/16 COV-LITE TLB
Corporate Debt Instruments
1,230,285
224,220
QUIKRETE 6/21 COV-LITE TLB1
Corporate Debt Instruments
223,597
269,325
RE/MAX 7/21 COV-LITE TLB
Corporate Debt Instruments
267,642
566,022
RESTORATION HARDWARE/RH 10/21
Corporate Debt Instruments
564,324
259,104
SABRE 6/21 TLB1
Corporate Debt Instruments
255,541
413,027
SABRE 6/21 TLB2
Corporate Debt Instruments
407,347
789,924
SINCLAIR TELEVISION 7/19
Corporate Debt Instruments
770,176
314,958
SRAM 5/21 COV-LITE TLB
Corporate Debt Instruments
314,564
777,942
SS&C TECHNOLOGIES 10/18 ADD-ON
Corporate Debt Instruments
769,027
1,126,276
SUMMIT MATERIALS 11/17
Corporate Debt Instruments
1,125,431
639,363
TELENET 1/20 (USD) AR TL
Corporate Debt Instruments
627,375
809,853
TRANSDIGM 2/20 COV-LITE TLF
Corporate Debt Instruments
798,013
399,099
TRANSDIGM 2/20 COV-LITE TLG
Corporate Debt Instruments
394,278
716,879
TRANSUNION 11/19 B5 COV-LITE
Corporate Debt Instruments
709,710
789,717
U.S.I. 8/17 INCREMENTAL TLB
Corporate Debt Instruments
783,091
789,610
UBER 2/21 TLB
Corporate Debt Instruments
789,216
626,508
UPC FINANCING 1/20 (USD)
Corporate Debt Instruments
618,157
661,390
VALEANT 11/18 INCREMENTAL TL
Corporate Debt Instruments
657,117
800,000
VIRGIN MEDIA 10/19 COV-LITE
Corporate Debt Instruments
792,168
663,173
VNU 4/17 COV-LITE TLB4
Corporate Debt Instruments
662,530
433,125
WARNER MUSIC 3/21 INCREMENTAL
Corporate Debt Instruments
430,743
354,839
WELLS FARGO ASSET MANAGEMENT/W
Corporate Debt Instruments
355,577
635,846
WRIGHT EXPRESS 4/21 COV-LITE T
Corporate Debt Instruments
631,872
170,100
CITIGROUP CAPITAL XIII
Corporate Debt Instruments
4,745,790
575,000
JPMORGAN CHASE & CO
Corporate Debt Instruments
868,694
2,095,000
VODAFONE GROUP PLC
Corporate Debt Instruments
2,534,615
590,000
CALIFORNIA ST
Other Bonds
984,624
850,000
CALIFORNIA ST
Other Bonds
1,333,493
380,000
CALIFORNIA ST
Other Bonds
629,380
870,000
COLOMBIA GOVERNMENT INTERNATIO
Other Bonds
706,005
1,685,000
DOMINICAN REPUBLIC INTERN 144A
Other Bonds
1,712,381
855,000
DOMINICAN REPUBLIC INTERN 144A
Other Bonds
844,313
1,155,000
EGYPT GOVERNMENT INTERNAT 144A
Other Bonds
1,021,805
1,335,000
GHANA GOVERNMENT INTERNAT 144A
Other Bonds
1,115,918
2,945,000
ILLINOIS ST
Other Bonds
3,404,079
406,000
INDONESIA GOVERNMENT INTE 144A
Other Bonds
406,000
45,000
LOS ANGELES CA UNIF SCH DIST
Other Bonds
58,574
1,305,000
LOS ANGELES CA UNIF SCH DIST
Other Bonds
1,817,454
174,630,000
MEXICAN BONOS
Other Bonds
9,026,575
82,810,000
MEXICAN BONOS
Other Bonds
3,814,197
1,085,000
MOROCCO GOVERNMENT INTERN 144A
Other Bonds
983,281
44
290,000
NEW JERSEY ST TURNPIKE AUTH TU
Other Bonds
466,821
1,045,000
NEW JERSEY ST TURNPIKE AUTH TU
Other Bonds
1,639,522
764,000
OMAN GOVERNMENT INTERNATI 144A
Other Bonds
766,414
460,000
OMAN SOVEREIGN SUKUK CO 144A
Other Bonds
488,750
178,000
PERUVIAN GOVERNMENT INTERNATIO
Other Bonds
180,672
600,000
QATAR GOVERNMENT INTERNAT 144A
Other Bonds
623,790
647,000
QATAR GOVERNMENT INTERNAT 144A
Other Bonds
803,763
625,000
REPUBLIC OF KENYA GOVERNM 144A
Other Bonds
612,463
2,144,000
SAUDI GOVERNMENT INTERNAT 144A
Other Bonds
2,283,429
1,310,000
UKRAINE GOVERNMENT INTERN 144A
Other Bonds
1,152,800
1,035,000
UNIV OF VIRGINIA VA UNIV REVEN
Other Bonds
1,125,590
36,804,000
URUGUAY GOVERNMENT INTERN 144A
Other Bonds
816,827
6,350,000
URUGUAY GOVERNMENT INTERN REGS
Other Bonds
140,879
320,375,000
URUGUAY GOVERNMENT INTERNATION
Other Bonds
6,887,203
2,421
BNY MELLON CASH RESERVE
U.S. Government Securities
2,421
88,893
SWAP COLLATERAL WITH MORGAN
U.S. Government Securities
88,893
375,000
U S TREASURY BILL
U.S. Government Securities
374,931
8,370,000
U S TREASURY BILL
U.S. Government Securities
8,369,999
36,935,000
U S TREASURY BILL
U.S. Government Securities
36,926,160
5,600,000
U S TREASURY BILL
U.S. Government Securities
5,599,994
5,270,000
U S TREASURY BILL
U.S. Government Securities
5,269,998
10,520,000
U S TREASURY BILL
U.S. Government Securities
10,517,418
3,500,000
U S TREASURY BOND
U.S. Government Securities
3,551,406
150,000
U S TREASURY BOND
U.S. Government Securities
166,406
735,000
U S TREASURY BOND
U.S. Government Securities
774,391
4,830,000
U S TREASURY BOND
U.S. Government Securities
4,946,222
10,315,000
U S TREASURY BOND
U.S. Government Securities
10,032,949
8,405,000
U S TREASURY BOND
U.S. Government Securities
8,377,421
14,845,000
U S TREASURY BOND
U.S. Government Securities
15,063,036
25,190,000
U S TREASURY NOTE
U.S. Government Securities
24,481,531
28,865,000
U S TREASURY NOTE
U.S. Government Securities
27,473,617
5,400,000
U S TREASURY NOTE
U.S. Government Securities
5,176,195
6,525,000
U S TREASURY NOTE
U.S. Government Securities
6,315,486
9,943,000
U S TREASURY NOTE
U.S. Government Securities
9,751,131
7,770,000
U S TREASURY NOTE
U.S. Government Securities
7,876,838
12,980,000
U S TREASURY NOTE
U.S. Government Securities
12,720,400
2,915,000
U S TREASURY NOTE
U.S. Government Securities
2,870,364
5,000,000
U S TREASURY NOTE
U.S. Government Securities
4,871,875
20,955,000
U S TREASURY NOTE
U.S. Government Securities
20,594,017
10,140,000
U S TREASURY NOTE
U.S. Government Securities
10,081,378
2,714,700
U S TREASURY NOTE
U.S. Government Securities
2,967,188
6,104,700
U S TREASURY NOTE
U.S. Government Securities
6,791,002
1,895,700
U S TREASURY NOTE
U.S. Government Securities
2,051,133
606,400
U S TREASURY NOTE
U.S. Government Securities
646,882
1,305,000
U S TREASURY NOTE
U.S. Government Securities
1,277,473
1,505,000
U S TREASURY NOTE
U.S. Government Securities
1,488,598
2,060,000
U S TREASURY NOTE
U.S. Government Securities
2,036,503
1,460,000
U S TREASURY NOTE
U.S. Government Securities
1,467,072
130,000
U S TREASURY NOTE
U.S. Government Securities
129,533
8,510,000
U S TREASURY NOTE
U.S. Government Securities
8,506,676
73,917,000
COMMIT TO PUR FNMA SF MTG
U.S. Government Securities
75,280,193
6,566,000
COMMIT TO PUR FNMA SF MTG
U.S. Government Securities
6,586,519
4,171,000
COMMIT TO PUR FNMA SF MTG
U.S. Government Securities
4,151,957
22,477,000
COMMIT TO PUR FNMA SF MTG
U.S. Government Securities
22,891,526
1,973,000
COMMIT TO PUR FNMA SF MTG
U.S. Government Securities
2,042,074
325,691
FHLMC POOL #84-0286
U.S. Government Securities
338,140
44,090
FHLMC POOL #84-0353
U.S. Government Securities
45,347
86,128
FHLMC POOL #84-0385
U.S. Government Securities
88,604
35,710
FHLMC POOL #84-0940
U.S. Government Securities
36,965
195,491
FHLMC POOL #84-9327
U.S. Government Securities
203,559
39,726
FHLMC POOL #84-9536
U.S. Government Securities
41,134
58,160
FHLMC POOL #84-9713
U.S. Government Securities
60,295
45
67,952
FHLMC POOL #84-9777
U.S. Government Securities
70,517
88,260
FHLMC POOL #C9-1382
U.S. Government Securities
95,458
116,530
FHLMC POOL #C9-1395
U.S. Government Securities
125,690
119,543
FHLMC POOL #C9-1765
U.S. Government Securities
130,145
99,665
FHLMC POOL #C9-1769
U.S. Government Securities
108,089
69,834
FHLMC POOL #C9-1795
U.S. Government Securities
75,797
113,024
FHLMC POOL #C9-1841
U.S. Government Securities
120,945
151,374
FHLMC POOL #C9-1853
U.S. Government Securities
161,465
60,271
FHLMC POOL #C9-1862
U.S. Government Securities
64,493
313
FHLMC POOL #G0-1843
U.S. Government Securities
360
91,592
FHLMC POOL #G0-6447
U.S. Government Securities
100,852
107,901
FHLMC POOL #G0-6875
U.S. Government Securities
122,996
72,736
FHLMC POOL #G0-7775
U.S. Government Securities
80,233
397,400
FHLMC POOL #G0-7942
U.S. Government Securities
439,091
78,419
FHLMC POOL #G0-8607
U.S. Government Securities
86,168
104,320
FHLMC POOL #G0-8696
U.S. Government Securities
113,806
154,894
FHLMC POOL #G0-8699
U.S. Government Securities
167,387
71,259
FHLMC POOL #G0-8707
U.S. Government Securities
77,180
45,515
FHLMC POOL #G0-8818
U.S. Government Securities
48,964
69,699
FHLMC POOL #G3-0683
U.S. Government Securities
75,877
701,770
FHLMC POOL #G3-0804
U.S. Government Securities
763,597
103,752
FHLMC POOL #G3-0964
U.S. Government Securities
110,972
127,843
FHLMC POOL #G6-0153
U.S. Government Securities
139,459
116,932
FHLMC POOL #G6-0198
U.S. Government Securities
129,003
66,082
FHLMC POOL #G6-0342
U.S. Government Securities
72,904
83,156
FHLMC POOL #G6-0384
U.S. Government Securities
91,229
54,157
FHLMC POOL #G6-0819
U.S. Government Securities
59,651
203,179
FHLMC POOL #G6-0887
U.S. Government Securities
224,487
153,939
FHLMC POOL #G6-0914
U.S. Government Securities
170,084
143,177
FHLMC POOL #G6-0920
U.S. Government Securities
157,792
191,202
FHLMC POOL #G6-1169
U.S. Government Securities
207,609
278,002
FHLMC POOL #G6-1185
U.S. Government Securities
302,358
97,927
FHLMC POOL #G6-1220
U.S. Government Securities
106,071
62,584
FHLMC POOL #G6-1230
U.S. Government Securities
67,102
181,326
FHLMC POOL #G6-1289
U.S. Government Securities
196,386
197,185
FHLMC POOL #G6-1290
U.S. Government Securities
214,780
118,010
FHLMC POOL #G6-1658
U.S. Government Securities
129,141
41,585
FHLMC POOL #Q0-2117
U.S. Government Securities
46,007
75,191
FHLMC POOL #Q1-2458
U.S. Government Securities
79,515
38,623
FHLMC POOL #Q1-4852
U.S. Government Securities
41,726
33,779
FHLMC POOL #Q1-7396
U.S. Government Securities
36,247
45,078
FHLMC POOL #Q1-7575
U.S. Government Securities
48,524
44,394
FHLMC POOL #Q2-0683
U.S. Government Securities
47,919
79,505
FHLMC POOL #Q2-2236
U.S. Government Securities
85,902
4,968
FHLMC POOL #Q2-4035
U.S. Government Securities
5,323
16,807
FHLMC POOL #Q2-5923
U.S. Government Securities
18,397
26,593
FHLMC POOL #Q3-2256
U.S. Government Securities
28,194
37,359
FHLMC POOL #Q3-4582
U.S. Government Securities
40,444
2,070
FHLMC POOL #Q3-9583
U.S. Government Securities
2,258
44,797
FHLMC POOL #Q4-3410
U.S. Government Securities
48,982
63,257
FHLMC POOL #Q4-5220
U.S. Government Securities
68,933
232,004
FHLMC POOL #Q4-8372
U.S. Government Securities
251,110
14,936
FHLMC POOL #Q4-8674
U.S. Government Securities
15,906
151,737
FHLMC POOL #Q5-0176
U.S. Government Securities
162,614
201,810
FHLMC POOL #Q5-2337
U.S. Government Securities
217,539
69,712
FHLMC POOL #Q5-3695
U.S. Government Securities
73,855
11,679
FHLMC POOL #Q5-8588
U.S. Government Securities
12,549
160,633
FHLMC POOL #QB-0320
U.S. Government Securities
164,909
241,608
FHLMC POOL #QB-0354
U.S. Government Securities
248,492
421,380
FHLMC POOL #QB-5275
U.S. Government Securities
421,987
470,380
FHLMC POOL #QB-6698
U.S. Government Securities
471,057
1,263,324
FHLMC POOL #QB-7306
U.S. Government Securities
1,265,142
46
921,742
FHLMC POOL #QB-7396
U.S. Government Securities
923,069
1,977,391
FHLMC POOL #QB-7858
U.S. Government Securities
1,980,239
239,943
FHLMC POOL #QC-0203
U.S. Government Securities
240,230
207,412
FHLMC POOL #QC-0474
U.S. Government Securities
207,710
448,041
FHLMC POOL #QC-0574
U.S. Government Securities
448,687
812,716
FHLMC POOL #QC-0619
U.S. Government Securities
813,886
668,078
FHLMC POOL #QD-0280
U.S. Government Securities
667,422
1,258,496
FHLMC POOL #QD-2377
U.S. Government Securities
1,286,482
1,962,314
FHLMC POOL #QD-2433
U.S. Government Securities
1,959,789
1,600,000
FHLMC POOL #QD-3473
U.S. Government Securities
1,597,294
73,094
FHLMC POOL #QU-7615
U.S. Government Securities
70,490
141,799
FHLMC POOL #QU-7616
U.S. Government Securities
144,805
160,360
FHLMC POOL #QU-7709
U.S. Government Securities
154,647
436,192
FHLMC POOL #RA-1266
U.S. Government Securities
456,963
458,054
FHLMC POOL #RA-2623
U.S. Government Securities
471,104
559,452
FHLMC POOL #RA-2892
U.S. Government Securities
575,392
1,127,869
FHLMC POOL #RA-2957
U.S. Government Securities
1,129,187
624,701
FHLMC POOL #RA-3019
U.S. Government Securities
640,776
8,153,599
FHLMC POOL #RA-3046
U.S. Government Securities
8,156,101
19,230,926
FHLMC POOL #RA-3050
U.S. Government Securities
19,253,389
1,287,227
FHLMC POOL #RA-3454
U.S. Government Securities
1,288,731
1,507,483
FHLMC POOL #RE-6093
U.S. Government Securities
1,446,332
6,170,277
FHLMC POOL #SD-0093
U.S. Government Securities
6,751,479
283,896
FHLMC POOL #SD-0136
U.S. Government Securities
294,739
2,149,532
FHLMC POOL #SD-0291
U.S. Government Securities
2,343,701
3,721,121
FHLMC POOL #SD-0752
U.S. Government Securities
3,824,666
3,829,678
FHLMC POOL #SD-7530
U.S. Government Securities
3,928,899
13,284,093
FHLMC POOL #SD-7536
U.S. Government Securities
13,686,477
182,828
FHLMC POOL #SD-8028
U.S. Government Securities
199,413
132,467
FHLMC POOL #V8-3157
U.S. Government Securities
142,882
273,296
FHLMC POOL #V8-3204
U.S. Government Securities
293,796
239,079
FHLMC POOL #V8-4664
U.S. Government Securities
257,248
126,774
FHLMC POOL #ZA-5559
U.S. Government Securities
138,398
512,480
FHLMC POOL #ZM-6968
U.S. Government Securities
545,659
334,200
FHLMC POOL #ZM-7740
U.S. Government Securities
358,794
105,601
FHLMC POOL #ZM-8305
U.S. Government Securities
115,507
278,585
FHLMC POOL #ZN-2092
U.S. Government Securities
303,973
236,028
FHLMC POOL #ZS-4781
U.S. Government Securities
253,341
250,433
FHLMC POOL #ZS-4786
U.S. Government Securities
268,681
1,444,856
FHLMC POOL #ZS-4791
U.S. Government Securities
1,545,247
188,206
FHLMC POOL #ZT-0713
U.S. Government Securities
202,186
251,897
FHLMC POOL #ZT-0714
U.S. Government Securities
275,541
114,054
FHLMC POOL #ZT-1546
U.S. Government Securities
122,071
1,117,855
FHLMC POOL #ZT-1595
U.S. Government Securities
1,196,591
1,246,027
FHLMC MULTICLASS MTG 1511 X1
U.S. Government Securities
91,625
253,399
FHLMC MULTICLASS MTG 3654 DC
U.S. Government Securities
279,176
328,940
FHLMC MULTICLASS MTG 4281 BC
U.S. Government Securities
362,941
192,357
FHLMC MULTICLASS MTG 4283 DW
U.S. Government Securities
214,235
123,407
FHLMC MULTICLASS MTG 4283 EW
U.S. Government Securities
132,606
65,546
FHLMC MULTICLASS MTG 4319 MA
U.S. Government Securities
72,148
808,583
FHLMC MULTICLASS MTG K055 X1
U.S. Government Securities
39,826
280,330
FHLMC MULTICLASS MTG K056 X1
U.S. Government Securities
13,176
2,188,978
FHLMC MULTICLASS MTG K062 X1
U.S. Government Securities
30,932
2,755,033
FHLMC MULTICLASS MTG K064 X1
U.S. Government Securities
78,072
3,319,957
FHLMC MULTICLASS MTG K065 X1
U.S. Government Securities
105,785
2,654,010
FHLMC MULTICLASS MTG K066 X1
U.S. Government Securities
95,895
3,349,738
FHLMC MULTICLASS MTG K067 X1
U.S. Government Securities
97,376
690,864
FHLMC MULTICLASS MTG K069 X1
U.S. Government Securities
13,553
1,402,404
FHLMC MULTICLASS MTG K070 X1
U.S. Government Securities
25,538
1,803,197
FHLMC MULTICLASS MTG K071 X1
U.S. Government Securities
27,780
3,671,546
FHLMC MULTICLASS MTG K089 X1
U.S. Government Securities
131,662
1,845,455
FHLMC MULTICLASS MTG K091 X1
U.S. Government Securities
69,674
47
3,443,457
FHLMC MULTICLASS MTG K092 X1
U.S. Government Securities
163,385
1,647,064
FHLMC MULTICLASS MTG K093 X1
U.S. Government Securities
101,584
2,283,873
FHLMC MULTICLASS MTG K094 X1
U.S. Government Securities
133,636
1,589,169
FHLMC MULTICLASS MTG K095 X1
U.S. Government Securities
99,410
3,865,308
FHLMC MULTICLASS MTG K096 X1
U.S. Government Securities
290,898
1,731,930
FHLMC MULTICLASS MTG K097 X1
U.S. Government Securities
127,314
3,350,864
FHLMC MULTICLASS MTG K098 X1
U.S. Government Securities
258,423
3,647,926
FHLMC MULTICLASS MTG K099 X1
U.S. Government Securities
221,284
1,404,259
FHLMC MULTICLASS MTG K101 X1
U.S. Government Securities
81,779
3,908,485
FHLMC MULTICLASS MTG K102 X1
U.S. Government Securities
225,203
885,094
FHLMC MULTICLASS MTG K152 X1
U.S. Government Securities
60,875
2,648,415
FHLMC MULTICLASS MTG K154 X1
U.S. Government Securities
69,916
25
FNMA POOL #0250179
U.S. Government Securities
26
308
FNMA POOL #0253355
U.S. Government Securities
345
182
FNMA POOL #0323621
U.S. Government Securities
201
387
FNMA POOL #0545448
U.S. Government Securities
432
454
FNMA POOL #0550002
U.S. Government Securities
475
754
FNMA POOL #0554493
U.S. Government Securities
817
102,575
FNMA POOL #0555424
U.S. Government Securities
114,566
175
FNMA POOL #0575078
U.S. Government Securities
194
77,460
FNMA POOL #0725228
U.S. Government Securities
88,161
103,400
FNMA POOL #0725330
U.S. Government Securities
118,650
1,408
FNMA POOL #0725690
U.S. Government Securities
1,598
3,981
FNMA POOL #0906734
U.S. Government Securities
4,613
117,464
FNMA POOL #0995788
U.S. Government Securities
132,668
95,464
FNMA POOL #0AD8529
U.S. Government Securities
103,625
193,120
FNMA POOL #0AE3049
U.S. Government Securities
212,832
46,180
FNMA POOL #0AE4624
U.S. Government Securities
50,697
309,627
FNMA POOL #0AH6790
U.S. Government Securities
341,790
222,684
FNMA POOL #0AJ0806
U.S. Government Securities
244,477
97,848
FNMA POOL #0AK0080
U.S. Government Securities
107,447
340,189
FNMA POOL #0AL4160
U.S. Government Securities
367,578
145,881
FNMA POOL #0AL5441
U.S. Government Securities
159,828
295,085
FNMA POOL #0AL5548
U.S. Government Securities
309,278
254,080
FNMA POOL #0AL5856
U.S. Government Securities
276,192
54,043
FNMA POOL #0AL5858
U.S. Government Securities
56,202
293,443
FNMA POOL #0AL5862
U.S. Government Securities
314,117
526,778
FNMA POOL #0AL5863
U.S. Government Securities
580,010
165,951
FNMA POOL #0AL5958
U.S. Government Securities
178,241
43,855
FNMA POOL #0AL5964
U.S. Government Securities
45,428
45,649
FNMA POOL #0AL6111
U.S. Government Securities
47,182
161,483
FNMA POOL #0AL6138
U.S. Government Securities
174,117
131,540
FNMA POOL #0AL6148
U.S. Government Securities
143,281
54,535
FNMA POOL #0AL6664
U.S. Government Securities
56,907
82,186
FNMA POOL #0AL6886
U.S. Government Securities
90,587
225,358
FNMA POOL #0AL6932
U.S. Government Securities
245,067
108,157
FNMA POOL #0AL7049
U.S. Government Securities
119,644
273,083
FNMA POOL #0AL7147
U.S. Government Securities
297,866
100,313
FNMA POOL #0AL7205
U.S. Government Securities
105,505
319,173
FNMA POOL #0AL7384
U.S. Government Securities
348,325
46,229
FNMA POOL #0AL8133
U.S. Government Securities
48,051
65,578
FNMA POOL #0AL8289
U.S. Government Securities
67,842
88,627
FNMA POOL #0AL8338
U.S. Government Securities
97,841
61,060
FNMA POOL #0AL8486
U.S. Government Securities
63,447
72,117
FNMA POOL #0AL8675
U.S. Government Securities
79,761
260,716
FNMA POOL #0AL8830
U.S. Government Securities
280,861
252,287
FNMA POOL #0AL9098
U.S. Government Securities
261,701
214,978
FNMA POOL #0AL9128
U.S. Government Securities
236,698
491,390
FNMA POOL #0AL9257
U.S. Government Securities
519,420
145,231
FNMA POOL #0AL9407
U.S. Government Securities
158,966
174,338
FNMA POOL #0AL9579
U.S. Government Securities
192,494
361,177
FNMA POOL #0AL9840
U.S. Government Securities
390,546
48
10,022
FNMA POOL #0AR8595
U.S. Government Securities
10,731
68,510
FNMA POOL #0AS2275
U.S. Government Securities
75,820
74,142
FNMA POOL #0AS4099
U.S. Government Securities
81,356
136,137
FNMA POOL #0AS4628
U.S. Government Securities
145,514
5,516
FNMA POOL #0AS4795
U.S. Government Securities
5,928
202,868
FNMA POOL #0AS5841
U.S. Government Securities
220,564
173,401
FNMA POOL #0AS5842
U.S. Government Securities
189,270
75,832
FNMA POOL #0AS7378
U.S. Government Securities
79,537
80,926
FNMA POOL #0AS7580
U.S. Government Securities
85,018
11,937
FNMA POOL #0AS8263
U.S. Government Securities
12,427
28,212
FNMA POOL #0AS8276
U.S. Government Securities
29,609
94,290
FNMA POOL #0AS8309
U.S. Government Securities
98,815
97,642
FNMA POOL #0AS8700
U.S. Government Securities
105,834
248,795
FNMA POOL #0AS8833
U.S. Government Securities
270,572
319,142
FNMA POOL #0AS8983
U.S. Government Securities
345,376
32,260
FNMA POOL #0AS9412
U.S. Government Securities
34,677
6,073
FNMA POOL #0AU6205
U.S. Government Securities
6,584
65,452
FNMA POOL #0AU6687
U.S. Government Securities
69,288
11,797
FNMA POOL #0AV9213
U.S. Government Securities
12,970
8,081
FNMA POOL #0AW4986
U.S. Government Securities
8,807
111,907
FNMA POOL #0AX7607
U.S. Government Securities
122,804
77,919
FNMA POOL #0AX7617
U.S. Government Securities
84,885
38,786
FNMA POOL #0AX8509
U.S. Government Securities
42,602
57,412
FNMA POOL #0AY0362
U.S. Government Securities
61,952
105,578
FNMA POOL #0AY2633
U.S. Government Securities
113,526
141,225
FNMA POOL #0AY5788
U.S. Government Securities
147,921
8,358
FNMA POOL #0AY8481
U.S. Government Securities
8,965
28,183
FNMA POOL #0AZ0810
U.S. Government Securities
30,243
26,645
FNMA POOL #0AZ5596
U.S. Government Securities
29,178
32,774
FNMA POOL #0AZ7724
U.S. Government Securities
35,796
30,742
FNMA POOL #0BC2994
U.S. Government Securities
32,332
80,172
FNMA POOL #0BC3473
U.S. Government Securities
85,551
39,578
FNMA POOL #0BC4918
U.S. Government Securities
43,216
90,346
FNMA POOL #0BC5313
U.S. Government Securities
96,444
70,198
FNMA POOL #0BC7230
U.S. Government Securities
74,651
15,481
FNMA POOL #0BC9468
U.S. Government Securities
16,271
79,893
FNMA POOL #0BD1410
U.S. Government Securities
85,295
910
FNMA POOL #0BD2217
U.S. Government Securities
975
7,253
FNMA POOL #0BD4416
U.S. Government Securities
7,637
31,877
FNMA POOL #0BD4420
U.S. Government Securities
34,436
54,683
FNMA POOL #0BD5463
U.S. Government Securities
59,078
22,056
FNMA POOL #0BD5503
U.S. Government Securities
23,365
24,073
FNMA POOL #0BD9396
U.S. Government Securities
26,133
29,363
FNMA POOL #0BE0249
U.S. Government Securities
31,580
14,797
FNMA POOL #0BE2507
U.S. Government Securities
15,881
113,247
FNMA POOL #0BE4203
U.S. Government Securities
125,261
53,621
FNMA POOL #0BE4310
U.S. Government Securities
55,863
118,684
FNMA POOL #0BE4435
U.S. Government Securities
124,521
47,022
FNMA POOL #0BE4442
U.S. Government Securities
49,227
76,873
FNMA POOL #0BE4446
U.S. Government Securities
81,648
27,303
FNMA POOL #0BE5275
U.S. Government Securities
28,488
35,851
FNMA POOL #0BE6326
U.S. Government Securities
38,184
137,016
FNMA POOL #0BE7252
U.S. Government Securities
146,811
45,880
FNMA POOL #0BE7913
U.S. Government Securities
48,478
37,361
FNMA POOL #0BE8280
U.S. Government Securities
41,243
106,411
FNMA POOL #0BE9612
U.S. Government Securities
114,107
278,673
FNMA POOL #0BF0107
U.S. Government Securities
312,195
252,316
FNMA POOL #0BF0118
U.S. Government Securities
282,666
202,218
FNMA POOL #0BF0199
U.S. Government Securities
223,497
31,991
FNMA POOL #0BH1189
U.S. Government Securities
33,238
67,250
FNMA POOL #0BH1228
U.S. Government Securities
72,064
68,841
FNMA POOL #0BH1251
U.S. Government Securities
75,388
49
27,242
FNMA POOL #0BH2269
U.S. Government Securities
29,049
43,614
FNMA POOL #0BH2522
U.S. Government Securities
45,478
18,336
FNMA POOL #0BH2804
U.S. Government Securities
19,357
55,710
FNMA POOL #0BH4224
U.S. Government Securities
59,431
34,905
FNMA POOL #0BH4896
U.S. Government Securities
37,524
42,515
FNMA POOL #0BH5298
U.S. Government Securities
44,368
126,266
FNMA POOL #0BH6011
U.S. Government Securities
134,760
120,795
FNMA POOL #0BH9884
U.S. Government Securities
128,029
15,917
FNMA POOL #0BJ2239
U.S. Government Securities
16,587
49,928
FNMA POOL #0BJ2403
U.S. Government Securities
53,851
15,834
FNMA POOL #0BJ3438
U.S. Government Securities
16,900
34,524
FNMA POOL #0BJ5653
U.S. Government Securities
37,083
124,329
FNMA POOL #0BJ7195
U.S. Government Securities
134,426
1,139,643
FNMA POOL #0BJ9256
U.S. Government Securities
1,213,177
359,983
FNMA POOL #0BJ9262
U.S. Government Securities
387,411
19,695
FNMA POOL #0BJ9262
U.S. Government Securities
21,196
171,068
FNMA POOL #0BK0916
U.S. Government Securities
187,093
99,870
FNMA POOL #0BK1766
U.S. Government Securities
106,891
3,050,271
FNMA POOL #0BK2144
U.S. Government Securities
3,114,660
2,767,968
FNMA POOL #0BK4770
U.S. Government Securities
2,974,670
360,909
FNMA POOL #0BK5251
U.S. Government Securities
384,223
19,638
FNMA POOL #0BK6899
U.S. Government Securities
21,151
114,704
FNMA POOL #0BK7608
U.S. Government Securities
122,115
185,063
FNMA POOL #0BK8202
U.S. Government Securities
178,489
185,590
FNMA POOL #0BK8385
U.S. Government Securities
178,988
58,519
FNMA POOL #0BM1063
U.S. Government Securities
64,570
86,944
FNMA POOL #0BM1106
U.S. Government Securities
96,002
124,225
FNMA POOL #0BM1176
U.S. Government Securities
136,931
211,130
FNMA POOL #0BM1357
U.S. Government Securities
230,221
138,324
FNMA POOL #0BM1647
U.S. Government Securities
149,457
50,422
FNMA POOL #0BM1695
U.S. Government Securities
52,298
801,855
FNMA POOL #0BM2007
U.S. Government Securities
853,979
79,957
FNMA POOL #0BM3138
U.S. Government Securities
85,578
114,163
FNMA POOL #0BM3363
U.S. Government Securities
122,867
490,719
FNMA POOL #0BM3386
U.S. Government Securities
531,573
151,155
FNMA POOL #0BM3836
U.S. Government Securities
157,297
1,358,679
FNMA POOL #0BM4804
U.S. Government Securities
1,445,057
26,922
FNMA POOL #0BM5045
U.S. Government Securities
28,050
94,175
FNMA POOL #0BM5117
U.S. Government Securities
101,256
294,856
FNMA POOL #0BM5704
U.S. Government Securities
322,927
279,106
FNMA POOL #0BM5804
U.S. Government Securities
304,266
83,466
FNMA POOL #0BM6102
U.S. Government Securities
86,442
132,476
FNMA POOL #0BM6108
U.S. Government Securities
136,663
37,471
FNMA POOL #0BM6112
U.S. Government Securities
38,890
114,535
FNMA POOL #0BM6115
U.S. Government Securities
118,179
166,431
FNMA POOL #0BM6117
U.S. Government Securities
173,045
81,442
FNMA POOL #0BN0340
U.S. Government Securities
87,187
39,758
FNMA POOL #0BN3949
U.S. Government Securities
43,352
7,518
FNMA POOL #0BN4180
U.S. Government Securities
7,999
491,910
FNMA POOL #0BN5403
U.S. Government Securities
527,631
35,038
FNMA POOL #0BP1638
U.S. Government Securities
37,445
76,482
FNMA POOL #0BP7820
U.S. Government Securities
80,263
564,926
FNMA POOL #0BP9265
U.S. Government Securities
578,305
703,033
FNMA POOL #0BP9298
U.S. Government Securities
718,297
242,661
FNMA POOL #0BQ0364
U.S. Government Securities
248,562
153,301
FNMA POOL #0BQ0375
U.S. Government Securities
157,028
7,950,671
FNMA POOL #0BQ1274
U.S. Government Securities
8,138,866
1,894,950
FNMA POOL #0BQ1280
U.S. Government Securities
1,938,809
313,426
FNMA POOL #0BQ4040
U.S. Government Securities
311,453
183,019
FNMA POOL #0BQ4041
U.S. Government Securities
186,783
136,730
FNMA POOL #0BQ5644
U.S. Government Securities
139,633
206,906
FNMA POOL #0BQ5771
U.S. Government Securities
207,204
50
171,003
FNMA POOL #0BQ6140
U.S. Government Securities
169,927
1,338,643
FNMA POOL #0BQ7559
U.S. Government Securities
1,340,569
703,961
FNMA POOL #0BQ7589
U.S. Government Securities
704,974
1,172,302
FNMA POOL #0BQ7604
U.S. Government Securities
1,173,989
404,080
FNMA POOL #0BQ7618
U.S. Government Securities
404,662
2,359,883
FNMA POOL #0BQ9291
U.S. Government Securities
2,363,279
1,306,201
FNMA POOL #0BR0691
U.S. Government Securities
1,308,081
2,282,250
FNMA POOL #0BR0772
U.S. Government Securities
2,285,537
2,809,962
FNMA POOL #0BR3283
U.S. Government Securities
2,814,009
491,568
FNMA POOL #0BR6544
U.S. Government Securities
492,276
442,145
FNMA POOL #0BR7719
U.S. Government Securities
442,782
479,099
FNMA POOL #0BR7743
U.S. Government Securities
479,789
3,285,637
FNMA POOL #0BU0968
U.S. Government Securities
3,281,409
1,043,105
FNMA POOL #0BU2591
U.S. Government Securities
1,041,341
2,505,000
FNMA POOL #0BU7817
U.S. Government Securities
2,501,776
547,146
FNMA POOL #0CA2212
U.S. Government Securities
587,429
59,552
FNMA POOL #0CA2304
U.S. Government Securities
63,457
95,759
FNMA POOL #0CA4427
U.S. Government Securities
99,427
878,037
FNMA POOL #0CA4613
U.S. Government Securities
908,340
1,548,493
FNMA POOL #0CA4736
U.S. Government Securities
1,609,284
117,772
FNMA POOL #0CA5443
U.S. Government Securities
121,823
1,057,962
FNMA POOL #0CA6035
U.S. Government Securities
1,088,034
13,172,823
FNMA POOL #0CA6329
U.S. Government Securities
13,547,544
11,949,964
FNMA POOL #0CA6564
U.S. Government Securities
12,290,333
5,074,228
FNMA POOL #0CA7241
U.S. Government Securities
5,218,803
8,046,945
FNMA POOL #0CA7728
U.S. Government Securities
8,276,225
9,834,144
FNMA POOL #0CA8099
U.S. Government Securities
9,854,766
8,157,870
FNMA POOL #0CA8441
U.S. Government Securities
8,174,977
4,785,533
FNMA POOL #0CB0153
U.S. Government Securities
4,783,469
215,876
FNMA POOL #0FM1294
U.S. Government Securities
236,559
800,961
FNMA POOL #0FM2373
U.S. Government Securities
873,409
303,355
FNMA POOL #0FM3473
U.S. Government Securities
311,407
728,729
FNMA POOL #0FM3478
U.S. Government Securities
749,442
4,137,958
FNMA POOL #0FM3664
U.S. Government Securities
4,397,021
792,378
FNMA POOL #0FM3718
U.S. Government Securities
878,965
1,272,514
FNMA POOL #0FM3834
U.S. Government Securities
1,363,109
450,225
FNMA POOL #0FM3893
U.S. Government Securities
478,600
458,361
FNMA POOL #0FM3904
U.S. Government Securities
487,714
358,252
FNMA POOL #0FM5679
U.S. Government Securities
392,272
2,730,870
FNMA POOL #0FM5977
U.S. Government Securities
2,640,403
37,380
FNMA POOL #0FM6075
U.S. Government Securities
39,977
1,687,600
FNMA POOL #0FM6558
U.S. Government Securities
1,690,031
604,638
FNMA POOL #0FM8768
U.S. Government Securities
619,262
125,925
FNMA POOL #0MA0792
U.S. Government Securities
136,135
194,717
FNMA POOL #0MA0816
U.S. Government Securities
210,503
287,335
FNMA POOL #0MA1662
U.S. Government Securities
312,739
155,422
FNMA POOL #0MA1689
U.S. Government Securities
167,557
246,385
FNMA POOL #0MA1764
U.S. Government Securities
268,169
238,654
FNMA POOL #0MA1773
U.S. Government Securities
257,579
302,912
FNMA POOL #0MA1814
U.S. Government Securities
329,657
172,644
FNMA POOL #0MA1858
U.S. Government Securities
187,888
212,209
FNMA POOL #0MA1890
U.S. Government Securities
230,947
108,214
FNMA POOL #0MA1960
U.S. Government Securities
116,151
352,249
FNMA POOL #0MA1983
U.S. Government Securities
382,156
182,502
FNMA POOL #0MA2019
U.S. Government Securities
198,551
259,765
FNMA POOL #0MA2055
U.S. Government Securities
281,849
235,547
FNMA POOL #0MA2079
U.S. Government Securities
256,254
231,380
FNMA POOL #0MA2121
U.S. Government Securities
251,057
113,236
FNMA POOL #0MA2141
U.S. Government Securities
123,201
227,346
FNMA POOL #0MA2218
U.S. Government Securities
238,944
26,815
FNMA POOL #0MA2276
U.S. Government Securities
27,482
69,444
FNMA POOL #0MA2447
U.S. Government Securities
74,049
51
75,769
FNMA POOL #0MA2480
U.S. Government Securities
82,199
50,218
FNMA POOL #0MA2490
U.S. Government Securities
54,571
79,215
FNMA POOL #0MA2705
U.S. Government Securities
83,019
180,205
FNMA POOL #0MA2737
U.S. Government Securities
189,020
595,461
FNMA POOL #0MA2923
U.S. Government Securities
629,636
39,473
FNMA POOL #0MA3351
U.S. Government Securities
40,277
2,934,325
FNMA POOL #0MA3385
U.S. Government Securities
3,142,879
137,398
FNMA POOL #0MA3401
U.S. Government Securities
143,033
107,924
FNMA POOL #0MA3415
U.S. Government Securities
114,733
829,701
FNMA POOL #0MA3416
U.S. Government Securities
888,223
34,208
FNMA POOL #0MA3444
U.S. Government Securities
36,643
73,278
FNMA POOL #0MA3448
U.S. Government Securities
80,106
42,609
FNMA POOL #0MA3472
U.S. Government Securities
46,546
2,094,353
FNMA POOL #0MA3536
U.S. Government Securities
2,225,914
855,136
FNMA POOL #0MA3537
U.S. Government Securities
917,082
327,541
FNMA POOL #0MA3564
U.S. Government Securities
350,688
212,007
FNMA POOL #0MA3786
U.S. Government Securities
231,851
123,938
FNMA POOL #0MA3849
U.S. Government Securities
135,143
101,191
FNMA POOL #0MA3894
U.S. Government Securities
109,105
98,079
FNMA GTD REMIC P/T 10-123 WT
U.S. Government Securities
114,728
97,362
FNMA GTD REMIC P/T 13-98 FA
U.S. Government Securities
98,855
1,943
GNMA POOL #0379674
U.S. Government Securities
2,002
124
GNMA POOL #0413151
U.S. Government Securities
126
201
GNMA POOL #0486844
U.S. Government Securities
220
336
GNMA POOL #0530269
U.S. Government Securities
369
143
GNMA POOL #0563646
U.S. Government Securities
158
759
GNMA POOL #0587280
U.S. Government Securities
833
6,032
GNMA POOL #0675312
U.S. Government Securities
6,921
460
GNMA POOL #0675324
U.S. Government Securities
534
953
GNMA POOL #0780958
U.S. Government Securities
1,052
54
GNMA POOL #0781199
U.S. Government Securities
61
584
GNMA GTD REMIC P/T 13-H01 FA
U.S. Government Securities
588
778
GNMA GTD REMIC P/T 13-H03 HA
U.S. Government Securities
773
2,619
GNMA GTD REMIC P/T 13-H04 BA
U.S. Government Securities
2,642
4,156
GNMA GTD REMIC P/T 13-H07 DA
U.S. Government Securities
4,156
21,359
GNMA GTD REMIC P/T 13-H10 PA
U.S. Government Securities
21,630
518,714
GNMA GTD REMIC P/T 15-H10 JA
U.S. Government Securities
525,969
955
GNMA GTD REMIC P/T 15-H13 FL
U.S. Government Securities
953
153,627
GNMA GTD REMIC P/T 16-H02 FB
U.S. Government Securities
155,148
110,236
GNMA GTD REMIC P/T 16-H09 FH
U.S. Government Securities
111,845
90,302
GNMA GTD REMIC P/T 16-H09 FM
U.S. Government Securities
91,632
90,000
GNMA GTD REMIC P/T 16-H21 CF
U.S. Government Securities
89,242
263,505
GNMA GTD REMIC P/T 16-H23 F
U.S. Government Securities
266,381
119,633
GNMA GTD REMIC P/T 16-H24 FB
U.S. Government Securities
121,151
166,509
GNMA GTD REMIC P/T 16-H27 BF
U.S. Government Securities
164,936
487,969
GNMA GTD REMIC P/T 17-H02 BF
U.S. Government Securities
483,688
191,546
GNMA GTD REMIC P/T 17-H02 FP
U.S. Government Securities
189,932
511,313
GNMA GTD REMIC P/T 17-H03 F
U.S. Government Securities
506,777
85,368
GNMA GTD REMIC P/T 17-H08 FG
U.S. Government Securities
84,551
122,638
GNMA GTD REMIC P/T 17-H10 FA
U.S. Government Securities
121,705
102,533
GNMA GTD REMIC P/T 17-H11 FB
U.S. Government Securities
101,751
212,938
GNMA GTD REMIC P/T 17-H12 FQ
U.S. Government Securities
210,637
508,647
GNMA GTD REMIC P/T 17-H13 FQ
U.S. Government Securities
503,029
117,859
GNMA GTD REMIC P/T 17-H14 FA
U.S. Government Securities
116,969
118,006
GNMA GTD REMIC P/T 17-H16 BF
U.S. Government Securities
116,641
156,687
GNMA GTD REMIC P/T 17-H17 FB
U.S. Government Securities
157,730
342,096
GNMA GTD REMIC P/T 17-H17 FQ
U.S. Government Securities
338,768
120,212
GNMA GTD REMIC P/T 17-H18 GF
U.S. Government Securities
119,001
812,220
GNMA GTD REMIC P/T 17-H20 BF
U.S. Government Securities
802,534
244,653
GNMA GTD REMIC P/T 17-H20 FB
U.S. Government Securities
241,946
374,634
GNMA GTD REMIC P/T 17-H20 FG
U.S. Government Securities
370,234
165,523
GNMA GTD REMIC P/T 17-H21 FA
U.S. Government Securities
163,611
52
684,074
GNMA GTD REMIC P/T 17-H22 FA
U.S. Government Securities
675,321
119,451
GNMA GTD REMIC P/T 17-H22 FH
U.S. Government Securities
117,165
89,533
GNMA GTD REMIC P/T 17-H22 FK
U.S. Government Securities
88,376
185,349
GNMA GTD REMIC P/T 17-H25 CF
U.S. Government Securities
182,835
85,091
GNMA GTD REMIC P/T 18-H01 FE
U.S. Government Securities
83,824
235,934
GNMA GTD REMIC P/T 18-H02 FA
U.S. Government Securities
232,493
224,072
GNMA GTD REMIC P/T 18-H02 FM
U.S. Government Securities
220,414
266,398
GNMA GTD REMIC P/T 18-H02 GF
U.S. Government Securities
261,934
499,603
GNMA GTD REMIC P/T 18-H02 HF
U.S. Government Securities
491,369
178,462
GNMA GTD REMIC P/T 18-H02 PF
U.S. Government Securities
176,017
401,991
GNMA GTD REMIC P/T 18-H03 FD
U.S. Government Securities
395,041
421,726
GNMA GTD REMIC P/T 18-H04 FJ
U.S. Government Securities
414,643
152,265
GNMA GTD REMIC P/T 18-H04 FK
U.S. Government Securities
149,181
260,029
GNMA GTD REMIC P/T 18-H05 BF
U.S. Government Securities
255,540
246,562
GNMA GTD REMIC P/T 18-H05 FE
U.S. Government Securities
242,549
300,201
GNMA GTD REMIC P/T 18-H06 AF
U.S. Government Securities
295,448
110,978
GNMA GTD REMIC P/T 18-H06 BF
U.S. Government Securities
108,583
189,066
GNMA GTD REMIC P/T 18-H06 EF
U.S. Government Securities
185,308
189,678
GNMA GTD REMIC P/T 18-H06 JF
U.S. Government Securities
185,879
86,211
GNMA GTD REMIC P/T 18-H06 MF
U.S. Government Securities
84,672
190,157
GNMA GTD REMIC P/T 18-H07 FA
U.S. Government Securities
186,230
189,727
GNMA GTD REMIC P/T 18-H09 FC
U.S. Government Securities
186,814
186,701
GNMA GTD REMIC P/T 18-H10 FV
U.S. Government Securities
184,649
132,005
GNMA GTD REMIC P/T 18-H11 FA
U.S. Government Securities
129,909
172,179
GNMA GTD REMIC P/T 18-H15 FK
U.S. Government Securities
169,578
313,946
GNMA GTD REMIC P/T 18-H17 DF
U.S. Government Securities
308,278
184,472
GNMA GTD REMIC P/T 18-H19 FE
U.S. Government Securities
182,678
149,598
GNMA GTD REMIC P/T 18-H19 FG
U.S. Government Securities
147,457
3,978,465
GNMA GTD REMIC P/T 18-H20 FB
U.S. Government Securities
3,994,876
155,817
GNMA GTD REMIC P/T 19-H04 FE
U.S. Government Securities
155,175
193,824
GNMA GTD REMIC P/T 19-H15 F
U.S. Government Securities
196,142
94,249
GNMA GTD REMIC P/T 19-H16 FC
U.S. Government Securities
94,456
319,163
GNMA GTD REMIC P/T 19-H17 FA
U.S. Government Securities
319,129
610,809
GNMA GTD REMIC P/T 19-H17 FB
U.S. Government Securities
620,184
147,447
GNMA GTD REMIC P/T 19-H18 EF
U.S. Government Securities
147,771
192,748
GNMA GTD REMIC P/T 19-H18 F
U.S. Government Securities
195,697
162,824
GNMA GTD REMIC P/T 19-H18 LF
U.S. Government Securities
164,866
122,622
GNMA GTD REMIC P/T 19-H20 AF
U.S. Government Securities
124,445
635,194
GNMA GTD REMIC P/T 20-H06 FA
U.S. Government Securities
642,210
3,014,000
GNMA GTD REMIC P/T 21-H19 FM
U.S. Government Securities
3,084,994
297
GNMA II POOL #0751415
U.S. Government Securities
315
2,445
GNMA II POOL #0756718
U.S. Government Securities
2,498
1,097
GNMA II POOL #0765229
U.S. Government Securities
1,101
79
GNMA II POOL #0766522
U.S. Government Securities
78
250
GNMA II POOL #0766529
U.S. Government Securities
250
77
GNMA II POOL #0766544
U.S. Government Securities
78
46
GNMA II POOL #0766566
U.S. Government Securities
46
29,555
GNMA II POOL #0771800
U.S. Government Securities
30,562
252,179
GNMA II POOL #0771824
U.S. Government Securities
265,239
256,019
GNMA II POOL #0771828
U.S. Government Securities
271,693
115,777
GNMA II POOL #0771829
U.S. Government Securities
122,402
1,236
GNMA II POOL #0773430
U.S. Government Securities
1,225
149,747
GNMA II POOL #0798521
U.S. Government Securities
155,443
150,536
GNMA II POOL #0798526
U.S. Government Securities
155,603
350
GNMA II POOL #0AA7508
U.S. Government Securities
361
79,189
GNMA II POOL #0AB6552
U.S. Government Securities
83,544
653
GNMA II POOL #0AC0988
U.S. Government Securities
679
127
GNMA II POOL #0AC9906
U.S. Government Securities
134
1,683
GNMA II POOL #0AC9910
U.S. Government Securities
1,705
151,647
GNMA II POOL #0AE0488
U.S. Government Securities
158,638
174,357
GNMA II POOL #0AF7339
U.S. Government Securities
182,543
215,891
GNMA II POOL #0AF7379
U.S. Government Securities
225,898
53
167,177
GNMA II POOL #0AH1236
U.S. Government Securities
179,904
202,774
GNMA II POOL #0AH1377
U.S. Government Securities
212,694
253,811
GNMA II POOL #0AK0201
U.S. Government Securities
267,666
203,779
GNMA II POOL #0AK8743
U.S. Government Securities
215,748
156,724
GNMA II POOL #0AL7424
U.S. Government Securities
165,748
71,561
GNMA II POOL #0AR6523
U.S. Government Securities
76,354
182,809
GNMA II POOL #0AR6570
U.S. Government Securities
194,958
154,574
GNMA II POOL #0AR7510
U.S. Government Securities
165,301
113,735
GNMA II POOL #0AS5980
U.S. Government Securities
121,922
371,793
GNMA II POOL #0AS6008
U.S. Government Securities
399,657
92,112
GNMA II POOL #0AS8942
U.S. Government Securities
97,894
93,654
GNMA II POOL #0AU1288
U.S. Government Securities
101,239
111,019
GNMA II POOL #0AU1850
U.S. Government Securities
119,041
126,239
GNMA II POOL #0AU3149
U.S. Government Securities
134,963
264,963
GNMA II POOL #0AW1858
U.S. Government Securities
281,377
347,252
GNMA II POOL #0AY2208
U.S. Government Securities
373,330
324,000
TENNESSEE VALLEY AUTH BD
U.S. Government Securities
480,861
555,000
TENNESSEE VALLEY AUTH BD
U.S. Government Securities
802,708
458,000
TENNESSEE VALLEY AUTH BD
U.S. Government Securities
704,299
960,000
TENNESSEE VALLEY AUTH BD
U.S. Government Securities
1,407,783
Cash
Cash
5,284
85,773,913
EB Temporary Investment Fund*
Common Collective Trust Fund
85,773,913
54,978,341
EB Temporary Investment Fund*
Common Collective Trust Fund
54,978,341
Diversified Bond Fund Subtotal
$
1,414,171,005
International Equity Fund
American Funds, First Eagle, All Spring and Vanguard
Separately Managed Fund
5,055,894
ALLSPRING EMRG MRK EQ-R6
Mutual Fund
$
149,654,459
7,156,337
AMER FNDS EUROPAC GROW-R6
Mutual Fund
463,229,714
17,812,199
FIRST EAGLE OVERSEAS-R6
Mutual Fund
461,692,200
3,322,022
VANGUARD INTL GROWTH-ADM
Mutual Fund
462,757,615
International Equity Fund Subtotal
$
1,537,333,988
Small Mid Core Fund
Barron Discovery Strategy, DF Dent Mid Cap Growth, Snyder Capital Mgt Small/Mid Cap Value, MFS Mid Cap Value Equity
Separately Managed Fund
60,520
8X8 INC
Common Stock
$
1,014,315
33,460
ACADIA HEALTHCARE CO INC
Common Stock
2,031,022
60,784
ACCOLADE INC
Common Stock
1,602,266
131,781
ACV AUCTIONS INC
Common Stock
2,482,754
92,510
ADAPTHEALTH CORP
Common Stock
2,262,795
36,250
ADIENT PLC
Common Stock
1,735,650
35,727
ADVANCED ENERGY INDUSTRIES INC
Common Stock
3,253,301
56,961
AES CORP/THE
Common Stock
1,384,152
12,241
ALASKA AIR GROUP INC
Common Stock
637,756
34,608
ALBERTSONS COS INC
Common Stock
1,044,816
87,452
ALKAMI TECHNOLOGY INC
Common Stock
1,754,287
3,419
ALLEGHANY CORP
Common Stock
2,282,490
166,550
ALLEGHENY TECHNOLOGIES INC
Common Stock
2,653,142
53,795
ALLEGRO MICROSYSTEMS INC
Common Stock
1,946,303
23,436
ALTICE USA INC
Common Stock
379,194
47,105
ALTRA INDUSTRIAL MOTION CORP
Common Stock
2,429,205
16,753
AMDOCS LTD
Common Stock
1,253,795
11,313
AMEREN CORP
Common Stock
1,006,970
38,925
AMERICAN CAMPUS COMMUNITIES IN
Common Stock
2,230,013
14,922
AMERICAN INTERNATIONAL GROUP I
Common Stock
848,465
28,634
AMERICOLD REALTY TRUST
Common Stock
938,909
53,070
AMERIS BANCORP
Common Stock
2,636,518
9,194
AMERISOURCEBERGEN CORP
Common Stock
1,221,791
54
43,962
AMETEK INC
Common Stock
6,464,172
68,690
AMPHENOL CORP
Common Stock
6,007,627
17,724
ANSYS INC
Common Stock
7,109,451
6,097
APOLLO GLOBAL MANAGEMENT INC
Common Stock
441,606
29,231
ARAMARK
Common Stock
1,077,162
43,580
ARGO GROUP INTERNATIONAL HOLDI
Common Stock
2,532,434
6,099
ARMSTRONG WORLD INDUSTRIES INC
Common Stock
708,216
10,032
ARTHUR J GALLAGHER & CO
Common Stock
1,702,129
51,035
ARTISAN PARTNERS ASSET MANAGEM
Common Stock
2,431,307
10,651
ASHLAND GLOBAL HOLDINGS INC
Common Stock
1,146,687
8,302
ASSURANT INC
Common Stock
1,293,950
38,720
ASSURED GUARANTY LTD
Common Stock
1,943,744
17,873
ATHENE HOLDING LTD
Common Stock
1,489,357
5,334
ATLASSIAN CORP PLC
Common Stock
2,033,801
5,230
ATMOS ENERGY CORP
Common Stock
547,947
16,865
ATMOS ENERGY CORP
Common Stock
1,766,946
40,035
AXALTA COATING SYSTEMS LTD
Common Stock
1,325,959
30,443
AXOGEN INC
Common Stock
285,251
51,932
AXONICS INC
Common Stock
2,908,192
12,000
AZENTA INC
Common Stock
1,237,320
48,874
AZENTA INC
Common Stock
5,039,398
71,560
BANK OF NT BUTTERFIELD & SON L
Common Stock
2,727,152
55,560
BANK OZK
Common Stock
2,585,207
44,820
BANNER CORP
Common Stock
2,719,229
24,618
BEACON ROOFING SUPPLY INC
Common Stock
1,411,842
145,262
BEAUTY HEALTH CO/THE
Common Stock
3,509,530
18,158
BERRY GLOBAL GROUP INC
Common Stock
1,339,697
13,780
BIOHAVEN PHARMACEUTICAL HOLDIN
Common Stock
1,899,022
10,887
BIO-TECHNE CORP
Common Stock
5,632,281
3,223
BIO-TECHNE CORP
Common Stock
1,667,387
84,566
BLACK KNIGHT INC
Common Stock
7,009,676
41,405
BLACKLINE INC
Common Stock
4,287,074
4,334
BOSTON PROPERTIES INC
Common Stock
499,190
52,671
BOYD GAMING CORP
Common Stock
3,453,637
778
BRAZE INC
Common Stock
60,030
8,819
BRAZE INC
Common Stock
680,474
25,969
BRIGHT HORIZONS FAMILY SOLUTIO
Common Stock
3,268,978
44,990
BRIXMOR PROPERTY GROUP INC
Common Stock
1,143,196
60,021
BROWN & BROWN INC
Common Stock
4,218,276
63,070
BRP GROUP INC
Common Stock
2,277,458
10,953
BRUNSWICK CORP/DE
Common Stock
1,103,296
6,033
BUILDERS FIRSTSOURCE INC
Common Stock
517,088
77,815
BWX TECHNOLOGIES INC
Common Stock
3,725,782
3,351
CABLE ONE INC
Common Stock
5,909,321
55,943
CABOT CORP
Common Stock
3,143,997
62,395
CAPRI HOLDINGS LTD
Common Stock
4,050,059
57,942
CAREDX INC
Common Stock
2,635,202
28,456
CARMAX INC
Common Stock
3,705,825
45,305
CATALENT INC
Common Stock
5,800,399
55,660
CATHAY GENERAL BANCORP
Common Stock
2,392,823
7,616
CBOE GLOBAL MARKETS INC
Common Stock
993,126
38,229
CBRE GROUP INC
Common Stock
4,148,229
7,777
CELANESE CORP
Common Stock
1,307,003
40,511
CENTERPOINT ENERGY INC
Common Stock
1,130,662
70,380
CENTRAL PACIFIC FINANCIAL CORP
Common Stock
1,982,605
302,985
CERUS CORP
Common Stock
2,063,328
98,850
CHAMPIONX CORP
Common Stock
1,997,759
16,385
CHARLES RIVER LABORATORIES INT
Common Stock
6,173,540
59,583
CHEESECAKE FACTORY INC/THE
Common Stock
2,332,674
63,765
CHEESECAKE FACTORY INC/THE
Common Stock
2,496,400
13,141
CHEWY INC
Common Stock
774,925
7,294
CINCINNATI FINANCIAL CORP
Common Stock
831,005
55
60,705
CLEAN HARBORS INC
Common Stock
6,056,538
66,185
CLEARWATER ANALYTICS HOLDINGS
Common Stock
1,520,931
19,291
CMS ENERGY CORP
Common Stock
1,254,880
16,795
COCA-COLA EUROPACIFIC PARTNERS
Common Stock
939,344
12,378
COMERICA INC
Common Stock
1,076,886
18,021
COPART INC
Common Stock
2,732,344
28,796
CORNING INC
Common Stock
1,072,075
54,433
CORPORATE OFFICE PROPERTIES TR
Common Stock
1,522,491
27,032
CORTEVA INC
Common Stock
1,278,073
50,546
COSTAR GROUP INC
Common Stock
3,994,650
31,008
COTERRA ENERGY INC
Common Stock
589,152
116,407
COUCHBASE INC
Common Stock
2,905,519
9,339
COUPA SOFTWARE INC
Common Stock
1,476,029
9,462
CROWDSTRIKE HOLDINGS INC
Common Stock
1,937,345
10,066
CROWN HOLDINGS INC
Common Stock
1,113,501
27,597
CRYOPORT INC
Common Stock
1,630,983
49,492
DEFINITIVE HEALTHCARE CORP
Common Stock
1,352,616
21,818
DELTA AIR LINES INC
Common Stock
852,647
24,186
DENTSPLY SIRONA INC
Common Stock
1,349,337
204,407
DESPEGAR.COM CORP
Common Stock
2,001,145
30,416
DEVON ENERGY CORP
Common Stock
1,339,825
10,495
DIAMONDBACK ENERGY INC
Common Stock
1,131,886
411,545
DIEBOLD NIXDORF INC
Common Stock
3,724,482
10,484
DISCOVER FINANCIAL SERVICES
Common Stock
1,211,531
27,083
DISCOVERY INC
Common Stock
620,201
8,892
DOLLAR TREE INC
Common Stock
1,249,504
34,516
DOUBLEVERIFY HOLDINGS INC
Common Stock
1,148,692
25,897
DUN & BRADSTREET HOLDINGS INC
Common Stock
530,630
19,749
DUPONT DE NEMOURS INC
Common Stock
1,595,324
48,770
DXC TECHNOLOGY CO
Common Stock
1,569,906
31,318
DYNATRACE INC
Common Stock
1,890,041
10,524
EAST WEST BANCORP INC
Common Stock
828,028
14,426
EASTMAN CHEMICAL CO
Common Stock
1,744,248
11,175
EATON CORP PLC
Common Stock
1,931,264
26,053
ECOLAB INC
Common Stock
6,111,773
12,453
EDISON INTERNATIONAL
Common Stock
849,917
6,357
ELECTRONIC ARTS INC
Common Stock
838,488
50,330
ELF BEAUTY INC
Common Stock
1,671,459
29,854
ENDAVA PLC
Common Stock
5,013,084
15,548
ENERGIZER HOLDINGS INC
Common Stock
623,475
28,760
ENERSYS
Common Stock
2,273,766
61,185
ENFUSION INC
Common Stock
1,281,214
25,540
ENPRO INDUSTRIES INC
Common Stock
2,811,188
64,873
ENTEGRIS INC
Common Stock
8,990,100
57,125
ENVISTA HOLDINGS CORP
Common Stock
2,574,053
153,290
EQT CORP
Common Stock
3,343,255
44,468
EQUITABLE HOLDINGS INC
Common Stock
1,458,106
20,506
EQUITRANS MIDSTREAM CORP
Common Stock
212,032
32,820
ESSENT GROUP LTD
Common Stock
1,494,295
4,702
EVEREST RE GROUP LTD
Common Stock
1,287,972
12,432
EVERSOURCE ENERGY
Common Stock
1,131,063
72,760
FASTENAL CO
Common Stock
4,661,006
41,634
FIRST AMERICAN FINANCIAL CORP
Common Stock
3,257,028
27,526
FLOOR & DECOR HOLDINGS INC
Common Stock
3,578,655
53,982
FMC CORP
Common Stock
5,932,082
8,603
FMC CORP
Common Stock
945,384
50,885
FORGEROCK INC
Common Stock
1,358,121
10,681
FORTUNE BRANDS HOME & SECURITY
Common Stock
1,141,799
48,985
GLACIER BANCORP INC
Common Stock
2,777,450
8,709
GLOBAL PAYMENTS INC
Common Stock
1,177,283
30,475
GRACO INC
Common Stock
2,456,895
9,163
GRAND CANYON EDUCATION INC
Common Stock
785,361
56
56,975
GRAPHIC PACKAGING HOLDING CO
Common Stock
1,111,013
25,093
GUIDEWIRE SOFTWARE INC
Common Stock
2,848,808
23,658
HALLIBURTON CO
Common Stock
541,058
140,335
HALOZYME THERAPEUTICS INC
Common Stock
5,642,870
44,610
HANCOCK WHITNEY CORP
Common Stock
2,231,392
87,955
HANGER INC
Common Stock
1,594,624
5,343
HANOVER INSURANCE GROUP INC/TH
Common Stock
700,254
27,507
HARTFORD FINANCIAL SERVICES GR
Common Stock
1,899,083
37,479
HEICO CORP
Common Stock
4,816,801
20,447
HEICO CORP
Common Stock
2,627,848
13,561
HELEN OF TROY LTD
Common Stock
3,315,258
21,535
HELIOS TECHNOLOGIES INC
Common Stock
2,264,836
14,705
HELIOS TECHNOLOGIES INC
Common Stock
1,546,525
61,381
HENRY SCHEIN INC
Common Stock
4,758,869
12,735
HESS CORP
Common Stock
942,772
27,325
HEXCEL CORP
Common Stock
1,415,435
9,615
HOLOGIC INC
Common Stock
736,124
48,957
HOST HOTELS & RESORTS INC
Common Stock
851,362
32,681
HOWMET AEROSPACE INC
Common Stock
1,040,236
105,290
HUDSON PACIFIC PROPERTIES INC
Common Stock
2,601,716
266,914
HUNTINGTON BANCSHARES INC/OH
Common Stock
4,115,814
24,183
IAA INC
Common Stock
1,224,143
49,584
ICHOR HOLDINGS LTD
Common Stock
2,282,352
4,423
ICON PLC
Common Stock
1,369,803
20,495
IDACORP INC
Common Stock
2,322,288
11,501
IDEX CORP
Common Stock
2,717,916
2,792
IDEXX LABORATORIES INC
Common Stock
1,838,420
20,146
II-VI INC
Common Stock
1,376,576
16,373
ILLUMINA INC
Common Stock
6,228,944
9,864
INARI MEDICAL INC
Common Stock
900,287
240,761
INDIE SEMICONDUCTOR INC
Common Stock
2,886,724
22,005
INGERSOLL RAND INC
Common Stock
1,361,449
10,314
INGREDION INC
Common Stock
996,745
39,241
INGREDION INC
Common Stock
3,792,250
57,159
INOGEN INC
Common Stock
1,943,406
4,211
INSPIRE MEDICAL SYSTEMS INC
Common Stock
968,783
36,490
INTEGRA LIFESCIENCES HOLDINGS
Common Stock
2,444,465
19,638
INTERNATIONAL GAME TECHNOLOGY
Common Stock
567,735
8,453
INTUITIVE SURGICAL INC
Common Stock
3,037,163
32,219
INVESCO LTD
Common Stock
741,681
9,511
ITT INC
Common Stock
971,929
6,776
J M SMUCKER CO/THE
Common Stock
920,316
24,620
JBG SMITH PROPERTIES
Common Stock
706,840
26,853
JOHNSON CONTROLS INTERNATIONAL
Common Stock
2,183,417
184,160
KAR AUCTION SERVICES INC
Common Stock
2,876,579
227,909
KAR AUCTION SERVICES INC
Common Stock
3,559,939
44,112
KBR INC
Common Stock
2,100,613
15,749
KELLOGG CO
Common Stock
1,014,551
55,552
KEYCORP
Common Stock
1,284,918
18,428
KEYSIGHT TECHNOLOGIES INC
Common Stock
3,805,566
21,624
KINSALE CAPITAL GROUP INC
Common Stock
5,144,133
48,135
KIRBY CORP
Common Stock
2,860,182
15,126
KNIGHT-SWIFT TRANSPORTATION HO
Common Stock
921,778
22,989
KORNIT DIGITAL LTD
Common Stock
3,500,075
110,386
KRATOS DEFENSE & SECURITY SOLU
Common Stock
2,141,488
7,185
L3HARRIS TECHNOLOGIES INC
Common Stock
1,532,129
4,278
LABORATORY CORP OF AMERICA HOL
Common Stock
1,344,190
9,324
LEAR CORP
Common Stock
1,705,826
10,853
LEIDOS HOLDINGS INC
Common Stock
964,832
7,890
LIBERTY BROADBAND CORP
Common Stock
1,271,079
179,505
LIBERTY LATIN AMERICA LTD
Common Stock
2,093,028
76,479
LIBERTY MEDIA CORP-LIBERTY FOR
Common Stock
4,538,264
57
13,516
LIFE STORAGE INC
Common Stock
2,070,381
11,350
LINCOLN ELECTRIC HOLDINGS INC
Common Stock
1,582,985
35,035
LKQ CORP
Common Stock
2,103,151
79,825
LKQ CORP
Common Stock
4,791,895
4,712
MARKEL CORP
Common Stock
5,814,608
1,286
MARKEL CORP
Common Stock
1,586,924
139,889
MARKFORGED HOLDING CORP
Common Stock
751,204
19,867
MASCO CORP
Common Stock
1,395,061
9,053
MASIMO CORP
Common Stock
2,650,537
36,209
MATTEL INC
Common Stock
780,666
76,831
MEMBERSHIP COLLECTIVE GROUP IN
Common Stock
981,900
75,085
MERCURY SYSTEMS INC
Common Stock
4,134,180
9,523
MID-AMERICA APARTMENT COMMUNIT
Common Stock
2,184,957
8,256
MID-AMERICA APARTMENT COMMUNIT
Common Stock
1,894,257
51,895
MONTROSE ENVIRONMENTAL GROUP I
Common Stock
3,659,116
10,834
MOODY'S CORP
Common Stock
4,231,544
5,971
MOTOROLA SOLUTIONS INC
Common Stock
1,622,321
30,665
MYT NETHERLANDS PARENT BV
Common Stock
650,405
71,165
NATIONAL RETAIL PROPERTIES INC
Common Stock
3,420,902
67,210
NAVIENT CORP
Common Stock
1,426,196
136,671
NAVITAS SEMICONDUCTOR CORP
Common Stock
2,324,774
24,750
NEW RELIC INC
Common Stock
2,721,510
46,736
NEWELL BRANDS INC
Common Stock
1,020,714
320,255
NEXTDOOR HOLDINGS INC
Common Stock
2,526,812
10,247
NORTHERN TRUST CORP
Common Stock
1,225,644
24,063
NOVA LTD
Common Stock
3,525,230
6,928
NXP SEMICONDUCTORS NV
Common Stock
1,578,060
10,982
OKTA INC
Common Stock
2,461,835
9,646
OLD DOMINION FREIGHT LINE INC
Common Stock
3,456,933
14,523
OLINK HOLDING AB
Common Stock
264,319
22,210
ON SEMICONDUCTOR CORP
Common Stock
1,508,503
23,442
ORGANON & CO
Common Stock
713,809
96,890
OUTFRONT MEDIA INC
Common Stock
2,598,590
228
OWENS CORNING
Common Stock
20,634
16,491
PACCAR INC
Common Stock
1,455,496
52,454
PAR TECHNOLOGY CORP
Common Stock
2,767,998
58,300
PDC ENERGY INC
Common Stock
2,843,874
12,924
PERFORMANCE FOOD GROUP CO
Common Stock
593,082
7,677
PERKINELMER INC
Common Stock
1,543,538
120,791
PETCO HEALTH & WELLNESS CO INC
Common Stock
2,390,454
128,043
PG&E CORP
Common Stock
1,554,442
179,020
PHYSICIANS REALTY TRUST
Common Stock
3,370,947
56,250
PING IDENTITY HOLDING CORP
Common Stock
1,287,000
14,723
PINNACLE WEST CAPITAL CORP
Common Stock
1,039,297
7,352
PIONEER NATURAL RESOURCES CO
Common Stock
1,337,182
66,129
PLAINS GP HOLDINGS LP
Common Stock
670,548
112,160
PLANTRONICS INC
Common Stock
3,290,774
5,248
POLARIS INC
Common Stock
576,808
33,960
POPULAR INC
Common Stock
2,786,078
34,440
PORTLAND GENERAL ELECTRIC CO
Common Stock
1,822,565
18,390
POST HOLDINGS INC
Common Stock
2,073,105
12,487
PREMIER INC
Common Stock
514,090
64,949
PROGYNY INC
Common Stock
3,270,182
42,186
PROS HOLDINGS INC
Common Stock
1,454,995
11,377
PROSPERITY BANCSHARES INC
Common Stock
822,557
34,536
PROSPERITY BANCSHARES INC
Common Stock
2,496,953
22,037
PUBLIC SERVICE ENTERPRISE GROU
Common Stock
1,470,529
6,809
PVH CORP
Common Stock
726,180
17,500
QUALYS INC
Common Stock
2,401,350
6,114
QUANTA SERVICES INC
Common Stock
701,031
7,404
QUEST DIAGNOSTICS INC
Common Stock
1,280,966
15,065
RAYMOND JAMES FINANCIAL INC
Common Stock
1,512,526
58
28,420
RECURSION PHARMACEUTICALS INC
Common Stock
486,835
24,120
RED ROCK RESORTS INC
Common Stock
1,326,841
187,893
REDWOOD TRUST INC
Common Stock
2,478,309
—
REGAL REXNORD CORP
Common Stock
13
8,912
REGAL REXNORD CORP
Common Stock
1,516,644
7,254
REINSURANCE GROUP OF AMERICA I
Common Stock
794,240
9,277
REPUBLIC SERVICES INC
Common Stock
1,293,678
68,140
RESIDEO TECHNOLOGIES INC
Common Stock
1,773,684
84,975
RESOURCES CONNECTION INC
Common Stock
1,515,954
100,676
REVANCE THERAPEUTICS INC
Common Stock
1,643,032
53,265
REXFORD INDUSTRIAL REALTY INC
Common Stock
4,320,324
18,997
REYNOLDS CONSUMER PRODUCTS INC
Common Stock
596,506
54,050
SAILPOINT TECHNOLOGIES HOLDING
Common Stock
2,612,777
51,392
SAILPOINT TECHNOLOGIES HOLDING
Common Stock
2,484,289
383,789
SAMSONITE INTERNATIONAL SA
Common Stock
3,868,593
18,138
SBA COMMUNICATIONS CORP
Common Stock
7,056,045
5,463
SEER INC
Common Stock
124,611
7,822
SEMPRA ENERGY
Common Stock
1,034,694
17,884
SENSATA TECHNOLOGIES HOLDING P
Common Stock
1,103,264
213,001
SIENTRA INC
Common Stock
781,714
3,577
SIGNATURE BANK/NEW YORK NY
Common Stock
1,157,052
58,073
SILK ROAD MEDICAL INC
Common Stock
2,474,491
13,259
SITEONE LANDSCAPE SUPPLY INC
Common Stock
3,212,391
9,736
SITEONE LANDSCAPE SUPPLY INC
Common Stock
2,358,838
56,350
SIX FLAGS ENTERTAINMENT CORP
Common Stock
2,399,383
23,849
SKECHERS USA INC
Common Stock
1,035,047
103,600
SLM CORP
Common Stock
2,037,812
72,200
SLM CORP
Common Stock
1,420,174
184,388
SMARTRENT INC
Common Stock
1,784,876
12,696
SPIRIT REALTY CAPITAL INC
Common Stock
611,820
14,127
SPROUT SOCIAL INC
Common Stock
1,281,178
12,541
STAG INDUSTRIAL INC
Common Stock
601,466
8,507
STANLEY BLACK & DECKER INC
Common Stock
1,604,590
10,338
STATE STREET CORP
Common Stock
961,434
41,520
STERICYCLE INC
Common Stock
2,476,253
15,408
STERIS PLC
Common Stock
3,750,461
7,509
SUN COMMUNITIES INC
Common Stock
1,576,665
1,738
SVB FINANCIAL GROUP
Common Stock
1,178,781
7,666
SWEETGREEN INC
Common Stock
245,312
28,855
SYNEOS HEALTH INC
Common Stock
2,962,831
4,843
SYNEOS HEALTH INC
Common Stock
497,279
20,146
SYNOPSYS INC
Common Stock
7,423,801
15,178
TARGA RESOURCES CORP
Common Stock
792,899
8,019
TE CONNECTIVITY LTD
Common Stock
1,293,785
13,988
TELEFLEX INC
Common Stock
4,594,778
46,415
TEREX CORP
Common Stock
2,039,939
838
TEXAS PACIFIC LAND CORP
Common Stock
1,046,553
26,465
TOLL BROTHERS INC
Common Stock
1,915,801
8,241
TRANSDIGM GROUP INC
Common Stock
5,243,583
72,925
TREEHOUSE FOODS INC
Common Stock
2,955,650
20,131
TREX CO INC
Common Stock
2,718,289
78,826
TRIPADVISOR INC
Common Stock
2,148,797
7,568
TWILIO INC
Common Stock
1,992,957
4,427
TYLER TECHNOLOGIES INC
Common Stock
2,381,505
122,965
UGI CORP
Common Stock
5,645,323
46,895
UMPQUA HOLDINGS CORP
Common Stock
902,260
31,451
UNIVAR SOLUTIONS INC
Common Stock
891,636
8,521
UNIVERSAL HEALTH SERVICES INC
Common Stock
1,104,833
71,320
URBAN OUTFITTERS INC
Common Stock
2,093,955
20,475
URBAN OUTFITTERS INC
Common Stock
601,146
85,460
US FOODS HOLDING CORP
Common Stock
2,976,572
98,022
UTZ BRANDS INC
Common Stock
1,563,451
59
9,630
VALERO ENERGY CORP
Common Stock
723,309
48,852
VALVOLINE INC
Common Stock
1,821,691
51,988
VARONIS SYSTEMS INC
Common Stock
2,535,975
12,066
VEEVA SYSTEMS INC
Common Stock
3,082,622
152,065
VELO3D INC
Common Stock
1,187,628
71,617
VERACYTE INC
Common Stock
2,950,620
10,872
VERINT SYSTEMS INC
Common Stock
570,889
21,001
VERISK ANALYTICS INC
Common Stock
4,803,559
42,985
VIANT TECHNOLOGY INC
Common Stock
417,169
44,933
VIATRIS INC
Common Stock
607,943
48,364
VICI PROPERTIES INC
Common Stock
1,456,240
340,929
VIEWRAY INC
Common Stock
1,878,519
130,160
VIPER ENERGY PARTNERS LP
Common Stock
2,773,710
7,473
VOYA FINANCIAL INC
Common Stock
495,535
30,421
VULCAN MATERIALS CO
Common Stock
6,314,791
5,287
VULCAN MATERIALS CO
Common Stock
1,097,475
54,649
WASTE CONNECTIONS INC
Common Stock
7,447,019
42,339
WASTE CONNECTIONS INC
Common Stock
5,769,536
12,956
WAYFAIR INC
Common Stock
2,461,251
69,750
WEBSTER FINANCIAL CORP
Common Stock
3,894,840
53,324
WENDY'S CO/THE
Common Stock
1,271,777
56,228
WESTERN ALLIANCE BANCORP
Common Stock
6,052,944
11,243
WESTINGHOUSE AIR BRAKE TECHNOL
Common Stock
1,035,593
21,693
WESTROCK CO
Common Stock
962,301
6,065
WILLIS TOWERS WATSON PLC
Common Stock
1,440,377
82,338
WILLSCOT MOBILE MINI HOLDINGS
Common Stock
3,362,684
8,410
WINTRUST FINANCIAL CORP
Common Stock
763,796
9,753
WNS HOLDINGS LTD
Common Stock
860,410
20,085
WOODWARD INC
Common Stock
2,198,504
12,722
WORKIVA INC
Common Stock
1,660,094
12,535
WP CAREY INC
Common Stock
1,028,497
8,105
WYNDHAM HOTELS & RESORTS INC
Common Stock
726,613
6,643
XPO LOGISTICS INC
Common Stock
514,367
2,674
ZEBRA TECHNOLOGIES CORP
Common Stock
1,591,565
9,036
ZIMMER BIOMET HOLDINGS INC
Common Stock
1,147,933
22,206
ZIONS BANCORP NA
Common Stock
1,402,531
36,780
ZURN WATER SOLUTIONS CORP
Common Stock
1,338,792
3,922,137
EB Temporary Investment Fund*
Common Collective Trust Fund
3,922,137
2,256,318
EB Temporary Investment Fund*
Common Collective Trust Fund
2,256,318
2,540,178
EB Temporary Investment Fund*
Common Collective Trust Fund
2,540,178
5,058,254
EB Temporary Investment Fund*
Common Collective Trust Fund
5,058,254
410,780
EB Temporary Investment Fund*
Common Collective Trust Fund
410,780
Cash
Cash
111
Small Mid Core Fund Subtotal
$
799,720,476
Large Cap Core Fund
Columbia Threadneedle, T. Rowe Price, Barrow Hanley, Wellington and MFS Growth Equity
Separately Managed Fund
69,559
ABBOTT LABORATORIES
Common Stock
$
9,789,734
55,510
ABBOTT LABORATORIES
Common Stock
7,812,477
28,940
ACTIVISION BLIZZARD INC
Common Stock
1,925,378
39,663
ADOBE INC
Common Stock
22,491,301
86,619
ADVANCED MICRO DEVICES INC
Common Stock
12,464,474
171,390
AERCAP HOLDINGS NV
Common Stock
11,212,334
32,106
CHUBB LTD
Common Stock
6,206,411
163,516
COCA-COLA EUROPACIFIC PARTNERS
Common Stock
9,145,450
68,774
LIVANOVA PLC
Common Stock
6,012,911
45,943
ADVANCE AUTO PARTS INC
Common Stock
11,020,807
139,969
AECOM
Common Stock
10,826,602
27,610
AIR PRODUCTS AND CHEMICALS INC
Common Stock
8,400,619
60
52,851
ALLSTATE CORP/THE
Common Stock
6,217,920
299,134
ALTICE USA INC
Common Stock
4,839,988
114,456
AMERICAN CAMPUS COMMUNITIES IN
Common Stock
6,557,184
57,432
AMERICAN EXPRESS CO
Common Stock
9,395,875
151,060
AMERICAN INTERNATIONAL GROUP I
Common Stock
8,589,272
24,152
ANTHEM INC
Common Stock
11,195,418
161,987
ARAMARK
Common Stock
5,969,221
152,844
BWX TECHNOLOGIES INC
Common Stock
7,318,171
19,240
BROADCOM INC
Common Stock
12,802,488
69,006
CVS HEALTH CORP
Common Stock
7,118,659
228,082
CENTERPOINT ENERGY INC
Common Stock
6,365,769
126,331
COGNIZANT TECHNOLOGY SOLUTIONS
Common Stock
11,208,086
163,108
COMCAST CORP
Common Stock
8,209,226
162,377
CORPORATE OFFICE PROPERTIES TR
Common Stock
4,541,685
183,640
CORTEVA INC
Common Stock
8,682,499
26,653
DEERE & CO
Common Stock
9,139,047
51,753
DISCOVER FINANCIAL SERVICES
Common Stock
5,980,577
114,973
DUPONT DE NEMOURS INC
Common Stock
9,287,519
54,460
EDISON INTERNATIONAL
Common Stock
3,716,895
487,473
ELEMENT SOLUTIONS INC
Common Stock
11,835,844
57,476
EMERSON ELECTRIC CO
Common Stock
5,343,544
131,376
ENVISTA HOLDINGS CORP
Common Stock
5,919,803
173,091
EXELON CORP
Common Stock
9,997,736
125,279
FIDELITY NATIONAL FINANCIAL IN
Common Stock
6,537,058
22,331
GOLDMAN SACHS GROUP INC/THE
Common Stock
8,542,724
144,641
HESS CORP
Common Stock
10,707,773
83,881
HOLOGIC INC
Common Stock
6,421,929
75,510
HOWARD HUGHES CORP/THE
Common Stock
7,685,408
10,032
HUMANA INC
Common Stock
4,653,444
53,211
JB HUNT TRANSPORT SERVICES INC
Common Stock
10,876,328
62,003
INTERNATIONAL FLAVORS & FRAGRA
Common Stock
9,340,752
59,829
JPMORGAN CHASE & CO
Common Stock
9,473,922
43,000
JACOBS ENGINEERING GROUP INC
Common Stock
5,986,890
221,506
JEFFERIES FINANCIAL GROUP INC
Common Stock
8,594,433
235,390
LAS VEGAS SANDS CORP
Common Stock
8,860,080
31,504
LENNAR CORP
Common Stock
3,659,505
23,273
LITHIA MOTORS INC
Common Stock
6,910,917
27,059
LOWE'S COS INC
Common Stock
6,994,210
60,229
M&T BANK CORP
Common Stock
9,249,970
35,547
MDU RESOURCES GROUP INC
Common Stock
1,096,269
237,694
MGM RESORTS INTERNATIONAL
Common Stock
10,667,707
144,956
MGM GROWTH PROPERTIES LLC
Common Stock
5,921,453
54,170
MARRIOTT VACATIONS WORLDWIDE C
Common Stock
9,153,647
129,956
MERCK & CO INC
Common Stock
9,959,828
110,403
MICROCHIP TECHNOLOGY INC
Common Stock
9,611,685
73,303
NORTHERN TRUST CORP
Common Stock
8,767,772
97,389
ORACLE CORP
Common Stock
8,493,295
113,249
PHILLIPS 66
Common Stock
8,206,023
88,687
PINNACLE WEST CAPITAL CORP
Common Stock
6,260,415
57,065
PIONEER NATURAL RESOURCES CO
Common Stock
10,378,982
100,485
PROG HOLDINGS INC
Common Stock
4,532,878
43,809
QUALCOMM INC
Common Stock
8,011,352
65,310
RALPH LAUREN CORP
Common Stock
7,762,747
74,604
ADVANCED MICRO DEVICES INC
Common Stock
10,735,516
979,447
AES CORP/THE
Common Stock
23,800,562
29,583
AFFIRM HOLDINGS INC
Common Stock
2,974,866
3,863
AIR PRODUCTS AND CHEMICALS INC
Common Stock
1,175,356
813
AIRBNB INC
Common Stock
135,356
36,968
AIRBNB INC
Common Stock
6,154,802
2,481
ALIGN TECHNOLOGY INC
Common Stock
1,630,464
6,516
ALNYLAM PHARMACEUTICALS INC
Common Stock
1,104,983
3,733
ALPHABET INC
Common Stock
10,801,771
61
12,430
ALPHABET INC
Common Stock
36,010,207
30,953
ALPHABET INC
Common Stock
89,565,291
4,795
ALPHABET INC
Common Stock
13,891,307
3,750
ALPHABET INC
Common Stock
10,850,963
12,585
ALPHABET INC
Common Stock
36,459,248
13,356
AMAZON.COM INC
Common Stock
44,533,445
29,624
AMAZON.COM INC
Common Stock
98,776,488
9,385
AMAZON.COM INC
Common Stock
31,292,781
49,979
AMERICAN ELECTRIC POWER CO INC
Common Stock
4,446,632
71,216
AMERICAN EXPRESS CO
Common Stock
11,650,938
590,095
AMERICAN INTERNATIONAL GROUP I
Common Stock
33,552,802
12,995
AMERICAN TOWER CORP
Common Stock
3,801,038
28,334
AMERICAN TOWER CORP
Common Stock
8,287,695
36,794
AMETEK INC
Common Stock
5,410,190
54,017
AMETEK INC
Common Stock
7,942,660
12,630
AON PLC
Common Stock
3,796,073
148,280
APPLE INC
Common Stock
26,330,080
439,994
APPLE INC
Common Stock
78,129,735
213,444
APPLE INC
Common Stock
37,901,251
189,400
APPLIED MATERIALS INC
Common Stock
29,803,984
30,291
APPLIED MATERIALS INC
Common Stock
4,766,592
8,053
ASML HOLDING NV
Common Stock
6,411,315
10,621
ASML HOLDING NV
Common Stock
8,455,803
37,255
ASTRAZENECA PLC
Common Stock
2,170,104
8,485
ATLASSIAN CORP PLC
Common Stock
3,235,246
11,757
ATLASSIAN CORP PLC
Common Stock
4,482,827
24,840
AUTODESK INC
Common Stock
6,984,760
281,508
AXALTA COATING SYSTEMS LTD
Common Stock
9,323,545
43,795
AXIS CAPITAL HOLDINGS LTD
Common Stock
2,385,514
893,936
BANK OF AMERICA CORP
Common Stock
39,771,213
371,785
BANK OF AMERICA CORP
Common Stock
16,540,715
1,456,926
BARRICK GOLD CORP
Common Stock
27,681,594
280,837
BAXTER INTERNATIONAL INC
Common Stock
24,107,048
94,939
BAXTER INTERNATIONAL INC
Common Stock
8,149,564
6,146
BECTON DICKINSON AND CO
Common Stock
1,545,596
26,377
BECTON DICKINSON AND CO
Common Stock
6,633,288
13,213
BILL.COM HOLDINGS INC
Common Stock
3,292,019
17,326
BLACK KNIGHT INC
Common Stock
1,436,152
10,590
BLACKROCK INC
Common Stock
9,695,780
24,543
BLOCK INC
Common Stock
3,963,940
34,330
BLOCK INC
Common Stock
5,544,638
2,062
BOOKING HOLDINGS INC
Common Stock
4,947,212
3,422
BOOKING HOLDINGS INC
Common Stock
8,210,165
161,255
BOSTON SCIENTIFIC CORP
Common Stock
6,850,112
417,078
BRISTOL-MYERS SQUIBB CO
Common Stock
26,004,813
19,163
BUMBLE INC
Common Stock
648,859
25,478
CADENCE DESIGN SYSTEMS INC
Common Stock
4,747,825
31,116
CANADIAN PACIFIC RAILWAY LTD
Common Stock
2,238,485
40,826
CARVANA CO
Common Stock
9,463,059
75,257
CATERPILLAR INC
Common Stock
15,558,632
37,286
CDW CORP/DE
Common Stock
7,635,427
450,194
CENTENE CORP
Common Stock
37,095,986
80,339
CHARLES SCHWAB CORP/THE
Common Stock
6,756,510
53,818
CHARLES SCHWAB CORP/THE
Common Stock
4,526,094
100,978
CHARLES SCHWAB CORP/THE
Common Stock
8,492,250
9,936
CHARTER COMMUNICATIONS INC
Common Stock
6,477,974
92,416
CHEVRON CORP
Common Stock
10,845,018
1,905
CHIPOTLE MEXICAN GRILL INC
Common Stock
3,330,416
4,042
CHIPOTLE MEXICAN GRILL INC
Common Stock
7,066,427
13,763
CHUBB LTD
Common Stock
2,660,526
39,905
CHUBB LTD
Common Stock
7,714,036
140,057
CIGNA CORP
Common Stock
32,161,289
62
2,613
CINTAS CORP
Common Stock
1,158,003
679,079
CISCO SYSTEMS INC/DELAWARE
Common Stock
43,033,236
388,740
CITIGROUP INC
Common Stock
23,476,009
125,936
CLARIVATE PLC
Common Stock
2,962,015
9,520
CME GROUP INC
Common Stock
2,174,939
63,143
COLGATE-PALMOLIVE CO
Common Stock
5,388,624
99,321
COLGATE-PALMOLIVE CO
Common Stock
8,476,054
42,550
CONSTELLATION BRANDS INC
Common Stock
10,678,774
17,355
COPART INC
Common Stock
2,631,365
30,590
COPART INC
Common Stock
4,638,056
922,022
CORNING INC
Common Stock
34,326,879
153,534
CORNING INC
Common Stock
5,716,071
51,380
COSTAR GROUP INC
Common Stock
4,060,561
1,190
COSTAR GROUP INC
Common Stock
94,046
9,291
COUPA SOFTWARE INC
Common Stock
1,468,443
4,782
CROWDSTRIKE HOLDINGS INC
Common Stock
979,115
678,982
CSX CORP
Common Stock
25,529,723
43,519
DANAHER CORP
Common Stock
14,318,186
34,866
DANAHER CORP
Common Stock
11,471,263
31,477
DANAHER CORP
Common Stock
10,356,248
14,404
DATADOG INC
Common Stock
2,565,496
22,291
DEERE & CO
Common Stock
7,643,361
19,249
DOCUSIGN INC
Common Stock
2,931,815
9,211
DOLLAR GENERAL CORP
Common Stock
2,172,230
28,423
DOLLAR GENERAL CORP
Common Stock
6,702,996
47,465
DOORDASH INC
Common Stock
7,067,539
2,892
DOORDASH INC
Common Stock
430,619
73,265
DUKE ENERGY CORP
Common Stock
7,685,499
41,471
EDWARDS LIFESCIENCES CORP
Common Stock
5,372,568
31,027
ELECTRONIC ARTS INC
Common Stock
4,092,461
39,745
ELI LILLY & CO
Common Stock
10,978,364
42,864
ELI LILLY & CO
Common Stock
11,839,894
72,193
EOG RESOURCES INC
Common Stock
6,412,904
17,945
EQUIFAX INC
Common Stock
5,254,117
4,638
EQUIFAX INC
Common Stock
1,357,960
27,202
EQUIFAX INC
Common Stock
7,964,474
3,492
EQUINIX INC
Common Stock
2,953,673
25,035
ESTEE LAUDER COS INC/THE
Common Stock
9,267,957
31,567
F5 INC
Common Stock
7,724,761
33,344
FEDEX CORP
Common Stock
8,624,092
56,842
FIDELITY NATIONAL INFORMATION
Common Stock
6,204,304
1,000,661
FIRSTENERGY CORP
Common Stock
41,617,491
42,255
FISERV INC
Common Stock
4,385,646
372,120
FMC CORP
Common Stock
40,892,267
325,742
FORD MOTOR CO
Common Stock
6,765,661
18,171
FORTINET INC
Common Stock
6,530,657
80,513
FORTUNE BRANDS HOME & SECURITY
Common Stock
8,606,840
668,324
FREEPORT-MCMORAN INC
Common Stock
27,889,161
110,940
GAMING AND LEISURE PROPERTIES
Common Stock
5,398,340
28,105
GENERAL ELEC CO
Common Stock
2,655,079
37,857
GLOBAL PAYMENTS INC
Common Stock
5,117,509
68,669
GODADDY INC
Common Stock
5,827,251
25,055
GOLDMAN SACHS GROUP INC/THE
Common Stock
9,584,790
4,947
HASHICORP INC
Common Stock
450,375
2,601
HASHICORP INC
Common Stock
236,795
32,091
HCA HEALTHCARE INC
Common Stock
8,244,820
20,436
HILTON WORLDWIDE HOLDINGS INC
Common Stock
3,187,812
77,156
HOLOGIC INC
Common Stock
5,907,063
48,809
HUMANA INC
Common Stock
22,640,543
7,209
HUMANA INC
Common Stock
3,343,967
21,370
ICON PLC
Common Stock
6,618,289
27,786
ILLINOIS TOOL WORKS INC
Common Stock
6,857,585
63
26,268
INTUIT INC
Common Stock
16,896,103
31,771
INTUIT INC
Common Stock
20,435,743
45,668
INTUITIVE SURGICAL INC
Common Stock
16,408,512
43,587
JOHNSON CONTROLS INTERNATIONAL
Common Stock
3,544,059
225,577
JPMORGAN CHASE & CO
Common Stock
35,720,118
111,838
JPMORGAN CHASE & CO
Common Stock
17,709,547
24,558
KLA CORP
Common Stock
10,562,641
13,349
LAM RESEARCH CORP
Common Stock
9,599,933
49,859
LEIDOS HOLDINGS INC
Common Stock
4,432,465
7,568
LINDE PLC
Common Stock
2,621,782
213,892
LOWE'S COS INC
Common Stock
55,286,804
5,934
LULULEMON ATHLETICA INC
Common Stock
2,322,864
18,983
LULULEMON ATHLETICA INC
Common Stock
7,430,895
323,213
MARATHON PETROLEUM CORP
Common Stock
20,682,400
10,740
MARSH & MCLENNAN COS INC
Common Stock
1,866,827
55,009
MARVELL TECHNOLOGY INC
Common Stock
4,812,737
122,312
MARVELL TECHNOLOGY INC
Common Stock
10,701,077
46,259
MASTERCARD INC
Common Stock
16,621,784
50,743
MASTERCARD INC
Common Stock
18,232,975
32,117
MASTERCARD INC
Common Stock
11,540,280
37,108
MATCH GROUP INC
Common Stock
4,907,533
34,521
MCDONALD'S CORP
Common Stock
9,254,044
59,509
MEDTRONIC PLC
Common Stock
6,156,206
147,536
MERCK & CO INC
Common Stock
11,307,159
51,015
META PLATFORMS INC
Common Stock
17,158,895
199,196
META PLATFORMS INC
Common Stock
66,999,575
57,029
META PLATFORMS INC
Common Stock
19,181,704
356,295
METLIFE INC
Common Stock
22,264,875
31,590
MGM RESORTS INTERNATIONAL
Common Stock
1,417,759
206,190
MICROSOFT CORP
Common Stock
69,345,821
333,156
MICROSOFT CORP
Common Stock
112,047,026
159,446
MICROSOFT CORP
Common Stock
53,624,879
12,282
MONGODB INC
Common Stock
6,501,477
6,544
MONOLITHIC POWER SYSTEMS INC
Common Stock
3,228,352
90,732
MONSTER BEVERAGE CORP
Common Stock
8,713,901
400,684
MORGAN STANLEY
Common Stock
39,331,141
126,456
MORGAN STANLEY
Common Stock
12,412,921
18,139
MSCI INC
Common Stock
11,113,584
2,097
MSCI INC
Common Stock
1,284,811
88,216
NETAPP INC
Common Stock
8,114,990
14,498
NETFLIX INC
Common Stock
8,734,175
30,311
NETFLIX INC
Common Stock
18,260,559
20,230
NETFLIX INC
Common Stock
12,187,361
32,711
NIKE INC
Common Stock
5,451,942
48,094
NIKE INC
Common Stock
8,015,827
60,081
NIKE INC
Common Stock
10,013,700
27,171
NORDSON CORP
Common Stock
6,935,941
67,747
NVIDIA CORP
Common Stock
19,925,070
111,500
NVIDIA CORP
Common Stock
32,793,265
15,837
NVIDIA CORP
Common Stock
4,657,820
86,000
OPENDOOR TECHNOLOGIES INC
Common Stock
1,256,460
10,914
PALO ALTO NETWORKS INC
Common Stock
6,076,479
1,987
PAYCOM SOFTWARE INC
Common Stock
824,983
48,752
PAYPAL HOLDINGS INC
Common Stock
9,193,652
50,536
PAYPAL HOLDINGS INC
Common Stock
9,530,079
200,878
PERRIGO CO PLC
Common Stock
7,814,154
1,454,096
PG&E CORP
Common Stock
17,652,725
390,125
PHILIP MORRIS INTERNATIONAL IN
Common Stock
37,061,875
103,144
PINTEREST INC
Common Stock
3,749,284
32,089
PIONEER NATURAL RESOURCES CO
Common Stock
5,836,347
54,334
PPG INDUSTRIES INC
Common Stock
9,369,355
98,449
PROCTER & GAMBLE CO/THE
Common Stock
16,104,287
64
55,085
PROGRESSIVE CORP/THE
Common Stock
5,654,475
164,421
QUALCOMM INC
Common Stock
30,067,668
61,691
QUALCOMM INC
Common Stock
11,281,433
29,360
QURATE RETAIL INC
Common Stock
3,030,492
1,860,026
QURATE RETAIL INC
Common Stock
14,136,198
107,279
RAYTHEON TECHNOLOGIES CORP
Common Stock
9,232,431
324,138
RAYTHEON TECHNOLOGIES CORP
Common Stock
27,895,316
105,724
RAYTHEON TECHNOLOGIES CORP
Common Stock
9,098,607
12,326
REGENERON PHARMACEUTICALS INC
Common Stock
7,784,116
40,575
RIVIAN AUTOMOTIVE INC
Common Stock
4,207,222
21,077
ROBLOX CORP
Common Stock
2,174,303
3,947
ROKU INC
Common Stock
900,705
6,721
ROPER TECHNOLOGIES INC
Common Stock
3,305,791
9,172
ROPER TECHNOLOGIES INC
Common Stock
4,511,340
17,106
ROSS STORES INC
Common Stock
1,954,874
62,059
ROSS STORES INC
Common Stock
7,092,103
13,906
S&P GLOBAL INC
Common Stock
6,562,659
29,614
SALESFORCE.COM INC
Common Stock
7,525,806
7,837
SALESFORCE.COM INC
Common Stock
1,991,617
46,258
SALESFORCE.COM INC
Common Stock
11,755,546
16,388
SEA LTD
Common Stock
3,666,159
70,885
SEA LTD
Common Stock
15,857,683
32,269
SEAGEN INC
Common Stock
4,988,787
163,141
SEAWORLD ENTERTAINMENT INC
Common Stock
10,581,325
11,052
SERVICENOW INC
Common Stock
7,173,964
35,589
SERVICENOW INC
Common Stock
23,101,176
29,864
SHERWIN-WILLIAMS CO/THE
Common Stock
10,516,906
1,753
SHERWIN-WILLIAMS CO/THE
Common Stock
617,336
28,767
SHERWIN-WILLIAMS CO/THE
Common Stock
10,130,587
1,929
SHOPIFY INC
Common Stock
2,656,985
4,787
SHOPIFY INC
Common Stock
6,593,566
469,282
SLM CORP
Common Stock
9,230,777
264,897
SNAP INC
Common Stock
12,458,106
5,606
SNOWFLAKE INC
Common Stock
1,899,033
121,126
SOUTHWEST AIRLINES CO
Common Stock
5,189,038
12,965
SPOTIFY TECHNOLOGY SA
Common Stock
3,034,199
49,874
STANLEY BLACK & DECKER INC
Common Stock
9,407,234
15,322
STARBUCKS CORP
Common Stock
1,792,214
19,467
STARBUCKS CORP
Common Stock
2,277,055
9,031
STERIS PLC
Common Stock
2,198,236
25,796
STRYKER CORP
Common Stock
6,898,366
10,115
SYNOPSYS INC
Common Stock
3,727,378
28,198
SYNOPSYS INC
Common Stock
10,390,963
27,161
TAIWAN SEMICONDUCTOR MANUFACTU
Common Stock
3,267,740
8,310
TAKE-TWO INTERACTIVE SOFTWARE
Common Stock
1,476,853
11,517
TE CONNECTIVITY LTD
Common Stock
1,858,153
644,460
TECHNIPFMC PLC
Common Stock
3,815,203
6,592
TELEFLEX INC
Common Stock
2,165,340
80,832
TENCENT HOLDINGS LTD
Common Stock
4,712,506
517,591
TERADATA CORP
Common Stock
21,982,090
30,324
TESLA INC
Common Stock
32,045,797
8,166
TESLA INC
Common Stock
8,629,665
23,591
TEXAS INSTRUMENTS INC
Common Stock
4,446,196
60,680
TEXAS INSTRUMENTS INC
Common Stock
11,436,360
18,885
THERMO FISHER SCIENTIFIC INC
Common Stock
12,600,827
9,597
THERMO FISHER SCIENTIFIC INC
Common Stock
6,403,502
18,174
THERMO FISHER SCIENTIFIC INC
Common Stock
12,126,420
23,907
TJX COS INC/THE
Common Stock
1,815,019
166,712
TJX COS INC/THE
Common Stock
12,656,775
64,711
T-MOBILE US INC
Common Stock
7,505,182
16,385
T-MOBILE US INC
Common Stock
1,900,332
3,976
TOAST INC
Common Stock
138,007
65
48,469
TRANSUNION
Common Stock
5,747,454
13,476
TRANSUNION
Common Stock
1,597,984
5,018
TWILIO INC
Common Stock
1,321,440
59,242
UBER TECHNOLOGIES INC
Common Stock
2,484,017
76,497
UNION PACIFIC CORP
Common Stock
19,271,889
23,267
UNITEDHEALTH GROUP INC
Common Stock
11,683,291
38,523
UNITEDHEALTH GROUP INC
Common Stock
19,343,939
37,933
UNITEDHEALTH GROUP INC
Common Stock
19,047,677
159,739
US BANCORP
Common Stock
8,972,540
10,138
VEEVA SYSTEMS INC
Common Stock
2,590,056
38,658
VERISK ANALYTICS INC
Common Stock
8,842,244
775,717
VERIZON COMMUNICATIONS INC
Common Stock
40,306,255
167,278
VERIZON COMMUNICATIONS INC
Common Stock
8,691,765
13,715
VERTEX PHARMACEUTICALS INC
Common Stock
3,011,814
26,926
VERTEX PHARMACEUTICALS INC
Common Stock
5,912,950
359,441
VERTIV HOLDINGS CO
Common Stock
8,975,242
112,499
VF CORP
Common Stock
8,237,177
195,073
VICI PROPERTIES INC
Common Stock
5,873,648
60,756
VISA INC
Common Stock
13,166,433
107,729
VISA INC
Common Stock
23,345,952
40,582
VULCAN MATERIALS CO
Common Stock
8,424,012
22,235
WALT DISNEY CO/THE
Common Stock
3,443,979
79,870
WALT DISNEY CO/THE
Common Stock
12,371,064
126,979
WELLS FARGO & CO
Common Stock
6,092,452
704,105
WELLS FARGO & CO
Common Stock
33,782,958
976,646
WILLIAMS COS INC/THE
Common Stock
25,431,862
39,268
WILLIS TOWERS WATSON PLC
Common Stock
9,325,757
27,648
WORKDAY INC
Common Stock
7,552,881
35,883
ZOETIS INC
Common Stock
8,756,528
25,803
ZOETIS INC
Common Stock
6,296,706
22,998
ZOOM VIDEO COMMUNICATIONS INC
Common Stock
4,229,562
—
Cash
Cash
547
6,386,382
EB Temporary Investment Fund*
Common Collective Trust Fund
6,386,382
5,726,201
EB Temporary Investment Fund*
Common Collective Trust Fund
5,726,201
2,882,676
EB Temporary Investment Fund*
Common Collective Trust Fund
2,882,676
13,430,735
EB Temporary Investment Fund*
Common Collective Trust Fund
13,430,735
10,176,739
EB Temporary Investment Fund*
Common Collective Trust Fund
10,176,739
Large Cap Growth Fund Subtotal
$
4,064,265,896
Notes receivable from participants
Prime rate as of the month end prior to loan request date plus 1%
$
365,058,309
Total Assets Held in the Plan
$
28,766,693,303
*Party-in-interest
**Represents fair value for all investments with the exception of GICs where Current Value represents contract value.
The Plan. Pursuant to the requirements of the Securities Exchange Act of 1934, the trustees (or other persons who administer the employee benefit plan) have duly caused this annual report to be signed on its behalf by the undersigned hereunto duly authorized.
CVS HEALTH FUTURE FUND 401(k) PLAN
Date:
June 23, 2022
By:
/s/ JAMES D. CLARK
James D. Clark
Senior Vice President, Controller and Chief Accounting Officer