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, 2020 and 2019, 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, 2020 and 2019, 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
The accompanying supplemental schedule of assets (held at end of year) as of December 31, 2020, 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 24, 2021
1
CVS HEALTH FUTURE FUND 401(k) PLAN
Statements of Net Assets Available for Benefits
December 31, 2020 and 2019
2020
2019
Assets:
Investments at fair value:
Cash
$
165
$
39,956
Mutual funds (Note 2 (b))
8,766,302,034
5,153,541,092
Common stock (Note 2 (b))
2,862,966,978
2,242,470,849
Corporate bonds (Note 2 (b))
545,382,430
—
U.S. Government securities (Note 2 (b))
623,000,895
—
Other securities (Note 2 (b))
41,058,186
—
Common collective trust funds (Note 2 (b))
8,793,173,189
4,040,055,975
Total investments at fair value
21,631,883,877
11,436,107,872
Fully benefit responsive investments at contract value:
Total fully benefit responsive investments at contract value
2,954,581,257
989,054,330
Total investments
24,586,465,134
12,425,162,202
Receivables:
Interest and dividends (Note 2 (g))
7,543,858
1,029,693
Notes receivable from participants (Note 4)
363,506,833
230,672,338
Pending securities settlements (Note 2 (f))
—
5,378,836
Total receivables
371,050,691
237,080,867
Total assets
24,957,515,825
12,662,243,069
Liabilities:
Accrued expenses and other liabilities
(15,951,127)
(5,284,850)
Pending securities settlements (Note 2 (f))
(62,607,756)
—
Total liabilities
(78,558,883)
(5,284,850)
Net assets available for benefits
$
24,878,956,942
$
12,656,958,219
See accompanying notes to financial statements.
2
CVS HEALTH FUTURE FUND 401(k) PLAN
Statements of Changes in Net Assets Available for Benefits
Years Ended December 31, 2020 and 2019
2020
2019
Investment activity:
Interest and dividend income (Note 2 (g))
$
289,155,902
$
171,746,303
Realized and unrealized gains (losses) (Note 2 (g))
2,731,673,228
2,063,468,055
Total investment activity
3,020,829,130
2,235,214,358
Participant loan interest (Note 4)
19,274,835
11,630,000
Contributions:
Employer contributions (Note 1 (c))
511,021,063
310,545,982
Employee contributions (Note 1 (c))
892,865,915
549,703,560
Rollovers
90,614,571
63,454,449
Total contributions
1,494,501,549
923,703,991
Deductions:
Benefits paid to participants (Notes 1 (f) and 2 (c))
1,655,168,832
783,341,166
Administrative expenses (Note 1 (g))
30,758,930
17,587,788
Total deductions
1,685,927,762
800,928,954
Net increase in net assets for the year before transfers
2,848,677,752
2,369,619,395
Aetna assets transferred in (Note 1(a))
9,373,320,971
—
Net increase in net assets for the year
12,221,998,723
2,369,619,395
Net assets beginning of the year
12,656,958,219
10,287,338,824
Net assets end of the year
$
24,878,956,942
$
12,656,958,219
See accompanying notes to financial statements.
3
CVS HEALTH FUTURE FUND 401(k) PLAN
Notes to Financial Statements
Years Ended December 31, 2020 and 2019
1.Plan Description
The following description of the CVS Health Future Fund 401(k) Plan (the “Plan” or “Future Fund”), formerly the 401(k) Plan and the Employee Stock Ownership Plan of CVS Health Corporation and Affiliated Companies, 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 (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. The Benefit Plans Committee also appointed the Vanguard Group, Inc. as the recordkeeper to assist with administering the Plan (the “Recordkeeper”), effective January 1, 2019, and the Bank of New York Mellon as the trustee (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, CVS Health acquired Aetna Inc. On January 1, 2020, the Company merged the Aetna 401(k) Plan into the 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 the Future Fund effective January 1, 2020, which are included in the statements of net assets available for benefits as of December 31, 2020 and the statements of changes in net assets available for benefits for the year then ended.
(b)Eligibility
Employees are eligible to participate in the Plan upon attainment of age 18, effective January 1, 2019 (previously age 21), with the first payroll following 90 days of service as an employee.
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% in 2020 or 60% in 2019 of eligible compensation 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 2020 and $19,000 for 2019. 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 2020 and $6,000 for 2019.
4
Plan participants 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 participant's employment date, during which the participant 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 participant 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 $14,250 for 2020 and $14,000 for 2019.
(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.
(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 2020 and 2019. Recordkeeping and Trustee’s fees were paid by the Plan for 2020 and 2019.
(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 contains certain vesting schedules for Company matching contributions which could lead to forfeited matching contributions if a participant does not satisfy the criteria to vest the contributions on the termination date. If a former participant resumes employment and eligibility in the Plan within five years of termination, any amounts previously forfeited are restored to the participant’s account, but remain subject to the vesting provisions of the Plan. Forfeitures during any plan year are 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 CVS Health contributions. If forfeitures for any plan year are insufficient to restore the required forfeitures, CVS Health shall contribute the balance required for that purpose.
There were no cash forfeitures restored to participants upon resumption of employment in 2020 or 2019. The forfeitures for each year were applied to the administrative expenses of the Plan and in 2019 were also used to reduce CVS Health contributions to the Plan.
5
(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, securities of CVS Health, marketable mutual funds, security-backed investment contracts, common collective trusts, 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. Contributions to the CVS Health Stock Fund are limited to 20% of eligible compensation.
Diversified Bond Fund
This fund seeks a stable rate of return and capital appreciation through investment in high quality bonds and other debt instruments. 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.
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.
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. 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).
Inflation-Protected Fund
The investment seeks to provide inflation protection and income consistent with investment in inflation-indexed securities. The fund invests at least 80% of its assets in inflation-indexed bonds issued by the U.S. government, its agencies and instrumentalities, and corporations. It may invest in bonds of any maturity; however, its dollar-weighted average maturity is expected to be in the range of 7 to 20 years. At a minimum, all bonds purchased by the fund will be
6
rated “investment-grade” or, if unrated, will be considered by the advisor to be investment-grade. This investment was removed as a stand-alone investment option in the Plan effective January 1, 2020.
International Equity Fund
This fund 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 Wells Fargo (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.
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, Canada, and the Far East. 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 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. 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.
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. TIPS.
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.
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.
7
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. 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.
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. These funds aim to provide investors with an optimal level of return and risk, based solely on the target date. These funds 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.
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, 2020 and 2019 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 Cap Value Fund, the Growth and Income Fund and the Large Cap Growth Fund separately managed funds, are valued based upon quoted market prices.
8
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”) and fully benefit responsive security-backed investment contracts. Synthetic GICs are investment contracts issued by an insurance company, or other financial institution, backed by a portfolio of bonds that are owned by the Plan. Security-backed investment contracts are investment contracts issued by an insurance company backed by a portfolio underlying the contract that is maintained separately from the contract issuer’s general assets. 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)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.
(g)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.
(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.
9
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, 2020 and 2019.
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).
Security-backed investment contracts and 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.
10
The market value of CVS Health Common Stock was $68.30 and $74.29 per share at December 31, 2020 and 2019, respectively. The following tables set forth by level, within the fair value hierarchy, the Plan’s assets at fair value as of December 31, 2020 and 2019:
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
December 31, 2019
Level 1
Level 2
Level 3
Total
Cash
$
39,956
$
—
$
—
$
39,956
Mutual funds
5,153,541,092
—
—
5,153,541,092
Common stock
2,242,470,849
—
—
2,242,470,849
CCT funds
4,040,055,975
—
—
4,040,055,975
Total investments at fair value
$
11,436,107,872
$
—
$
—
11,436,107,872
Synthetic GICs
733,913,470
Security-backed investment contracts
255,140,860
Total investments at contract value
989,054,330
Total investments
$
12,425,162,202
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, 2020 and 2019, most of the Plan’s 401(k)-related assets were allocated among the investment options discussed in Note 1(i) based on employees’ elections. The investment options are recommended by an independent investment consultant and approved by the Investment Subcommittee. Notes Receivable repayments and interest earned are allocated to each of the investment funds based upon the participants’ contribution election percentages.
11
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 was amended and restated as of January 1, 2016. The Plan has received a determination letter from the Internal Revenue Service (“IRS”) dated February 16, 2017, stating that the Plan as amended and restated as of January 1, 2016, is qualified under Section 401(a) of the Code and, therefore, the related trust is exempt from taxation. Once qualified, the Plan is required to operate in conformity with the Code to maintain its qualification. Subsequent to this determination by the IRS, the Plan has been further amended. The Plan Administrator believes the Plan is being operated in compliance with the applicable requirements of the Code and, therefore, believes 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, 2020, 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.
8. Transactions with Parties-In-Interest
As of December 31, 2020 and 2019, 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, 2020 and 2019:
2020
2019
Net assets available for benefits per the financial statements
$
24,878,956,942
$
12,656,958,219
Adjustment from contract value to fair value for certain fully benefit responsive investment contracts
130,756,873
6,995,271
Net assets available for benefits per the Form 5500
$
25,009,713,815
$
12,663,953,490
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, 2020 and 2019:
2020
2019
Total additions per the financial statements
$
13,907,926,485
$
3,170,548,349
Net change on adjustment from contract value to fair value for certain fully benefit responsive investment contracts
123,761,602
18,118,232
Total income per the Form 5500
$
14,031,688,087
$
3,188,666,581
12
10. Investment Contracts with Insurance Companies
The Plan holds a portfolio of investment contracts which could include separate account guaranteed investment contracts and 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.
Separate account guaranteed investment contracts and 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 separate account or collective fund. The bond portfolio is either owned by the contract issuer and segregated in a separate account for the benefit of the Plan (separate account guaranteed investment contract) or 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 quarterly 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, 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:
•Material amendments to the Plan’s structure or administration;
•Complete or partial termination of the Plan, including a merger with another plan;
•The failure of the Plan to qualify for exemption from federal income taxes or any required prohibited transaction exemption under ERISA;
•The redemption of all or a portion of the interests in the Plan at the direction of the plan sponsor, including 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, the bankruptcy or insolvency of the plan sponsor, the merger of the plan with another plan, or the plan sponsor’s establishment of another tax qualified defined contribution plan;
•Any change in law, regulation, ruling, administrative or judicial position, or accounting requirement, applicable to the Plan;
•Changes to competing investment options; and
•The delivery of any communication to plan participants to influence a participant not to invest in the stable value option.
At this time, the occurrence of any such market value adjustment event is not probable.
Note 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 24, 2021, 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.
13
CVS HEALTH FUTURE FUND 401(k) PLAN
SUPPLEMENTAL SCHEDULE
Schedule H, Line 4i - Schedule of Assets (Held at End of Year)
December 31, 2020
Plan Number: 017 EIN 05-0494040
Fund
Par value /number of shares
Identity of issue
Description
Current Value**
Small Cap Growth Fund
22,687,096
Vanguard Explorer Fund
Mutual Fund
$
391,951,066
Small Cap Index Fund
51,191,607
Vanguard Small Cap Index Fund
Mutual Fund
776,985,129
Mid Cap Index Fund
143,332,038
Vanguard Mid Cap Index Fund
Mutual Fund
2,221,652,462
International Equity Index Fund
185,666,539
Vanguard Developed Markets Index Fund Institutional Shares
Mutual Fund
2,498,073,847
Inflation-Protected Bond Fund
6,429,862
Vanguard Inflation-Protected Securities Admiral Fund
Mutual Fund
77,205,428
Socially Responsible Fund
3,302,420
Large Cap Equity Neuberger Berman
Mutual Fund
54,263,969
Global Equity Fund
45,867,288
American Funds-New Perspective Fund
Mutual Fund
800,812,951
Real Asset Index Fund
10,885,939
Real Asset Index Fund
Mutual Fund
112,562,006
Emerging Markets Index Fund
46,033,938
Emerging Markets Index Fund
Mutual Fund
521,682,920
Core Equity Fund
320,343,700
Vanguard Institutional 500 Index Trust Fund
Common Collective Trust Fund
4,987,711,046
U.S. Bond Index Fund
198,332,900
Vanguard Total Bond Market Index Trust Fund
Common Collective Trust Fund
2,323,901,293
CVS Health Common Stock Fund
15,665,803
CVS Health Common Stock
CVS Health Corporation Common Stock
1,069,974,345
14,436,572
EB Temporary Investment Fund II
Common Collective Trust Fund
14,436,572
CVS Health Common Stock Fund Subtotal
1,084,410,917
2,439,805
EB Temporary Investment Fund II*
Common Collective Trust Fund
2,439,805
Stable Value Fund
Invesco Voya Core, Invesco Floating Portfolio
Separately Managed Fund
82,000
AEP TEXAS INC
Synthetic
$
84,583
185,000
AEP TRANSMISSION CO LLC
Synthetic
224,293
1,000,000
AGL ENERGY LTD SER C GTD SR NT
Synthetic
1,152,622
215,000
AES CORP/THE 144A
Synthetic
243,038
85,000
AES CORP/THE 144A
Synthetic
85,730
258,000
AT&T INC
Synthetic
313,066
315,000
AT&T INC
Synthetic
336,616
155,000
AT&T INC
Synthetic
167,105
504,000
AT&T INC
Synthetic
511,544
275,000
AT&T INC
Synthetic
280,581
453,000
AT&T INC 144A
Synthetic
464,388
121,000
AT&T INC 144A
Synthetic
126,437
375,000
ABBVIE INC
Synthetic
470,909
438,000
ABBVIE INC
Synthetic
550,161
365,000
ABBVIE INC
Synthetic
449,160
374,000
ABBVIE INC
Synthetic
407,808
274,000
ABBVIE INC
Synthetic
303,003
263,000
ABBVIE INC
Synthetic
281,882
140,000
ABBVIE INC
Synthetic
169,431
129,000
ABBVIE INC
Synthetic
163,800
1,000,000
ABERDEEN ASIA-PACIFIC
Synthetic
1,092,297
87,000
ACTIVISION BLIZZARD INC
Synthetic
85,033
1,000,000
AGNICO EAGLE MINES LIMITED
Synthetic
1,085,820
108,000
AIR CANADA 2020-2 CLASS A 144A
Synthetic
115,398
95,000
ALABAMA POWER CO
Synthetic
111,459
235,000
ALASKA AIRLINES 2020-1 CL 144A
Synthetic
258,812
492,000
ALIBABA GROUP HOLDING LTD
Synthetic
541,872
520,000
ALLEGANY PARK CLO LT 1A A 144A
Synthetic
520,803
87,000
ALLIANT ENERGY FINANCE LL 144A
Synthetic
93,214
303,000
ALPHABET INC
Synthetic
297,383
71,000
ALTRIA GROUP INC
Synthetic
85,065
14
55,000
ALTRIA GROUP INC
Synthetic
72,467
255,000
ALTRIA GROUP INC
Synthetic
357,245
297,000
ALTRIA GROUP INC
Synthetic
351,122
600,000
AMAZON.COM INC
Synthetic
622,542
89,045
AMERICAN AIRLINES 2016-2 CLASS
Synthetic
86,827
143,000
AMERICAN EXPRESS CO
Synthetic
166,032
54,000
AMERICAN INTERNATIONAL GROUP I
Synthetic
64,794
159,000
AMERICAN INTERNATIONAL GROUP I
Synthetic
181,306
30,000
AMERICAN INTERNATIONAL GROUP I
Synthetic
40,026
81,000
AMERICAN INTERNATIONAL GROUP I
Synthetic
92,593
200,000
AMERICAN TRANSMISSION SYS 144A
Synthetic
244,563
1,000,000
AMERICAN TRANSMISSION CO LLC
Synthetic
1,131,586
500,000
AMERICREDIT AUTOMOBILE REC 2 B
Synthetic
505,640
750,000
AMERICREDIT AUTOMOBILE REC 1 B
Synthetic
776,271
400,000
AMERICREDIT AUTOMOBILE REC 2 B
Synthetic
411,278
650,000
AMERICREDIT AUTOMOBILE RE 1 A3
Synthetic
655,983
52,000
AMPHENOL CORP
Synthetic
63,656
32,000
ANALOG DEVICES INC
Synthetic
36,376
70,000
ANGLO AMERICAN CAPITAL PL 144A
Synthetic
76,151
240,000
ANHEUSER-BUSCH COS LLC / ANHEU
Synthetic
271,289
323,000
ANHEUSER-BUSCH COS LLC / ANHEU
Synthetic
410,303
36,000
ANHEUSER-BUSCH COS LLC / ANHEU
Synthetic
46,808
95,000
ANHEUSER-BUSCH INBEV WORLDWIDE
Synthetic
129,062
69,000
ANHEUSER-BUSCH INBEV WORLDWIDE
Synthetic
78,570
509,000
ANHEUSER-BUSCH INBEV WORLDWIDE
Synthetic
624,519
710,000
APIDOS CLO XXV 25A A1R 144A
Synthetic
710,003
176,000
APPALACHIAN POWER CO
Synthetic
211,239
136,000
APPLE INC
Synthetic
171,822
185,000
APPLE INC
Synthetic
231,903
255,000
APPLE INC
Synthetic
321,646
550,000
APPLE INC
Synthetic
583,740
134,000
ARCH CAPITAL GROUP LTD
Synthetic
155,945
1,000,000
ARCTIC SLOPE REGIONAL CORP
Synthetic
1,039,866
190,000
ARIZONA PUBLIC SERVICE CO
Synthetic
208,805
1,000,000
ARTHUR J GALLAGHER &CO SR NT Q
Synthetic
1,090,134
183,000
ASSURANT INC
Synthetic
210,206
200,000
ASSURANT INC
Synthetic
222,544
264,000
ATHENE GLOBAL FUNDING 144A
Synthetic
283,155
694,000
ATHENE GLOBAL FUNDING 144A
Synthetic
694,522
127,000
AVALONBAY COMMUNITIES INC
Synthetic
136,588
81,000
AVANGRID INC
Synthetic
88,674
61,000
AVIATION CAPITAL GROUP LL 144A
Synthetic
63,561
109,000
AVIATION CAPITAL GROUP LL 144A
Synthetic
115,019
273,000
AVIATION CAPITAL GROUP LL 144A
Synthetic
302,229
270,000
BAT CAPITAL CORP
Synthetic
297,371
246,000
BAT CAPITAL CORP
Synthetic
255,359
119,000
BAT CAPITAL CORP
Synthetic
123,253
119,000
BAT CAPITAL CORP
Synthetic
124,122
132,000
TRUIST FINANCIAL CORP
Synthetic
142,842
117,000
TRUIST FINANCIAL CORP
Synthetic
121,435
350,000
BHMS 2018-ATLS ATLS A 144A
Synthetic
340,348
136,000
BMW US CAPITAL LLC 144A
Synthetic
146,645
497,000
BPCE SA 144A
Synthetic
562,524
200,000
BANCO SANTANDER SA
Synthetic
210,579
200,000
BANCO SANTANDER SA
Synthetic
214,824
200,000
BANCO SANTANDER SA
Synthetic
213,505
236,000
BANK OF AMERICA CORP
Synthetic
261,974
330,000
BANK OF AMERICA CORP
Synthetic
387,079
160,000
BANK OF AMERICA CORP
Synthetic
180,366
239,000
BANK OF AMERICA CORP
Synthetic
277,261
274,000
BANK OF AMERICA CORP
Synthetic
311,938
300,000
BANK OF AMERICA CORP
Synthetic
357,224
15
195,000
BANK OF AMERICA CORP
Synthetic
212,314
400,000
BANK OF AMERICA CORP
Synthetic
524,790
35,000
BANK OF AMERICA CORP
Synthetic
36,681
673,000
BANK OF AMERICA CORP
Synthetic
701,196
261,000
BANK OF AMERICA CORP
Synthetic
263,699
461,000
BANK OF AMERICA CORP
Synthetic
466,015
267,000
BANK OF AMERICA CORP
Synthetic
270,555
259,000
BANK OF MONTREAL 144A
Synthetic
260,733
122,000
BANK OF NOVA SCOTIA/THE
Synthetic
142,245
98,000
BANK OF NOVA SCOTIA/THE
Synthetic
108,050
530,000
BANC OF AMERICA COMMERC BNK3 B
Synthetic
584,911
1,100,000
BANK 2020-BNK25 BN25 A5
Synthetic
1,200,433
430,000
BANK 2019-BNK21 BN21 A5
Synthetic
476,033
700,000
BANK 2017-BNK8 BNK8 A4
Synthetic
798,767
259,000
BANQUE FEDERATIVE DU CRED 144A
Synthetic
259,729
200,000
BARCLAYS PLC
Synthetic
216,708
123,000
BARCLAYS BANK PLC 144A
Synthetic
127,926
1,555,556
BASIN ELEC PWR COOP
Synthetic
1,774,443
250,000
BEECHWOOD PARK CLO 1A A1 144A
Synthetic
250,384
349,000
BECTON DICKINSON AND CO
Synthetic
379,389
126,000
BECTON DICKINSON AND CO
Synthetic
149,671
320,000
BENCHMARK 2019-B10 MORT B10 A4
Synthetic
373,886
1,500,000
BENEFIT STREET PAR 12A A1 144A
Synthetic
1,500,014
600,000
BENEFIT STREET PART 19A A 144A
Synthetic
601,181
208,000
BERKSHIRE HATHAWAY ENERGY 144A
Synthetic
207,971
100,000
BERKSHIRE HATHAWAY FINANCE COR
Synthetic
132,840
208,000
BLACK HILLS CORP
Synthetic
227,981
148,000
BLACK HILLS CORP
Synthetic
160,997
80,000
BLACK HILLS CORP
Synthetic
87,231
193,000
BLACK HILLS CORP
Synthetic
202,703
233,000
BNP PARIBAS SA 144A
Synthetic
238,202
233,000
BNP PARIBAS SA 144A
Synthetic
254,983
320,000
BNP PARIBAS SA 144A
Synthetic
341,095
484,000
BOEING CO/THE
Synthetic
499,227
178,000
BOEING CO/THE
Synthetic
185,146
134,000
BOEING CO/THE
Synthetic
152,748
348,000
BOEING CO/THE
Synthetic
380,845
302,000
BOSTON PROPERTIES LP
Synthetic
303,249
126,000
BOSTON PROPERTIES LP
Synthetic
137,300
168,000
BOSTON PROPERTIES LP
Synthetic
185,223
156,000
BP CAPITAL MARKETS AMERICA INC
Synthetic
176,897
120,000
BP CAPITAL MARKETS AMERICA INC
Synthetic
131,141
250,000
BP CAPITAL MARKETS AMERICA INC
Synthetic
298,769
494,000
BRISTOL-MYERS SQUIBB CO
Synthetic
629,434
117,000
BRISTOL-MYERS SQUIBB CO
Synthetic
117,577
117,000
BRISTOL-MYERS SQUIBB CO
Synthetic
119,451
121,000
BRITISH AIRWAYS 2020-1 CL 144A
Synthetic
129,451
356,000
BROADRIDGE FINANCIAL SOLUTIONS
Synthetic
389,955
272,000
BROOKFIELD FINANCE INC
Synthetic
316,396
57,000
BROOKFIELD FINANCE INC
Synthetic
68,261
345,000
BROOKFIELD FINANCE LLC
Synthetic
366,235
149,000
BURLINGTON NORTHERN SANTA FE L
Synthetic
215,245
195,000
BURLINGTON NORTHERN SANTA FE L
Synthetic
249,182
284,000
CCL INDUSTRIES INC 144A
Synthetic
309,714
1,863,978
CD 2016-CD1 MORTGAGE TR CD1 XA
Synthetic
107,901
1,200,000
CIFC FUNDING 2020-I 2A A1 144A
Synthetic
1,205,302
58,000
CIGNA CORP
Synthetic
62,702
77,000
CIGNA CORP
Synthetic
100,319
90,000
CIGNA CORP
Synthetic
123,762
400,000
CIGNA CORP
Synthetic
527,234
380,000
CIFC FUNDING 2019-V 6A A1 144A
Synthetic
380,707
438,237
COMM 2014-UBS5 MORTGA UBS5 ASB
Synthetic
458,216
16
3,767,912
COMM 2016-COR1 MORTGAG COR1 XA
Synthetic
211,444
1,320,000
CSAIL 2017-CX9 COMMERCI CX9 A5
Synthetic
1,478,768
4,915,845
COMM 2012-CCRE5 MORTGAG CR5 XA
Synthetic
119,516
1,845,812
COMM 2012-CCRE2 MORTGAG CR2 XA
Synthetic
33,133
568,148
COMM 2012-CCRE3 MORTGAG CR3 A3
Synthetic
582,487
2,561,887
COMM 2012-CCRE4 MORTGAG CR4 XA
Synthetic
62,097
237,608
COMM 2013-CCRE7 MORTGAG CR7 A4
Synthetic
250,034
340,000
COMM 2013-CCRE11 MORTGA CR11 B
Synthetic
369,447
172,000
COMM 2013-CCRE13 MORTG CR13 A4
Synthetic
188,546
130,000
CSX CORP
Synthetic
182,281
12,000
CVS HEALTH CORP
Synthetic
13,589
91,000
CVS HEALTH CORP
Synthetic
108,286
57,000
CVS HEALTH CORP
Synthetic
63,071
680,812
CRG ISSUER 2017
Synthetic
698,973
122,000
CAMDEN PROPERTY TRUST
Synthetic
135,488
255,000
CANADIAN NATURAL RESOURCES LTD
Synthetic
335,075
60,000
CANADIAN NATURAL RESOURCES LTD
Synthetic
83,158
299,000
CANADIAN PACIFIC RAILWAY CO
Synthetic
323,696
166,000
CAPITAL ONE FINANCIAL CORP
Synthetic
182,357
90,000
CARGILL INC 144A
Synthetic
95,444
105,000
CARGILL INC 144A
Synthetic
128,441
1,000,000
CARMAX AUTO SUPERSTORES INC
Synthetic
1,067,846
328,648
CARMAX AUTO OWNER TRUST 2 4 A3
Synthetic
335,573
600,000
CARMAX AUTO OWNER TRUST 20 4 B
Synthetic
628,142
850,000
CARMAX AUTO OWNER TRUST 20 2 B
Synthetic
894,280
315,000
DUKE ENERGY PROGRESS LLC
Synthetic
389,706
261,000
CARRIER GLOBAL CORP
Synthetic
281,629
2,000,000
CASEYS GEN STORES INC
Synthetic
2,166,070
1,000,000
CASEYS GEN STORES INC
Synthetic
1,103,784
625,000
CELULOSA ARAUCO Y CONSTIT 144A
Synthetic
703,131
77,000
CENTERPOINT ENERGY HOUSTON ELE
Synthetic
83,543
7,219
CHASE FUNDING LOAN ACQUI C2 1A
Synthetic
6,981
1,433
CHASE FUNDING TRUST SERI 5 2A2
Synthetic
1,374
335,000
CHENIERE CORPUS CHRISTI HOLDIN
Synthetic
389,865
115,000
CHENIERE CORPUS CHRISTI HOLDIN
Synthetic
128,025
46,000
CHEVRON CORP
Synthetic
48,313
650,000
CITIGROUP COMMERCIAL MOR C2 A4
Synthetic
709,209
133,000
CITIGROUP INC
Synthetic
187,651
100,000
CITIGROUP INC
Synthetic
113,636
232,000
CITIGROUP INC
Synthetic
261,134
150,000
CITIGROUP INC
Synthetic
170,056
84,000
CITIGROUP INC
Synthetic
94,967
113,000
CITIGROUP INC
Synthetic
122,851
113,000
CITIGROUP INC
Synthetic
120,442
363,000
CITIGROUP COMMERCIAL M GC21 A5
Synthetic
396,732
370,000
CITIGROUP COMMERCIAL MORT P8 B
Synthetic
412,888
207,000
CLEVELAND ELECTRIC ILLUMI 144A
Synthetic
220,163
435,000
COCA-COLA CO/THE
Synthetic
463,338
550,000
COLOMBIA GOVERNMENT INTERNATIO
Synthetic
612,150
23,000
COLUMBIA PROPERTY TRUST OPERAT
Synthetic
24,257
42,000
COLUMBIA PROPERTY TRUST OPERAT
Synthetic
43,902
173,000
COMCAST CORP
Synthetic
218,394
180,000
COMCAST CORP
Synthetic
196,917
200,000
COMCAST CORP
Synthetic
231,271
595,000
COMCAST CORP
Synthetic
590,974
255,000
COMMONWEALTH BANK OF AUST 144A
Synthetic
280,146
300,000
COMMONWEALTH EDISON CO
Synthetic
361,171
180,000
BURLINGTON RESOURCES LLC
Synthetic
254,393
35,000
CONSOLIDATED EDISON CO OF NEW
Synthetic
46,085
88,000
CONSOLIDATED EDISON CO OF NEW
Synthetic
108,112
650,000
COOPERATIEVE RABOBANK UA
Synthetic
724,459
510,000
COOPERATIEVE RABOBANK UA
Synthetic
582,051
17
135,000
CORNING INC
Synthetic
185,325
700,000
CORPORATE OFFICE PROPERTIES LP
Synthetic
729,739
259,000
CREDIT AGRICOLE SA/LONDON 144A
Synthetic
268,637
84,000
CREDIT SUISSE GROUP AG 144A
Synthetic
98,866
524,000
CREDIT SUISSE GROUP FUNDING GU
Synthetic
553,444
423,000
CREDIT SUISSE AG 144A
Synthetic
475,784
82,000
CROWN CASTLE INTERNATIONAL COR
Synthetic
99,670
150,000
CUMMINS INC
Synthetic
153,080
428,108
DBUBS 2011-LC2 MO LC2A A4 144A
Synthetic
430,275
800,000
DBJPM 20-C9 MORTGAGE TRUS C9 C
Synthetic
846,054
540,000
DBWF MORTGAGE TRUST LCM D 144A
Synthetic
445,177
320,000
DBJPM 16-C3 MORTGAGE C3 D 144A
Synthetic
244,379
37,000
DTE ELECTRIC CO
Synthetic
40,293
190,000
DTE ELECTRIC CO
Synthetic
211,706
199,000
DAIMLER FINANCE NORTH AME 144A
Synthetic
201,776
187,000
DAIMLER FINANCE NORTH AME 144A
Synthetic
200,212
235,000
DAIMLER FINANCE NORTH AME 144A
Synthetic
246,791
400,000
DANSKE BANK A/S 144A
Synthetic
417,583
2,000,000
DELOITTE LLP
Synthetic
2,112,897
53,470
DELTA AIR LINES 2020-1 CLASS A
Synthetic
50,789
89,751
DELTA AIR LINES 2002-1 CLASS G
Synthetic
92,229
234,000
DEUTSCHE BANK AG/NEW YORK NY
Synthetic
253,595
455,000
DIAMONDBACK ENERGY INC
Synthetic
478,273
190,000
DIAMONDBACK ENERGY INC
Synthetic
202,861
45,000
DIAMONDBACK ENERGY INC
Synthetic
48,074
174,000
DIGITAL REALTY TRUST LP
Synthetic
203,691
275,000
DISCOVER BANK
Synthetic
292,325
583,000
DISCOVER CARD EXECUTION A5 A5
Synthetic
595,768
42,000
WALT DISNEY CO/THE
Synthetic
43,897
354,000
WALT DISNEY CO/THE
Synthetic
416,124
420,000
DISCOVERY COMMUNICATIONS LLC
Synthetic
545,514
39,000
DOLLAR GENERAL CORP
Synthetic
44,771
200,000
DOMINION ENERGY INC
Synthetic
207,037
165,000
DOMINION ENERGY INC
Synthetic
168,575
170,000
DOMINION ENERGY INC
Synthetic
179,271
250,000
DOW CHEMICAL CO/THE
Synthetic
301,860
258,000
DOW CHEMICAL CO/THE
Synthetic
264,767
250,000
DRYDEN 49 SENIOR LO 49A A 144A
Synthetic
250,005
400,000
DRYDEN SENIOR LOAN 47A A2 144A
Synthetic
399,151
225,000
DUKE ENERGY CORP
Synthetic
243,637
148,000
DUKE REALTY LP
Synthetic
165,783
63,000
DUKE REALTY LP
Synthetic
74,250
575,000
DUKE ENERGY CAROLINAS LLC
Synthetic
710,347
373,000
DUKE ENERGY CAROLINAS LLC
Synthetic
418,029
120,000
DUKE ENERGY CAROLINAS LLC
Synthetic
144,908
202,000
DUKE ENERGY PROGRESS LLC
Synthetic
256,494
188,000
DUKE ENERGY PROGRESS LLC
Synthetic
227,041
176,000
DUKE ENERGY PROGRESS LLC
Synthetic
204,438
115,000
DUKE ENERGY INDIANA LLC
Synthetic
130,243
119,000
DUQUESNE LIGHT HOLDINGS I 144A
Synthetic
123,091
400,080
ELFI GRADUATE LOAN PR A A 144A
Synthetic
411,331
450,000
ECOPETROL SA
Synthetic
580,950
348,000
EMERSON ELECTRIC CO
Synthetic
350,276
650,000
ABU DHABI GOVERNMENT INTE 144A
Synthetic
733,980
33,000
ENABLE MIDSTREAM PARTNERS LP
Synthetic
32,743
83,000
EMPOWER FINANCE 2020 LP 144A
Synthetic
83,623
95,000
ENERGY TRANSFER LP
Synthetic
104,591
214,000
ENTERGY CORP
Synthetic
235,873
101,000
ENTERGY CORP
Synthetic
109,078
112,000
ENTERGY LOUISIANA LLC
Synthetic
145,856
360,000
ENTERGY LOUISIANA LLC
Synthetic
464,358
93,000
ENTERGY TEXAS INC
Synthetic
108,609
18
109,000
EQUINOR ASA
Synthetic
123,566
25,000
ESSENTIAL UTILITIES INC
Synthetic
27,102
100,000
ESSEX PORTFOLIO LP
Synthetic
109,706
238,000
EVERSOURCE ENERGY
Synthetic
256,849
176,000
EXELON GENERATION CO LLC
Synthetic
191,913
75,000
EXELON CORP
Synthetic
88,746
110,000
EXELON CORP
Synthetic
146,271
95,000
EXXON MOBIL CORP
Synthetic
118,308
125,000
FMC CORP
Synthetic
142,304
250,000
FMC CORP
Synthetic
324,119
162,000
FAIRFAX FINANCIAL HOLDINGS LTD
Synthetic
181,313
109,000
FAIRFAX US INC 144A
Synthetic
119,464
591,429
FANNIE MAE CONNECTICUT C04 1M2
Synthetic
615,587
669,821
FANNIE MAE CONNECTICUT C06 1M2
Synthetic
701,268
2,766
FHLMC POOL #G0-3073
Synthetic
3,198
243,818
FHLMC POOL #G0-4540
Synthetic
288,788
109,357
FHLMC POOL #G0-5816
Synthetic
126,219
1,854,776
FHLMC POOL #G0-7921
Synthetic
2,010,683
108,387
FHLMC POOL #G0-8655
Synthetic
117,876
413,381
FHLMC POOL #G0-8693
Synthetic
442,286
134,338
FHLMC POOL #G0-8707
Synthetic
145,613
100,586
FHLMC POOL #C9-1403
Synthetic
107,247
8,720
FHLMC POOL #1H-2548
Synthetic
9,173
14,303
FHLMC POOL #1H-2601
Synthetic
15,114
141,131
FHLMC POOL #A9-6423
Synthetic
164,143
108,222
FHLMC POOL #2B-6384
Synthetic
112,836
152,536
FHLMC POOL #2B-6451
Synthetic
159,057
913,444
FHLMC POOL #ZA-6681
Synthetic
989,427
82,598
FHLMC POOL #Z4-0007
Synthetic
97,865
100,623
FHLMC POOL #U8-0035
Synthetic
109,138
112,716
FHLMC POOL #Q0-2669
Synthetic
128,550
31,465
FHLMC POOL #Q0-4674
Synthetic
34,311
79,203
FHLMC POOL #Q0-4636
Synthetic
86,503
70,181
FHLMC POOL #Q0-5292
Synthetic
77,373
151,723
FHLMC POOL #Q0-5793
Synthetic
165,986
896,999
FHLMC POOL #U9-9115
Synthetic
980,384
1,754,638
FHLMC POOL #U9-9163
Synthetic
1,903,765
1,301,030
FHLMC MULTICLASS STRIP 326 350
Synthetic
1,416,622
687,912
FHLMC POOL #V8-3907
Synthetic
736,147
182,397
FHLMC POOL #Q3-2638
Synthetic
199,463
276,797
FHLMC POOL #Q3-3095
Synthetic
302,698
184,391
FHLMC POOL #Q3-6181
Synthetic
201,142
108,663
FHLMC POOL #Q3-6283
Synthetic
119,675
316,050
FHLMC POOL #Q3-6103
Synthetic
345,469
103,255
FHLMC POOL #Q3-6104
Synthetic
112,859
79,943
FHLMC POOL #Q3-6126
Synthetic
86,736
220,354
FHLMC POOL #Q3-7437
Synthetic
241,543
229,592
FHLMC POOL #Q3-7876
Synthetic
252,241
196,448
FHLMC POOL #Q3-8474
Synthetic
213,528
168,757
FHLMC POOL #Q4-0496
Synthetic
183,541
336,348
FHLMC POOL #Q4-1744
Synthetic
363,196
260,539
FHLMC POOL #Q4-1085
Synthetic
282,633
141,358
FHLMC POOL #Q4-1930
Synthetic
153,298
175,462
FHLMC POOL #Q4-1931
Synthetic
189,533
92,456
FHLMC POOL #Q4-4624
Synthetic
101,074
94,588
FHLMC POOL #Q4-4658
Synthetic
103,995
659,278
FHLMC POOL #Q4-6277
Synthetic
715,634
486,546
FHLMC POOL #Q4-9490
Synthetic
516,529
454,437
FHLMC POOL #G6-7706
Synthetic
496,682
330,027
FHLMC POOL #G6-7707
Synthetic
363,658
1,331,551
FHLMC POOL #G6-7709
Synthetic
1,455,035
727,979
FHLMC POOL #G6-7710
Synthetic
783,276
19
733,129
FHLMC POOL #G6-7712
Synthetic
820,636
130,694
FHLMC POOL #G6-7700
Synthetic
142,769
228,379
FHLMC POOL #G6-7702
Synthetic
251,934
942,734
FHLMC POOL #G6-7713
Synthetic
1,028,824
332,467
FHLMC POOL #Q5-0695
Synthetic
363,802
215,885
FHLMC POOL #Q5-4870
Synthetic
230,880
323,210
FHLMC POOL #Q5-9717
Synthetic
355,024
588,518
FHLMC POOL #Q5-9721
Synthetic
641,932
1,071,306
FHLMC POOL #G6-0250
Synthetic
1,171,546
154,659
FHLMC POOL #G6-0238
Synthetic
169,130
691,126
FHLMC POOL #G6-1748
Synthetic
755,221
571,846
FHLMC POOL #G6-1573
Synthetic
616,897
654,301
FHLMC POOL #G6-1594
Synthetic
699,251
1,562,601
FHLMC POOL #RA-1375
Synthetic
1,654,239
1,325,000
FEDERAL HOME LN BK CONS BD
Synthetic
1,444,910
1,412,917
FHLMC POOL #QA-4675
Synthetic
1,509,854
1,239,994
FHLMC POOL #QA-5182
Synthetic
1,324,918
23,384
FNMA GTD REMIC P/T 99-33 Z
Synthetic
26,282
846,932
FNMA GTD REMIC P/T 11-99 CZ
Synthetic
1,012,785
470,163
FNMA GTD REMIC P/T 11-122 TL
Synthetic
506,053
1,141,000
FNMA GTD REMIC P/T 12-30 ME
Synthetic
1,270,201
252,070
FNMA GTD REMIC P/T 12-110 CA
Synthetic
269,153
437,525
FNMA GTD REMIC P/T 13-20 HZ
Synthetic
530,444
650,000
FNMA GTD REMIC P/T 14-61 PY
Synthetic
742,551
108,295
FNMA GTD REMIC P/T 16-M11 AL
Synthetic
112,567
464,681
FNMA GTD REMIC P/T 18-27 EA
Synthetic
495,989
7,658,045
FNMA GTD REMIC P/T 19-M21 X2
Synthetic
818,026
34,255
FNMA POOL #0251366
Synthetic
38,581
111,000
FEDERAL REALTY INVESTMENT TRUS
Synthetic
116,019
71,966
FNMA POOL #0310015
Synthetic
83,344
120,475
FNMA POOL #0357342
Synthetic
140,365
10,658
FNMA POOL #0372188
Synthetic
11,542
98,452
FHLMC MULTICLASS MTG 3724 CM
Synthetic
112,284
1,661,782
FHLMC MULTICLASS MTG 3751 ME
Synthetic
1,852,088
786,435
FHLMC MULTICLASS MTG 3753 KZ
Synthetic
897,920
490,653
FHLMC MULTICLASS MTG 3843 JZ
Synthetic
619,062
530,000
FHLMC MULTICLASS MTG 3867 PL
Synthetic
625,463
1,728,000
FHLMC MULTICLASS MTG 3898 KD
Synthetic
1,982,354
280,000
FHLMC MULTICLASS MTG 3934 KB
Synthetic
332,722
1,741,584
FHLMC MULTICLASS MTG 4000 ZT
Synthetic
1,972,096
1,838,906
FHLMC MULTICLASS MTG 4048 CE
Synthetic
2,152,597
210,000
FHLMC MULTICLASS MTG 4235 QD
Synthetic
231,733
1,313,741
FHLMC MULTICLASS MTG 4310 BZ
Synthetic
1,479,354
2,600,000
FHLMC MULTICLASS MTG 4427 LB
Synthetic
2,964,973
433,909
FHLMC MULTICLASS MTG 4468 EV
Synthetic
443,933
349,000
FHLMC MULTICLASS MTG K052 A2
Synthetic
388,901
735,589
FHLMC MULTICLASS MTG 4634 ZM
Synthetic
997,248
166,094
FHLMC MULTICLASS MTG 4678 AB
Synthetic
169,722
771,394
FHLMC MULTICLASS MTG 4791 MT
Synthetic
773,402
25,314
FHLMC MULTICLASS MTG 4754 QA
Synthetic
27,154
910,341
FHLMC MULTICLASS MTG 4793 CD
Synthetic
954,986
926,000
FHLMC MULTICLASS MTG K735 A2
Synthetic
1,020,859
499,000
FHLMC MULTICLASS MTG K736 A2
Synthetic
537,289
411,382
FREDDIE MAC STRUCTURED DN3 M3
Synthetic
419,658
559,742
FREDDIE MAC STRUCTURED DNA3 M3
Synthetic
582,712
1,031,482
FREDDIE MAC STRUCTURED HQA2 M3
Synthetic
1,069,160
1,400,000
FREDDIE MAC STRUCTURED DNA2 M2
Synthetic
1,445,901
5,066
FNMA POOL #0535575
Synthetic
5,130
2,500
FNMA POOL #0545349
Synthetic
2,525
315,881
FNMA POOL #0633699
Synthetic
361,068
85,401
FNMA POOL #0AH0575
Synthetic
95,893
144,448
FNMA POOL #0AH1141
Synthetic
162,192
20
193,265
FNMA POOL #0AH1161
Synthetic
217,169
114,848
FNMA POOL #0AH4772
Synthetic
128,510
187,029
FNMA POOL #0AJ8122
Synthetic
206,145
86,858
FNMA POOL #0AJ9198
Synthetic
93,542
208,739
FNMA POOL #0AJ9611
Synthetic
227,591
103,118
FNMA POOL #0AL0998
Synthetic
116,044
239,776
FNMA POOL #0AL2528
Synthetic
261,863
342,751
FNMA POOL #0AL3414
Synthetic
384,736
70,390
FNMA POOL #0AL6134
Synthetic
74,827
141,020
FNMA POOL #0AL9424
Synthetic
153,334
223,234
FNMA POOL #0AP9631
Synthetic
240,592
84,375
FNMA POOL #0AQ4651
Synthetic
92,693
113,348
FNMA POOL #0AQ4697
Synthetic
123,274
92,164
FNMA POOL #0AS4227
Synthetic
101,120
103,289
FNMA POOL #0AS5322
Synthetic
108,974
554,306
FNMA POOL #0AS5018
Synthetic
603,341
204,044
FNMA POOL #0AS5082
Synthetic
222,103
172,783
FNMA POOL #0AS5091
Synthetic
182,284
242,352
FNMA POOL #0AS5144
Synthetic
255,675
315,747
FNMA POOL #0AS6187
Synthetic
342,976
170,963
FNMA POOL #0AS6477
Synthetic
185,335
251,327
FNMA POOL #0AS6542
Synthetic
274,771
394,149
FNMA POOL #0AS6612
Synthetic
430,916
173,588
FNMA POOL #0AS6611
Synthetic
189,780
87,565
FNMA POOL #0AS6937
Synthetic
95,078
133,986
FNMA POOL #0AS7321
Synthetic
142,495
153,520
FNMA POOL #0AS7440
Synthetic
163,407
132,256
FNMA POOL #0AS7441
Synthetic
140,659
123,802
FNMA POOL #0AS7444
Synthetic
132,060
119,083
FNMA POOL #0AS7469
Synthetic
129,482
328,841
FNMA POOL #0AS7613
Synthetic
356,517
1,076,628
FNMA POOL #0AS7742
Synthetic
1,177,063
467,482
FNMA POOL #0AU1292
Synthetic
498,387
87,923
FNMA POOL #0AW0797
Synthetic
97,671
182,277
FNMA POOL #0AW3059
Synthetic
204,586
280,346
FNMA POOL #0AZ1730
Synthetic
308,734
229,605
FNMA POOL #0AZ4420
Synthetic
250,975
26,783
FNMA GTD REMIC P/T 01-52 YZ
Synthetic
31,616
22,578
FHLMC MULTICLASS MTG 2519 ZD
Synthetic
25,776
69,935
FHLMC MULTICLASS MTG 2541 NE
Synthetic
80,843
26,929
FNMA GTD REMIC P/T 04-56 FE
Synthetic
27,044
30,673
FHLMC MULTICLASS MTG 2861 Z
Synthetic
36,206
271,811
FHLMC MULTICLASS MTG R003 ZA
Synthetic
316,367
414,188
FNMA GTD REMIC P/T 09-50 HZ
Synthetic
473,973
101,444
FHLMC MULTICLASS MTG 3351 ZC
Synthetic
118,623
76,340
FHLMC MULTICLASS MTG 3394 ZY
Synthetic
88,861
136,771
FNMA GTD REMIC P/T 11-10 ZC
Synthetic
155,189
535,425
FNMA GTD REMIC P/T 11-30 ZA
Synthetic
578,843
1,662,951
FNMA GTD REMIC P/T 10-59 PC
Synthetic
1,890,427
675,000
FNMA GTD REMIC P/T 10-139 NB
Synthetic
810,417
153,957
FHLMC MULTICLASS MTG 3662 ZB
Synthetic
180,741
144,483
FNMA POOL #0682088
Synthetic
166,058
77,665
FNMA POOL #0725423
Synthetic
90,585
142,451
FNMA POOL #0735925
Synthetic
165,412
4,186
FNMA POOL #0745275
Synthetic
4,864
127,878
FNMA POOL #0759850
Synthetic
150,261
5,129
FNMA POOL #0826398
Synthetic
5,194
255,430
FNMA POOL #0AZ7351
Synthetic
280,816
79,727
FNMA POOL #0BE7488
Synthetic
86,429
404,364
FNMA POOL #0BF0078
Synthetic
451,337
107,387
FNMA POOL #0BF0125
Synthetic
119,714
358,072
FNMA POOL #0BF0108
Synthetic
409,689
21
302,897
FNMA POOL #0BF0118
Synthetic
346,561
549,530
FNMA POOL #0BF0157
Synthetic
606,463
312,168
FNMA POOL #0BF0130
Synthetic
343,139
1,245,234
FNMA POOL #0BF0132
Synthetic
1,394,229
201,015
FNMA POOL #0BF0201
Synthetic
223,945
1,088,998
FNMA POOL #0BF0202
Synthetic
1,221,675
501,844
FNMA POOL #0BH5155
Synthetic
533,057
132,550
FNMA POOL #0BK3209
Synthetic
141,842
878,315
FNMA POOL #0BK7939
Synthetic
963,679
1,970,000
FNMA POOL #0BL0752
Synthetic
2,274,815
402,000
FNMA POOL #0BL4480
Synthetic
430,531
776,000
FNMA POOL #0BL3670
Synthetic
825,863
583,515
FNMA POOL #0BL4112
Synthetic
622,872
442,282
FNMA POOL #0BM4984
Synthetic
479,963
684,352
FNMA POOL #0BN5324
Synthetic
745,592
358,399
FNMA POOL #0BO5023
Synthetic
381,279
565,956
FNMA POOL #0CA4446
Synthetic
604,727
449,060
FNMA POOL #0FM1000
Synthetic
471,055
23,284
FNMA POOL #0889139
Synthetic
26,914
32,265
FNMA POOL #0909169
Synthetic
37,306
81,017
FNMA POOL #0909178
Synthetic
103,364
12,247
FNMA POOL #0914081
Synthetic
13,721
106,582
FNMA POOL #0952602
Synthetic
126,716
107,956
FNMA POOL #0968340
Synthetic
116,933
229,361
FNMA POOL #0AB6609
Synthetic
246,723
183,542
FNMA POOL #0AB7342
Synthetic
194,622
87,337
FNMA POOL #0AC9295
Synthetic
101,548
99,035
FNMA POOL #0MA1058
Synthetic
104,110
194,945
FNMA POOL #0MA1332
Synthetic
210,769
146,443
FNMA POOL #0MA1366
Synthetic
154,126
670,900
FNMA POOL #0MA2895
Synthetic
705,605
79,990
FNMA POOL #0AD0826
Synthetic
94,026
24,155
FNMA POOL #0AD0847
Synthetic
28,393
287,394
FNMA POOL #0AD0732
Synthetic
339,551
24,989
FNMA POOL #0AE0689
Synthetic
29,277
122,268
FNMA POOL #0AE3691
Synthetic
137,288
123,485
FNMA POOL #0AE3695
Synthetic
138,654
81,235
FNMA POOL #0AE4342
Synthetic
90,100
80,969
FNMA POOL #0AE8259
Synthetic
94,155
136,000
FEDEX CORP
Synthetic
162,395
148,000
FEDEX CORP
Synthetic
187,001
195,000
FEDEX CORP
Synthetic
235,705
234,000
FEDEX CORP
Synthetic
277,932
240,000
FEDERATION DES CAISSES DE 144A
Synthetic
252,306
154,000
FIRSTENERGY CORP
Synthetic
156,523
265,000
FLORIDA GAS TRANSMISSION 144A
Synthetic
300,943
2,000,000
FOOTBALL CLUB TERM NTS
Synthetic
2,161,317
750,000
FORD CREDIT AUTO OWNER TR A A4
Synthetic
770,486
373,000
FORD CREDIT AUTO OWNE 2 A 144A
Synthetic
385,802
359,000
FORD CREDIT AUTO OWNE 1 A 144A
Synthetic
368,086
2,000,000
FOUR CORNERS OPER PARTNER 144A
Synthetic
1,986,396
187,000
FOX CORP
Synthetic
205,951
152,000
GATX CORP
Synthetic
179,634
179,000
GE CAPITAL FUNDING LLC 144A
Synthetic
211,010
336,797
GNMA II POOL #0MA6476
Synthetic
359,674
430,375
GS MORTGAGE SECURITIES GC6 A3
Synthetic
437,118
315,841
GS MORTGAGE SECURITIES GCJ7 A4
Synthetic
319,717
520,000
GS MORTGAGE SECURITIES GCJ7 AS
Synthetic
536,269
270,000
GS MORTGAGE SECURITIES GCJ7 B
Synthetic
277,450
78,545
GNMA II POOL #0AR4868
Synthetic
86,043
144,226
GNMA II POOL #0004853
Synthetic
159,522
136,611
GNMA II POOL #0005140
Synthetic
152,196
22
46,427
GNMA II POOL #0005116
Synthetic
53,216
69,533
GNMA II POOL #0005175
Synthetic
77,466
34,383
GNMA POOL #0723362
Synthetic
38,926
21,333
GNMA POOL #0726918
Synthetic
23,953
69,836
GNMA II POOL #0741136
Synthetic
76,914
65,097
GNMA II POOL #0741137
Synthetic
71,296
15,691
GSR MORTGAGE LOAN TRUST 5F 8A1
Synthetic
14,665
461,000
GS MORTGAGE SECURITIES GC26 A5
Synthetic
507,379
700,000
GM FINANCIAL CONSUMER AUTO 3 C
Synthetic
723,564
350,000
GM FINANCIAL CONSUMER AUTO 3 B
Synthetic
362,058
670,000
GS MORTGAGE SECURITIES GC42 A4
Synthetic
748,175
255,000
GENERAL DYNAMICS CORP
Synthetic
293,351
12,000
GENERAL ELECTRIC CO
Synthetic
14,067
32,000
GENERAL ELECTRIC CO
Synthetic
36,572
100,000
GENERAL MOTORS CO
Synthetic
125,933
127,000
GENERAL MOTORS CO
Synthetic
154,047
110,000
GENERAL MOTORS FINANCIAL CO IN
Synthetic
119,813
176,000
GENERAL MOTORS FINANCIAL CO IN
Synthetic
192,982
520,000
GEORGIA-PACIFIC LLC 144A
Synthetic
522,562
91,000
GEORGIA POWER CO
Synthetic
100,734
120,000
GEORGIA POWER CO
Synthetic
126,421
172,000
GILEAD SCIENCES INC
Synthetic
190,004
268,000
GILEAD SCIENCES INC
Synthetic
265,970
347,000
GILEAD SCIENCES INC
Synthetic
348,055
1,000,000
GILDAN ACTIVEWEAR INC A 144A
Synthetic
1,050,313
15,000
GLOBAL PAYMENTS INC
Synthetic
16,063
145,000
GLOBAL PAYMENTS INC
Synthetic
160,448
200,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
306,032
50,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
52,850
187,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
213,403
134,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
135,087
113,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
119,398
5,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
6,392
126,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
137,128
183,469
GNMA GTD REMIC P/T 09-29 PB
Synthetic
207,859
516,096
GNMA GTD REMIC P/T 11-38 D
Synthetic
531,873
10,783
GNMA GTD REMIC P/T 10-123 IA
Synthetic
367
18,249
GNMA GTD REMIC P/T 11-169 BC
Synthetic
20,185
315,880
GNMA GTD REMIC P/T 12-31 MJ
Synthetic
322,474
63,351
GNMA GTD REMIC P/T 13-8 BE
Synthetic
64,880
457,498
GNMA GTD REMIC P/T 13-97 AT
Synthetic
482,370
2,000,000
GNMA GTD REMIC P/T 15-143 B
Synthetic
2,250,825
3,000,000
GNMA GTD REMIC P/T 17-180 QB
Synthetic
3,180,390
617,555
GNMA GTD REMIC P/T 18-112 AL
Synthetic
658,170
617,197
GNMA GTD REMIC P/T 19-H06 FD
Synthetic
627,129
140,000
WW GRAINGER INC
Synthetic
147,451
58,000
HCA INC
Synthetic
67,726
121,000
HCA INC
Synthetic
140,747
200,000
HSBC HOLDINGS PLC
Synthetic
230,431
200,000
HSBC HOLDINGS PLC
Synthetic
217,750
215,000
HSBC HOLDINGS PLC
Synthetic
248,271
523,000
HSBC HOLDINGS PLC
Synthetic
556,953
335,000
HSBC HOLDINGS PLC
Synthetic
419,955
403,000
HSBC HOLDINGS PLC
Synthetic
416,226
200,000
HSBC HOLDINGS PLC
Synthetic
204,745
218,000
HSBC HOLDINGS PLC
Synthetic
221,688
14,000
HALLIBURTON CO
Synthetic
15,701
180,000
HALLIBURTON CO
Synthetic
210,064
1,000,000
HARDWOOD FDG LLC
Synthetic
1,057,472
1,000,000
HARDWOOD FDG LLC
Synthetic
1,077,458
249,000
HARLEY-DAVIDSON FINANCIAL 144A
Synthetic
269,715
433,000
HARTFORD FINANCIAL SERVICES GR
Synthetic
606,683
23
2,000,000
HAWAIIAN ELEC CO INC
Synthetic
2,237,934
245,000
HEALTH CARE SERVICE CORP 144A
Synthetic
265,014
70,000
HEALTHCARE TRUST OF AMERICA HO
Synthetic
79,271
106,000
HEINEKEN NV 144A
Synthetic
120,631
205,000
HESS CORP
Synthetic
250,173
109,000
HEWLETT PACKARD ENTERPRISE CO
Synthetic
112,972
315,000
HOME DEPOT INC/THE
Synthetic
363,422
160,000
HOME DEPOT INC/THE
Synthetic
188,576
660,000
HUMANA INC
Synthetic
728,718
360,000
CENOVUS ENERGY INC
Synthetic
370,940
1,000,000
ITR CONCESSION CO LLC
Synthetic
1,148,031
115,000
IDAHO POWER CO
Synthetic
149,007
400,000
INDONESIA GOVERNMENT INTERNATI
Synthetic
431,556
262,000
ING GROEP NV
Synthetic
286,253
500,000
INTEL CORP
Synthetic
559,628
45,000
INTERCONTINENTAL EXCHANGE INC
Synthetic
50,930
265,000
INTERCONTINENTAL EXCHANGE INC
Synthetic
329,883
89,000
INTERCONTINENTAL EXCHANGE INC
Synthetic
92,744
178,000
INTERCONTINENTAL EXCHANGE INC
Synthetic
180,758
175,000
INTERNATIONAL BUSINESS MACHINE
Synthetic
186,517
90,000
INTERNATIONAL PAPER CO
Synthetic
117,748
204,000
INTERNATIONAL PAPER CO
Synthetic
267,173
245,000
INTERPUBLIC GROUP OF COS INC/T
Synthetic
303,850
155,000
INTERSTATE POWER AND LIGHT CO
Synthetic
163,906
147,000
IPALCO ENTERPRISES INC 144A
Synthetic
169,702
200,000
JPMORGAN CHASE & CO
Synthetic
223,963
74,000
JPMORGAN CHASE & CO
Synthetic
85,053
309,115
JP MORGAN CHASE COMMERCI C6 A3
Synthetic
318,579
380,000
JP MORGAN CHASE COMM C5 C 144A
Synthetic
364,336
202,705
JP MORGAN CHASE COMMERC CBX A4
Synthetic
205,900
7,076,892
JP MORGAN CHASE COMMERC CBX XA
Synthetic
52,963
392,814
JP MORGAN CHASE COMMERC C10 A5
Synthetic
410,283
1,300,000
JPMBB COMMERCIAL MORTGAG C19 C
Synthetic
1,273,789
240,000
JPMBB COMMERCIAL MORTGA C26 A4
Synthetic
263,866
360,000
JPMORGAN CHASE & CO
Synthetic
385,854
190,000
JPMORGAN CHASE & CO
Synthetic
206,104
130,000
JPMORGAN CHASE & CO
Synthetic
149,381
431,000
JPMORGAN CHASE & CO
Synthetic
446,651
166,000
JPMORGAN CHASE & CO
Synthetic
192,566
123,000
JPMORGAN CHASE & CO
Synthetic
130,568
220,000
JPMORGAN CHASE & CO
Synthetic
270,628
1,000,000
JPMORGAN CHASE & CO
Synthetic
1,117,766
250,000
JPMORGAN CHASE & CO
Synthetic
265,369
364,000
JPMORGAN CHASE & CO
Synthetic
373,577
1,200,000
JACKSON PARK TRUST LIC D 144A
Synthetic
1,147,286
2,000,000
JAMES CAMPBELL COMPANY LLC
Synthetic
2,141,078
213,000
JERSEY CENTRAL POWER & LI 144A
Synthetic
238,184
137,000
JOHNSON & JOHNSON
Synthetic
138,155
86,000
JPMORGAN CHASE & CO
Synthetic
90,475
92,000
JPMORGAN CHASE & CO
Synthetic
94,990
760,000
JPMCC COMMERCIAL MORTGAG JP6 C
Synthetic
773,852
303,000
KKR GROUP FINANCE CO VII 144A
Synthetic
337,562
1,000,000
KAYNE CLO 7 LTD 7A A1 144A
Synthetic
1,000,297
250,000
KAYNE CLO 6 LTD 6A A1 144A
Synthetic
250,575
475,000
KAZMUNAYGAS NATIONAL CO J 144A
Synthetic
585,527
100,000
KENTUCKY UTILITIES CO
Synthetic
110,828
13,000
KEURIG DR PEPPER INC
Synthetic
14,988
253,000
KIMCO REALTY CORP
Synthetic
276,546
299,000
KIMCO REALTY CORP
Synthetic
321,624
260,000
KINDER MORGAN INC 144A
Synthetic
293,322
94,532
KING INTERNATIONAL LEASING LLC
Synthetic
96,494
416,000
KROGER CO/THE
Synthetic
565,022
24
111,000
KROGER CO/THE
Synthetic
130,058
670,000
LCM XIV LP 14A AR 144A
Synthetic
665,239
1,000,000
LA STAD FIN CO LLC
Synthetic
1,001,125
1,000,000
LA STAD FIN CO LLC
Synthetic
1,143,150
229,193
LAUREL ROAD PRIME S C A2B 144A
Synthetic
233,326
438,188
LAUREL ROAD PRIME A A2FX 144A
Synthetic
448,410
166,000
LEIDOS INC 144A
Synthetic
169,021
532,000
LIBERTY MUTUAL GROUP INC 144A
Synthetic
637,072
1,000,000
LION INDL PPTYS LP
Synthetic
1,127,704
1,000,000
LITTLEFUSE INC
Synthetic
1,021,314
220,000
LLOYDS BANKING GROUP PLC
Synthetic
232,421
216,000
LOCKHEED MARTIN CORP
Synthetic
280,686
100,000
LOCKHEED MARTIN CORP
Synthetic
108,118
356,000
MPLX LP
Synthetic
377,038
105,000
MPLX LP
Synthetic
110,041
150,000
MPLX LP
Synthetic
155,236
550,000
MAGNETITE XII LTD 12A ARR 144A
Synthetic
550,022
2,000,000
MAJOR LEAGUE BASEBALL TR
Synthetic
2,165,063
117,000
MARATHON PETROLEUM CORP
Synthetic
132,380
272,000
MARATHON PETROLEUM CORP
Synthetic
276,750
91,000
MARATHON PETROLEUM CORP
Synthetic
104,246
131,000
MARS INC 144A
Synthetic
173,234
1,000,000
MARS INCORPORATED
Synthetic
1,087,960
82,000
MARSH & MCLENNAN COS INC
Synthetic
99,837
600,000
MCDONALD'S CORP
Synthetic
776,009
206,000
MCKESSON CORP
Synthetic
207,030
1,000,000
MCKINSEY + CO INC
Synthetic
1,020,379
61,000
MEDTRONIC INC
Synthetic
82,142
263,000
METLIFE INC
Synthetic
277,465
329,000
MICROSOFT CORP
Synthetic
417,167
414,000
MICROSOFT CORP
Synthetic
436,581
282,000
MICROCHIP TECHNOLOGY INC 144A
Synthetic
294,934
54,000
MID-AMERICA APARTMENTS LP
Synthetic
63,300
17,000
MISSISSIPPI POWER CO
Synthetic
20,654
235,000
MISSISSIPPI POWER CO
Synthetic
283,203
148,000
MITSUBISHI UFJ FINANCIAL GROUP
Synthetic
160,454
135,000
MITSUBISHI UFJ FINANCIAL GROUP
Synthetic
146,705
433,000
MITSUBISHI UFJ FINANCIAL GROUP
Synthetic
457,419
390,000
MORGAN STANLEY CAPITAL I L1 A4
Synthetic
466,126
310,000
MORGAN STANLEY
Synthetic
354,755
59,000
MORGAN STANLEY
Synthetic
63,105
130,000
MORGAN STANLEY
Synthetic
137,311
411,000
MORGAN STANLEY
Synthetic
413,939
107,000
MORGAN STANLEY
Synthetic
138,951
89,000
MORGAN STANLEY
Synthetic
98,596
1,077,000
MORGAN STANLEY
Synthetic
1,235,399
89,000
MORGAN STANLEY
Synthetic
101,924
468,000
MORGAN STANLEY BANK OF A C5 A4
Synthetic
482,432
542,000
MORGAN STANLEY BANK OF A C9 A4
Synthetic
568,503
322,000
MORGAN STANLEY BANK OF C19 A4
Synthetic
352,759
225,000
MOSAIC CO/THE
Synthetic
235,124
271,938
MOSAIC SOLAR LOAN T 2GS A 144A
Synthetic
292,819
1,356,170
MOTEL 6 TRUST 2017 MTL6 C 144A
Synthetic
1,348,542
258,000
MYLAN INC
Synthetic
335,880
115,000
NRG ENERGY INC 144A
Synthetic
119,252
96,000
NRG ENERGY INC 144A
Synthetic
101,071
50,000
NXP BV / NXP FUNDING LLC 144A
Synthetic
56,701
58,000
NARRAGANSETT ELECTRIC CO/ 144A
Synthetic
65,779
434,000
NASDAQ INC
Synthetic
430,008
265,000
NATIONAL AUSTRALIA BANK L 144A
Synthetic
297,600
268,000
NATIONAL AUSTRALIA BANK L 144A
Synthetic
272,456
56,000
NATIONAL RETAIL PROPERTIES INC
Synthetic
64,918
25
114,000
NATIONAL RURAL UTILITIES COOPE
Synthetic
119,985
88,000
NATIONAL RURAL UTILITIES COOPE
Synthetic
94,123
210,000
NATWEST GROUP PLC
Synthetic
217,184
500,000
NAVIENT PRIVATE EDU FA A2 144A
Synthetic
516,418
521,080
NAVIENT PRIVATE EDUC EA A 144A
Synthetic
531,864
397,000
NBCUNIVERSAL MEDIA LLC
Synthetic
519,879
310,000
NBCUNIVERSAL ENTERPRISE I 144A
Synthetic
316,200
1,000,000
NEW JERSEY RES CORP
Synthetic
1,061,973
1,500,000
NEWARK BSL CLO 1 L 1A A1R 144A
Synthetic
1,496,790
97,000
NEWCREST FINANCE PTY LTD 144A
Synthetic
107,142
115,000
NISOURCE INC
Synthetic
133,075
243,000
NISSAN MOTOR CO LTD 144A
Synthetic
260,186
200,000
NISSAN MOTOR CO LTD 144A
Synthetic
220,906
31,000
NOBLE ENERGY INC
Synthetic
35,614
200,000
NOBLE ENERGY INC
Synthetic
260,629
155,000
NORTHROP GRUMMAN CORP
Synthetic
168,587
1,000,000
NORTHWESTERN CORP
Synthetic
1,110,296
453,000
NVIDIA CORP
Synthetic
544,016
91,000
NVIDIA CORP
Synthetic
110,391
125,000
NUTRIEN LTD
Synthetic
172,872
114,000
NUTRIEN LTD
Synthetic
125,369
98,000
NUTRIEN LTD
Synthetic
119,526
1,200,000
OHA CREDIT FUNDING 4A A1 144A
Synthetic
1,201,540
640,000
OHA LOAN FUNDING 1A A1R2 144A
Synthetic
640,793
1,000,000
OAKTREE CAP MGMT L P
Synthetic
1,171,220
380,000
OCTAGON INVESTMENT 1A A1 144A
Synthetic
380,002
500,000
OCTAGON LOAN FUNDI 1A ARR 144A
Synthetic
500,006
154,000
OGLETHORPE POWER CORP 144A
Synthetic
165,491
260,000
ONEOK INC
Synthetic
268,679
299,000
ORACLE CORP
Synthetic
361,062
500,000
ORACLE CORP
Synthetic
585,594
410,000
ORIX CORP
Synthetic
448,202
441,000
OWL ROCK CAPITAL CORP
Synthetic
464,518
255,000
OWL ROCK CAPITAL CORP
Synthetic
258,651
55,000
PECO ENERGY CO
Synthetic
70,805
8,000
PPL CAPITAL FUNDING INC
Synthetic
8,828
175,000
PPL CAPITAL FUNDING INC
Synthetic
209,350
275,000
PERTAMINA PERSERO PT 144A
Synthetic
294,530
135,000
PACIFIC GAS AND ELECTRIC CO
Synthetic
146,186
221,000
PACIFIC GAS AND ELECTRIC CO
Synthetic
235,621
101,000
PACIFIC GAS AND ELECTRIC CO
Synthetic
108,428
65,000
PACIFICORP
Synthetic
74,928
500,000
PALMER SQUARE CLO 2A AARR 144A
Synthetic
500,013
1,200,000
PALMER SQUARE CLO 2A A1A 144A
Synthetic
1,203,833
250,000
PALMER SQUARE CLO 2 1A A1 144A
Synthetic
248,818
476,000
PAYPAL HOLDINGS INC
Synthetic
528,743
310,000
PENSKE TRUCK LEASING CO L 144A
Synthetic
314,784
177,000
PENSKE TRUCK LEASING CO L 144A
Synthetic
178,514
675,000
PERUVIAN GOVERNMENT INTERNATIO
Synthetic
740,144
400,000
PERUSAHAAN PENERBIT SBSN REGS
Synthetic
458,164
650,000
PERUSAHAAN PERSEROAN PERS REGS
Synthetic
718,250
95,900
PETROLEOS MEXICANOS
Synthetic
98,748
105,000
PFIZER INC
Synthetic
112,149
92,000
PHILIP MORRIS INTERNATIONAL IN
Synthetic
114,834
554,000
PHILLIPS 66
Synthetic
562,405
111,000
PIEDMONT NATURAL GAS CO INC
Synthetic
123,909
70,000
PIEDMONT OPERATING PARTNERSHIP
Synthetic
74,976
178,000
PIEDMONT OPERATING PARTNERSHIP
Synthetic
182,261
208,000
PLAINS ALL AMERICAN PIPELINE L
Synthetic
232,983
395,000
PLAINS ALL AMERICAN PIPELINE L
Synthetic
413,369
369,000
PLAINS ALL AMERICAN PIPELINE L
Synthetic
396,694
1,000,000
PORTLAND GENERAL ELECTRIC CO
Synthetic
1,117,369
26
1,510,000
PRIVATE EXPORT FUNDING CORP
Synthetic
1,563,985
115,000
PROLOGIS LP
Synthetic
127,111
95,000
QUEST DIAGNOSTICS INC
Synthetic
104,601
272,000
COOPERATIEVE RABOBANK UA 144A
Synthetic
277,750
276,000
COOPERATIEVE RABOBANK UA 144A
Synthetic
277,972
216,000
RAYTHEON TECHNOLOGIES CORP
Synthetic
233,299
196,000
REGENCY CENTERS LP
Synthetic
222,020
216,000
ENERGY TRANSFER PARTNERS LP /
Synthetic
225,834
425,000
REGENERON PHARMACEUTICALS INC
Synthetic
418,513
154,000
RETAIL PROPERTIES OF AMERICA I
Synthetic
163,505
64,000
REYNOLDS AMERICAN INC
Synthetic
82,806
149,000
REYNOLDS AMERICAN INC
Synthetic
190,534
226,000
NATWEST GROUP PLC
Synthetic
246,749
243,000
NATWEST GROUP PLC
Synthetic
263,745
345,000
ROYALTY PHARMA PLC 144A
Synthetic
350,771
345,000
ROYALTY PHARMA PLC 144A
Synthetic
354,993
170,000
ROYALTY PHARMA PLC 144A
Synthetic
178,748
500,000
SOFI PROFESSIONAL C A2FX 144A
Synthetic
519,024
526,000
SABINE PASS LIQUEFACTION LLC
Synthetic
620,188
450,000
SANTANDER RETAIL AUTO B B 144A
Synthetic
463,094
300,000
SANTANDER DRIVE AUTO RECEI 2 D
Synthetic
309,802
900,000
SANTANDER DRIVE AUTO RECEI 2 B
Synthetic
905,548
250,000
SAUDI GOVERNMENT INTERNAT 144A
Synthetic
301,798
72,176
SAYARRA LTD
Synthetic
73,265
194,000
SCENTRE GROUP TRUST 1 / S 144A
Synthetic
214,851
140,000
SCHLUMBERGER HLDS CORP 144A
Synthetic
159,084
485,000
CHARLES SCHWAB CORP/THE
Synthetic
489,750
43,000
SEMPRA ENERGY
Synthetic
49,807
266,000
SHELL INTERNATIONAL FINANCE BV
Synthetic
294,842
165,000
SHELL INTERNATIONAL FINANCE BV
Synthetic
206,424
1,000,000
SHERMAN FINL GROUP LLC / CR ON
Synthetic
993,967
194,000
SIERRA PACIFIC POWER CO
Synthetic
210,658
76,000
SIMON PROPERTY GROUP LP
Synthetic
79,424
275,000
DELTA AIR LINES INC / SKY 144A
Synthetic
300,166
324,563
SBA GTD PARTN CTFS 2018-20L 1
Synthetic
358,337
1,349,825
SBA GTD PARTN CTFS 2019-25E 1
Synthetic
1,472,877
392,934
SBA GTD PARTN CTFS 2018-20K 1
Synthetic
442,478
213,606
SOFI PROFESSIONAL F A2FX 144A
Synthetic
218,334
650,000
SOFI CONSUMER LOAN PR 4 B 144A
Synthetic
662,588
600,000
SOFI CONSUMER LOAN PR 6 B 144A
Synthetic
616,093
200,000
SOFI CONSUMER LOAN PR 2 B 144A
Synthetic
204,028
16,198
SOFI CONSUMER LOAN PR 4 A 144A
Synthetic
16,258
1,000,000
SOLAR SR CAP LTD
Synthetic
1,049,704
936,000
SOUNDS POINT CLO IV 3RA A 144A
Synthetic
930,669
250,000
SOUND POINT CLO XX 4A A1A 144A
Synthetic
250,438
302,000
SOUTHERN CALIFORNIA EDISON CO
Synthetic
346,246
20,000
SOUTHERN CALIFORNIA EDISON CO
Synthetic
20,337
1,000,000
SPIRE INC
Synthetic
1,012,132
440,000
STANDARD CHARTERED PLC 144A
Synthetic
460,672
98,000
STATE STREET CORP
Synthetic
107,424
158,000
STEEL DYNAMICS INC
Synthetic
162,840
213,000
STEEL DYNAMICS INC
Synthetic
222,462
20,000
SUMITOMO MITSUI FINANCIAL GROU
Synthetic
22,147
180,000
SUMITOMO MITSUI FINANCIAL GROU
Synthetic
197,215
200,000
SUMITOMO MITSUI FINANCIAL GROU
Synthetic
213,002
238,000
SUMITOMO MITSUI FINANCIAL GROU
Synthetic
238,971
214,000
SUMITOMO MITSUI TRUST BAN 144A
Synthetic
215,726
22,000
ENERGY TRANSFER LP
Synthetic
23,821
228,000
ENERGY TRANSFER LP
Synthetic
246,383
64,000
TRUIST FINANCIAL CORP
Synthetic
72,471
450,000
SYNCHRONY CREDIT CARD MAST 2 B
Synthetic
465,393
550,000
SYNCHRONY CREDIT CARD MAST 2 A
Synthetic
587,270
27
2,525,000
TCW CLO 2018-1 LT 1A A1B2 144A
Synthetic
2,526,245
401,000
T-MOBILE USA INC 144A
Synthetic
489,368
402,000
T-MOBILE USA INC 144A
Synthetic
457,798
75,000
T-MOBILE USA INC 144A
Synthetic
86,865
137,000
T-MOBILE USA INC 144A
Synthetic
142,502
119,000
T-MOBILE USA INC 144A
Synthetic
122,431
250,000
TTX CO 144A
Synthetic
278,318
650,000
TAKEDA PHARMACEUTICAL CO LTD
Synthetic
685,949
500,000
TEACHERS INSURANCE & ANNU 144A
Synthetic
544,862
160,000
TECK RESOURCES LTD
Synthetic
206,318
2,000,000
TEXAS-NEW MEXICO PWR CO
Synthetic
2,163,870
150,000
THERMO FISHER SCIENTIFIC INC
Synthetic
164,236
250,000
THL CREDIT WIND RIV 2A A2 144A
Synthetic
250,004
164,000
TIME WARNER CABLE LLC
Synthetic
218,901
57,000
TOTAL CAPITAL INTERNATIONAL SA
Synthetic
62,441
253,000
TOTAL CAPITAL INTERNATIONAL SA
Synthetic
274,191
358,000
TOTAL CAPITAL INTERNATIONAL SA
Synthetic
387,340
142,997
TOWD POINT MORTGAGE 1 A1 144A
Synthetic
146,558
640,509
TOWD POINT MORTGAGE 4 A1 144A
Synthetic
676,095
323,000
TOYOTA AUTO LOAN EXT 1A A 144A
Synthetic
344,934
600,000
TOYOTA AUTO LOAN EXT 1A A 144A
Synthetic
617,812
1,250,000
TOYOTA AUTO RECEIVABLES 2 B A4
Synthetic
1,303,616
750,000
TRAFIGURA SECURITIS 1A A2 144A
Synthetic
765,077
291,000
TRANS-ALLEGHENY INTERSTAT 144A
Synthetic
317,838
80,000
TRANSCONTINENTAL GAS PIPE LINE
Synthetic
89,647
32,000
TRAVELERS COS INC/THE
Synthetic
41,524
260,000
TRUIST BANK
Synthetic
272,783
90,000
TRUIST FINANCIAL CORP
Synthetic
95,060
200,000
UBS GROUP AG 144A
Synthetic
201,934
161,000
UDR INC
Synthetic
182,711
150,000
UDR INC
Synthetic
165,455
8,697,415
UBS COMMERCIAL MORTGAGE C16 XA
Synthetic
846,164
80,000
UNION ELECTRIC CO
Synthetic
97,648
109,000
UNION ELECTRIC CO
Synthetic
120,387
155,000
UNION ELECTRIC CO
Synthetic
177,783
522,000
UNITED AIRLINES 2020-1 CLASS A
Synthetic
563,871
544,395
UNITED AIRLINES 2016-2 CLASS A
Synthetic
546,969
10,532,500
U S TREASURY BOND
Synthetic
14,208,589
6,275,500
U S TREASURY BOND
Synthetic
8,166,730
3,000
U S TREASURY BOND
Synthetic
2,722
4,182,000
U S TREASURY BOND
Synthetic
3,916,704
191,000
U S TREASURY BOND
Synthetic
188,851
97,300
U S TREASURY NOTE
Synthetic
111,580
393,800
U S TREASURY NOTE
Synthetic
457,439
17,567,600
U S TREASURY NOTE
Synthetic
20,799,764
138,500
U S TREASURY NOTE
Synthetic
155,504
435,300
U S TREASURY NOTE
Synthetic
499,711
1,255,000
U S TREASURY NOTE
Synthetic
1,286,375
961,000
U S TREASURY NOTE
Synthetic
967,644
363,500
U S TREASURY NOTE
Synthetic
383,407
4,000,000
U S TREASURY NOTE
Synthetic
4,089,062
213,000
U S TREASURY NOTE
Synthetic
227,860
3,000
U S TREASURY NOTE
Synthetic
3,144
393,800
U S TREASURY NOTE
Synthetic
398,292
2,030,000
U S TREASURY NOTE
Synthetic
2,055,375
196,800
U S TREASURY NOTE
Synthetic
206,371
4,300
U S TREASURY NOTE
Synthetic
4,204
27,766,000
U S TREASURY NOTE
Synthetic
27,770,338
197,000
U S TREASURY NOTE
Synthetic
193,991
3,000
U S TREASURY NOTE
Synthetic
2,998
2,121,000
U S TREASURY NOTE
Synthetic
2,114,040
1,140,000
U S TREASURY NOTE
Synthetic
1,139,822
28
7,283,000
U S TREASURY NOTE
Synthetic
7,274,465
2,163,000
U S TREASURY NOTE
Synthetic
2,164,690
3,214,000
U S TREASURY NOTE
Synthetic
3,214,377
20,000
RAYTHEON TECHNOLOGIES CORP
Synthetic
27,499
19,000
RAYTHEON TECHNOLOGIES CORP
Synthetic
28,155
280,000
RAYTHEON TECHNOLOGIES CORP
Synthetic
365,123
11,000
RAYTHEON TECHNOLOGIES CORP
Synthetic
13,925
21,000
RAYTHEON TECHNOLOGIES CORP
Synthetic
26,480
21,000
RAYTHEON TECHNOLOGIES CORP
Synthetic
22,642
300,000
UNITEDHEALTH GROUP INC
Synthetic
396,266
86,000
UNITEDHEALTH GROUP INC
Synthetic
102,308
60,000
UNITEDHEALTH GROUP INC
Synthetic
77,681
175,000
VIATRIS INC 144A
Synthetic
197,518
175,000
VIATRIS INC 144A
Synthetic
200,495
219,899
VMC FINANCE 2018-FL FL2 A 144A
Synthetic
217,685
259,000
VENTAS REALTY LP
Synthetic
335,332
100,000
VENTAS REALTY LP
Synthetic
110,130
215,000
VENTAS REALTY LP
Synthetic
225,610
250,000
VENTURE 34 CLO LTD 34A A 144A
Synthetic
250,008
173,000
VEREIT OPERATING PARTNERSHIP L
Synthetic
180,897
190,000
VERIZON COMMUNICATIONS INC
Synthetic
225,346
274,000
VERIZON COMMUNICATIONS INC
Synthetic
357,465
103,000
VERIZON COMMUNICATIONS INC
Synthetic
124,636
912,000
VERIZON COMMUNICATIONS INC
Synthetic
920,906
192,000
VERIZON COMMUNICATIONS INC
Synthetic
193,460
301,000
VERIZON OWNER TRUST 2019 A A1A
Synthetic
306,838
249,860
VERIZON OWNER TRUST 2018 A A1A
Synthetic
253,177
100,000
VIACOMCBS INC
Synthetic
129,364
30,000
VIACOMCBS INC
Synthetic
35,444
17,000
VIACOMCBS INC
Synthetic
21,337
434,000
VIRGINIA ELECTRIC AND POWER CO
Synthetic
436,734
52,221
WAMU MORTGAGE PASS-THRO CB1 4A
Synthetic
56,199
4,108,313
WFRBS COMMERCIAL MO C9 XA 144A
Synthetic
103,739
650,196
WFRBS COMMERCIAL MORTGAG C9 A3
Synthetic
666,829
535,558
WFRBS COMMERCIAL MO C3 A4 144A
Synthetic
536,300
378,000
WFRBS COMMERCIAL MO C4 A4 144A
Synthetic
380,152
149,000
WP CAREY INC
Synthetic
154,744
592,000
WFRBS COMMERCIAL MORTGA C11 A5
Synthetic
618,335
499,000
WFRBS COMMERCIAL MORTGA C12 A4
Synthetic
521,982
135,000
WFRBS COMMERCIAL MORTGA C17 A4
Synthetic
146,008
280,000
WFLD 2014-MONT MOR MONT B 144A
Synthetic
261,925
231,000
WEC ENERGY GROUP INC
Synthetic
233,971
135,000
WASHINGTON GAS LIGHT CO
Synthetic
162,057
260,000
WASTE MANAGEMENT INC
Synthetic
318,359
180,000
WASTE MANAGEMENT INC
Synthetic
180,621
412,000
WEINGARTEN REALTY INVESTORS
Synthetic
427,014
79,000
ANTHEM INC
Synthetic
103,909
372,000
WELLS FARGO & CO
Synthetic
377,878
213,000
WELLS FARGO & CO
Synthetic
232,666
76,000
WELLS FARGO & CO
Synthetic
99,464
92,633
WELLS FARGO COMMERCIAL LC5 A3
Synthetic
95,419
165,000
WELLS FARGO & CO
Synthetic
174,466
90,000
WELLS FARGO & CO
Synthetic
97,902
700,000
WELLS FARGO COMMERCIAL C53 A4
Synthetic
784,686
69,000
WELLTOWER INC
Synthetic
75,871
211,000
WESTPAC BANKING CORP
Synthetic
224,688
185,000
WRKCO INC
Synthetic
199,199
61,000
WILLIS TOWERS WATSON PLC
Synthetic
61,614
99,000
XLIT LTD
Synthetic
112,978
419,000
XLIT LTD
Synthetic
586,180
450,000
ZIMMER BIOMET HOLDINGS INC
Synthetic
509,572
800,000
ARC RES LTD NEW
Synthetic
838,727
29
1,000,000
WASTE CONNECTIONS INC
Synthetic
1,007,403
1,000,000
ESSILOR INTL (COMPAGNIE GENERA
Synthetic
1,015,766
1,000,000
ANGLIAN WATER SERVICES 144A
Synthetic
1,040,043
1,000,000
DCC TREAS IRELAND
Synthetic
1,070,577
1,000,000
DIONYSUS AVIATION LTD
Synthetic
999,343
1,000,000
GREENSANDS FING PLC
Synthetic
1,108,893
1,000,000
MEGGITT PLC
Synthetic
1,055,485
3,000,000
NAC AVIATION 29 DESIGN
Synthetic
2,250,000
2,000,000
TRAFIGURA FDG S A
Synthetic
2,169,617
42,259
ERGON PERU SAC
Synthetic
44,565
140,730
ERGON PERU SAC
Synthetic
148,325
270,000
MIZUHO FINANCIAL GROUP CA REGS
Synthetic
283,838
200,000
EMPRESA NACIONAL DEL PETR REGS
Synthetic
236,827
350,000
ISRAEL ELECTRIC CORP LTD 144A
Synthetic
403,375
800,000
CNAC HK FINBRIDGE CO LTD REGS
Synthetic
870,016
400,000
QATAR GOVERNMENT INTERNAT 144A
Synthetic
470,760
200,000
UBS AG REGS
Synthetic
220,100
200,000
CORP FINANCIERA DE DESARR REGS
Synthetic
225,400
325,000
EMPRESA NACIONAL DEL PETR REGS
Synthetic
355,207
775,390
ERGON PERU S A C
Synthetic
817,241
500,000
PETROLEOS DEL PERU SA REGS
Synthetic
576,500
1,000,000
STAR ENTMT FIN LTD
Synthetic
1,083,689
1,000,000
TRANSURBAN QUEENSLAND FIN LP
Synthetic
1,121,401
2,000,000
VECTOR LTD
Synthetic
2,105,259
(72)
US 10YR ULTRA FUTURE (CBT)
Synthetic
44,990
(28)
US LONG BOND FUTURE (CBT)
Synthetic
32,258
(13)
US 10YR NOTE FUTURE (CBT)
Synthetic
203
(39)
US 5YR NOTE FUTURE (CBT)
Synthetic
(11,504)
135
US 2YR TREAS NTS FUT (CBT)
Synthetic
26,060
130
US ULTRA BOND FUTURE (CBT)
Synthetic
(307,391)
110,000
BNSF FUNDING TRUST I
Synthetic
125,538
25,000
BANK OF AMERICA CORP
Synthetic
26,435
1,000
BLACKSTONE / GSO STRATEGIC CR
Synthetic
1,057,650
500
BLACKSTONE / GSO LONG-SHORT
Synthetic
528,825
40,000
KAYNE ANDERSON MIDSTREAM
Synthetic
1,037,040
20,268
KAYNE ANDERSON MLP INVT CO PFD
Synthetic
510,232
9,400
WELLS FARGO & CO
Synthetic
252,390
1,300,000
FEDERAL HOME LN BK CONS DISC
Synthetic
1,299,854
450,000
U S TREASURY BILL
Synthetic
449,966
2,100,000
U S TREASURY BILL
Synthetic
2,099,839
575,000
U S TREASURY BILL
Synthetic
574,923
425,000
U S TREASURY BILL
Synthetic
424,955
1,375,000
U S TREASURY BILL
Synthetic
1,374,912
480,990,230
185,338
EB TEMP INV FD
Common Collective Trust Fund
185,338
1,071,000
ABBVIE INC
Synthetic
1,078,976
5,000,000
ALLSTATE CORP/THE
Synthetic
5,041,754
3,000,000
AMERICAN ELECTRIC POWER CO INC
Synthetic
3,006,827
2,500,000
AMERICAN EXPRESS CO
Synthetic
2,506,084
1,500,000
AMERICAN EXPRESS CO
Synthetic
1,508,110
2,000,000
AMERICAN EXPRESS CREDIT AC 3 A
Synthetic
2,008,162
1,340,000
AMERICAN EXPRESS CREDIT AC 5 A
Synthetic
1,346,404
2,750,000
AMERICAN EXPRESS CREDIT AC 7 A
Synthetic
2,758,063
2,065,000
AMERICAN EXPRESS CREDIT AC 9 A
Synthetic
2,074,801
6,000,000
AMERICAN HONDA FINANCE CORP
Synthetic
6,026,589
4,611,000
AT&T INC
Synthetic
4,727,470
222,000
AVIATION CAPITAL GROUP LL 144A
Synthetic
220,265
2,500,000
BANK OF AMERICA CORP
Synthetic
2,531,766
3,000,000
BANK OF AMERICA CORP
Synthetic
3,025,015
1,250,000
BANK OF AMERICA CORP
Synthetic
1,269,274
30
2,250,000
BANK OF AMERICA CORP
Synthetic
2,270,544
6,422,000
BARCLAYS PLC
Synthetic
6,481,783
2,500,000
BAYER US FINANCE II LLC 144A
Synthetic
2,505,498
5,000,000
BX TRUST 2018-GW GW A 144A
Synthetic
4,917,604
1,500,000
CANADIAN IMPERIAL BANK OF COMM
Synthetic
1,514,727
2,885,000
CAPITAL ONE MULTI-ASSET A2 A2
Synthetic
2,890,887
3,000,000
CATERPILLAR FINANCIAL SERVICES
Synthetic
3,023,810
1,905,000
CATERPILLAR FINANCIAL SERVICES
Synthetic
1,908,730
457,137
CHESAPEAKE FUNDING 3A A2 144A
Synthetic
457,245
5,000,000
CIGNA CORP
Synthetic
5,068,782
2,500,000
CITIBANK CREDIT CARD ISS A2 A2
Synthetic
2,512,218
4,360,000
CITIBANK CREDIT CARD ISS A4 A4
Synthetic
4,371,433
1,000,000
CITIBANK CREDIT CARD ISS A6 A6
Synthetic
1,001,754
1,250,000
CITIBANK NA
Synthetic
1,255,517
2,500,000
CITIGROUP INC
Synthetic
2,528,339
4,000,000
CITIGROUP INC
Synthetic
4,048,858
3,317,000
COMCAST CORP
Synthetic
3,362,928
2,500,000
CONOCOPHILLIPS CO
Synthetic
2,521,826
3,000,000
CONSOLIDATED EDISON CO OF NEW
Synthetic
3,005,686
2,500,000
CVS HEALTH CORP
Synthetic
2,504,413
3,000,000
DISCOVER CARD EXECUTION A3 A3
Synthetic
3,003,111
1,923,000
DOMINION ENERGY INC
Synthetic
1,927,216
1,300,000
EVERGREEN CREDIT CARD 3 A 144A
Synthetic
1,302,608
1,046,584
FHLMC MULTICLASS MTG 3983 DF
Synthetic
1,049,796
1,419,086
FHLMC MULTICLASS MTG 4477 FG
Synthetic
1,423,006
3,511,710
FHLMC MULTICLASS MTG 4497 CF
Synthetic
3,503,854
2,262,352
FHLMC MULTICLASS MTG 4911 FM
Synthetic
2,274,635
536,554
FHLMC MULTICLASS MTG KF22 A
Synthetic
537,427
4,174,100
FHLMC MULTICLASS MTG KF64 A
Synthetic
4,191,986
1,378,971
FHLMC MULTICLASS MTG KF77 AL
Synthetic
1,394,423
1,864,912
FHLMC MULTICLASS MTG Q008 A
Synthetic
1,870,722
2,704,142
FHLMC MULTICLASS STRIP 350 F2
Synthetic
2,697,019
3,000,000
FIFTH THIRD BANK NA
Synthetic
3,009,293
3,623,512
FNMA GTD REMIC P/T 18-57 FA
Synthetic
3,634,935
3,000,000
FORD CREDIT FLOORPLAN MAS 3 A2
Synthetic
3,007,223
5,236,000
FORD CREDIT FLOORPLAN MAS 3 A2
Synthetic
5,272,702
2,500,000
FORD MOTOR CREDIT CO LLC
Synthetic
2,443,333
3,500,000
GENERAL MILLS INC
Synthetic
3,510,773
2,500,000
GENERAL MOTORS FINANCIAL CO IN
Synthetic
2,507,818
2,303,524
GM FINANCIAL AUTOMOBILE 2 A2B
Synthetic
2,308,136
2,000,000
GOLDEN CREDIT CARD T 4A A 144A
Synthetic
2,009,819
2,500,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
2,528,188
3,500,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
3,536,246
2,254,000
GOLDMAN SACHS GROUP INC/THE
Synthetic
2,268,918
3,000,000
HEWLETT PACKARD ENTERPRISE CO
Synthetic
3,007,427
637,000
HONEYWELL INTERNATIONAL INC
Synthetic
637,989
3,325,000
INTOWN HOTEL PORTF STAY A 144A
Synthetic
3,300,356
5,000,000
JACKSON NATIONAL LIFE GLO 144A
Synthetic
5,028,928
5,807,338
JP MORGAN CHASE C WPT AFL 144A
Synthetic
5,720,677
2,500,000
JPMORGAN CHASE & CO
Synthetic
2,551,707
3,900,000
JPMORGAN CHASE & CO
Synthetic
3,960,379
5,000,000
M&T BANK CORP
Synthetic
5,053,376
5,000,000
MET TOWER GLOBAL FUNDING 144A
Synthetic
5,023,705
1,500,000
METROPOLITAN LIFE GLOBAL 144A
Synthetic
1,509,845
3,500,000
MIZUHO FINANCIAL GROUP INC
Synthetic
3,541,593
4,769,000
MORGAN STANLEY
Synthetic
4,791,730
2,500,000
MORGAN STANLEY
Synthetic
2,518,050
2,260,604
MORGAN STANLEY B C10 A3FL 144A
Synthetic
2,266,939
3,000,000
NATIONAL AUSTRALIA BANK L 144A
Synthetic
3,016,362
3,000,000
NATWEST GROUP PLC
Synthetic
3,055,950
678,624
NAVIENT STUDENT LOA 2A A2 144A
Synthetic
677,292
930,000
NEXTGEAR FLOORPLAN 1A A1 144A
Synthetic
933,367
31
3,855,000
NEXTGEAR FLOORPLAN 1A A1 144A
Synthetic
3,889,989
4,838,000
PHILLIPS 66
Synthetic
4,846,943
2,500,000
PNC BANK NA
Synthetic
2,505,927
3,352,934
ROSSLYN PORTFOLIO ROSS A 144A
Synthetic
3,363,497
3,500,000
SEMPRA ENERGY
Synthetic
3,503,318
1,982,243
SLM STUDENT LOAN TRUST 20 6 A3
Synthetic
1,959,679
5,000,000
STANDARD CHARTERED PLC 144A
Synthetic
5,046,324
2,500,000
SUMITOMO MITSUI FINANCIAL GROU
Synthetic
2,527,832
4,627,989
THARALDSON HOTEL PO THL A 144A
Synthetic
4,491,134
3,000,000
TORONTO-DOMINION BANK/THE
Synthetic
3,039,709
1,821,000
TORONTO-DOMINION BANK/THE
Synthetic
1,829,716
2,667,000
TRUIST BANK
Synthetic
2,677,730
83,000,000
U S TREASURY NOTE
Synthetic
83,005,058
1,364,000
US BANK NA/CINCINNATI OH
Synthetic
1,368,563
3,500,000
US BANK NA/CINCINNATI OH
Synthetic
3,505,872
2,500,000
VERIZON COMMUNICATIONS INC
Synthetic
2,528,624
4,000,000
VERIZON COMMUNICATIONS INC
Synthetic
4,114,301
1,649,156
VOLKSWAGEN AUTO LEASE TR A A2B
Synthetic
1,650,460
1,703,006
VOLKSWAGEN AUTO LOAN ENH 1 A2B
Synthetic
1,707,295
5,000,000
VOLVO FINANCIAL EQUIP A A 144A
Synthetic
5,011,820
2,500,000
VULCAN MATERIALS CO
Synthetic
2,502,943
3,250,000
WELLS FARGO & CO
Synthetic
3,258,028
3,000,000
WELLS FARGO COM NXS5 A6FL 144A
Synthetic
3,034,758
3,000,000
WESTPAC BANKING CORP
Synthetic
3,013,929
2,811,000
SOUTHERN CALIFORNIA EDISON CO
Synthetic
2,812,094
372,286,544
3,836,181
EB TEMP INV FD
Common Collective Trust Fund
3,836,181
Mass Mutual
88,504,483
IGT Jennison Short Term Bond Fund
Synthetic
111,323,595
95,155,053
IGT Pimco Intermediate Fund
Synthetic
278,517,794
389,841,389
Trans America
117,295,642
IGT Invesco Intermediate Fund
Synthetic
278,082,280
88,174,914
IGT Jennison Short Term Bond Fund
Synthetic
110,909,053
388,991,333
PAC Life
88,131,125
IGT Jennison Short Term Bond Fund
Synthetic
110,853,974
139,022,237
IGT Loomis Sayles Intermediate Fund
Synthetic
280,255,067
391,109,041
Prudential
124,240,367
IGT Jennison Intermediate Fund
Synthetic
280,874,424
89,393,695
IGT Jennison Short Term Bond Fund
Synthetic
112,442,071
393,316,495
VOYA
180,260,419
IGT Invesco Intermediate Fund
Synthetic
334,414,083
State Street
180,246,907
IGT Invesco Intermediate Fund
Synthetic
334,389,016
76,628,041
EB Temporary Investment Fund II*
Common Collective Trust Fund
76,628,041
Stable Value Fund Subtotal
$
3,165,987,691
Diversified Bond Fund
Loomis Sayles, Dodge & Cox and Vanguard
Separately Managed Fund
865,000
ABBVIE INC
Corporate bonds
$
972,477
1,085,000
ABBVIE INC
Corporate bonds
1,317,976
2,415,000
ABBVIE INC
Corporate bonds
3,039,382
75,000
ANHEUSER-BUSCH COS LLC / ANHEU
Corporate bonds
99,049
790,000
ANHEUSER-BUSCH INBEV WORLDWIDE
Corporate bonds
1,142,523
430,000
ANHEUSER-BUSCH INBEV WORLDWIDE
Corporate bonds
529,149
32
475,000
ANHEUSER-BUSCH INBEV WORLDWIDE
Corporate bonds
611,678
940,000
ANHEUSER-BUSCH INBEV WORLDWIDE
Corporate bonds
1,091,603
304,000
AT&T INC
Corporate bonds
367,886
740,000
AT&T INC
Corporate bonds
792,477
710,000
AT&T INC
Corporate bonds
1,114,868
1,520,000
AT&T INC 144A
Corporate bonds
1,537,452
654,000
AT&T INC 144A
Corporate bonds
658,422
2,849,000
AT&T INC 144A
Corporate bonds
2,906,497
1,150,000
BANK OF AMERICA CORP
Corporate bonds
1,304,174
1,305,000
BANK OF AMERICA CORP
Corporate bonds
1,541,353
2,975,000
BANK OF AMERICA CORP
Corporate bonds
3,133,948
530,000
BANK OF AMERICA CORP
Corporate bonds
567,966
1,915,000
BANK OF AMERICA CORP
Corporate bonds
2,440,330
1,685,000
BARCLAYS PLC
Corporate bonds
1,897,267
575,000
BARCLAYS PLC
Corporate bonds
672,634
350,000
BARCLAYS PLC
Corporate bonds
405,848
425,000
BAT CAPITAL CORP
Corporate bonds
443,730
1,150,000
BAT CAPITAL CORP
Corporate bonds
1,199,464
175,000
BAT CAPITAL CORP
Corporate bonds
184,275
1,150,000
BAT CAPITAL CORP
Corporate bonds
1,212,288
2,125,000
BAYER US FINANCE II LLC 144A
Corporate bonds
2,318,467
590,000
BAYER US FINANCE II LLC 144A
Corporate bonds
675,532
590,000
BAYER US FINANCE II LLC 144A
Corporate bonds
695,115
2,685,000
BNP PARIBAS SA
Corporate bonds
3,047,251
815,000
BNP PARIBAS SA 144A
Corporate bonds
940,324
510,000
BNP PARIBAS SA 144A
Corporate bonds
589,197
2,560,000
BNP PARIBAS SA 144A
Corporate bonds
3,016,492
151,315
BNSF RAILWAY CO 2007-1 PASS TH
Corporate bonds
168,600
507,602
BNSF RAILWAY CO 2015-1 PA 144A
Corporate bonds
574,106
370,000
BOSTON PROPERTIES LP
Corporate bonds
373,480
535,000
BOSTON PROPERTIES LP
Corporate bonds
577,752
135,000
BOSTON PROPERTIES LP
Corporate bonds
144,603
450,000
BOSTON PROPERTIES LP
Corporate bonds
496,095
205,000
BOSTON PROPERTIES LP
Corporate bonds
236,419
330,000
BOSTON PROPERTIES LP
Corporate bonds
364,466
425,000
BOSTON PROPERTIES LP
Corporate bonds
509,912
115,000
BOSTON PROPERTIES LP
Corporate bonds
124,813
1,810,000
BOSTON PROPERTIES LP
Corporate bonds
2,020,231
280,000
BURLINGTON NORTHERN SANTA FE L
Corporate bonds
293,724
560,000
BURLINGTON NORTHERN SANTA FE L
Corporate bonds
613,937
910,000
CAPITAL ONE FINANCIAL CORP
Corporate bonds
977,936
105,000
CAPITAL ONE FINANCIAL CORP
Corporate bonds
115,712
325,000
CAPITAL ONE FINANCIAL CORP
Corporate bonds
358,842
895,000
CAPITAL ONE FINANCIAL CORP
Corporate bonds
1,028,306
1,605,000
CEMEX SAB DE CV 144A
Corporate bonds
1,683,511
1,885,000
CEMEX SAB DE CV 144A
Corporate bonds
2,018,167
955,000
CEMEX SAB DE CV 144A
Corporate bonds
1,091,877
925,000
CEMEX SAB DE CV 144A
Corporate bonds
1,028,158
770,000
CHARTER COMMUNICATIONS OPERATI
Corporate bonds
910,901
3,225,000
CHARTER COMMUNICATIONS OPERATI
Corporate bonds
4,601,130
405,000
CHARTER COMMUNICATIONS OPERATI
Corporate bonds
509,111
2,335,000
CHARTER COMMUNICATIONS OPERATI
Corporate bonds
3,088,780
70,000
CHARTER COMMUNICATIONS OPERATI
Corporate bonds
84,728
1,145,000
CIGNA CORP
Corporate bonds
1,257,624
335,000
CIGNA CORP
Corporate bonds
387,693
835,000
CIGNA CORP
Corporate bonds
1,016,966
190,000
CIGNA CORP
Corporate bonds
260,382
510,000
CITIGROUP INC
Corporate bonds
548,703
220,000
CITIGROUP INC
Corporate bonds
248,389
485,000
CITIGROUP INC
Corporate bonds
593,548
880,000
COCA-COLA CO/THE
Corporate bonds
1,045,369
2,450,000
COCA-COLA CO/THE
Corporate bonds
2,519,852
33
665,000
COX COMMUNICATIONS INC 144A
Corporate bonds
701,411
1,770,000
COX COMMUNICATIONS INC 144A
Corporate bonds
1,862,227
1,630,000
COX COMMUNICATIONS INC 144A
Corporate bonds
1,843,945
980,000
COX COMMUNICATIONS INC 144A
Corporate bonds
1,110,828
340,000
COX COMMUNICATIONS INC 144A
Corporate bonds
388,872
750,000
CRH AMERICA INC 144A
Corporate bonds
845,900
300,000
DELL INTERNATIONAL LLC / 144A
Corporate bonds
381,339
105,000
DELL INTERNATIONAL LLC / 144A
Corporate bonds
116,387
210,000
DELL INTERNATIONAL LLC / 144A
Corporate bonds
256,750
150,000
DILLARD'S INC
Corporate bonds
175,421
90,000
DILLARD'S INC
Corporate bonds
99,562
200,000
DILLARD'S INC
Corporate bonds
216,532
165,000
DOMINION ENERGY INC
Corporate bonds
189,343
685,000
DOMINION ENERGY INC
Corporate bonds
698,112
1,680,000
DOMINION ENERGY INC
Corporate bonds
1,896,132
485,000
DOW CHEMICAL CO/THE
Corporate bonds
697,491
1,085,000
DOW CHEMICAL CO/THE
Corporate bonds
1,960,727
280,000
DOW CHEMICAL CO/THE
Corporate bonds
371,902
1,100,000
DOW CHEMICAL CO/THE
Corporate bonds
1,587,245
230,000
ELANCO ANIMAL HEALTH INC
Corporate bonds
255,418
230,000
ELANCO ANIMAL HEALTH INC
Corporate bonds
239,066
1,205,000
ELANCO ANIMAL HEALTH INC
Corporate bonds
1,446,191
1,780,000
ENEL FINANCE INTERNATIONA 144A
Corporate bonds
2,655,244
1,145,000
ENEL FINANCE INTERNATIONA 144A
Corporate bonds
1,649,691
270,000
ENEL FINANCE INTERNATIONA 144A
Corporate bonds
307,353
850,000
ENEL FINANCE INTERNATIONA 144A
Corporate bonds
1,001,591
765,000
ERP OPERATING LP
Corporate bonds
788,623
335,000
ERP OPERATING LP
Corporate bonds
354,876
1,045,000
EXXON MOBIL CORP
Corporate bonds
1,313,906
1,890,000
EXXON MOBIL CORP
Corporate bonds
2,497,665
705,000
EXXON MOBIL CORP
Corporate bonds
810,874
725,000
EXXON MOBIL CORP
Corporate bonds
795,900
1,535,000
FEDEX CORP
Corporate bonds
2,184,519
950,000
FORD MOTOR CREDIT CO LLC
Corporate bonds
980,267
1,360,000
FORD MOTOR CREDIT CO LLC
Corporate bonds
1,395,983
1,250,000
FORD MOTOR CREDIT CO LLC
Corporate bonds
1,309,770
1,615,000
FORD MOTOR CREDIT CO LLC
Corporate bonds
1,704,021
215,000
FORD MOTOR CREDIT CO LLC
Corporate bonds
220,301
895,000
FORD MOTOR CREDIT CO LLC
Corporate bonds
935,848
1,370,000
FORD MOTOR CREDIT CO LLC
Corporate bonds
1,396,876
745,000
FORD MOTOR CREDIT CO LLC
Corporate bonds
790,242
835,000
FORD MOTOR CREDIT CO LLC
Corporate bonds
882,880
80,000
HCA INC
Corporate bonds
94,867
785,000
HCA INC
Corporate bonds
912,103
275,000
HCA INC
Corporate bonds
352,513
800,000
HCA INC
Corporate bonds
1,058,504
1,590,000
HSBC HOLDINGS PLC
Corporate bonds
2,319,720
2,315,000
HSBC HOLDINGS PLC
Corporate bonds
3,431,954
245,000
HSBC HOLDINGS PLC
Corporate bonds
372,497
815,000
HSBC HOLDINGS PLC
Corporate bonds
950,006
450,000
HSBC HOLDINGS PLC
Corporate bonds
485,646
470,000
HSBC HOLDINGS PLC
Corporate bonds
595,072
940,000
HSBC HOLDINGS PLC
Corporate bonds
1,018,382
1,850,000
HSBC HOLDINGS PLC
Corporate bonds
1,988,706
550,000
HSBC HOLDINGS PLC
Corporate bonds
572,840
2,305,000
IMPERIAL BRANDS FINANCE P 144A
Corporate bonds
2,614,856
4,090,000
IMPERIAL BRANDS FINANCE P 144A
Corporate bonds
4,683,495
650,000
JPMORGAN CHASE & CO
Corporate bonds
698,377
845,000
JPMORGAN CHASE & CO
Corporate bonds
989,408
930,000
JPMORGAN CHASE & CO
Corporate bonds
1,112,733
70,000
JPMORGAN CHASE & CO
Corporate bonds
76,518
2,595,000
JPMORGAN CHASE & CO
Corporate bonds
3,223,598
34
480,000
JPMORGAN CHASE & CO
Corporate bonds
518,254
600,000
JPMORGAN CHASE & CO
Corporate bonds
671,626
1,445,000
JPMORGAN CHASE & CO
Corporate bonds
1,590,269
575,000
JPMORGAN CHASE & CO
Corporate bonds
872,437
360,000
KINDER MORGAN ENERGY PARTNERS
Corporate bonds
476,965
685,000
KINDER MORGAN ENERGY PARTNERS
Corporate bonds
959,244
510,000
KINDER MORGAN ENERGY PARTNERS
Corporate bonds
676,363
555,000
KINDER MORGAN ENERGY PARTNERS
Corporate bonds
661,494
610,000
KINDER MORGAN ENERGY PARTNERS
Corporate bonds
726,783
680,000
KINDER MORGAN ENERGY PARTNERS
Corporate bonds
871,867
490,000
KINDER MORGAN ENERGY PARTNERS
Corporate bonds
623,057
1,025,000
KINDER MORGAN INC
Corporate bonds
1,321,997
195,000
KINDER MORGAN INC
Corporate bonds
251,393
65,000
KRAFT HEINZ FOODS CO
Corporate bonds
78,847
620,000
KRAFT HEINZ FOODS CO 144A
Corporate bonds
783,888
210,000
LLOYDS BANKING GROUP PLC
Corporate bonds
240,745
925,000
LLOYDS BANKING GROUP PLC
Corporate bonds
1,024,868
1,535,000
LLOYDS BANKING GROUP PLC
Corporate bonds
1,728,196
820,000
LLOYDS BANKING GROUP PLC
Corporate bonds
954,002
280,000
LYB INTERNATIONAL FINANCE III
Corporate bonds
328,255
150,000
MACY'S RETAIL HOLDINGS LLC
Corporate bonds
128,457
675,000
MACY'S RETAIL HOLDINGS LLC
Corporate bonds
520,007
590,000
NATWEST GROUP PLC
Corporate bonds
663,443
1,675,000
NATWEST GROUP PLC
Corporate bonds
1,917,647
2,455,000
NATWEST GROUP PLC
Corporate bonds
2,706,627
150,092
NAVIENT PRIVATE EDU A A2A 144A
Corporate bonds
152,745
690,000
NAVIENT STUDENT LOA 1A A3 144A
Corporate bonds
682,133
1,655,000
NAVIENT STUDENT LOA 1A A3 144A
Corporate bonds
1,686,577
435,000
NAVIENT STUDENT LOA 2A A2 144A
Corporate bonds
439,671
2,280,000
NAVIENT STUDENT LOA 3A A3 144A
Corporate bonds
2,306,259
1,295,000
NAVIENT STUDENT LOA 3A A3 144A
Corporate bonds
1,294,062
1,553,940
NAVIENT STUDENT LOA 4A A2 144A
Corporate bonds
1,550,777
455,000
NAVIENT STUDENT LOA 4A A2 144A
Corporate bonds
453,721
805,000
NAVIENT STUDENT LOA 4A A3 144A
Corporate bonds
805,605
1,070,000
NAVIENT STUDENT LOA 6A A3 144A
Corporate bonds
1,092,028
1,592,375
NAVIENT STUDENT LOAN 1A A 144A
Corporate bonds
1,599,539
1,231,801
NAVIENT STUDENT LOAN 2A A 144A
Corporate bonds
1,247,512
489,101
NAVIENT STUDENT LOAN 3A A 144A
Corporate bonds
489,906
1,829,838
NAVIENT STUDENT LOAN 5A A 144A
Corporate bonds
1,853,632
1,916,325
NAVIENT STUDENT LOAN 5A A 144A
Corporate bonds
1,911,775
1,518,588
NAVIENT STUDENT LOAN 7A A 144A
Corporate bonds
1,537,131
140,000
NORDSTROM INC
Corporate bonds
162,111
275,000
OCCIDENTAL PETROLEUM CORP
Corporate bonds
260,449
2,495,000
OCCIDENTAL PETROLEUM CORP
Corporate bonds
2,316,339
1,360,000
OCCIDENTAL PETROLEUM CORP
Corporate bonds
1,323,900
75,000
OCCIDENTAL PETROLEUM CORP
Corporate bonds
64,632
930,000
ORACLE CORP
Corporate bonds
1,046,726
520,000
ORACLE CORP
Corporate bonds
613,697
135,000
PETROBRAS GLOBAL FINANCE BV
Corporate bonds
176,978
1,065,000
PETROBRAS GLOBAL FINANCE BV
Corporate bonds
1,370,708
4,450,000
PETROBRAS GLOBAL FINANCE BV
Corporate bonds
5,077,381
1,030,000
PETROBRAS GLOBAL FINANCE BV
Corporate bonds
1,285,183
1,350,000
PETROLEOS MEXICANOS
Corporate bonds
1,340,475
380,000
PETROLEOS MEXICANOS
Corporate bonds
356,815
960,000
PETROLEOS MEXICANOS
Corporate bonds
906,700
850,000
PETROLEOS MEXICANOS
Corporate bonds
952,487
560,000
PETROLEOS MEXICANOS
Corporate bonds
535,500
1,835,000
PETROLEOS MEXICANOS
Corporate bonds
1,968,386
1,055,000
PETROLEOS MEXICANOS
Corporate bonds
982,224
2,355,000
PETROLEOS MEXICANOS
Corporate bonds
2,535,864
2,650,000
PETROLEOS MEXICANOS
Corporate bonds
2,761,301
570,000
PETROLEOS MEXICANOS
Corporate bonds
553,007
35
2,535,000
PROSUS NV 144A
Corporate bonds
2,970,879
1,050,000
PROSUS NV 144A
Corporate bonds
1,231,877
2,730,000
PROSUS NV 144A
Corporate bonds
3,015,303
420,000
RELX CAPITAL INC
Corporate bonds
503,389
1,707,156
RIO OIL FINANCE TRUST SER 144A
Corporate bonds
1,923,709
482,949
RIO OIL FINANCE TRUST SER 144A
Corporate bonds
570,136
441,000
RIO OIL FINANCE TRUST SER 144A
Corporate bonds
502,463
131,409
SEASONED CREDIT RISK TR 4 M45T
Corporate bonds
145,098
468,310
SLM STUDENT LOAN T 3A A6A 144A
Corporate bonds
463,031
912,829
SLM STUDENT LOAN TR 8A A6 144A
Corporate bonds
897,650
775,159
SLM STUDENT LOAN TRUST 2 9 A7A
Corporate bonds
765,543
195,000
SLM STUDENT LOAN TRUST 20 2 A2
Corporate bonds
197,947
161,246
SLM STUDENT LOAN TRUST 201 3 A
Corporate bonds
162,526
117,097
SMB PRIVATE EDUCATI A A2A 144A
Corporate bonds
122,618
315,003
SMB PRIVATE EDUCATI A A2A 144A
Corporate bonds
334,034
398,356
SMB PRIVATE EDUCATI B A2A 144A
Corporate bonds
426,256
129,657
SMB PRIVATE EDUCATI B A2A 144A
Corporate bonds
134,625
2,875,000
SOUTHERN CO/THE
Corporate bonds
3,079,033
430,000
TELECOM ITALIA CAPITAL SA
Corporate bonds
594,161
1,170,000
TELECOM ITALIA CAPITAL SA
Corporate bonds
1,633,075
3,125,000
TELECOM ITALIA SPA/MILANO 144A
Corporate bonds
3,412,708
325,000
TIME WARNER CABLE LLC
Corporate bonds
449,682
790,000
TIME WARNER CABLE LLC
Corporate bonds
1,126,703
285,000
TIME WARNER CABLE LLC
Corporate bonds
292,845
790,000
T-MOBILE USA INC 144A
Corporate bonds
971,389
220,000
T-MOBILE USA INC 144A
Corporate bonds
273,435
1,185,000
T-MOBILE USA INC 144A
Corporate bonds
1,382,161
1,880,000
TRANSCANADA TRUST
Corporate bonds
2,072,276
1,300,000
TRANSCANADA TRUST
Corporate bonds
1,478,353
2,580,000
TRANSCANADA TRUST
Corporate bonds
2,775,062
1,020,000
TRANSCANADA TRUST
Corporate bonds
1,138,518
1,085,000
ULTRAPAR INTERNATIONAL SA 144A
Corporate bonds
1,220,523
1,890,000
ULTRAPAR INTERNATIONAL SA 144A
Corporate bonds
2,111,878
2,070,000
UNICREDIT SPA 144A
Corporate bonds
2,541,023
1,500,000
UNICREDIT SPA 144A
Corporate bonds
1,650,734
137,665
UNION PACIFIC RAILROAD CO 2006
Corporate bonds
166,436
152,260
UNION PACIFIC RAILROAD CO 2007
Corporate bonds
187,028
295,000
UNITED PARCEL SERVICE INC
Corporate bonds
422,859
135,000
UNUM GROUP
Corporate bonds
174,655
55,000
UNUM GROUP
Corporate bonds
69,616
1,170,000
VERIZON COMMUNICATIONS INC
Corporate bonds
1,474,176
535,000
WALT DISNEY CO/THE
Corporate bonds
850,019
915,000
WELLS FARGO & CO
Corporate bonds
1,051,898
1,120,000
WELLS FARGO & CO
Corporate bonds
1,333,660
330,000
WELLS FARGO & CO
Corporate bonds
361,637
310,000
WELLS FARGO & CO
Corporate bonds
332,031
3,200,000
WELLS FARGO & CO
Corporate bonds
4,586,662
1,725,000
WELLS FARGO BANK NA
Corporate bonds
1,886,322
905,000
WILLIAMS COS INC/THE
Corporate bonds
1,029,041
1,170,000
ZOETIS INC
Corporate bonds
1,372,735
170,100
CITIGROUP CAPITAL XIII
Corporate bonds
4,847,850
1,445,000
VODAFONE GROUP PLC
Corporate bonds
1,822,075
740,000
CALIFORNIA ST
Other Securities
1,247,203
590,000
CALIFORNIA ST
Other Securities
1,047,058
850,000
CALIFORNIA ST
Other Securities
1,418,548
380,000
CALIFORNIA ST
Other Securities
669,160
25,000
CALIFORNIA ST
Other Securities
45,536
2,945,000
ILLINOIS ST
Other Securities
3,181,955
45,000
LOS ANGELES CA UNIF SCH DIST
Other Securities
64,780
1,305,000
LOS ANGELES CA UNIF SCH DIST
Other Securities
2,007,051
290,000
NEW JERSEY ST TURNPIKE AUTH
Other Securities
497,080
1,045,000
NEW JERSEY ST TURNPIKE AUTH
Other Securities
1,743,488
36
7,060,000
U S TREASURY BILL
U. S. Government Securities
7,057,304
29,340,000
U S TREASURY NOTE
U. S. Government Securities
29,265,707
18,040,000
U S TREASURY NOTE
U. S. Government Securities
18,042,881
2,730,000
U S TREASURY NOTE
U. S. Government Securities
2,728,812
22,505,000
U S TREASURY NOTE
U. S. Government Securities
22,457,206
5,400,000
U S TREASURY NOTE
U. S. Government Securities
5,402,123
11,586,000
COMMIT TO PUR FNMA SF MTG
U. S. Government Securities
11,996,047
21,141,000
COMMIT TO PUR FNMA SF MTG
U. S. Government Securities
22,248,517
676,597
FHLMC POOL #84-0286
U. S. Government Securities
705,841
81,144
FHLMC POOL #84-0353
U. S. Government Securities
84,324
146,287
FHLMC POOL #84-0385
U. S. Government Securities
152,089
88,801
FHLMC POOL #84-0940
U. S. Government Securities
93,077
300,690
FHLMC POOL #84-9327
U. S. Government Securities
312,434
69,389
FHLMC POOL #84-9536
U. S. Government Securities
72,261
138,023
FHLMC POOL #84-9713
U. S. Government Securities
143,631
118,930
FHLMC POOL #84-9777
U. S. Government Securities
124,152
128,161
FHLMC POOL #C9-1382
U. S. Government Securities
142,074
164,681
FHLMC POOL #C9-1395
U. S. Government Securities
179,024
167,236
FHLMC POOL #C9-1765
U. S. Government Securities
182,936
136,616
FHLMC POOL #C9-1769
U. S. Government Securities
149,138
99,132
FHLMC POOL #C9-1795
U. S. Government Securities
108,597
168,910
FHLMC POOL #C9-1841
U. S. Government Securities
183,110
230,865
FHLMC POOL #C9-1853
U. S. Government Securities
250,270
93,330
FHLMC POOL #C9-1862
U. S. Government Securities
101,167
123,709
FHLMC POOL #G0-6447
U. S. Government Securities
140,628
139,946
FHLMC POOL #G0-6875
U. S. Government Securities
165,191
101,237
FHLMC POOL #G0-7775
U. S. Government Securities
113,165
607,260
FHLMC POOL #G0-7942
U. S. Government Securities
683,059
124,697
FHLMC POOL #G0-8607
U. S. Government Securities
139,593
1,028,327
FHLMC POOL #G0-8677
U. S. Government Securities
1,119,006
258,658
FHLMC POOL #G0-8694
U. S. Government Securities
281,094
164,702
FHLMC POOL #G0-8696
U. S. Government Securities
182,654
270,612
FHLMC POOL #G0-8699
U. S. Government Securities
294,541
125,614
FHLMC POOL #G0-8707
U. S. Government Securities
136,576
236,830
FHLMC POOL #G0-8712
U. S. Government Securities
257,241
491,566
FHLMC POOL #G0-8764
U. S. Government Securities
536,197
989,001
FHLMC POOL #G0-8768
U. S. Government Securities
1,078,501
361,850
FHLMC POOL #G0-8772
U. S. Government Securities
394,600
297,670
FHLMC POOL #G0-8776
U. S. Government Securities
326,336
98,678
FHLMC POOL #G3-0683
U. S. Government Securities
108,095
985,562
FHLMC POOL #G3-0804
U. S. Government Securities
1,079,802
140,321
FHLMC POOL #G3-0964
U. S. Government Securities
152,125
190,365
FHLMC POOL #G6-0153
U. S. Government Securities
214,373
179,857
FHLMC POOL #G6-0198
U. S. Government Securities
202,077
98,881
FHLMC POOL #G6-0342
U. S. Government Securities
111,360
141,300
FHLMC POOL #G6-0384
U. S. Government Securities
158,576
82,673
FHLMC POOL #G6-0819
U. S. Government Securities
92,774
307,941
FHLMC POOL #G6-0887
U. S. Government Securities
345,562
223,266
FHLMC POOL #G6-0914
U. S. Government Securities
250,534
215,351
FHLMC POOL #G6-0920
U. S. Government Securities
242,370
313,901
FHLMC POOL #G6-1169
U. S. Government Securities
347,145
447,664
FHLMC POOL #G6-1185
U. S. Government Securities
494,741
163,082
FHLMC POOL #G6-1220
U. S. Government Securities
175,993
115,132
FHLMC POOL #G6-1230
U. S. Government Securities
124,177
282,480
FHLMC POOL #G6-1289
U. S. Government Securities
307,240
328,122
FHLMC POOL #G6-1290
U. S. Government Securities
357,521
456,108
FHLMC POOL #Q4-8372
U. S. Government Securities
501,392
199,504
FHLMC POOL #QB-0320
U. S. Government Securities
211,899
295,753
FHLMC POOL #QB-0354
U. S. Government Securities
315,503
545,516
FHLMC POOL #RA-2623
U. S. Government Securities
581,945
519,398
FHLMC POOL #RA-2729
U. S. Government Securities
551,011
685,106
FHLMC POOL #RA-2892
U. S. Government Securities
728,899
37
1,331,976
FHLMC POOL #RA-2957
U. S. Government Securities
1,386,313
785,045
FHLMC POOL #RA-3019
U. S. Government Securities
833,821
21,768,960
FHLMC POOL #RA-3050
U. S. Government Securities
22,656,974
1,449,450
FHLMC POOL #RA-3454
U. S. Government Securities
1,512,311
941,081
FHLMC POOL #SC-0017
U. S. Government Securities
1,001,303
220,991
FHLMC POOL #V8-3157
U. S. Government Securities
244,193
484,275
FHLMC POOL #V8-3204
U. S. Government Securities
528,155
1,249,967
FHLMC MULTICLASS MTG 1511 X1
U. S. Government Securities
98,702
490,783
FHLMC MULTICLASS MTG 4281 BC
U. S. Government Securities
557,051
291,534
FHLMC MULTICLASS MTG 4283 DW
U. S. Government Securities
333,895
173,843
FHLMC MULTICLASS MTG 4283 EW
U. S. Government Securities
189,708
98,658
FHLMC MULTICLASS MTG 4319 MA
U. S. Government Securities
111,653
824,582
FHLMC MULTICLASS MTG K055 X1
U. S. Government Securities
51,629
284,842
FHLMC MULTICLASS MTG K056 X1
U. S. Government Securities
16,679
2,259,874
FHLMC MULTICLASS MTG K062 X1
U. S. Government Securities
40,058
2,880,667
FHLMC MULTICLASS MTG K064 X1
U. S. Government Securities
98,374
3,345,105
FHLMC MULTICLASS MTG K065 X1
U. S. Government Securities
129,842
2,667,190
FHLMC MULTICLASS MTG K066 X1
U. S. Government Securities
116,458
3,366,517
FHLMC MULTICLASS MTG K067 X1
U. S. Government Securities
118,265
694,165
FHLMC MULTICLASS MTG K069 X1
U. S. Government Securities
16,243
1,411,642
FHLMC MULTICLASS MTG K070 X1
U. S. Government Securities
30,812
1,811,847
FHLMC MULTICLASS MTG K071 X1
U. S. Government Securities
33,747
3,679,845
FHLMC MULTICLASS MTG K089 X1
U. S. Government Securities
151,180
1,848,754
FHLMC MULTICLASS MTG K091 X1
U. S. Government Securities
79,138
3,449,134
FHLMC MULTICLASS MTG K092 X1
U. S. Government Securities
186,077
1,650,526
FHLMC MULTICLASS MTG K093 X1
U. S. Government Securities
116,514
2,287,059
FHLMC MULTICLASS MTG K094 X1
U. S. Government Securities
153,298
1,591,315
FHLMC MULTICLASS MTG K095 X1
U. S. Government Securities
113,589
3,870,306
FHLMC MULTICLASS MTG K096 X1
U. S. Government Securities
330,213
1,733,741
FHLMC MULTICLASS MTG K097 X1
U. S. Government Securities
145,529
3,360,197
FHLMC MULTICLASS MTG K098 X1
U. S. Government Securities
295,300
3,657,556
FHLMC MULTICLASS MTG K099 X1
U. S. Government Securities
250,381
1,407,467
FHLMC MULTICLASS MTG K101 X1
U. S. Government Securities
92,286
3,913,136
FHLMC MULTICLASS MTG K102 X1
U. S. Government Securities
254,557
903,041
FHLMC MULTICLASS MTG K152 X1
U. S. Government Securities
68,445
2,731,166
FHLMC MULTICLASS MTG K154 X1
U. S. Government Securities
78,808
136,639
FNMA POOL #0555424
U. S. Government Securities
159,628
98,848
FNMA POOL #0725228
U. S. Government Securities
118,778
130,490
FNMA POOL #0725330
U. S. Government Securities
156,535
156,657
FNMA POOL #0995788
U. S. Government Securities
182,909
145,931
FNMA POOL #0AD8529
U. S. Government Securities
162,551
310,575
FNMA POOL #0AE3049
U. S. Government Securities
348,610
77,284
FNMA POOL #0AE4624
U. S. Government Securities
84,466
476,094
FNMA POOL #0AH6790
U. S. Government Securities
534,316
199,577
FNMA POOL #0AL0787
U. S. Government Securities
212,274
479,903
FNMA POOL #0AL4160
U. S. Government Securities
532,184
198,377
FNMA POOL #0AL5441
U. S. Government Securities
223,449
390,137
FNMA POOL #0AL5548
U. S. Government Securities
410,700
359,251
FNMA POOL #0AL5856
U. S. Government Securities
393,292
85,081
FNMA POOL #0AL5858
U. S. Government Securities
88,164
408,133
FNMA POOL #0AL5862
U. S. Government Securities
447,533
704,981
FNMA POOL #0AL5863
U. S. Government Securities
782,014
625,979
FNMA POOL #0AL5931
U. S. Government Securities
665,808
234,534
FNMA POOL #0AL5958
U. S. Government Securities
251,088
90,099
FNMA POOL #0AL5964
U. S. Government Securities
93,333
78,448
FNMA POOL #0AL6111
U. S. Government Securities
81,355
226,234
FNMA POOL #0AL6138
U. S. Government Securities
247,933
191,732
FNMA POOL #0AL6148
U. S. Government Securities
210,135
78,467
FNMA POOL #0AL6664
U. S. Government Securities
81,280
123,075
FNMA POOL #0AL6886
U. S. Government Securities
138,233
317,728
FNMA POOL #0AL6932
U. S. Government Securities
347,049
158,089
FNMA POOL #0AL7049
U. S. Government Securities
177,751
38
409,725
FNMA POOL #0AL7147
U. S. Government Securities
459,668
145,673
FNMA POOL #0AL7205
U. S. Government Securities
156,609
466,374
FNMA POOL #0AL7384
U. S. Government Securities
524,392
91,213
FNMA POOL #0AL8133
U. S. Government Securities
95,206
101,281
FNMA POOL #0AL8289
U. S. Government Securities
104,776
127,292
FNMA POOL #0AL8338
U. S. Government Securities
143,248
106,761
FNMA POOL #0AL8486
U. S. Government Securities
110,577
96,721
FNMA POOL #0AL8675
U. S. Government Securities
108,936
366,460
FNMA POOL #0AL8830
U. S. Government Securities
404,715
436,049
FNMA POOL #0AL9098
U. S. Government Securities
452,827
318,562
FNMA POOL #0AL9128
U. S. Government Securities
357,349
561,910
FNMA POOL #0AL9256
U. S. Government Securities
597,689
713,880
FNMA POOL #0AL9257
U. S. Government Securities
766,667
216,937
FNMA POOL #0AL9407
U. S. Government Securities
243,970
252,092
FNMA POOL #0AL9579
U. S. Government Securities
283,576
543,987
FNMA POOL #0AL9840
U. S. Government Securities
592,316
105,727
FNMA POOL #0AS2275
U. S. Government Securities
118,998
106,490
FNMA POOL #0AS4099
U. S. Government Securities
118,724
348,088
FNMA POOL #0AS5841
U. S. Government Securities
379,225
262,891
FNMA POOL #0AS5842
U. S. Government Securities
286,638
163,556
FNMA POOL #0AS8700
U. S. Government Securities
179,852
405,704
FNMA POOL #0AS8833
U. S. Government Securities
446,126
590,018
FNMA POOL #0AS8983
U. S. Government Securities
651,714
603,203
FNMA POOL #0AS8984
U. S. Government Securities
662,354
250,416
FNMA POOL #0AS9299
U. S. Government Securities
266,155
333,035
FNMA POOL #0AS9618
U. S. Government Securities
365,881
931,845
FNMA POOL #0AS9760
U. S. Government Securities
1,023,784
97,614
FNMA POOL #0AU6687
U. S. Government Securities
105,014
263,802
FNMA POOL #0AX3721
U. S. Government Securities
280,767
156,342
FNMA POOL #0AX7607
U. S. Government Securities
172,019
365,831
FNMA POOL #0BF0107
U. S. Government Securities
419,940
343,984
FNMA POOL #0BF0118
U. S. Government Securities
394,861
292,895
FNMA POOL #0BF0199
U. S. Government Securities
328,191
67,986
FNMA POOL #0BH1189
U. S. Government Securities
71,067
78,490
FNMA POOL #0BH2522
U. S. Government Securities
82,147
81,630
FNMA POOL #0BH5298
U. S. Government Securities
85,430
667,162
FNMA POOL #0BJ9262
U. S. Government Securities
727,144
1,033,028
FNMA POOL #0BK0922
U. S. Government Securities
1,126,303
771,314
FNMA POOL #0BK2588
U. S. Government Securities
815,394
85,639
FNMA POOL #0BM1063
U. S. Government Securities
95,989
127,847
FNMA POOL #0BM1106
U. S. Government Securities
143,313
187,438
FNMA POOL #0BM1176
U. S. Government Securities
210,912
303,759
FNMA POOL #0BM1357
U. S. Government Securities
340,075
229,270
FNMA POOL #0BM1647
U. S. Government Securities
251,418
89,499
FNMA POOL #0BM1695
U. S. Government Securities
93,151
208,662
FNMA POOL #0BM3363
U. S. Government Securities
225,896
862,168
FNMA POOL #0BM3386
U. S. Government Securities
939,271
304,860
FNMA POOL #0BM3836
U. S. Government Securities
319,202
1,829,091
FNMA POOL #0BM4804
U. S. Government Securities
2,000,999
60,654
FNMA POOL #0BM5045
U. S. Government Securities
63,312
185,066
FNMA POOL #0BM5117
U. S. Government Securities
201,705
538,972
FNMA POOL #0BM5704
U. S. Government Securities
598,241
171,947
FNMA POOL #0BM6102
U. S. Government Securities
180,803
292,224
FNMA POOL #0BM6108
U. S. Government Securities
305,989
106,336
FNMA POOL #0BM6112
U. S. Government Securities
111,520
230,333
FNMA POOL #0BM6115
U. S. Government Securities
239,772
336,887
FNMA POOL #0BM6117
U. S. Government Securities
346,613
167,404
FNMA POOL #0CA1218
U. S. Government Securities
182,849
324,667
FNMA POOL #0CA5443
U. S. Government Securities
336,652
1,292,017
FNMA POOL #0CA6035
U. S. Government Securities
1,378,300
15,891,681
FNMA POOL #0CA6329
U. S. Government Securities
16,952,945
14,123,166
FNMA POOL #0CA6564
U. S. Government Securities
15,066,315
39
9,162,076
FNMA POOL #0CA7728
U. S. Government Securities
9,785,367
10,556,814
FNMA POOL #0CA8099
U. S. Government Securities
11,021,101
1,279,245
FNMA POOL #0FM1646
U. S. Government Securities
1,358,696
379,922
FNMA POOL #0FM3473
U. S. Government Securities
402,823
886,812
FNMA POOL #0FM3478
U. S. Government Securities
944,642
21,634,444
FNMA POOL #0FM3818
U. S. Government Securities
23,079,178
173,450
FNMA POOL #0MA0792
U. S. Government Securities
192,363
270,060
FNMA POOL #0MA0816
U. S. Government Securities
299,511
407,346
FNMA POOL #0MA1662
U. S. Government Securities
446,128
212,225
FNMA POOL #0MA1689
U. S. Government Securities
233,915
351,453
FNMA POOL #0MA1764
U. S. Government Securities
385,005
334,378
FNMA POOL #0MA1773
U. S. Government Securities
366,131
413,460
FNMA POOL #0MA1814
U. S. Government Securities
452,674
232,265
FNMA POOL #0MA1858
U. S. Government Securities
254,379
296,582
FNMA POOL #0MA1890
U. S. Government Securities
324,591
156,890
FNMA POOL #0MA1960
U. S. Government Securities
171,304
496,839
FNMA POOL #0MA1983
U. S. Government Securities
542,638
261,587
FNMA POOL #0MA2019
U. S. Government Securities
286,497
384,628
FNMA POOL #0MA2055
U. S. Government Securities
421,255
344,955
FNMA POOL #0MA2079
U. S. Government Securities
377,805
346,044
FNMA POOL #0MA2121
U. S. Government Securities
379,000
157,333
FNMA POOL #0MA2141
U. S. Government Securities
172,316
109,496
FNMA POOL #0MA2447
U. S. Government Securities
118,052
113,007
FNMA POOL #0MA2480
U. S. Government Securities
123,791
947,598
FNMA POOL #0MA2923
U. S. Government Securities
1,006,468
128,173
FNMA POOL #0MA3462
U. S. Government Securities
136,393
161,464
FNMA POOL #0MA3814
U. S. Government Securities
171,801
153,738
FNMA POOL #0MA3894
U. S. Government Securities
168,402
129,025
FNMA GTD REMIC P/T 10-123 WT
U. S. Government Securities
154,878
143,762
FNMA GTD REMIC P/T 13-98 FA
U. S. Government Securities
145,291
186,568
GNMA GTD REMIC P/T 16-H02 FB
U. S. Government Securities
188,631
131,170
GNMA GTD REMIC P/T 16-H09 FH
U. S. Government Securities
133,334
112,182
GNMA GTD REMIC P/T 16-H09 FM
U. S. Government Securities
114,018
117,508
GNMA GTD REMIC P/T 16-H21 CF
U. S. Government Securities
117,493
327,714
GNMA GTD REMIC P/T 16-H23 F
U. S. Government Securities
331,591
140,689
GNMA GTD REMIC P/T 16-H24 FB
U. S. Government Securities
142,653
218,014
GNMA GTD REMIC P/T 16-H27 BF
U. S. Government Securities
217,635
592,359
GNMA GTD REMIC P/T 17-H02 BF
U. S. Government Securities
592,517
235,240
GNMA GTD REMIC P/T 17-H02 FP
U. S. Government Securities
235,393
640,623
GNMA GTD REMIC P/T 17-H03 F
U. S. Government Securities
640,793
121,437
GNMA GTD REMIC P/T 17-H08 FG
U. S. Government Securities
121,505
151,249
GNMA GTD REMIC P/T 17-H10 FA
U. S. Government Securities
151,489
125,450
GNMA GTD REMIC P/T 17-H11 FB
U. S. Government Securities
125,661
278,285
GNMA GTD REMIC P/T 17-H12 FQ
U. S. Government Securities
277,642
626,418
GNMA GTD REMIC P/T 17-H13 FQ
U. S. Government Securities
624,582
141,881
GNMA GTD REMIC P/T 17-H14 FA
U. S. Government Securities
142,063
144,769
GNMA GTD REMIC P/T 17-H16 BF
U. S. Government Securities
144,211
185,117
GNMA GTD REMIC P/T 17-H17 FB
U. S. Government Securities
186,308
436,986
GNMA GTD REMIC P/T 17-H17 FQ
U. S. Government Securities
436,248
143,917
GNMA GTD REMIC P/T 17-H18 GF
U. S. Government Securities
143,604
1,012,708
GNMA GTD REMIC P/T 17-H20 BF
U. S. Government Securities
1,008,984
305,872
GNMA GTD REMIC P/T 17-H20 FB
U. S. Government Securities
305,054
465,157
GNMA GTD REMIC P/T 17-H20 FG
U. S. Government Securities
463,542
200,633
GNMA GTD REMIC P/T 17-H21 FA
U. S. Government Securities
199,973
838,922
GNMA GTD REMIC P/T 17-H22 FA
U. S. Government Securities
834,932
147,230
GNMA GTD REMIC P/T 17-H22 FH
U. S. Government Securities
146,603
107,075
GNMA GTD REMIC P/T 17-H22 FK
U. S. Government Securities
106,540
219,646
GNMA GTD REMIC P/T 17-H25 CF
U. S. Government Securities
218,158
101,365
GNMA GTD REMIC P/T 18-H01 FE
U. S. Government Securities
100,648
283,471
GNMA GTD REMIC P/T 18-H02 FA
U. S. Government Securities
281,467
287,422
GNMA GTD REMIC P/T 18-H02 FM
U. S. Government Securities
284,948
345,525
GNMA GTD REMIC P/T 18-H02 GF
U. S. Government Securities
342,272
40
659,964
GNMA GTD REMIC P/T 18-H02 HF
U. S. Government Securities
653,765
212,668
GNMA GTD REMIC P/T 18-H02 PF
U. S. Government Securities
211,426
528,797
GNMA GTD REMIC P/T 18-H03 FD
U. S. Government Securities
523,871
531,914
GNMA GTD REMIC P/T 18-H04 FJ
U. S. Government Securities
527,271
203,157
GNMA GTD REMIC P/T 18-H04 FK
U. S. Government Securities
200,813
336,989
GNMA GTD REMIC P/T 18-H05 BF
U. S. Government Securities
333,877
303,548
GNMA GTD REMIC P/T 18-H05 FE
U. S. Government Securities
301,122
364,992
GNMA GTD REMIC P/T 18-H06 AF
U. S. Government Securities
361,882
140,914
GNMA GTD REMIC P/T 18-H06 BF
U. S. Government Securities
138,967
251,825
GNMA GTD REMIC P/T 18-H06 EF
U. S. Government Securities
248,789
235,739
GNMA GTD REMIC P/T 18-H06 JF
U. S. Government Securities
232,890
114,748
GNMA GTD REMIC P/T 18-H06 MF
U. S. Government Securities
113,481
255,941
GNMA GTD REMIC P/T 18-H07 FA
U. S. Government Securities
252,669
247,450
GNMA GTD REMIC P/T 18-H09 FC
U. S. Government Securities
245,827
249,204
GNMA GTD REMIC P/T 18-H10 FV
U. S. Government Securities
248,571
157,509
GNMA GTD REMIC P/T 18-H11 FA
U. S. Government Securities
156,090
212,115
GNMA GTD REMIC P/T 18-H15 FK
U. S. Government Securities
210,393
383,994
GNMA GTD REMIC P/T 18-H17 DF
U. S. Government Securities
379,912
223,846
GNMA GTD REMIC P/T 18-H19 FE
U. S. Government Securities
223,610
198,441
GNMA GTD REMIC P/T 18-H19 FG
U. S. Government Securities
197,270
5,144,410
GNMA GTD REMIC P/T 18-H20 FB
U. S. Government Securities
5,159,520
191,267
GNMA GTD REMIC P/T 19-H04 FE
U. S. Government Securities
192,539
265,652
GNMA GTD REMIC P/T 19-H15 F
U. S. Government Securities
268,258
118,469
GNMA GTD REMIC P/T 19-H16 FC
U. S. Government Securities
119,164
421,201
GNMA GTD REMIC P/T 19-H17 FA
U. S. Government Securities
425,394
832,029
GNMA GTD REMIC P/T 19-H17 FB
U. S. Government Securities
843,253
182,343
GNMA GTD REMIC P/T 19-H18 EF
U. S. Government Securities
183,419
264,863
GNMA GTD REMIC P/T 19-H18 F
U. S. Government Securities
269,079
217,103
GNMA GTD REMIC P/T 19-H18 LF
U. S. Government Securities
219,607
164,884
GNMA GTD REMIC P/T 19-H20 AF
U. S. Government Securities
167,223
826,226
GNMA GTD REMIC P/T 20-H06 FA
U. S. Government Securities
833,031
—
FNMA POOL #0CA2204
U. S. Government Securities
20
—
FNMA POOL #0CA2212
U. S. Government Securities
549
—
FNMA POOL #0CA2385
U. S. Government Securities
22
—
FNMA POOL #0FM1401
U. S. Government Securities
665
1,783,000
ACWA POWER MANAGEMENT AND 144A
Corporate bonds
2,134,651
214,000
AES CORP/THE 144A
Corporate bonds
237,458
109,000
AES CORP/THE 144A
Corporate bonds
125,774
1,229,000
AIR LEASE CORP
Corporate bonds
1,355,713
187,000
AIR PRODUCTS AND CHEMICALS INC
Corporate bonds
195,507
200,000
AKER BP ASA 144A
Corporate bonds
212,664
1,035,000
ALBERTSONS COS INC / SAFE 144A
Corporate bonds
1,061,738
820,000
ALBERTSONS COS INC / SAFE 144A
Corporate bonds
839,300
1,879,000
ALLY FINANCIAL INC
Corporate bonds
1,985,358
696,000
ALTRIA GROUP INC
Corporate bonds
819,759
201,000
ALTRIA GROUP INC
Corporate bonds
214,281
958,000
AMERICA MOVIL SAB DE CV
Corporate bonds
1,042,824
1,384,000
AMERICAN EXPRESS CO
Corporate bonds
1,490,971
72,000
AMERICAN TOWER CORP
Corporate bonds
76,551
613,000
ANGLO AMERICAN CAPITAL PL 144A
Corporate bonds
787,516
200,000
ANGLO AMERICAN CAPITAL PL 144A
Corporate bonds
210,756
245,000
ANGLO AMERICAN CAPITAL PL 144A
Corporate bonds
277,869
1,050,000
ANHEUSER-BUSCH COS LLC / ANHEU
Corporate bonds
1,386,680
1,002,000
ANHEUSER-BUSCH INBEV WORLDWIDE
Corporate bonds
1,233,039
1,197,000
ANHEUSER-BUSCH INBEV WORLDWIDE
Corporate bonds
1,541,430
951,000
APPLE INC
Corporate bonds
1,022,878
1,551,000
APPLE INC
Corporate bonds
1,685,080
894,000
ARCHER-DANIELS-MIDLAND CO
Corporate bonds
1,041,489
135,000
ASBURY AUTOMOTIVE GROUP INC
Corporate bonds
142,763
135,000
ASBURY AUTOMOTIVE GROUP INC
Corporate bonds
146,925
200,000
ASCOT GROUP LTD 144A
Corporate bonds
204,128
41
220,000
AT&T INC
Corporate bonds
231,030
475,000
AT&T INC 144A
Corporate bonds
480,454
125,000
AT&T INC 144A
Corporate bonds
125,845
1,235,000
AT&T INC 144A
Corporate bonds
1,259,924
344,000
AT&T INC 144A
Corporate bonds
360,330
1,660,000
ATHENE GLOBAL FUNDING 144A
Corporate bonds
1,735,917
606,000
AVIS BUDGET RENTAL C 1A A 144A
Corporate bonds
609,937
525,000
AVIS BUDGET RENTAL C 1A A 144A
Corporate bonds
542,690
253,000
AVIS BUDGET RENTAL C 1A A 144A
Corporate bonds
259,947
760,000
AVIS BUDGET RENTAL C 2A A 144A
Corporate bonds
770,291
729,000
BACARDI LTD 144A
Corporate bonds
937,257
856,000
BACARDI LTD 144A
Corporate bonds
1,193,202
270,000
BAIDU INC
Corporate bonds
290,195
240,000
BAIDU INC
Corporate bonds
246,843
812,000
BANCO SANTANDER CHILE 144A
Corporate bonds
865,894
1,091,000
BANCO SANTANDER CHILE 144A
Corporate bonds
1,169,099
2,355,000
BANGKOK BANK PCL/HONG KON 144A
Corporate bonds
2,595,622
255,000
BANK 2019-BNK16 BN16 A4
Corporate bonds
302,492
758,929
BANK 2019-BNK22 BN22 A4
Corporate bonds
848,924
366,921
BANK 2019-BNK24 BN24 A3
Corporate bonds
410,426
516,000
BANK OF AMERICA CORP
Corporate bonds
543,569
3,408,000
BANK OF AMERICA CORP
Corporate bonds
3,870,914
358,000
BARCLAYS PLC
Corporate bonds
368,390
2,548,000
BAT CAPITAL CORP
Corporate bonds
2,746,583
1,825,000
BAT CAPITAL CORP
Corporate bonds
1,903,497
412,000
BAUSCH HEALTH COS INC 144A
Corporate bonds
433,223
714,000
BAUSCH HEALTH COS INC 144A
Corporate bonds
765,423
84,799
BAYVIEW KOITERE FU SPL3 A 144A
Corporate bonds
88,331
57,021
BAYVIEW OPPORTUNIT RT1 A1 144A
Corporate bonds
58,042
104,092
BAYVIEW OPPORTUNIT SPL1 A 144A
Corporate bonds
106,889
189,431
BAYVIEW OPPORTUNIT SPL1 A 144A
Corporate bonds
197,110
76,342
BAYVIEW OPPORTUNIT SPL2 A 144A
Corporate bonds
78,483
316,075
BAYVIEW OPPORTUNITY RT5 A 144A
Corporate bonds
325,301
550,000
BBVA BANCOMER SA/TEXAS 144A
Corporate bonds
558,451
146,000
BERKSHIRE HATHAWAY ENERGY 144A
Corporate bonds
190,435
1,263,000
BHARTI AIRTEL LTD 144A
Corporate bonds
1,376,319
416,000
BIOGEN INC
Corporate bonds
433,546
950,000
BIOGEN INC
Corporate bonds
995,933
2,226,000
BNP PARIBAS SA 144A
Corporate bonds
2,380,066
1,328,000
BOEING CO/THE
Corporate bonds
1,736,000
1,323,000
BOEING CO/THE
Corporate bonds
1,836,086
47,000
BOMBARDIER INC 144A
Corporate bonds
48,748
161,000
BOSTON GAS CO 144A
Corporate bonds
179,733
1,956,000
BRASKEM AMERICA FINANCE C 144A
Corporate bonds
2,315,843
1,090,000
BRF SA 144A
Corporate bonds
1,230,035
1,000,000
BRIGHTHOUSE FINANCIAL INC
Corporate bonds
1,241,668
121,000
BRIXMOR OPERATING PARTNERSHIP
Corporate bonds
141,617
1,565,000
BROADCOM INC
Corporate bonds
1,715,204
980,000
BROADCOM INC
Corporate bonds
1,132,772
165,000
BUNGE LTD FINANCE CORP
Corporate bonds
171,531
1,495,000
CALPINE CORP 144A
Corporate bonds
1,482,879
299,083
CARMAX AUTO OWNER TRUST 4 A2A
Corporate bonds
301,278
358,000
CATERPILLAR FINANCIAL SERVICES
Corporate bonds
382,495
412,000
CCL INDUSTRIES INC 144A
Corporate bonds
450,351
284,000
CCO HOLDINGS LLC / CCO HO 144A
Corporate bonds
299,215
1,480,000
CCO HOLDINGS LLC / CCO HO 144A
Corporate bonds
1,589,765
294,000
CELULOSA ARAUCO Y CONSTITUCION
Corporate bonds
328,915
727,000
CENTENE CORP
Corporate bonds
774,139
222,000
CHEVRON CORP
Corporate bonds
248,764
1,311,815
CITIGROUP COMMERCIAL M GC43 A4
Corporate bonds
1,475,957
790,000
CITIGROUP COMMERCIAL M GC46 A5
Corporate bonds
868,428
847,619
CITIGROUP COMMERCIAL MOR C7 A4
Corporate bonds
958,930
42
1,523,000
CITIGROUP INC
Corporate bonds
1,636,436
355,000
CITIGROUP INC
Corporate bonds
400,810
965,000
CITIGROUP INC
Corporate bonds
1,180,976
558,000
CK HUTCHISON INTERNATIONA 144A
Corporate bonds
608,188
903,000
CK HUTCHISON INTERNATIONA 144A
Corporate bonds
956,912
165,000
CLARK EQUIPMENT CO 144A
Corporate bonds
174,883
441,000
CNH INDUSTRIAL CAPITAL LLC
Corporate bonds
465,656
393,000
CNPC GENERAL CAPITAL LTD 144A
Corporate bonds
410,547
905,170
COINSTAR FUNDING LL 1A A2 144A
Corporate bonds
891,442
691,000
COMCAST CORP
Corporate bonds
763,572
417,000
COMCAST CORP
Corporate bonds
507,656
1,812,158
COMETA ENERGIA SA DE CV 144A
Corporate bonds
2,128,134
755,000
CONAGRA BRANDS INC
Corporate bonds
764,131
421,000
CONSTELLATION BRANDS INC
Corporate bonds
463,340
102,000
CONSTELLATION BRANDS INC
Corporate bonds
120,737
23,454
CONTINENTAL AIRLINES 2010-1 CL
Corporate bonds
24,000
104,702
CONTINENTAL AIRLINES 2012-2 CL
Corporate bonds
106,643
289,718
COREVEST AMERICAN FIN 3 A 144A
Corporate bonds
305,982
1,172,000
CORNING INC
Corporate bonds
1,617,058
1,302
COUNTRYWIDE ASSET-BACKED S1 A3
Corporate bonds
1,305
103,461
CREDIT ACCEPTANCE AU 3A B 144A
Corporate bonds
103,780
312,000
CREDIT SUISSE AG/NEW YORK NY
Corporate bonds
317,709
59,000
CROWN CASTLE INTERNATIONAL COR
Corporate bonds
72,938
602,000
CSMC 2014-USA OA L USA A2 144A
Corporate bonds
611,646
956,000
DAVITA INC 144A
Corporate bonds
1,018,240
154,680
DBUBS 2011-LC1 MOR LC1A E 144A
Corporate bonds
155,419
144,000
DEERE & CO
Corporate bonds
187,726
1,125,000
DELTA AIR LINES INC / SKY 144A
Corporate bonds
1,242,498
855,000
DEUTSCHE BANK AG/NEW YORK NY
Corporate bonds
876,911
571,000
DIAMONDBACK ENERGY INC
Corporate bonds
645,161
1,815,000
DNB BANK ASA 144A
Corporate bonds
1,882,593
911,000
DOLPHIN ENERGY LTD LLC 144A
Corporate bonds
954,324
710,000
DOMINION ENERGY INC
Corporate bonds
814,748
204,000
DPL INC 144A
Corporate bonds
224,720
775,000
DXC TECHNOLOGY CO
Corporate bonds
831,010
523,000
DXC TECHNOLOGY CO
Corporate bonds
582,702
84,000
ECOLAB INC
Corporate bonds
108,270
51,000
EDISON INTERNATIONAL
Corporate bonds
58,585
1,890,000
EL PUERTO DE LIVERPOOL SA 144A
Corporate bonds
2,046,699
757,000
EMBRAER NETHERLANDS FINANCE BV
Corporate bonds
804,127
275,000
EMPRESA DE LOS FERROCARRI 144A
Corporate bonds
270,799
168,000
ENEL AMERICAS SA
Corporate bonds
189,814
170,000
ENEL GENERACION CHILE SA
Corporate bonds
186,392
80,000
ENERGY TRANSFER LP
Corporate bonds
98,297
511,000
ENERGY TRANSFER LP
Corporate bonds
637,252
34,000
ENERGY TRANSFER LP
Corporate bonds
36,776
353,000
ENERGY TRANSFER LP
Corporate bonds
405,114
700,000
ENERGY TRANSFER LP
Corporate bonds
791,584
139,000
ENERGY TRANSFER PARTNERS LP /
Corporate bonds
148,050
671,000
ENERGY TRANSFER PARTNERS LP /
Corporate bonds
720,431
476,000
ENTERGY CORP
Corporate bonds
514,663
408,000
EQM MIDSTREAM PARTNERS LP 144A
Corporate bonds
473,640
95,000
EQT CORP
Corporate bonds
100,754
259,000
EQUIFAX INC
Corporate bonds
365,175
152,000
EQUIFAX INC
Corporate bonds
159,346
332,000
EQUIFAX INC
Corporate bonds
358,741
198,000
EQUIFAX INC
Corporate bonds
221,029
534,000
ESSENTIAL UTILITIES INC
Corporate bonds
581,952
347,000
EXELON CORP
Corporate bonds
413,567
344,000
EXPEDIA GROUP INC 144A
Corporate bonds
402,314
207,000
EXPEDIA GROUP INC 144A
Corporate bonds
230,573
495,000
EXPEDIA GROUP INC 144A
Corporate bonds
528,316
43
245,000
EXPEDIA GROUP INC 144A
Corporate bonds
278,923
317,000
EXXON MOBIL CORP
Corporate bonds
364,606
503,000
FALABELLA SA 144A
Corporate bonds
533,232
383,000
FALABELLA SA 144A
Corporate bonds
423,684
1,850,000
FOMENTO ECONOMICO MEXICANO SAB
Corporate bonds
2,088,347
1,403,000
FORD MOTOR CREDIT CO LLC
Corporate bonds
1,440,121
832,000
FORD MOTOR CREDIT CO LLC
Corporate bonds
871,783
200,000
FORD MOTOR CREDIT CO LLC
Corporate bonds
208,817
609,000
FORD MOTOR CREDIT CO LLC
Corporate bonds
616,335
575,000
FREEPORT-MCMORAN INC
Corporate bonds
642,439
1,225,000
FRESNILLO PLC 144A
Corporate bonds
1,357,309
1,205,000
FS KKR CAPITAL CORP
Corporate bonds
1,199,915
247,000
GATX CORP
Corporate bonds
291,932
1,059,000
GENERAL ELECTRIC CO
Corporate bonds
1,259,457
204,000
GENERAL ELECTRIC CO
Corporate bonds
249,573
1,398,000
GENERAL MOTORS CO
Corporate bonds
1,700,777
422,000
GENERAL MOTORS FINANCIAL CO IN
Corporate bonds
454,912
204,000
GEORGETOWN UNIVERSITY/THE
Corporate bonds
296,863
190,000
GEORGETOWN UNIVERSITY/THE
Corporate bonds
244,873
1,980,000
GLENCORE FUNDING LLC 144A
Corporate bonds
2,035,797
902,000
GOLDMAN SACHS GROUP INC/THE
Corporate bonds
1,395,427
644,000
GOLDMAN SACHS GROUP INC/THE
Corporate bonds
697,544
590,000
GOLDMAN SACHS GROUP INC/THE
Corporate bonds
660,222
300,000
GOLDMAN SACHS GROUP INC/THE
Corporate bonds
346,407
70,000
GRAY OAK PIPELINE LLC 144A
Corporate bonds
73,827
140,000
GRAY OAK PIPELINE LLC 144A
Corporate bonds
145,365
310,000
GROUP 1 AUTOMOTIVE INC 144A
Corporate bonds
324,157
3,230,000
GRUPO TELEVISA SAB
Corporate bonds
127,198
336,361
GS MORTGAGE SECURIT GC5 C 144A
Corporate bonds
322,729
165,000
GS MORTGAGE SECURITIES GC18 B
Corporate bonds
160,508
394,288
GS MORTGAGE SECURITIES GC45 A5
Corporate bonds
439,849
51,000
HANESBRANDS INC 144A
Corporate bonds
53,724
299,000
HANESBRANDS INC 144A
Corporate bonds
326,651
339,000
HANESBRANDS INC 144A
Corporate bonds
360,997
484,000
HASBRO INC
Corporate bonds
542,200
53,000
HASBRO INC
Corporate bonds
60,264
365,000
HEWLETT PACKARD ENTERPRISE CO
Corporate bonds
418,555
583,000
HEWLETT PACKARD ENTERPRISE CO
Corporate bonds
647,763
1,180,000
HEWLETT PACKARD ENTERPRISE CO
Corporate bonds
1,538,031
1,184,000
HUNTINGTON BANCSHARES INC/OH
Corporate bonds
1,277,778
250,000
HUNTINGTON INGALLS INDUSTRIES
Corporate bonds
297,860
619,000
HYUNDAI CAPITAL AMERICA 144A
Corporate bonds
656,825
605,000
HYUNDAI CAPITAL AMERICA 144A
Corporate bonds
663,882
265,000
HYUNDAI CAPITAL AMERICA 144A
Corporate bonds
279,647
495,000
ICAHN ENTERPRISES LP / ICAHN E
Corporate bonds
533,961
198,000
INTERNATIONAL LEASE FINANCE CO
Corporate bonds
218,333
1,218,134
INVITATION HOMES 2 SFR2 A 144A
Corporate bonds
1,221,355
1,035,000
IRON MOUNTAIN INC 144A
Corporate bonds
1,101,369
76,000
ISTAR INC
Corporate bonds
77,853
1,426,000
ISTAR INC
Corporate bonds
1,433,427
1,450,000
J2 GLOBAL INC 144A
Corporate bonds
1,545,398
410,000
JABIL INC
Corporate bonds
440,469
610,000
JAGGED PEAK ENERGY LLC
Corporate bonds
637,323
243,000
JOHN DEERE CAPITAL CORP
Corporate bonds
262,168
518,000
JPMORGAN CHASE & CO
Corporate bonds
539,773
1,196,000
JPMORGAN CHASE & CO
Corporate bonds
1,272,737
553,000
JPMORGAN CHASE & CO
Corporate bonds
593,081
2,010,000
JPMORGAN CHASE & CO
Corporate bonds
2,197,162
888,000
JPMORGAN CHASE & CO
Corporate bonds
977,273
270,000
KEN GARFF AUTOMOTIVE LLC 144A
Corporate bonds
284,383
200,000
KIMBERLY-CLARK DE MEXICO 144A
Corporate bonds
209,035
1,173,000
KINDER MORGAN ENERGY PARTNERS
Corporate bonds
1,307,192
44
254,000
KINDER MORGAN ENERGY PARTNERS
Corporate bonds
282,486
246,000
KINDER MORGAN INC 144A
Corporate bonds
251,373
911,000
KINDER MORGAN INC 144A
Corporate bonds
1,034,303
925,000
KLABIN AUSTRIA GMBH 144A
Corporate bonds
1,198,681
602,000
KOPPERS INC 144A
Corporate bonds
633,705
804,000
KRAFT HEINZ FOODS CO 144A
Corporate bonds
870,180
672,000
LAMAR MEDIA CORP
Corporate bonds
702,234
299,000
LAMAR MEDIA CORP
Corporate bonds
310,744
308,433
LANARK MASTER ISSU 1A 1A1 144A
Corporate bonds
309,096
1,076,000
LEAR CORP
Corporate bonds
1,335,506
15,000
LENNAR CORP
Corporate bonds
16,689
69,000
LENNAR CORP
Corporate bonds
73,214
630,000
LEVIATHAN BOND LTD 144A
Corporate bonds
691,515
474,000
LIBERTY MUTUAL GROUP INC 144A
Corporate bonds
568,159
700,000
LITHIA MOTORS INC 144A
Corporate bonds
757,726
200,000
LLOYDS BANKING GROUP PLC
Corporate bonds
205,811
1,740,000
LLOYDS BANKING GROUP PLC
Corporate bonds
2,168,204
390,000
LYB INTERNATIONAL FINANCE III
Corporate bonds
403,253
1,320,000
MARRIOTT INTERNATIONAL INC/MD
Corporate bonds
1,461,113
1,255,000
MASS GENERAL BRIGHAM INC
Corporate bonds
1,454,135
381,000
MICROCHIP TECHNOLOGY INC
Corporate bonds
413,813
835,000
MICROCHIP TECHNOLOGY INC 144A
Corporate bonds
880,728
811,000
MICRON TECHNOLOGY INC
Corporate bonds
848,845
60,816
MILL CITY MORTGAGE L 1 A1 144A
Corporate bonds
61,563
201,000
MILLICOM INTERNATIONAL CE 144A
Corporate bonds
217,881
200,000
MILLICOM INTERNATIONAL CE 144A
Corporate bonds
217,600
1,347,000
MOHAWK INDUSTRIES INC
Corporate bonds
1,512,402
368,000
MOLEX ELECTRONIC TECHNOLO 144A
Corporate bonds
383,786
1,283,000
MORGAN STANLEY
Corporate bonds
1,429,892
636,000
MORGAN STANLEY
Corporate bonds
669,568
316,000
MORGAN STANLEY
Corporate bonds
353,853
350,000
MORGAN STANLEY
Corporate bonds
405,144
1,024,000
NATIONAL RURAL UTILITIES COOPE
Corporate bonds
1,086,002
1,076,000
NATIONWIDE BUILDING SOCIE 144A
Corporate bonds
1,124,697
54,000
NAVIENT CORP
Corporate bonds
57,957
57,000
NAVIENT CORP
Corporate bonds
62,087
827,000
NAVIENT CORP
Corporate bonds
846,412
451,000
NAVIENT CORP
Corporate bonds
488,809
890,000
NBCUNIVERSAL ENTERPRISE I 144A
Corporate bonds
909,358
1,010,000
NEW FORTRESS ENERGY INC 144A
Corporate bonds
1,095,337
169,000
NEWELL BRANDS INC
Corporate bonds
186,637
545,000
NISSAN MOTOR CO LTD 144A
Corporate bonds
574,640
1,050,000
NISSAN MOTOR CO LTD 144A
Corporate bonds
1,134,942
664,000
NORTHWESTERN MUTUAL LIFE 144A
Corporate bonds
777,584
1,053,000
NVR INC
Corporate bonds
1,156,485
234,289
OBX 2018-EXP1 TR EXP1 1A3 144A
Corporate bonds
243,149
585,000
OCCIDENTAL PETROLEUM CORP
Corporate bonds
634,959
923,000
OCP SA 144A
Corporate bonds
1,029,245
490,000
OCP SA 144A
Corporate bonds
537,330
161,000
OHIO POWER CO
Corporate bonds
176,748
215,000
ONEAMERICA FINANCIAL PART 144A
Corporate bonds
234,598
431,000
ONEOK INC
Corporate bonds
528,147
673,000
OOREDOO INTERNATIONAL FIN 144A
Corporate bonds
711,183
755,000
OOREDOO INTERNATIONAL FIN 144A
Corporate bonds
878,462
566,000
ORBIA ADVANCE CORP SAB DE 144A
Corporate bonds
772,095
919,000
ORBIA ADVANCE CORP SAB DE 144A
Corporate bonds
1,158,613
434,000
OWENS CORNING
Corporate bonds
483,993
960,000
OWL ROCK CAPITAL CORP
Corporate bonds
975,831
720,000
OWL ROCK TECHNOLOGY FINAN 144A
Corporate bonds
724,958
234,667
PAN AMERICAN ENERGY LLC/A 144A
Corporate bonds
238,614
300,000
PATTERN ENERGY OPERATIONS 144A
Corporate bonds
322,238
118,000
PG&E CORP
Corporate bonds
128,751
45
88,000
PG&E CORP
Corporate bonds
99,213
154,000
PLAINS ALL AMERICAN PIPELINE L
Corporate bonds
167,281
717,485
PLANET FITNESS MAS 1A A2I 144A
Corporate bonds
717,792
938,000
PNC BANK NA
Corporate bonds
953,573
1,214,000
POST HOLDINGS INC 144A
Corporate bonds
1,288,933
792,000
PROSUS NV 144A
Corporate bonds
929,187
1,120,000
PROSUS NV 144A
Corporate bonds
1,237,048
1,130,000
PROSUS NV 144A
Corporate bonds
1,111,669
1,110,000
QORVO INC 144A
Corporate bonds
1,155,649
554,000
QUEST DIAGNOSTICS INC
Corporate bonds
607,495
150,000
QUICKEN LOANS LLC / QUICK 144A
Corporate bonds
154,616
635,000
QUICKEN LOANS LLC / QUICK 144A
Corporate bonds
666,126
480,000
RATTLER MIDSTREAM LP 144A
Corporate bonds
519,525
978,000
RAYTHEON TECHNOLOGIES CORP
Corporate bonds
1,052,457
295,000
REALTY INCOME CORP
Corporate bonds
338,840
400,000
REALTY INCOME CORP
Corporate bonds
401,532
540,000
ROPER TECHNOLOGIES INC
Corporate bonds
549,372
223,000
RPM INTERNATIONAL INC
Corporate bonds
232,625
680,000
RYDER SYSTEM INC
Corporate bonds
728,094
88,000
SABRE GLBL INC 144A
Corporate bonds
106,438
340,000
SABRE GLBL INC 144A
Corporate bonds
377,537
57,349
SANTANDER DRIVE AUTO RECE 3 A3
Corporate bonds
57,496
117,057
SANTANDER DRIVE AUTO RECEI 2 C
Corporate bonds
118,211
462,000
SANTANDER UK GROUP HOLDIN 144A
Corporate bonds
637,302
770,000
SAUDI ARABIAN OIL CO 144A
Corporate bonds
938,563
870,000
SAUDI ARABIAN OIL CO 144A
Corporate bonds
883,910
82,000
SCIENCE APPLICATIONS INTE 144A
Corporate bonds
87,919
123,000
SEAGATE HDD CAYMAN 144A
Corporate bonds
133,982
500,000
SENSATA TECHNOLOGIES INC 144A
Corporate bonds
525,269
37,029
SEQUOIA MORTGAGE CH2 A10 144A
Corporate bonds
37,345
65,850
SEQUOIA MORTGAGE T CH1 A1 144A
Corporate bonds
68,658
148,015
SEQUOIA MORTGAGE T CH1 A1 144A
Corporate bonds
152,273
299,258
SEQUOIA MORTGAGE T CH3 A2 144A
Corporate bonds
308,920
110,000
SMITHFIELD FOODS INC 144A
Corporate bonds
117,360
908,000
SOCIEDAD QUIMICA Y MINERA 144A
Corporate bonds
1,056,704
2,169,000
SOCIETE GENERALE SA 144A
Corporate bonds
2,322,312
226,000
SOFI PROFESSIONAL A A2FX 144A
Corporate bonds
233,775
985,000
SOUTHWEST AIRLINES CO
Corporate bonds
1,174,014
1,824,000
STANDARD CHARTERED PLC 144A
Corporate bonds
1,953,654
307,000
STARBUCKS CORP
Corporate bonds
346,295
1,341,000
STARBUCKS CORP
Corporate bonds
1,547,828
241,000
STEEL DYNAMICS INC
Corporate bonds
274,564
204,000
STEEL DYNAMICS INC
Corporate bonds
217,043
749,000
STRYKER CORP
Corporate bonds
771,339
1,119,000
SUMITOMO MITSUI FINANCIAL GROU
Corporate bonds
1,208,525
1,130,000
SUMITOMO MITSUI FINANCIAL GROU
Corporate bonds
1,268,370
760,000
SUMITOMO MITSUI FINANCIAL GROU
Corporate bonds
783,730
75,000
SUMMIT MATERIALS LLC / SU 144A
Corporate bonds
80,281
600,000
SUZANO AUSTRIA GMBH
Corporate bonds
643,288
1,180,000
TELEFONICA EMISIONES SA
Corporate bonds
1,210,778
912,000
TENCENT HOLDINGS LTD 144A
Corporate bonds
947,603
665,000
TEVA PHARMACEUTICAL FINANCE NE
Corporate bonds
644,475
654,000
TEVA PHARMACEUTICAL FINANCE NE
Corporate bonds
742,282
401,000
TEXAS INSTRUMENTS INC
Corporate bonds
435,027
1,870,000
TEXTRON INC
Corporate bonds
2,020,440
1,516,000
THAIOIL TREASURY CENTER C 144A
Corporate bonds
1,779,396
428,000
TIME WARNER CABLE LLC
Corporate bonds
592,197
102,000
TIME WARNER CABLE LLC
Corporate bonds
145,473
134,000
TIME WARNER CABLE LLC
Corporate bonds
179,864
47,000
TIME WARNER CABLE LLC
Corporate bonds
61,250
485,000
TIME WARNER CABLE LLC
Corporate bonds
574,748
1,445,000
T-MOBILE USA INC 144A
Corporate bonds
1,685,420
46
1,281,000
TORONTO-DOMINION BANK/THE
Corporate bonds
1,374,411
98,821
TOWD POINT MORTGAG 2 1A12 144A
Corporate bonds
99,339
163,793
TOWD POINT MORTGAGE 2 A1A 144A
Corporate bonds
166,003
304,940
TOWD POINT MORTGAGE 2 M2 144A
Corporate bonds
324,004
515,054
TOWD POINT MORTGAGE 3 A1 144A
Corporate bonds
549,754
254,311
TOWD POINT MORTGAGE 4 M2 144A
Corporate bonds
274,744
525,000
TOYOTA MOTOR CORP
Corporate bonds
563,261
1,225,000
TOYOTA MOTOR CREDIT CORP
Corporate bonds
1,292,977
222,000
TRANSELEC SA 144A
Corporate bonds
244,738
426,000
TRANSELEC SA 144A
Corporate bonds
479,129
554,000
TRANSPORTADORA DE GAS INT 144A
Corporate bonds
658,850
300,000
TRUSTEES OF THE UNIVERSITY OF
Corporate bonds
341,968
413,040
UBS-BARCLAYS COMMERCIAL C5 A4
Corporate bonds
432,612
639,000
ULTRAPAR INTERNATIONAL SA 144A
Corporate bonds
718,815
447,000
UNIVAR SOLUTIONS USA INC/ 144A
Corporate bonds
474,053
785,000
VALE OVERSEAS LTD
Corporate bonds
887,467
343,000
VALVOLINE INC
Corporate bonds
359,909
163,000
VALVOLINE INC 144A
Corporate bonds
174,242
500,000
VALVOLINE INC 144A
Corporate bonds
513,125
425,000
VIACOMCBS INC
Corporate bonds
514,270
174,000
VIATRIS INC 144A
Corporate bonds
199,524
155,000
VIRGINIA ELECTRIC AND POWER CO
Corporate bonds
175,986
704,000
VOLKSWAGEN GROUP OF AMERI 144A
Corporate bonds
783,928
888,000
VOLKSWAGEN GROUP OF AMERI 144A
Corporate bonds
1,028,847
385,000
WELLTOWER INC
Corporate bonds
412,699
101,000
WESTROCK RKT LLC
Corporate bonds
107,778
297,814
WFRBS COMMERCIAL MOR C4 D 144A
Corporate bonds
263,575
855,000
WHIRLPOOL CORP
Corporate bonds
1,056,708
177,000
WHIRLPOOL CORP
Corporate bonds
180,839
1,299,000
WILLIAMS COS INC/THE
Corporate bonds
1,477,043
235,000
WILLIS NORTH AMERICA INC
Corporate bonds
259,159
161,000
WILLIS TOWERS WATSON PLC
Corporate bonds
165,347
563,000
WORLD FINANCIAL NETWORK CR A A
Corporate bonds
567,739
1,077,000
WPX ENERGY INC
Corporate bonds
1,163,968
149,000
WRKCO INC
Corporate bonds
163,900
216,000
XCEL ENERGY INC
Corporate bonds
248,185
1,176,000
XILINX INC
Corporate bonds
1,236,856
731,034
ALTRA INDUSTRIAL 9/18 TL
Corporate bonds
730,558
1,127,990
BURGER KING/RESTAURANT BRANDS
Corporate bonds
1,112,562
795,990
CABLEVISION SYSTEMS/ALTICE USA
Corporate bonds
788,636
752,734
EMDEON 3/17 COV-LITE TLB
Corporate bonds
753,037
797,954
IRON MOUNTAIN 3/18 TLB
Corporate bonds
790,279
797,985
KAR AUCTION 9/19 COV-LITE B6
Corporate bonds
784,452
798,000
PACIFIC GAS & ELECTRIC 6/20 TL
Corporate bonds
817,396
267,454
RE/MAX INTERNATIONAL 12/16
Corporate bonds
267,540
797,985
SINCLAIR TELEVISION 7/19
Corporate bonds
789,496
797,906
SS&C TECHNOLOGIES 10/18 ADD-ON
Corporate bonds
789,339
1,135,052
SUMMIT MATERIALS 11/17
Corporate bonds
1,128,879
748,089
TRANSUNION 11/19 B5 COV-LITE
Corporate bonds
744,506
797,943
U.S.I. 8/17 INCREMENTAL TLB
Corporate bonds
791,731
797,922
UBER 6/18 COV-LITE TLB
Corporate bonds
798,432
800,000
VALEANT 11/18 INCREMENTAL TL
Corporate bonds
791,712
800,000
VIRGIN MEDIA 10/19 COV-LITE
Corporate bonds
792,801
1,100,334
VNU 4/17 COV-LITE TLB4
Corporate bonds
1,096,964
779,000
ABU DHABI GOVERNMENT INTE 144A
Other Securities
955,890
275,000
BERMUDA GOVERNMENT INTERN 144A
Other Securities
299,690
670,000
COLOMBIA GOVERNMENT INTERNATIO
Other Securities
747,231
1,685,000
DOMINICAN REPUBLIC INTERN 144A
Other Securities
1,888,516
406,000
INDONESIA GOVERNMENT INTE 144A
Other Securities
425,639
29,430,000
MEXICAN BONOS
Other Securities
1,495,009
101,030,000
MEXICAN BONOS
Other Securities
6,205,436
82,810,000
MEXICAN BONOS
Other Securities
4,418,135
47
1,300,000
MEXICO GOVERNMENT INTERNATIONA
Other Securities
1,358,988
885,000
MOROCCO GOVERNMENT INTERN 144A
Other Securities
913,566
764,000
OMAN GOVERNMENT INTERNATI 144A
Other Securities
777,418
1,386,000
PANAMA GOVERNMENT INTERNATIONA
Other Securities
1,800,068
178,000
PERUVIAN GOVERNMENT INTERNATIO
Other Securities
191,707
600,000
QATAR GOVERNMENT INTERNAT 144A
Other Securities
649,272
647,000
QATAR GOVERNMENT INTERNAT 144A
Other Securities
848,810
2,144,000
SAUDI GOVERNMENT INTERNAT 144A
Other Securities
2,387,490
1,110,000
UKRAINE GOVERNMENT INTERN 144A
Other Securities
1,243,602
1,035,000
UNIV OF VIRGINIA VA UNIV REVEN
Other Securities
1,066,160
36,804,000
URUGUAY GOVERNMENT INTERN 144A
Other Securities
935,777
14,950,000
URUGUAY GOVERNMENT INTERN 144A
Other Securities
367,201
6,350,000
URUGUAY GOVERNMENT INTERN REGS
Other Securities
160,722
2,731,873
BNY MELLON CASH RESERVE
U. S. Government Securities
2,731,904
2,220,000
U S TREASURY BILL
U. S. Government Securities
2,219,994
5,240,000
U S TREASURY BILL
U. S. Government Securities
5,239,945
1,980,000
U S TREASURY BILL
U. S. Government Securities
1,979,935
1,800,000
U S TREASURY BILL
U. S. Government Securities
1,799,978
45,665,000
U S TREASURY BILL
U. S. Government Securities
45,658,069
4,570,000
U S TREASURY BILL
U. S. Government Securities
4,569,705
968,000
U S TREASURY BOND
U. S. Government Securities
1,437,107
171,300
U S TREASURY BOND
U. S. Government Securities
223,591
1,728,400
U S TREASURY BOND
U. S. Government Securities
2,435,233
7,285,000
U S TREASURY BOND
U. S. Government Securities
6,860,693
1,045,000
U S TREASURY BOND
U. S. Government Securities
993,623
1,390,000
U S TREASURY BOND
U. S. Government Securities
1,387,418
3,380,000
U S TREASURY NOTE
U. S. Government Securities
3,413,657
2,714,700
U S TREASURY NOTE
U. S. Government Securities
3,182,880
7,079,700
U S TREASURY NOTE
U. S. Government Securities
8,410,979
1,895,700
U S TREASURY NOTE
U. S. Government Securities
2,195,000
2,321,400
U S TREASURY NOTE
U. S. Government Securities
2,630,703
5,638,300
U S TREASURY NOTE
U. S. Government Securities
5,628,754
7,750,000
U S TREASURY NOTE
U. S. Government Securities
7,639,056
12,455,000
U S TREASURY NOTE
U. S. Government Securities
12,428,085
—
U S TREASURY NOTE
U. S. Government Securities
(58)
10,195,000
U S TREASURY NOTE
U. S. Government Securities
10,183,896
7,745,000
U S TREASURY NOTE
U. S. Government Securities
7,751,023
3,802,722
US TREAS-CPI INFLAT
U. S. Government Securities
4,849,340
144,619
US TREAS-CPI INFLAT
U. S. Government Securities
197,694
2,610,514
US TREAS-CPI INFLAT
U. S. Government Securities
3,516,845
1,385,971
US TREAS-CPI INFLAT
U. S. Government Securities
1,955,917
2,030,000
COMMIT TO PUR FNMA SF MTG
U. S. Government Securities
2,110,208
10,900,000
COMMIT TO PUR FNMA SF MTG
U. S. Government Securities
11,309,744
9,408,000
COMMIT TO PUR FNMA SF MTG
U. S. Government Securities
9,925,848
2,021,000
COMMIT TO PUR FNMA SF MTG
U. S. Government Securities
2,161,284
(2,021,000)
COMMIT TO PUR FNMA SF MTG
U. S. Government Securities
(2,161,284)
419
FHLMC POOL #G0-1843
U. S. Government Securities
505
91,781
FHLMC POOL #G0-8818
U. S. Government Securities
100,010
237,932
FHLMC POOL #G6-1658
U. S. Government Securities
265,175
55,592
FHLMC POOL #Q0-2117
U. S. Government Securities
62,648
102,940
FHLMC POOL #Q1-2458
U. S. Government Securities
112,016
58,123
FHLMC POOL #Q1-4852
U. S. Government Securities
62,953
51,053
FHLMC POOL #Q1-7396
U. S. Government Securities
56,001
65,051
FHLMC POOL #Q1-7575
U. S. Government Securities
71,355
56,940
FHLMC POOL #Q2-0683
U. S. Government Securities
62,460
107,989
FHLMC POOL #Q2-2236
U. S. Government Securities
118,453
23,196
FHLMC POOL #Q2-4035
U. S. Government Securities
25,645
26,178
FHLMC POOL #Q2-5923
U. S. Government Securities
29,503
98,131
FHLMC POOL #Q3-2195
U. S. Government Securities
108,237
41,159
FHLMC POOL #Q3-2256
U. S. Government Securities
44,883
76,230
FHLMC POOL #Q3-4582
U. S. Government Securities
83,646
48,145
FHLMC POOL #Q3-9166
U. S. Government Securities
52,531
48
2,717
FHLMC POOL #Q3-9583
U. S. Government Securities
3,027
75,584
FHLMC POOL #Q4-3410
U. S. Government Securities
83,842
107,659
FHLMC POOL #Q4-5220
U. S. Government Securities
119,017
90,663
FHLMC POOL #Q4-7881
U. S. Government Securities
99,936
50,899
FHLMC POOL #Q4-8325
U. S. Government Securities
55,929
61,836
FHLMC POOL #Q4-8674
U. S. Government Securities
66,699
206,099
FHLMC POOL #Q4-8748
U. S. Government Securities
226,529
61,691
FHLMC POOL #Q5-0167
U. S. Government Securities
68,638
274,582
FHLMC POOL #Q5-0176
U. S. Government Securities
298,437
250,911
FHLMC POOL #Q5-2337
U. S. Government Securities
276,195
88,286
FHLMC POOL #Q5-2527
U. S. Government Securities
98,376
142,876
FHLMC POOL #Q5-3695
U. S. Government Securities
151,835
172,713
FHLMC POOL #Q5-3837
U. S. Government Securities
192,346
155,040
FHLMC POOL #Q5-4776
U. S. Government Securities
170,322
28,068
FHLMC POOL #Q5-5109
U. S. Government Securities
31,258
178,334
FHLMC POOL #Q5-5879
U. S. Government Securities
200,384
53,248
FHLMC POOL #Q5-6813
U. S. Government Securities
59,202
134,932
FHLMC POOL #Q5-6883
U. S. Government Securities
149,956
86,333
FHLMC POOL #Q5-6931
U. S. Government Securities
97,351
883,703
FHLMC POOL #Q5-8520
U. S. Government Securities
996,878
21,427
FHLMC POOL #Q5-8588
U. S. Government Securities
23,335
454,165
FHLMC POOL #QB-5275
U. S. Government Securities
473,180
510,000
FHLMC POOL #QB-6698
U. S. Government Securities
531,345
1,360,000
FHLMC POOL #QB-7306
U. S. Government Securities
1,416,942
990,000
FHLMC POOL #QB-7396
U. S. Government Securities
1,031,451
697,989
FHLMC POOL #QU-7613
U. S. Government Securities
722,170
74,807
FHLMC POOL #QU-7615
U. S. Government Securities
75,520
144,629
FHLMC POOL #QU-7616
U. S. Government Securities
153,229
324,446
FHLMC POOL #QU-7618
U. S. Government Securities
335,694
628,865
FHLMC POOL #QU-7641
U. S. Government Securities
650,655
729,627
FHLMC POOL #RA-1266
U. S. Government Securities
770,074
9,108,575
FHLMC POOL #RA-3046
U. S. Government Securities
9,563,368
4,695,426
FHLMC POOL #SD-0093
U. S. Government Securities
5,212,780
685,795
FHLMC POOL #SD-0136
U. S. Government Securities
722,232
762,667
FHLMC POOL #SD-0291
U. S. Government Securities
846,276
344,185
FHLMC POOL #SD-8028
U. S. Government Securities
381,810
63,738
FHLMC POOL #V8-0932
U. S. Government Securities
71,183
371,310
FHLMC POOL #V8-4664
U. S. Government Securities
404,887
298,214
FHLMC POOL #ZA-5559
U. S. Government Securities
331,482
172,874
FHLMC POOL #ZM-8305
U. S. Government Securities
192,042
528,520
FHLMC POOL #ZN-2092
U. S. Government Securities
585,734
497,107
FHLMC POOL #ZS-4786
U. S. Government Securities
541,313
378,757
FHLMC POOL #ZS-4791
U. S. Government Securities
412,457
373,969
FHLMC POOL #ZT-0713
U. S. Government Securities
407,381
492,824
FHLMC POOL #ZT-0714
U. S. Government Securities
547,752
2,388,270
FHLMC POOL #ZT-1595
U. S. Government Securities
2,597,408
253,399
FHLMC MULTICLASS MTG 3654 DC
U. S. Government Securities
294,025
140,383
FHLMC MULTICLASS MTG K058 A2
U. S. Government Securities
155,303
313,961
FHLMC MULTICLASS MTG K061 A2
U. S. Government Securities
359,262
354,505
FHLMC MULTICLASS MTG K062 A2
U. S. Government Securities
407,458
258,745
FHLMC MULTICLASS MTG K063 A2
U. S. Government Securities
297,572
46,372
FHLMC MULTICLASS MTG K069 A2
U. S. Government Securities
53,236
66,390
FHLMC MULTICLASS MTG K071 A2
U. S. Government Securities
76,744
407,719
FHLMC MULTICLASS MTG K072 A2
U. S. Government Securities
475,036
129,233
FHLMC MULTICLASS MTG K073 A2
U. S. Government Securities
149,874
530,363
FHLMC MULTICLASS MTG K084 A2
U. S. Government Securities
630,862
34
FNMA POOL #0250179
U. S. Government Securities
36
335
FNMA POOL #0253355
U. S. Government Securities
389
248
FNMA POOL #0323621
U. S. Government Securities
279
467
FNMA POOL #0545448
U. S. Government Securities
542
491
FNMA POOL #0550002
U. S. Government Securities
523
855
FNMA POOL #0554493
U. S. Government Securities
951
49
271
FNMA POOL #0575078
U. S. Government Securities
312
1,789
FNMA POOL #0725690
U. S. Government Securities
2,159
4,937
FNMA POOL #0906734
U. S. Government Securities
5,923
1,055
FNMA POOL #0922881
U. S. Government Securities
1,088
292,482
FNMA POOL #0AJ0806
U. S. Government Securities
323,354
142,938
FNMA POOL #0AK0080
U. S. Government Securities
158,042
14,033
FNMA POOL #0AR8595
U. S. Government Securities
15,305
255,320
FNMA POOL #0AS4628
U. S. Government Securities
274,272
7,929
FNMA POOL #0AS4795
U. S. Government Securities
8,644
137,598
FNMA POOL #0AS7378
U. S. Government Securities
145,077
141,516
FNMA POOL #0AS7580
U. S. Government Securities
149,231
12,322
FNMA POOL #0AS8263
U. S. Government Securities
12,975
48,456
FNMA POOL #0AS8276
U. S. Government Securities
51,057
143,730
FNMA POOL #0AS8309
U. S. Government Securities
151,608
33,016
FNMA POOL #0AS9412
U. S. Government Securities
35,702
14,987
FNMA POOL #0AU6205
U. S. Government Securities
16,884
77,515
FNMA POOL #0AV7157
U. S. Government Securities
85,274
13,748
FNMA POOL #0AV9213
U. S. Government Securities
15,354
10,305
FNMA POOL #0AW4986
U. S. Government Securities
11,554
74,182
FNMA POOL #0AX5312
U. S. Government Securities
81,984
119,358
FNMA POOL #0AX7617
U. S. Government Securities
131,940
43,592
FNMA POOL #0AX8509
U. S. Government Securities
48,179
81,587
FNMA POOL #0AY0362
U. S. Government Securities
88,945
130,088
FNMA POOL #0AY2633
U. S. Government Securities
141,820
252,994
FNMA POOL #0AY5788
U. S. Government Securities
268,104
14,335
FNMA POOL #0AY8481
U. S. Government Securities
15,723
42,912
FNMA POOL #0AZ0810
U. S. Government Securities
46,942
43,709
FNMA POOL #0AZ5596
U. S. Government Securities
48,807
46,903
FNMA POOL #0AZ7724
U. S. Government Securities
52,295
17,784
FNMA POOL #0BA5581
U. S. Government Securities
19,117
56,827
FNMA POOL #0BC2994
U. S. Government Securities
60,441
134,967
FNMA POOL #0BC3473
U. S. Government Securities
144,661
71,734
FNMA POOL #0BC4918
U. S. Government Securities
81,504
170,923
FNMA POOL #0BC5313
U. S. Government Securities
182,784
113,623
FNMA POOL #0BC7230
U. S. Government Securities
121,679
22,837
FNMA POOL #0BC9468
U. S. Government Securities
24,163
143,930
FNMA POOL #0BD1410
U. S. Government Securities
154,228
6,344
FNMA POOL #0BD2174
U. S. Government Securities
6,791
1,616
FNMA POOL #0BD2217
U. S. Government Securities
1,774
22,068
FNMA POOL #0BD4416
U. S. Government Securities
23,542
32,581
FNMA POOL #0BD4420
U. S. Government Securities
35,282
55,872
FNMA POOL #0BD5463
U. S. Government Securities
60,646
22,578
FNMA POOL #0BD5503
U. S. Government Securities
24,052
38,349
FNMA POOL #0BD9396
U. S. Government Securities
42,254
39,224
FNMA POOL #0BE0249
U. S. Government Securities
43,311
22,517
FNMA POOL #0BE2507
U. S. Government Securities
24,569
141,391
FNMA POOL #0BE4203
U. S. Government Securities
158,972
86,097
FNMA POOL #0BE4310
U. S. Government Securities
90,636
197,561
FNMA POOL #0BE4435
U. S. Government Securities
208,233
90,607
FNMA POOL #0BE4442
U. S. Government Securities
95,564
125,840
FNMA POOL #0BE4446
U. S. Government Securities
134,256
61,259
FNMA POOL #0BE5275
U. S. Government Securities
64,541
89,185
FNMA POOL #0BE6326
U. S. Government Securities
97,707
205,132
FNMA POOL #0BE7252
U. S. Government Securities
225,750
49,324
FNMA POOL #0BE7913
U. S. Government Securities
53,486
137,445
FNMA POOL #0BE8265
U. S. Government Securities
151,468
57,171
FNMA POOL #0BE8280
U. S. Government Securities
64,634
129,418
FNMA POOL #0BE9122
U. S. Government Securities
142,621
150,149
FNMA POOL #0BE9612
U. S. Government Securities
163,607
125,275
FNMA POOL #0BH1228
U. S. Government Securities
135,064
90,123
FNMA POOL #0BH1251
U. S. Government Securities
97,981
70,483
FNMA POOL #0BH2269
U. S. Government Securities
76,028
50
91,700
FNMA POOL #0BH2804
U. S. Government Securities
97,761
148,377
FNMA POOL #0BH4224
U. S. Government Securities
159,190
340,722
FNMA POOL #0BH4266
U. S. Government Securities
374,417
35,563
FNMA POOL #0BH4896
U. S. Government Securities
38,883
48,881
FNMA POOL #0BH5524
U. S. Government Securities
53,320
168,788
FNMA POOL #0BH6011
U. S. Government Securities
183,918
118,331
FNMA POOL #0BH7892
U. S. Government Securities
130,405
199,023
FNMA POOL #0BH9884
U. S. Government Securities
211,699
164,661
FNMA POOL #0BJ0428
U. S. Government Securities
182,154
60,737
FNMA POOL #0BJ0453
U. S. Government Securities
67,190
141,367
FNMA POOL #0BJ0454
U. S. Government Securities
155,792
33,148
FNMA POOL #0BJ2239
U. S. Government Securities
34,873
216,076
FNMA POOL #0BJ2316
U. S. Government Securities
236,118
65,212
FNMA POOL #0BJ2403
U. S. Government Securities
71,443
44,970
FNMA POOL #0BJ3438
U. S. Government Securities
48,255
85,603
FNMA POOL #0BJ5653
U. S. Government Securities
92,039
142,960
FNMA POOL #0BJ7195
U. S. Government Securities
156,740
589,562
FNMA POOL #0BJ9256
U. S. Government Securities
631,522
36,501
FNMA POOL #0BJ9262
U. S. Government Securities
39,783
312,123
FNMA POOL #0BK0916
U. S. Government Securities
347,124
156,597
FNMA POOL #0BK1497
U. S. Government Securities
172,000
113,931
FNMA POOL #0BK1766
U. S. Government Securities
122,278
3,913,179
FNMA POOL #0BK2144
U. S. Government Securities
4,143,205
2,424,859
FNMA POOL #0BK5680
U. S. Government Securities
2,508,917
43,005
FNMA POOL #0BK6495
U. S. Government Securities
47,802
125,999
FNMA POOL #0BK6898
U. S. Government Securities
138,394
58,779
FNMA POOL #0BK6899
U. S. Government Securities
64,286
732,676
FNMA POOL #0BK8196
U. S. Government Securities
758,075
189,639
FNMA POOL #0BK8202
U. S. Government Securities
191,447
112,641
FNMA POOL #0BM3138
U. S. Government Securities
121,106
169,856
FNMA POOL #0BN0340
U. S. Government Securities
184,830
78,862
FNMA POOL #0BN3949
U. S. Government Securities
87,533
996,062
FNMA POOL #0BN5403
U. S. Government Securities
1,084,489
57,923
FNMA POOL #0BP1638
U. S. Government Securities
62,223
7,124,267
FNMA POOL #0BP6618
U. S. Government Securities
7,531,416
101,003
FNMA POOL #0BP7820
U. S. Government Securities
107,796
632,294
FNMA POOL #0BP9265
U. S. Government Securities
672,039
935,398
FNMA POOL #0BP9298
U. S. Government Securities
992,560
292,230
FNMA POOL #0BQ0364
U. S. Government Securities
311,132
188,186
FNMA POOL #0BQ0375
U. S. Government Securities
200,358
10,160,125
FNMA POOL #0BQ1274
U. S. Government Securities
10,798,793
2,547,950
FNMA POOL #0BQ1280
U. S. Government Securities
2,708,120
323,588
FNMA POOL #0BQ4040
U. S. Government Securities
334,806
224,270
FNMA POOL #0BQ4041
U. S. Government Securities
237,737
139,528
FNMA POOL #0BQ5644
U. S. Government Securities
147,931
244,226
FNMA POOL #0BQ5771
U. S. Government Securities
254,451
174,697
FNMA POOL #0BQ6140
U. S. Government Securities
180,753
1,542,115
FNMA POOL #0BQ7559
U. S. Government Securities
1,606,681
818,283
FNMA POOL #0BQ7589
U. S. Government Securities
852,544
1,266,977
FNMA POOL #0BQ7604
U. S. Government Securities
1,320,023
419,211
FNMA POOL #0BQ7618
U. S. Government Securities
436,763
2,505,000
FNMA POOL #0BQ9291
U. S. Government Securities
2,609,880
1,470,000
FNMA POOL #0BR0691
U. S. Government Securities
1,531,548
123,984
FNMA POOL #0CA2304
U. S. Government Securities
132,833
203,212
FNMA POOL #0CA4427
U. S. Government Securities
213,907
2,625,566
FNMA POOL #0CA4613
U. S. Government Securities
2,734,260
2,909,016
FNMA POOL #0CA4736
U. S. Government Securities
3,064,323
1,615,683
FNMA POOL #0FM2373
U. S. Government Securities
1,792,658
576,225
FNMA POOL #0FM3664
U. S. Government Securities
615,248
1,583,303
FNMA POOL #0FM3718
U. S. Government Securities
1,784,324
962,227
FNMA POOL #0FM3893
U. S. Government Securities
1,027,391
989,290
FNMA POOL #0FM3904
U. S. Government Securities
1,056,287
51
347,642
FNMA POOL #0MA2218
U. S. Government Securities
367,678
48,932
FNMA POOL #0MA2276
U. S. Government Securities
52,185
75,594
FNMA POOL #0MA2490
U. S. Government Securities
83,300
136,439
FNMA POOL #0MA2705
U. S. Government Securities
143,900
313,796
FNMA POOL #0MA2737
U. S. Government Securities
330,852
85,773
FNMA POOL #0MA3351
U. S. Government Securities
88,678
5,475,621
FNMA POOL #0MA3385
U. S. Government Securities
5,953,264
261,191
FNMA POOL #0MA3401
U. S. Government Securities
274,775
232,853
FNMA POOL #0MA3415
U. S. Government Securities
249,518
747,965
FNMA POOL #0MA3416
U. S. Government Securities
814,809
132,649
FNMA POOL #0MA3448
U. S. Government Securities
147,317
77,935
FNMA POOL #0MA3472
U. S. Government Securities
86,548
4,579,047
FNMA POOL #0MA3536
U. S. Government Securities
4,906,330
1,832,069
FNMA POOL #0MA3537
U. S. Government Securities
1,992,999
710,004
FNMA POOL #0MA3564
U. S. Government Securities
772,382
366,746
FNMA POOL #0MA3786
U. S. Government Securities
407,050
238,062
FNMA POOL #0MA3849
U. S. Government Securities
264,097
4,570,369
FNMA POOL #0MA4120
U. S. Government Securities
4,831,563
294,254
FNMA GTD REMIC P/T 15-M17 A2
U. S. Government Securities
322,987
1,031,586
FNMA GTD REMIC P/T 17-M14 A2
U. S. Government Securities
1,158,350
84,128
FNMA GTD REMIC P/T 17-M15 A2
U. S. Government Securities
95,141
384,710
FNMA GTD REMIC P/T 17-M3 A2
U. S. Government Securities
420,368
331,349
FNMA GTD REMIC P/T 17-M7 A2
U. S. Government Securities
371,042
601,076
FNMA GTD REMIC P/T 18-M1 A2
U. S. Government Securities
674,140
124,672
FNMA GTD REMIC P/T 18-M10 A2
U. S. Government Securities
145,074
908,434
FNMA GTD REMIC P/T 18-M7 A2
U. S. Government Securities
1,038,466
236,421
FNMA GTD REMIC P/T 18-M8 A2
U. S. Government Securities
272,952
2,405
GNMA POOL #0379674
U. S. Government Securities
2,510
154
GNMA POOL #0413151
U. S. Government Securities
157
282
GNMA POOL #0486844
U. S. Government Securities
315
365
GNMA POOL #0530269
U. S. Government Securities
407
155
GNMA POOL #0563646
U. S. Government Securities
177
875
GNMA POOL #0587280
U. S. Government Securities
977
9,367
GNMA POOL #0675312
U. S. Government Securities
11,047
539
GNMA POOL #0675324
U. S. Government Securities
649
1,269
GNMA POOL #0780958
U. S. Government Securities
1,503
72
GNMA POOL #0781199
U. S. Government Securities
85
11,471
GNMA GTD REMIC P/T 13-H01 FA
U. S. Government Securities
11,503
16,661
GNMA GTD REMIC P/T 13-H03 HA
U. S. Government Securities
16,730
18,765
GNMA GTD REMIC P/T 13-H04 BA
U. S. Government Securities
18,837
33,070
GNMA GTD REMIC P/T 13-H07 DA
U. S. Government Securities
33,298
101,880
GNMA GTD REMIC P/T 13-H10 PA
U. S. Government Securities
103,360
575,966
GNMA GTD REMIC P/T 15-H10 JA
U. S. Government Securities
588,359
1,657
GNMA GTD REMIC P/T 15-H13 FL
U. S. Government Securities
1,653
5,366
GNMA II POOL #0710063
U. S. Government Securities
5,402
294
GNMA II POOL #0751415
U. S. Government Securities
329
4,980
GNMA II POOL #0756718
U. S. Government Securities
5,230
3,487
GNMA II POOL #0765229
U. S. Government Securities
3,568
665
GNMA II POOL #0766522
U. S. Government Securities
683
256
GNMA II POOL #0766529
U. S. Government Securities
265
1,511
GNMA II POOL #0766544
U. S. Government Securities
1,546
798
GNMA II POOL #0766549
U. S. Government Securities
812
308
GNMA II POOL #0766551
U. S. Government Securities
312
370
GNMA II POOL #0766566
U. S. Government Securities
383
39,127
GNMA II POOL #0771800
U. S. Government Securities
42,119
323,532
GNMA II POOL #0771824
U. S. Government Securities
355,007
289,469
GNMA II POOL #0771828
U. S. Government Securities
322,435
130,515
GNMA II POOL #0771829
U. S. Government Securities
144,727
1,181
GNMA II POOL #0773430
U. S. Government Securities
1,210
436
GNMA II POOL #0777420
U. S. Government Securities
439
177,942
GNMA II POOL #0798521
U. S. Government Securities
191,604
152,160
GNMA II POOL #0798526
U. S. Government Securities
163,947
52
1,649
GNMA II POOL #0AA7508
U. S. Government Securities
1,700
107,486
GNMA II POOL #0AB6552
U. S. Government Securities
118,200
1,824
GNMA II POOL #0AC0988
U. S. Government Securities
1,895
768
GNMA II POOL #0AC9906
U. S. Government Securities
790
4,415
GNMA II POOL #0AC9910
U. S. Government Securities
4,511
171,722
GNMA II POOL #0AE0488
U. S. Government Securities
187,615
191,531
GNMA II POOL #0AF7339
U. S. Government Securities
209,084
241,640
GNMA II POOL #0AF7379
U. S. Government Securities
265,212
221,357
GNMA II POOL #0AH1236
U. S. Government Securities
251,660
227,584
GNMA II POOL #0AH1377
U. S. Government Securities
250,920
258,481
GNMA II POOL #0AK0201
U. S. Government Securities
285,919
227,840
GNMA II POOL #0AK8743
U. S. Government Securities
253,874
234,732
GNMA II POOL #0AL7424
U. S. Government Securities
256,511
89,139
GNMA II POOL #0AR6523
U. S. Government Securities
101,042
227,602
GNMA II POOL #0AR6570
U. S. Government Securities
256,699
180,806
GNMA II POOL #0AR7510
U. S. Government Securities
203,276
142,929
GNMA II POOL #0AS5980
U. S. Government Securities
162,625
485,464
GNMA II POOL #0AS6008
U. S. Government Securities
552,235
116,974
GNMA II POOL #0AS8942
U. S. Government Securities
131,289
181,249
GNMA II POOL #0AU1288
U. S. Government Securities
205,778
184,864
GNMA II POOL #0AU1850
U. S. Government Securities
207,820
147,376
GNMA II POOL #0AU3149
U. S. Government Securities
168,054
263,496
GNMA II POOL #0AW1858
U. S. Government Securities
295,372
477,942
GNMA II POOL #0AY2208
U. S. Government Securities
545,361
324,000
TENNESSEE VALLEY AUTH BD
U. S. Government Securities
494,737
555,000
TENNESSEE VALLEY AUTH BD
U. S. Government Securities
842,391
458,000
TENNESSEE VALLEY AUTH BD
U. S. Government Securities
728,475
2,978,000
TENNESSEE VALLEY AUTH BD
U. S. Government Securities
4,530,390
25,385,740
EB TEMP INV FD
Common Collective Trust Fund
25,385,740
52,406,871
EB TEMP INV FD
Common Collective Trust Fund
52,406,871
Diversified Fund Subtotal
$
1,287,234,137
International Equity Fund
Franklin Templeton, American Funds, and Vanguard
Separately Managed Fund
4,299,183
American Funds EuroPacific Growth Fund
Mutual Fund
$
297,933,359
11,297,438
First Eagle Overseas
Mutual Fund
295,428,014
1,869,382
Vanguard International Growth Fund Admiral
Mutual Fund
299,643,214
2,995,811
Wells Fargo Emerging Market Equity
Mutual Fund
101,258,411
International Equity Fund Subtotal
$
994,262,998
Small Cap Value Fund
Dimensional Fund Advisors, Sapience Investments, and Vanguard
Separately Managed Fund
27,920
ACADIA HEALTHCARE CO INC
Common Stock
$
1,403,259
42,580
ADIENT PLC
Common Stock
1,480,507
85,446
ALLEGHENY TECHNOLOGIES INC
Common Stock
1,432,929
21,855
ALTRA INDUSTRIAL MOTION CORP
Common Stock
1,212,758
44,675
AMERICAN CAMPUS COMMUNITIES IN
Common Stock
1,910,750
52,700
AMERIS BANCORP
Common Stock
2,014,194
33,560
ARGO GROUP INTERNATIONAL HOLDI
Common Stock
1,466,572
19,075
ARTISAN PARTNERS ASSET MANAGEM
Common Stock
960,236
38,520
ASSURED GUARANTY LTD
Common Stock
1,212,995
59,600
BANK OF NT BUTTERFIELD & SON L
Common Stock
1,857,136
38,650
BANK OZK
Common Stock
1,208,586
37,450
BANNER CORP
Common Stock
1,744,796
45,540
BEACON ROOFING SUPPLY INC
Common Stock
1,830,253
59,965
CAPRI HOLDINGS LTD
Common Stock
2,518,530
14,605
CARTER'S INC
Common Stock
1,373,892
51,020
CATHAY GENERAL BANCORP
Common Stock
1,642,334
89,580
CHAMPIONX CORP
Common Stock
1,370,574
42,540
CHEESECAKE FACTORY INC/THE
Common Stock
1,576,532
100,950
DESPEGAR.COM CORP
Common Stock
1,293,170
53
33,537
DIAMONDBACK ENERGY INC
Common Stock
1,623,191
246,762
DIEBOLD NIXDORF INC
Common Stock
2,630,483
48,150
DXC TECHNOLOGY CO
Common Stock
1,239,863
49,438
EL POLLO LOCO HOLDINGS INC
Common Stock
894,828
59,360
ELF BEAUTY INC
Common Stock
1,495,278
18,930
ENERSYS
Common Stock
1,572,326
16,780
ENPRO INDUSTRIES INC
Common Stock
1,267,226
33,815
ENVISTA HOLDINGS CORP
Common Stock
1,140,580
111,230
EQT CORP
Common Stock
1,413,733
25,430
ESSENT GROUP LTD
Common Stock
1,098,576
86,530
GATES INDUSTRIAL CORP PLC
Common Stock
1,104,123
42,965
GLACIER BANCORP INC
Common Stock
1,976,820
51,846
HANGER INC
Common Stock
1,140,094
10,430
IAA INC
Common Stock
677,741
18,495
IDACORP INC
Common Stock
1,776,075
34,310
INTEGRA LIFESCIENCES HOLDINGS
Common Stock
2,227,405
149,990
KAR AUCTION SERVICES INC
Common Stock
2,791,314
37,715
KIRBY CORP
Common Stock
1,954,768
151,465
LIBERTY LATIN AMERICA LTD
Common Stock
1,685,805
8,435
LINCOLN ELECTRIC HOLDINGS INC
Common Stock
984,871
145,775
MICHAELS COS INC/THE
Common Stock
1,896,533
92,500
NAVIENT CORP
Common Stock
908,350
16,710
NEW RELIC INC
Common Stock
1,092,834
66,410
OUTFRONT MEDIA INC
Common Stock
1,298,980
90,450
PHYSICIANS REALTY TRUST
Common Stock
1,610,010
104,530
PLANTRONICS INC
Common Stock
2,825,446
34,840
POPULAR INC
Common Stock
1,976,345
31,900
PORTLAND GENERAL ELECTRIC CO
Common Stock
1,377,586
12,260
POST HOLDINGS INC
Common Stock
1,238,383
22,045
QTS REALTY TRUST INC
Common Stock
1,374,694
139,250
REDWOOD TRUST INC
Common Stock
1,222,615
61,854
RESIDEO TECHNOLOGIES INC
Common Stock
1,315,016
33,950
REXNORD CORP
Common Stock
1,340,686
25,370
SAILPOINT TECHNOLOGIES HOLDING
Common Stock
1,350,699
271,487
SAMSONITE INTERNATIONAL SA
Common Stock
2,395,873
26,800
SEALED AIR CORP
Common Stock
1,227,172
124,160
SLM CORP
Common Stock
1,538,342
15,910
STERICYCLE INC
Common Stock
1,103,040
92,250
STERLING BANCORP/DE
Common Stock
1,658,655
33,385
SYNEOS HEALTH INC
Common Stock
2,274,520
31,415
TEREX CORP
Common Stock
1,096,069
47,645
TREEHOUSE FOODS INC
Common Stock
2,024,436
44,920
US FOODS HOLDING CORP
Common Stock
1,496,285
53,312
VALVOLINE INC
Common Stock
1,233,640
95,074
VIPER ENERGY PARTNERS LP
Common Stock
1,104,760
7,580
WATTS WATER TECHNOLOGIES INC
Common Stock
922,486
54,610
WEBSTER FINANCIAL CORP
Common Stock
2,301,812
15,975
WNS HOLDINGS LTD
Common Stock
1,150,999
3,098,181
EB TEMP INV FD*
Common Collective Trust Fund
3,098,181
2,823,527
VANGUARD EXPLORER VALUE FUND
Mutual Fund
105,938,734
8,940,676
DFA US Targeted Value Portfolio
Mutual Fund
210,910,536
Small Cap Value Fund Subtotal
$
422,508,820
Growth & Income Fund
Columbia Threadneedle, Mellon Capital and Barrow Hanley
Separately Managed Fund
897,476
AES CORP/THE
Common Stock
$
21,090,686
305,393
AMERICAN INTERNATIONAL GROUP I
Common Stock
11,562,179
244,419
APPLIED MATERIALS INC
Common Stock
21,093,360
644,586
BANK OF AMERICA CORP
Common Stock
19,537,402
54
940,984
BARRICK GOLD CORP
Common Stock
21,452,921
202,502
BAXTER INTERNATIONAL INC
Common Stock
16,299,158
300,740
BRISTOL-MYERS SQUIBB CO
Common Stock
18,802,265
36,554
CATERPILLAR INC
Common Stock
6,653,559
228,952
CENTENE CORP
Common Stock
13,743,989
66,638
CHEVRON CORP
Common Stock
5,627,579
100,989
CIGNA CORP
Common Stock
21,023,890
489,660
CISCO SYSTEMS INC/DELAWARE
Common Stock
21,912,285
280,307
CITIGROUP INC
Common Stock
17,283,730
406,112
CORNING INC
Common Stock
14,620,032
163,196
CSX CORP
Common Stock
14,810,037
380,772
FIRSTENERGY CORP
Common Stock
11,655,431
191,015
FMC CORP
Common Stock
22,045,041
593,028
FREEPORT-MCMORAN INC
Common Stock
15,430,589
79,220
HONEYWELL INTERNATIONAL INC
Common Stock
16,850,094
35,194
HUMANA INC
Common Stock
14,461,039
162,655
JPMORGAN CHASE & CO
Common Stock
20,668,571
154,229
LOWE'S COS INC
Common Stock
24,755,297
223,331
MARATHON PETROLEUM CORP
Common Stock
9,236,970
256,912
METLIFE INC
Common Stock
12,062,018
297,971
MORGAN STANLEY
Common Stock
20,419,953
160,298
NEXTERA ENERGY INC
Common Stock
12,366,991
228,995
PHILIP MORRIS INTERNATIONAL IN
Common Stock
19,233,290
116,604
QUALCOMM INC
Common Stock
17,763,453
32,916
QURATE RETAIL INC
Common Stock
3,258,638
1,663,748
QURATE RETAIL INC
Common Stock
18,251,316
75,434
RAYTHEON TECHNOLOGIES CORP
Common Stock
5,394,285
699,489
TECHNIPFMC PLC
Common Stock
6,575,197
718,257
TERADATA CORP
Common Stock
16,139,235
47,248
UNION PACIFIC CORP
Common Stock
9,837,979
445,665
VERIZON COMMUNICATIONS INC
Common Stock
26,182,819
675,457
WELLS FARGO & CO
Common Stock
20,385,292
704,226
WILLIAMS COS INC/THE
Common Stock
14,119,731
582,606,301
1
AARON'S CO INC/THE
Common Stock
9
25,650
ADVANCE AUTO PARTS INC
Common Stock
4,046,631
87,481
AECOM
Common Stock
4,354,804
107,120
AERCAP HOLDINGS NV
Common Stock
4,882,530
140,990
ALTICE USA INC
Common Stock
5,339,291
114,455
AMERICAN CAMPUS COMMUNITIES IN
Common Stock
4,895,240
35,896
AMERICAN EXPRESS CO
Common Stock
4,340,185
124,902
AMERICAN INTERNATIONAL GROUP I
Common Stock
4,728,790
13,418
ANTHEM INC
Common Stock
4,308,386
145,144
ARAMARK
Common Stock
5,585,141
56,454
AXIS CAPITAL HOLDINGS LTD
Common Stock
2,868,428
12,024
BROADCOM INC
Common Stock
5,264,708
55,584
BWX TECHNOLOGIES INC
Common Stock
3,350,604
167,750
CENTERPOINT ENERGY INC
Common Stock
3,630,110
39,130
CHEVRON CORP
Common Stock
3,304,529
20,067
CHUBB LTD
Common Stock
3,104,577
84,333
CITIGROUP INC
Common Stock
5,199,973
102,198
COCA-COLA EUROPEAN PARTNERS PL
Common Stock
5,092,526
55,449
COGNIZANT TECHNOLOGY SOLUTIONS
Common Stock
4,544,046
83,448
COMCAST CORP
Common Stock
4,372,675
160,814
CORPORATE OFFICE PROPERTIES TR
Common Stock
4,238,253
113,795
CORTEVA INC
Common Stock
4,406,142
54,885
CVS HEALTH CORP
Common Stock
3,748,646
16,657
DEERE & CO
Common Stock
4,494,225
46,100
DISCOVER FINANCIAL SERVICES
Common Stock
4,173,433
88,164
DUPONT DE NEMOURS INC
Common Stock
6,269,342
68,637
EDISON INTERNATIONAL
Common Stock
4,357,248
55
304,669
ELEMENT SOLUTIONS INC
Common Stock
5,401,781
51,019
EMERSON ELECTRIC CO
Common Stock
4,100,397
109,865
ENVISTA HOLDINGS CORP
Common Stock
3,705,746
87,765
EXELON CORP
Common Stock
3,705,438
115,009
FIDELITY NATIONAL FINANCIAL IN
Common Stock
4,495,702
27,851
GENERAL DYNAMICS CORP
Common Stock
4,144,786
18,420
GOLDMAN SACHS GROUP INC/THE
Common Stock
4,857,538
87,366
HESS CORP
Common Stock
4,612,051
31,832
HOLOGIC INC
Common Stock
2,318,325
47,195
HOWARD HUGHES CORP/THE
Common Stock
3,725,101
7,488
HUMANA INC
Common Stock
3,076,782
26,876
JACOBS ENGINEERING GROUP INC
Common Stock
2,928,409
26,356
JB HUNT TRANSPORT SERVICES INC
Common Stock
3,601,547
138,441
JEFFERIES FINANCIAL GROUP INC
Common Stock
3,405,649
37,394
JPMORGAN CHASE & CO
Common Stock
4,751,656
77,498
LAS VEGAS SANDS CORP
Common Stock
4,618,881
48,666
LENNAR CORP
Common Stock
3,709,809
54,828
LIVANOVA PLC
Common Stock
3,630,162
16,912
LOWE'S COS INC
Common Stock
2,714,545
30,645
MARRIOTT INTERNATIONAL INC/MD
Common Stock
4,042,688
33,856
MARRIOTT VACATIONS WORLDWIDE C
Common Stock
4,645,720
37,194
MEDTRONIC PLC
Common Stock
4,378,770
190,313
MGM GROWTH PROPERTIES LLC
Common Stock
6,049,596
171,637
MGM RESORTS INTERNATIONAL
Common Stock
5,408,282
34,502
MICROCHIP TECHNOLOGY INC
Common Stock
4,765,071
152,464
NAVIENT CORP
Common Stock
1,497,196
25,955
NORTHERN TRUST CORP
Common Stock
2,435,864
60,869
ORACLE CORP
Common Stock
3,937,616
54,093
OWENS CORNING
Common Stock
4,098,086
58,463
PHILLIPS 66
Common Stock
4,088,902
62,804
PROG HOLDINGS INC
Common Stock
3,383,251
27,382
QUALCOMM INC
Common Stock
4,171,374
61,354
QUANTA SERVICES INC
Common Stock
4,422,396
35,789
RALPH LAUREN CORP
Common Stock
3,712,751
61,538
RAYTHEON TECHNOLOGIES CORP
Common Stock
4,400,582
175,992
SEAWORLD ENTERTAINMENT INC
Common Stock
5,559,587
293,300
SLM CORP
Common Stock
3,633,987
27,161
STANLEY BLACK & DECKER INC
Common Stock
4,849,868
13,354
TEXAS INSTRUMENTS INC
Common Stock
2,191,792
10,951
UNITEDHEALTH GROUP INC
Common Stock
3,840,297
99,837
US BANCORP
Common Stock
4,693,337
160,814
VICI PROPERTIES INC
Common Stock
4,154,545
134,420
WELLS FARGO & CO
Common Stock
4,056,796
58,796
WESTINGHOUSE AIR BRAKE TECHNOL
Common Stock
4,303,867
20,443
WILLIS TOWERS WATSON PLC
Common Stock
4,321,446
—
DIVIDENDS RECEIVABLE RECLAIM
Common Stock
3,400
295,451,844
—
Cash
Cash
131
931,434
EB DL NON SL LARGE CAP VALUE STOCK INDEX FUND
Common Collective Trust Fund
297,863,319
12,894,928
EB TEMP INV FD*
Common Collective Trust Fund
12,894,928
2,309,669
EB TEMP INV FD*
Common Collective Trust Fund
2,309,669
Growth & Income Fund Subtotal
$
1,191,126,192
Large Cap Growth Fund
Columbus Circle, T. Rowe Price and Mellon Capital
Separately Managed Fund
1,100
ABBVIE INC
Common Stock
$
117,865
489
ADOBE INC
Common Stock
244,559
89,509
ADVANCED MICRO DEVICES INC
Common Stock
8,208,870
777
AGILENT TECHNOLOGIES INC
Common Stock
92,067
56
3,582
AIRBNB INC
Common Stock
525,838
107,942
ALIBABA GROUP HOLDING LTD
Common Stock
25,121,342
1,098
ALIGN TECHNOLOGY INC
Common Stock
586,749
5,448
ALPHABET INC-CL A
Common Stock
9,548,383
24,572
ALPHABET INC-CL C
Common Stock
43,047,195
28,329
AMAZON.COM INC
Common Stock
92,265,570
13,241
ANTHEM INC
Common Stock
4,251,553
306,954
APPLE INC
Common Stock
40,729,726
19,921
APPLIED MATERIALS INC
Common Stock
1,719,182
5,085
APTIV PLC
Common Stock
662,525
7,591
ATLASSIAN CORP PLC
Common Stock
1,775,307
695
BECTON DICKINSON AND CO
Common Stock
173,903
3,032
BOOKING HOLDINGS INC
Common Stock
6,753,083
271
CANADIAN PACIFIC RAILWAY LTD
Common Stock
94,155
9,700
CARVANA CO
Common Stock
2,323,538
53,477
CENTENE CORP
Common Stock
3,210,224
75,874
CHARLES SCHWAB CORP/THE
Common Stock
4,024,357
200
CHARTER COMMUNICATIONS INC
Common Stock
132,310
3,642
CHIPOTLE MEXICAN GRILL INC
Common Stock
5,050,398
10,476
CHUBB LTD
Common Stock
1,620,637
47,463
CIGNA CORP
Common Stock
9,880,847
8,414
CINTAS CORP
Common Stock
2,974,012
13,588
CLARIVATE PLC
Common Stock
403,699
5,489
COSTAR GROUP INC
Common Stock
5,073,373
1,880
COUPA SOFTWARE INC
Common Stock
637,151
2,700
CROWDSTRIKE HOLDINGS INC
Common Stock
571,914
39,148
DANAHER CORP
Common Stock
8,703,707
12,211
DOCUSIGN INC
Common Stock
2,714,505
43,614
DOLLAR GENERAL CORP
Common Stock
9,172,024
1,394
DOLLAR TREE INC
Common Stock
150,608
1,451
DOMINO'S PIZZA INC
Common Stock
556,400
2,892
DOORDASH INC
Common Stock
412,833
3,284
EQUIFAX INC
Common Stock
633,287
9,825
ETSY INC
Common Stock
1,747,966
1,562
EXACT SCIENCES CORP
Common Stock
206,949
187,510
FACEBOOK INC
Common Stock
51,220,232
60,329
FIDELITY NATIONAL INFORMATION
Common Stock
8,534,140
78,041
FISERV INC
Common Stock
8,885,748
28,038
FORTIVE CORP
Common Stock
1,985,651
133,727
GENERAL ELECTRIC CO
Common Stock
1,445,735
80,736
GLOBAL PAYMENTS INC
Common Stock
17,392,149
27,886
GOLDMAN SACHS GROUP INC/THE
Common Stock
7,353,817
23,106
HCA HEALTHCARE INC
Common Stock
3,800,013
1,284
HILTON WORLDWIDE HOLDINGS INC
Common Stock
142,858
3,169
HONEYWELL INTERNATIONAL INC
Common Stock
674,046
4,959
HUMANA INC
Common Stock
2,037,628
32,348
INCYTE CORP
Common Stock
2,813,629
27,569
INTERCONTINENTAL EXCHANGE INC
Common Stock
3,178,430
45,258
INTUIT INC
Common Stock
17,191,251
15,171
INTUITIVE SURGICAL INC
Common Stock
12,411,395
7,896
JD.COM INC
Common Stock
694,058
342
KANSAS CITY SOUTHERN
Common Stock
69,963
662
KLA CORP
Common Stock
171,398
810
LAM RESEARCH CORP
Common Stock
384,112
10,965
LINDE PLC
Common Stock
2,889,387
15,898
LULULEMON ATHLETICA INC
Common Stock
5,532,981
3,570
MARRIOTT INTERNATIONAL INC/MD
Common Stock
470,954
6,599
MARSH & MCLENNAN COS INC
Common Stock
772,083
133,911
MARVELL TECHNOLOGY GROUP LTD
Common Stock
6,374,164
53,236
MASTERCARD INC
Common Stock
19,002,058
54,682
MATCH GROUP INC
Common Stock
8,267,372
29,081
MAXIM INTEGRATED PRODUCTS INC
Common Stock
2,578,031
57
421
MCDONALD'S CORP
Common Stock
90,338
189,422
MICROSOFT CORP
Common Stock
42,131,241
1,700
MONGODB INC
Common Stock
610,368
4,257
MONOLITHIC POWER SYSTEMS INC
Common Stock
1,560,991
41,018
MORGAN STANLEY
Common Stock
2,810,964
400
MSCI INC
Common Stock
178,612
34,938
NETFLIX INC
Common Stock
18,892,025
54,565
NIKE INC
Common Stock
7,719,311
7,611
NORFOLK SOUTHERN CORP
Common Stock
1,808,450
22,565
NVIDIA CORP
Common Stock
11,783,443
2,727
PARKER-HANNIFIN CORP
Common Stock
742,862
5,155
PAYCOM SOFTWARE INC
Common Stock
2,331,349
96,805
PAYPAL HOLDINGS INC
Common Stock
22,671,731
10,374
PINDUODUO INC
Common Stock
1,843,149
19,297
PPD INC
Common Stock
660,343
4,800
PPG INDUSTRIES INC
Common Stock
692,256
24,989
QUALCOMM INC
Common Stock
3,806,824
1,200
RINGCENTRAL INC
Common Stock
454,764
700
ROKU INC
Common Stock
232,414
9,997
ROPER TECHNOLOGIES INC
Common Stock
4,309,607
49,131
ROSS STORES INC
Common Stock
6,033,778
14,687
S&P GLOBAL INC
Common Stock
4,828,058
71,634
SALESFORCE.COM INC
Common Stock
15,940,714
54,483
SEA LTD
Common Stock
10,844,841
666
SEAGEN INC
Common Stock
116,643
36,806
SERVICENOW INC
Common Stock
20,259,127
1,251
SHERWIN-WILLIAMS CO/THE
Common Stock
919,372
2,629
SHOPIFY INC
Common Stock
2,975,897
146,219
SNAP INC
Common Stock
7,321,185
1,126
SNOWFLAKE INC
Common Stock
316,856
28,597
SPLUNK INC
Common Stock
4,858,344
15,713
SPOTIFY TECHNOLOGY SA
Common Stock
4,944,253
3,100
SQUARE INC
Common Stock
674,684
5,900
STARBUCKS CORP
Common Stock
631,182
1,261
STATE STREET CORP
Common Stock
92,431
44,761
STRYKER CORP
Common Stock
10,996,435
24,340
SYNOPSYS INC
Common Stock
6,309,902
13,180
TE CONNECTIVITY LTD
Common Stock
1,595,703
288,963
TENCENT HOLDINGS LTD
Common Stock
20,773,550
13,037
TEXAS INSTRUMENTS INC
Common Stock
2,139,763
16,773
THERMO FISHER SCIENTIFIC INC
Common Stock
7,816,504
23,563
TJX COS INC/THE
Common Stock
1,609,117
3,000
T-MOBILE US INC
Common Stock
404,550
2,378
TWILIO INC
Common Stock
804,953
9,394
UNION PACIFIC CORP
Common Stock
1,956,019
2,147
UNITED AIRLINES HOLDINGS INC
Common Stock
92,858
46,296
UNITEDHEALTH GROUP INC
Common Stock
16,235,081
8,161
VEEVA SYSTEMS INC
Common Stock
2,221,832
36,286
VERTEX PHARMACEUTICALS INC
Common Stock
8,575,833
10,386
VF CORP
Common Stock
887,068
114,633
VISA INC
Common Stock
25,073,676
7,900
WALT DISNEY CO/THE
Common Stock
1,431,322
6,713
WILLIS TOWERS WATSON PLC
Common Stock
1,419,913
13,452
WIX.COM LTD
Common Stock
3,362,462
13,367
WORKDAY INC
Common Stock
3,202,867
23,613
YUM! BRANDS INC
Common Stock
2,563,427
18,763
ZOETIS INC
Common Stock
3,105,277
3,898
ZOOM VIDEO COMMUNICATIONS INC
Common Stock
1,314,873
—
Cash
Cash
33
5,528,762
EB TEMP INV FD*
Common Collective Trust Fund
5,528,762
2,693,626
EB DL NON SL LARGE CAP GROWTH
Common Collective Trust Fund
984,547,385
58
Large Cap Growth Fund Subtotal
$
1,802,449,466
Notes receivable from participants
Prime rate as of the month end prior to loan request date plus 1%
$
363,506,833
Total Assets Held in the Plan
$
25,080,728,976
*Party-in-interest
**Represents fair value for all investments with the exception of GICs and security-backed investment contracts 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 24, 2021
By:
/s/ JAMES D. CLARK
James D. Clark
Senior Vice President, Controller and Chief Accounting Officer
