2020 Annual Report

Annual
Investment
Report
2 01 9 – 2 0 2 0
South Carolina
Retirement System
Investment Commission
ANNUAL INVESTMENT REPORT
July 1, 2019 – June 30, 2020

Ronald Wilder, Ph.D., Chairman
Capitol Center
1201 Main Street, Suite 1510
Columbia, SC 29201
Table of
Contents
CEO Report � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 1
Consultant’s Letter � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 5
Overview � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 15
Commissioners � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 18
Policy Allocation � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 23
Manager Returns � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 25
Securities Lending � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 31
Expenses � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 32
Delegation Authority � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 35
Risk � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 37
Holdings � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 39
APPENDIX A: SUMMARY SCHEDULE � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 41
APPENDIX B: CASH AND EQUIVALENTS � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 43
APPENDIX C: SHORT DURATION � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 48
APPENDIX D: FIXED INCOME INVESTMENTS � � � � � � � � � � � � � � � � � � � � � � � � � � � � 51
APPENDIX E: EQUITY INVESTMENTS � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 82
APPENDIX F: PUBLIC INFRASTRUCTURE � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 114
APPENDIX G: PUBLIC REAL ESTATE � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 115
APPENDIX H: ALTERNATIVES� � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 116
APPENDIX I: RESIDUAL ASSETS� � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 119
APPENDIX J: FUTURES � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 119
APPENDIX K: SWAPS AND OPTIONS� � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 120
RETIREMENT SYSTEM INVESTMENT COMMISSION 5

01
CEO Report
1 2019–2020 ANNUAL INVESTMENT REPORT

WILLIAM (BILL) H. HANCOCK, CPA RONALD P. WILDER, PH. D
Chair Vice-Chair
PEGGY G. BOYKIN, CPA ALLEN R. GILLESPIE, CFA

Commissioner Commissioner
WILLIAM (BILL) J. CONDON, JR. JD, MA, CPA REBECCA M. GUNNLAUGSSON, PH. D
Retirement System Commissioner Commissioner
Investment Commission
EDWARD N. GIOBBE, MBA REYNOLDS WILLIAMS, JD, CFP
Commissioner Commissioner
December 18, 2020
The Honorable Henry D. McMaster, Governor

Members of the State Fiscal Accountability Authority
Members of the General Assembly of South Carolina
RE:2019-2020 Annual Investment Report
Dear Ladies and Gentlemen:
The Retirement System Investment Commission (RSIC) annually includes an introductory

letter to you as a part of the Annual Investment Report that provides a brief synopsis of our
investment performance for the corresponding fiscal year. However, given the significance
of the changes we have made in Fiscal Year 2019-2020 to simplify our investment portfolio,
I submit that a more in-depth introductory review is warranted.
When faced with a complex challenge, the most comprehensive, and often complex solution
can seem to be the best approach as part of a well-intentioned effort to respond in every
way possible. Those who invest on behalf of pension funds, like RSIC, have faced the
complex challenge of investing in a sustained low interest rate environment which has
persisted since the Global Financial Crisis over a decade ago. As the Federal Reserve has
reacted to the Global Financial Crisis and the recent economic and market turmoil related to
the COVID-19 pandemic, it has held interest rates at or near zero. This has been a natural
and logical response by the Fed and other central banks around the world to stabilize and
stimulate the global economy.
However, the impact to savers, including pension funds, is that the rate of return on low risk
investments like U.S. government bonds has decreased dramatically along with interest
rates. As a result, pension funds have been forced to push a greater percentage of their
investment portfolios into riskier investments like stocks. Even though stock values have
persistently increased over the past ten years, it is important to remember that stocks are
historically one of the most volatile investment asset classes. This volatility was on dramatic
display in March of this year when stocks experienced historic declines in reaction to the
global shutdown caused by the COVID-19 pandemic.
1201 MAIN STREET, SUITE 1510, COLUMBIA, SC 29201 // (P) 803.737.6885 // (F) 803.737.7070 // WWW.RSIC.SC.GOV

CEO REPORT
Not only have pension fund investors been forced to invest more of their portfolios in stocks
to achieve a reasonable rate of return, they have also felt compelled to include exposure
to riskier forms of fixed income like high yield corporate bonds and emerging market debt.
These bonds pay a higher interest rate than U.S. government bonds, but correspondingly
come with greater risk. Even though these investments pay a fixed rate of return, their value
tends to suffer similar volatility as stocks during times of market stress.
The other temptation for investors in any market, but especially in a declining interest rate
environment is to chase returns. Often, this involves frequent adjustments to the allocations
of their portfolios into riskier asset classes and can also result in over diversification into
too many asset classes. This may lead to an overly complex portfolio of smaller allocations
whose returns can either cancel each other out or suffer the same level of impairment
during market turmoil. These portfolios may also include a greater percentage of actively
managed strategies that seek to outperform low-cost stock index funds.
In early 2019, RSIC began an exercise to determine if the portfolio allocation decisions made
over the past several years in reaction to the low interest rate environment had exposed us
to the risks I have highlighted. We found that although we had a portfolio that was designed
in good faith to achieve a long-term rate of return that exceeds the assumed annual rate of
return, it did so with more complexity than was necessary. Additionally, we determined that
we were using more actively managed strategies than we believe makes sense today. We
determined that, despite our best intentions, we had developed a portfolio that was over
diversified, and realized that establishing a simpler path to achieving our investment goals
would better support the long-term health of the Retirement System.
Over the next year, we worked to develop a more simplified portfolio with fewer asset
classes and a simpler means of implementation. In doing so, we were mindful of the risks
of making changes simply to chase returns. As a result, we were thoughtful and methodical
in our approach to develop a portfolio asset allocation we were comfortable maintaining
for the span of decades rather than years. We were also contemplating these changes
primarily during calendar year 2019, a year in which we earned a 16.82 percent net return
and were anticipating a future low growth environment with no hint of the COVID-19 market
turmoil to come.
At our April meeting this year, the Commission adopted a new portfolio allocation that
reduced the number of asset classes from eighteen to five. The plan also allows us to
passively index our entire allocation to public stocks and bonds which comprises over
seventy percent of the portfolio. This shift to passive management alone should decrease
our investment management fees by over $40 million annually. The vast majority of these
changes are already in place and were implemented beginning July 1st of Fiscal Year
2020-21.
In hindsight, it would have been beneficial to have moved faster and had these changes
in place prior to the market turmoil of this past March. Our new portfolio would have
weathered the market turmoil much better than the one that was in place. However, these
changes were massive in scale and involved over $13 billion in transactions to implement
them. I have likened it to repairing a massive ship at sea when a storm hits. Although in

CEO REPORT
hindsight it would have been better to have made the repairs sooner, changes like these
should be made on foundational principles and not as an attempt to time markets.
Regardless, there is a degree of comfort in knowing that, in Fiscal Year 2019-2020, our new
portfolio would have earned a competitive 2.34 percent that would have met or exceeded
the return of the majority of pension funds of our size rather than the -1.58 percent return
of our actual portfolio. The new portfolio would have also achieved higher returns over the
preceding three, five, and ten-year periods than our actual portfolio.
I also believe that these changes to the portfolio build upon the work we have done over the
past five years to improve RSIC as an organization and to make lasting improvements to our
investment performance. We have developed a world class organization comprised of
outstanding professionals that are grounded in values, policies, and procedures that are
viewed as best in class.
We have also made other enduring changes to improve performance, most notably by
lowering investment management fees. We are recognized as leaders in investment fee
transparency, capturing and reporting more types of fees than many other funds, which
has given us an advantage in attacking cost. Since Fiscal Year 2013, which was the high
watermark for investment management fees, we have cut our investment management fees
approximately in half. In fact, we pay less today to manage a portfolio of $30.9 billion than we
did in 2013 to manage a portfolio of $26.8 billion. These savings will be further enhanced by
passively managing seventy percent of the portfolio.
As a result, I am confident that the cumulative changes we have made will better prepare us
to weather the continued low interest rate environment and withstand the winds of market
storms to come.
Sometimes it is not easy to accept that a complex solution often only compounds a sustained
and complex problem like we have with a low interest rate environment. However, as
investors charged with managing a portfolio with the longest of investment horizons, we must
recognize that the simpler path is easiest to maintain and provides the most consistency. I
am confident that the portfolio we now have in place provides the best opportunity to help
ensure the safety and security of the Retirement System far into the future.
As always, we are appreciative of your support of the RSIC and the opportunity to serve the
public servants of South Carolina.
Sincerely,
Michael R. Hitchcock, CEO

02
Consultant’s Letter

Memorandum
To: The Honorable Henry McMaster, Governor

State Fiscal Accountability Authority
Members of the General Assembly
From: Meketa Investment Group
Date: October 16, 2020
Re: Fiscal Year Ending June 30, 2020 Review
As the general investment consultant for the Retirement System Investment Commission
(RSIC) of South Carolina, Meketa Investment Group is pleased to present this summary of
the fiscal year events and investment performance of the South Carolina Retirement System
(SCRS) investment portfolio for the fiscal year ending June 30, 2020.
FISCAL 2020 MARKET ENVIRONMENT REVIEW
The past year has seen remarkable shifts in economic and financial market performance.
We entered fiscal year 2020 facing considerable uncertainty regarding the path of fiscal and
monetary policies, elevated valuations, declining growth in China, a general slowdown in
global growth, the potential for additional trade issues, and political uncertainty in Europe
(Italy, Greece, Brexit). All of these concerns weighed heavily on most investors’ minds. Fast
forward to where we sit today at the close of the 2020 fiscal year and much has changed in
the world.
The start of the fiscal year was characterized by widespread concerns regarding slowing
global growth. This backdrop of uncertainty prompted major central banks to continue their
pivot towards more accommodative policies. Here in the US, ongoing concerns regarding
a decline in growth and the trade standoff between the US and China played a key role in
the Federal Reserve’s decision to cut rates several times, and eventually settle at a range of
1.50-1.75% by December 2019. Considering that the Fed had previously embarked on what
was characterized as a fairly aggressive rate-hiking cycle until late 2018 given improvements
in the economy, this represented a stark reversal of course. Fed Chairman Jerome Powell
indicated that these so called “insurance cuts” were to combat recent weakness in the
economy and were not necessarily a part of a longer cycle of interest rate cuts.
Outside of the US, major central banks, notably the European Central Bank (ECB) and
the Bank of Japan, affirmed similar accommodative policy stances. ECB President Mario

Memorandum
October 19, 2020
Page 2 of 9
Draghi, in one of his last formal acts as President, re-initiated the ECB’s quantitative easing
program, prior to being succeeded by Christine Lagarde in November 2019. Continued
monetary accommodation, and increasing whispers of more formal fiscal support, set the
stage for strong performance in global equities and other risk assets at the end of 2019.
In the third calendar quarter of 2019 markets experienced mixed results with US stocks and
bonds posting gains, while international assets, smaller company stocks, and commodities
declined. The calendar year finished strong though as a result of broadly accommodative
policy stances, coupled with optimism about the pass-through of easier monetary policy to
better economic prospects. US equities led the way in the second half of calendar 2019,
with the Russell 3000 posting a return of 10.4%, followed by emerging market equities
(MSCI Emerging Markets Index) producing a return of 7.1%, and developed international
markets (MSCI EAFE) generating a return of 7.0%. With interest rates declining towards
multi-decade lows, spread sectors within bond markets enjoyed strong performance as
well. Local currency emerging markets debt, US investment grade corporate debt, and US
high yield debt led the way; the JP Morgan GBI-EM Global Diversified, Bloomberg Barclays
US Corporate Investment Grade, and Bloomberg Barclays US Corporate High Yield indices
generated total returns of 4.4%, 4.3%, and 4.0%, respectively in the second half of 2019.
The VIX Index (a measure of volatility expectations), which saw a jump in Q4 2019 above
30.0 before ending the year at 25.4, fell markedly as the year came to a close, ending 2019
at an extremely benign level of 13.8. Gold ended the year with a reasonably strong gain,
trading at $1,519.50 at the end of 2019, up from $1,278.30 at the end of 2018. WTI Crude
ended 2019 at $61.10, an increase from its year-end 2018 level of $45.15.
By most accounts, global financial markets entered calendar 2020 on relatively strong
footing. Equity markets continued their march higher early in the year, despite elevated
valuations, as investors increasingly began to price in a reflationary growth impulse, as
suggested by leading economic indicators in global developed and emerging markets.
However, a relatively optimistic backdrop underwent a remarkably rapid shift over the
course of just a few weeks.
In January, the first COVID-19 case was acknowledged by Chinese authorities, reportedly
originating in Wuhan, China. The actual timeline of the spread of the virus and its
origination continue to be the subject of much speculation. With limited historical
precedent, market participants leaned on China’s relative success in containing SARS as
indicative of the path of COVID-19. By March, the virus began to spread globally, particularly
in Europe, with Italy and Spain reporting massive spikes in infections and, sadly, mortality
rates, and markets changed course. Clearly, where SARS was quickly contained, COVID-
19’s infection rate had exploded globally. By virtue of greater freedom of travel and 21st
century globalization, the virus spread far more quickly than was initially expected based on
previous viral outbreaks. In March, in an effort to contain the spread, countries responded
by enacting stringent lockdowns, or “stay at home orders” leading to an abrupt halt in
production and consumption. Layoffs expanded dramatically and swiftly, as businesses
were forced to close down in an effort to stop the disease from spreading.
The impact on financial markets was extreme. Global equity markets rapidly entered bear
market territory, and continued their path downward throughout the month of March,

Memorandum
October 19, 2020
Page 3 of 9
as market participants attempted to price in the impact of a cessation of a large portion

of global economic activity. With limited data on COVID-19, the pendulum clearly swung
towards pessimism regarding the virus’ impact and the likely path of activity going forward.
After ending the year 2019 below 14, the VIX spiked above its prior peak during the Global
Financial Crisis, briefly breaching 80 in early March. In the US, circuit breakers were
triggered at the New York Stock Exchange, with markets opening limit down, on March 9th
and March 16th. At the depth of the drawdown from January 1, 2020 to March 23, 2020, the
Russell 3000 was down -31.6%, the MSCI EAFE Index (developed market equities) was down
-33.2%, and the MSCI Emerging Markets Index (emerging market equities) was down -31.8%.
The perception of acute stress in credit markets, both in the US and abroad, led to solvency
fears; the Barclays High Yield index fell -19.8%. Investors universally fled risk assets, in all
forms, during the selloff in favor of perceived safer assets like US Treasuries.
Over this same time period, the spread between large cap stocks, which went into the shock
with stronger financial positions and have tended to experience less volatility in drawdowns,
and small cap stocks, which are more pro-cyclical and volatile, widened during the selloff.
Whereas the Russell 1000 fell by -31.1%, the Russell 2000 fell by -39.7%, a spread of nearly
10%. Going further, the ever-widening performance gap between growth and value, which
we have highlighted in past CAFR reviews, persisted. The spread between large cap growth
and small cap value expanded during the selloff, with the Russell 1000 Growth declining
25.1% and the Russell 2000 Value falling 44.3%, for a spread of nearly 20%.
The rapid unwind of risk in early 2020, one of the fastest market selloffs in modern financial
history, reinforced the importance of diversification. While equity and credit markets fell
precipitously, bonds provided an offset for investors. The Bloomberg Barclays US Aggregate
generated a return of 1.0% over the course of the drawdown noted above, and long-term
treasuries, measured by the Bloomberg Barclays Long US Government index, generated a
return of 20.2%.
The volatility of the pandemic was exacerbated by volatility in oil prices, which experienced
a rapid collapse early in 2020. The COVID-19 related restrictions weighed heavily on
demand, with Saudi Arabia’s untimely decision to flood the market with oil to gain market
share creating further stress on prices. Oil futures briefly traded at negative price levels
during the depths of the crisis, as demand collapsed and storage capacity dwindled. The
May WTI futures contract briefly exchanged hands at nearly -$40 per barrel. Commodity
and natural resource asset classes both participated in the broader market selloff; the
Bloomberg Commodity Index and the S&P Global Natural Resources Index were down
-23.4% and -44.6% at the trough, respectively. While the futures curve has since normalized,
the oil supply/demand dynamic remains in flux. OPEC+ (inclusive of additional key producers
such as Russia) reached a supply cut agreement in April that supported prices and stabilized
the market.
To combat the expected, significant decline in economic activity, fiscal and monetary
authorities globally responded with immediate and historic stimulus measures. The Federal
Reserve, in the midst of the March drawdown, immediately cut the Fed Funds Target Rate
effectively to zero, and subsequently introduced aggressive stimulus measures, including
backstop liquidity, funding programs, and trillions of dollars in promised asset purchases.

Memorandum
October 19, 2020
Page 4 of 9
Meanwhile, fiscal authorities released over $2.4 trillion in targeted stimulus, with the
promise of additional measures in the future. Importantly, both the speed of the response,
and the breadth of the response, made the joint monetary/fiscal stimulus unprecedented. In
Japan and Europe, similarly aggressive monetary and fiscal measures were implemented,
although it should be noted that they entered the crisis with no room to cut policy rates, so
their focus was on quantitative easing and fiscal measures.
Robust stimulus across global developed and emerging economies, coupled with
incremental positive news regarding the spread of COVID-19, and economies slowly
reopening, set the stage for a relatively rapid rebound in risk assets in the second calendar
quarter. While the pace of the deceleration in economic activity was rapid, and data for the
second quarter has been relatively dire in absolute terms, market participants are largely
taking a longer-term view with expectations for a recovery in economic activity later this
year and into 2021. In the second calendar quarter of 2020, the Russell 3000 (US equities),
the MSCI EAFE, (developed market equities), and the MSCI Emerging Markets (emerging
market equities) generated total returns of 22.0%, 14.9%, and 18.1%, respectively. Given
support from the Federal Reserve and increased risk appetite, credit recovered rapidly as
well, with the Bloomberg Barclays US High Yield index generating a return of 10.2%. The
broader fixed income market, as measured by the Bloomberg Barclays US Aggregate,
benefitted from monetary stimulus, producing a 2.9% total return. While the VIX remained
elevated relative to its pre-crisis levels at 30.4 as of June 2020, it had fallen significantly
since the peak of the crisis in the first calendar quarter. Equally, bond market volatility as
measured by the MOVE Index fell to nearly a record low.
An investor who had not been following current events over the past year and only chose
to look at US equity market performance, could be forgiven for thinking that little had
changed regarding the prevailing market regime. Despite a massive risk-off event in the
first quarter of 2020 associated with a global pandemic, risk assets have, in some cases,
posted moderately positive returns over the past fiscal year. US equities, as represented
by the Russell 3000 Index, finished the fiscal year with a 6.5% return. Emerging markets
(MSCI Emerging Markets) delivered -3.4% for the year. The MSCI EAFE Index was the worst
performer among the headline global regions, posting a total return of -5.1%.
Several important trends underneath the headline results merit emphasis. In the US, the
spread between large cap stocks and small cap stocks remains extremely wide. The
Russell 1000 produced a total return of 7.5% over the fiscal year, whereas the Russell
2000 generated a total return of -6.6%. The spread between growth and value also
remains stubbornly wide; the Russell 1000 Growth’s return of 23.3% during the fiscal year
far outpaced the Russell 1000 Value’s total return of -8.8%. Key to the persistent spread
between value and growth has been the sector composition of the Value and Growth
indices. The Russell 1000 Value’s large financials and utilities overweights, coupled with
large information technology and consumer discretionary underweights, relative to the
Russell 1000 Growth, were key contributors. The two benchmarks’ relative allocations to
financials and information technology alone generated a performance spread of 14.1% in
favor of the growth index. An even starker contrast can be observed between large cap
growth (Russell 1000 Growth at 23.3%) and small cap value (Russell 2000 Value at -17.5%)
where the total return spread was a massive 40.8%.

Memorandum
October 19, 2020
Page 5 of 9
Within international developed markets, the MSCI EAFE opportunity set, of which Japan,
the UK, and the Eurozone are featured most heavily, underperformed relative to the US and
emerging markets. This can largely be attributed to the weak footing on which they entered
the crisis to begin with, the robust spread of COVID-19, and the stringency of lockdowns
in many of these economies. Within emerging markets, an extremely wide spread
between countries that were able to manage the virus’ spread and deployed aggressive
countermeasures (e.g., China: 9.9% return) relative to countries facing already-dire
economic circumstances (e.g., Brazil: -33.4%, Mexico: -25.2%, and South Africa: -24.9%) was
relatively extreme. The same style regime observed in the US, with growth outperforming
value, persisted in both developed and emerging international markets. Again, the relative
performance of financials and information technology and consumer stocks were key
drivers of the spread between growth and value indices.
Fixed income markets generated relatively strong results, due to a collapse in global
yield curves coupled with a robust liquidity backstop from central banks. The Bloomberg
Barclays US Aggregate produced a total return of 8.7% over the past year. High yield bonds
retraced their earlier losses, with the Bloomberg Barclays US High Yield index finishing flat
over the fiscal year. However, the standout performer within fixed income has been long
maturity Treasuries, with the Bloomberg Barclays Long US Government index gaining an
impressive 25.1% over the one year period ending June 30.
While equities, and especially large cap growth equities, as well as fixed income, produced
relatively strong results despite the COVID-19 shock, we have seen mixed results from
other asset classes. While energy prices recovered to some extent, with WTI Crude Oil
trading at $39.28 at the end of the fiscal year, the current level still represents a significant
drawdown relative to even a year ago, when it traded at $58.20. Natural resource stocks
and commodities, on account of uncertainty regarding supply gluts, especially in the
oil market, and the uncertainty regarding the recovery of demand, produced weak total
returns. The S&P Global Natural Resources Index returned -16.8% while the Bloomberg
Commodity Index returned -17.4%. One of the hardest hit asset classes in markets in 2020
has been real estate, where fears regarding utilization rates in commercial real estate have
prevented the asset class from participating in the recovery to the same extent as other
asset classes. The MSCI U.S. REIT Index returned -12.9%.
Elsewhere, an increasingly robust acceleration in money supply growth, widening fiscal

deficits on account of unprecedented stimulus measures, and an environment of stagnating
growth expectations manifesting in a collapse in real yields, resulted in a significant
increase in demand for physical gold. Over the course of the fiscal year, the price of gold
increased from $1,409.40 per ounce to $1,793.00, an increase of 27.2%. With investors
increasingly fearing the potential ramifications of fiat currency devaluation as a result of
monetary de-basement by the Federal Reserve and other global central banks, they have
turned to gold as a potential hedge.

Memorandum
October 19, 2020
Page 6 of 9
LOOKING FORWARD
Looking ahead, we acknowledge the wide breadth of new issues being presented by the
pandemic, including: 1) economies opening up too soon from virus-related restrictions, and
ultimately having to retract and “close down” again, 2) consumers permanently, or for an
extended time, changing economic behaviors; 3) persistently high unemployment due to
a significant number of companies not surviving the economic downturn; 4) virus-related
fears negatively impacting the future of globalization, 5) an increase in sovereign debt risk
due to the record issuance by governments; and 6) knock-on effects of unprecedented
central bank intervention, including over-extended equity markets and the risk of
unexpected inflation.
Globally, countries continue to tentatively ease their lockdown measures, as politicians

face increasing pressure to get economic growth and employment back on track after a
rapid and severe disruption. As a result, local outbreaks of the virus have arisen in the US
and abroad, forcing local restrictive measures in harder-hit areas. The continued need for
careful management of the spread of the virus is likely to prompt additional volatility in
financial markets. This will only accelerate as we approach the end of the warm summer
months in parts of the world and enter the traditional “flu season” of fall and winter.
This brings many potential risks, including a spike in infections and hospitalizations, the
mutation of the virus in an unfavorable manner, or even a concurrent outbreak and a severe
flu season alongside COVID-19. Since market participants remain focused on developments
regarding COVID-19, its trajectory will be a key driver of market volatility in the near-term.
We have already observed a rapid change in consumption preferences in the US in the
wake of the initial COVID-19 shock. The US savings rate spiked to an unprecedented
level, and remains elevated when compared to historical trends. This represents a
potential opportunity, as it could represent pent-up demand and, eventually dissaving
to increase consumption. However consumer confidence has not fully recovered, and
without certainty regarding the path of the virus, survey data suggest that most in the US
have chosen to build cash as a defense against further issues with COVID-19, rather than
spend aggressively. Importantly, survey data also suggest that stimulus checks were not
used for durable goods purchases, and instead were either saved or spent on necessary
staples. Until consumers build more confidence in the path of COVID-19, the testing regime
improves, and the outlook for a vaccine becomes less opaque, it is likely that consumer
confidence, and thus consumption itself, will remain muted relative to pre-crisis levels,
placing a damper on the prospective economic recovery.
Unemployment, despite a gradual re-opening of the US economy over the past quarter,
remains stubbornly high after spiking to a post-World War II record. Unemployment as
of the end of the fiscal year remained at 11.1%. The Bureau of Labor Statistics has also
cautioned that considerable uncertainty exists around data quality; the actual numbers
could be far better than reported, or far worse. A continued decline in unemployment
from its current level will follow an easing of COVID-19 related restrictions, especially in
the hard-hit service sector, as well as additional fiscal support. Conversely, companies
continue to right-size their workforces to cope with a collapse in their top-lines and
increasing solvency risk. The longer that uncertainty regarding the virus persists and leads

Memorandum
October 19, 2020
Page 7 of 9
to measures that are likely to stifle economic activity, the weaker business confidence
will continue to be. This increases the risk that many layoffs, which might have been
perceived as temporary, could become permanent, resulting in a higher equilibrium rate of
unemployment.
COVID-19 has had a meaningful impact on the already-tapering long-term trend towards
globalization in the 21st century. In some cases, local trade conflicts have arisen and
have been resolved, but the trend towards the re-localization of supply chains is likely
to accelerate in the wake of the crisis. The most obvious example of this trend is the
continued, protracted conflict between the US and China. While the conflict was set aside
in the early stages of COVID-19, it has been rekindled in recent months. The current US
presidential administration’s foreign policy approach has increasingly shifted towards a
more aggressive anti-China stance. COVID-19 also exposed the reliance of some countries
on choke-points in global supply chains that they will undoubtedly seek to address
going forward. Global policymakers, such as ECB President Christine Lagarde, have
acknowledged that de-globalization is likely to persist in the wake of the virus, beyond
the US/China conflict. The risk is most severe for countries that have become reliant on
foreign investment and export-driven growth. If global economies increasingly focus on
domestic products, export-oriented economies are likely to suffer inordinately in this type
of environment.
Historically, crisis periods have often witnessed concurrent periods of either voluntary or
involuntary deleveraging, at the sovereign, corporate, and consumer levels. In 2008, for
example, the US experienced a rapid de-leveraging in the mortgage market that quickly
spread to corporates and consumers. In 2020, while consumers entered the crisis in a
reasonable financial position, corporates and sovereigns did not. In the US, for example,
corporate solvency was a meaningful source of uncertainty even prior to the crisis, as debt
built up in the US corporate debt market. With the COVID-19 shock, fears that an economic
crisis would become a financial crisis, where in the GFC the opposite had been the case,
gripped the markets in March. The Federal Reserve, seeking to prevent this outcome,
chose to intervene by essentially backstopping corporate credit. As a result, corporate
leverage has rapidly increased, where the opposite was true in previous cycles. Alongside
this trend, the US government has massively increased the size of the fiscal deficit in order
to support those facing temporary income loss due to unemployment. Suddenly, the US
faces the need to finance a widening budget deficit; a large slate of debt issuance will test
global investors’ willingness to finance a weakening US fiscal position, which could have
considerable knock-on effects for interest rates and thus global risk assets. The US, within
both the corporate and sovereign sector, continues to push the boundary of investors’
appetite for debt.
The evolution of economic growth, and inflation, bear close monitoring going forward.
In addition to widening deficits, unprecedented asset purchases by central banks run
the risk of creating longer-term distortions in markets. There can be little doubt that the
Federal Reserve’s actions have boosted market confidence, and thus asset prices, in recent
months. While they execute these policies in the hope of creating a virtuous feedback loop
in order to stimulate growth, the pass through is indirect, at best. The Fed is increasingly

Memorandum
October 19, 2020
Page 8 of 9
facing a tightrope walk, backstopping market risk while trying not to lose the market’s
confidence in its ability to do so with an increasingly narrow set of policy tools. Given that
interest rates are probably near a lower bound, at least for now, that leaves them with
quantitative easing, which might increasingly become permanent rather than temporary. As
evidenced by the path of nominal interest rates across the yield curve, growth expectations
remain incredibly weak, while inflation expectations have begun to tick higher, resulting
in a collapse in real interest rates. In addition, the Fed has increasingly signaled that it is
likely to revise its inflation target, in the interest of allowing inflation to “run hot” in order
to focus on achieving growth and full employment, with the added benefit of reducing the
US sovereign debt burden. The potential for unexpected inflation within this regime means
that asset allocation care is warranted; assets with low yields, like US Treasuries, could
experience diminished long-term return prospects, requiring shifts in allocation decisions.
SCRS INVESTMENT RESULTS 1
As of June 30, 2020, the SCRS investment portfolio totaled $30.98 billion. This represented
a decrease of approximately $1 billion from June 30, 2019. SCRS generated a net return of
-1.6%, underperforming the 0.1% return of its Policy Index. Over longer trailing periods, SCRS
is modestly outperforming its Policy Index. For example, the ten-year trailing net return for
SCRS as of June 30, 2020 was 6.7% vs. a Policy Benchmark return of 6.6%.
The portfolio’s asset allocation as of fiscal year-end is provided in the following table. All
investments were consistent with the targets and ranges set forth in the Annual Investment
Plan and in the Statement of Investment Objectives and Policy.
1
SCRS returns are from BNY Mellon and are time-weighted, total return calculations, net of fees and expenses.

Memorandum
October 19, 2020
Page 9 of 9
Asset Class % of Total System as of Target Allocation

June 30, 2020
Equities 52.8 51.0
Global Equity 43.5 37.0
Private Equity 7 7.0
Equity Options 2.3 7.0
Rate Sensitive 16.5 14.0
Cash and Short Duration 0.2 1.0
Core Fixed Income 16.3 13.0
Credit 15.9 15.0
Mixed Credit 4.6 3.6
Private Debt 7.4 7.4
Emerging Markets Debt 3.9 4.0
Opportunistic 2.3 8.0
GTAA 1.6 7.0
Other Opportunistic 0.7 1.0
Real Assets 12.5 12.0
Private Real Estate 8.2 8.2
Public Real Estate 1.6 0.8
Private Infrastructure 1.1 1.1
Public Infrastructure 1.6 1.9
Total 100 100
Hedge Funds PA 10 10
Respectfully Submitted,
Alexandra Stone
Alli Wallace Stone, CFA
Consultant, Principal
Meketa Investment Group

03
Overview
Purpose & Duties

The South Carolina Retirement System Investment are managed by its own professional staff and outside
Commission (RSIC) is an independent agency of the State management firms.
responsible for investing the assets held in trust for South
Carolina’s public pension. There are five defined benefit The RSIC is governed by eight commissioners; six
plans that comprise the public pension. Collectively, the appointed members, one elected member, and one ex
defined benefit plans are referred to as the (“Retirement officio non-voting member. As of Fiscal Year End 2020,
System”) or the (“Systems”). The defined benefit plans are: members of the RSIC Commission (“Commission”)
are: Ronald P. Wilder, Ph.D., Chairman; Rebecca M.
• South Carolina Retirement System (SCRS) Gunnlaugsson, Ph.D., Vice-Chairman; Edward Giobbe,
• Police Officers Retirement System (PORS) MBA; Reynolds Williams, J.D., CFP; Allen R. Gillespie,
• Judges and Solicitors Retirement System (JSRS) CFA; William (Bill) Hancock, CPA; William (Bill) Condon,
J.D., M.A., CPA; and Peggy G. Boykin, CPA.
• General Assembly Retirement System (GARS)
• South Carolina National Guard Retirement System Plan
(SCNG Plan)
The assets of the Retirement System are invested in History

conformity with the requirements of South Carolina law.
The law requires the RSIC to make investment decisions The RSIC was created under the State Retirement
and conduct every aspect of its operations in the best System Preservation and Investment Reform Act (Act
financial interest of the trust. 153). In October 2005, the Commission was established
and devolved fiduciary responsibility for all investments
The RSIC‘s long-term goal is to provide cost-effective of the Retirement System upon the RSIC. Act 153 also
management of the funds held in trust. This is achieved mandated that equity investments cannot exceed 70%
through a highly diversified portfolio designed to (formerly 40%) of the Total Plan Portfolio (Portfolio) and
achieve an optimum investment return balanced with a created the position of Chief Investment Officer.
prudent level of portfolio risk. The RSIC’s investments The assets of the Retirement System had historically

Disclosure of Material Interest
been invested only in fixed income investments until As of June 30, 2020, there was no material interest
a constitutional amendment was ratified in 1997. The noted by the Commission or an employee who is a
amendment allowed the RSIC to invest in “equity fiduciary with respect to investment and management of
securities of a corporation within the United States assets of the Retirement System, or by a related person,
that is registered on a national securities exchange in a material transaction with the Retirement System
as provided in the Securities Exchange Act, 1934, or a within the last three years nor in any proposed material
successor act, or quoted through the National Association transaction of the Retirement System.
of Securities Dealers Automatic Quotation System, or
a similar service” (SC Constitution Article X, §16). The
Retirement System began investing in equities in June
1999, although full diversification of the Portfolio remained
constrained by the State Constitution. In November 2006,
Placement Agent
a constitutional amendment allowing for full diversification
of the Retirement System’s Portfolio was approved in a All investments approved and closed during FYE 2020
statewide referendum and subsequently ratified by the follow the RSIC’s Placement Agent Policy (“Policy”). 
Legislature in February 2007. The Policy requires representation by the investment
manager that no compensation was paid to a placement
The Retirement Funding and Administration Act of 2017 agent (as defined by State law) as a result of an
expands the Commission to 8 members and allows for investment by the Retirement System.  During FYE
delegation to the CIO under the direct oversight of the 2020, all Policy-required disclosures by new investment
CEO the authority to invest up to 2% of the assets of each managers indicated that no compensation was paid
investment.  It also prohibits the use of placement agents, to a placement agent in connection with the RSIC’s
defines the custodian of the retirement system as PEBA investment.
and assigns the choice of the custodial bank to RSIC.

04
Commissioners

Dr. Ronald Wilder is a Distinguished Professor Emeritus of Economics at the
University of South Carolina Darla Moore School of Business, where he conducted
research and taught courses in microeconomics, managerial economics, industrial
organization, government and business, and health economics.
Dr. Wilder earned a Bachelor of Arts and Master of Arts in Economics at Rice
University, and a Ph.D. in Economics at Vanderbilt University.
Ronald Wilder
Ph. D., Chair, Retiree Rep.
ELECTED BY THE COMMISSION
Dr. Rebecca Gunnlaugsson is an economist specializing in public finance and

labor economics with proficiency in statistical data analysis and econometric
modeling. She has extensive experience in business consulting concentrating on
strategic planning, project management, and firm-wide technology implementation.
Dr. Gunnlaugsson has served as the Director of the Division of Research and
subsequently Chief Economist at the South Carolina Department of Commerce.
In these roles, she directed federally funded Department of Labor programs
Rebecca responsible for the development of state and local occupation growth projections,
Gunnlaugsson industry cluster analysis, and workforce program evaluation. Additionally, she led
research teams conducting economic and fiscal impact analyses of economic issues
Ph. D., Vice-Chair
impacting South Carolina, including state, local, public, and private infrastructure
APPOINTED BY THE and development projects. She has done extensive research on taxation and
COMPTROLLER GENERAL optimization for long-term economic growth, having testified before the 2010 South
Carolina Tax Realignment Commission (TRAC) and the 2017 South Carolina House
Tax Policy Review Committee, as well as having served on the 2016 Governor’s
Local Government Competitiveness Council.
Her experience also includes serving as a senior technology consultant for

Accenture where she was involved in firm-wide business and technology
implementations for state governments, state universities, hospitals, and large
national corporations.
Dr. Gunnlaugsson is currently a principal at Acuitas Economics, where she

specializes in statistical analysis and econometric modeling to develop interactive,
visual methods to deliver data-driven insights and recommended policy solutions.
Dr. Gunnlaugsson received her Bachelor and Master degrees in Mechanical

Engineering from the Massachusetts Institute of Technology and her Ph.D. in
Economics from the University of Michigan.

Mrs. Peggy G. Boykin, CPA, is the Executive Director of the South Carolina Public
Employee Benefit Authority (PEBA). Previously, she was the director of the South
Carolina Retirement Systems and a member of PEBA’s Board of Directors. Mrs. Boykin
has also served as Director of Special Projects at the College of Charleston.
A native of Wagener, S.C., Mrs. Boykin earned a Bachelor’s Degree in Business

Administration from the College of Charleston in 1981 and her Certified Public Account
Peggy G. Boykin (CPA) accreditation in 1985. Also, she is a graduate of the Budget and Control Board’s
CPA, Commissioner Executive Institute and the Governor’s Center at Duke University.  Mrs. Boykin received
her certified retirement administrator designation in 1999.
EX OFFICIO MEMBER
Mrs. Boykin is an active member of the American Institute of Certified Public
Accountants, the National Council on Teacher Retirement, the National Association of
State Retirement Administrators, and the National Association of Government Defined
Contribution Administrators.
Mr. William J. (Bill) Condon, Jr. is a Certified Public Accountant (CPA) and an
attorney. After graduating from Clemson University with a B.S. in Accounting, he
began his accounting career with Ernst & Young and in short order became a CPA. At
the accounting firm, he held positions in the audit and tax departments, serving as an
Audit Manager during the last three years of his tenure at E&Y. He managed the audits
of clients in various industries including audits of companies in the financial services
industry.
William J. (Bill)
Condon, Jr. His experience also includes having served as Chief Financial Officer for a government
agency.  In this role, he oversaw the banking and investment activities as well as the
J.D., M.A., CPA,
Accounting, Human Resources, and Information Technology activities at the agency. 
Commissioner Eventually, Mr. Condon transitioned from the public sector back to the private sector,
APPOINTED BY THE serving as a Senior Consultant for a Silicon Valley-based software development
GOVERNOR company that serviced clients throughout North America. 
 
Mr. Condon began his legal career as a trial attorney for the United States Department
of Justice litigating civil rights cases.  Looking to blend his accounting and finance
experience with his legal skills, he later served as a securities-enforcement attorney for
the South Carolina Attorney General’s Office, as a securities-compliance and litigation
attorney in private practice, and as a tax attorney litigating significant tax cases for the
South Carolina Department of Revenue. 
Mr. Condon earned his Juris Doctor and Master in Public Policy degrees from Regent
University. Today, Mr. Condon is an attorney for the South Carolina State Treasurer’s
Office where he has served both as Deputy General Counsel and the General Counsel
and has worked with many large financial institutions on custody, securities lending,
Section 529 college savings program, and other banking and investment matters.  

Mr. Allen Gillespie, a native of Anderson, South Carolina, is the chief investment
officer for FinTrust Capital Advisors. He has been in the investment industry since
1995, specializing in asset allocation research, manager due diligence, individual
security analysis, and custom client portfolio management.
Mr. Gillespie graduated cum laude from Washington & Lee University, earning
a Bachelor of Economics. He is also a member of the Omicron Delta Epsilon,
Allen Gillespie Economics Honor Society. He has also been recognized as Institutional Investor’s
CFA, Commissioner 25 Rising Starts of Hedge Funds, a Liberty Fellow and is an accomplished writer in
several financial journals.
APPOINTED BY THE
CHAIRMAN OF THE HOUSE
WAYS & MEANS COMMITTEE He has served as a CFA Institute Research Challenge Mentor to Wofford College
and University of Alabama. Mr. Gillespie holds FINRA Series 4, 7, 24, 53, 63, 65, 86,
and 87 licenses.
Mr. Gillespie serves his community as the Chair of the Endowment Board for Meals
on Wheels of Greenville and is a member of the GAMAC Endowment Board.
Mr. Edward Giobbe is a resident of Aiken, South Carolina. He has 37 years of

experience in financial services and a diverse background that includes equities and
fixed income in the areas of trading, sales, and investment banking.
He was a principal in the Fixed Income Division of Morgan Stanley Inc., in New York
from 1978 until his retirement in 1995. Mr. Giobbe served as a member of the City of
Aiken Planning Commission and remains active in community affairs.
Edward Giobbe While working at Morgan Stanley, Mr. Giobbe primarily worked with institutional
MBA, Commissioner sales specializing in major financial institutions such as bank trust departments,
money managers, mutual funds, insurance companies, and pension funds.
APPOINTED BY THE
GOVERNOR
Mr. Giobbe is a retired Captain in the United States Army Reserve, completing
active duty in the United States and in Japan. He earned a Bachelor Degree from
Yale University and Master Business Administration from the New York University
Graduate School of Business Administration.

Mr. William H. (Bill) Hancock, CPA, is a certified public accountant and the
managing partner of the Brittingham Group, LLC located in West Columbia, South
Carolina. He brings more than 25 years of experience in financial and accounting
services.
He joined the Brittingham Group as a staff accountant in 1992 and was elected
managing partner in 2013. For over 10 years he was responsible for the Firm’s
investment advisory/financial planning practice before successfully selling it,
William H. requiring him to surrender his Series 7 and 66 securities and South Carolina
(Bill) Hancock insurance licenses. Today, he continues to provide income tax planning and
CPA, Commissioner preparation services for individuals and business as well as providing audit/attest
services for municipalities, non-profits, special purpose districts, and various
APPOINTED BY THE political subdivisions.
STATE TREASURER
As an active member of the community, Mr. Hancock is an Elder at Forest Lake
Presbyterian Church, has served as the Chair of the Finance committee, serves on
the Endowment committee, and is on several ad hoc committees for the church. He
also serves on the board of directors and the finance committee for Presbyterian
Communities of South Carolina (PCSC). PCSC has six Life Plan Communities across
South Carolina and is a compassionate Christian ministry dedicated to enriching
the quality of life for seniors of all faiths.
For over 20 years, he was a member of the Columbia East Rotary Club serving as
Club Treasurer for most of that time. In 2012, he was appointed by South Carolina
Governor Nikki Haley to be a Commissioner for the East Richland County Public
Service District before resigning to serve as a Commissioner for the RSIC.
A proud graduate of the Citadel, Mr. Hancock graduated in 1990 with a Bachelor
of Science in Business Administration with a concentration in Accounting. He also
studied at the University of South Carolina Darla Moore School of Business.
Mr. Hancock resides in Columbia, South Carolina with his wife, Lori, a high school
English teacher and their two daughters. In his spare time Mr. Hancock enjoys
hunting and playing golf.

Mr. Reynolds Williams is a native of Mullins, South Carolina. For his service in
Vietnam, he was awarded the Bronze Star and the Combat Infantry Badge.
Mr. Williams graduated cum laude from the Baylor School for Boys in Chattanooga,
Tennessee, was an Echols Scholar at the University of Virginia, and earned his Juris
Doctor from the University of South Carolina School of Law.
Reynolds
Williams Mr. Williams is a recipient of the American Jurisprudence Award in Contract Law and
J.D., CFP, Commissioner was admitted into all state and federal courts in South Carolina, the United States
Court of Appeals for the Fourth Circuit, and the U.S. Supreme Court. He has served
APPOINTED BY THE
CHAIRMAN OF THE SENATE as chairman of several arbitration panels of the National Association of Securities
FINANCE COMMITTEE Dealers, the American Arbitration Association, Florence County Election Commission,
the Duke Private Adjudication Center, Board Chairman of Florence National Bank, and
Greater Florence Chamber of Commerce.
He has also served as President of the Florence Rotary Club; on the school board at
All Saints; Board of Directors of Community Bankshares; and the Board of Directors of
Florence County Progress. Mr. Williams was a Faculty Seminar Participant at the 1991
U.S. Army War College. He also served as Director of IRIX Pharmaceuticals.
Mr. Williams was the President of the S.C. Chapter of the Federalist Society and is a
member of the Defense Research Institute, American Board of Trial Advocates, and
South Carolina Defense Trial Attorneys Association. He has served as Vice-Chairman
of the State Board for Technical and Comprehensive Education.
Mr. Williams is recognized in the following books: Leading Lawyers in America, Super
Lawyers, and The Best Lawyers in America. In 1999, Governor Beasley awarded Mr.
Williams the Order of the Palmetto, South Carolina’s highest honor, for his public
service, civic responsibility, and friendship to the State. In 2001, he was named
Business Person of the Year by the Greater Florence Chamber of Commerce.
The University of South Carolina School of Law awarded Mr. Williams the Compleat
Lawyer Award, for his 30+ years of “exemplary service” to the bar and the public.
A former Certified Financial Planner (CFP®), Mr. Williams was recognized in a
Concurrent Resolution of the S.C. House and Senate for his leadership during the
RSIC’s formative years.

05
Policy Allocation

POLICY
The Commission manages the Systems’ assets with a Based on the Commission’s determination of the
long-term horizon and seeks to earn an appropriate appropriate risk tolerance for the Portfolio and its long-
risk-adjusted return with consideration to the goals term return expectations, it has authorized the following
and circumstances of the Systems and in the exclusive Policy Asset Allocation. This includes target allocations
interest of the members and beneficiaries. Among the and ranges for each asset class that were adopted
decisions the Commission can make, asset allocation by the Commission for the 2018-2019 Fiscal Year and
has the most significant impact on the portfolio’s return, reaffirmed for the 2019-2020 Fiscal Year.
risk profile and cost, and is reviewed annually as part of
the development of the Annual Investment Plan (AIP).
Asset Class Policy Targets Target Ranges Policy Benchmark

Rate Sensitive 14 4-24
Cash and Short Duration 1 0-7 ICE BofA Merrill Lynch 3-Month Treasury Bill Index
Core Bonds 13 6-20 Weighted average of underlying sub-asset class targets in policy portfolio
Nominal Investment Grade Bonds 6
Bloomberg Barclays U.S. Aggregate Bond Index
Treasuries 5
TIPS 2 Bloomberg Barclays US Treasury Inflation Notes TR Index Value Unhedged USD
Credit 15 10-20
High Yield Bonds / Bank Loans¹ 4 0-8 50% S&P LSTA Leveraged Loan Index / 50% Bloomberg Barclays U.S. Corp. High Yield 2% Issuer Capped
Private Debt¹,⁵ 7 3-11 S&P LSTA Leveraged Loan Index + 150 BPs on a 3-month lag
Emerging Market Debt 4 2-6 50% JP Morgan EMBI Global Diversified (USD) / 50% JP Morgan GBI-EM Global Diversified (Local)
Equities 51 31-59
Global Public Equity¹,² 42 22-50 Weighted average of underlying sub-asset class targets in policy portfolio
US Equity² 18 MSCI US IMI Net
Developed Market Equity (Non-U.S.)² 11 MSCI WORLD EX US IMI Net
Emerging Market Equity² 6 MSCI Emerging IMI Net
Equity Options 7 5-9 50% CBOE S&P 500 Putwrite / 50% CBOE S&P 500 Buywrite
Private Equity¹,⁵ 9 5-13 80% Russell 3000 Index / 20% MSCI EAFE Index plus 300 BPs, on a 3 month lag
Real Assets 12 7-17
Real Estate 9 5-13 Weighted average of underlying sub-asset class targets in policy portfolio
Private Real Estate¹,⁵ 8 NCREIF ODCE Net Index + 100 basis Points
Public Real Estate (REITs)¹ 1 FTSE NAREIT Equity REITs Index
Infrastructure 3 1-5 Weighted average of underlying sub-asset class targets in policy portfolio
Public Infrastructure¹ 1 Dow Jones Brookfield Global Infrastructure Index
Private infrastructure¹,⁵ 2 Dow Jones Brookfield Global Infrastructure Index
Opportunistic 18
Global Tactical Asset Allocation 7 3-11 Total System Policy Benchmark ex-Private Markets and Portable Alpha³
Other Opportunistic and Risk Parity 1 0-3 Total System Policy Benchmark ex-Private Markets and Portable Alpha³
Portable Alpha Hedge Funds⁴ 10 0-12 ICE BofA Merrill Lynch 3-Month T-Bills + 250BPS
¹The target weights to Private Equity, Private Debt, Real Estate, and Private Infrastructure will be equal to their actual flow adjusted weights, reported by the custodial bank, as of the prior month end. In
the case of Private Equity, the use of the actual flow adjusted weight will affect the target allocation to Global Public Equity (excluding Equity Options). For example, in FY 18-19, the combined target
weight of both of these asset classes shall equal 44% of the Plan. For Private Debt, the use of the actual flow adjusted weight will affect the target allocation to HY Bonds and Bank Loans, such that the
combined target weight of both asset classes in FY 18-19 shall equal 11% of the Plan. For private market Real Estate, the use of the actual flow adjusted weight will affect the target allocation to public
market Real Estate (REITs), such that the combined target weight of both asset classes in FY 18-19 shall equal 9% of the Plan. For Private Market Infrastructure, the use of the actual flow adjusted weight
will affect the target allocation to public infrastructure, such that the combined target weight of both asset classes in FY 18-19 shall equal 3% of the Plan.
²Global Public Equity (excluding equity options) target portfolio's floating target is comprised of weighted regional underlying sub-asset class componets: 51.4% MSCI US IMI Index for U.S. Equity, 31.4%
MSCI World ex-US IMI Index for Developed Market Equity (non-U.S.), and 17.1% MSCI Emerging Markets IMI Index for Emerging Market Equity.
³Floating Targets between public and private markets do not apply to Opportunistic Benchmark. Weights are fixed at long term policy targets.
⁴Portable Alpha Hedge Funds are included in the Opportunistic target allocation and the Policy benchmark, and reported as gross exposure used as collateral supporting the Overlay program and nets to
zero when calculating the total Plan allocation. Total Hedge Funds, including all hedge funds used in portable alpha implementation, are capped at 20 percent of total assets.
⁵Staff and Consultant will notify the Commission if Private Markets assets exceed 25 percent of total assets.

06
Manager Returns

Schedule of Investments Market Value % of Fund 1 Year Ending 3 Year Ending 5 Year Ending 10 Year Ending
South Carolina Plan Return (Net of Fees)¹ $30,982,967,918) 100.0% -1.58% 3.95% 4.59% 6.71%
South Carolina Policy Benchmark² 0.13% 4.59% 5.22% 6.63%
Conservative Fixed Income* $3,522,772,945) 11.4% 2.99% 2.44% 2.23% 2.43%
Total Cash $2,379,149,575) 7.7% 1.38% 1.29% 0.63% 0.31%
Internal Cash ( 2,050,308,826) 6.6% 1.64% 1.92% 1.42% 0.92%
Strategic Partnership Cash ( 328,840,749) 1.1% -1.05% -1.58% -1.76% -1.18%
ICE BofA Merrill Lynch 3-Month T-Bill 1.63% 1.77% 1.19% 0.64%
Short Duration³ $416,413,556) 1.3% 2.88% 2.51% 2.21% 1.96%
Blackrock Short Duration ( 203,614,531) 0.7% n/a n/a n/a n/a
Penn Ltd Term HY ( 212,799,025) 0.7% 1.05% 2.40% 2.71% n/a
Bloomberg Barclays U.S. Government/Credit 1-3 Year Index 4.20% 2.87% 2.11% 1.63%
Core Fixed Income $727,209,814) 2.3% 9.14% 5.51% 4.73% 4.18%
Pimco Fixed Income ( 706,187,651) 2.3% 9.20% 5.55% 4.64% 4.28%
SCRS Fixed Inc. ( 21,016,548) 0.1% 7.50% 5.86% 5.17% 4.15%
Blackrock Core Fixed Income ( 5,616) 0.0% n/a n/a n/a n/a
Bloomberg Barclays US Aggregate Bond Index 8.74% 5.32% 4.30% 3.82%
Total Diversified Credit $4,926,308,831) 15.9% -3.92% 1.41% 2.90% 4.85%
High Yield Bonds/Bank Loans $1,412,818,380) 4.6% -1.07% 2.60% 3.04% 4.87%
Barings Multi-Sector ( 117,604,213) 0.4% n/a n/a n/a n/a
Caspian SC Hldgs LP ( 255,411,201) 0.8% 0.96% 3.71% 3.53% n/a
Golden Tree Structured Credit ( 558,740,445) 1.8% -2.40% 3.14% n/a n/a
Guggenheim Partners ( 444,201,442) 1.4% -0.06% 2.46% 4.31% n/a
Pinebridge Bank Loan ( 36,861,079) 0.1% -5.57% 0.44% 1.96% n/a
High Yield Bonds/Bank Loans Benchmark⁴ -1.00% 2.70% 4.06% 4.86%
Emerging Markets Debt $1,222,885,040) 3.9% -4.31% 0.70% 3.59% 3.39%
Ashmore External Debt ( 307,300,942) 1.0% -8.91% 0.18% n/a n/a
GMO Emerging Country Debt ( 294,857,448) 1.0% -0.09% 2.23% n/a n/a
Mondrian EMD ( 252,795,634) 0.8% -3.47% 1.58% 2.80% n/a
Wellington Emerging Local Debt ( 367,931,015) 1.2% -4.07% -0.16% n/a n/a
50% JPM EMBI USD / 50% JPM GBIEM Local -1.10% 2.43% 3.89% 3.89%
Private Debt $2,290,605,411) 7.4% -5.64% 1.52% 2.60% 6.13%
Angelo Gordon VI ( 9,138) 0.0% 56.31% 53.11% 28.33% 17.18%
Apollo - Private Debt ( 423,926,692) 1.4% 4.68% 6.33% 10.59% 13.82%
Apollo Offshore-Private Debt ( 28,291,066) 0.1% n/a n/a n/a n/a
Ares Jasper Fund ( 245,633,665) 0.8% 1.54% n/a n/a n/a
Avenue SSF VI ( 7,961,396) 0.0% -2.60% 2.05% -6.34% n/a
Barings BDC JV ( 144,344,069) 0.5% -9.76% n/a n/a n/a
Credit Opportunities ( 73,956,708) 0.2% n/a n/a n/a n/a
Crescent Mezz VI ( 28,790,057) 0.1% 9.27% 8.77% 8.59% n/a
Crescent Mezz V ( 3,571,999) 0.0% 86.15% 9.49% 8.17% n/a
EAGLE PNT CR CO IN I ( 5,000,000) 0.0% n/a n/a n/a n/a
EAGLE POINT CREDIT ( 5,186,251) 0.0% n/a n/a n/a n/a
EIG Gateway Fund ( 5,560,000) 0.0% -30.06% -13.32% -10.06% n/a
GoldenTree Loan II ( 7,104,740) 0.0% n/a n/a n/a n/a
Goldman Sachs Mezz V ( 682,597) 0.0% 48.23% 17.20% 10.42% 11.94%
Goldman Sachs - Private Debt ( 112,892,195) 0.4% 4.51% 4.98% 7.18% 7.88%

South CarolinaDebt
GSO - Private Plan Return (Net of Fees)¹ ( $30,982,967,918)
257,613,160) 100.0%
0.8% -1.58%
-25.83% 3.95%
-9.11% 4.59%
-5.37% 6.71%
n/a
South Carolina
Highbridge Policy Benchmark²
Sandlapper Credit ( 241,226,995) 0.8% 0.13%
2.36% 4.59%
7.31% 5.22%
n/a 6.63%
n/a
Conservative
KKR Lending IIIFixed Income* ( $3,522,772,945)
95,662,479) 11.4%
0.3% 2.99%
1.53% 2.44%
n/a 2.23%
n/a 2.43%
n/a
KKR Lending
Total Cash Partners II ( 24,147,771)
$2,379,149,575) 0.1%
7.7% -32.87%
1.38% -10.41%
1.29% -1.36%
0.63% n/a
0.31%
KKR SSF IICash
Internal ( 91,535,111)
2,050,308,826) 0.3%
6.6% -23.98%
1.64% -4.69%
1.92% n/a
1.42% n/a
0.92%
Morgan Stanley
Strategic - Private
Partnership CashDebt ( 275,678)
328,840,749) 0.0%
1.1% -26.67%
-1.05% -1.24%
-1.58% -1.42%
-1.76% n/a
-1.18%
Northstar
ICE Mezz V
BofA Merrill Lynch 3-Month T-Bill ( 14,777,667) 0.0% 5.61%
1.63% 8.03%
1.77% 10.08%
1.19% 11.29%
0.64%
Owl Rock
Short Capital
Duration³ ( 67,204,130)
$416,413,556) 0.2%
1.3% 4.93%
2.88% n/a
2.51% n/a
2.21% n/a
1.96%
Owl Rock First
Blackrock ShortLien
Duration ( 88,511,679)
203,614,531) 0.3%
0.7% -4.44%
n/a n/a n/a n/a
Owl Rock
Penn Tech HY
Ltd Term Holdings ( 46,427,715)
212,799,025) 0.1%
0.7% -0.79%
1.05% n/a
2.40% n/a
2.71% n/a
Owl Rock Tech
Bloomberg Holdings
Barclays U.S. Government/Credit 1-3 (Year Index11,466,380) 0.0% n/a
4.20% n/a
2.87% n/a
2.11% n/a
1.63%
OWL Fixed
Core ROCK Income
TRANSITION ( 112,079,041)
$727,209,814) 0.4%
2.3% n/a
9.14% n/a
5.51% n/a
4.73% n/a
4.18%
Sankaty
Pimco FixedCOPIncome
IV ( 706,187,651)
6,041,152) 0.0%
2.3% -14.06%
9.20% 6.02%
5.55% 4.37%
4.64% 4.58%
4.28%
SCRS
SankatyFixed
COPInc.V ( 21,016,548)
18,956,782) 0.1% 7.50%
-23.80% 5.86%
-4.24% 5.17%
-2.12% 4.15%
n/a
Blackrock
Selene II Core Fixed Income ( 5,616)
27,597,207) 0.0%
0.1% n/a
-0.91% n/a
3.58% n/a
5.05% n/a
Bloomberg
SJC Direct Lend Barclays
II US Aggregate Bond Index ( 145,432) 0.0% 8.74%
95.34% 5.32%
31.58% 4.30%
21.49% 3.82%
n/a
Total Diversified
Strategic Credit OPP Credit ( $4,926,308,831)
87,172,138) 15.9%
0.3% -3.92%
-15.98% 1.41%
n/a 2.90%
n/a 4.85%
n/a
WL Ross
High Yield- Whole Loans Loans
Bonds/Bank ( 6,854,320)
$1,412,818,380) 0.0%
4.6% -9.04%
-1.07% 4.75%
2.60% 1.77%
3.04% 9.72%
4.87%
S&P/LSTA Leveraged Loan + 150 Bps on a 3-month
Barings Multi-Sector ( lag 117,604,213) 0.4% -7.66%
n/a 0.72%
n/a 2.64%
n/a 4.58%
n/a
Total Global
Caspian Equity
SC Hldgs LP ( $13,604,844,026)
255,411,201) 43.9%
0.8% -3.72%
0.96% 3.46%
3.71% 4.88%
3.53% 8.67%
n/a
Global
GoldenPublic Equity Credit
Tree Structured ( $10,728,889,873)
558,740,445) 34.6%
1.8% -2.69%
-2.40% 3.40%
3.14% 4.82%
n/a 8.00%
n/a
Total Global Equity
Guggenheim Partners Managers³ ( $6,716,106,699)
444,201,442) 21.7%
1.4% 0.86%
-0.06% 6.04%
2.46% 6.53%
4.31% n/a
BlackRock
PinebridgeGlobal
Bank LoanEquity ( 4,932,074,936)
36,861,079) 15.9%
0.1% 3.43%
-5.57% 7.23%
0.44% 7.31%
1.96% n/a
State Street
High Yield Gbl Eq
Bonds/Bank Loans Benchmark⁴ ( 1,784,031,762) 5.8% 1.17%
-1.00% 6.44%
2.70% 6.96%
4.06% n/a
4.86%
MSCI World
Emerging Net Index
Markets Debt $1,222,885,040) 3.9% 2.84%
-4.31% 6.70%
0.70% 6.90%
3.59% n/a
3.39%
Total
AshmoreU.S.External
Equity Debt ( $1,206,778,104)
307,300,942) 3.9%
1.0% -11.62%
-8.91% 0.27%
0.18% 2.68%
n/a 10.09%
n/a
Blackrock
GMO Emerging US Equity
Country Debt ( 398,038,260)
294,857,448) 1.3%
1.0% n/a
-0.09% n/a
2.23% n/a n/a
BLACKROCK
Mondrian EMD US SM CAP ( 808,739,844)
252,795,634) 2.6%
0.8% n/a
-3.47% n/a
1.58% n/a
2.80% n/a
Emerging ⁵Local Debt
US Equity Benchmark
Wellington ( 367,931,015) 1.2% 6.12%
-4.07% 9.53%
-0.16% 9.66%
n/a 13.17%
n/a
Total
50% JPMInternational
EMBI USD Equity³
/ 50% JPM GBIEM Local $586,430,283) 1.9% -11.12%
-1.10% -2.55%
2.43% 0.68%
3.89% n/a
3.89%
BROCK WORLD
Private Debt EX US SM ( 586,430,283)
$2,290,605,411) 1.9%
7.4% n/a
-5.64% n/a
1.52% n/a
2.60% n/a
6.13%
Angelo Gordon
Developed VI
International Equity Benchmark⁶ ( 9,138) 0.0% 56.31%
-4.90% 53.11%
0.77% 28.33%
2.10% 17.18%
n/a
ApolloEmerging
Total - Private Debt
Markets Equity³ ( 423,926,692)
$2,219,574,788) 1.4%
7.2% 4.68%
-5.92% 6.33%
0.21% 10.59%
2.23% 13.82%
n/a
Apollo
Aberdeen Offshore-Private Debt ( 28,291,066)
161,130,292) 0.1%
0.5% n/a
-5.81% n/a
0.73% n/a
3.14% n/a
Ares JasperEME
Blackrock Fund ( 245,633,665)
661,778,181) 0.8%
2.1% 1.54%
-4.09% n/a n/a n/a
Avenue SSF
Blackrock EME VI SM Cap ( 7,961,396)
160,074,522) 0.0%
0.5% -2.60%
-8.27% 2.05%
n/a -6.34%
n/a n/a
Barings
LSV Asset BDCMgmtJV ( 144,344,069)
201,358,207) 0.5%
0.6% -9.76%
-17.44% n/a
-4.56% n/a
-0.94% n/a
Credit
Numeric Opportunities
EME Small Cap ( 73,956,708)
125,566,197) 0.2%
0.4% n/a
-5.55% n/a n/a n/a
Crescent
State StreetMezz EMEVI ( 28,790,057)
751,749,534) 0.1%
2.4% 9.27%
n/a 8.77%
n/a 8.59%
n/a n/a
Crescent Mezz V
William Blair ( 3,571,999)
157,917,856) 0.0%
0.5% 86.15%
12.89% 9.49%
7.71% 8.17%
5.88% n/a
EAGLE
Emerging PNTMarkets
CR CO IN I
Equity Benchmark⁷ ( 5,000,000) 0.0% n/a
-3.97% n/a
1.35% n/a
2.37% n/a
0.00%
EAGLE
Global POINT CREDITBenchmark⁸
Public Equity ( 5,186,251) 0.0% n/a
0.84% n/a
5.40% n/a
6.05% n/a
8.95%
EIG Gateway
Equity Options Fund ( 5,560,000)
$699,122,164) 0.0%
2.3% -30.06%
-1.99% -13.32%
2.53% -10.06%
n/a n/a
n/a
GoldenTree Loan II
AQR AERO Composite (( 7,104,740)
84,479,563) 0.0%
0.3% n/a
-6.90% n/a
1.29% n/a
n/a n/a
n/a
Goldman Sachs Mezz V
Russell Options (( 682,597)
614,642,601) 0.0%
2.0% 48.23%
-0.63% 17.20%
2.55% 10.42%
n/a 11.94%
n/a
Goldman SachsBlended
Equity Options - PrivateBenchmark¹¹
Debt ( 112,892,195) 0.4% 4.51%
-9.22% 4.98%
-0.34% 7.18%
0.00% 7.88%
0.00%
Private Equity $2,176,831,989) 7.0% -6.75% 5.14% 6.67% 10.46%
Aberdeen PE VIII ( 6,772,589) 0.0% n/a n/a n/a n/a
Apollo - Private Equity ( 475,143,436) 1.5% -13.86% -2.07% 1.03% 10.94%
Apollo Offshore - Private Equity ( 87,068,123) 0.3% 8.88% n/a n/a n/a
Aquiline Financial I ( 39,425,472) 0.1% 8.57% 8.18% 9.12% 10.22%
Aquiline Capital II ( 44,358,697) 0.1% 14.42% 6.09% 4.53% n/a
Azalea Capital III ( 3,747,910) 0.0% -30.03% -23.23% -20.05% 4.90%
Azalea Fund IV ( 11,294,288) 0.0% -15.39% 0.45% -2.50% n/a
BCP IV Co-Invest I ( 22,933,000) 0.1% 50.89% n/a n/a n/a
BCP V Coinvest I ( 21,937,451) 0.1% -0.50% n/a n/a n/a
BCP V CO-Invest II ( 12,605,093) 0.0% n/a n/a n/a n/a
BCP V COINVEST III ( 19,434,938) 0.1% n/a n/a n/a n/a
BLACKROCK SLS ( 3,000,000) 0.0% n/a n/a n/a n/a
Bridgepoint Europe IV ( 10,876,634) 0.0% -40.51% -3.64% 5.55% 8.32%

South Carolina
Bridgepoint EuropePlanVReturn (Net of Fees)¹ ( $30,982,967,918)
82,378,835) 100.0%
0.3% -1.58%
8.46% 3.95%
12.23% 4.59%
n/a 6.71%
n/a
South Carolina
Bridgepoint PolicyVIBenchmark²
Europe ( 27,463,436) 0.1% 0.13%
-15.45% 4.59%
n/a 5.22%
n/a 6.63%
n/a
Conservative
Brighton Park Fixed Cap I Income* ( $3,522,772,945)
13,031,560) 11.4%
0.0% 2.99%
n/a 2.44%
n/a 2.23%
n/a 2.43%
n/a
Brookfield
Total Cash Cap Partners V ( 41,130,718)
$2,379,149,575) 0.1%
7.7% n/a
1.38% n/a
1.29% n/a
0.63% n/a
0.31%
Brookfield
Internal Cash Capital IV ( 102,351,418)
2,050,308,826) 0.3%
6.6% 5.80%
1.64% 53.84%
1.92% n/a
1.42% n/a
0.92%
Carousel Cap
Strategic Part IV Cash
Partnership ( 24,368,955)
328,840,749) 0.1%
1.1% 73.00%
-1.05% 72.09%
-1.58% 60.84%
-1.76% n/a
-1.18%
Clayton
ICE BofADubilier
Merrill Lynch& Rice3-Month
VIII T-Bill ( 14,178,788) 0.0% 0.30%
1.63% -4.52%
1.77% 14.01%
1.19% 19.60%
0.64%
Crestview
Short II
Duration³ ( 34,243,038)
$416,413,556) 0.1%
1.3% -23.05%
2.88% -12.05%
2.51% 0.85%
2.21% 7.48%
1.96%
Crestview III
Blackrock Short Duration ( 39,086,510)
203,614,531) 0.1%
0.7% -5.23%
n/a 13.28%
n/a 7.32%
n/a n/a
Digital
Penn Ltd Colony
TermI HY ( 54,489,595)
212,799,025) 0.2%
0.7% -15.86%
1.05% n/a
2.40% n/a
2.71% n/a
Digital Colony
Bloomberg I CO U.S. Government/Credit 1-3 (Year Index29,995,477)
Barclays 0.1% n/a
4.20% n/a
2.87% n/a
2.11% n/a
1.63%
Francisco
Core FixedPartners
Income V ( 28,164,247)
$727,209,814) 0.1%
2.3% 4.32%
9.14% n/a
5.51% n/a
4.73% n/a
4.18%
GCM Edisto
Pimco Fixed GCMIncome Direct ( 171,827,844)
706,187,651) 0.6%
2.3% -12.22%
9.20% n/a
5.55% n/a
4.64% n/a
4.28%
GCM Fixed
SCRS Edisto Inc.RSIC DIR ( 156,850,735)
21,016,548) 0.5%
0.1% 0.25%
7.50% n/a
5.86% n/a
5.17% n/a
4.15%
Great Hill Core
Blackrock VII Fixed Income ( (239,793)
5,616) 0.0% n/a n/a n/a n/a
Goldman Sachs
Bloomberg Barclays- Private Equity Bond Index (
US Aggregate 11,033,283) 0.0% 12.08%
8.74% 23.81%
5.32% 19.05%
4.30% 17.13%
3.82%
Hellman
Total FriedmanCredit
Diversified IX ( 11,066,719)
$4,926,308,831) 0.0%
15.9% n/a
-3.92% n/a
1.41% n/a
2.90% n/a
4.85%
HORSLEY
High YieldBRIDGE
Bonds/Bank G C Loans ( 4,560,000)
$1,412,818,380) 0.0%
4.6% n/a
-1.07% n/a
2.60% n/a
3.04% n/a
4.87%
Horsley Bridge XIII
Barings Multi-Sector (( 5,536,480)
117,604,213) 0.0%
0.4% n/a
n/a n/a
n/a n/a
n/a n/a
n/a
Industry
Caspian SC PHHldgs
V LP (( 19,372,638)
255,411,201) 0.1%
0.8% 8.82%
0.96% n/a
3.71% n/a
3.53% n/a
n/a
IndustryTree
Golden Ventures
StructuredV Credit (( 356,747)
558,740,445) 0.0%
1.8% -51.94%
-2.40% -18.06%
3.14% -10.50%
n/a 14.38%
n/a
Industry
Guggenheim VenturesPartners VI (( 8,678,856)
444,201,442) 0.0%
1.4% 9.64%
-0.06% 1.80%
2.46% 2.22%
4.31% n/a
n/a
Industry
Pinebridge Ventures
Bank Loan VII (( 24,996,913)
36,861,079) 0.1%
0.1% 20.78%
-5.57% 21.26%
0.44% 15.85%
1.96% n/a
n/a
Kps
HighMid
YieldCap I
Bonds/Bank Loans Benchmark⁴ ( 3,415,550) 0.0% n/a
-1.00% n/a
2.70% n/a
4.06% n/a
4.86%
Morgan Stanley
Emerging Markets Debt - Private Equity ( 91,342,915)
$1,222,885,040) 0.3%
3.9% -35.00%
-4.31% -14.21%
0.70% -10.80%
3.59% -0.75%
3.39%
Paul Capital
Ashmore IX
External Debt (( 21,534,001)
307,300,942) 0.1%
1.0% 9.37%
-8.91% 8.17%
0.18% 2.95%
n/a 5.09%
n/a
Pacific Equity Partners
GMO Emerging CountryV Debt (( 26,704,746)
294,857,448) 0.1%
1.0% -25.76%
-0.09% 2.64%
2.23% n/a
n/a n/a
n/a
Providence
Mondrian EMD EQ VIII (
( 32,433,695)
252,795,634) 0.1%
0.8% -42.88%
-3.47% n/a
1.58% n/a
2.80% n/a
n/a
Providence Strat Growth
Wellington Emerging III Debt
Local (( 47,105,138)
367,931,015) 0.2%
1.2% -2.03%
-4.07% n/a
-0.16% n/a
n/a n/a
n/a
Providence Strat IV
50% JPM EMBI USD / 50% JPM GBIEM Local ( 4,375,387) 0.0% n/a
-1.10% n/a
2.43% n/a
3.89% n/a
3.89%
PSG III CO
Private DebtInvest I ( 8,831,607)
$2,290,605,411) 0.0%
7.4% -13.29%
-5.64% n/a
1.52% n/a
2.60% n/a
6.13%
PSG VIII CO
Angelo Gordon VI INV I (
( 7,536,990)
9,138) 0.0%
0.0% -37.79%
56.31% n/a
53.11% n/a
28.33% n/a
17.18%
Reservoir
Apollo CapitalDebt
- Private (( 20,993,449)
423,926,692) 0.1%
1.4% -10.71%
4.68% -2.19%
6.33% 3.35%
10.59% n/a
13.82%
SquareOffshore-Private
Apollo 1 Venture 1 Debt (( 15,664,087)
28,291,066) 0.1%
0.1% 0.90%
n/a 1.81%
n/a 0.09%
n/a 8.61%
n/a
TA
AresASSOCIATES
Jasper FundXIII (( 9,434,243)
245,633,665) 0.0%
0.8% n/a
1.54% n/a
n/a n/a
n/a n/a
n/a
Truebridge
Avenue SSFIVI CVE (( 33,679,545)
7,961,396) 0.1%
0.0% -1.45%
-2.60% 7.18%
2.05% 7.58%
-6.34% 12.19%
n/a
Truebridge
Barings BDCIIJV Kauff (( 78,322,983)
144,344,069) 0.3%
0.5% 13.46%
-9.76% 15.86%
n/a 13.33%
n/a 6.16%
n/a
Valor
CreditEquity Partners V
Opportunities (( 11,131,760)
73,956,708) 0.0%
0.2% n/a
n/a n/a
n/a n/a
n/a n/a
n/a
Venture
CrescentInvestment
Mezz VI Managers LP (( 50,120,173)
28,790,057) 0.2%
0.1% 5.54%
9.27% 14.91%
8.77% 12.73%
8.59% 14.57%
n/a
Warburg Mezz
Crescent PincusVX (( 13,380,757)
3,571,999) 0.0%
0.0% 17.69%
86.15% 12.05%
9.49% 9.25%
8.17% 11.31%
n/a
WL Ross
EAGLE PNT- Private
CR COEquity IN I (( 37,304,333)
5,000,000) 0.1%
0.0% -8.25%
n/a 0.16%
n/a 1.37%
n/a n/a
n/a
80%
EAGLE Russell
POINT3000 CREDIT / 20% MSCI EAFE + 300 Bps on (a 3-month lag 5,186,251) 0.0% -7.18%
n/a 5.86%
n/a 7.52%
n/a 11.69%
n/a
Total
EIG Opportunistic
Gateway Fund ( $3,832,474,218)
5,560,000) 12.4%
0.0% -4.81%
-30.06% 0.88%
-13.32% 1.44%
-10.06% 5.38%
n/a
GTAA
GoldenTree Loan II ( $494,552,158)
7,104,740) 1.6%
0.0% -6.97%
n/a 0.22%
n/a 1.60%
n/a 5.05%
n/a
PinebridgeSachs
Goldman GTAAN Mezz V (( 494,552,158)
682,597) 1.6%
0.0% -5.37%
48.23% n/a
17.20% n/a
10.42% n/a
11.94%
Sachs - ⁹Private Debt
GTAA Benchmark
Goldman ( 112,892,195) 0.4% 0.89%
4.51% 4.00%
4.98% 4.97%
7.18% 6.04%
7.88%
Other Opportunistic $224,194,283) 0.7% -21.62% -2.89% n/a n/a
Apollo Offshore - Other Opportunistic ( 75,896,523) 0.2% -1.71% n/a n/a n/a
Entrust - Other Opportunistic ( 62,085,739) 0.2% 1.17% 2.94% 4.12% n/a
WLR - Other Opportunistic ( 86,212,021) 0.3% -1.75% n/a n/a n/a
Opportunistic Benchmark¹⁰ 0.89% 4.00% 4.97% n/a
Hedge Funds Portable Alpha $3,113,727,777) 10.0% 0.63% 3.36% 2.70% 7.11%
Hedge Funds Portable Alpha¹⁴⁴ $3,113,727,777) 10.0% 0.63% 3.36% 2.70% 7.11%
Bridgewater PA II ( 415,504,510) 1.3% -16.55% -1.14% -1.55% 4.12%
Bridgewater PAMM II ( 11,370,923) 0.0% -3.23% -1.41% -0.21% n/a
De Shaw - Low Beta HF ( 751,552,737) 2.4% 15.34% 12.82% 11.11% 12.21%
Grosvenor - Low Beta HF ( 3,673,671) 0.0% 118.34% 72.37% 41.29% n/a
Grosvenor - Mixed Credit HF ( 1,320,125) 0.0% -31.42% -15.21% -8.73% n/a
Goldman Sachs - Low Beta HF ( 6,033,826) 0.0% 33.65% 40.30% 23.17% n/a
GSO - Mixed Credit HF ( 19,791,090) 0.1% -29.81% -13.07% -9.56% n/a

South Carolina
Lighthouse TotalPlanHF Return (Net of Fees)¹ ( $30,982,967,918)
1,573,788,116) 100.0%
5.1% -1.58%
6.76% 3.95%
4.57% 4.59%
2.84% 6.71%
n/a
South
Man AltCarolina Policy Benchmark²
Beta Strategies ( 248,163,424) 0.8% 0.13%
-7.82% 4.59%
n/a 5.22%
n/a 6.63%
n/a
Conservative
Morgan Stanley Fixed
- Low Income*
Beta HF ( $3,522,772,945)
25,470,365) 11.4%
0.1% 2.99%
-6.98% 2.44%
-4.92% 2.23%
-5.26% 2.43%
2.53%
Reservoir
Total CashStrategic Partners ( 465,175)
$2,379,149,575) 0.0%
7.7% 19.27%
1.38% 8.47%
1.29% 3.40%
0.63% n/a
0.31%
Wellington
Internal Cash Alt Beta ( 56,593,815)
2,050,308,826) 0.2%
6.6% -23.97%
1.64% n/a
1.92% n/a
1.42% n/a
0.92%
Hedge Funds
Strategic PortableCash
Partnership Alpha Blended Benchmark¹³ ( 328,840,749) 1.1% 4.13%
-1.05% 2.96%
-1.58% 1.27%
-1.76% 3.19%
-1.18%
Total RealMerrill
ICE BofA AssetsLynch 3-Month T-Bill $3,862,366,201) 12.5% 1.42%
1.63% 6.34%
1.77% 7.73%
1.19% 9.42%
0.64%
PublicDuration³
Short Infrastructure $497,393,927)
$416,413,556) 1.6%
1.3% -0.97%
2.88% 4.70%
2.51% n/a
2.21% n/a
1.96%
Deutsche Infrastructure
Blackrock Short Duration ( 497,393,927)
203,614,531) 1.6%
0.7% -0.38%
n/a 5.07%
n/a n/a n/a
Dow Jones
Penn Ltd TermBrookfield
HY Global Infrastructure Net Index
( 212,799,025) 0.7% -5.99%
1.05% 2.78%
2.40% n/a
2.71% 0.00%
n/a
Private Infrastructure
Bloomberg Barclays U.S. Government/Credit 1-3 Year Index $343,978,001) 1.1% -1.82%
4.20% n/a
2.87% n/a
2.11% n/a
1.63%
Actis Fixed
Core Infra AIncome ( 3,605,000)
$727,209,814) 0.0%
2.3% -43.68%
9.14% n/a
5.51% n/a
4.73% n/a
4.18%
BROOKFIELD
Pimco Fixed IncomeINFRA IV ( 30,345,924)
706,187,651) 0.1%
2.3% n/a
9.20% n/a
5.55% n/a
4.64% n/a
4.28%
Brookfield
SCRS Fixed Supercore
Inc. ( 203,297,507)
21,016,548) 0.7%
0.1% 6.17%
7.50% n/a
5.86% n/a
5.17% n/a
4.15%
MacquarieCore
Blackrock Infrastructure
Fixed Income Fund ( 106,729,570)
5,616) 0.3%
0.0% -3.98%
n/a n/a n/a n/a
Dow Jones Brookfield
Bloomberg Barclays US Global Infrastructure
Aggregate Net Index
Bond Index -5.99%
8.74% 2.78%
5.32% n/a
4.30% 0.00%
3.82%
PublicDiversified
Total Real EstateCredit $481,084,609)
$4,926,308,831) 1.6%
15.9% -7.88%
-3.92% 3.26%
1.41% n/a
2.90% n/a
4.85%
Centersquare
High US REITS Loans
Yield Bonds/Bank ( 49,996,270)
$1,412,818,380) 0.2%
4.6% -9.22%
-1.07% 2.83%
2.60% n/a
3.04% n/a
4.87%
Centersquare
Barings US REIT Focused
Multi-Sector (( 431,088,339)
117,604,213) 1.4%
0.4% -8.36%
n/a n/a
n/a n/a
n/a n/a
n/a
FTSE Nareit
Caspian EquityLPREITS Index
SC Hldgs ( 255,411,201) 0.8% -13.04%
0.96% 0.03%
3.71% n/a
3.53% n/a
n/a
Private Tree
Golden Real Estate
Structured Credit ( $2,539,909,665)
558,740,445) 8.2%
1.8% 3.43%
-2.40% 7.19%
3.14% 8.53%
n/a 10.65%
n/a
Congaree
Guggenheim Partners,
Partners LP (( 11,359,084)
444,201,442) 0.0%
1.4% -17.00%
-0.06% -22.30%
2.46% -14.23%
4.31% n/a
n/a
Asana Equity Partners
Pinebridge Bank Loan II (
( 9,187,436)
36,861,079) 0.0%
0.1% -75.21%
-5.57% n/a
0.44% n/a
1.96% n/a
n/a
Apollo - Real
High Yield Estate
Bonds/Bank Loans Benchmark⁴ ( 44,977,470) 0.1% 4.04%
-1.00% 4.28%
2.70% 8.70%
4.06% n/a
4.86%
BlackstoneMarkets
Emerging PropertyDebt Prts LP ( 506,444,022)
$1,222,885,040) 1.6%
3.9% 1.94%
-4.31% 6.14%
0.70% n/a
3.59% n/a
3.39%
Blackstone
Ashmore Rep VIIDebt
External (( 61,065,970)
307,300,942) 0.2%
1.0% -6.20%
-8.91% 3.99%
0.18% 5.16%
n/a n/a
n/a
Blackstone
GMO Emerging REP IX Country Debt (( 25,784,339)
294,857,448) 0.1%
1.0% n/a
-0.09% n/a
2.23% n/a
n/a n/a
n/a
Brookfield
Mondrian EMD REF IV (
( 3,422,277)
252,795,634) 0.0%
0.8% 1.27%
-3.47% 7.07%
1.58% 8.19%
2.80% n/a
n/a
Brookfield
WellingtonREF V
Emerging Local Debt (( 45,129,065)
367,931,015) 0.1%
1.2% 6.57%
-4.07% n/a
-0.16% n/a
n/a n/a
n/a
Brookfield
50% JPM EMBI SREPUSD LP / 50% JPM GBIEM Local ( 37,980,028) 0.1% 7.59%
-1.10% 16.35%
2.43% 18.00%
3.89% n/a
3.89%
Brookfield
Private Debt SREP II-B LP ( 70,202,830)
$2,290,605,411) 0.2%
7.4% 10.88%
-5.64% 10.75%
1.52% n/a
2.60% n/a
6.13%
Brookfield SREP
Angelo Gordon VI III B LP (
( 36,293,782)
9,138) 0.1%
0.0% 14.01%
56.31% n/a
53.11% n/a
28.33% n/a
17.18%
Carlyle -Realty
Apollo PrivatePartners
Debt VI (( 8,529,055)
423,926,692) 0.0%
1.4% -20.14%
4.68% -8.56%
6.33% 0.59%
10.59% n/a
13.82%
Crow
ApolloHRP VII
Offshore-Private Debt (( 49,445,575)
28,291,066) 0.2%
0.1% 5.71%
n/a 12.88%
n/a n/a
n/a n/a
n/a
Greystar Eq
Ares Jasper Fund Part IX (
( 145,205,740)
245,633,665) 0.5%
0.8% 12.53%
1.54% 8.33%
n/a n/a
n/a n/a
n/a
Greystar
Avenue SSF Eq VI Part X (( 24,978,035)
7,961,396) 0.1%
0.0% -0.84%
-2.60% n/a
2.05% n/a
-6.34% n/a
n/a
Goldman Sachs
Barings BDC JV - Real Estate (
( (60,264)
144,344,069) 0.0%
0.5% -73.36%
-9.76% -39.27%
n/a -21.95%
n/a 19.47%
n/a
Heitman Core RE Credit
Credit Opportunities (( 199,122,616)
73,956,708) 0.6%
0.2% 3.83%
n/a n/a
n/a n/a
n/a n/a
n/a
Lonestar IIMezz VI
Crescent (( 1,249,970)
28,790,057) 0.0%
0.1% -5.31%
9.27% -2.47%
8.77% 7.42%
8.59% n/a
n/a
Morgan Stanley
Crescent Mezz VPrime (( 797,335,216)
3,571,999) 2.6%
0.0% 1.64%
86.15% 5.68%
9.49% n/a
8.17% n/a
n/a
MorganPNT
EAGLE Stanley
CR CO - Real
IN I Estate (( 66,826,944)
5,000,000) 0.2%
0.0% 4.97%
n/a 10.62%
n/a 9.39%
n/a 11.18%
n/a
Oaktree ROF VI
EAGLE POINT CREDIT (( 26,260,123)
5,186,251) 0.1%
0.0% -4.31%
n/a 3.01%
n/a 4.56%
n/a n/a
n/a
Oaktree V Fund
EIG Gateway (( 6,127,330)
5,560,000) 0.0%
0.0% -6.27%
-30.06% -1.00%
-13.32% 2.73%
-10.06% n/a
n/a
Och-Ziff II
GoldenTree Loan II (
( 8,591,289)
7,104,740) 0.0%
0.0% 27.92%
n/a 30.48%
n/a 25.20%
n/a n/a
n/a
TA Realty Sachs
Goldman FundofOneMezz V (( 282,272,363)
682,597) 0.9%
0.0% 9.07%
48.23% 11.64%
17.20% n/a
10.42% n/a
11.94%
TA Realty Sachs
Goldman X - Private Debt (( 8,473,144)
112,892,195) 0.0%
0.4% 8.38%
4.51% 12.85%
4.98% 12.53%
7.18% n/a
7.88%
Torchlight IV ( 12,111,280) 0.0% -5.03% 6.07% 7.64% n/a
Torchlight V ( 27,702,582) 0.1% 5.01% 9.43% n/a n/a
WL Ross - Real Estate ( 23,892,362) 0.1% -11.09% 0.77% 1.98% n/a
Private Real Estate Blended Benchmark¹² 2.33% 5.83% 8.15% 11.65%
Residual Assets $56,098,869) 0.2% 0.00% 0.00% 0.00% 0.00%
Residual Assets $56,098,869) 0.2% 0.00% 0.00% 0.00% 0.00%
Algert Gl International ( 958,827) 0.0% -6.12% -2.54% n/a n/a
AQR Global Enhanced ( 3,333,736) 0.0% 85.68% 26.68% 18.39% n/a
Barings High Yield ( 582) 0.0% n/a n/a n/a n/a
Blackstone SAF II Composite ( 4,526,847) 0.0% 46.37% 16.76% 9.41% n/a
DE Shaw World Enhanc ( 2,877,884) 0.0% -1.64% 5.39% n/a n/a
Intech Global Enhanc ( 2,207,311) 0.0% 126.52% 41.46% 26.13% n/a
Man Numeric SM ( 1,349,325) 0.0% -21.18% -7.17% n/a n/a
Morgan Stanley GTAAN ( 25,622,420) 0.1% -6.81% n/a n/a n/a
Russell Global Transition ( 4,210,389) 0.0% n/a n/a n/a n/a

South
RUSS SM Carolina
CAP PASS PlanTRAReturn (Net of Fees)¹ ( $30,982,967,918)
6,183,548) 100.0%
0.0% -1.58%
n/a 3.95%
n/a 4.59%
n/a 6.71%
n/a
South
RussellCarolina Policy Benchmark²
Infrastructure Trans ( 121,274) 0.0% 0.13%
-19.14% 4.59%
n/a 5.22%
n/a 6.63%
n/a
Conservative
Russell INT SMFixed CP TRAIncome* ( $3,522,772,945)
784,763) 11.4%
0.0% 2.99%
-5.03% 2.44%
0.61% 2.23%
n/a 2.43%
n/a
RussellCash
Total Other Opportunistic ( 54,009)
$2,379,149,575) 0.0%
7.7% -38.81%
1.38% n/a
1.29% n/a
0.63% n/a
0.31%
Russell
InternalSM/MID
Cash CAP Transition ( 23,368)
2,050,308,826) 0.0%
6.6% n/a
1.64% n/a
1.92% n/a
1.42% n/a
0.92%
Standard Partnership
Strategic Life GTAAN Cash ( 3,844,584)
328,840,749) 0.0%
1.1% -5.40%
-1.05% n/a
-1.58% n/a
-1.76% n/a
-1.18%
Russell
ICE BofAOverlay
Merrill Lynch 3-Month T-Bill $1,178,102,828) 3.8% 8.74%
1.63% 30.83%
1.77% 22.37%
1.19% 18.24%
0.64%
RussellDuration³
Short Overlay $1,178,102,828)
$416,413,556) 3.8%
1.3% 8.74%
2.88% 30.83%
2.51% 22.37%
2.21% 18.24%
1.96%
Blackrock Short Duration ( 203,614,531) 0.7% n/a n/a n/a n/a
¹Plan returns are from BNYMellon and are time-weighted, total return, net of fees and expenses, and expressed in USD. Periods greater than one year are annualized. Returns generated from
Penn Ltdexposure
synthetic Term HY through the Overlay Program are reflected ( in the Total
212,799,025) 0.7%
Plan return but are not 1.05%
included in the asset 2.40%
class segment returns. 2.71% n/a
Bloomberg Barclays U.S. Government/Credit 1-3 Year Index 4.20% 2.87% 2.11% 1.63%
²The Policy
Core Fixed Benchmark
Incomeis set annually by the RSIC and has changed over$727,209,814)
time. The presented returns
2.3%are a blend of previous
9.14% policies. 5.51% 4.73% 4.18%
Pimco Fixed
³Due to the Income
changing (
nature of asset allocation, some asset classes may 706,187,651) 2.3%
not have 10 years of history. 9.20% 5.55% 4.64% 4.28%
SCRS Fixed Inc. ( 21,016,548) 0.1% 7.50% 5.86% 5.17% 4.15%
⁴High Yield Bonds/Bank Loans: 50% Bloomberg Barclays US Corporate High Yield 2% Issuer Capped Bond Index and 50% S&P/LSTA Leveraged Loan Index.
Blackrock Core Fixed Income ( 5,616) 0.0% n/a n/a n/a n/a
⁵US Equity Benchmark:
Bloomberg BarclaysMSCI United States Bond
US Aggregate Index (net of dividends) through 06/30/2016; MSCI United States Investable
Index Market Index (net5.32%
8.74% of dividends) since. 4.30% 3.82%
Total Diversified
⁶Developed Credit
International Equity Benchmark: MSCI EAFE Index (net of $4,926,308,831) 15.9%MSCI EAFE Investable
dividends) through 06/30/2016; -3.92% Market Index1.41% 2.90%
(net of dividends) 6/30/2016-6/30/2018; 4.85%
MSCI World
Excluding
High YieldUnited States Investable
Bonds/Bank Loans Market Index (net of dividends) since.
$1,412,818,380) 4.6% -1.07% 2.60% 3.04% 4.87%
Barings Multi-Sector ( 117,604,213) 0.4% n/a n/a n/a
⁷Emerging Markets Equity Benchmark: MSCI Emerging Markets Index (net of dividends) through 06/30/2016; MSCI Emerging Markets Investable Market Index (net of dividends) since.
n/a
Caspian SC Hldgs LP ( 255,411,201) 0.8% 0.96% 3.71% 3.53% n/a
Golden TreeEquity
⁸Global Public Structured Credit
Benchmark: ( (net of 558,740,445)
MSCI All-Country World Index 1.8% MSCI All-Country
dividends) through 06/30/2016; -2.40% 3.14%
World Investable Market Index (net ofn/a n/a
dividends) through 6/30/2018,
Guggenheim
and Partners
a Weighted Average of Underlying sub-asset class targets( in the Policy
444,201,442)
Portfolio since. 1.4% -0.06% 2.46% 4.31% n/a
Pinebridge Bank Loan ( 36,861,079) 0.1% -5.57% 0.44% 1.96% n/a
⁹GTAA Benchmark:
High Yield 50% MSCILoans
Bonds/Bank World Benchmark
Index (Net of Dividends)/50%
⁴ FTSE World Government Bond Index prior to 7/1/2016;
-1.00%50% MSCI World Index (Net of Dividends)/50%
2.70% 4.06% Bloomberg4.86% Barclays US
Aggregate Bond Index from 7/1/2016 to 6/30/2018; Total System Policy Benchmark Excluding Private Markets and Portable Alpha since.
Emerging Markets Debt $1,222,885,040) 3.9% -4.31% 0.70% 3.59% 3.39%
Ashmore External Debt ( 307,300,942) 1.0% -8.91% 0.18% n/a
¹⁰Opportunistic Benchmark: 50% MSCI World Index (Net of Dividends)/50% Bloomberg Barclays US Aggregate Bond Index from 7/1/2016 to 6/30/2018, Total System Policy Benchmark Excluding
n/a
GMO Emerging
Private Markets andCountry Debtsince.
Portable Alpha ( 294,857,448) 1.0% -0.09% 2.23% n/a n/a
Mondrian EMD ( 252,795,634) 0.8% -3.47% 1.58% 2.80% n/a
¹¹Equity Options Blended Benchmark: CBOE Buy Write Index through FY2018; 50% CBOE BuyWrite, 50% CBOE PutWrite blend since.
Wellington Emerging Local Debt ( 367,931,015) 1.2% -4.07% -0.16% n/a n/a
50% JPM
¹²Private RealEMBI
EstateUSD / 50%
Blended JPM GBIEM
Benchmark: NCREIFLocal
ODCE Index + 75 bps FY 2018 and prior, NCREIF ODCE Index NET +-1.10% 100 bps since. 2.43% 3.89% 3.89%
Private Debt $2,290,605,411) 7.4% -5.64% 1.52% 2.60% 6.13%
¹³Portable Alpha Benchmark: Prior to 7/1/2016 HFRI Fund Weighted Composite Index (NOTE: PA HFs were considered Low Beta Hedge Funds at this time), 7/1/2016-6/30/2018 benchmark was
Angelo Gordon VI ( 9,138) 0.0% 56.31% 53.11% 28.33% 17.18%
effectively zero due to no benchmark, 7/1/2018-Present ICE BofA Merrill Lynch 3-Month T-Bills + 250 basis points.
Apollo - Private Debt ( 423,926,692) 1.4% 4.68% 6.33% 10.59% 13.82%
¹⁴Hedge Funds
Apollo Portable Alpha Debt
Offshore-Private reported as gross exposure but,( as collateral28,291,066)
support to the overlay0.1%
program, net to zeron/a
when calculating the total plan.
n/a n/a n/a
Ares
* TIPS Jasper
exposureFund (
is gained synthetically through the overlay program, 245,633,665)
therefore 0.8%
the asset class does not appear in the1.54%
performance schedule.n/aTIPS represents approximately
n/a 2% of then/a
Plan
Avenue
market SSFbased
value VI on notional exposure of $615,675,161.92( 7,961,396) 0.0% -2.60% 2.05% -6.34% n/a
Barings BDC JV ( 144,344,069) 0.5% -9.76% n/a n/a n/a
Credit Opportunities ( 73,956,708) 0.2% n/a n/a n/a n/a
Crescent Mezz VI ( 28,790,057) 0.1% 9.27% 8.77% 8.59% n/a
Crescent Mezz V ( 3,571,999) 0.0% 86.15% 9.49% 8.17% n/a
EAGLE PNT CR CO IN I ( 5,000,000) 0.0% n/a n/a n/a n/a
EAGLE POINT CREDIT ( 5,186,251) 0.0% n/a n/a n/a n/a
EIG Gateway Fund ( 5,560,000) 0.0% -30.06% -13.32% -10.06% n/a
GoldenTree Loan II ( 7,104,740) 0.0% n/a n/a n/a n/a
Goldman Sachs Mezz V ( 682,597) 0.0% 48.23% 17.20% 10.42% 11.94%
Goldman Sachs - Private Debt ( 112,892,195) 0.4% 4.51% 4.98% 7.18% 7.88%

07
Securities Lending
PORTFOLIO STRUCTURE PORTFOLIO DEVELOPMENTS
The Portfolio currently participates in a securities lending The Program continues to employ very conservative
program, managed by the BNYMellon (“Securities guidelines on both the lending and re-investment
Lending Program”), whereby securities are loaned transaction. The re-investment of the cash collateral is
for the purpose of generating additional income. restricted to short duration, very low risk securities. The
BNYMellon is responsible for making loans of securities gross securities lending revenue for the fiscal year was
to various broker-dealers Average
and collecting Lendable
cash and Average Utilization Average
approximately $2.7 Utilization
million, Average
a decrease from $3.0 Lending
million
Asset Class
Securities (MV) (MV) Spread*
non-cash collateral. If the collateral value falls below a in the prior year.
U.S. Agency Debt level, the borrower
predetermined ($ must post4,813,545)
additional($ - ) - -
U.S. Corporate Bonds ($ 758,480,107) ($ 24,134,370) 3.18% 0.61%
collateral. The cash collateral is invested in short On June 30, 2020, the NAV of the collateral pool was
U.S. Equities ($ 1,596,415,570) ($ 400,312,537) 25.08% 0.43%
duration securities
U.S. Mortgage Backed and monitored
Securities ($ on an ongoing basis.($
135,293,703) $0.31. The - market
) value- of the collateral pool was
-
In conjunction
U.S. Treasuries with generating revenue,
($ the109,468,971)
collateral ($ approximately
77,992,866) $20.4 71.25%
million, with an amortized
0.28%cost of
pool
Non - seeks to maintain a net asset
U.S. Corporate ($ value (NAV) of $1.00,($
125,157,703) approximately
- ) $65.0 million.
- -
which is determined
Non - U.S. Equity by dividing ($
the market325,755,531)
value of the($ 43,777,518) 13.44% 0.62%
Sovereign
assets by the cost of those assets. ($ 152,974,748) ($ - ) - -
*Average Lending Spread: The difference between the benchmark Overnight Bank Funding Rate and the Weighted Average Rebate Rate (i.e.the spread reporting the intrinsic value of the security).
Source: BNYMellon
Average Lendable Average Utilization Average Lending

Asset Class Average Utilization
Securities (MV) (MV) Spread*
U.S. Agency Debt ($ 4,814 ( $ - ) - -

U.S. Corporate Bonds ($ (758,480) ($ (24,134) 3.18% 0.61%
U.S. Equities ($ (1,596,416) ($ (400,313) 25.08% 0.43%
U.S. Mortgage Backed Securities ($ (135,294) ( ($ - ) - -
U.S. Treasuries ($ (109,469) ($ (77,993) 71.25% 0.28%
Non - U.S. Corporate ($ (125,158) ( ($ - ) - -
Non - U.S. Equity ($ (325,756) ($ (43,778) 13.44% 0.62%
Sovereign ($ (152,975) ( ($ - ) - -
*Average Lending Spread: The difference between the benchmark Overnight Bank Funding Rate and the Weighted Average Rebate Rate (i.e.the spread reporting the intrinsic value of the security).
Source: BNYMellon
Securities Lending Activities 2016 2017 2018 2019 2020
Securities Lending Income $188 $572 $2,219 $3,342 $2,571

Securities Lending Rebate¹ 758 201 -226 -295 177
Total Securities Lending Income 946 773 1,992 3,047 2,748
¹Rebate rates establish the economic "cost" of the lending transaction: positive rebates indicate the borrower pays the lender.

08
Expenses

OVERVIEW
For Fiscal Year 2020, total investment and administrative this total. Performance fees, including carried interest
expenses decreased by $96.42 million to $231.60 million. allocation, are a share of the profits from an investment
As a percent of total assets, total expenses decreased to or fund and is paid to the investment manager to create
0.75% of Total Plan Assets. Investment management fees an alignment of interests.
and expenses for Fiscal Year 2020 decreased by $92.68
million to $217.56 million. The primary contributing factor Investment management fees and expenses are either
to this decrease was lower performance, relative to fiscal paid by invoice or netted from investment assets. Under
year 2019, in asset classes that utilize performance fee Governmental Accounting Standards Board (GASB)
structures. Bank Fees and Investment Expense, which accounting guidance, “Investment-related costs should
are associated with custodied accounts and primarily be reported as investment expense if they are separable
consist of commissions on futures contracts and bank from (a) investment income and (b) the administrative
fees, decreased by $3.16 million to $2.34 million. General expense of the pension plan.”* RSIC makes a good faith
administrative expenses decreased by $0.58 million to attempt to disaggregate netted fee amounts that are not
$11.7 million. necessarily readily separable from investment income.
The RSIC collects and aggregates the netted investment
Brokerage fees are broken out separately as fees and checks for reasonableness in order to disclose
commissions paid to brokers are considered a part of fees that would not otherwise be disclosed. In order to
the investment cost basis and, therefore, not reported in compare investment expense as reported by the Systems
investment management expenses. with investment management costs reported by other
public pension plans, an understanding of the actual
Investment management fees and expenses generally fees and expenses included in any comparative reports
consists of three categories: investment management is necessary. Additionally, investment plan composition
fees, performance fees including carried interest directly influences the fee structure of a plan and
allocation, and other investing expenses such as adjustments for differences in plan asset allocation is
organizational costs in limited partnership structures. necessary before conclusions can be reached from such
Investment management fees are generally a percentage comparisons.
fee based on the assets under management and paid
to the manager of the fund for providing the service of
investing the assets. Investment management fees are
reported net of offsets which have the effect of reducing *GASB statement No. 67, paragraph 26
Schedule of Investment Expenses

Investment & Administrative Expenses 2016 2017 2018 2019 2020
Total Plan Assets $27,979,653) $30,102,107) $31,306,135) $31,979,716) $30,982,968)

Investment Management Expenses
Investment Management Fees & Expenses ( 246,930) ( 302,904) ( 358,955) ( 310,243) ( 217,560)
Bank Fees and Investment Expense¹ ( 2,342) ( 3,033) ( 3,414) ( 5,493) ( 2,336)
Administrative Expenses² ( 10,750) ( 10,705) ( 11,600) ( 12,279) ( 11,702)
Total Investment and Administrative Expenses $260,022 $316,643 $373,970 $328,015 $231,599
Total Expenses as a Percentage of Total Assets 0.93% 1.05% 1.19% 1.03% 0.75%
Brokerage Fees $4,261) $5,521) $5,338) $4,433) $5,934)
Brokerage Fees as a Percentage of Total Assets 0.02% 0.02% 0.02% 0.01% 0.02%
¹Includes miscellaneous investment expenses, commissions on futures, and bank fees but excludes RSIC administrative costs in the form of
transfers to RSIC in the amount of $11.5 Million.
²Represents RSIC's actual expenses which equal transfers to RSIC less net change in RSIC cash on hand.

Investment Management Fees and Expenses By Asset Class
2D4072Investment Management Fees and Expenses by Asset Class
Expressed in Dollars ($)

Fiscal Year
Asset Class NAV¹ Management Fee³ Performance Fee⁶⁶ Other Fees Total Fees
Performance²
Cash and Short Duration ($ 70,233) $701 - - 701
Core Fixed Income ( 5,036,732) 8.49% 1,776 - - 1,776
High Yield/Bank Loans ( 1,412,818) -1.07% 6,208 975 - 7,183
Emerging Markets Debt ( 1,222,885) -4.31% 4,538 - - 4,538
Global Public Equity ( 13,492,627) 0.68% 24,458 - 534 24,992
Equity Options ( 699,122) -1.63% 3,456 - 0 3,456
Portable Alpha Hedge Funds ( - ) 0.63% 45,992 45,490 2,316 93,798
Private Debt ( 2,290,605) -5.64% 19,958 -12,596 10,754 18,116
Private Equity ( 2,176,832) -6.75% 30,582 -21,391 12,888 22,079
Public Real Estate ( 481,085) -7.88% 1,446 - - 1,446
Private Real Estate ( 2,539,910) 3.43% 27,173 -11,537 6,963 22,598
GTAA ( 494,552) -5.49% 5,514 - 2,033 7,547
Other Opportunistic ( 224,194) -22.45% 414 - 177 591
Public Infrastructure ( 497,394) -0.97% 3,092 - - 3,092
Private Infrastructure ( 343,978) -1.82% 4,039 546 1,061 5,646
Total ($ 30,982,968) -1.58% $179,346 $1,487 $36,726 $217,560
Expressed in Percentages (%)

Fiscal Year Management
Asset Class NAV¹ Performance Fee⁴⁴ Other Fees³,⁴⁴ Total Fees⁴⁴
Performance² Fee³,⁴⁴
Cash and Short Duration ($ 70,233) 1.00% 0.00% 0.00% 1.00%
Core Fixed Income ( 5,036,732) 8.49% 0.04% 0.00% 0.00% 0.04%
Mixed Credit ( 1,412,818) -1.07% 0.44% 0.07% 0.00% 0.51%
Emerging Markets Debt ( 1,222,885) -4.31% 0.37% 0.00% 0.00% 0.37%
Global Public Equity ( 13,492,627) 0.68% 0.18% 0.00% 0.00% 0.19%
Equity Options ( 699,122) -1.63% 0.49% 0.00% 0.00% 0.49%
Portable Alpha Hedge Funds5 ( - ) 0.63% 1.49% 1.47% 0.08% 3.04%
Private Debt ( 2,290,605) -5.64% 0.87% -0.55% 0.47% 0.79%
Private Equity ( 2,176,832) -6.75% 1.40% -0.98% 0.59% 1.01%
Public Real Estate ( 481,085) -7.88% 0.30% 0.00% 0.00% 0.30%
Private Real Estate ( 2,539,910) 3.43% 1.07% -0.45% 0.27% 0.89%
GTAA ( 494,552) -5.49% 1.11% 0.00% 0.41% 1.53%
Other Opportunistic ( 224,194) -22.45% 0.18% 0.00% 0.08% 0.26%
Public Infrastructure ( 497,394) -0.97% 0.62% 0.00% 0.00% 0.62%
Private Infrastructure ( 343,978) -1.82% 1.17% 0.16% 0.31% 1.64%
Total ($ 30,982,968) -1.58% 0.58% 0.00% 0.12% 0.70%
¹Asset Class NAV is net of the Notional Exposure of the Beta Overlay program.
²Plan Returns are time-weighted, total return calculations, net of fees and expenses. All returns are expressed in U.S. Dollars. Returns generated from synthetic exposure
through the Beta Overlay Program are reflected in the total Plan return and asset class segment returns.
³Overlay and top level strategic partnership fees are allocated to asset classes proportionately by NAV.
⁴Fees expressed as a percentage of the ending Asset Class NAV.
⁵Fees expressed as a percentage of gross exposure to the Beta Overlay program of $3,113,727,780.
⁶Performance Fees includes accrued carried interest.

09
Delegation Authority
INVESTMENT AUTHORITY DELEGATION
Pursuant to Section 9-16-330(B) of the 1976 South for the requirement that the Commission approve the
Carolina Code of Laws, the Commission delegates to investment prior to the closing the investment. The size
the Chief Investment Officer the final authority to invest of an individual investment made pursuant to the policy
subject to the oversight of the Chief Executive Officer is subject to specific limitations provided for the asset
and the requirements and limitations of the Investment class applicable to the investment. An investment can
Authority Delegation Policy. Investment Authority be made pursuant to this policy if it a) is not the initial
Delegation allows the RSIC to make investments without investment in a new asset class, b) the majority of the
requiring prior approval of the Commission provided underlying assets comprising the investment have been
the investment process adheres to the RSIC’s Due previously included in the investment portfolio, and c)
Diligence Guidelines and Policies. The investment the strategy to be employed by the investment manager
process for any investment made pursuant to this policy is substantially similar to an investment that has been
must be substantially similar to the investment process previously subject to the Commission’s investment due
employed prior to the adoption of this policy except diligence process.

Delegated Investments
The following table is presented Pursuant to Section 9-16-90(B)(6) of the
2D4072Delegated 1976 South Carolina Code of laws:
Investments
Investment Net Asset Performance Since Performance

Fund Name Asset Class Total Fees³
Close Date¹ Value⁵⁵ Inception² Inception Date⁴⁴
Digital Colony I Private Equity 03/22/18 $54,490 $1,818 -15.93% 05/01/18
Bridgepoint Europe VI Private Equity 04/10/18 27,463 1,631 -16.70% 11/01/18
Industry Ventures Partnership Holdings V Private Equity 06/01/18 19,373 629 43.77% 03/01/19
Providence Strategic Growth III Private Equity 06/11/18 47,105 1,364 15.29% 08/01/18
Providence Equity Partners VIII Private Equity 07/06/18 32,434 2,144 -47.37% 11/01/18
Numeric EME Global Public Equity 07/30/18 125,566 1,328 -9.54% 08/01/18
Hellman & Friedman Capital Partners IX Private Equity 09/29/18 11,067 538 0.00% 05/01/20
Owl Rock First Lien Fund Private Debt 10/02/18 88,512 2,055 -2.88% 01/01/19
Brookfield Strategic Real Estate Partners III Private Real Estate 10/19/18 36,294 1,603 11.89% 05/01/19
Brookfield Capital Partners V Private Equity 10/24/18 41,131 2,270 -14.53% 10/01/19
KKR Lending Partners III Private Debt 11/02/18 95,662 1,347 13.71% 01/01/19
Owl Rock Technology Finance Corp Private Debt 12/21/18 46,428 1,614 -1.09% 04/01/19
Owl Rock Technology Holdings LLC Private Debt 12/21/18 11,466 0 1169.21% 09/01/19
Brookfield Super Core Private Infrastructure 12/21/18 203,298 1,771 5.34% 02/01/19
Blackstone Real Estate Partners IX Private Real Estate 12/21/18 25,784 1,349 -6.23% 10/01/19
Providence Strategic Growth IV Private Equity 04/26/19 4,375 2,258 33.20% 08/01/19
Actis Long Life Infrastructure Fund Private Infrastructure 04/30/19 3,605 1,174 -43.68% 07/01/19
TA Associates Fund XIII Private Real Estate 05/02/19 9,434 1,005 -16.14% 01/01/20
Great Hill Equity Partners VII Private Equity 06/28/19 -240 223 -53.61% 03/01/20
Strategic Credit Opportunities Private Debt 06/28/19 87,172 406 -15.98% 07/01/19
Horsely Bridge XIII Venture Private Equity 09/17/19 5,536 402 -8.23% 11/01/19
Strategic Credit Opportunities Phase II Private Debt 09/30/19 73,957 126 -10.22% 11/01/19
KPS Special Situations Fund V Private Equity 10/09/19 0 0 0.00% n/a
KPS Special Situations Mid-Cap Fund Private Equity 10/09/19 3,416 185 -4.69% 12/01/19
GoldenTree Loan Management II Private Debt 10/18/19 7,105 412 -5.27% 04/01/20
Brighton Park Capital Fund I Private Equity 12/11/19 13,032 1,293 -5.37% 02/01/20
Aberdeen US Private Equity VIII Private Equity 12/23/19 6,773 113 -5.47% 01/01/20
Brookfield Infrastructure Partners IV Private Infrastructure 01/31/20 30,346 1,434 -5.39% 04/01/20
Valor Equity V Private Equity 02/06/20 11,132 376 0.00% 06/01/20
Francisco Partners GP VI Private Equity 04/16/20 0 0 0.00% n/a
Francisco Partners Agility II Private Equity 04/16/20 0 0 0.00% n/a
CVC Capital Partners VIII Private Equity 05/01/20 0 0 0.00% n/a
Eagle Point Credit Partners Private Debt 05/06/20 5,186 0 3.73% 06/01/20
CD&R XI Private Equity 05/22/20 0 0 0.00% n/a
Bridgepoint Development Capital IV Private Equity 05/28/20 0 0 0.00% n/a
Barings Capital Investment Corporation Private Credit 06/22/20 0 0 0.00% n/a
Crow Holdings Realty Partners IX Private Real Estate 06/30/20 0 0 0.00% n/a
Total $1,126,901 $30,867
¹Represents the date on which the RSIC executed the contracts and not the date the investment was funded.
²Returns are time-weighted, total return calculations, net of fees and expenses. All returns are expressed in U.S. Dollars. Periods greater than one year are annualized. Additional
performance information can be found in the Manager Returns section of this report. Time-weighted methodology may not be an appropriate performance measure for private markets
investments. Zero performance indicates no mark-to-market valuations have been received as of fiscal year end.
³Total fees are for the fiscal year and include management fees, performance fees including accrued carried interest, and other expenses.
⁴Performance inception begins with the first full month of performance. "n/a" signifies no full month of performance prior to fiscal year end.
⁵Negative NAV reflects valuations where the general partner has made investments and/or incurred expenses but has not yet called capital from limited partners.
*Amounts expressed in thousands and thus may not add up to totals due to rounding.

10
Risk
OVERVIEW
The Commission will fulfill its fiduciary responsibility and Policies as amended and adopted by the Commis-
by prudently managing the assets held in trust for the sion which states that “except that no limitations on
sole benefit of the participants and beneficiaries of issues and issuers shall apply to obligations of the U.S.
the Systems. It will seek superior long-term investment Government and Federal Agencies, the domestic fixed
results at a reasonable level of risk. income portfolio shall contain no more than 6 percent
exposure to any single issuer.” As of June 30, 2020,
The RSIC invests the assets of the trust to earn the there is no single issuer exposure within the portfolio
required rate of return (7.25 percent as of fiscal year end) that comprises 5 percent or more of the overall portfolio.
over time. With short-term interest rates at historic lows,
in order to achieve this goal, an investor is required CREDIT RISK OF DEBT SECURITIES
to expose his or her assets to risk. Instead of pooling
one’s risk, a prudent investor seeks to balance his or Credit risk is the risk that an issuer or other counterparty
her risks to reduce the risk of severe loss. This principle to an investment will not fulfill its obligations to
of diversification is central to the RSIC’s portfolio asset the Systems. As a matter of practice, there are no
allocation. overarching limitations for credit risk exposures within
the overall fixed income portfolio.
The RSIC also believes that over time, an investor earns
a return that is commensurate with the level of risk Each individual portfolio within fixed income is managed
taken. Risk, in this sense, is a term that refers broadly to in accordance with investment guidelines that are
an investment’s risk of loss. The RSIC typically uses the specific as to permissible credit quality ranges, exposure
standard deviation of returns in order to quantify this levels within individual quality tiers, and average credit
economic risk of an asset, strategy, asset class, or the quality. Within high yield portfolios, a quality rating
broad portfolio. However, there are other risks that are of lower than C is not permissible in any of the fixed
much more difficult to measure (and therefore, mitigate). income guidelines except in those circumstances of
The RSIC believes risks can be reduced through downgrades subsequent to purchase, in which case the
diversification, a strong due diligence process, ongoing investment manager is responsible for communicating
monitoring, and risk management. Some examples of the downgrade to the Commission’s consultant and staff.
these risks include:
CUSTODIAL CREDIT RISK - INVESTMENTS
CONCENTRATION OF CREDIT RISK -
INVESTMENTS Custodial credit risk for investments is the risk that, in
the event of a failure of the counterparty, the Systems
Concentration of credit risk is the risk of loss attribut- will not be able to recover the value of the investments
ed to the magnitude of investment in a single issuer or or collateral securities that are in the possession of an
counterparty. The Systems’ policy for reducing this risk outside party. Investing for the Systems is governed by
is to comply with the Statement of Investment Objectives Section 16, Article X of the South Carolina Constitution

and Section 9-1-1310(B) and Title 9 Section 16 of the a portfolio of bonds to interest rate movements given
South Carolina Code of Laws. Funds held in trust for the a 100 basis point change in interest rates. Effective
Systems may be invested and reinvested in a variety of duration takes into account that expected cash flows
instruments including, but not limited to, fixed income will fluctuate as interest rates change and provides a
instruments of the United States, foreign fixed income measure of risk that changes proportionately with market
obligations, swaps, forward contracts, futures and rates. Investment guidelines may specify the degree
options, domestic and international equity securities, of interest rate risk taken versus the benchmark within
private equity, real estate, and fund of funds. each fixed income portfolio.
CUSTODIAL CREDIT RISK – DEPOSITS LEVERAGE RISK
Custodial credit risk for deposits is the risk that in the Leverage is the use of borrowed capital to increase
event of a bank failure, the Systems’ deposits may not potential investment returns. While the trust is not
be recovered. As prescribed by South Carolina state allowed to utilize leverage at the total plan level, certain
statute, the South Carolina Public Employee Benefit investment vehicles, in particular alternative investment
Authority (PEBA) is the custodian of all deposits and funds, can utilize leverage. The trust itself, however,
is responsible for securing all deposits held by banks. is not levered at the total plan level, and the total loss
These deposits are secured by deposit insurance, exposure to the trust is limited to the capital invested/
surety bonds, collateral securities, or letters of credit to committed to the investment vehicle.
protect the state against loss in the event of insolvency
or liquidation of the institution or for any other cause. LIQUIDITY RISK
Deposits are insured by the Federal Deposit Insurance
Corporation (FDIC) up to $250,000 or collateralized with Liquidity risk is the risk of having limited access to funds,
securities held by the state or its agent in PEBA’s name resulting from a lack of market liquidity or restrictions
as custodian. on the sale of ownership interests. The term “liquidity
risk” distinguishes a form of market risk which typically
EQUITY RISK occurs when demand for a given security is weak, or
the supply of a security is low. Liquidity risk is higher
Equity risk refers to the financial risk of loss that results for “private market” investments, such as private equity
from ownership. Equity risk is typically observed using and real estate funds. While so-called “secondary
the standard deviation of returns. sales”—privately arranged transfers of interests in
these investments—are an increasingly viable option,
FOREIGN CURRENCY RISK selling these interests can be subject to restrictions
and may require the seller to accept a discount to the
Foreign currency risk is the risk that changes in investment’s valuation. There is no publicly available
exchange rates will adversely impact the fair value exchange or marketplace on which to liquidate these
of an investment. The Systems participate in foreign ownership interests.
markets to diversify assets, reduce risk, and enhance
returns. Currency forwards are used to manage currency VALUATION RISK
fluctuations and are permitted by investment policy.
Policy, however, forbids speculating in forwards and The fair values of alternative investments including
other derivatives. private equity, private debt, hedge funds, real estate
and commodities, for which daily market values are not
INTEREST RATE RISK readily ascertainable, are valued in good faith based on
the most recent financial information available for the
Interest rate risk is the risk that changes in interest rates underlying companies and reported by the investment
will adversely affect the fair value of an investment or managers at the measurement date, adjusted for
portfolio. While the RSIC has no formal interest rate risk subsequent cash flow activities through June 30, 2020.
policy, interest rate risk is observed within the portfolio The estimated fair value of these investments may differ
using effective duration (option adjusted duration), from values that would have been used had a liquid
which is a measure of the price sensitivity of a bond or public market existed.

11
Holdings

Appendix A: Summary Schedule
Asset Class Market Value Notional Value
Cash Equivalents and S-T Investments
Cash and Equivalents ($ 2,379,150 -
Total Short Duration Cash 91,218 -
Total Fixed Income Cash (124,607) -
Total Public Equity Cash (1,297,493) -
Total Public Infrastructure Cash 4,429 -
Total Public Real Estate Cash 4,113 -
Total Alternatives Cash 565,954 -
Total Residual Assets Cash 48,087 -
Total Russell Overlay Cash 858,553 -
Total Cash and S-T Investments ($ 2,529,404 -
Short Duration Fixed Income Investments

Short Duration Fixed Income Investments ($ 325,195 -
Total Short Duration ($ 325,195 -
Fixed Income Investments

Core Fixed Income ($ 875,172 -
Emerging Market Debt 1,217,216 -
High Yield Bonds/Bank Loans 1,395,132 -
Total Fixed Income Investments ($ 3,487,520 -
Equity Investments
Developed International Equity ($ 651,420 -
Emerging Markets Equity 1,995,532 -
Equity Options Strategy 343,213 -
Public Global Equity 7,586,119 -
US Equity 2,149,220 -
Total Equity ($ 12,725,505 -
Public Infrastructure
Public Infrastructure ($ 492,965 -
Total Public Infrastructure ($ 492,965 -
Public Real Estate

Public Real Estate ($ 476,972 -
Total Public Real Estate ($ 476,972 -
Alternatives
Portable Alpha Hedge Funds ($ 3,045,762 -
Private Debt 2,283,733 -
Private Equity 2,176,832 -
Private Real Estate 2,539,910 -
Private Infrastructure 343,978 -
Total Alternatives ($ 10,393,651 -
Other Opportunistic
Other Opportunistic ($ 224,194 -
Total Other Opportunistic ($ 224,194 -
Residual Assets
Residual Assets ($ 8,012 -
Total Residual Assets ($ 8,012 -
Appendices A-K were created using data as of June 30, 2020 provided by the Custodian. All figures are in U.S. Dollars.
Amounts expressed in thousands and thus may not add up to totals due to rounding.
41 2019–2020
1Appendices A-J ANNUAL INVESTMENT
were created REPORT
using data as of June 30, 2020 provided by the Custodian. All figures are in U.S. Dollars. 2 Amounts
Alternatives
Appendix A: Summary Schedule
Total
Asset Alternatives
Class ($ Market Value 10,393,651 Notional Value -
Cash Equivalents and S-T Investments
Other Opportunistic
Cash and Equivalents ($ 2,379,150 -
Other Opportunistic
Total Short Duration Cash ($ 224,194
91,218 --
Total OtherIncome
Total Fixed Opportunistic
Cash ($ 224,194
(124,607) --
Total Public Equity Cash (1,297,493) -
Residual Assets
Total Public Infrastructure Cash 4,429 -
Residual Assets
Total Public Real Estate Cash ($ 8,012
4,113 --
Total Residual Assets
Total Alternatives Cash ($ 8,012
565,954 --
Total Residual Assets Cash 48,087 -
Total Russell Overlay Cash 858,553 -
Asset Cash
Total Classand S-T Investments ($ Market Value 2,529,404
Notional Value -
Overlay
Futures
Short Duration Fixed Income Investments
ShortFixed
Core Income
Duration Fixed Income Investments ($
($ 33 ($
325,195 1,500,989
-
Futures Total
Total Short Duration ($
($ 33
325,195 ($ 1,500,989
-
1Appendices
Options A-J were created using data as of June 30, 2020 provided by the Custodian. All figures are in U.S. Dollars. 2
Developed
Fixed International
Income InvestmentsEquity ($ (9,444) ($ 402,501
US Equity
Core Fixed Income ($ 44,700
875,172 506,786
-
Options Total
Emerging Market Debt ($ 35,256 ($
1,217,216 909,286
-
TotalYield
High Return Swaps Loans
Bonds/Bank 1,395,132 -
Core Fixed
Total FixedIncome
Income Investments ($
($ 12,405 ($
3,487,520 2,808,533
-
Public Global Equity 271,855 2,028,363
Total Return
Equity Swaps Total
Investments ($ 284,260 ($ 4,836,896
Total Overlay
Developed International Equity ($
($ 319,549
651,420 ($ 7,247,171
-
Emerging Markets Equity 1,995,532 -
Total Investments
Equity Options Strategy ($ 30,982,968
343,213 ($ 7,247,171
-
Public Global Equity 7,586,119 -
US Equity 2,149,220 -
Total Equity ($ 12,725,505 -
Public Infrastructure ($ 492,965 -
Total Public Infrastructure ($ 492,965 -
Public Real Estate

Public Real Estate ($ 476,972 -
Total Public Real Estate ($ 476,972 -
Alternatives
Total Alternatives ($ 10,393,651 -
Other Opportunistic
Other Opportunistic ($ 224,194 -
Total Other Opportunistic ($ 224,194 -
Residual Assets
Residual Assets ($ 8,012 -
Total Residual Assets ($ 8,012 -
RETIREMENT
1Appendices A-J were created using data as of June 30, 2020 provided SYSTEM All
by the Custodian. INVESTMENT in U.S. Dollars.42
figures areCOMMISSION 2
Appendix B: Cash and Equivalents
Asset Class Type Cost Market Value
CASH & CASH EQUIVALENTS
General Assembly Combined Cash ($ 3,286 ($ 3,286
General Assembly Combined Receivables 0 0
Judges Combined Cash 6,627 6,626
Judges Combined Receivables 1 1
National Guard Combined Cash 4,694 4,693
National Guard Combined Receivables 0 0
Police Combined Cash 40,304 40,300
Police Combined Receivables 4 4
Retirement Combined Cash 162,141 162,124
Retirement Combined Receivables 18 18
SCRS - Internal Cash 1,616,231 1,616,121
SCRS - Internal Receivables 109 109
SCRS Residual Assets Cash 0 (0)
SCRS Residual Assets Receivables 216,868 216,893
Strategic Partnership Cash 328,841 328,841
CASH & CASH EQUIVALENTS Total ($ 2,379,125 ($ 2,379,017
CASH & CASH EQUIVALENTS Accrued 133
CASH & CASH EQUIVALENTS Net ($ 2,379,150

SHORT DURATION
BLACKROCK SHORT DURA Cash ($ 82,323 ($ 82,344
BLACKROCK SHORT DURA Payables (11,125) (11,125)
BLACKROCK SHORT DURA Receivables 8,954 8,954
BLACKROCK SHORT DURA Total 80,153 80,173
Penn Ltd Term HY Cash ($ 8,219 ($ 8,219

Penn Ltd Term HY Receivables 2,827 2,827
Penn Ltd Term HY Total 11,046 11,046
SHORT DURATION Total ($ 91,199 ($ 91,219

SHORT DURATION Accrued (1)
SHORT DURATION Net ($ 91,218

FIXED INCOME
Ashmore External Debt Cash ($ 1,045 ($ 1,042
Ashmore External Debt Payables (4,964) (4,934)
Ashmore External Debt Receivables 9,558 9,560
Ashmore External Debt Total 5,639 5,668
BARINGS MULTI SECTOR Cash ($ 8,795 ($ 8,794

BARINGS MULTI SECTOR Payables (6,773) (6,773)
BARINGS MULTI SECTOR Receivables 1,922 1,922
BARINGS MULTI SECTOR Total 3,944 3,943
Blackrock Core Receivables ($ 7 ($ 6

Blackrock Core Total 7 6
Goldentree Credit Cash ($ 63,373 ($ 63,602

Goldentree Credit Payables (232,124) (233,001)
Goldentree Credit Receivables 214,859 214,877
Goldentree Credit Total 46,109 45,477
43 2019–2020
were created REPORT

CASH & CASHPartners
Guggenheim EQUIVALENTS Cash ($ (627) ($ (628)
Guggenheim Partners
General Assembly Combined Payables
Cash ($ (79,027)
3,286 ($ (77,537)
3,286
Guggenheim Partners
General Assembly Combined Receivables 38,599
0 38,9790
Guggenheim
Judges CombinedPartners Total Cash (41,055)
6,627 (39,187)
6,626
Pimco Core
National Guard Combined Cash ($ 46,041
4,694 ($ 46,037
4,693
Pimco Core
National Guard Combined Payables
Receivables (520,412)0 (521,363) 0
Pimco Combined
Police Core Receivables
Cash 327,122
40,304 327,294
40,300
Pimco Combined
Police Core Total Receivables (147,248)4 (148,032) 4
Retirement Combined Cash 162,141 162,124
Pinebridge Bank
Retirement Loan
Combined Cash
Receivables ($ 7,206
18 ($ 7,205
18
Pinebridge Bank Loan
SCRS - Internal Receivables
Cash 243
1,616,231 243
1,616,121
Pinebridge Bank Loan Total
SCRS - Internal Receivables 7,449
109 7,449
109
SCRS Residual Assets Cash 0 (0)
SCRS Fixed Income
Residual Assets Cash
Receivables ($ 216,8680 ($ 216,893 0
SCRS Fixed
Strategic Income
Partnership Receivables
Cash 64
328,841 64
328,841
SCRS
CASHFixed Income
& CASH Total
EQUIVALENTS Total ($ 64
2,379,125 ($ 64
2,379,017
CASH & CASH EQUIVALENTS Accrued 133
CASH
FIXED & CASH EQUIVALENTS
INCOME Total Net ($ (125,093) ($ 2,379,150
(124,612)
FIXED INCOME Accrued 5
FIXED Class
Asset INCOME Net Type Cost ($ (124,607)
Market Value
SHORT DURATION
Asset Class SHORT DURA
BLACKROCK Type
Cash ($ Cost 82,323 ($ Market Value82,344
PUBLIC EQUITY
BLACKROCK SHORT DURA Payables (11,125) (11,125)
Aberdeen EME
BLACKROCK SHORT DURA Receivables ($ 161,130
8,954 ($ 161,130
8,954
Aberdeen EME
BLACKROCK TotalDURA Total
SHORT 161,130
80,153 161,130
80,173
Blackrock
Penn EME HY
Ltd Term Payables
Cash ($ (90,001)
8,219 ($ (90,001)
8,219
Blackrock
Penn EME HY
Ltd Term Total Receivables (90,001)
2,827 (90,001)
2,827
Blackrock EME SM Cap Payables ($ (5,004) ($ (5,004)
Blackrock
SHORT EME SM Total
DURATION Cap Total ($ (5,004)
91,199 ($ (5,004)
91,219
SHORT DURATION Accrued (1)
SHORT DURATION
Blackrock Net
Global Equity Payables ($ (435,012) ($ 91,218
(435,012)
Blackrock Global Equity Total (435,012) (435,012)
Blackrock US Equity
FIXED INCOME Payables ($ (905,002) ($ (905,002)
Blackrock US Equity
Ashmore External Total
Debt Cash ($ (905,002)
1,045 ($ (905,002)
1,042
BLACKROCK US SMDebt
Ashmore External CAP Cash
9,558 ($ 3,377
9,560
BLACKROCK US SMDebt
Ashmore External CAP Total Payables (41,593)
5,639 (41,593)
5,668
BLACKROCK US SM CAP Receivables 776 776
BLACKROCK
BARINGS MULTI US SM CAP Total
SECTOR Cash ($ (37,440)
8,795 ($ (37,440)
8,794
BROCK
BARINGS WORLD
MULTIEX US SM
SECTOR Cash
Receivables ($ 10
1,922 ($ 10
1,922
BROCK
BARINGS WORLD
MULTIEXSECTOR
US SM Total Payables (65,000)
3,944 (65,000)
3,943
BROCK WORLD EX US SM Total (64,990) (64,990)
Russell Options
Blackrock Core Total Cash ($ 352,7397 ($ 354,909 6
Russell Options Payables (20,231) (20,231)
Russell Options
Goldentree Credit Receivables
Cash ($ 21,183
63,373 ($ 21,183
63,602
Russell Options
Goldentree Total
Credit Payables 353,691
(232,124) 355,861
(233,001)
State Street Credit
Goldentree GlobalTotal
Equity Payables ($ (435,000)
46,109 ($ (435,000)
45,477
RETIREMENT

CASH Street
State & CASHGlobal
EQUIVALENTS
Equity Total (435,000) (435,000)
General Assembly Combined
W Blair EME Receivables ($ 157,9180 ($ 157,9180
Judges
W BlairCombined
EME Total Cash 6,627
157,918 6,626
157,918
National Guard Combined
PUBLIC EQUITY Total Cash ($ 4,694
(1,299,711) ($ 4,693
(1,297,541)
National
PUBLIC EQUITY Combined
Guard Accrued Receivables 0 0
48
Police
PUBLICCombined
EQUITY Net Cash 40,304 ($ 40,300
(1,297,493)
Retirement
Asset Class Combined Cash
Type Cost 162,141 162,124
Market Value
Retirement Combined
PUBLIC INFRASTRUCTURE Receivables 18 18
SCRS - Internal
Deutche Infrastructure Cash
Cash ($ 1,616,231
1,014 ($ 1,616,121
1,014
SCRS - Internal
Deutche Infrastructure Receivables
Payables 109
(37) 109
(36)
SCRS Residual
Deutche Assets
Infrastructure Cash
Receivables 3,4720 (0)
3,451
SCRS Residual
Deutche Assets Total
Infrastructure Receivables 216,868
4,450 216,893
4,429
CASH &INFRASTRUCTURE
PUBLIC CASH EQUIVALENTS Total
Total ($
($ 2,379,125
4,450 ($
($ 2,379,017
4,429
CASH & CASH EQUIVALENTS
PUBLIC INFRASTRUCTURE Accrued Accrued 1330
CASH
PUBLIC &INFRASTRUCTURE
CASH EQUIVALENTS NetNet ($
($ 2,379,150
4,429
Asset
Asset Class
Class Type
Type Cost
Cost Market
Market Value
Value
SHORT
PUBLIC DURATION
REAL ESTATE
BLACKROCK
CentersquareSHORT DURA
US Real Estate Cash
Cash ($
($ 82,323
445 ($
($ 82,344
445
BLACKROCK SHORT DURA
Centersquare US Real Estate Payables
Payables (11,125)
(332) (11,125)
(332)
BLACKROCK
CentersquareSHORT DURA
US Real Estate Receivables
Receivables 8,954
428 8,954
428
BLACKROCK SHORT DURA
Centersquare US Real Total
Estate Total 80,153
541 80,173
541
Penn Ltd TermUS

CenterSquare HYREIT Focused Cash
Cash ($
($ 8,219
3,615 ($
($ 8,219
3,615
Penn Ltd TermUS
CenterSquare HYREIT Focused Receivables
Payables 2,827
(1,946) 2,827
(1,946)
Penn Ltd TermUS
CenterSquare HYREIT
Total
Focused Receivables 11,046
1,903 11,046
1,903
CenterSquare US REIT Focused Total 3,571 3,571
SHORT DURATION Total ($ 91,199 ($ 91,219
SHORT
PUBLIC DURATION Accrued
REAL ESTATE Total ($ 4,113 ($ (1)
4,113
SHORT
PUBLIC DURATION Net
REAL ESTATE Accrued ($ 91,218 0
PUBLIC REAL ESTATE Net ($ 4,113
FIXED INCOME
Ashmore External Debt
ALTERNATIVE Cash ($ 1,045 ($ 1,042
Ashmore
BW PA II -External
Low BetaDebt
HF Payables
Cash ($ (4,964)
- ) ($ (4,934)
(1)
Ashmore
BW PA II -External
Low BetaDebt
HF Receivables
Receivables 9,558
1 9,5601
Ashmore
BW PA II -External
Low BetaDebt Total
HF Total 5,639
1 5,668-
BARINGS
BW PAMM MULTI SECTOR
II - Low Beta HF Cash
Cash ($
($ 8,795 ($
11,371 ($ 8,794
11,371
BARINGS
BW PAMM MULTI SECTOR
II - Low Beta HF Total Payables (6,773)
11,371 (6,773)
11,371
BARINGS
MacquarieMULTI SECTOR Total
Infrastructure Fund Cash ($ 3,944
(0) ($ 3,943
(0)
Macquarie Infrastructure Fund Payables (0) (0)
Blackrock
MacquarieCore
Infrastructure Fund Receivables
Receivables ($ 7
0 ($ 6
0
Blackrock
MacquarieCore Total
Infrastructure Fund Total 7
(0) 6
(0)
Goldentree Credit
OWL ROCK TRANSITION Cash
Cash ($
($ 63,3730 ($
($ 63,6020
Goldentree Credit
OWL ROCK TRANSITION Payables
Receivables (232,124)
3,436 (233,001)
3,436
Goldentree Credit
OWL ROCK TRANSITION Total Receivables 214,859
3,436 214,877
3,436
Pinebridge GTAAN Receivables ($ 494,552 ($ 494,552
1Appendices A-J were created using data as of June 30, 2020 provided by the Custodian. All figures are in U.S. Dollars. 2 Amounts
45 2019–2020
were created REPORT

CASH & CASH
Pinebridge EQUIVALENTS
GTAAN Total 494,552 494,552
General
WellingtonAssembly
Alt BetaCombined Receivables ($ 56,5940 ($ 56,5940
Judges Combined
Wellington Alt Beta Total Cash 6,627
56,594 6,626
56,594
National GuardTotal
ALTERNATIVE Combined Cash ($ 4,694
565,954 ($ 4,693
565,953
National GuardAccrued
ALTERNATIVE Combined Receivables 0 0
1
ALTERNATIVE
Police Combined Net Cash 40,304 ($ 565,954
40,300
Retirement
Asset Class Combined Cash
Type Cost 162,141 162,124
Market Value
Retirement Combined
RESIDUAL ASSETS Receivables 18 18
SCRS
Algert- Glb
Internal
ISCP Cash ($ 1,616,231
(143) ($ 1,616,121
(143)
SCRS
Algert- Glb
Internal
ISCP Receivables
Payables 109
(20) 109
(20)
SCRS
AlgertResidual
Glb ISCPAssets Cash
Receivables 1,1200 (0)
1,123
SCRS
AlgertResidual
Glb ISCPAssets
Total Receivables 216,868
957 216,893
959
CASH & CASH
AQR Global EQUIVALENTS Total
Enhanced Cash ($ 2,379,125
188 ($ 2,379,017
187
CASH & CASH
AQR Global EQUIVALENTS Accrued
Enhanced Receivables 3,108 133
3,146
CASH & CASH
AQR Global EQUIVALENTS
Enhanced Total Net 3,297 ($ 2,379,150
3,334
Asset Class
Barings US High Yield Type
Cash ($ Cost 1 ($ Market Value 1
SHORT
BaringsDURATION
US High Yield Total 1 1
BLACKROCKSAF
Blackstone SHORT
II Lp DURA Payables
Receivables ($ (11,125)
3,963 ($ (11,125)
3,963
BLACKROCKSAF
Blackstone SHORT
II LpDURA
Total Receivables 8,954
3,963 8,954
3,963
BLACKROCK SHORT DURA Total 80,153 80,173
De Shaw World Enhanced Cash ($ 177 ($ 176
Penn
De Ltd World
Shaw Term HYEnhanced Cash
Payables ($ 8,219
(0) ($ 8,219
(0)
Penn
De Ltd World
Shaw Term HYEnhanced Receivables 2,827
2,704 2,827
2,701
Penn
De Ltd World
Shaw Term HY Total Total
Enhanced 11,046
2,881 11,046
2,878
SHORTGlobal
Intech DURATION
Eq SmaTotal Cash ($ 91,199
52 ($ 91,219
52
SHORTGlobal
Intech DURATION
Eq SmaAccrued Payables (72) (1)
(72)
SHORTGlobal
Intech DURATION
Eq SmaNet Receivables 2,204 ($ 91,218
2,227
Intech Global Eq Sma Total 2,184 2,207
FIXEDNumeric
Man INCOMEISCP Cash ($ 244 ($ 244
Ashmore
Man External
Numeric ISCPDebt Cash
1,073 ($ 1,042
1,073
Man Numeric
Ashmore ISCPDebt
External Total Payables 1,318
(4,964) 1,317
(4,934)
AshmoreStanley
Morgan External Debt Total
GTAAN Receivables ($ 5,639
25,622 ($ 5,668
25,622
Morgan Stanley GTAAN Total 25,622 25,622
Pyramis Small
BARINGS MULTIC SECTOR Cash
Payables ($ -)
(6,773) ($ (0)
(6,773)
Pyramis Small
BARINGS MULTIC SECTOR Receivables 0
1,922 1,9220
Pyramis Small
BARINGS MULTI C Total
SECTOR Total 0
3,944 3,943-
RUSS SM CAP
Blackrock CorePASS TRA Cash
Receivables ($ 2,7767 ($ 2,7756
Blackrock
RUSS CorePASS
SM CAP Total
TRA Payables 7
(7) 6
(7)
RUSS SM CAP PASS TRA Receivables 230 229
RUSS SM CAP
Goldentree PASS TRA Total
Credit Cash ($ 2,999 ($
63,373 2,997
63,602
Russel Int Small
Goldentree Cap Transition
Credit Cash
Receivables ($ 118 ($
214,859 118
214,877
Goldentree
Russel Credit
Int Small CapTotal
Transition Payables 46,109
(3) 45,477
(3)
Russel Int Small Cap Transition Receivables 661 662
1Appendices A-J were created using data as of June 30, 2020 provided by the Custodian. All figures are in U.S. Dollars. 2
RETIREMENT

CASH &Int
Russel CASH EQUIVALENTS
Small Cap Transition Total 776 777
General Assembly
Russell Global Combined
Equity Transition Receivables
Cash ($ 0
5 ($ 0
5
Judges Combined
Russell Global Equity Transition Cash
Receivables 6,627
115 6,626
116
Judges Combined
Russell Global Equity Transition Total Receivables 1201 1211
National Guard Combined Cash 4,694 4,693
National GLOBAL
RUSSELL Guard Combined
TRANS Receivables
Cash ($ 2,8900 ($ 2,8890
Police Combined
RUSSELL GLOBAL TRANS Cash
Payables 40,304
(0) 40,300
(0)
Police Combined
RUSSELL GLOBAL TRANS Receivables 9694 9674
Retirement
RUSSELL Combined
GLOBAL TRANS Total Cash 162,141
3,859 162,124
3,856
Retirement Combined Receivables 18 18
SCRS - Internal
Russell Other Opportunistic Cash ($ 1,616,2317 ($ 1,616,1216
SCRS - Internal
Russell Other Opportunistic Receivables 109
46 109
47
SCRS Residual
Russell Assets
Other Opportunistic Total Cash 530 (0)
53
SCRS Residual Assets Receivables 216,868 216,893
Strategic
Russell Partnership
SM/MID CAP Transition Cash ($ 328,841
(0) ($ 328,841
(0)
CASH &SM/MID
Russell CASH EQUIVALENTS Total
CAP Transition Receivables ($ 2,379,1250 ($ 2,379,0170
CASH & CASH EQUIVALENTS Accrued
Russell SM/MID CAP Transition Total 0 1330
CASH & CASH EQUIVALENTS Net ($ 2,379,150
RESIDUAL ASSETS Total ($ 48,030 ($ 48,085
Asset ClassASSETS Accrued
RESIDUAL Type Cost Market Value 3
SHORT DURATION
RESIDUAL ASSETS Net ($ 48,087
BLACKROCK
Asset Class SHORT DURA Payables
Type Cost (11,125) (11,125)
Market Value
OVERLAY SHORT DURA
BLACKROCK Receivables 8,954 8,954
BLACKROCK
Russell SHORT DURA Total
- Overlay Cash ($ 80,153
862,437 ($ 80,173
862,371
Russell - Overlay Payables (650,686) (650,538)
Penn Ltd
Russell Term HY
- Overlay Cash
654,982 ($ 8,219
646,632
Penn Ltd- Overlay
Russell Term HYTotal Receivables 2,827
866,733 2,827
858,466
OVERLAY Total ($ 866,733 ($ 858,466
SHORT
OVERLAY DURATION
Accrued Total ($ 91,199 ($ 91,219
88
SHORT
OVERLAY DURATION
Net Accrued ($ (1)
858,553
SHORT DURATION Net ($ 91,218
Total Cash and Short Term Investments ($ 2,534,799 ($ 2,529,404
FIXED INCOME
Ashmore External Debt Cash ($ 1,045 ($ 1,042
Ashmore External Debt Total 5,639 5,668

BARINGS MULTI SECTOR Total 3,944 3,943

Blackrock Core Total 7 6
Goldentree Credit Cash ($ 63,373 ($ 63,602

47 2019–2020
were created REPORT
Appendix C: Short Duration
Issuer Price Coupon Rate Maturity Date Shares Book Value Market Value
Short Duration
ADT SECURITY CORP/THE ($ 100.25) ( 4.13) 6/15/2023 1,000 ($ 1,025 ($ 1,001
ADT SECURITY CORP/THE ( 102.50) ( 6.25) 10/15/2021 6,007 6,369 6,078
ADVANCED MICRO DEVICES INC ( 110.50) ( 7.50) 8/15/2022 3,787 4,293 4,077
AERCAP IRELAND CAPITAL DAC / A ( 101.13) ( 5.00) 10/1/2021 1,000 1,015 999
AIR LEASE CORP ( 100.58) ( 3.88) 4/1/2021 1,178 1,146 1,173
ALBERTSONS COS INC / SAFE 144A ( 101.25) ( 3.50) 2/15/2023 1,975 1,906 1,972
AMC NETWORKS INC ( 99.75) ( 4.75) 12/15/2022 2,388 2,319 2,377
AMERICAN HONDA FINANCE CORP ( 101.13) ( 1.65) 7/12/2021 2,994 2,938 3,005
ANIXTER INC ( 105.26) ( 5.13) 10/1/2021 2,005 2,048 2,085
ASURION 7/17 TLB4 ( 97.17) ( - ) 8/4/2022 1,387 1,390 1,347
ATHENE GLOBAL FUNDING 144A ( 102.43) ( 3.00) 7/1/2022 12,308 12,146 12,424
ATHENE GLOBAL FUNDING 144A ( 103.49) ( 4.00) 1/25/2022 800 788 814
AVON INTERNATIONAL CAPITA 144A ( 98.00) ( 6.50) 8/15/2022 550 571 525
AVON INTERNATIONAL OPERAT 144A ( 100.15) ( 7.88) 8/15/2022 100 104 97
BALL CORP ( 103.91) ( 5.00) 3/15/2022 1,482 1,541 1,518
BANK OF AMERICA CORP ( 100.41) ( 2.33) 10/1/2021 5,700 5,677 5,690
CARNIVAL CORP ( 98.86) ( 3.95) 10/15/2020 756 739 741
CENTENE CORP ( 101.13) ( 4.75) 5/15/2022 672 665 675
CENTURYLINK INC ( 102.27) ( 6.45) 6/15/2021 4,124 4,288 4,206
CENTURYLINK INC ( 102.75) ( 5.80) 3/15/2022 2,051 2,165 2,072
CIT GROUP INC ( 100.00) ( 4.13) 3/9/2021 1,064 1,068 1,050
CITIBANK NA ( 100.17) ( 0.98) 5/20/2022 9,800 9,304 9,805
COGENT COMMUNICATIONS GRO 144A ( 102.88) ( 5.38) 3/1/2022 3,050 3,113 3,083
COMMERCIAL METALS CO ( 100.75) ( 4.88) 5/15/2023 1,302 1,335 1,304
COMMSCOPE INC 144A ( 100.00) ( 5.00) 6/15/2021 156 157 156
CORECIVIC INC ( 98.00) ( 5.00) 10/15/2022 3,441 3,445 3,336
CROWN AMERICAS LLC / CROWN AME ( 102.50) ( 4.50) 1/15/2023 4,058 4,166 4,075
CSC HOLDINGS LLC ( 104.97) ( 6.75) 11/15/2021 4,420 4,691 4,602
DAE FUNDING LLC 144A ( 99.25) ( 4.00) 8/1/2020 3,095 3,078 3,020
DALLAS TX WTRWKS & SWR SYS REV ( 100.03) ( 0.46) 10/1/2021 895 895 895
DELL INTERNATIONAL LLC / 144A ( 100.03) ( 5.88) 6/15/2021 3,110 3,093 3,103
DELPHI 3/13 TLA ( 90.00) ( - ) 8/17/2021 773 773 695
DELTA AIR LINES INC ( 97.25) ( 3.40) 4/19/2021 2,105 2,063 2,033
DISH DBS CORP ( 101.68) ( 5.88) 7/15/2022 2,275 2,367 2,252
DISH DBS CORP ( 101.88) ( 6.75) 6/1/2021 2,932 3,043 2,970
EDGEWELL PERSONAL CARE CO ( 103.50) ( 4.70) 5/24/2022 2,037 2,093 2,098
ENCOMPASS HEALTH CORP ( 100.50) ( 5.13) 3/15/2023 2,430 2,406 2,405
FEDERAL FARM CR BK CONS BD ( 100.03) ( 0.41) 6/9/2023 4,000 4,000 4,000
FEDERAL HOME LN MTG CORP ( 99.84) ( 0.25) 6/26/2023 5,401 5,385 5,392
FOOT LOCKER INC ( 104.00) ( 8.50) 1/15/2022 2,791 3,099 2,793
FORD CREDIT AUTO OWNER TR B A2 ( 100.03) ( 0.50) 2/15/2023 1,610 1,610 1,610
FORD MOTOR CO ( 105.75) ( 8.50) 4/21/2023 440 460 458
FORD MOTOR CREDIT CO LLC ( 95.85) ( 2.98) 8/3/2022 854 828 808
FORD MOTOR CREDIT CO LLC ( 99.91) ( 5.09) 1/7/2021 2,000 2,009 1,949
GENERAL MOTORS CO ( 99.98) ( 1.27) 8/7/2020 1,600 1,574 1,596
GENERAL MOTORS FINANCIAL CO IN ( 101.21) ( 3.55) 4/9/2021 903 898 907
GENERAL MOTORS FINANCIAL CO IN ( 102.55) ( 4.20) 11/6/2021 2,300 2,269 2,344
GLOBAL SHIP LEASE INC 144A ( 93.67) ( 9.88) 11/15/2022 1,254 1,314 1,159
RETIREMENT
Short Duration
GOODYEAR TIRE & RUBBER CO/THE ( 100.58) ( 8.75) 8/15/2020 1,008 1,126 981
ADT
GREATSECURITY CORP/THE
LAKES DREDGE & DOCK CORP ($
( 100.25)
102.50) ( 4.13)
8.00) 6/15/2023
5/15/2022 1,000
1,300 ($ 1,025
1,362 ($ 1,001
1,319
ADT
HONDASECURITY CORP/THE 20 2 A2
AUTO RECEIVABLES ( 102.50)
100.30) ( 6.25)
0.74) 10/15/2021
11/15/2022 6,007
950 6,369
950 6,078
953
ADVANCED
HUGHES SATELLITEMICRO DEVICES
SYSTEMSINC CORP ( 110.50)
103.00) ( 7.50)
7.63) 8/15/2022
6/15/2021 3,787
4,174 4,293
4,485 4,077
4,285
AERCAP IRELAND CAPITAL
ICAHN ENTERPRISES DAC /EA
LP / ICAHN ( 101.13)
100.25) ( 5.00)
6.25) 10/1/2021
2/1/2022 1,000
2,492 1,015
2,544 999
2,433
AIR LEASE CORP LEASE FINANCE CO
INTERNATIONAL ( 100.58)
107.43) ( 3.88)
8.63) 4/1/2021
1/15/2022 1,178
1,019 1,146
1,158 1,173
1,054
ALBERTSONS
ISTAR INC COS INC / SAFE 144A ( 101.25)
97.00) ( 3.50)
5.25) 2/15/2023
9/15/2022 1,975
267 1,906
264 1,972
255
AMC NETWORKS
JOHN DEERE CAPITAL INC CORP ( 99.75)
100.25) ( 4.75)
0.70) 12/15/2022
3/7/2022 2,388
6,000 2,319
5,741 2,377
6,012
AMERICAN
JPMORGANHONDA CHASE & FINANCE
CO CORP ( 101.13)
100.51) ( 1.65)
2.55) 7/12/2021
10/29/2020 2,994
3,500 2,938
3,493 3,005
3,502
AMERICAN
JPMORGANHONDA CHASE & FINANCE
CO CORP ( 101.42)
104.36) ( 1.70)
4.35) 9/9/2021
8/15/2021 6,250
3,000 6,128
3,045 6,306
3,081
ANIXTER
KB HOMEINC ( 105.26)
104.56) ( 5.13)
7.00) 10/1/2021
12/15/2021 2,005
955 2,048
1,033 2,085
996
KB HOME 7/17 TLB4
ASURION ( 109.00)
97.17) ( 7.50)
- ) 9/15/2022
8/4/2022 4,283
1,387 4,838
1,390 4,574
1,347
L BRANDSGLOBAL
ATHENE INC FUNDING 144A ( 97.75)
102.43) ( 5.63)
3.00) 2/15/2022
7/1/2022 1,573
12,308 1,577
12,146 1,504
12,424
LENNAR CORP FUNDING 144A
ATHENE GLOBAL ( 100.11)
103.49) ( 2.95)
4.00) 11/29/2020
1/25/2022 1,450
800 1,444
788 1,448
814
LENNAR CORP
AVON INTERNATIONAL CAPITA 144A ( 103.13)
98.00) ( 8.38)
6.50) 1/15/2021
8/15/2022 2,863
550 3,088
571 2,842
525
MACY'SINTERNATIONAL
AVON RETAIL HOLDINGS LLC 144A
OPERAT ( 94.50)
100.15) ( 3.45)
7.88) 1/15/2021
8/15/2022 2,192
100 2,140
104 2,037
97
MAGNACHIP
BALL CORP SEMICONDUCTOR CORP ( 99.00)
103.91) ( 6.63)
5.00) 7/15/2021
3/15/2022 534
1,482 534
1,541 512
1,518
MARRIOTT
BANK OF AMERICAINTERNATIONAL
CORP INC/MD ( 99.55)
100.41) ( 0.95)
2.33) 12/1/2020
10/1/2021 755
5,700 742
5,677 751
5,690
MARRIOTT
CORP INC/MD ( 99.95)
101.11) ( 3.38)
2.74) 10/15/2020
1/23/2022 538
6,355 534
6,295 534
6,349
MARRIOTT
CARNIVAL CORP INTERNATIONAL INC/MD ( 100.50)
98.86) ( 2.88)
3.95) 3/1/2021
10/15/2020 1,086
756 1,078
739 1,081
741
MERITAGE
CENTENE CORP HOMES CORP ( 105.25)
101.13) ( 7.00)
4.75) 4/1/2022
5/15/2022 1,633
672 1,786
665 1,690
675
MGM RESORTSINC
CENTURYLINK INTERNATIONAL ( 102.00)
102.27) ( 7.75)
6.45) 3/15/2022
6/15/2021 7,832
4,124 8,695
4,288 7,810
4,206
MOLINA
CENTURYLINKHEALTHCARE
INC INC ( 102.00)
102.75) ( 5.38)
5.80) 11/15/2022
3/15/2022 3,162
2,051 3,296
2,165 3,204
2,072
NAVIENT
CIT GROUP CORP
INC ( 99.59)
100.00) ( 5.00)
4.13) 10/26/2020
3/9/2021 3,241
1,064 3,192
1,068 3,198
1,050
NBCUNIVERSAL
CITIBANK NA ENTERPRISE I 144A ( 100.20)
100.17) ( 0.70)
0.98) 4/1/2021
5/20/2022 7,725
9,800 7,488
9,304 7,704
9,805
NCR CORP
COGENT COMMUNICATIONS GRO 144A ( 99.88)
102.88) ( 5.00)
5.38) 7/15/2022
3/1/2022 1,720
3,050 1,735
3,113 1,678
3,083
NETFLIX
COMMERCIALINC METALS CO ( 102.25)
100.75) ( 5.38)
4.88) 2/1/2021
5/15/2023 1,175
1,302 1,222
1,335 1,175
1,304
NETFLIX
COMMSCOPE INC INC 144A ( 104.28)
100.00) ( 5.50)
5.00) 2/15/2022
6/15/2021 5,152
156 5,342
157 5,312
156
NEW YORK INC
CORECIVIC ST URBAN DEV CORP REV ( 100.21)
98.00) ( 0.72)
5.00) 3/15/2023
10/15/2022 895
3,441 895
3,445 897
3,336
NIELSEN FINANCE LLC
CROWN AMERICAS LLC/ /NIE 144A AME
CROWN ( 99.65)
102.50) ( 5.00)
4.50) 4/15/2022
1/15/2023 4,351
4,058 4,325
4,166 4,290
4,075
NISSAN MOTORLLC
CSC HOLDINGS ACCEPTANCE C 144A ( 99.98)
104.97) ( 2.15)
6.75) 7/13/2020
11/15/2021 4,665
4,420 4,651
4,691 4,617
4,602
NORBORD
DAE FUNDING INC LLC
144A 144A ( 105.02)
99.25) ( 6.25)
4.00) 4/15/2023
8/1/2020 660
3,095 668
3,078 684
3,020
NORTHERN
DALLAS TX WTRWKSNATURAL&GAS SWRCOSYS144A
REV ( 101.91)
100.03) ( 4.25)
0.46) 6/1/2021
10/1/2021 4,000
895 4,048
895 4,062
895
NORTONLIFELOCK
DELL INTERNATIONAL INCLLC / 144A ( 100.10)
100.03) ( 4.20)
5.88) 9/15/2020
6/15/2021 3,577
3,110 3,621
3,093 3,536
3,103
OLIN
DELPHICORP
3/13 TLA (( 100.75)
90.00) (( 5.50)
- ) 8/15/2022
8/17/2021 833
773 839
773 822
695
ONEMAIN
DELTA AIR FINANCE
LINES INCCORP (( 101.84)
97.25) (( 6.13)
3.40) 5/15/2022
4/19/2021 1,570
2,105 1,687
2,063 1,587
2,033
ONEMAIN
DISH DBS CORPFINANCE CORP (( 103.30)
101.68) (( 8.25)
5.88) 12/15/2020
7/15/2022 3,216
2,275 3,488
2,367 3,310
2,252
OPPENHEIMER
DISH DBS CORPHOLDINGS INC (( 101.69)
101.88) (( 6.75)
6.75) 7/1/2022
6/1/2021 1,109
2,932 1,144
3,043 1,090
2,970
OWENS-BROCKWAY
EDGEWELL PERSONAL GLASS
CARECONT
CO 144A (( 100.12)
103.50) (( 5.00)
4.70) 1/15/2022
5/24/2022 156
2,037 161
2,093 151
2,098
PENSKE
ENCOMPASSAUTOMOTIVE
HEALTH CORP GROUP INC (( 99.97)
100.50) (( 3.75)
5.13) 8/15/2020
3/15/2023 1,320
2,430 1,320
2,406 1,301
2,405
PETSMART
FEDERAL FARM 9/16CR TLBBK CONS BD ( 98.53)
100.03) ( - )
0.41) 3/11/2022
6/9/2023 1,006
4,000 1,007
4,000 989
4,000
FEDERAL HOME LN PRODUCT
PHARMACEUTICAL MTG CORP3/18 ( 99.84)
98.66) ( 0.25)
- ) 6/26/2023
8/18/2022 5,401
1,831 5,385
1,826 5,392
1,806
FEDERAL HOME
QUALCOMM INCLN MTG CORP ( 99.95)
104.49) ( 0.30)
3.00) 6/30/2022
5/20/2022 6,000
4,700 6,000
4,758 5,997
4,895
FOOTINC
QVC LOCKER INC ( 104.00)
100.98) ( 8.50)
5.13) 1/15/2022
7/2/2022 2,791
2,204 3,099
2,241 2,793
2,169
FORD CREDIT
RELIANCE AUTO OWNER
STANDARD LIFE GLTR B A2
144A ( 100.03)
102.72) ( 0.50)
2.63) 2/15/2023
7/22/2022 1,610
8,400 1,610
8,443 1,610
8,531
FORD MOTOR
REYNOLDS GROUPCO ISSUER INC 144A ( 105.75)
99.25) ( 8.50)
3.78) 4/21/2023
7/15/2021 440
4,298 460
4,221 458
4,222
FORD MOTOR
ROYAL CARIBBEAN CREDIT CO LLCLTD
CRUISES ( 95.85)
77.80) ( 2.98)
5.25) 8/3/2022
11/15/2022 854
1,294 828
1,161 808
998
FORDCOMMUNICATIONS
SBA MOTOR CREDIT COCORP LLC ( 98.97)
101.00) ( 3.34)
4.00) 3/18/2021
10/1/2022 400
873 389
857 392
873
FORD
SEALED MOTOR
AIR CORP CREDIT
144ACO LLC ( 99.91)
102.75) ( 5.09)
4.88) 1/7/2021
12/1/2022 2,000
2,350 2,009
2,389 1,949
2,405
FORD
SERVICEMOTOR
CORP CREDIT CO LLC
INTERNATIONAL/US ( 100.97)
106.00) ( 5.88)
8.00) 8/2/2021
11/15/2021 949
165 988
176 935
173
GENERAL MOTORS COTRUST
SERVICE PROPERTIES ( 99.98)
98.20) ( 1.27)
5.00) 8/7/2020
8/15/2022 1,600
3,610 1,574
3,598 1,596
3,477
GENERAL
SIRIUS XMMOTORS
RADIO INC FINANCIAL
144A CO IN ( 101.21)
100.76) ( 3.55)
3.88) 4/9/2021
8/1/2022 903
3,338 898
3,309 907
3,310
GENERAL
SLM CORPMOTORS FINANCIAL CO IN ( 102.55)
99.00) ( 4.20)
5.13) 11/6/2021
4/5/2022 2,300
1,203 2,269
1,245 2,344
1,176
GLOBAL
SPIRIT SHIP LEASE INC
AEROSYSTEMS INC144A ( 93.67)
93.13) ( 9.88)
1.11) 11/15/2022
6/15/2021 1,254
1,073 1,314
1,019 1,159
999
SPRINT COMMUNICATIONS INC ( 100.41) ( 7.00) 8/15/2020 5,244 5,612 5,127
49 2019–2020
were created REPORT
Short
SPRINTDuration
COMMUNICATIONS INC ( 105.47) ( 6.00) 11/15/2022 3,118 3,367 3,265
ADT SECURITY
SPRINT CORP CORP/THE ($
( 100.25)
104.84) ( 4.13)
7.25) 6/15/2023
9/15/2021 1,000
1,960 ($ 1,025
2,090 ($ 1,001
2,013
ADT SECURITY
STARWOOD CORP/THE
PROPERTY TRUST INC ( 102.50)
98.25) ( 6.25)
3.63) 10/15/2021
2/1/2021 6,007
1,203 6,369
1,195 6,078
1,164
ADVANCED
TEEKAY CORPMICRO
144A DEVICES INC ( 110.50)
96.00) ( 7.50)
9.25) 8/15/2022
11/15/2022 3,787
645 4,293
676 4,077
612
AERCAP
TEVA IRELAND CAPITALFINANCE
PHARMACEUTICAL DAC / A CO ( 101.13)
96.50) ( 5.00)
2.95) 10/1/2021
12/18/2022 1,000
695 1,015
675 999
670
AIR LEASE
TEVA CORP
PHARMACEUTICAL FINANCE IV ( 100.58)
99.90) ( 3.88)
3.65) 4/1/2021
11/10/2021 1,178
1,090 1,146
1,075 1,173
1,083
ALBERTSONS
TEVA COS INC / SAFE
PHARMACEUTICAL 144A NE
FINANCE ( 101.25)
97.96) ( 3.50)
2.20) 2/15/2023
7/21/2021 1,975
1,345 1,906
1,304 1,972
1,304
AMC NETWORKS
TREEHOUSE INCINC
FOODS ( 99.75)
100.00) ( 4.75)
4.88) 12/15/2022
3/15/2022 2,388
1,992 2,319
1,980 2,377
1,963
AMERICAN HONDA
UNITEDHEALTH FINANCE
GROUP INC CORP ( 101.13)
100.27) ( 1.65)
3.88) 7/12/2021
10/15/2020 2,994
4,625 2,938
4,643 3,005
4,599
AMERICAN HONDA
VIDEOTRON LTD FINANCE CORP ( 101.42)
103.25) ( 1.70)
5.00) 9/9/2021
7/15/2022 6,250
2,222 6,128
2,116 6,306
2,243
ANIXTER INC CNTY OR SCH DIST #4
WASHINGTON ( 105.26)
100.03) ( 5.13)
0.45) 10/1/2021
6/15/2022 2,005
1,000 2,048
1,000 2,085
1,000
WELLS
ASURION FARGO
7/17 & CO
TLB4 ( 100.30)
97.17) ( 1.38)
- ) 2/11/2022
8/4/2022 6,400
1,387 6,188
1,390 6,407
1,347
WELLS
ATHENEFARGO
GLOBAL& CO
FUNDING 144A ( 104.74)
102.43) ( 3.50)
3.00) 3/8/2022
7/1/2022 4,000
12,308 4,050
12,146 4,146
12,424
WR GRACE
ATHENE & CO-CONN
GLOBAL FUNDING144A144A ( 105.33)
103.49) ( 5.13)
4.00) 10/1/2021
1/25/2022 1,471
800 1,502
788 1,531
814
WYNDHAM DESTINATIONS
AVON INTERNATIONAL INC 144A
CAPITA ( 98.27)
98.00) ( 4.25)
6.50) 3/1/2022
8/15/2022 3,356
550 3,348
571 3,250
525
WYNDHAM DESTINATIONS
AVON INTERNATIONAL INC 144A
OPERAT ( 99.00)
100.15) ( 5.63)
7.88) 3/1/2021
8/15/2022 1,510
100 1,547
104 1,467
97
XEROX CORP
BALL CORP ( 99.85)
103.91) ( 4.13)
5.00) 3/15/2023
3/15/2022 1,008
1,482 1,005
1,541 994
1,518
XEROX
BANK OF CORP
AMERICA CORP ( 100.78)
100.41) ( 4.50)
2.33) 5/15/2021
10/1/2021 1,727
5,700 1,751
5,677 1,730
5,690
Short
BANK Duration
OF AMERICA CORP ( 101.11) ( 2.74) 1/23/2022 321,200
6,355 ($ 325,625
6,295 ($ 321,621
6,349
Short Duration
CARNIVAL CORPReceivables ( 98.86) ( 3.95) 10/15/2020 756 739 3,574
741
Total Short
CENTENE Duration
CORP ( 101.13) ( 4.75) 5/15/2022 672 665 ($ 325,195
675
CENTURYLINK INC ( 102.27) ( 6.45) 6/15/2021 4,124 4,288 4,206
CENTURYLINK INC ( 102.75) ( 5.80) 3/15/2022 2,051 2,165 2,072
CIT GROUP INC ( 100.00) ( 4.13) 3/9/2021 1,064 1,068 1,050
CITIBANK NA ( 100.17) ( 0.98) 5/20/2022 9,800 9,304 9,805
COGENT COMMUNICATIONS GRO 144A ( 102.88) ( 5.38) 3/1/2022 3,050 3,113 3,083
COMMERCIAL METALS CO ( 100.75) ( 4.88) 5/15/2023 1,302 1,335 1,304
COMMSCOPE INC 144A ( 100.00) ( 5.00) 6/15/2021 156 157 156
CORECIVIC INC ( 98.00) ( 5.00) 10/15/2022 3,441 3,445 3,336
CROWN AMERICAS LLC / CROWN AME ( 102.50) ( 4.50) 1/15/2023 4,058 4,166 4,075
CSC HOLDINGS LLC ( 104.97) ( 6.75) 11/15/2021 4,420 4,691 4,602
DAE FUNDING LLC 144A ( 99.25) ( 4.00) 8/1/2020 3,095 3,078 3,020
DALLAS TX WTRWKS & SWR SYS REV ( 100.03) ( 0.46) 10/1/2021 895 895 895
DELL INTERNATIONAL LLC / 144A ( 100.03) ( 5.88) 6/15/2021 3,110 3,093 3,103
DELPHI 3/13 TLA ( 90.00) ( - ) 8/17/2021 773 773 695
DELTA AIR LINES INC ( 97.25) ( 3.40) 4/19/2021 2,105 2,063 2,033
DISH DBS CORP ( 101.68) ( 5.88) 7/15/2022 2,275 2,367 2,252
DISH DBS CORP ( 101.88) ( 6.75) 6/1/2021 2,932 3,043 2,970
EDGEWELL PERSONAL CARE CO ( 103.50) ( 4.70) 5/24/2022 2,037 2,093 2,098
ENCOMPASS HEALTH CORP ( 100.50) ( 5.13) 3/15/2023 2,430 2,406 2,405
FEDERAL FARM CR BK CONS BD ( 100.03) ( 0.41) 6/9/2023 4,000 4,000 4,000
FOOT LOCKER INC ( 104.00) ( 8.50) 1/15/2022 2,791 3,099 2,793
FORD CREDIT AUTO OWNER TR B A2 ( 100.03) ( 0.50) 2/15/2023 1,610 1,610 1,610
FORD MOTOR CO ( 105.75) ( 8.50) 4/21/2023 440 460 458
FORD MOTOR CREDIT CO LLC ( 99.91) ( 5.09) 1/7/2021 2,000 2,009 1,949
GENERAL MOTORS CO ( 99.98) ( 1.27) 8/7/2020 1,600 1,574 1,596
GENERAL MOTORS FINANCIAL CO IN ( 101.21) ( 3.55) 4/9/2021 903 898 907
GENERAL MOTORS FINANCIAL CO IN ( 102.55) ( 4.20) 11/6/2021 2,300 2,269 2,344
GLOBAL SHIP LEASE INC 144A ( 93.67) ( 9.88) 11/15/2022 1,254 1,314 1,159
RETIREMENT
Appendix D: Fixed Income Investments
Core Fixed Income
ABBVIE INC 144A ($ 104.01) ( 3.45) 3/15/2022 3,600 ($ 3,744 ($ 3,708
ABBVIE INC 144A ( 104.80) ( 3.25) 10/1/2022 1,100 1,149 1,144
ABBVIE INC 144A ( 106.16) ( 2.60) 11/21/2024 1,800 1,798 1,906
ABBVIE INC 144A ( 108.77) ( 2.95) 11/21/2026 1,900 1,898 2,060
ACCREDITED MORTGAGE LOAN 4 A2D ( 96.16) ( 0.87) 1/25/2035 1,487 1,495 1,430
ACE SECURITIES CORP HO HE1 A2A ( 72.89) ( 0.26) 1/25/2037 2,708 1,299 1,974
ADAMS MILL CLO LTD 1A A1R 144A ( 99.72) ( 1.38) 7/15/2026 850 850 843
AIA GROUP LTD REGS ( 103.96) ( 3.13) 3/13/2023 2,000 2,034 2,061
ALLY MASTER OWNER TRUST 3 A ( 99.99) ( 0.50) 7/15/2022 1,400 1,400 1,400
ALTERNATIVE LOAN TRUST 46CB A9 ( 85.56) ( 5.50) 10/25/2035 2,328 2,021 1,981
ALTERNATIVE LOAN TRUST J13 2A3 ( 83.42) ( 5.50) 11/25/2035 1,352 1,037 1,122
AMEREN CORP ( 105.97) ( 2.50) 9/15/2024 1,800 1,799 1,894
AMERICAN AIRLINES 2016-2 CLASS ( 81.46) ( 3.65) 12/15/2029 2,246 1,539 1,826
AMERICAN HOMES 4 RENT LP ( 106.95) ( 4.25) 2/15/2028 1,600 1,591 1,685
AMERICAN TOWER CORP ( 108.57) ( 3.38) 5/15/2024 2,200 2,193 2,379
AMERICAN WATER CAPITAL CORP ( 114.54) ( 3.45) 6/1/2029 500 499 571
ANHEUSER-BUSCH INBEV WORLDWIDE ( 113.91) ( 4.35) 6/1/2040 1,700 1,699 1,918
AT&T INC ( 100.51) ( 1.10) 6/1/2021 2,000 2,000 2,008
AT&T INC ( 100.82) ( 1.23) 7/15/2021 2,300 2,300 2,308
AT&T INC ( 116.60) ( 4.35) 3/1/2029 1,800 1,791 2,073
AURIUM CLO II DAC 2A AR 144A ( 110.99) ( 0.68) 10/13/2029 900 1,047 997
AUTO ABS 2012-2 SRL 2 A REGS ( - ) ( 2.80) 4/27/2025 - - -
AUTO ABS COMPARTIM 12-2 A REGS ( - ) ( 2.80) 4/27/2025 - - -
AVALONBAY COMMUNITIES INC ( 111.54) ( 3.45) 6/1/2025 3,200 3,194 3,560
AVANGRID INC ( 107.96) ( 3.15) 12/1/2024 1,700 1,702 1,831
AVANGRID INC ( 115.77) ( 3.80) 6/1/2029 2,100 2,274 2,424
BANC OF AMERICA ALTERNA 7 2CB1 ( 96.97) ( 6.00) 8/25/2035 1,840 1,722 1,775
BANC OF AMERICA FUNDING 7 1A1 ( 82.03) ( 0.62) 9/25/2036 2,579 1,730 2,115
BANC OF AMERICA FUNDING A 1A1 ( 93.95) ( 4.18) 2/20/2036 142 125 132
BANK OF AMERICA CORP ( 99.67) ( 1.12) 3/5/2024 900 894 896
BANKUNITED TRUST 2005-1 1 1A1 ( 94.56) ( 0.77) 9/25/2045 134 115 127
BARCLAYS BANK PLC ( 108.88) ( 7.63) 11/21/2022 2,100 2,289 2,269
BARCLAYS PLC ( 101.54) ( 2.56) 8/10/2021 2,200 2,222 2,226
BARCLAYS PLC ( 103.78) ( 3.68) 1/10/2023 2,700 2,700 2,755
BARCLAYS PLC ( 107.72) ( 4.34) 5/16/2024 1,700 1,690 1,822
BAYER US FINANCE II LLC 144A ( 99.69) ( 1.32) 12/15/2023 2,100 2,100 2,092
BEAR STEARNS ARM TRUST 1 12A5 ( 94.60) ( 3.83) 4/25/2034 634 630 598
BEAR STEARNS ARM TRUST 2 8 1A1 ( 92.04) ( 4.00) 1/25/2034 3 3 3
BNP PARIBAS SA 144A ( 105.85) ( 3.50) 3/1/2023 1,700 1,696 1,780
BOSTON PROPERTIES LP ( 104.52) ( 2.90) 3/15/2030 2,300 2,299 2,384
BROADCOM INC 144A ( 107.24) ( 3.46) 9/15/2026 1,513 1,550 1,617
CARLYLE FINANCE LLC 144A ( 120.82) ( 5.65) 9/15/2048 2,700 2,698 3,217
C-BASS 2007-CB5 TRUST CB5 A2 ( 74.41) ( 0.34) 4/25/2037 4,432 2,337 3,297
CCP_CDS. SP UL CITIGROUP INC. ( 0.29) ( 1.00) 12/20/2020 5,500 104 14
CCP_CDS. SP UL SIMON PROPERTY ( (0.51) ( 1.00) 6/20/2022 3,300 11 (18)
CCP_CDS._SP UL CITIGROUP INC. ( - ) ( - ) 12/20/2020 (5,500) (0) -
CCP_CDS._SP UL SIMON PROPERTY ( - ) ( - ) 6/20/2022 (3,300) (0) -
CCP_IRS. P JPY-LIBOR-BBA 6M CM ( (0.03) ( 0.04) 3/10/2038 61,000 0 (17)
51 2019–2020
were created REPORT
Core Fixed
CCP_IRS. Income
P JPY-LIBOR-BBA 6M CM ( (0.03) ( 0.04) 3/10/2038 61,000 0 (16)
ABBVIE
CCP_IRS.INC 144A
P USD-LIBOR-BBA 3M CM ($
( 104.01)
8.05)( 3.45)
2.80) 3/15/2022
8/22/2023 3,600 ($
15,800 3,7440 ($ 3,708
1,115
ABBVIE INC
CCP_IRS. 144A
R GBP-LIBOR-BBA 6M CM ( 104.80)
(2.77)( 3.25)
0.01) 10/1/2022
9/16/2050 1,100
1,300 1,1490 1,144
(36)
ABBVIE INC
CCP_IRS. 144A
R GBP-LIBOR-BBA 6M CM ( 106.16)
(2.77)( 2.60)
0.01) 11/21/2024
12/16/2050 1,800
6,100 1,7980 1,906
(169)
ABBVIE INC
CCP_IRS. 144A
R JPY-LIBOR-BBA 6M CM ( 108.77)
(0.09)( 2.95)
(0.04) 11/21/2026
3/20/2038 1,900
329,500 1,898
27 2,060
(296)
ACCREDITED
CCP_IRS. MORTGAGE LOAN
R JPY-LIBOR-BBA 6M CM 4 A2D ( 96.16)
(0.00)( 0.87)
(0.13) 1/25/2035
3/17/2031 1,487
22,210,000 1,495
129 1,430
(18)
ACE SECURITIES
CCP_IRS. CORP HO HE1
R USD-LIBOR-BBA 3MA2A CM ( 72.89)
(1.35) ( 0.26)
0.31) 1/25/2037
6/11/2021 2,708
56,300 1,2990 1,974
(770)
ADAMS MILLJPY-LIBOR-BBA
CCP_IRS._P CLO LTD 1A A1R 6M144A
CM (( 99.72)
- ) (( 1.38)
(0.11) 7/15/2026
3/10/2038 850
(122,000) 850
(0) 843
(0)
AIA GROUP LTD REGS
CCP_IRS._P USD-LIBOR-BBA 3M CM (( 103.96)
- ) (( 3.13)
0.37) 3/13/2023
8/22/2023 2,000
(15,800) 2,034
(0) 2,0617
CCP_IRS._R GBP-LIBOR-BBA 6M CM ( - ) ( 0.50) 9/16/2050 (1,300) (27) -
CCP_IRS._R GBP-LIBOR-BBA 6M CM ( - ) ( 0.50) 12/16/2050 (6,100) (234) -
CCP_IRS._R
AMEREN CORP JPY-LIBOR-BBA 6M CM (( - )
105.97) (( 0.25)
2.50) 3/17/2031
9/15/2024 (22,210,000)
1,800 (20)
1,799 1,894-
CCP_IRS._R JPY-LIBOR-BBA
AMERICAN AIRLINES 2016-26M CM
CLASS (( - )
81.46) (( 0.75)
3.65) 3/20/2038
12/15/2029 (329,500)
2,246 (0)
1,539 1,8266
CCP_IRS._R
AMERICAN HOMESUSD-LIBOR-BBA
4 RENT LP 3M CM ( - )
106.95) ( 1.70)
4.25) 6/11/2021
2/15/2028 (56,300)
1,600 (12)
1,591 53
1,685
CD 2016-CD2
AMERICAN MORTGAGE
HONDA FINANCE T CD2
CORPASB ( 106.95)
99.78) ( 3.35)
0.84) 11/10/2049
2/15/2022 2,700
3,800 2,781
3,800 2,880
3,787
CDS SP UL REPUBLIC
AMERICAN TOWER CORP OF COLOMBI ( 0.46)
108.57) ( 1.00)
3.38) 6/20/2021
5/15/2024 3,200
2,200 27
2,193 14
2,379
CDS SP UL REPUBLIC
AMERICAN OF SOUTH
WATER CAPITAL CORP A ( (6.71)
114.54) ( 1.00)
3.45) 6/20/2024
6/1/2029 1,700
500 499- (115)
571
CDS SP UL RUSSIANINBEV
ANHEUSER-BUSCH FEDERATION
WORLDWIDE ( (0.09)
113.91) ( 1.00)
4.35) 12/20/2024
6/1/2040 1,600
1,700 11
1,699 (2)
1,918
AT&T INC
CDS_SP UL REPUBLIC OF COLOMBI ( 100.51)
- ) ( 1.10)
- ) 6/1/2021
6/20/2021 2,000
(3,200) 2,000- 2,008-
AT&T INC
CDS_SP UL REPUBLIC OF SOUTH A ( 100.82)
- ) ( 1.23)
- ) 7/15/2021
6/20/2024 2,300
(1,700) 2,300
(67) 2,308-
AT&T INC
CDS_SP UL RUSSIAN FEDERATION (( 116.60)
- ) (( 4.35)
- ) 3/1/2029
12/20/2024 1,800
(1,600) 1,791- 2,073-
AURIUM CLO
CHARTER II DAC 2A AR 144A
COMMUNICATIONS OPERATI (( 110.99)
106.66) (( 0.68)
4.46) 10/13/2029
7/23/2022 900
700 1,047
714 997
733
AUTO ABS
CHASE 2012-2TRUST
FUNDING SRL 2 A REGS
SERI 1 2A2 ( - )
89.21) ( 2.80)
0.63) 4/27/2025
12/25/2033 -
1,729 1,689- 1,542-
AUTO ABSILCOMPARTIM 12-2 A REGS
CHICAGO ( - )
104.82) ( 2.80)
7.05) 4/27/2025
1/1/2029 -
2,000 2,000- 2,026-
AVALONBAY
CHICAGO IL COMMUNITIES INC ( 111.54)
107.67) ( 3.45)
7.75) 6/1/2025
1/1/2042 3,200
255 3,194
258 3,560
265
AVANGRID
CHL MORTGAGEINC PASS-THR HY10 1A1 ( 107.96)
84.34) ( 3.15)
4.00) 12/1/2024
2/20/2036 1,700
1,434 1,702
1,125 1,831
1,205
AVANGRID
CHL MORTGAGEINC PASS-THR HYB7 1A2 ( 115.77)
96.56) ( 3.80)
3.34) 6/1/2029
11/20/2034 2,100
672 2,274
554 2,424
647
BANC
CHL OF AMERICA
MORTGAGE ALTERNA 725
PASS-THROU 2CB1
2A1 ( 96.97)
89.56) ( 6.00)
0.85) 8/25/2035
2/25/2035 1,840
36 1,722
20 1,775
33
BANC OF AMERICA
CITIGROUP INC FUNDING 7 1A1 ( 82.03)
100.55) ( 0.62)
1.20) 9/25/2036
4/25/2022 2,579
2,800 1,730
2,800 2,115
2,805
BANC OF AMERICA
CITIGROUP INC FUNDING A 1A1 ( 93.95)
101.02) ( 4.18)
1.78) 2/20/2036
9/1/2023 142
600 125
598 132
605
BANK OF AMERICA
CITIGROUP INC CORP ( 99.67)
109.61) ( 1.12)
3.20) 3/5/2024
10/21/2026 900
1,800 894
1,673 896
1,962
BANK OF AMERICA
CITIGROUP MORTGAGE CORPLOA 10 2A2A ( 106.73)
92.27) ( 3.30)
3.70) 1/11/2023
9/25/2037 2,400
1,805 2,404
1,448 2,524
1,659
BANK OF AMERICA
CITIGROUP MORTGAGE CORPLOA HYB3 1A ( 111.07)
93.30) ( 4.13)
3.21) 1/22/2024
9/25/2034 2,200
201 2,306
201 2,403
187
BANKUNITED
CITIGROUP TRUST 2005-1
MORTGAGE LOA 1RES1
1A1 M1 ( 94.56)
95.18) ( 0.77)
1.15) 9/25/2045
11/25/2034 134
2,717 115
2,600 127
2,585
BARCLAYS BANK
CITIGROUP PLC LOAN 11 A1A
MORTGAGE ( 108.88)
98.28) ( 7.63)
2.57) 11/21/2022
5/25/2035 2,100
121 2,289
102 2,269
118
BARCLAYS PLC
CITIGROUP MORTGAGE LOAN 3 2A2A ( 101.54)
95.82) ( 2.56)
3.58) 8/10/2021
8/25/2035 2,200
97 2,222
84 2,226
93
BARCLAYS PLC
CITIGROUP MORTGAGE LOAN T 6 A2 ( 103.78)
98.00) ( 3.68)
2.29) 1/10/2023
9/25/2035 2,700
130 2,700
114 2,755
127
BARCLAYS
CNH PLC CAPITAL LLC
INDUSTRIAL ( 107.72)
100.89) ( 4.34)
4.38) 5/16/2024
11/6/2020 1,700
1,800 1,690
1,872 1,822
1,804
BAYER
CNH US FINANCE
INDUSTRIAL II LLC 144A
CAPITAL LLC ( 99.69)
102.49) ( 1.32)
3.88) 12/15/2023
10/15/2021 2,100
1,200 2,100
1,225 2,092
1,220
BEAR STEARNS
COMM 2016-COR1 ARMMORTGA
TRUST 1 COR1
12A5 ASB ( 94.60)
105.37) ( 3.83)
2.97) 4/25/2034
10/10/2049 634
2,000 630
2,060 598
2,102
BEAR STEARNS
COMMIT TO PUR ARMFNMATRUST 10 15A1
SF (OTC) ( 92.40)
0.04) ( 3.98)
- ) 1/25/2035
8/6/2020 175
(2,800) 173
(12) 161
(1)
BEAR STEARNS
COMMIT TO PUR ARMFNMATRUST 2 8 (OTC)
SF MT 1A1 (( 92.04)((
0.13) 4.00)
- ) 1/25/2034
8/6/2020 3
(300) 3
(2) 3
(0)
BEAR STEARNS
COMMIT TO PUR ARMFNMATRUST 2 9 2A1
SF MTG (( 98.46)
101.91)(( 3.89)
2.00) 2/25/2034
9/1/2050 556
15,900 549
16,175 546
16,203
BNP PARIBAS
COMMIT TO PURSA 144A
FNMA SF MTG (( 105.85)
103.87) (( 3.50)
2.50) 3/1/2023
9/1/2050 1,700
14,100 1,696
14,577 1,780
14,646
BOSTON PROPERTIES
COMMIT TO PUR FNMA LP SF MTG (( 104.52)
104.09) (( 2.90)
2.50) 3/15/2030
8/1/2050 2,300
35,200 2,299
36,541 2,384
36,639
BROADCOM INC 144A
COMMIT TO PUR FNMA SF MTG (( 107.24)
105.00) (( 3.46)
3.00) 9/15/2026
9/1/2050 1,513
48,200 1,550
50,474 1,617
50,612
CARLYLE FINANCE
COMMIT TO PUR FNMA LLC 144A
SF MTG (( 120.82)
105.14) (( 5.65)
3.50) 9/15/2048
8/1/2050 2,700
16,100 2,698
16,955 3,217
16,927
C-BASS 2007-CB5
COMMIT TO PUR FNMA TRUST SFCB5MTGA2 (( 74.41)
105.78) (( 0.34)
4.00) 4/25/2037
7/1/2035 4,432
(3,500) 2,337
(3,703) 3,297
(3,702)
CCP_CDS.TO
COMMIT SP PUR
UL CITIGROUP
FNMA SF MTG INC. (( 0.29)
109.28) (( 1.00)
5.00) 12/20/2020
7/1/2050 5,500
(9,600) 104
(10,491) 14
(10,491)
CCP_CDS.
COMMIT TO SP PUR
UL SIMON
FNMA PROPERTY
SF MTG (OTC (( (0.51)
0.04) (( 1.00)
- ) 6/20/2022
8/6/2020 3,300
(200) 11
(1) (18)
(0)
CCP_CDS._SP UL CITIGROUP
COMMIT TO PUR FNMA SF MTG INC.OTC (( - )
0.07) (( - )
- ) 12/20/2020
8/6/2020 (5,500)
(8,000) (0)
(53) -
(6)
CCP_CDS._SP
COMMIT TO PURUL SIMON PROPERTY
FNMA SINGLE (( - )
102.14) (( - )
2.00) 6/20/2022
8/1/2050 (3,300)
5,000 (0)
5,099 5,107-
CCP_IRS.
COMMIT PTOJPY-LIBOR-BBA
PUR GNMA II 6M CM
JUMBOS (( (0.03)
105.50) (( 0.04)
3.50) 3/10/2038
8/20/2050 61,000
6,800 7,2050 (17)
7,174
COMMIT TO PUR GNMA II JUMBOS ( 106.81) ( 4.50) 7/20/2050 30,540 32,846 32,618
RETIREMENT
Core FixedTOIncome
COMMIT PUR GNMA II JUMBOS ( 108.61)( 5.00) 7/20/2050 1,900 2,060 2,064
ABBVIE
COMMITINC TO144A
PUR GNMA SF MTG ($
( 104.01)
105.84)( 3.45)
4.00) 3/15/2022
7/15/2050 3,600
2,000 ($ 3,744
2,146 ($ 3,708
2,117
ABBVIE INC 144A
COMMITMENT TO PURCHASE FNMA SI (( 104.80)((
0.12) 3.25)
- ) 10/1/2022
8/6/2020 1,100
(1,800) 1,149
(14) 1,144
(2)
ABBVIE INC 144ARABOBANK UA REGS
COOPERATIEVE (( 106.16)
115.26)(( 2.60)
6.63) 11/21/2024
12/31/2049 1,800
600 1,798
859 1,906
691
ABBVIE SUISSE
CREDIT INC 144AGROUP AG 144A (( 108.77)
107.47) (( 2.95)
4.21) 11/21/2026
6/12/2024 1,900
1,400 1,898
1,401 2,060
1,501
ACCREDITED
CREDIT SUISSEMORTGAGE
GROUP AGLOAN 144A 4 A2D (( 96.16)
110.41) (( 0.87)
3.87) 1/25/2035
1/12/2029 1,487
1,400 1,495
1,448 1,430
1,520
ACE SECURITIES
CREDIT CORP HO
SUISSE GROUP HE1 A2A
FUNDING GU (( 72.89)
101.15) (( 0.26)
3.13) 1/25/2037
12/10/2020 2,708
500 1,299
504 1,974
505
ADAMS MILL CLO
CREDIT SUISSE LTD 1A
GROUP A1R 144A
FUNDING GU (( 99.72)
106.25) (( 1.38)
3.80) 7/15/2026
9/15/2022 850
2,800 850
2,821 843
2,944
AIA GROUP
CROWN LTD REGS
CASTLE INTERNATIONAL COR (( 103.96)
106.72) (( 3.13)
3.15) 3/13/2023
7/15/2023 2,000
2,200 2,034
2,103 2,061
2,316
ALLY
CROWNMASTER
CASTLEOWNER TRUST 3 A COR
INTERNATIONAL (( 99.99)
111.28) (( 0.50)
5.25) 7/15/2022
1/15/2023 1,400
1,200 1,400
1,200 1,400
1,306
ALTERNATIVE LOAN TRUST
CSMC TRUST 2016-NXSR 46CB
NXSR A9
ASB (( 85.56)
107.02) (( 5.50)
3.57) 10/25/2035
12/15/2049 2,328
2,005 2,021
2,065 1,981
2,140
ALTERNATIVE
DAIMLER FINANCE LOANNORTH
TRUST AME
J13 2A3
144A (( 83.42)
102.57) (( 5.50)
2.55) 11/25/2035
8/15/2022 1,352
1,600 1,037
1,619 1,122
1,626
AMEREN
DAIMLER CORP
FINANCE NORTH AME 144A (( 105.97)
103.31) (( 2.50)
3.40) 9/15/2024
2/22/2022 1,800
2,200 1,799
2,197 1,894
2,246
AMERICAN AIRLINES 2016-2
DELL INTERNATIONAL CLASS
LLC / 144A (( 81.46)
109.38) (( 3.65)
5.45) 12/15/2029
6/15/2023 2,246
2,100 1,539
2,292 1,826
2,292
AMERICAN
DEUTSCHE BANKHOMES 4 RENTYORK
AG/NEW LP NY (( 106.95)
100.02) (( 4.25)
2.70) 2/15/2028
7/13/2020 1,600
900 1,591
899 1,685
889
AMERICAN
DEUTSCHE BANKHONDA FINANCE
AG/NEW CORP
YORK NY (( 99.78)
100.47) (( 0.84)
3.15) 2/15/2022
1/22/2021 3,800
1,300 3,800
1,300 3,787
1,288
AMERICAN
DEUTSCHE BANKTOWER CORP YORK NY
AG/NEW (( 108.57)
103.85) (( 3.38)
3.95) 5/15/2024
2/27/2023 2,200
1,400 2,193
1,398 2,379
1,435
AMERICAN
DEUTSCHE BANKWATER CAPITALYORK
AG/NEW CORPNY (( 114.54)
104.91) (( 3.45)
3.96) 6/1/2029
11/26/2025 500
1,900 499
1,915 571
1,986
ANHEUSER-BUSCH INBEV
DIGITAL REALTY TRUST LP WORLDWIDE (( 113.91)
105.95) (( 4.35)
3.95) 6/1/2040
7/1/2022 1,700
1,100 1,699
1,092 1,918
1,144
AT&T
DIGITALINCREALTY TRUST LP (( 100.51)
119.85) (( 1.10)
4.45) 6/1/2021
7/15/2028 2,000
1,800 2,000
1,797 2,008
2,120
AT&T INC ENERGY GAS HOLDINGS L
DOMINION (( 100.82)
105.62) (( 1.23)
2.50) 7/15/2021
11/15/2024 2,300
1,800 2,300
1,799 2,308
1,895
AT&T
DRIVER INC
AUSTRALIA FIVE 5 A REGS (( 116.60)
68.70) (( 4.35)
1.02) 3/1/2029
7/21/2026 1,800
852 1,791
655 2,073
586
AURIUM
ELM PARKCLO CLOII DAC
DAC 1A2A A1R
AR 144A
144A (( 110.99)
111.34) (( 0.68)
0.62) 10/13/2029
4/16/2029 900
800 1,047
985 997
890
AUTO
ENTERGY ABSLOUISIANA
2012-2 SRLLLC 2 A REGS ( - )
118.47) ( 2.80)
5.40) 4/27/2025
11/1/2024 2,100- 2,393- 2,469-
EPR PROPERTIES
AUTO ABS COMPARTIM 12-2 A REGS ( 94.99)
- ) ( 4.50)
2.80) 4/1/2025
4/27/2025 1,700- 1,742- 1,596-
EPR PROPERTIES
AVALONBAY COMMUNITIES INC ( 95.49)
111.54) ( 4.95)
3.45) 4/15/2028
6/1/2025 2,100
3,200 2,063
3,194 1,983
3,560
EQM MIDSTREAM
AVANGRID INC PARTNERS LP ( 100.67)
107.96) ( 4.75)
3.15) 7/15/2023
12/1/2024 1,500
1,700 1,498
1,702 1,477
1,831
AVANGRID
EURO-BUNDINC FUTURE (EUX) ( 115.77)
198.26) ( 3.80)
- ) 6/1/2029
9/8/2020 2,1000 2,274- 2,424
38
BANC OF AMERICA
EURO-BUND FUTURE ALTERNA
SEP 20 7 2CB1 (( 96.97)
0.03) (( 6.00)
- ) 8/25/2035
7/24/2020 1,840
(0) 1,722- 1,775
(1)
BANC
EURO-BUND FUTURE SEP 20 7 1A1
OF AMERICA FUNDING (( 82.03)
0.07) (( 0.62)
- ) 9/25/2036
7/24/2020 2,579
(0) 1,730- 2,115
(3)
EURO-BUXL 30Y BND FUTURE (EUX) ( 247.05) ( - ) 9/8/2020 0 - 75
EUROSAIL-UK 2007-3 3X A3A REGS ( 121.91) ( 1.14) 6/13/2045 855 1,000 1,042
FCE BANK PLC REGS ( 109.73) ( 1.88) 6/24/2021 300 339 329
FCE BANK PLC REGS ( 110.57) ( 1.66) 2/11/2021 1,200 1,358 1,318
FHLMC MULTICLASS MTG 3201 SG ( 20.56) ( 6.33) 8/15/2036 997 146 202
FHLMC MULTICLASS MTG 3666 FC ( 101.36) ( 0.90) 5/15/2040 241 241 244
BARCLAYS PLC ( 101.54) ( 2.56) 8/10/2021 2,200 2,222 2,226
FHLMC MULTICLASS MTG 3828 SY ( 178.30) ( 12.68) 2/15/2041 30 31 53
BARCLAYS PLC ( 103.78) ( 3.68) 1/10/2023 2,700 2,700 2,755
FHLMC MULTICLASS MTG 4620 AF ( 100.60) ( 0.61) 11/15/2042 1,333 1,331 1,338
BARCLAYS PLC ( 107.72) ( 4.34) 5/16/2024 1,700 1,690 1,822
FHLMC MULTICLASS MTG K065 A1 ( 107.65) ( 2.86) 10/25/2026 1,830 1,866 1,965
FINSBURY SQUARE 2020 2A A 144A ( 123.68) ( 0.01) 6/16/2070 1,600 1,978 1,979
FIRST HORIZON ALTERNAT FA8 1A7 ( 66.49) ( 6.00) 2/25/2037 1,324 729 874
FIRSTENERGY CORP ( 113.13)( 3.90) 7/15/2027 1,300 1,296 1,447
FNMA POOL #0111049 ( 99.88)( 9.00) 11/1/2020 0 0 0
BEAR STEARNS ARM TRUST 2 9 2A1 ( 98.46)( 3.89) 2/25/2034 556 549 546
FNMA POOL #0468551 ( 102.68) ( 3.98) 7/1/2021 2,500 2,501 2,559
BNP PARIBAS SA 144A ( 105.85)( 3.50) 3/1/2023 1,700 1,696 1,780
FNMA POOL #0909230 ( 105.29) ( 4.50) 9/1/2023 68 73 72
FNMA POOL #0AA8715 ( 112.41) ( 4.00) 6/1/2039 742 775 831
BROADCOM INC 144A ( 107.24) ( 3.46) 9/15/2026 1,513 1,550 1,617
FNMA POOL #0AB9663 ( 107.78) ( 3.00) 6/1/2043 1,926 1,867 2,071
FNMA POOL #0AJ3782 ( 111.87) ( 4.00) 11/1/2041 5,078 5,299 5,664
FNMA POOL #0AK2411 ( 111.83) ( 4.00) 2/1/2042 1,205 1,249 1,343
CCP_CDS. SP UL CITIGROUP INC. ( 0.29)( 1.00) 12/20/2020 5,500 104 14
FNMA POOL #0AL1378 ( 102.70) ( 6.00) 5/1/2024 42 47 43
CCP_CDS. SP UL SIMON PROPERTY ( (0.51)
( 1.00) 6/20/2022 3,300 11 (18)
FNMA POOL #0AL5548 ( 105.50) ( 3.30) 5/1/2038 691 728 727
CCP_CDS._SP
FNMA POOLUL CITIGROUP INC.
#0AO1771 (( - )
112.98)(( - )
4.00) 12/20/2020
5/1/2042 (5,500)
709 (0)
735 798-
CCP_CDS._SP
FNMA POOLUL SIMON PROPERTY
#0AT5096 (( - )
105.39)(( - )
3.00) 6/20/2022
4/1/2043 (3,300)
257 (0)
250 270-
CCP_IRS.
FNMA GTD P JPY-LIBOR-BBA
REMIC P/T 03-W6 6MFCM (( (0.03)
99.92)(( 0.04)
0.53) 3/10/2038
9/25/2042 61,000
123 1170 (17)
123
FNMA GTD REMIC P/T 06-115 ES ( 162.46) ( 25.87) 12/25/2036 216 358 350
53 2019–2020
were created REPORT
Core
FNMAFixed
GTD Income
REMIC P/T 06-116 S ( 20.64) ( 6.43) 12/25/2036 335 45 69
ABBVIE
FNMA GTDINC REMIC
144A P/T 07-3 SH ($
( 104.01)
19.04) ( 3.45)
5.90) 3/15/2022
2/25/2037 3,600
198 ($ 3,744
24 ($ 3,708
38
ABBVIEGTD
FNMA INC REMIC
144A P/T 07-39 PI ( 104.80)
21.75) ( 3.25)
6.59) 10/1/2022
5/25/2037 1,100
202 1,149
27 1,144
44
ABBVIEGTD
FNMA INC REMIC
144A P/T 09-106 SL ( 106.16)
17.32) ( 2.60)
6.08) 11/21/2024
1/25/2040 1,800
1,063 1,798
138 1,906
183
ABBVIEGTD
FNMA INC REMIC
144A P/T 09-106 SN ( 108.77)
19.65) ( 2.95)
6.08) 11/21/2026
1/25/2040 1,900
1,731 1,898
255 2,060
338
ACCREDITED
FNMA MORTGAGE
GTD REMIC P/T 09-87 LOANCS 4 A2D ( 96.16)
21.66) ( 0.87)
5.98) 1/25/2035
11/25/2039 1,487
2,270 1,495
289 1,430
489
ACE SECURITIES
FNMA GTD REMIC CORP
P/T HO HE1SXA2A
11-40 ( 72.89)
138.42) ( 0.26)
9.76) 1/25/2037
11/25/2040 2,708
6 1,2996 1,9748
ADAMSGTD
FNMA MILL CLO LTD
REMIC P/T 1A A1ROA
11-60 144A (( 99.72)
92.56) (( 1.38)
- ) 7/15/2026
8/25/2039 850
301 850
279 843
278
AIA GROUP LTD REGS
FNMA GTD REMIC P/T 15-87 BF (( 103.96)
99.69) (( 3.13)
0.47) 3/13/2023
12/25/2045 2,000
1,030 2,034
1,023 2,061
1,026
ALLY MASTER
FORD MOTOR OWNER
CREDIT CO TRUST
LLC 3 A (( 99.99)
97.02) (( 0.50)
3.55) 7/15/2022
10/7/2022 1,400
1,900 1,400
1,898 1,400
1,828
ALTERNATIVE
FORD MOTOR LOAN
CREDIT TRUST
CO LLC46CB A9 (( 85.56)
100.04) (( 5.50)
5.13) 10/25/2035
6/16/2025 2,328
1,900 2,021
1,900 1,981
1,898
ALTERNATIVE
GATX CORP LOAN TRUST J13 2A3 (( 83.42)
107.04) (( 5.50)
4.00) 11/25/2035
6/30/2030 1,352
2,000 1,037
1,996 1,122
2,130
AMEREN CORP
GENERAL MOTORS FINANCIAL CO IN (( 105.97)
100.05) (( 2.50)
3.20) 9/15/2024
7/13/2020 1,800
2,500 1,799
2,499 1,894
2,464
AMERICANMOTORS
GENERAL AIRLINESFINANCIAL
2016-2 CLASSREGS (( 81.46)
107.14) (( 3.65)
0.15) 12/15/2029
3/26/2022 2,246
1,600 1,539
1,753 1,826
1,714
AMERICAN
GLP CAPITALHOMES
LP / GLP4 RENT LP
FINANCING (( 106.95)
108.21) (( 4.25)
5.30) 2/15/2028
1/15/2029 1,600
2,000 1,591
2,000 1,685
2,115
AMERICAN
GNMA POOLHONDA FINANCE CORP
#0427475 (( 99.78)
100.13) (( 0.84)
7.88) 2/15/2022
6/15/2029 3,800
4,505 3,800
4,598 3,787
4,481
AMERICAN
GNMA POOL TOWER CORP
#0550657 (( 108.57)
116.76) (( 3.38)
5.50) 5/15/2024
9/15/2035 2,200
4,745 2,193
4,732 2,379
5,519
AMERICAN
GNMA POOL WATER CAPITAL CORP
#0569159 (( 114.54)
116.39) (( 3.45)
6.50) 6/1/2029
3/15/2032 500
319 499
336 571
369
ANHEUSER-BUSCH
GNMA POOL #0569684 WORLDWIDE
INBEV (( 113.91)
119.15) (( 4.35)
6.00) 6/1/2040
2/15/2032 1,700
211 1,699
222 1,918
250
AT&T
GNMAINCPOOL #0569704 (( 100.51)
116.33) (( 1.10)
6.00) 6/1/2021
2/15/2032 2,000
384 2,000
405 2,008
445
AT&T
GNMAINCPOOL #0570518 (( 100.82)
119.21) (( 1.23)
6.00) 7/15/2021
1/15/2032 2,300
270 2,300
285 2,308
321
AT&T
GNMAINCPOOL #0574466 (( 116.60)
113.01) (( 4.35)
6.50) 3/1/2029
3/15/2032 1,800
150 1,791
158 2,073
169
AURIUM
GNMA POOL CLO II#0587074
DAC 2A AR 144A (( 110.99)
118.47) (( 0.68)
6.00) 10/13/2029
5/15/2032 900
370 1,047
387 997
436
AUTO
GNMAABS 2012-2
POOL SRL 2 A REGS
#0606774 ( - )
110.19) ( 2.80)
5.50) 4/27/2025
4/15/2033 -
13 14- -
14
GNMAABS
AUTO POOL #061626312-2 A REGS
COMPARTIM ( 110.14)
- ) ( 5.50)
2.80) 2/15/2034
4/27/2025 12
- 13- 13
-
GNMA POOL
AVALONBAY #0645500 INC
COMMUNITIES ( 112.23)
111.54) ( 5.50)
3.45) 10/15/2035
6/1/2025 10
3,200 11
3,194 11
3,560
GNMA POOL
AVANGRID INC #0648388 ( 115.81)
107.96) ( 5.50)
3.15) 11/15/2035
12/1/2024 30
1,700 33
1,702 34
1,831
GNMA POOL
AVANGRID INC #0651788 ( 116.77)
115.77) ( 5.50)
3.80) 4/15/2036
6/1/2029 2,932
2,100 2,880
2,274 3,411
2,424
GNMAOFPOOL
BANC AMERICA#0651789
ALTERNA 7 2CB1 ( 116.77)
96.97) ( 5.50)
6.00) 4/15/2036
8/25/2035 2,018
1,840 1,983
1,722 2,348
1,775
GNMAOFPOOL
FUNDING 7 1A1 ( 114.70)
82.03) ( 5.50)
0.62) 5/15/2036
9/25/2036 771
2,579 754
1,730 881
2,115
GNMAOFPOOL
FUNDING A 1A1 ( 109.82)
93.95) ( 5.50)
4.18) 7/15/2040
2/20/2036 55
142 61
125 61
132
GNMAOFPOOL
BANK AMERICA#0782570
CORP ( 115.81)
99.67) ( 5.50)
1.12) 2/15/2039
3/5/2024 34
900 37
894 39
896
GNMAOFPOOL
BANK AMERICA#0784877
CORP ( 106.46)
106.73) ( 2.50)
3.30) 2/15/2048
1/11/2023 98
2,400 99
2,404 104
2,524
GNMAOFPOOL
BANK AMERICA#0AB8428
CORP ( 105.62)
111.07) ( 2.50)
4.13) 3/15/2043
1/22/2024 250
2,200 252
2,306 263
2,403
GNMA POOLTRUST
BANKUNITED #0AD09992005-1 1 1A1 ( 105.62)
94.56) ( 2.50)
0.77) 5/15/2043
9/25/2045 266
134 268
115 280
127
GNMA POOL
BARCLAYS BANK #0AD1612
PLC ( 105.69)
108.88) ( 2.50)
7.63) 1/15/2043
11/21/2022 1,208
2,100 1,216
2,289 1,274
2,269
GNMA POOL
BARCLAYS PLC #0AE9872 ( 105.31)
101.54) ( 2.50)
2.56) 5/15/2043
8/10/2021 111
2,200 112
2,222 117
2,226
GNMA POOL
BARCLAYS PLC #0AE9873 ( 105.37)
103.78) ( 2.50)
3.68) 6/15/2043
1/10/2023 156
2,700 157
2,700 164
2,755
GNMA POOL
BARCLAYS PLC #0AF0030 ( 105.34)
107.72) ( 2.50)
4.34) 5/15/2043
5/16/2024 248
1,700 250
1,690 261
1,822
GNMA USPOOL
BAYER #0AF0031
FINANCE II LLC 144A ( 105.32)
99.69) ( 2.50)
1.32) 6/15/2043
12/15/2023 165
2,100 166
2,100 174
2,092
GNMA POOL #0AF0083
BEAR STEARNS ARM TRUST 1 12A5 ( 105.33)
94.60) ( 2.50)
3.83) 7/15/2043
4/25/2034 165
634 166
630 173
598
GNMA POOL #0AF0084
BEAR STEARNS ARM TRUST 10 15A1 ( 105.31)
92.40) ( 2.50)
3.98) 6/15/2043
1/25/2035 227
175 229
173 239
161
GNMA POOL #0AK8998
BEAR STEARNS ARM TRUST 2 8 1A1 ( 105.73)
92.04) ( 3.00)
4.00) 7/15/2045
1/25/2034 142
3 1443 1503
GNMASTEARNS
BEAR POOL #0AU1958
ARM TRUST 2 9 2A1 ( 105.67)
98.46) ( 2.50)
3.89) 10/15/2046
2/25/2034 763
556 736
549 804
546
GNMA
BNP POOLSA
PARIBAS #0BK5550
144A ( 105.73)
105.85) ( 3.00)
3.50) 10/15/2049
3/1/2023 870
1,700 923
1,696 918
1,780
GNMA POOL
BOSTON #0BO9513
PROPERTIES LP ( 105.42)
104.52) ( 2.50)
2.90) 12/15/2049
3/15/2030 1,353
2,300 1,363
2,299 1,424
2,384
GNMA POOL
BROADCOM INC#0BP6229
144A ( 105.73)
107.24) ( 3.00)
3.46) 11/15/2049
9/15/2026 830
1,513 880
1,550 875
1,617
GNMA POOL
CARLYLE FINANCE #0BQ0214
LLC 144A ( 105.35)
120.82) ( 2.50)
5.65) 9/15/2049
9/15/2048 692
2,700 697
2,698 727
3,217
GNMA GTD
C-BASS REMICTRUST
2007-CB5 P/T 13-H10
CB5 A2FS ( 101.45)
74.41) ( 1.18)
0.34) 4/20/2063
4/25/2037 721
4,432 734
2,337 731
3,297
GNMA GTD
CCP_CDS. SPREMIC P/T 15-H09
UL CITIGROUP INC.FA ( 100.16)
0.29) ( 0.80)
1.00) 4/20/2065
12/20/2020 14,542
5,500 14,524
104 14,55814
GNMA
CCP_CDS.GTDSPREMIC P/T 15-H11
UL SIMON PROPERTYFC ( 99.91)
(0.51) ( 0.73)
1.00) 5/20/2065
6/20/2022 6,916
3,300 6,878
11 6,907
(18)
GNMA GTD REMIC
CCP_CDS._SP P/T 15-H12
UL CITIGROUP FB
INC. (( 100.09)
- ) (( 0.78)
- ) 5/20/2065
12/20/2020 7,550
(5,500) 7,534
(0) 7,553-
GNMA GTD REMIC P/T 15-H14
CCP_CDS._SP UL SIMON PROPERTY AI (( 99.98)
- ) (( 0.75)
- ) 6/20/2065
6/20/2022 11,714
(3,300) 11,652
(0) 11,706 -
GNMA GTD
CCP_IRS. REMIC P/T 15-H14
P JPY-LIBOR-BBA 6M CMBI (( 99.75)
(0.03) (( 0.61)
0.04) 5/20/2065
3/10/2038 7,124
61,000 7,1130 7,103
(17)
GNMA GTD REMIC P/T 15-H15 FB ( 100.09) ( 0.78) 6/20/2065 9,384 9,368 9,388
RETIREMENT
Core
GNMA Fixed
GTDIncome
REMIC P/T 15-H15 FC ( 100.02) ( 0.76) 6/20/2065 5,338 5,323 5,336
ABBVIE
GNMA GTD INC 144A
REMIC P/T 15-H16 FM ($
( 104.01)
100.09) ( 3.45)
0.78) 3/15/2022
7/20/2065 3,600
7,137 ($ 3,744
7,126 ($ 3,708
7,140
ABBVIE
GNMA GTD INC 144A
REMIC P/T 15-H20 FB ( 104.80)
100.09) ( 3.25)
0.78) 10/1/2022
8/20/2065 1,100
1,806 1,149
1,801 1,144
1,806
ABBVIE
GNMA GTD INC 144A
REMIC P/T 16-H11 F ( 106.16)
100.86) ( 2.60)
0.98) 11/21/2024
5/20/2066 1,800
1,823 1,798
1,818 1,906
1,838
ABBVIE
GNMA GTD INC 144A
REMIC P/T 16-H15 FA ( 108.77)
100.83) ( 2.95)
0.98) 11/21/2026
7/20/2066 1,900
2,336 1,898
2,330 2,060
2,354
ACCREDITED
GNMA GTD REMIC MORTGAGE LOANFA
P/T 16-H18 4 A2D ( 96.16)
100.68) ( 0.87)
0.93) 1/25/2035
8/20/2066 1,487
2,029 1,495
2,019 1,430
2,041
ACE
GNMASECURITIES
GTD REMIC CORP P/THO HE1 A2A
17-H16 KF ( 72.89)
100.83) ( 0.26)
0.93) 1/25/2037
8/20/2067 2,708
1,699 1,299
1,716 1,974
1,712
ADAMS
GNMA IIMILLPOOLCLO LTD 1A A1R 144A
#0MA5400 ( 99.72)
108.94) ( 1.38)
5.00) 7/15/2026
8/20/2048 850
1,647 850
1,752 843
1,787
AIA
GNMAGROUP LTD#0MA5653
II POOL REGS ( 103.96)
108.62) ( 3.13)
5.00) 3/13/2023
12/20/2048 2,000
7,866 2,034
8,356 2,061
8,511
ALLY
GNMA MASTER
II POOLOWNER
#0MA5764 TRUST 3 A ( 99.99)
106.84) ( 0.50)
4.50) 7/15/2022
2/20/2049 1,400
1,122 1,400
1,175 1,400
1,195
ALTERNATIVE
GNMA II POOLLOAN #0MA6222TRUST 46CB A9 ( 85.56)
108.73) ( 5.50)
5.00) 10/25/2035
10/20/2049 2,328
6,898 2,021
7,339 1,981
7,471
ALTERNATIVE
GSAA HOME EQUITY LOAN TRUSTTRUSTJ13 2 92A3
A2A ( 83.42)
71.19) ( 5.50)
6.50) 11/25/2035
8/25/2047 1,352
1,987 1,037
1,418 1,122
1,404
AMEREN
GSAMP TRUSTCORP 2004-FM2 FM2 M1 ( 105.97)
93.66) ( 2.50)
0.92) 9/15/2024
1/25/2034 1,800
1,478 1,799
1,465 1,894
1,384
AMERICAN
GSR MORTGAGE AIRLINES
LOAN 2016-2
TRUSCLASS
AR6 2A1 ( 81.46)
99.29) ( 3.65)
3.99) 12/15/2029
9/25/2035 2,246
272 1,539
257 1,826
269
AMERICAN
HALCYON LOAN HOMESADVISO4 RENT 3ALP
AR 144A ( 106.95)
99.87) ( 4.25)
1.36) 2/15/2028
10/22/2025 1,600
308 1,591
308 1,685
306
AMERICAN
HAWKSMOOR HONDA FINANCE1A
MORTGAGES CORPA 144A ( 99.78)
123.53) ( 0.84)
1.29) 2/15/2022
5/25/2053 3,800
1,886 3,800
2,309 3,787
2,326
AMERICAN
HEALTHCARE TOWER
REALTY CORP
TRUST INC ( 108.57)
106.23) ( 3.38)
3.88) 5/15/2024
5/1/2025 2,200
1,200 2,193
1,199 2,379
1,267
AMERICAN
HOST HOTELS WATER CAPITAL
& RESORTS LPCORP ( 114.54)
102.30) ( 3.45)
3.88) 6/1/2029
4/1/2024 500
2,700 499
2,689 571
2,749
ANHEUSER-BUSCH
HSBC HOLDINGS PLC INBEV WORLDWIDE ( 113.91)
120.80) ( 4.35)
5.88) 6/1/2040
12/31/2049 1,700
400 1,699
530 1,918
476
AT&T INC SECURITIZAT OPT3 3A3
HSI ASSET ( 100.51)
99.43) ( 1.10)
0.35) 6/1/2021
2/25/2036 2,000
1,596 2,000
1,535 2,008
1,587
AT&T INC BRANDS FINANCE P 144A
IMPERIAL ( 100.82)
105.29) ( 1.23)
3.88) 7/15/2021
7/26/2029 2,300
2,100 2,300
2,082 2,308
2,176
AT&T INC NV
ING GROEP ( 116.60)
100.72) ( 4.35)
1.46) 3/1/2029
3/29/2022 1,800
2,000 1,791
2,000 2,073
2,014
AURIUM CLO II DAC
INTERNATIONAL LEASE 2A AR 144A CO
FINANCE ( 110.99)
102.35) ( 0.68)
8.25) 10/13/2029
12/15/2020 900
1,600 1,047
1,876 997
1,632
JAPANABS
AUTO BANK FOR INTERNATIONAL
2012-2 SRL 2 A REGS C ( 113.20)
- ) ( 2.88)
2.80) 7/21/2027
4/27/2025 1,700- 1,685- 1,903-
JAPANABS
AUTO INTERNATIONAL
COMPARTIM COOPERATIO
12-2 A REGS (( 110.92)
- ) (( 2.75)
2.80) 4/27/2027
4/27/2025 3,700- 3,681- 4,086-
JAPAN TOBACCO
AVALONBAY COMMUNITIESINC REGS INC (( 100.65)
111.54) (( 2.00)
3.45) 4/13/2021
6/1/2025 2,200
3,200 2,163
3,194 2,205
3,560
JMP CREDITINC
AVANGRID ADVISORS 1RA A 144A (( 97.83)
107.96) (( 1.12)
3.15) 1/17/2028
12/1/2024 949
1,700 949
1,702 925
1,831
JP MORGANINC
AVANGRID CHASE COM LAQ A 144A (( 93.99)
115.77) (( 1.17)
3.80) 6/15/2032
6/1/2029 828
2,100 828
2,274 778
2,424
JP MORGAN
BANC MORTGAGE
OF AMERICA ALTERNATRUS A1 7A1
7 2CB1 (( 95.73)
96.97) (( 3.78)
6.00) 7/25/2035
8/25/2035 87
1,840 82
1,722 83
1,775
JPMBBOF
BANC COMMERCIAL
AMERICA FUNDING MORTG7C32 1A1ASB (( 104.86)
82.03) (( 3.36)
0.62) 11/15/2048
9/25/2036 2,996
2,579 3,086
1,730 3,135
2,115
JPMORGAN CHASE & CO
BANC OF AMERICA FUNDING A 1A1 (( 103.51)
93.95) (( 2.18)
4.18) 6/1/2028
2/20/2036 2,000
142 2,000
125 2,066
132
JPMORGAN
BANK CHASE &
OF AMERICA CO
CORP (( 108.48)
99.67) (( 3.80)
1.12) 7/23/2024
3/5/2024 1,700
900 1,700
894 1,816
896
KENNEDY
BANK WILSON EUROPE
OF AMERICA CORP REA REGS (( 119.78)
106.73) (( 3.95)
3.30) 6/30/2022
1/11/2023 1,600
2,400 2,105
2,404 1,916
2,524
KOMATSU
BANK FINANCECORP
OF AMERICA AMERICA I REGS (( 102.23)
111.07) (( 2.44)
4.13) 9/11/2022
1/22/2024 1,500
2,200 1,467
2,306 1,522
2,403
LLOYDS BANK TRUST
BANKUNITED PLC REGS 2005-1 1 1A1 (( 81.65)
94.56) (( 7.50)
0.77) 4/2/2032
9/25/2045 2,400
134 1,836
115 1,915
127
LLOYDS BANKING
BARCLAYS BANK PLC GROUP PLC (( 73.85)
108.88) (( 4.00)
7.63) 3/7/2025
11/21/2022 1,800
2,100 1,396
2,289 1,315
2,269
LLOYDS BANKING
BARCLAYS PLC GROUP PLC (( 103.40)
101.54) (( 3.00)
2.56) 1/11/2022
8/10/2021 500
2,200 506
2,222 510
2,226
BARCLAYS PLC GROUP PLC
LLOYDS BANKING (( 109.45)
103.78) (( 3.90)
3.68) 3/12/2024
1/10/2023 1,800
2,700 1,797
2,700 1,949
2,755
LONG GILTPLC
BARCLAYS FUTURE (ICF) ( 170.07)
107.72) ( - )
4.34) 9/28/2020
5/16/2024 (0)
1,700 1,690- 12
1,822
LOOMISUSSAYLES
BAYER FINANCECLOII2A LLCA1R144A144A ( 97.43)
99.69) ( 1.18)
1.32) 4/15/2028
12/15/2023 1,390
2,100 1,390
2,100 1,348
2,092
MASTR
BEAR ASSET BACKED
STEARNS ARM TRUST SEC FRE2
1 12A5 A4 ( 74.23)
94.60) ( 0.32)
3.83) 3/25/2036
4/25/2034 181
634 116
630 134
598
MERRILL
BEAR LYNCHARM
STEARNS MORTGAGE
TRUST 10 IN15A1
D A1 ( 96.34)
92.40) ( 0.83)
3.98) 9/25/2029
1/25/2035 89
175 83
173 85
161
METROPOLITAN
BEAR STEARNS ARM LIFETRUST
GLOBAL 2 8144A
1A1 ( 113.17)
92.04) ( 3.45)
4.00) 12/18/2026
1/25/2034 2,2003 2,1993 2,4873
MF1
BEAR2020-FL3
STEARNSLTD ARM FL3 A 144A
TRUST 2 9 2A1 ( 100.79)
98.46) ( 2.22)
3.89) 7/15/2035
2/25/2034 2,600
556 2,600
549 2,620
546
MICROCHIP
BNP PARIBASTECHNOLOGY
SA 144A INC ( 101.95)
105.85) ( 3.92)
3.50) 6/1/2021
3/1/2023 1,400
1,700 1,400
1,696 1,423
1,780
MID-AMERICA
BOSTON APARTMENTS
PROPERTIES LP LP ( 115.33)
104.52) ( 3.95)
2.90) 3/15/2029
3/15/2030 2,100
2,300 2,264
2,299 2,397
2,384
MIDAMERICAN
BROADCOM INCENERGY
144A CO ( 119.35)
107.24) ( 3.65)
3.46) 4/15/2029
9/15/2026 1,600
1,513 1,765
1,550 1,897
1,617
MITSUBISHI
CARLYLE UFJ FINANCIAL
FINANCE LLC 144A GROUP ( 106.90)
120.82) ( 3.46)
5.65) 3/2/2023
9/15/2048 2,100
2,700 2,100
2,698 2,221
3,217
MITSUBISHI
C-BASS UFJ FINANCIAL
2007-CB5 TRUST CB5GROUP A2 ( 107.08)
74.41) ( 2.80)
0.34) 7/18/2024
4/25/2037 1,800
4,432 1,800
2,337 1,905
3,297
MITSUBISHI
CCP_CDS. SPUFJ LEASE & FI 144A
UL CITIGROUP INC. ( 102.62)
0.29) ( 2.65)
1.00) 9/19/2022
12/20/2020 1,600
5,500 1,608
104 1,630
14
MIZUHO
CCP_CDS.FINANCIAL
SP UL SIMON GROUP INC
PROPERTY ( 107.08)
(0.51) ( 3.55)
1.00) 3/5/2023
6/20/2022 1,700
3,300 1,700
11 1,801
(18)
MOODY'S CORP
CCP_CDS._SP UL CITIGROUP INC. (( 104.83)
- ) (( 2.63)
- ) 1/15/2023
12/20/2020 1,400
(5,500) 1,397
(0) 1,451-
MORGAN STANLEY
CCP_CDS._SP UL SIMON PROPERTY (( 110.23)
- ) (( 3.13)
- ) 7/27/2026
6/20/2022 2,500
(3,300) 2,483
(0) 2,722-
MORGANPSTANLEY
CCP_IRS. ABS CAP
JPY-LIBOR-BBA 6MHE8CMA2C (( 51.07)
(0.03) (( 0.31)
0.04) 10/25/2036
3/10/2038 3,837
61,000 1,5920 1,960
(17)
MORGAN STANLEY ABS CAPI HE2 M1 ( 99.30) ( 0.77) 1/25/2035 2,197 2,089 2,181
55 2019–2020
were created REPORT
Core FixedSTANLEY
MORGAN Income CAPI CPT B 144A ( 102.02) ( 3.45) 7/13/2029 2,000 2,105 2,035
ABBVIE
MORGAN INCSTANLEY
144A CAPITA UB12 ASB ($
( 104.01)
107.35) ( 3.45)
3.44) 3/15/2022
12/15/2049 3,600
2,600 ($ 3,744
2,678 ($ 3,708
2,784
ABBVIE INC 144A
MORTGAGEIT SECURITIES COR 2 A1 ( 104.80)
89.11) ( 3.25)
0.67) 10/1/2022
9/25/2037 1,100
2,136 1,149
1,807 1,144
1,903
ABBVIE INC 144A
MOUNTAIN VIEW CLO 10A AR 144A ( 106.16)
98.43) ( 2.60)
1.09) 11/21/2024
10/13/2027 1,800
913 1,798
913 1,906
894
ABBVIELPINC 144A
MPLX ( 108.77)
99.21) ( 2.95)
1.21) 11/21/2026
9/9/2021 1,900
1,500 1,898
1,500 2,060
1,487
ACCREDITED
MPT OPERATING MORTGAGE
PARTNERSHIP LOAN LP 4 A2D
/ ( 96.16) (
123.80) 0.87)
3.69) 1/25/2035
6/5/2028 1,487
1,800 1,495
2,326 1,430
2,222
ACE SECURITIES
MRFC MORTGAGE CORP HO HE1TBC2
PASS-THR A2A A1 ( 72.89) (
97.03) 0.26)
0.65) 1/25/2037
6/15/2030 2,708
962 1,299
917 1,974
933
ADAMSMORTGAGE
MRFC MILL CLO LTD 1A A1RTBC3
PASS-THR 144AA1 ( 99.72) (
95.47) 1.38)
0.61) 7/15/2026
12/15/2030 850
36 850
34 843
34
AIA GROUPRETAIL
NATIONAL LTD REGSPROPERTIES INC ( 103.96) (
108.89) 3.13)
4.30) 3/13/2023
10/15/2028 2,000
1,800 2,034
1,787 2,061
1,944
ALLY MASTER
NATWEST GROUP OWNERPLC TRUST 3 A ( 99.99) (
108.59) 0.50)
4.52) 7/15/2022
6/25/2024 1,400
300 1,400
300 1,400
326
ALTERNATIVE
NATWEST GROUP LOAN PLCTRUST
REGS46CB A9 ( 85.56) (
114.17) 5.50)
2.00) 10/25/2035
3/8/2023 2,328
2,200 2,021
2,542 1,981
2,496
ALTERNATIVE
NATWEST GROUP LOAN PLCTRUST
REGSJ13 2A3 ( 83.42) (
116.82) 5.50)
2.50) 11/25/2035
3/22/2023 1,352
700 1,037
846 1,122
812
AMEREN
NETAPP INC CORP ( 105.97)
99.98) ( 2.50)
2.70) 9/15/2024
6/22/2030 1,800
1,900 1,799
1,905 1,894
1,898
AMERICAN
NEXTERA ENERGYAIRLINES 2016-2HOLDING
CAPITAL CLASS ( 81.46) (
106.85) 3.65)
3.63) 12/15/2029
6/15/2023 2,246
1,300 1,539
1,320 1,826
1,387
AMERICAN
NEXTERA ENERGYHOMESCAPITAL
4 RENT HOLDING
LP ( 106.95)
113.36) ( 4.25)
3.55) 2/15/2028
5/1/2027 1,600
2,300 1,591
2,293 1,685
2,594
AMERICAN
NIAGARA MOHAWKHONDA FINANCE
POWER CORP CORP 144A ( 99.78) (
116.51) 0.84)
4.28) 2/15/2022
12/15/2028 3,800
700 3,800
700 3,787
814
AMERICAN
NORDEA BANK TOWER ABP CORP
144A ( 108.57)
107.22) ( 3.38)
3.75) 5/15/2024
8/30/2023 2,200
1,400 2,193
1,398 2,379
1,483
AMERICAN
NOVASTAR WATERMORTGAGE CAPITAL CORP 3 M1
FUNDING ( 114.54)
99.79) ( 3.45)
0.85) 6/1/2029
1/25/2036 500
613 499
563 571
612
ANHEUSER-BUSCH
NTT FINANCE CORPINBEV REGS WORLDWIDE ( 113.91)
101.15) ( 4.35)
1.90) 6/1/2040
7/21/2021 1,700
1,400 1,699
1,361 1,918
1,404
AT&T
NVR INCINC ( 100.51)
106.46) ( 1.10)
3.95) 6/1/2021
9/15/2022 2,000
2,100 2,000
2,069 2,008
2,211
AT&T
NXP BV INC
/ NXP FUNDING LLC 144A ( 100.82)
111.90) ( 1.23)
3.88) 7/15/2021
6/18/2026 2,300
1,600 2,300
1,682 2,308
1,788
AT&T INC
OCCIDENTAL PETROLEUM CORP ( 116.60)
98.06) ( 4.35)
6.95) 3/1/2029
7/1/2024 1,800
900 1,791
1,066 2,073
851
AURIUM
ODEBRECHT CLODRILLING
II DAC 2ANORBEAR 144A 144A ( 110.99)
85.00) ( 0.68)
6.35) 10/13/2029
12/1/2021 900
117 1,047
115 997
99
ODEBRECHT
AUTO DRILLING
ABS 2012-2 SRL 2NORBE
A REGSREGS ( 29.00)
- ) ( 7.35)
2.80) 12/1/2026
4/27/2025 644
- 287- 183-
ODEBRECHT
AUTO OIL & GAS FINAN
ABS COMPARTIM 12-2 A144A
REGS ( 0.10)
- ) ( - )
2.80) 12/31/2049
4/27/2025 322
- -8 -0
OMEGA HEALTHCARE
AVALONBAY COMMUNITIES INVESTORS
INC INC ( 102.98) (
111.54) 4.50)
3.45) 1/15/2025
6/1/2025 2,300
3,200 2,289
3,194 2,321
3,560
OMEGA HEALTHCARE
AVANGRID INC INVESTORS INC ( 103.81) (
107.96) 4.38)
3.15) 8/1/2023
12/1/2024 2,300
1,700 2,294
1,702 2,346
1,831
ONCOR ELECTRIC
AVANGRID INC DELIVERY CO LLC ( 105.62) (
115.77) 4.10)
3.80) 6/1/2022
6/1/2029 1,400
2,100 1,432
2,274 1,474
2,424
ONTARIO
BANC TEACHERS'
OF AMERICA CADILLA7144A
ALTERNA 2CB1 ( 102.33)
96.97) ( 3.13)
6.00) 3/20/2022
8/25/2035 2,000
1,840 2,014
1,722 2,029
1,775
OWENS
BANC OFCORNING
AMERICA FUNDING 7 1A1 ( 104.36)
82.03) ( 3.40)
0.62) 8/15/2026
9/25/2036 1,900
2,579 1,735
1,730 1,958
2,115
OWNITOFMORTGAGE
BANC AMERICA FUNDINGLOAN TRUST A 1A15 M1 ( 92.38) (
93.95) 0.77)
4.18) 10/25/2036
2/20/2036 114
142 93
125 105
132
PACIFIC
BANK OFGAS AND ELECTRIC
AMERICA CORP CO ( 100.16)
99.67) ( 1.75)
1.12) 6/16/2022
3/5/2024 1,000
900 1,000
894 1,001
896
PACIFIC
BANK OFGAS AND ELECTRIC
AMERICA CORP CO ( 107.75) (
106.73) 2.95)
3.30) 3/1/2026
1/11/2023 900
2,400 971
2,404 970
2,524
PALMER
BANK OFSQUARE
AMERICALOAN CORP3A A1 144A ( 99.46) (
111.07) 2.01)
4.13) 7/20/2028
1/22/2024 2,000
2,200 2,000
2,306 1,989
2,403
PATRONS' LEGACY
BANKUNITED TRUST 144A
2005-1 1 1A1 ( 94.86) (
94.56) 5.78)
0.77) 12/23/2063
9/25/2045 3,979
134 3,899
115 3,769
127
PATRONS' LEGACY
BARCLAYS BANK PLC 144A ( 99.03) (
108.88) 5.65)
7.63) 12/17/2053
11/21/2022 5,020
2,100 4,972
2,289 4,961
2,269
PENNSYLVANIA
BARCLAYS PLC ST HGR EDU ASSIST ( 99.71) (
101.54) 1.17)
2.56) 7/25/2029
8/10/2021 720
2,200 722
2,222 715
2,226
BARCLAYS PLC
PHFS RESIDENTIAL OPPORTUNITIES ( 1,031.82)
103.78) ( 3.68)
- ) -
1/10/2023 2,700
58 2,700
59,000 2,755
59,964
BARCLAYS
PNC PLC SERVICES GROUP I
FINANCIAL ( 107.72) (
106.02) 4.34)
2.20) 5/16/2024
11/1/2024 1,700
3,000 1,690
2,999 1,822
3,170
BAYER US FINANCE
PROLOGIS LP II LLC 144A ( 99.69) (
118.48) 1.32)
3.88) 12/15/2023
9/15/2028 2,100
1,600 2,100
1,589 2,092
1,877
BEAR STEARNS
PUBLIC SERVICEARM CO OF TRUST 1 12A5
OKLAHOMA ( 94.60) (
102.27) 3.83)
4.40) 4/25/2034
2/1/2021 634
1,500 630
1,541 598
1,507
BEAR STEARNS
QATAR GOVERNMENT ARM TRUST 10 15A1
INTERNAT REGS ( 92.40) (
107.05) 3.98)
3.38) 1/25/2035
3/14/2024 175
2,100 173
2,098 161
2,227
BEAR STEARNSHOME
RENAISSANCE ARM TRUST
EQUITY2 L8 41A1A1 ( 92.04) (
95.18) 4.00)
0.69) 1/25/2034
3/25/2034 3
369 3423 3513
BEAR
RIPONSTEARNS
MORTGAGES ARM PLCTRUST 1A 2A19 144A
2A1 ( 98.46) (
123.14) 3.89)
1.06) 2/25/2034
8/20/2056 556
2,194 549
2,708 546
2,699
BNP
RMAC PARIBAS SA 144A
SECURITIES NS1X A2A REGS ( 105.85)
116.35) ( 3.50)
0.35) 3/1/2023
6/12/2044 1,700
1,344 1,696
1,925 1,780
1,563
BOSTON
SALES TAX PROPERTIES
SECURITIZATION LP CORP ( 104.52)
100.91) ( 2.90)
3.01) 3/15/2030
1/1/2033 2,300
1,800 2,299
1,800 2,384
1,794
BROADCOM
SANTANDER INC 144A USA INC
HOLDINGS ( 107.24)
103.89) ( 3.46)
3.24) 9/15/2026
10/5/2026 1,513
2,100 1,550
2,132 1,617
2,165
CARLYLE
SANTANDER FINANCE
RETAIL LLCAU144A
C A2A 144A ( 120.82)
100.94) ( 5.65)
1.89) 9/15/2048
9/20/2022 2,700
1,962 2,698
1,954 3,217
1,979
C-BASS
SANTANDER2007-CB5 TRUSTHOLDINGS
UK GROUP CB5 A2 PL ( 74.41) (
102.19) 0.34)
2.88) 4/25/2037
8/5/2021 4,432
900 2,337
883 3,297
909
CCP_CDS.
SBA TOWER SPTRUST
UL CITIGROUP
144A INC. ( 0.29) (
100.17) 1.00)
2.88) 12/20/2020
7/15/2046 5,500
1,300 104
1,315 14
1,300
CCP_CDS. SP UL SIMON
SCENTRE GROUP TRUST PROPERTY
1 / S 144A ( (0.51) (
109.97) 1.00)
4.38) 6/20/2022
5/28/2030 3,300
2,000 11
1,996 (18)
2,191
SEQUOIA MORTGAGE
CCP_CDS._SP UL CITIGROUP TRUSTINC.
2 3 1A1 ( 93.27)
- ) ( 0.39)
- ) 7/20/2036
12/20/2020 525
(5,500) 427
(0) 490-
SEQUOIA MORTGAGE
CCP_CDS._SP UL SIMON PROPERTY TRUST 20 2 A1 (( 92.78)
- ) (( 0.41)
- ) 3/20/2035
6/20/2022 2,031
(3,300) 1,886
(0) 1,884-
SHIRE ACQUISITIONS
CCP_IRS. P JPY-LIBOR-BBA INVESTMENTS
6M CM (( 105.98)
(0.03) (( 2.88)
0.04) 9/23/2023
3/10/2038 1,100
61,000 1,0580 1,157
(17)
SL GREEN REALTY CORP ( 102.07) ( 4.50) 12/1/2022 2,400 2,400 2,441
RETIREMENT
Core Fixed Income
SLC STUDENT LOAN TRUST 20 1 A5 ( 98.88) ( 0.42) 3/15/2027 524 521 518
ABBVIE INC 144A
SLM STUDENT LOAN TRUST 10 A5A ($
( 104.01)
99.95) ( 3.45)
1.09) 3/15/2022
4/25/2027 3,600
28 ($ 3,744
28 ($ 3,708
28
ABBVIE INC 144A
SLM STUDENT LOAN TRUST 20 2 A5 (( 104.80)
112.29) (( 3.25)
- ) 10/1/2022
1/25/2024 1,100
44 1,149
53 1,144
50
ABBVIE INC 144A
SLM STUDENT LOAN TRUST 20 7 A4 (( 106.16)
98.09) (( 2.60)
0.39) 11/21/2024
10/25/2029 1,800
1,977 1,798
1,960 1,906
1,935
ABBVIE INC 144A
SPIRIT AEROSYSTEMS INC (( 108.77)
80.75) (( 2.95)
4.60) 11/21/2026
6/15/2028 1,900
1,700 1,898
1,712 2,060
1,369
ACCREDITED
SPIRIT MORTGAGE
AEROSYSTEMS INC LOAN 4 A2D (( 96.16)
84.50) (( 0.87)
3.95) 1/25/2035
6/15/2023 1,487
1,400 1,495
1,441 1,430
1,181
ACE SECURITIES
SPRINT SPECTRUM CORPCO HOLLCHE1 A2A
/ 144A (( 72.89)
108.52) (( 0.26)
4.74) 1/25/2037
9/20/2029 2,708
1,200 1,299
1,200 1,974
1,301
ADAMS MILL
STATE STREET CORPCLO LTD 1A A1R 144A (( 99.72)
100.13) (( 1.38)
1.29) 7/15/2026
8/18/2020 850
5,000 850
5,000 843
4,998
AIA GROUP
STORA ENSOLTD OYJREGS
REGS (( 103.96)
115.65) (( 3.13)
2.50) 3/13/2023
3/21/2028 2,000
500 2,034
554 2,061
574
ALLY MASTER ADJUSTABLE
STRUCTURED OWNER TRUST 3 A7A1
R 12 (( 99.99)
99.51) (( 0.50)
3.83) 7/15/2022
9/25/2034 1,400
161 1,400
161 1,400
159
ALTERNATIVE LOAN TRUST RA
STRUCTURED ADJUSTABLE 46CB
12 A9
9A (( 85.56)
98.88) (( 5.50)
3.54) 10/25/2035
9/25/2034 2,328
1,463 2,021
1,464 1,981
1,442
ALTERNATIVE
SUMITOMO MITSUI LOAN FINANCIAL
TRUST J13 2A3 GROU (( 83.42)
104.89) (( 5.50)
2.45) 11/25/2035
9/27/2024 1,352
2,300 1,037
2,300 1,122
2,398
AMEREN
SUNOCO CORPLOGISTICS PARTNERS OPER (( 105.97)
113.82) (( 2.50)
5.95) 9/15/2024
12/1/2025 1,800
495 1,799
551 1,894
561
AMERICAN
SYNCHRONYAIRLINES
BANK 2016-2 CLASS (( 81.46)
101.62) (( 3.65)
3.65) 12/15/2029
5/24/2021 2,246
1,800 1,539
1,799 1,826
1,822
AMERICAN HOMES 4 RENT
TEVA PHARMACEUTICAL LP REGS
FINAN (( 106.95)
111.80) (( 4.25)
0.38) 2/15/2028
7/25/2020 1,600
730 1,591
861 1,685
814
AMERICAN
THARALDSON HONDA
HOTELFINANCE
PO THL CORP
A 144A (( 99.78)
94.49) (( 0.84)
0.91) 2/15/2022
11/11/2034 3,800
1,134 3,800
1,133 3,787
1,071
AMERICAN TOWER CORPGOVERN 144A
TOKYO METROPOLITAN (( 108.57)
101.13) (( 3.38)
2.00) 5/15/2024
5/17/2021 2,200
2,300 2,193
2,292 2,379
2,320
AMERICAN
TOWD POINT WATER
MORTGA CAPITALGR4ACORP
A1 144A (( 114.54)
122.71) (( 3.45)
1.10) 6/1/2029
10/20/2051 500
1,984 499
2,623 571
2,426
ANHEUSER-BUSCH
TOWD POINT MORTGAG SJ3 INBEV WORLDWIDE
A1 144A (( 113.91)
101.58) (( 4.35)
3.00) 6/1/2040
11/25/2059 1,700
1,842 1,699
1,847 1,918
1,866
AT&T
TOYOTA INCTSUSHO CORP REGS (( 100.51)
107.05) (( 1.10)
3.63) 6/1/2021
9/13/2023 2,000
2,200 2,000
2,295 2,008
2,331
AT&T INC
U S TREASURY BOND (( 100.82)
114.52) (( 1.23)
2.00) 7/15/2021
2/15/2050 2,300
1,900 2,300
2,214 2,308
2,162
AT&T INC
U S TREASURY BOND (( 116.60)
123.35) (( 4.35)
2.50) 3/1/2029
2/15/2045 1,800
29,800 1,791
33,240 2,073
36,478
AURIUM CLO IIBOND
U S TREASURY DAC 2A AR 144A (( 110.99)
128.20) (( 0.68)
2.75) 10/13/2029
8/15/2042 900
200 1,047
208 997
254
AUTO ABS 2012-2
U S TREASURY BOND SRL 2 A REGS ( - )
130.64) ( 2.80)
2.88) 4/27/2025
5/15/2043 9,700- 9,870- 12,636-
U S TREASURY
AUTO BOND 12-2 A REGS
ABS COMPARTIM ( 136.36)
- ) ( 3.13)
2.80) 8/15/2044
4/27/2025 500- 650- 676-
U S TREASURYCOMMUNITIES
AVALONBAY BOND INC ( 136.90)
111.54) ( 3.00)
3.45) 2/15/2048
6/1/2025 4,800
3,200 4,797
3,194 6,517
3,560
U S TREASURY
AVANGRID INCBOND ( 146.06)
107.96) ( 3.63)
3.15) 8/15/2043
12/1/2024 3,200
1,700 3,705
1,702 4,630
1,831
U S TREASURY
AVANGRID INCNOTE ( 103.11)
115.77) ( 1.88)
3.80) 4/30/2022
6/1/2029 940
2,100 944
2,274 966
2,424
U S TREASURY
BANC OF AMERICA NOTEALTERNA 7 2CB1 ( 104.04)
96.97) ( 1.75)
6.00) 1/31/2023
8/25/2035 4,300
1,840 4,226
1,722 4,442
1,775
U S TREASURY
BANC OF AMERICA NOTEFUNDING 7 1A1 ( 106.07)
82.03) ( 1.75)
0.62) 6/30/2024
9/25/2036 5,300
2,579 5,360
1,730 5,618
2,115
U S TREASURY
BANC OF AMERICA NOTEFUNDING A 1A1 ( 107.31)
93.95) ( 2.25)
4.18) 1/31/2024
2/20/2036 400
142 399
125 425
132
U S TREASURY
BANK OF AMERICA NOTECORP ( 107.95)
99.67) ( 2.13)
1.12) 9/30/2024
3/5/2024 16,300
900 15,916
894 17,509
896
U S TREASURY
BANK OF AMERICA NOTECORP ( 112.32)
106.73) ( 2.25)
3.30) 8/15/2027
1/11/2023 30
2,400 29
2,404 33
2,524
UBS AG/STAMFORD
BANK OF AMERICA CORP CT ( 111.51)
111.07) ( 7.63)
4.13) 8/17/2022
1/22/2024 1,500
2,200 1,725
2,306 1,630
2,403
UBS GROUP AG
BANKUNITED 144A2005-1 1 1A1
TRUST ( 103.58)
94.56) ( 2.86)
0.77) 8/15/2023
9/25/2045 2,100
134 2,064
115 2,152
127
UDR INC BANK PLC
BARCLAYS ( 109.39)
108.88) ( 3.50)
7.63) 1/15/2028
11/21/2022 1,700
2,100 1,693
2,289 1,832
2,269
BARCLAYS
US 10YR NOTE PLC FUTURE (CBT) ( 101.54)
139.17) ( 2.56)
- ) 8/10/2021
9/21/2020 2,2000 2,222- 2,226
80
BARCLAYS
US 10YR NOTE PLC FUTURE SEP 20 (( 103.78)
3.13) (( 3.68)
- ) 1/10/2023
7/24/2020 2,700
(0) 2,700
(23) 2,755
(2)
BARCLAYS
US 5YR NOTE PLCFUTURE (CBT) (( 107.72)
125.74) (( 4.34)
- ) 5/16/2024
9/30/2020 1,7001 1,690- 1,822
198
BAYER US
US BANCORP FINANCE II LLC 144A (( 99.69)
103.00) (( 1.32)
1.45) 12/15/2023
5/12/2025 2,100
1,900 2,100
1,898 2,092
1,953
BEAR STEARNS
UTAH ST BRD OF RGTS ARM TRUST 1 12A5
REVENUE (( 94.60)
97.90) (( 3.83)
0.92) 4/25/2034
1/25/2057 634
935 630
930 598
915
VENDOME FUNDING CLO 1A A 15A1
BEAR STEARNS ARM TRUST 10 144A (( 92.40)
112.16) (( 3.98)
1.86) 1/25/2035
7/20/2031 175
2,000 173
2,260 161
2,243
BEAR STEARNS
VENTURE XII CLO ARML 12ATRUST
ARR2144A
8 1A1 (( 92.04)
98.67) (( 4.00)
1.17) 1/25/2034
2/28/2026 6093 6093 6013
BEAR
VEREITSTEARNS
OPERATING ARMPARTNERSHIP
TRUST 2 9 2A1L (( 98.46)
110.87) (( 3.89)
4.88) 2/25/2034
6/1/2026 556
700 549
782 546
773
BNP PARIBAS SA 144A
VERIZON COMMUNICATIONS INC (( 105.85)
111.26) (( 3.50)
3.38) 3/1/2023
2/15/2025 1,700
2,229 1,696
2,155 1,780
2,452
BOSTON
VESTEDAPROPERTIES
FINANCE BVLP REGS (( 104.52)
116.06) (( 2.90)
2.50) 3/15/2030
10/27/2022 2,300
3,000 2,299
3,629 2,384
3,426
BROADCOM
VOLKSWAGEN INC 144AGMBH REGS
BANK (( 107.24)
112.68) (( 3.46)
1.25) 9/15/2026
8/1/2022 1,513
800 1,550
913 1,617
891
CARLYLE
VOLKSWAGEN FINANCE BANK LLCGMBH
144A REGS (( 120.82)
114.91) (( 5.65)
1.88) 9/15/2048
1/31/2024 2,700
1,100 2,698
1,294 3,217
1,255
C-BASS 2007-CB5
VOLKSWAGEN TRUST
GROUP OFCB5 A2 144A
AMERI (( 74.41)
105.17) (( 0.34)
3.13) 4/25/2037
5/12/2023 4,432
2,000 2,337
2,007 3,297
2,095
CCP_CDS. SP UL CITIGROUP
WAHA AEROSPACE BV 144AINC. (( 0.29)
100.00) (( 1.00)
3.93) 12/20/2020
7/28/2020 5,500
110 104
110 14
108
CCP_CDS.
WALT SP UL
DISNEY SIMON PROPERTY
CO/THE (( (0.51)
105.97) (( 1.00)
2.65) 6/20/2022
1/13/2031 3,300
500 11
500 (18)
528
CCP_CDS._SP
WAMU MORTGAGE UL CITIGROUP
PASS-THINC.AR14 2A1 (( - )
92.87) (( - )
3.77) 12/20/2020
12/25/2035 (5,500)
177 (0)
161 163-
CCP_CDS._SP
WAMU MORTGAGE UL SIMON PROPERTYAR6 A
PASS-THROU ( - )
98.78) ( - )
0.59) 6/20/2022
5/25/2044 (3,300)
285 (0)
267 281-
CCP_IRS.
WASHINGTON P JPY-LIBOR-BBA
PRIME GROUP 6M LP
CM ( (0.03)
56.41) ( 0.04)
6.45) 3/10/2038
8/15/2024 61,000
2,900 2,8560 (17)
1,565
WELLS FARGO & CO ( 100.72) ( 1.99) 10/31/2023 4,000 4,000 4,015
57 2019–2020
were created REPORT
Core
WELLSFixed
FARGOIncomeBANK NA ( 100.23) ( 0.99) 5/27/2022 2,200 2,200 2,203
ABBVIE INC 144A
WELLS FARGO COMMERCIA LC25 ASB ($
( 104.01)
107.05) ( 3.45)
3.49) 3/15/2022
12/15/2059 3,600
2,700 ($ 3,744
2,781 ($ 3,708
2,882
ABBVIE INC 144A
WELLS FARGO COMMERCIAL C36 ASB ( 104.80) ( 3.25)
2.93) 10/1/2022
11/15/2059 1,100
3,800 1,149
3,914 1,144
3,973
ABBVIE INC 144A
WELLS FARGO MORTGAGE B AR16 A1 ( 106.16)
95.78) ( 2.60)
4.15) 11/21/2024
10/25/2036 1,800
637 1,798
545 1,906
608
ABBVIE
WELLTOWERINC 144AINC ( 108.77)
110.53) ( 2.95)
4.00) 11/21/2026
6/1/2025 1,900
3,300 1,898
3,298 2,060
3,636
ACCREDITED
WHITEHORSEMORTGAGEX LTD 10A A1R LOAN 4 A2D
144A ( 96.16)
99.40) ( 0.87)
1.20) 1/25/2035
4/17/2027 1,487
1,986 1,495
1,956 1,430
1,965
ACE SECURITIES
WRKCO INC CORP HO HE1 A2A ( 72.89)
119.68) ( 0.26)
4.90) 1/25/2037
3/15/2029 2,708
1,400 1,299
1,399 1,974
1,655
ADAMS MILL CLO LTD 1A
YARA INTERNATIONAL ASAA1R 144A
144A ( 99.72)
115.02) ( 1.38)
4.75) 7/15/2026
6/1/2028 850
2,200 850
2,194 843
2,522
AIA
CoreGROUP LTD REGS
Fixed Income ( 103.96) ( 3.13) 3/13/2023 2,000 ($ 844,678
769,663 2,034 ($ 2,061
871,598
ALLY
Core MASTER
Fixed Income OWNER TRUST 3 A
Receivable ( 99.99) ( 0.50) 7/15/2022 1,400 1,400 1,400
3,574
Total Core Fixed
ALTERNATIVE LOANIncome
TRUST 46CB A9 ( 85.56) ( 5.50) 10/25/2035 2,328 2,021 ($ 875,172
1,981
AMEREN
Issuer CORP ( Price
105.97) (Coupon Rate
2.50) Maturity
9/15/2024
Date 1,800 1,799 1,894
Shares Book Value Market Value
AMERICAN AIRLINES
Emerging Market Debt 2016-2 CLASS ( 81.46) ( 3.65) 12/15/2029 2,246 1,539 1,826
AMERICAN
ABU DHABI HOMES
GOVERNMENT 4 RENT INTELP 144A (($ 106.95)
118.08) ( 4.25)
3.88) 2/15/2028
4/16/2050 1,600
1,315 ($ 1,591
1,425 ($ 1,685
1,542
AMERICAN
ABU DHABI HONDA
GOVERNMENT FINANCE CORP
INTE REGS ( 99.78)
104.13) ( 0.84)
3.13) 2/15/2022
9/30/2049 3,800
1,029 3,800
1,091 3,787
1,063
AMERICAN TOWER CORP INTERN REGS
ANGOLAN GOVERNMENT ( 108.57)
80.80) ( 3.38)
9.13) 5/15/2024
11/26/2049 2,200
2,041 2,193
1,367 2,379
1,631
AMERICAN WATER CAPITAL
ANGOLAN GOVERNMENT CORP REGS
INTERN ( 114.54)
81.02) ( 3.45)
9.38) 6/1/2029
5/8/2048 500
2,011 499
2,096 571
1,621
ANGOLAN GOVERNMENT INTERN REGS WORLDWIDE ( 113.91)
82.00) ( 4.35)
8.00) 6/1/2040
11/26/2029 1,700
1,180 1,699
1,177 1,918
958
AT&T INC GOVERNMENT INTERN REGS
ANGOLAN ( 100.51)
82.00) ( 1.10)
8.25) 6/1/2021
5/9/2028 2,000
916 2,000
816 2,008
748
AT&T INC GOVERNMENT INTERN REGS
ANGOLAN ( 100.82)
89.62) ( 1.23)
9.50) 7/15/2021
11/12/2025 2,300
1,489 2,300
1,380 2,308
1,315
AT&T INC REPUBLIC GOVERNMENT
ARGENTINE ( 116.60)
38.70) ( 4.35)
6.88) 3/1/2029
1/11/2048 1,800
5,701 1,791
4,349 2,073
2,078
AURIUM CLOREPUBLIC
ARGENTINE II DAC 2AGOVERNMENT
AR 144A ( 110.99)
38.70) ( 0.68)
7.63) 10/13/2029
4/22/2046 900
2,232 1,047
1,791 997
864
AUTO ABS 2012-2
ARGENTINE REPUBLIC SRL 2GOVERNMENT
A REGS ( - )
39.00) ( 2.80)
3.75) 4/27/2025
12/31/2038 -
3,150 1,931- 1,229-
ARGENTINE REPUBLIC GOVERNMENT
AUTO ABS COMPARTIM 12-2 A REGS ( 39.70)
- ) ( 5.88)
2.80) 1/11/2028
4/27/2025 2,581
- 1,776- 1,025-
ARGENTINE
AVALONBAYREPUBLIC
COMMUNITIES GOVERNMENT
INC ( 40.20)
111.54) ( 7.50)
3.45) 4/22/2026
6/1/2025 1,981
3,200 1,929
3,194 796
3,560
ARGENTINE
AVANGRID INC REPUBLIC GOVERNMENT ( 41.20)
107.96) ( 5.63)
3.15) 1/26/2022
12/1/2024 3,175
1,700 1,434
1,702 1,308
1,831
ARGENTINE
AVANGRID INC REPUBLIC GOVERNMENT ( 41.50)
115.77) ( 6.88)
3.80) 4/22/2021
6/1/2029 5,484
2,100 3,802
2,274 2,276
2,424
ARGENTINE
BANC OF AMERICAREPUBLIC GOVERNMENT
ALTERNA 7 2CB1 ( 41.50)
96.97) ( 4.63)
6.00) 1/11/2023
8/25/2035 3,834
1,840 1,592
1,722 1,591
1,775
ARGENTINE
FUNDING 7 1A1 ( 44.25)
82.03) ( 8.28)
0.62) 12/31/2033
9/25/2036 1,403
2,579 1,131
1,730 621
2,115
ARGENTINE
FUNDING A 1A1 ( 44.25)
93.95) ( 8.28)
4.18) 12/31/2033
2/20/2036 421
142 414
125 186
132
BAHRAIN GOVERNMENT
BANK OF AMERICA CORP INTERN REGS ( 111.44)
99.67) ( 7.50)
1.12) 9/20/2047
3/5/2024 1,416
900 1,468
894 1,548
896
BANCO
BANK OFDEL ESTADOCORP
AMERICA DE CHILE REGS ( 103.49)
106.73) ( 3.88)
3.30) 2/8/2022
1/11/2023 450
2,400 462
2,404 459
2,524
BANCO
BANK OFDO BRASIL SA/CAYMAN
AMERICA CORP REGS ( 87.38)
111.07) ( 6.25)
4.13) 12/31/2049
1/22/2024 1,950
2,200 1,657
2,306 1,678
2,403
BANCO DO BRASIL
BANKUNITED TRUST SA/CAYMAN
2005-1 1 1A1 REGS ( 103.00)
94.56) ( 9.00)
0.77) 12/31/2049
9/25/2045 920
134 843
115 945
127
BANCO
BARCLAYS MERCANTIL
BANK PLCDEL NORTE REGS ( 94.05)
108.88) ( 7.50)
7.63) 12/31/2049
11/21/2022 420
2,100 334
2,289 395
2,269
BANCO
BARCLAYS MERCANTIL
PLC DEL NORTE REGS ( 94.56)
101.54) ( 6.75)
2.56) 12/31/2049
8/10/2021 415
2,200 321
2,222 392
2,226
BANCO NACIONAL
BARCLAYS PLC DE COSTA R REGS ( 98.00)
103.78) ( 6.25)
3.68) 11/1/2023
1/10/2023 710
2,700 722
2,700 688
2,755
BRAZILIAN
BARCLAYS PLC GOVERNMENT INTERNATI ( 96.00)
107.72) ( 5.00)
4.34) 1/27/2045
5/16/2024 1,093
1,700 930
1,690 1,026
1,822
BRAZILIAN GOVERNMENT
BAYER US FINANCE INTERNATI
II LLC 144A ( 103.75)
99.69) ( 5.63)
1.32) 1/7/2041
12/15/2023 400
2,100 383
2,100 404
2,092
BRAZILIAN
BEAR STEARNS GOVERNMENT
ARM TRUSTINTERNATI
1 12A5 ( 104.00)
94.60) ( 5.63)
3.83) 2/21/2047
4/25/2034 704
634 719
630 718
598
BRAZILIAN
ARM TRUSTINTERNATI
10 15A1 ( 104.55)
92.40) ( 4.63)
3.98) 1/13/2028
1/25/2035 561
175 566
173 574
161
BRAZILIAN
ARM TRUSTINTERNATI
2 8 1A1 ( 113.25)
92.04) ( 6.00)
4.00) 4/7/2026
1/25/2034 267
3 2893 2993
BRAZILIAN
BEAR STEARNSGOVERNMENT
ARM TRUSTINTERNATI
2 9 2A1 ( 120.10)
98.46) ( 7.13)
3.89) 1/20/2037
2/25/2034 720
556 796
549 842
546
BRAZILIAN
BNP PARIBAS GOVERNMENT
SA 144A INTERNATI ( 129.63)
105.85) ( 8.25)
3.50) 1/20/2034
3/1/2023 520
1,700 629
1,696 655
1,780
CEDC FINANCE
BOSTON CORP INTERNA
PROPERTIES LP 144A ( 71.00)
104.52) ( 10.00)
2.90) 12/31/2022
3/15/2030 335
2,300 325
2,299 238
2,384
CHILE GOVERNMENT
BROADCOM INC 144AINTERNATIONAL ( 109.50)
107.24) ( 3.24)
3.46) 2/6/2028
9/15/2026 345
1,513 345
1,550 373
1,617
CHINA
CARLYLE EVERGRANDE
FINANCE LLCGROUP 144A REGS ( 80.00)
120.82) ( 8.75)
5.65) 6/28/2025
9/15/2048 1,185
2,700 1,028
2,698 947
3,217
CHINA
C-BASS 2007-CB5 TRUST CB5 REGS
EVERGRANDE GROUP A2 ( 83.87)
74.41) ( 7.50)
0.34) 6/28/2023
4/25/2037 1,892
4,432 1,696
2,337 1,586
3,297
CHINA
CCP_CDS.EVERGRANDE
SP UL CITIGROUP GROUPINC. REGS ( 86.74)
0.29) ( 10.50)
1.00) 4/11/2024
12/20/2020 1,690
5,500 1,568
104 1,426
14
CHINA
CCP_CDS.EVERGRANDE
SP UL SIMON GROUP
PROPERTYREGS ( 94.00)
(0.51) ( 11.50)
1.00) 1/22/2023
6/20/2022 1,010
3,300 821
11 898
(18)
COLOMBIA GOVERNMENT
CCP_CDS._SP UL CITIGROUPINTERNATIO
INC. (( 100.50)
- ) (( 4.13)
- ) 5/15/2051
12/20/2020 600
(5,500) 592
(0) 601-
COLOMBIA GOVERNMENT
CCP_CDS._SP UL SIMON PROPERTY INTERNATIO (( 105.13)
- ) (( 3.88)
- ) 4/25/2027
6/20/2022 1,098
(3,300) 1,110
(0) 1,146-
COLOMBIA
CCP_IRS. GOVERNMENT 6M
P JPY-LIBOR-BBA INTERNATIO
CM (( 105.38)
(0.03) (( 4.00)
0.04) 2/26/2024
3/10/2038 830
61,000 8250 863
(17)
COLOMBIA GOVERNMENT INTERNATIO ( 113.25) ( 5.00) 6/15/2045 247 239 279
RETIREMENT
Core Fixed Income
COLOMBIA GOVERNMENT INTERNATIO ( 120.00) ( 5.63) 2/26/2044 1,031 1,092 1,217
ABBVIE
COLOMBIA INC GOVERNMENT
144A INTERNATIO ($( 104.01)
120.25) ( 3.45)
8.13) 3/15/2022
5/21/2024 3,600
1,036 ($ 3,744
1,277 ($ 3,708
1,236
ABBVIE
144A INTERNATIO ( 104.80)
124.85) ( 3.25)
6.13) 10/1/2022
1/18/2041 1,100
1,315 1,149
1,458 1,144
1,605
ABBVIE
144A INTERNATIO ( 106.16)
137.00) ( 2.60)
7.38) 11/21/2024
9/18/2037 1,800
751 1,798
918 1,906
1,013
ABBVIE
COMISION INCFEDERAL
144A DE ELECT REGS ( 108.77)
105.25) ( 2.95)
4.88) 11/21/2026
1/15/2024 1,900
780 1,898
795 2,060
803
ACCREDITED
COMISION FEDERAL MORTGAGE LOANREGS
DE ELECT 4 A2D ( 96.16)
106.00) ( 0.87)
5.75) 1/25/2035
2/14/2042 1,487
1,120 1,495
1,111 1,430
1,163
ACE
CORPSECURITIES
NACIONALCORP HO HE1D A2A
DEL COBRE REGS ( 72.89)
109.62) ( 0.26)
4.25) 1/25/2037
7/17/2042 2,708
599 1,299
593 1,974
645
ADAMS MILL CLODEL
CORP NACIONAL LTDCOBRE
1A A1RD144A REGS ( 99.72)
113.92) ( 1.38)
4.38) 7/15/2026
2/5/2049 850
997 850
998 843
1,118
AIA
CORPGROUP
NACIONALLTD REGS
DEL COBRE D REGS ( 103.96)
114.59) ( 3.13)
4.50) 3/13/2023
8/1/2047 2,000
576 2,034
607 2,061
649
ALLY
CORPMASTER
NACIONAL OWNER TRUSTD3 REGS
DEL COBRE A ( 99.99)
119.30) ( 0.50)
4.88) 7/15/2022
11/4/2044 1,400
1,403 1,400
1,342 1,400
1,663
ALTERNATIVE
CORP NACIONAL LOANDELTRUST
COBRE46CB A9
D REGS ( 85.56)
129.76) ( 5.50)
5.63) 10/25/2035
10/18/2043 2,328
1,181 2,021
1,394 1,981
1,519
ALTERNATIVE LOAN TRUST J13
COSTA RICA GOVERNMENT INT2A3REGS ( 83.42)
74.65) ( 5.50)
5.63) 11/25/2035
4/30/2043 1,352
580 1,037
519 1,122
427
AMEREN
COSTA RICA CORP GOVERNMENT INT REGS ( 105.97)
86.35) ( 2.50)
6.13) 9/15/2024
2/19/2031 1,800
466 1,799
485 1,894
392
AMERICAN
CREDIT BANK AIRLINES
OF MOSCOW2016-2VIA CLASS
REGS ( 81.46)
97.06) ( 3.65)
7.50) 12/15/2029
10/5/2027 2,246
200 1,539
195 1,826
191
CROATIA GOVERNMENT LP REGS
INTERN ( 106.95)
100.13) ( 4.25)
6.63) 2/15/2028
7/14/2020 1,600
1,510 1,591
1,632 1,685
1,465
AMERICAN HONDA FINANCE
CROATIA GOVERNMENT INTERN CORPREGS ( 99.78)
103.50) ( 0.84)
6.38) 2/15/2022
3/24/2021 3,800
1,440 3,800
1,559 3,787
1,466
AMERICAN TOWER CORPINTERN REGS
CROATIA GOVERNMENT ( 108.57)
114.38) ( 3.38)
6.00) 5/15/2024
1/26/2024 2,200
2,040 2,193
2,274 2,379
2,281
AMERICAN
CSN ISLANDS WATER
XI CORPCAPITAL
REGS CORP ( 114.54)
85.63) ( 3.45)
6.75) 6/1/2029
1/28/2028 500
620 499
539 571
513
ANHEUSER-BUSCH
CSN RESOURCES SAINBEV REGS WORLDWIDE ( 113.91)
93.00) ( 4.35)
7.63) 6/1/2040
2/13/2023 1,700
905 1,699
712 1,918
815
AT&T INC
DEVELOPMENT BANK OF KAZAK REGS ( 100.51)
103.72) ( 1.10)
4.13) 6/1/2021
12/10/2022 2,000
1,494 2,000
1,408 2,008
1,546
AT&T INC
DEVELOPMENT BANK OF MONGO REGS ( 100.82)
96.02) ( 1.23)
7.25) 7/15/2021
10/23/2023 2,300
400 2,300
416 2,308
379
AT&T
DIGICELINCGROUP 0.5 LTD ( 116.60)
69.00) ( 4.35)
10.00) 3/1/2029
4/1/2024 1,800
2,281 1,791
1,598 2,073
1,516
AURIUM CLO II DAC
DIGICEL GROUP 2A AR
0.5 LTD 144A144A ( 110.99)
7.00) ( 0.68)
7.00) 10/13/2029
12/31/2049 900
255 1,047
15 997
17
DIGICEL
AUTO ABS GROUP
2012-2 0.5SRL
LTD 2A144A
REGS ( 25.00)
- ) ( 8.00)
2.80) 4/1/2025
4/27/2025 818
- 205- 203-
DIGICEL
AUTO ABS INTERNATIONAL
COMPARTIM 12-2 FIN 144A
A REGS (( 60.00)
- ) (( 8.00)
2.80) 12/31/2026
4/27/2025 261
- 167- 152-
DIGICEL INTERNATIONAL
AVALONBAY COMMUNITIES FININC144A (( 84.00)
111.54) (( 13.00)
3.45) 12/31/2025
6/1/2025 35
3,200 32
3,194 30
3,560
DIGICEL
AVANGRID INTERNATIONAL
INC FIN 144A (( 97.50)
107.96) (( 8.75)
3.15) 5/25/2024
12/1/2024 589
1,700 564
1,702 568
1,831
DOMINICAN
AVANGRID INC REPUBLIC INTERN REGS (( 92.10)
115.77) (( 6.50)
3.80) 2/15/2048
6/1/2029 450
2,100 327
2,274 403
2,424
DOMINICAN
BANC OF AMERICA REPUBLIC INTERN
ALTERNA REGS
7 2CB1 (( 95.60)
96.97) (( 6.85)
6.00) 1/27/2045
8/25/2035 1,830
1,840 1,903
1,722 1,696
1,775
DOMINICAN
BANC OF AMERICA REPUBLIC INTERN7 REGS
FUNDING 1A1 (( 100.60)
82.03) (( 6.00)
0.62) 7/19/2028
9/25/2036 530
2,579 546
1,730 519
2,115
DOMINICAN
BANC OF AMERICA REPUBLIC INTERNA REGS
FUNDING 1A1 (( 101.15)
93.95) (( 5.50)
4.18) 1/27/2025
2/20/2036 523
142 533
125 517
132
DOMINICAN
BANK OF AMERICA REPUBLICCORP INTERN REGS (( 102.50)
99.67) (( 5.88)
1.12) 4/18/2024
3/5/2024 1,280
900 1,333
894 1,297
896
DOMINICAN
106.73) (( 7.45)
3.30) 4/30/2044
1/11/2023 870
2,400 959
2,404 883
2,524
DOMINICAN
111.07) (( 7.50)
4.13) 5/6/2021
1/22/2024 226
2,200 244
2,306 231
2,403
DOMINICAN
BANKUNITEDREPUBLIC
TRUST 2005-1INTERN REGS
1 1A1 (( 104.80)
94.56) (( 6.88)
0.77) 1/29/2026
9/25/2045 1,900
134 2,115
115 1,936
127
DOMINICAN
BARCLAYS REPUBLIC
BANK PLC INTERN REGS (( 104.85)
108.88) (( 6.60)
7.63) 1/28/2024
11/21/2022 730
2,100 787
2,289 745
2,269
DTEK FINANCE
BARCLAYS PLC PLC (( 58.77)
101.54) (( 10.75)
2.56) 12/31/2024
8/10/2021 1,193
2,200 1,210
2,222 669
2,226
ECUADOR
BARCLAYS PLC GOVERNMENT INTERN REGS (( 41.00)
103.78) (( 7.88)
3.68) 1/23/2028
1/10/2023 2,712
2,700 2,598
2,700 1,112
2,755
ECUADOR
BARCLAYS GOVERNMENT
PLC INTERN REGS (( 41.15)
107.72) (( 10.75)
4.34) 1/31/2029
5/16/2024 5,285
1,700 5,369
1,690 2,175
1,822
ECUADOR GOVERNMENT
BAYER US FINANCE INTERN REGS
II LLC 144A (( 42.00)
99.69) (( 8.88)
1.32) 10/23/2027
12/15/2023 4,891
2,100 3,992
2,100 2,054
2,092
ECUADOR
ARM TRUST INTERN
1 12A5REGS (( 42.50)
94.60) (( 9.50)
3.83) 3/27/2030
4/25/2034 4,059
634 2,546
630 1,725
598
ECUADOR
ARM TRUST INTERN
10 15A1 REGS (( 42.63)
92.40) (( 9.63)
3.98) 6/2/2027
1/25/2035 2,226
175 2,324
173 949
161
ECUADOR GOVERNMENT
BEAR STEARNS ARM TRUST 2 8 1A1 INTERN REGS (( 43.00)
92.04) (( 9.65)
4.00) 12/13/2026
1/25/2034 6,657
3 6,1483 2,8633
ECUADOR
BEAR STEARNSGOVERNMENT
ARM TRUST INTERN
2 9 2A1 REGS (( 45.60)
98.46) (( 8.75)
3.89) 6/2/2023
2/25/2034 1,472
556 1,539
549 671
546
ECUADOR
SA 144A INTERN REGS (( 48.50)
105.85) (( 10.75)
3.50) 3/28/2022
3/1/2023 5,053
1,700 3,798
1,696 2,451
1,780
ECUADOR GOVERNMENT
BOSTON PROPERTIES LP INTERN REGS (( 49.00)
104.52) (( 7.95)
2.90) 6/20/2024
3/15/2030 4,820
2,300 3,332
2,299 2,362
2,384
EGYPT
BROADCOMGOVERNMENT
INC 144A INTERNAT 144A (( 97.48)
107.24) (( 7.63)
3.46) 5/29/2032
9/15/2026 777
1,513 768
1,550 752
1,617
EGYPT
CARLYLE GOVERNMENT
FINANCE LLC INTERNAT
144A 144A (( 98.67)
120.82) (( 8.88)
5.65) 5/29/2050
9/15/2048 1,665
2,700 1,640
2,698 1,630
3,217
EGYPT GOVERNMENT
C-BASS 2007-CB5 TRUST CB5 A2INTERNAT REGS (( 92.27)
74.41) (( 7.90)
0.34) 2/21/2048
4/25/2037 1,912
4,432 1,920
2,337 1,710
3,297
EGYPT
CCP_CDS.GOVERNMENT
SP UL CITIGROUP INTERNATINC. REGS (( 92.75)
0.29) (( 8.15)
1.00) 11/20/2059
12/20/2020 200
5,500 150
104 184
14
EGYPT
CCP_CDS.GOVERNMENT
SP UL SIMONINTERNAT
PROPERTY REGS (( 97.50)
(0.51) (( 8.50)
1.00) 1/31/2047
6/20/2022 1,810
3,300 1,918
11 1,701
(18)
EGYPT GOVERNMENT
CCP_CDS._SP INTERNAT
UL CITIGROUP INC. REGS (( 97.88)
- ) (( 8.70)
- ) 3/1/2049
12/20/2020 275
(5,500) 294
(0) 261-
EGYPT GOVERNMENT INTERNAT REGS ( 98.55) ( 6.59) 2/21/2028 1,584 1,567 1,523
EGYPT GOVERNMENT INTERNAT REGS ( 101.75) ( 7.60) 3/1/2029 750 780 744
EL SALVADOR GOVERNMENT IN REGS ( 81.10) ( 7.12) 1/20/2050 821 730 640
59 2019–2020
were created REPORT
Core Fixed Income
EL SALVADOR GOVERNMENT IN REGS ( 84.65) ( 7.63) 2/1/2041 854 821 696
ABBVIE INC 144A
EL SALVADOR GOVERNMENT IN REGS ($
( 104.01)
85.75) ( 3.45)
6.38) 3/15/2022
1/18/2027 3,600
1,199 ($ 3,744
1,023 ($ 3,708
994
ABBVIE INC 144A
EL SALVADOR GOVERNMENT IN REGS ( 104.80)
86.75) ( 3.25)
7.65) 10/1/2022
6/15/2035 1,100
600 1,149
616 1,144
518
ABBVIE INC 144A
87.75) ( 2.60)
5.88) 11/21/2024
1/30/2025 1,800
449 1,798
425 1,906
383
ABBVIE INC 144A
91.25) ( 2.95)
8.25) 11/21/2026
4/10/2032 1,900
605 1,898
616 2,060
541
ACCREDITED
EL SALVADORMORTGAGE
GOVERNMENT LOAN IN 4REGS
A2D ( 96.16)
95.50) ( 0.87)
8.63) 1/25/2035
2/28/2029 1,487
953 1,495
1,042 1,430
882
ACE SECURITIES
EMPRESA CORP HO HE1
DE TRANSPORTE A2A
DE 144A ( 72.89)
114.69) ( 0.26)
4.70) 1/25/2037
5/7/2050 2,708
438 1,299
432 1,974
499
ADAMS
EMPRESA MILL CLO LTDDEL
NACIONAL 1A A1R
PETR144A
REGS ( 99.72)
103.21) ( 1.38)
3.75) 7/15/2026
8/5/2026 850
510 850
496 843
519
AIA GROUPNACIONAL
EMPRESA LTD REGSDEL PETR REGS ( 103.96)
104.80) ( 3.13)
4.50) 3/13/2023
9/14/2047 2,000
847 2,034
833 2,061
876
ALLY
ESKOMMASTER
HOLDINGSOWNER SOCTRUST
LTD REGS3A ( 99.99)
92.55) ( 0.50)
7.13) 7/15/2022
2/11/2025 1,400
1,119 1,400
1,109 1,400
1,005
ALTERNATIVE
ESKOM HOLDINGS LOANSOC TRUST
LTD46CB
REGSA9 ( 85.56)
93.13) ( 5.50)
8.45) 10/25/2035
8/10/2028 2,328
260 2,021
260 1,981
234
ALTERNATIVE
ESKOM HOLDINGS LOANSOC TRUST
LTDJ13REGS2A3 ( 83.42)
93.13) ( 5.50)
8.45) 11/25/2035
8/10/2028 1,352
200 1,037
228 1,122
180
AMEREN CORP BANK OF IND REGS
EXPORT-IMPORT ( 105.97)
102.78) ( 2.50)
3.38) 9/15/2024
8/5/2026 1,800
360 1,799
335 1,894
365
AMERICAN
EXPORT-IMPORT AIRLINES
BANK 2016-2
OF IND CLASS
REGS ( 81.46)
104.40) ( 3.65)
4.00) 12/15/2029
1/14/2023 2,246
770 1,539
788 1,826
790
FANTASIA HOLDINGS GROUP LPC REGS ( 106.95)
100.99) ( 4.25)
10.88) 2/15/2028
1/9/2023 1,600
495 1,591
504 1,685
474
FANTASIA HOLDINGS GROUP CORPC REGS ( 99.78)
104.75) ( 0.84)
12.25) 2/15/2022
10/18/2022 3,800
400 3,800
415 3,787
409
AMERICAN
FIRST QUANTUM TOWER CORP LT REGS
MINERALS ( 108.57)
94.38) ( 3.38)
6.50) 5/15/2024
3/1/2024 2,200
1,130 2,193
996 2,379
1,042
AMERICAN
FIRST QUANTUM WATER CAPITAL CORP
MINERALS LT REGS ( 114.54)
94.75) ( 3.45)
6.88) 6/1/2029
3/1/2026 500
1,130 499
1,082 571
1,045
ANHEUSER-BUSCH
FIRST QUANTUM MINERALS INBEV WORLDWIDE
LT REGS ( 113.91)
95.50) ( 4.35)
7.25) 6/1/2040
4/1/2023 1,700
1,130 1,699
1,006 1,918
1,059
AT&T INC
FIRST QUANTUM MINERALS LT REGS ( 100.51)
95.75) ( 1.10)
7.50) 6/1/2021
4/1/2025 2,000
1,140 2,000
1,134 2,008
1,070
AT&T
GABON INC
GOVERNMENT INTERNAT REGS ( 100.82)
89.10) ( 1.23)
6.63) 7/15/2021
2/6/2031 2,300
1,297 2,300
886 2,308
1,121
AT&T
GABON INC
GOVERNMENT INTERNAT REGS ( 116.60)
94.55) ( 4.35)
6.38) 3/1/2029
12/12/2024 1,800
849 1,791
774 2,073
800
AURIUM
GEORGIACLO II DAC 2A ARINTERN
GOVERNMENT 144A REGS ( 110.99)
101.63) ( 0.68)
6.88) 10/13/2029
4/12/2021 900 1,047
983 997
901
GEORGIAN
AUTO RAILWAY
ABS 2012-2 SRLJSC2 AREGS
REGS ( 100.25)
- ) ( 7.75)
2.80) 7/11/2022
4/27/2025 700
- 758- 676-
GHANAABS
AUTO GOVERNMENT
COMPARTIMINTERNAT12-2 A REGS 144A (( 90.30)
- ) (( 8.75)
2.80) 3/11/2061
4/27/2025 208
- 205- 181-
AVALONBAY COMMUNITIES INC 144A
GHANA GOVERNMENT INTERNAT (( 90.50)
111.54) (( 7.88)
3.45) 2/11/2035
6/1/2025 415
3,200 411
3,194 363
3,560
GHANA GOVERNMENT
AVANGRID INC INTERNAT REGS (( 91.33)
107.96) (( 8.95)
3.15) 3/26/2051
12/1/2024 500
1,700 523
1,702 445
1,831
GHANA GOVERNMENT
AVANGRID INC INTERNAT REGS (( 93.85)
115.77) (( 8.13)
3.80) 3/26/2032
6/1/2029 650
2,100 667
2,274 600
2,424
GHANA
BANC OFGOVERNMENT
AMERICA ALTERNA INTERNAT REGS
7 2CB1 (( 94.14)
96.97) (( 7.63)
6.00) 5/16/2029
8/25/2035 731
1,840 744
1,722 681
1,775
GHANA
BANC OFGOVERNMENT
AMERICA FUNDING INTERNAT7 1A1REGS (( 101.26)
82.03) (( 8.13)
0.62) 1/18/2026
9/25/2036 400
2,579 433
1,730 390
2,115
GMO-ECDF
BANC FBO SOUTH
OF AMERICA CAROLINA
93.95) ( - )
4.18) -
2/20/2036 11,306
142 298,167
125 294,857
132
HUNGARY GOVERNMENT
BANK OF AMERICA CORP INTERNATION ( 113.44)
99.67) ( 5.38)
1.12) 3/25/2024
3/5/2024 1,198
900 1,335
894 1,342
896
HUNGARY GOVERNMENT
106.73) ( 5.75)
3.30) 11/22/2023
1/11/2023 1,788
2,400 2,023
2,404 2,020
2,524
HUNGARY GOVERNMENT
111.07) ( 7.63)
4.13) 3/29/2041
1/22/2024 284
2,200 414
2,306 469
2,403
INDONESIA
BANKUNITED ASAHAN ALUMINIU
TRUST 2005-1 144A
1 1A1 ( 106.74)
94.56) ( 4.75)
0.77) 5/15/2025
9/25/2045 322
134 319
115 342
127
INDONESIA
BARCLAYS BANK ASAHAN PLC ALUMINIU 144A ( 111.52)
108.88) ( 5.45)
7.63) 5/15/2030
11/21/2022 395
2,100 386
2,289 438
2,269
INDONESIA
BARCLAYS PLC ASAHAN ALUMINIU 144A ( 111.77)
101.54) ( 5.80)
2.56) 5/15/2050
8/10/2021 200
2,200 186
2,222 222
2,226
INDONESIA
BARCLAYS PLC ASAHAN ALUMINIU REGS ( 108.25)
103.78) ( 5.71)
3.68) 11/15/2023
1/10/2023 671
2,700 731
2,700 721
2,755
INDONESIA
BARCLAYS PLC ASAHAN ALUMINIU REGS ( 121.52)
107.72) ( 6.76)
4.34) 11/15/2048
5/16/2024 598
1,700 704
1,690 722
1,822
INDONESIA GOVERNMENT
BAYER US FINANCE INTE REGS
II LLC 144A ( 117.34)
99.69) ( 4.75)
1.32) 7/18/2047
12/15/2023 584
2,100 615
2,100 673
2,092
INDONESIA
ARM TRUSTINTE 1 12A5REGS ( 122.41)
94.60) ( 5.13)
3.83) 1/15/2045
4/25/2034 1,496
634 1,550
630 1,796
598
INDONESIA
ARM TRUSTINTE REGS
10 15A1 ( 123.78)
92.40) ( 5.25)
3.98) 1/17/2042
1/25/2035 669
175 740
173 812
161
INDONESIA
ARM TRUSTINTE REGS
2 8 1A1 ( 125.02)
92.04) ( 5.25)
4.00) 1/8/2047
1/25/2034 911
3 1,0013 1,1163
INDONESIA
ARM TRUSTINTE REGS
2 9 2A1 ( 136.44)
98.46) ( 5.95)
3.89) 1/8/2046
2/25/2034 793
556 929
549 1,059
546
INDONESIA
SA 144A INTE REGS ( 136.71)
105.85) ( 6.63)
3.50) 2/17/2037
3/1/2023 661
1,700 841
1,696 887
1,780
INDONESIA
BOSTON GOVERNMENT
PROPERTIES LP INTE REGS ( 150.70)
104.52) ( 7.75)
2.90) 1/17/2038
3/15/2030 760
2,300 1,041
2,299 1,118
2,384
INDONESIA GOVERNMENT
BROADCOM INC 144A INTE REGS ( 155.36)
107.24) ( 8.50)
3.46) 10/12/2035
9/15/2026 475
1,513 706
1,550 729
1,617
IRAQ INTERNATIONAL
CARLYLE FINANCE LLC 144A BOND REGS ( 90.00)
120.82) ( 5.80)
5.65) 1/15/2028
9/15/2048 550
2,700 510
2,698 480
3,217
IVORY COAST
C-BASS GOVERNMENT
2007-CB5 TRUST CB5 A2 IN REGS ( 102.00)
74.41) ( 6.38)
0.34) 3/3/2028
4/25/2037 570
4,432 539
2,337 569
3,297
IVORY COAST
CCP_CDS. GOVERNMENT
SP UL CITIGROUP INC. IN REGS ( 104.74)
0.29) ( 6.88)
1.00) 10/17/2040
12/20/2020 1,468
5,500 1,631
104 1,459
14
IVORY COAST
CCP_CDS. GOVERNMENT
SP UL SIMON PROPERTY IN REGS ( 105.29)
(0.51) ( 5.88)
1.00) 10/17/2031
6/20/2022 975
3,300 1,145
11 982
(18)
JAMAICA GOVERNMENT
CCP_CDS._SP UL CITIGROUP INTERNATION
INC. (( 122.15)
- ) (( 7.88)
- ) 7/28/2045
12/20/2020 770
(5,500) 919
(0) 915-
JORDAN GOVERNMENT
CCP_CDS._SP UL SIMON INTERNA
PROPERTY REGS (( 103.52)
- ) (( 5.75)
- ) 1/31/2027
6/20/2022 323
(3,300) 314
(0) 327-
KAISA GROUP
CCP_IRS. HOLDINGS LTD
P JPY-LIBOR-BBA 6MREGS
CM (( 91.49)
(0.03) (( 9.38)
0.04) 6/30/2024
3/10/2038 1,725
61,000 1,5450 1,578
(17)
KAISA GROUP HOLDINGS LTD REGS ( 98.87) ( 8.50) 6/30/2022 1,185 1,073 1,171
RETIREMENT
Core
KAISAFixed
GROUPIncome
HOLDINGS LTD REGS ( 99.87) ( 10.88) 7/23/2023 870 811 827
ABBVIE INC 144A
KAISA GROUP HOLDINGS LTD REGS ($
( 104.01)
102.24) ( 3.45)
11.50) 3/15/2022
1/30/2023 3,600
410 ($ 3,744
394 ($ 3,708
399
ABBVIE INC 144A
KAZAKHSTAN GOVERNMENT INT REGS ( 104.80)
147.84) ( 3.25)
6.50) 10/1/2022
7/21/2045 1,100
1,054 1,149
1,216 1,144
1,528
ABBVIE INC 144A
KAZAKHSTAN TEMIR ZHOLY FI REGS ( 106.16)
132.55) ( 2.60)
6.95) 11/21/2024
7/10/2042 1,800
1,102 1,798
1,082 1,906
1,424
ABBVIE INC 144ANATIONAL CO J REGS
KAZMUNAYGAS ( 108.77)
113.13) ( 2.95)
5.38) 11/21/2026
4/24/2030 1,900
885 1,898
907 2,060
992
ACCREDITED
KAZMUNAYGAS MORTGAGE
NATIONALLOAN CO J 4REGS
A2D ( 96.16)
125.76) ( 0.87)
6.38) 1/25/2035
10/24/2048 1,487
465 1,495
502 1,430
579
ACE SECURITIES
KENYA GOVERNMENTCORP HO HE1 A2A
INTERNAT REGS ( 72.89)
98.50) ( 0.26)
7.00) 1/25/2037
5/22/2027 2,708
290 1,299
305 1,974
283
ADAMS MILL CLO LTD 1A
KENYA GOVERNMENT A1R 144A
INTERNAT REGS ( 99.72)
98.50) ( 1.38)
8.00) 7/15/2026
5/22/2032 850
849 850
898 843
829
AIA GROUPGOVERNMENT
LEBANON LTD REGS INTERN REGS ( 103.96)
16.90) ( 3.13)
6.60) 3/13/2023
11/27/2026 2,000
635 2,034
586 2,061
107
ALLY MASTER
LEBANON OWNER TRUST
GOVERNMENT 3 A REGS
INTERN ( 99.99)
16.99) ( 0.50)
7.00) 7/15/2022
3/23/2032 1,400
1,158 1,400
899 1,400
197
ALTERNATIVE LOAN TRUSTINTERN
LEBANON GOVERNMENT 46CB A9REGS ( 85.56)
17.03) ( 5.50)
7.05) 10/25/2035
11/2/2035 2,328
77 2,021
35 1,981
13
ALTERNATIVE LOAN TRUSTINTERN
LEBANON GOVERNMENT J13 2A3REGS ( 83.42)
17.04) ( 5.50)
6.85) 11/25/2035
3/23/2027 1,352
1,545 1,037
1,080 1,122
263
AMEREN
LEBANONCORP GOVERNMENT INTERN REGS ( 105.97)
17.25) ( 2.50)
6.00) 9/15/2024
1/27/2023 1,800
385 1,799
368 1,894
66
LEBANON GOVERNMENT CLASSREGS
INTERN ( 81.46)
17.80) ( 3.65)
6.10) 12/15/2029
10/4/2022 2,246
4,583 1,539
3,593 1,826
816
AMERICAN HOMES 4 RENTINTERN
LEBANON GOVERNMENT LP REGS ( 106.95)
18.02) ( 4.25)
7.25) 2/15/2028
3/23/2037 1,600
667 1,591
496 1,685
120
LEBANON GOVERNMENT CORPREGS
INTERN ( 99.78)
18.25) ( 0.84)
8.25) 2/15/2022
4/12/2021 3,800
3,738 3,800
3,621 3,787
682
AMERICAN TOWER CORP INTERN REGS
LEBANON GOVERNMENT ( 108.57)
19.03) ( 3.38)
5.80) 5/15/2024
4/14/2020 2,200
1,357 2,193
1,044 2,379
258
LEBANON GOVERNMENT CORP
INTERNATION ( 114.54)
18.95) ( 3.45)
6.15) 6/1/2029
6/19/2020 500
2,400 499
1,876 571
455
ANHEUSER-BUSCH
LEBANON GOVERNMENT INBEV INTERNATION
WORLDWIDE ( 113.91)
19.10) ( 4.35)
6.38) 6/1/2040
3/9/2020 1,700
1,926 1,699
1,738 1,918
368
AT&T INC BV REGS
METINVEST ( 100.51)
93.13) ( 1.10)
7.75) 6/1/2021
10/17/2029 2,000
390 2,000
370 2,008
360
AT&T INC BV REGS
METINVEST ( 100.82)
97.52) ( 1.23)
8.50) 7/15/2021
4/23/2026 2,300
760 2,300
742 2,308
729
AT&T INC BV REGS
METINVEST ( 116.60)
98.60) ( 4.35)
7.75) 3/1/2029
4/23/2023 1,800
1,390 1,791
994 2,073
1,332
AURIUM CLO II DAC 2A AR
MEXICO GOVERNMENT 144A
INTERNATIONA ( 110.99)
100.02) ( 0.68)
4.35) 10/13/2029
1/15/2047 900
584 1,047
582 997
572
MEXICO
AUTO GOVERNMENT
ABS 2012-2 SRL 2 INTERNATIONA
A REGS ( 106.00)
- ) ( 4.75)
2.80) 3/8/2044
4/27/2025 512
- 494- 535-
MEXICO
AUTO GOVERNMENT
ABS COMPARTIM INTERNATIONA
12-2 A REGS (( 111.00)
- ) (( 5.75)
2.80) 10/12/2110
4/27/2025 690
- 691- 757-
MEXICO GOVERNMENT
AVALONBAY COMMUNITIES INTERNATIONA
INC (( 117.85)
111.54) (( 5.55)
3.45) 1/21/2045
6/1/2025 714
3,200 790
3,194 824
3,560
MEXICO GOVERNMENT
AVANGRID INC INTERNATIONA (( 121.93)
107.96) (( 6.05)
3.15) 1/11/2040
12/1/2024 380
1,700 436
1,702 452
1,831
MONDRIANINC
AVANGRID EMERGING MARKETS DEBT ( 23.20)
115.77) ( - )
3.80) -
6/1/2029 10,895
2,100 262,897
2,274 252,796
2,424
MONGOLIA GOVERNMENT
BANC OF AMERICA ALTERNA INTER REGS
7 2CB1 ( 99.88)
96.97) ( 5.63)
6.00) 5/1/2023
8/25/2035 346
1,840 350
1,722 342
1,775
BANC OF AMERICA
MONGOLIAN MINING FUNDING
CORP 7 1A1 ( 82.03)
53.00) ( 0.62)
- ) 9/25/2036
12/31/2049 2,579
250 1,730
111 2,115
133
BANC OF AMERICA
MOROCCO FUNDING
GOVERNMENT A 1A1REGS
INTERN ( 93.95)
105.24) ( 4.18)
4.25) 2/20/2036
12/11/2022 142
779 125
797 132
818
BANK OF AMERICA
MOROCCO CORP INTERN REGS
GOVERNMENT ( 99.67)
121.96) ( 1.12)
5.50) 3/5/2024
12/11/2042 900
430 894
460 896
523
BANKWORLD
NEW OF AMERICA CORP NV REGS
RESOURCES ( 106.73)
1.68) ( 3.30)
8.00) 1/11/2023
4/7/2020 2,400
558 2,404
177 2,5249
BANK OFGOVERNMENT
NIGERIA AMERICA CORPINTERN REGS ( 111.07)
89.06) ( 4.13)
7.63) 1/22/2024
11/28/2047 2,200
793 2,306
803 2,403
701
BANKUNITED
NIGERIA TRUST 2005-1
GOVERNMENT INTERN 1 1A1
REGS ( 94.56)
91.00) ( 0.77)
7.70) 9/25/2045
2/23/2038 134
669 115
676 127
590
BARCLAYS
NIGERIA BANK PLC INTERN REGS
GOVERNMENT ( 108.88)
94.80) ( 7.63)
6.50) 11/21/2022
11/28/2027 2,100
1,009 2,289
1,015 2,269
951
BARCLAYS
NIGERIA PLC
GOVERNMENT INTERN REGS ( 101.54)
101.01) ( 2.56)
9.25) 8/10/2021
1/21/2049 2,200
550 2,222
582 2,226
533
BARCLAYS
OI SA PLC ( 103.78)
83.25) ( 3.68)
10.00) 1/10/2023
7/27/2025 2,700
6,810 2,700
5,945 2,755
5,393
BARCLAYS
OIL AND GAS PLCHOLDING CO BS REGS ( 107.72)
108.11) ( 4.34)
7.63) 5/16/2024
11/7/2024 1,700
538 1,690
608 1,822
575
BAYER
OIL AND USGAS
FINANCE
HOLDINGII LLC
CO144ABS REGS ( 99.69)
110.06) ( 1.32)
8.38) 12/15/2023
11/7/2028 2,100
300 2,100
300 2,092
326
BEAR
OIL STEARNS
AND ARM TRUST
GAS HOLDING CO BS 1 12A5
REGS ( 94.60)
110.06) ( 3.83)
8.38) 4/25/2034
11/7/2028 634
350 630
396 598
381
BEAR STEARNS
OMAN ARM TRUST
GOVERNMENT 10 15A1
INTERNATI REGS ( 92.40)
86.25) ( 3.98)
6.75) 1/25/2035
1/17/2048 175
1,244 173
1,168 161
1,035
BEAR STEARNS
OMAN ARM TRUST
GOVERNMENT 2 8 1A1
86.27) ( 4.00)
6.50) 1/25/2034
3/8/2047 3
2,139 1,9533 1,8023
BEAR
OMANSTEARNS ARM TRUST
GOVERNMENT 2 9 2A1
92.36) ( 3.89)
4.75) 2/25/2034
6/15/2026 556
457 549
434 546
421
BNP PARIBAS
PAKISTAN SA 144A
GOVERNMENT INTER REGS ( 105.85)
98.37) ( 3.50)
6.88) 3/1/2023
12/5/2027 1,700
2,465 1,696
2,426 1,780
2,412
BOSTON
PAKISTANPROPERTIES
GOVERNMENT LP INTER REGS ( 104.52)
103.71) ( 2.90)
8.25) 3/15/2030
9/30/2025 2,300
497 2,299
534 2,384
505
BROADCOM INC 144A
PAKISTAN GOVERNMENT INTER REGS ( 107.24)
104.07) ( 3.46)
8.25) 9/15/2026
4/15/2024 1,513
2,091 1,550
2,267 1,617
2,140
CARLYLE FINANCESA
PAMPA ENERGIA LLCREGS
144A ( 120.82)
85.01) ( 5.65)
7.38) 9/15/2048
7/21/2023 2,700
1,300 2,698
857 3,217
1,063
C-BASS
PANAMA 2007-CB5 TRUST CB5
GOVERNMENT A2
108.75) ( 0.34)
4.00) 4/25/2037
9/22/2024 4,432
450 2,337
464 3,297
484
CCP_CDS. SP UL CITIGROUP
PANAMA GOVERNMENT INC.
119.13) ( 1.00)
4.30) 12/20/2020
4/29/2053 5,500
960 104
885 14
1,137
CCP_CDS. SP UL SIMON PROPERTY
PANAMA GOVERNMENT INTERNATIONA ( (0.51)
122.50) ( 1.00)
4.50) 6/20/2022
5/15/2047 3,300
490 11
517 (18)
597
PANAMA GOVERNMENT
CCP_CDS._SP UL CITIGROUP INTERNATIONA
INC. ( 126.50)
- ) ( 7.13)
- ) 1/29/2026
12/20/2020 260
(5,500) 329
(0) 321-
PANAMA GOVERNMENT
CCP_CDS._SP UL SIMON PROPERTY INTERNATIONA (( 142.00)
- ) (( 8.88)
- ) 9/30/2027
6/20/2022 473
(3,300) 665
(0) 661-
PANAMA PGOVERNMENT
CCP_IRS. JPY-LIBOR-BBAINTERNATIONA
6M CM (( 143.88)
(0.03) (( 6.70)
0.04) 1/26/2036
3/10/2038 848
61,000 1,0750 1,196
(17)
PANAMA GOVERNMENT INTERNATIONA ( 151.75) ( 9.38) 4/1/2029 537 797 802
61 2019–2020
were created REPORT
Core Fixed Income
PARAGUAY GOVERNMENT INTER REGS ( 105.00) ( 4.63) 1/25/2023 591 613 609
ABBVIE
PARAGUAY INC GOVERNMENT
144A INTER REGS ($
( 104.01)
109.25) ( 3.45)
4.70) 3/15/2022
3/27/2027 3,600
382 ($ 3,744
393 ($ 3,708
413
ABBVIE
PERTAMINAINC 144A
PERSERO PT REGS ( 104.80)
100.26) ( 3.25)
4.18) 10/1/2022
1/21/2050 1,100
507 1,149
522 1,144
499
ABBVIE
PERTAMINAINC 144A
118.48) ( 2.60)
6.00) 11/21/2024
5/3/2042 1,800
360 1,798
339 1,906
423
ABBVIE
PERTAMINAINC 144A
130.68) ( 2.95)
6.50) 11/21/2026
11/7/2048 1,900
331 1,898
325 2,060
429
ACCREDITED
PERUSAHAANMORTGAGE
PENERBIT SBSNLOAN144A 4 A2D ( 96.16)
102.80) ( 0.87)
3.80) 1/25/2035
6/23/2050 1,487
229 1,495
229 1,430
235
ACE SECURITIES
PERUSAHAAN CORP HOSBSN
PENERBIT HE1 REGS
A2A ( 72.89)
109.53) ( 0.26)
4.33) 1/25/2037
5/28/2025 2,708
262 1,299
264 1,974
286
ADAMS MILL CLO
PERUSAHAAN LTD 1ASBSN
PENERBIT A1R 144A
REGS ( 99.72)
110.54) ( 1.38)
4.55) 7/15/2026
3/29/2026 850 850
878 843
930
AIA GROUP LTDPERSEROAN
PERUSAHAAN REGS PERS REGS ( 103.96)
104.40) ( 3.13)
5.50) 3/13/2023
11/22/2021 2,000
911 2,034
971 2,061
946
ALLY MASTER OWNER
PERUSAHAAN PERSEROAN TRUSTPERS3 AREGS ( 99.99)
112.50) ( 0.50)
5.25) 7/15/2022
5/15/2047 1,400
445 1,400
464 1,400
498
ALTERNATIVE
PERUSAHAAN LOAN TRUST PERS
PERSEROAN 46CB REGS
A9 ( 85.56)
124.25) ( 5.50)
6.15) 10/25/2035
5/21/2048 2,328
901 2,021
973 1,981
1,113
ALTERNATIVE LOAN TRUSTINTERNATIO
PERUVIAN GOVERNMENT J13 2A3 ( 83.42)
127.25) ( 5.50)
7.35) 11/25/2035
7/21/2025 1,352
1,197 1,037
1,530 1,122
1,484
AMEREN
PERUVIANCORP GOVERNMENT INTERNATIO ( 105.97)
157.75) ( 2.50)
5.63) 9/15/2024
11/18/2050 1,800
2,082 1,799
2,558 1,894
3,270
PERUVIAN GOVERNMENT CLASS
INTERNATIO ( 81.46)
166.75) ( 3.65)
8.75) 12/15/2029
11/21/2033 2,246
1,818 1,539
2,782 1,826
3,014
AMERICAN
PETROLEOSHOMES 4 RENT LP
DE VENEZUELA SA REGS ( 106.95)
2.40) ( 4.25)
5.38) 2/15/2028
4/12/2027 1,600
390 1,591
134 1,6859
AMERICAN
PETROLEOSHONDA FINANCESACORP
DE VENEZUELA REGS ( 99.78)
2.40) ( 0.84)
9.00) 2/15/2022
11/17/2021 3,800
845 3,800
358 3,787
20
AMERICAN
PETROLEOSTOWER CORP SA REGS
DE VENEZUELA ( 108.57)
2.40) ( 3.38)
12.75) 5/15/2024
2/17/2022 2,200
452 2,193
232 2,379
11
AMERICAN
PETROLEOSWATER CAPITALSA
DE VENEZUELA CORPREGS ( 114.54)
2.50) ( 3.45)
9.75) 6/1/2029
5/17/2035 500
1,123 499
487 571
28
ANHEUSER-BUSCH
PETROLEOS DE VENEZUELA INBEV WORLDWIDE
SA REGS ( 113.91)
9.00) ( 4.35)
8.50) 6/1/2040
10/27/2020 1,700
3,087 1,699
2,310 1,918
278
AT&T INC DEL PERU SA REGS
PETROLEOS ( 100.51)
117.05) ( 1.10)
5.63) 6/1/2021
6/19/2047 2,000
639 2,000
691 2,008
747
AT&T INC MEXICANOS
PETROLEOS ( 100.82)
74.27) ( 1.23)
6.35) 7/15/2021
2/12/2048 2,300
1,036 2,300
883 2,308
745
AT&T INC MEXICANOS
PETROLEOS ( 116.60)
76.89) ( 4.35)
6.75) 3/1/2029
9/21/2047 1,800
3,632 1,791
3,252 2,073
2,724
AURIUM CLOMEXICANOS
PETROLEOS II DAC 2A AR 144A
REGS ( 110.99)
76.87) ( 0.68)
6.95) 10/13/2029
1/28/2060 900
4,448 1,047
2,891 997
3,288
PETROLEOS MEXICANOS
AUTO ABS 2012-2 SRL 2 AREGS
REGS ( 83.45)
- ) ( 7.69)
2.80) 1/23/2050
4/27/2025 2,014
- 2,243- 1,613-
PETRONAS CAPITAL LTD 12-2
AUTO ABS COMPARTIM 144AA REGS (( 126.59)
- ) (( 4.55)
2.80) 4/21/2050
4/27/2025 1,270
- 1,498- 1,596-
PETRONAS CAPITAL
AVALONBAY COMMUNITIES LTD 144AINC (( 137.24)
111.54) (( 4.80)
3.45) 4/21/2060
6/1/2025 262
3,200 262
3,194 357
3,560
PHILIPPINE
AVANGRID INC GOVERNMENT INTERNAT (( 103.73)
107.96) (( 2.95)
3.15) 5/5/2045
12/1/2024 451
1,700 451
1,702 466
1,831
PHILIPPINE
AVANGRID INC GOVERNMENT INTERNAT (( 139.83)
115.77) (( 10.63)
3.80) 3/16/2025
6/1/2029 506
2,100 778
2,274 692
2,424
PHILIPPINE GOVERNMENT
BANC OF AMERICA ALTERNA INTERNAT
7 2CB1 (( 143.88)
96.97) (( 6.38)
6.00) 10/23/2034
8/25/2035 850
1,840 1,156
1,722 1,213
1,775
PHILIPPINE
BANC GOVERNMENT
OF AMERICA FUNDING INTERNAT
7 1A1 (( 149.35)
82.03) (( 7.75)
0.62) 1/14/2031
9/25/2036 1,143
2,579 1,664
1,730 1,666
2,115
PHILIPPINE
BANC GOVERNMENT
OF AMERICA FUNDING INTERNAT
A 1A1 (( 162.59)
93.95) (( 9.50)
4.18) 2/2/2030
2/20/2036 1,031
142 1,648
125 1,636
132
POWER
BANK OFSECTOR
AMERICA ASSETS
CORP& LIA REGS (( 122.55)
99.67) (( 7.39)
1.12) 12/2/2024
3/5/2024 1,372
900 1,751
894 1,673
896
QATAROF
BANK GOVERNMENT
AMERICA CORP INTERNAT REGS (( 108.45)
106.73) (( 3.25)
3.30) 6/2/2026
1/11/2023 1,498
2,400 1,555
2,404 1,621
2,524
QATAROF
BANK GOVERNMENT
AMERICA CORP INTERNAT REGS (( 131.42)
111.07) (( 4.82)
4.13) 3/14/2049
1/22/2024 2,538
2,200 2,858
2,306 3,299
2,403
QATAR GOVERNMENT
BANKUNITED INTERNAT
TRUST 2005-1 1 1A1REGS (( 135.91)
94.56) (( 5.10)
0.77) 4/23/2048
9/25/2045 1,672
134 1,857
115 2,256
127
REPUBLIC OF
BARCLAYS BANKBELARUS
PLC INTER REGS (( 95.39)
108.88) (( 6.20)
7.63) 2/28/2030
11/21/2022 602
2,100 598
2,289 561
2,269
REPUBLIC OF
BARCLAYS PLCBELARUS INTER REGS (( 100.00)
101.54) (( 6.88)
2.56) 2/28/2023
8/10/2021 1,682
2,200 1,818
2,222 1,642
2,226
BARCLAYS PLCBELARUS INTER REGS
REPUBLIC OF (( 102.93)
103.78) (( 7.63)
3.68) 6/29/2027
1/10/2023 490
2,700 547
2,700 504
2,755
REPUBLIC OF
BARCLAYS PLCSOUTH AFRICA GOVER (( 81.93)
107.72) (( 5.00)
4.34) 10/12/2046
5/16/2024 341
1,700 320
1,690 276
1,822
REPUBLIC
BAYER US OF SOUTHII AFRICA
FINANCE LLC 144A GOVER (( 86.76)
99.69) (( 5.75)
1.32) 9/30/2049
12/15/2023 675
2,100 675
2,100 576
2,092
REPUBLIC
BEAR OF SOUTH
STEARNS AFRICA1GOVER
ARM TRUST 12A5 (( 86.79)
94.60) (( 5.65)
3.83) 9/27/2047
4/25/2034 1,279
634 1,271
630 1,091
598
REPUBLIC
BEAR OF SOUTH
STEARNS AFRICA10
ARM TRUST GOVER
15A1 (( 92.69)
92.40) (( 4.30)
3.98) 10/12/2028
1/25/2035 1,660
175 1,639
173 1,523
161
REPUBLIC OF SOUTH
BEAR STEARNS AFRICA2GOVER
ARM TRUST 8 1A1 (( 101.54)
92.04) (( 5.88)
4.00) 6/22/2030
1/25/2034 483
3 5013 4903
REPUBLIC
BEAR OF SOUTH
STEARNS AFRICA2GOVER
ARM TRUST 9 2A1 (( 105.56)
98.46) (( 5.88)
3.89) 5/30/2022
2/25/2034 428
556 463
549 450
546
ROMANIAN
BNP PARIBASGOVERNMENT
SA 144A INTER 144A (( 121.09)
105.85) (( 3.62)
3.50) 5/26/2030
3/1/2023 430
1,700 471
1,696 519
1,780
ROMANIAN
BOSTON GOVERNMENT
PROPERTIES LP INTER REGS (( 106.24)
104.52) (( 4.38)
2.90) 8/22/2023
3/15/2030 1,442
2,300 1,519
2,299 1,509
2,384
ROMANIAN GOVERNMENT
BROADCOM INC 144A INTER REGS (( 107.47)
107.24) (( 6.75)
3.46) 2/7/2022
9/15/2026 838
1,513 922
1,550 878
1,617
CARLYLE FINANCE LLC 144AINTER REGS
ROMANIAN GOVERNMENT (( 108.81)
120.82) (( 3.38)
5.65) 1/28/2050
9/15/2048 1,189
2,700 1,219
2,698 1,275
3,217
ROMANIAN
C-BASS GOVERNMENT
2007-CB5 TRUST CB5INTERA2 REGS (( 131.00)
74.41) (( 6.13)
0.34) 1/22/2044
4/25/2037 252
4,432 308
2,337 323
3,297
RUSSIAN FOREIGN
CCP_CDS. BOND - EU
SP UL CITIGROUP REGS
INC. (( 111.75)
0.29) (( 4.25)
1.00) 6/23/2027
12/20/2020 600
5,500 586
104 670
14
RUSSIAN
CCP_CDS.FOREIGN
SP UL SIMONBONDPROPERTY
- EU REGS (( 113.63)
(0.51) (( 4.38)
1.00) 3/21/2029
6/20/2022 1,200
3,300 1,201
11 1,349
(18)
RUSSIAN FOREIGN
CCP_CDS._SP BOND - EUINC.
UL CITIGROUP REGS (( 132.00)
- ) (( 5.25)
- ) 6/23/2047
12/20/2020 2,000
(5,500) 2,201
(0) 2,638-
SAMARCO MINERACAO SA REGS ( 51.50) ( 4.13) 11/1/2022 1,650 1,084 848
SAMARCO MINERACAO SA REGS ( 51.50) ( 5.38) 9/26/2024 1,480 1,102 762
SAMARCO MINERACAO SA REGS ( 51.50) ( 5.75) 10/24/2023 2,325 1,699 1,175
RETIREMENT
Core
SAUDIFixed Income INTERNAT 144A
GOVERNMENT ( 114.98) ( 4.50) 4/22/2060 520 515 593
ABBVIE INC 144A
SAUDI GOVERNMENT INTERNAT REGS ($
( 104.01)
101.92) ( 3.45)
3.75) 3/15/2022
1/21/2055 3,600
1,059 ($ 3,744
938 ($ 3,708
1,063
ABBVIE INC 144A
SAUDI GOVERNMENT INTERNAT REGS ( 104.80)
123.59) ( 3.25)
5.00) 10/1/2022
4/17/2049 1,100
1,466 1,149
1,613 1,144
1,797
ABBVIE INC 144A
SAUDI GOVERNMENT INTERNAT REGS ( 106.16)
128.48) ( 2.60)
5.25) 11/21/2024
1/16/2050 1,800
1,711 1,798
1,826 1,906
2,157
ABBVIE
SCENERYINC 144A LTD REGS
JOURNEY ( 108.77)
93.51) ( 2.95)
12.00) 11/21/2026
10/24/2023 1,900
800 1,898
707 2,060
706
ACCREDITED
SCENERY MORTGAGE
JOURNEY LTD REGSLOAN 4 A2D ( 96.16)
94.75) ( 0.87)
11.50) 1/25/2035
10/24/2022 1,487
1,260 1,495
1,188 1,430
1,131
ACE SECURITIES
SCENERY JOURNEY CORP
LTDHO HE1 A2A
REGS ( 72.89)
97.49) ( 0.26)
13.75) 1/25/2037
11/6/2023 2,708
200 1,299
188 1,974
191
ADAMS MILLDESIGNATED
SCF CAPITAL CLO LTD 1A A1R 144A
AC REGS ( 99.72)
106.74) ( 1.38)
5.38) 7/15/2026
6/16/2023 850
1,023 850
1,065 843
1,090
AIA GROUP
SENEGAL LTD REGS INTERN REGS
GOVERNMENT ( 103.96)
96.48) ( 3.13)
6.75) 3/13/2023
3/13/2048 2,000
798 2,034
759 2,061
754
ALLY MASTER
SINOCHEM OWNER CAPITAL
OVERSEAS TRUST 3 A REGS ( 99.99)
101.06) ( 0.50)
4.50) 7/15/2022
11/12/2020 1,400
1,100 1,400
1,145 1,400
1,105
ALTERNATIVE
SINOPEC GROUP LOAN TRUST 46CB
OVERSEAS A9
DE 144A ( 85.56)
102.80) ( 5.50)
2.70) 10/25/2035
5/13/2030 2,328
692 2,021
689 1,981
709
ALTERNATIVE
SINOPEC GROUP LOAN TRUST J13
OVERSEAS DE 2A3
144A ( 83.42)
105.77) ( 5.50)
3.35) 11/25/2035
5/13/2050 1,352
208 1,037
208 1,122
219
AMEREN CORP OVERSEAS DE REGS
SINOPEC GROUP ( 105.97)
128.59) ( 2.50)
4.88) 9/15/2024
5/17/2042 1,800
650 1,799
750 1,894
832
AMERICAN
SOUTHERN AIRLINES
GAS CORRIDOR2016-2CJS CLASS
REGS ( 81.46)
114.99) ( 3.65)
6.88) 12/15/2029
3/24/2026 2,246
1,910 1,539
2,099 1,826
2,161
AMERICAN HOMES 4 RENTINTE
SRI LANKA GOVERNMENT LP REGS ( 106.95)
64.76) ( 4.25)
6.20) 2/15/2028
5/11/2027 1,600
779 1,591
759 1,685
498
SRI LANKA GOVERNMENT INTE CORP
REGS ( 99.78)
64.76) ( 0.84)
6.75) 2/15/2022
4/18/2028 3,800
208 3,800
205 3,787
132
AMERICAN TOWER CORP INTE REGS
SRI LANKA GOVERNMENT ( 108.57)
64.76) ( 3.38)
7.55) 5/15/2024
3/28/2030 2,200
907 2,193
895 2,379
570
SRI LANKA GOVERNMENT CORP
INTE REGS ( 114.54)
65.13) ( 3.45)
7.85) 6/1/2029
3/14/2029 500
297 499
312 571
187
ANHEUSER-BUSCH
SRI LANKA GOVERNMENT INBEV WORLDWIDE
INTE REGS ( 113.91)
65.13) ( 4.35)
7.85) 6/1/2040
3/14/2029 1,700
753 1,699
753 1,918
473
AT&T INC GOVERNMENT INTE REGS
SRI LANKA ( 100.51)
65.50) ( 1.10)
6.83) 6/1/2021
7/18/2026 2,000
392 2,000
409 2,008
245
AT&T INC
STATE OIL CO OF THE AZERB REGS ( 100.82)
103.82) ( 1.23)
4.75) 7/15/2021
3/13/2023 2,300
200 2,300
209 2,308
205
AT&T INC
STATE OIL CO OF THE AZERB REGS ( 116.60)
117.77) ( 4.35)
6.95) 3/1/2029
3/18/2030 1,800
1,210 1,791
1,288 2,073
1,401
AURIUM CLO
SURINAME II DAC 2A AR 144A
GOVERNMENT INTER REGS ( 110.99)
43.57) ( 0.68)
9.25) 10/13/2029
10/26/2026 900
807 1,047
786 997
338
THIRD
AUTO ABSPAKISTAN
2012-2INTERNATIO
SRL 2 A REGS REGS ( 97.25)
- ) ( 5.63)
2.80) 12/5/2022
4/27/2025 759
- 752- 735-
THIRD
AUTO ABSPAKISTAN INTERNATIO
COMPARTIM 12-2 AREGS
REGS (( 97.31)
- ) (( 5.50)
2.80) 10/13/2021
4/27/2025 276
- 282- 265-
TURKEY
AVALONBAY GOVERNMENT
COMMUNITIES INTERNATIONA
INC (( 77.08)
111.54) (( 4.88)
3.45) 4/16/2043
6/1/2025 1,267
3,200 1,028
3,194 964
3,560
TURKEY
AVANGRID GOVERNMENT
INC INTERNATIONA (( 81.41)
107.96) (( 5.75)
3.15) 5/11/2047
12/1/2024 1,357
1,700 1,122
1,702 1,094
1,831
TURKEY
AVANGRID GOVERNMENT
INC INTERNATIONA (( 86.15)
115.77) (( 6.00)
3.80) 1/14/2041
6/1/2029 350
2,100 367
2,274 292
2,424
TURKEY
BANC OFGOVERNMENT
AMERICA ALTERNA INTERNATIONA
7 2CB1 (( 93.08)
96.97) (( 4.25)
6.00) 3/13/2025
8/25/2035 1,078
1,840 1,066
1,722 986
1,775
TURKEY
BANC OFGOVERNMENT
AMERICA FUNDING INTERNATIONA
7 1A1 (( 94.00)
82.03) (( 6.75)
0.62) 5/30/2040
9/25/2036 446
2,579 478
1,730 417
2,115
TURKEY
BANC OFGOVERNMENT
AMERICA FUNDING INTERNATIONA
A 1A1 (( 94.39)
93.95) (( 3.25)
4.18) 3/23/2023
2/20/2036 490
142 452
125 458
132
TURKEY
BANK OFGOVERNMENT
AMERICA CORP INTERNATIONA (( 96.94)
99.67) (( 6.13)
1.12) 10/24/2028
3/5/2024 796
900 784
894 763
896
TURKEY
BANK OFGOVERNMENT
106.73) (( 6.88)
3.30) 3/17/2036
1/11/2023 320
2,400 347
2,404 305
2,524
TURKEY
BANK OFGOVERNMENT
111.07) (( 6.00)
4.13) 3/25/2027
1/22/2024 820
2,200 788
2,306 786
2,403
TURKEY
BANKUNITEDGOVERNMENT
TRUST 2005-1 INTERNATIONA
1 1A1 (( 98.25)
94.56) (( 5.60)
0.77) 11/14/2024
9/25/2045 1,953
134 1,949
115 1,905
127
TURKEY
BARCLAYS GOVERNMENT
BANK PLC INTERNATIONA (( 99.19)
108.88) (( 5.75)
7.63) 3/22/2024
11/21/2022 673
2,100 700
2,289 657
2,269
TURKEY
BARCLAYS GOVERNMENT
PLC INTERNATIONA (( 101.00)
101.54) (( 6.35)
2.56) 8/10/2024
8/10/2021 1,250
2,200 1,245
2,222 1,231
2,226
TURKEY GOVERNMENT
BARCLAYS PLC INTERNATIONA (( 101.66)
103.78) (( 5.63)
3.68) 3/30/2021
1/10/2023 240
2,700 251
2,700 241
2,755
TURKEY
BARCLAYS GOVERNMENT
PLC INTERNATIONA (( 103.94)
107.72) (( 7.25)
4.34) 12/23/2023
5/16/2024 400
1,700 423
1,690 415
1,822
TURKEY
BAYER US GOVERNMENT
FINANCE II LLCINTERNATIONA
144A (( 105.27)
99.69) (( 7.38)
1.32) 2/5/2025
12/15/2023 887
2,100 1,015
2,100 907
2,092
UKRAINE GOVERNMENT
BEAR STEARNS ARM TRUST INTERN
1 12A5 REGS (( 100.35)
94.60) (( 7.38)
3.83) 9/25/2032
4/25/2034 3,841
634 3,499
630 3,779
598
UKRAINE GOVERNMENT
10 15A1REGS (( 103.75)
92.40) (( 7.75)
3.98) 9/1/2027
1/25/2035 1,105
175 1,100
173 1,118
161
UKRAINE GOVERNMENT
2 8 1A1REGS (( 104.03)
92.04) (( 7.75)
4.00) 9/1/2022
1/25/2034 417
3 4163 4233
UKRAINE
BEAR GOVERNMENT
STEARNS ARM TRUST INTERN
2 9 2A1REGS (( 104.04)
98.46) (( 7.75)
3.89) 9/1/2026
2/25/2034 1,220
556 1,212
549 1,238
546
UKRAINE
BNP GOVERNMENT
PARIBAS SA 144A INTERN REGS (( 104.15)
105.85) (( 7.75)
3.50) 9/1/2024
3/1/2023 430
1,700 412
1,696 437
1,780
UKRAINEPROPERTIES
BOSTON GOVERNMENT LP INTERN REGS (( 104.21)
104.52) (( 7.75)
2.90) 9/1/2025
3/15/2030 1,866
2,300 1,829
2,299 1,896
2,384
UKRAINE GOVERNMENT
BROADCOM INC 144A INTERN REGS (( 104.68)
107.24) (( 7.75)
3.46) 9/1/2023
9/15/2026 1,030
1,513 1,038
1,550 1,052
1,617
UKRAINEFINANCE
CARLYLE GOVERNMENT LLC 144AINTERN REGS (( 107.26)
120.82) (( 8.99)
5.65) 2/1/2024
9/15/2048 632
2,700 644
2,698 654
3,217
UKRAINE GOVERNMENT
C-BASS 2007-CB5 TRUST CB5 INTERN A2 REGS (( 113.89)
74.41) (( 9.75)
0.34) 11/1/2028
4/25/2037 932
4,432 1,034
2,337 1,046
3,297
UKRAINE RAILWAYS
CCP_CDS. VIA SHOR
SP UL CITIGROUP REGS
INC. (( 100.43)
0.29) (( 9.88)
1.00) 9/15/2021
12/20/2020 129
5,500 129
104 126
14
UKREXIMBANK
CCP_CDS. SP ULVIA BIZ FINAN
SIMON PROPERTY REGS (( 101.00)
(0.51) (( 9.75)
1.00) 1/22/2025
6/20/2022 630
3,300 612
11 609
(18)
URUGUAY GOVERNMENT
CCP_CDS._SP UL CITIGROUP INTERNATION
INC. (( 115.00)
- ) (( 4.13)
- ) 11/20/2045
12/20/2020 620
(5,500) 545
(0) 710-
URUGUAY GOVERNMENT INTERNATION ( 128.10) ( 4.98) 4/20/2055 1,668 1,715 2,121
URUGUAY GOVERNMENT INTERNATION ( 129.00) ( 5.10) 6/18/2050 590 582 760
URUGUAY GOVERNMENT INTERNATION ( 151.25) ( 7.88) 1/15/2033 970 1,287 1,432
63 2019–2020
were created REPORT
Core Fixed GOVERNMENT
URUGUAY Income INTERNATION ( 151.50) ( 7.63) 3/21/2036 750 992 1,120
ABBVIE
VENEZUELAINC 144A
GOVERNMENT INTE REGS ($( 104.01)
5.75) ( 3.45)
8.25) 3/15/2022
10/13/2024 3,600
887 ($ 3,744
366 ($ 3,708
51
ABBVIE INC 144A
VENEZUELA GOVERNMENT INTE REGS ( 104.80)
5.75) ( 3.25)
9.00) 10/1/2022
5/7/2023 1,100
354 1,149
143 1,144
20
ABBVIE INC 144A
5.75) ( 2.60)
9.25) 11/21/2024
5/7/2028 1,800
583 1,798
232 1,906
34
ABBVIE INC 144A
5.75) ( 2.95)
11.75) 11/21/2026
10/21/2026 1,900
3,598 1,898
1,711 2,060
207
ACCREDITEDGOVERNMENT
VENEZUELA MORTGAGE LOAN INTE4REGS
A2D ( 96.16)
5.75) ( 0.87)
11.95) 1/25/2035
8/5/2031 1,487
5,984 1,495
2,770 1,430
344
ACE SECURITIES
VENEZUELA CORP HO HE1
GOVERNMENT INTEA2AREGS ( 72.89)
5.75) ( 0.26)
12.75) 1/25/2037
8/23/2022 2,708
788 1,299
383 1,974
45
ADAMS MILLGOVERNMENT
VENEZUELA CLO LTD 1A A1R INTE144A
REGS ( 99.72)
6.00) ( 1.38)
7.75) 7/15/2026
10/13/2019 850
412 850
171 843
25
AIA GROUP LTD
VENEZUELA REGS
GOVERNMENT INTERNATI ( 103.96)
5.75) ( 3.13)
9.25) 3/13/2023
9/15/2027 2,000
982 2,034
389 2,061
56
ALLY MASTER
VIETNAM OWNER TRUST
GOVERNMENT INTERN3 A REGS ( 99.99)
109.00) ( 0.50)
4.80) 7/15/2022
11/19/2024 1,400
1,036 1,400
1,065 1,400
1,123
ALTERNATIVE EMERGING
WELLINGTON LOAN TRUSTLOCAL46CB DEBT
A9 (( 85.56)
5.92) (( 5.50)
- ) 10/25/2035
(blank) 2,328
62,151 2,021
414,583 1,981
367,931
ALTERNATIVE
YPF SA REGS LOAN TRUST J13 2A3 (( 83.42)
80.55) (( 5.50)
8.75) 11/25/2035
4/4/2024 1,352
3,503 1,037
2,871 1,122
2,748
AMERENGOVERNMENT
ZAMBIA CORP INTERNA REGS (( 105.97)
51.81) (( 2.50)
8.97) 9/15/2024
7/30/2027 1,800
1,492 1,799
1,219 1,894
717
ZAMBIA GOVERNMENT CLASSREGS
INTERNA (( 81.46)
52.41) (( 3.65)
5.38) 12/15/2029
9/20/2022 2,246
500 1,539
336 1,826
255
AMERICAN
ZAMBIA HOMES 4 RENT
GOVERNMENT LP
INTERNA REGS (( 106.95)
52.75) (( 4.25)
8.50) 2/15/2028
4/14/2024 1,600
380 1,591
319 1,685
194
AMERICANMarket
Emerging HONDADebtFINANCE CORP ( 99.78) ( 0.84) 2/15/2022 3,800 ($ 1,317,294
455,089 3,800 ($ 1,212,177
3,787
AMERICANMarket
Emerging TOWERDebtCORPReceivable ( 108.57) ( 3.38) 5/15/2024 2,200 2,193 2,379
5,039
AMERICAN
Total EmergingWATER CAPITAL
Market DebtCORP ( 114.54) ( 3.45) 6/1/2029 500 499 ($ 1,217,216
571
AT&T INC
Issuer ( Price
100.51) (Coupon Rate
1.10) Maturity
6/1/2021
Date 2,000 Book Value
Shares 2,000 Market Value
2,008
AT&TYield
High INC Bonds / Bank Loans ( 100.82) ( 1.23) 7/15/2021 2,300 2,300 2,308
1-800 INC
AT&T CONTACTS 1/17 COV-LITE (($ 116.60)
97.09) (( 4.35)
- ) 3/1/2029
1/22/2023 1,800
1,995 ($ 1,791
1,958 ($ 2,073
1,937
AURIUMLTCG
2018-A CLO SECURITIZ
II DAC 2A ARA A144A
144A (( 110.99)
100.01) (( 0.68)
4.59) 10/13/2029
6/15/2048 900
1,081 1,047
1,081 997
1,079
AUTO ABS
2Y-10 CMS CAP2012-2 SRL 2 A REGS (( - )
0.20) (( 2.80)
- ) 4/27/2025
7/29/2022 -
900 131- 179-
AUTO CMS
2Y-10 ABS COMPARTIM
CAP 12-2 A REGS (( - )
0.31) (( 2.80)
- ) 4/27/2025
7/29/2022 -
2,710 635- 833-
AVALONBAY COMMUNITIES
AASET 2018-2 US LTD 2A B 144A INC (( 111.54)
54.55) (( 3.45)
5.43) 6/1/2025
11/18/2038 3,200
877 3,194
877 3,560
476
AVANGRID
AASET INCTRUST 2 A 144A
2019-2 (( 107.96)
90.24) (( 3.15)
3.38) 12/1/2024
10/16/2039 1,700
1,328 1,702
1,199 1,831
1,196
AVANGRID
AASET INCTRUST 2 B 144A
2019-2 (( 115.77)
53.46) (( 3.80)
4.46) 6/1/2029
10/16/2039 2,100
2,025 2,274
2,025 2,424
1,079
BANC OF AMERICA
AASET 2020-1 TRUST ALTERNA
1A B 144A 7 2CB1 (( 96.97)
53.03) (( 6.00)
4.34) 8/25/2035
1/16/2040 1,840
980 1,722
979 1,775
517
BANC OF AMERICA
AASET AASET_14-1 FUNDING 7 1A1 (( 82.03)
87.98) (( 0.62)
5.43) 9/25/2036
11/18/2038 2,579
604 1,730
501 2,115
530
ABN AMRO BANK NV (PFE) A 1A1
BANC OF AMERICA FUNDING (( 93.95)
87.98) (( 4.18)
4.46) 2/20/2036
12/15/2038 142
862 125
714 132
758
BANK OFHEALTHCARE
ACADIA AMERICA CORP CO INC (( 99.67)
100.04) (( 1.12)
5.63) 3/5/2024
2/15/2023 900
140 894
135 896
137
BANK OFHEALTHCARE
ACADIA AMERICA CORP CO INC 144A (( 106.73)
100.25) (( 3.30)
5.50) 1/11/2023
7/1/2028 2,400
845 2,404
845 2,524
846
BANK OF AMERICA
ACCUNIA EUROPEAN CORP
CL 1A CR 144A (( 111.07)
110.80) (( 4.13)
2.70) 1/22/2024
7/15/2030 2,200
470 2,306
534 2,403
518
BANKUNITED
ACCUNIA TRUST 2005-1
EUROPEAN CL 1A ER 1 1A1
144A (( 94.56)
100.13) (( 0.77)
6.28) 9/25/2045
7/15/2030 134
250 115
283 127
247
BARCLAYS BANK PLC
ACCUNIA EUROPEAN CL 4A DE 144A (( 108.88)
103.55) (( 7.63)
3.60) 11/21/2022
4/20/2033 2,100
1,120 2,289
1,236 2,269
1,146
BARCLAYSEUROPEAN
ACCUNIA PLC CLO 3X D REGS (( 101.54)
103.34) (( 2.56)
3.05) 8/10/2021
1/20/2031 2,200
580 2,222
626 2,226
595
BARCLAYS PLC ( 103.78) ( 3.68) 1/10/2023 2,700 2,700 2,755
ACCURIDE 11/17 TLB ( 62.70) ( - ) 11/17/2023 1,346 1,318 844
BARCLAYS PLC ( 107.72) ( 4.34) 5/16/2024 1,700 1,690 1,822
ACE SECURITIES CORP H ASP1 A2B ( 60.13) ( 0.37) 3/25/2037 1,408 892 847
ACIS CLO 2014-3 LTD 3A C 144A ( 97.42) ( 3.19) 2/1/2026 1,405 1,356 1,361
ACIS CLO 2014-3 LTD 3A D 144A ( 96.72) ( 3.81) 2/1/2026 2,660 2,627 2,556
ACIS CLO 2014-4 LTD 4A C 144A ( 96.41) ( 3.24) 5/1/2026 1,000 930 959
ACIS CLO 2015-6 LTD 6A C 144A ( 97.96) ( 4.06) 5/1/2027 1,250 1,214 1,216
ACIS CLO 2015-6 LTD 6A D 144A ( 95.79) ( 4.46) 5/1/2027 4,730 4,728 4,495
BNP PARIBAS SA 144A ( 105.85) ( 3.50) 3/1/2023 1,700 1,696 1,780
ACIS CLO 2017-7 LTD 7A C 144A ( 96.67) ( 3.39) 5/1/2027 1,595 1,507 1,533
ACRISURE 1/20 TLB ( 94.25) ( - ) 2/12/2027 349 329 329
BROADCOM INC 144A ( 107.24) ( 3.46) 9/15/2026 1,513 1,550 1,617
ACRISURE LLC / ACRISURE F 144A ( 95.63) ( 7.00) 11/15/2025 925 860 876
ADAGIO CLO VIII DAC A D 144A ( 102.27) ( 3.80) 4/15/2032 965 1,070 978
ADVANCED
CCP_CDS. SPCOMPUTER
UL CITIGROUP9/19INC. (( 94.91)
0.29) (( - )
1.00) 9/18/2026
12/20/2020 1,896
5,500 1,818
104 1,799
14
AES CORP/THE
CCP_CDS. SP UL144A
SIMON PROPERTY (( 105.75)
(0.51) (( 3.95)
1.00) 7/15/2030
6/20/2022 930
3,300 926
11 980
(18)
AFFORDABLE CARE
CCP_CDS._SP 10/15 TL INC.
UL CITIGROUP (( 88.00)
- ) (( - )
- ) 10/24/2022
12/20/2020 252
(5,500) 247
(0) 222-
AIM AVIATION FINANC 1A B1 144A ( 27.54) ( 5.07) 2/15/2040 0 0 -
AKORN 11/13
CCP_IRS. COV-LITE TLB6M CM
P JPY-LIBOR-BBA (( 94.63)
(0.03) (( - )
0.04) 4/16/2021
3/10/2038 837
61,000 8020 782
(17)
AKZONOBEL SPECIALTY CHEMICALS ( 93.58) ( - ) 10/1/2025 499 475 467
RETIREMENT
Core Fixed EURO
ALBACORE Income CLO I 1A D 144A ( 110.07) ( 3.87) 7/18/2031 2,145 2,357 2,361
ABBVIE
ALBACORE INCEURO
144A CLO I 1A E 144A ($
( 104.01)
106.70) ( 3.45)
6.13) 3/15/2022
7/18/2031 3,600
1,200 ($ 3,744
1,278 ($ 3,708
1,280
ABBVIE INC 144A
ALBERTSONS COS INC / SAFE 144A ( 104.80)
100.00) ( 3.25)
4.63) 10/1/2022
1/15/2027 1,100
515 1,149
523 1,144
501
ABBVIE
ALESCO INC 144A FU 9A A1 144A
PREFERRED ( 106.16)
90.51) ( 2.60)
1.56) 11/21/2024
6/23/2036 1,800
10,327 1,798
8,360 1,906
9,342
ABBVIE INC 144A
ALLEGHANY CORP ( 108.77)
106.11) ( 2.95)
3.63) 11/21/2026
5/15/2030 1,900
1,680 1,898
1,791 2,060
1,775
ACCREDITED
ALLEGRO CLOMORTGAGE
I LTD 1A C 144A LOAN 4 A2D ( 96.16)
99.54) ( 0.87)
3.72) 1/25/2035
1/30/2026 1,487
1,455 1,495
1,328 1,430
1,438
ACE SECURITIES
ALLEGRO CLO III CORP
LTD 1XHO DRHE1
REGS A2A ( 72.89)
90.59) ( 0.26)
2.89) 1/25/2037
7/25/2027 2,708
410 1,299
383 1,974
369
ADAMS MILL
ALLEGRO CLOCLO
VI LTDLTD2A 1ADA1R
144A 144A ( 99.72)
87.22) ( 1.38)
3.02) 7/15/2026
1/17/2031 850
380 850
343 843
328
AIA GROUPDATA
ALLIANCE LTD REGS
SYSTEMS COR 144A ( 103.96)
90.00) ( 3.13)
4.75) 3/13/2023
12/15/2024 2,000
509 2,034
387 2,061
457
ALLY MASTER
ALLIANT OWNER4/18
INSURANCE TRUST 3 A (( 99.99)
94.57) (( 0.50)
- ) 7/15/2022
5/9/2025 1,400
499 1,400
469 1,400
472
ALTERNATIVE
ALLISON LOAN TRUST
TRANSMISSION INC46CB
144AA9 (( 85.56)
99.25) (( 5.50)
4.75) 10/25/2035
10/1/2027 2,328
317 2,021
295 1,981
311
ALTERNATIVE
ALLISON LOAN TRUST
TRANSMISSION INCJ13 2A3
144A (( 83.42)
104.00) (( 5.50)
5.88) 11/25/2035
6/1/2029 1,352
295 1,037
296 1,122
305
AMEREN CORP
ALM XVII LTD 17A A2R 144A (( 105.97)
97.34) (( 2.50)
1.88) 9/15/2024
1/15/2028 1,800
250 1,799
237 1,894
242
AMERICAN
ALTICE AIRLINESSA2016-2
FINANCING 144A CLASS (( 81.46)
99.34) (( 3.65)
5.00) 12/15/2029
1/15/2028 2,246
281 1,539
275 1,826
273
AMERICAN
ALTICE HOMES
FRANCE 4 RENT LP
SA/FRANCE 144A (( 106.95)
104.28) (( 4.25)
7.38) 2/15/2028
5/1/2026 1,600
1,050 1,591
1,076 1,685
1,059
AMERICAN
ALTRIA HONDA
GROUP INC FINANCE CORP (( 99.78)
107.60) (( 0.84)
3.40) 2/15/2022
5/6/2030 3,800
480 3,800
479 3,787
514
AMERICAN
ALTRIA TOWER
GROUP INC CORP (( 108.57)
109.38) (( 3.38)
4.45) 5/15/2024
5/6/2050 2,200
140 2,193
139 2,379
152
AMERICAN
AMC WATER CAPITAL
ENTERTAINMENT 3/19 CORP (( 114.54)
72.31) (( 3.45)
- ) 6/1/2029
3/20/2026 500
221 499
165 571
159
ANHEUSER-BUSCH
AMERICAN AIRLINES GROUP INBEV WORLDWIDE
I 144A (( 113.91)
46.49) (( 4.35)
3.75) 6/1/2040
3/1/2025 1,700
708 1,699
425 1,918
320
AT&T INC
AMERICAN EQUITY INVESTMENT LIF (( 100.51)
108.57) (( 1.10)
5.00) 6/1/2021
6/15/2027 2,000
1,028 2,000
1,027 2,008
1,114
AT&T INC HOME MORTGAGE 3 2A11
AMERICAN (( 100.82)
79.55) (( 1.23)
2.26) 7/15/2021
10/25/2046 2,300
919 2,300
839 2,308
729
AT&T INC HOME MORTGAGE A 1 1A2
AMERICAN (( 116.60)
84.85) (( 4.35)
0.36) 3/1/2029
5/25/2046 1,800
851 1,791
752 2,073
722
AURIUM CLO
AMERICAN II DACMORTGAGE
HOME 2A AR 144AA 6 A2A (( 110.99)
78.86) (( 0.68)
0.38) 10/13/2029
12/25/2046 900
848 1,047
748 997
669
AUTO ABS 2012-2
AMERICAN SRL 2 A REGS
INTERNATIONAL GROUP I (( - )
108.12) (( 2.80)
3.40) 4/27/2025
6/30/2030 -
1,880 1,880- 2,024-
AUTO ABS COMPARTIM
AMERICAN INTERNATIONAL 12-2GROUP
A REGSI ( - )
115.64) ( 2.80)
4.38) 4/27/2025
6/30/2050 -
1,570 1,562- 1,806-
AVALONBAYTIRE
AMERICAN COMMUNITIES
DISTRIBUTORS INC (( 111.54)
65.07) (( 3.45)
- ) 6/1/2025
9/1/2021 3,200
8 3,1948 3,5605
AVANGRID INC
AMERICAN TIRE DISTRIBUTORS (( 107.96)
90.83) (( 3.15)
- ) 12/1/2024
9/1/2023 1,700
13 1,702
13 1,831
11
AVANGRID INC ( 115.77) ( 3.80) 6/1/2029 2,100 2,274 2,424
AMERIFORGE GROUP INC ( 25.00) ( - ) - 16 547 401
AMERIQUEST MORTGAGE SECU M3 A1 ( 62.33) ( 0.35) 10/25/2036 1,576 1,060 982
AMMC CLO 19 LTD 19A D 144A ( 94.27) ( 4.03) 10/15/2028 860 852 802
AMNEAL PHARMACEUTICALS 3/18 ( 91.13) ( - ) 5/4/2025 634 567 578
AMSTED INDUSTRIES INC 144A ( 103.13) ( 5.63) 7/1/2027 665 663 667
AMWINS 1/17 COV-LITE
BANK OF AMERICA CORPTLB (( 96.97)
111.07) (( - )
4.13) 1/25/2024
1/22/2024 349
2,200 340
2,306 339
2,403
AMWINS GROUP INC
BANKUNITED TRUST 2005-1 144A 1 1A1 (( 105.00)
94.56) (( 7.75)
0.77) 7/1/2026
9/25/2045 400
134 410
115 405
127
ANCHOR
BARCLAYS BANK PLC 7/19 COV-LITE
PACKAGING (( 96.00)
108.88) (( - )
7.63) 7/10/2026
11/21/2022 745
2,100 742
2,289 715
2,269
ANCHORAGE
BARCLAYS PLCCAPITAL C 3RA C 144A (( 95.80)
101.54) (( 2.10)
2.56) 1/28/2031
8/10/2021 950
2,200 949
2,222 905
2,226
ANCHORAGE
BARCLAYS PLCCAPITAL C 4RA D 144A (( 90.36)
103.78) (( 2.85)
3.68) 1/28/2031
1/10/2023 500
2,700 474
2,700 449
2,755
ANCHORAGE
BARCLAYS PLCCAPITAL C 8A AR 144A (( 98.43)
107.72) (( 1.25)
4.34) 7/28/2028
5/16/2024 250
1,700 243
1,690 245
1,822
ANCHORAGE
BAYER US FINANCECAPITAL C 8A
II LLC BR 144A
144A (( 97.01)
99.69) (( 1.85)
1.32) 7/28/2028
12/15/2023 250
2,100 235
2,100 241
2,092
ANCHORAGE
BEAR STEARNS CREDIT
ARM TRUSTF 10X DV REGS
1 12A5 (( 100.00)
94.60) (( 5.72)
3.83) 4/25/2038
4/25/2034 740
634 742
630 728
598
ANCHORAGE CREDIT FUN
BEAR STEARNS ARM TRUST 10 15A1 4A B 144A (( 94.42)
92.40) (( 4.50)
3.98) 2/15/2035
1/25/2035 2,000
175 2,000
173 1,854
161
ANCHORAGE EUROPE CRE
BEAR STEARNS ARM TRUST 2 8 1A1 1X D REGS (( 106.94)
92.04) (( 5.50)
4.00) 10/25/2036
1/25/2034 680
3 7093 7193
ANGLO
BEAR AMERICAN
STEARNS ARMCAPITAL
TRUST 2PL9 144A
2A1 (( 120.79)
98.46) (( 5.63)
3.89) 4/1/2030
2/25/2034 200
556 241
549 239
546
ANTERO
BNP RESOURCES
PARIBAS SA 144ACORP (( 92.50)
105.85) (( 5.38)
3.50) 11/1/2021
3/1/2023 378
1,700 319
1,696 346
1,780
APEX TOOL
BOSTON GROUP LLC
PROPERTIES LP/ BC 144A (( 72.25)
104.52) (( 9.00)
2.90) 2/15/2023
3/15/2030 1,143
2,300 752
2,299 787
2,384
API HEAT TRANSFER
BROADCOM INC 144A (THERMASYS) ( 71.90)
107.24) ( - )
3.46) -
9/15/2026 0
1,513 12
1,550 1,6176
CARLYLE
API HEATFINANCE
TRANSFER LLC2/19
144AEQUITY ( 120.82)
7.80) ( 5.65)
- ) 9/15/2048
12/31/2022 2,700
382 2,698
126 3,217
30
C-BASS
API HEAT 2007-CB5
TRANSFER TRUST CB5 A2
THERMASYS ( 74.41)
77.50) ( 0.34)
- ) 4/25/2037
12/31/2023 4,432
378 2,337
358 3,297
293
CCP_CDS.
APIDOS CLOSPXVIII
UL CITIGROUP
18A D 144A INC. ( 0.29)
90.09) ( 1.00)
3.41) 12/20/2020
10/22/2030 5,500
600 104
585 14
536
APIDOS CLO XXXII 32A D 144A PROPERTY ( (0.51)
95.12) ( 1.00)
3.77) 6/20/2022
1/20/2033 3,300
2,000 11
1,787 (18)
1,863
CCP_CDS._SP
APPVION HLDG ULCORP
CITIGROUP INC. ( - ) ( - ) -
12/20/2020 (5,500)
2 (0)
0 -
CCP_CDS._SP
APPVION HOLDINGSUL SIMON CORP PROPERTY ( - ) ( - ) -
6/20/2022 (3,300)
2 (0)
0 -
CCP_IRS.
ARAMARKP SERVICES
JPY-LIBOR-BBA 6M CM
INC 144A ( (0.03)
95.00) ( 0.04)
5.00) 3/10/2038
2/1/2028 61,000
60 500 (17)
56
ARAMARK SERVICES INC 144A ( 103.26) ( 6.38) 5/1/2025 1,050 1,050 1,072
65 2019–2020
were created REPORT
Core Fixed
ARBOUR CLOIncome
III DAC 3A ER 144A ( 98.80) ( 4.35) 3/15/2029 6,225 7,619 6,137
ABBVIE INC
ARBOUR CLO144AIII DAC 3X DR REGS (($ 104.01)
105.71) ( 3.45)
2.10) 3/15/2022
3/15/2029 3,600
3,535 ($ 3,744
3,464 ($ 3,708
3,733
ABBVIE INC
ARBOUR CLO144AVI DAC 6X D REGS ( 104.80)
109.10) ( 3.25)
3.90) 10/1/2022
11/15/2031 1,100
1,005 1,149
887 1,144
1,091
ABBVIE INC 144ABRANDS 1/20 COV
ARBY'S/INSPIRE (( 106.16)
92.11) (( 2.60)
- ) 11/21/2024
2/5/2025 1,800
1,000 1,798
888 1,906
920
ABBVIE INC
ARCONIC CORP144A 144A (( 108.77)
103.38) (( 2.95)
6.00) 11/21/2026
5/15/2025 1,900
300 1,898
300 2,060
308
ACCREDITED
ARDAGH MORTGAGE
PACKAGING LOAN144A
FINANCE 4 A2D (( 96.16)
98.39) (( 0.87)
4.13) 1/25/2035
8/15/2026 1,487
1,580 1,495
1,588 1,430
1,546
ACE SECURITIES
ARES DYNAMIC CREDITCORP HO HE1 A2A
ALLOCATI (( 72.89)
11.93) (( 0.26)
- ) 1/25/2037
(blank) 2,708
36 1,299
370 1,974
432
ADAMS MILL CLO
ARES FINANCE COLTDII LLC1A144A
A1R 144A (( 99.72)
101.65) (( 1.38)
3.25) 7/15/2026
6/15/2030 850
1,550 850
1,557 843
1,573
AIA GROUP LTD REGS
ARES LV CLO LTD 55A D 144A (( 103.96)
100.79) (( 3.13)
5.20) 3/13/2023
4/15/2031 2,000
1,625 2,034
1,576 2,061
1,628
ALLY
ARES MASTER
XLVII CLOOWNER
LTD 47ATRUSTD 144A 3A (( 99.99)
90.72) (( 0.50)
2.98) 7/15/2022
4/15/2030 1,400
535 1,400
488 1,400
481
ALTERNATIVE
ARES XXIX CLO LTD 1A C 144A A9
LOAN TRUST 46CB (( 85.56)
99.52) (( 5.50)
3.77) 10/25/2035
4/17/2026 2,328
2,000 2,021
1,960 1,981
1,971
ASPECT SOFTWARE 2/19 EXIT TL ( 87.50) ( - ) 1/15/2024 1,795 1,593 1,571
AMEREN CORP ( 105.97) ( 2.50) 9/15/2024 1,800 1,799 1,894
ASSUREDPARTNERS 2/20 COV-LITE ( 95.43) ( - ) 2/12/2027 499 470 476
ASURION 2/18
AMERICAN HOMESCOV-LITE
4 RENT TLBLP (( 96.58)
106.95) (( - )
4.25) 11/3/2023
2/15/2028 499
1,600 477
1,591 482
1,685
ASURION 7/17 2ND
AMERICAN HONDA FINANCE LIEN TLB2CORP (( 99.25)
99.78) (( - )
0.84) 8/4/2025
2/15/2022 300
3,800 290
3,800 298
3,787
ATD NEW HOLDINGS
AMERICAN TOWER CORP INC ( 15.00)
108.57) ( - )
3.38) -
5/15/2024 1
2,200 23
2,193 20
2,379
ATLAS SENIOR
AMERICAN WATERLOANCAPITAL
1A AR2CORP144A ( 98.31)
114.54) ( 1.53)
3.45) 7/16/2029
6/1/2029 1,497
500 1,433
499 1,464
571
ATLAS SENIOR LOAN
ANHEUSER-BUSCH F 10AWORLDWIDE
INBEV C 144A ( 90.05)
113.91) ( 2.13)
4.35) 1/15/2031
6/1/2040 500
1,700 425
1,699 447
1,918
ATLAS SENIOR LOAN F 1A CR 144A
AT&T INC ( 92.08)
100.51) ( 2.14)
1.10) 11/17/2027
6/1/2021 565
2,000 548
2,000 519
2,008
ATLAS SENIOR LOAN FU 9A C 144A
AT&T INC ( 91.50)
100.82) ( 2.07)
1.23) 4/20/2028
7/15/2021 3,650
2,300 3,618
2,300 3,318
2,308
ATLAS SENIOR LOAN FU 9A C 144A
AT&T INC ( 92.11)
116.60) ( 2.07)
4.35) 4/20/2028
3/1/2029 355
1,800 355
1,791 325
2,073
AURIUM CLO
ATOTECH 1/17II COV-LITE
DAC 2A AR 144A
TLB1 ( 110.99)
96.08) ( 0.68)
- ) 10/13/2029
1/31/2024 900
249 1,047
234 997
239
ATRIUM
AUTO ABS XII2012-2
12A ARSRL 144A2 A REGS ( 98.24)
- ) ( 1.09)
2.80) 4/22/2027
4/27/2025 1,488
- 1,458- 1,456-
ATRIUM
AUTO ABS XIICOMPARTIM
12A DR 144A12-2 A REGS (( 89.14)
- ) (( 3.06)
2.80) 4/22/2027
4/27/2025 1,835
- 1,812- 1,622-
ATRIUM
AVALONBAY12A
XII ER 144A
COMMUNITIES INC (( 83.92)
111.54) (( 5.51)
3.45) 4/22/2027
6/1/2025 2,000
3,200 1,983
3,194 1,654
3,560
ATRIUM
AVANGRID XII INC
12X DR REGS (( 89.14)
107.96) (( 3.06)
3.15) 4/22/2027
12/1/2024 480
1,700 443
1,702 424
1,831
AURIUM
AVANGRID CLO INCII DAC 2X BRN REGS (( 110.48)
115.77) (( 1.35)
3.80) 10/13/2029
6/1/2029 685
2,100 719
2,274 754
2,424
AURIUM
BANC OF CLO IV DACALTERNA
AMERICA 4X B REGS 7 2CB1 (( 111.03)
96.97) (( 1.10)
6.00) 1/16/2031
8/25/2035 865
1,840 789
1,722 958
1,775
AVANOS MEDICAL INC
BANC OF AMERICA FUNDING 7 1A1 (( 100.00)
82.03) (( 6.25)
0.62) 10/15/2022
9/25/2036 408
2,579 415
1,730 403
2,115
AVERY
BANC OFPOINT III CL 3A
AMERICA INC 144A
93.95) ( - )
4.18) 1/18/2025
2/20/2036 2,500
142 766
125 82
132
AVERY
BANK OF AMERICA CORPD 144A
POINT III CLO 3A ( 99.53)
99.67) ( 3.97)
1.12) 1/18/2025
3/5/2024 1,230
900 1,152
894 1,212
896
AVERY
BANK OFPOINT III CLOCORP
AMERICA 3A E 144A ( 89.10)
106.73) ( 5.27)
3.30) 1/18/2025
1/11/2023 1,340
2,400 1,151
2,404 1,177
2,524
AVERY
BANK OFPOINT IV CLOCORP
AMERICA 1A CR 144A ( 96.83)
111.07) ( 2.59)
4.13) 4/25/2026
1/22/2024 800
2,200 800
2,306 770
2,403
AVERY POINT TRUST
BANKUNITED IV CLO 2005-1
1A CR 144A1 1A1 ( 99.08)
94.56) ( 2.59)
0.77) 4/25/2026
9/25/2045 380
134 381
115 374
127
AVERY POINT
BARCLAYS BANKVI CLO
PLC 6A CR 144A ( 97.85)
108.88) ( 2.54)
7.63) 8/5/2027
11/21/2022 2,000
2,100 2,000
2,289 1,949
2,269
AVOCA
BARCLAYSCAPITAL
PLC CLO 10X DR REGS ( 107.90)
101.54) ( 3.60)
2.56) 1/15/2030
8/10/2021 460
2,200 452
2,222 492
2,226
AVOCA CLO
BARCLAYS PLC XI LTD 11X ER REGS ( 102.49)
103.78) ( 5.00)
3.68) 7/15/2030
1/10/2023 1,130
2,700 1,196
2,700 1,145
2,755
AVOCA
BARCLAYSCLOPLCXIII DAC 13X DR REGS ( 106.54)
107.72) ( 2.80)
4.34) 10/15/2030
5/16/2024 1,005
1,700 883
1,690 1,064
1,822
BAYER USAEROSPACE
AVOLON FINANCE II LLC 144A 9) 6
(FUNDING ( 99.69)
87.64) ( 1.32)
- ) 12/15/2023
12/31/2024 2,100
700 2,100
572 2,092
613
BEAR STEARNS
BABSON EURO CLO ARM201 TRUST
2X DR1 12A5
REGS ( 94.60)
106.51) ( 3.83)
3.20) 4/25/2034
11/25/2029 634
365 630
396 598
387
BEARSYSTEMS
BAE STEARNSPLC ARM144A TRUST 10 15A1 ( 92.40)
108.92) ( 3.98)
3.40) 1/25/2035
4/15/2030 175
540 173
575 161
584
BEAR CAPITAL
BAIN STEARNSCREDITARM TRUST 2 8 1A1
2A D 144A ( 92.04)
100.33) ( 4.00)
5.17) 1/25/2034
7/19/2031 3
800 7843 8013
BEAR STEARNSCREDIT
BAIN CAPITAL ARM TRUST2A DR2144A9 2A1 ( 98.46)
87.89) ( 3.89)
4.38) 2/25/2034
1/15/2029 556
2,325 549
2,344 546
2,017
BNP
BAINPARIBAS
CAPITALSA EURO144A CL 1X C REGS ( 105.85)
106.50) ( 3.50)
1.70) 3/1/2023
4/20/2032 1,700
1,340 1,696
1,105 1,780
1,422
BOSTON
BALLYROCKPROPERTIES
CLO 2018-1 LP 1A C 144A ( 104.52)
96.17) ( 2.90)
3.42) 3/15/2030
4/20/2031 2,300
710 2,299
682 2,384
677
BROADCOM
BANC OF AMERICAINC 144A COMMER UBS7 XA ( 107.24)
3.26) ( 3.46)
0.80) 9/15/2026
9/15/2048 1,513
2,310 1,550
92 1,617
74
CARLYLE FINANCE
BANFF MERGER SUBLLCINC144A
144A ( 120.82)
100.63) ( 5.65)
9.75) 9/15/2048
9/1/2026 2,700
488 2,698
457 3,217
475
C-BASS
BANIJAY2007-CB5
ENTERTAINMENTTRUST CB5 SASA2144A ( 74.41)
97.75) ( 0.34)
5.38) 4/25/2037
3/1/2025 4,432
215 2,337
199 3,297
206
CCP_CDS.
BANK OF NEWSP ULYORKCITIGROUP
MELLON INC.
CORP/T ( 0.29)
104.00) ( 1.00)
4.70) 12/20/2020
12/31/2049 5,500
390 104
390 14
403
CCP_CDS.
BARDIN HILLSP LOAN
UL SIMON ADV PROPERTY
1A D 144A ( (0.51)
109.09) ( 1.00)
4.07) 6/20/2022
7/20/2032 3,300
995 11
1,113 (18)
1,077
BARINGS CLO UL
CCP_CDS._SP LTDCITIGROUP
201 IA ER 144AINC. ( 88.05)
- ) ( 5.47)
- ) 1/20/2028
12/20/2020 640
(5,500) 640
(0) 555-
BARINGS CLO LTD 2018
CCP_CDS._SP UL SIMON PROPERTY 3A D 144A (( 87.18)
- ) (( 3.17)
- ) 7/20/2029
6/20/2022 1,080
(3,300) 1,062
(0) 933-
BARINGS PCLO
CCP_IRS. LTD 2018 3A6M
JPY-LIBOR-BBA E 144A
CM (( 78.05)
(0.03) (( 6.02)
0.04) 7/20/2029
3/10/2038 2,325
61,000 2,2520 1,783
(17)
BARINGS EURO CLO 1X DRRN REGS ( 104.98) ( 2.90) 7/15/2031 250 210 261
RETIREMENT
Core
BASS Fixed Income11/16 COV-LITE
PRO SHOPS ( 95.96) ( - ) 9/25/2024 299 261 287
ABBVIE
BATTALION 144A
INC CLO IX LT 9A DR 144A ($
( 104.01)
96.13) (( 3.45)
3.53) 3/15/2022
7/15/2031 3,600 ($
2,740 3,744 ($
2,740 3,708
2,608
ABBVIE INC
BAUSCH 144A COS INC 144A
HEALTH (( 104.80)
101.43) (( 3.25)
6.13) 10/1/2022
4/15/2025 1,100
544 1,149
556 1,144
545
ABBVIE INC
BAUSCH 144A COS INC 144A
HEALTH (( 106.16)
107.72) (( 2.60)
9.00) 11/21/2024
12/15/2025 1,800
601 1,798
668 1,906
645
ABBVIE
BDS INC 144A
2020-FL5 LTD FL5 C 144A (( 108.77)
95.49) (( 2.95)
2.24) 11/21/2026
2/16/2037 1,900
2,840 1,898
2,710 2,060
2,710
ACCREDITED
BEAR STEARNS MORTGAGE
ASSET BACK LOAN
HE942AA2D (( 96.16)
94.04) (( 0.87)
0.31) 1/25/2035
11/25/2036 1,487
1,147 1,495
1,116 1,430
1,078
ACE SECURITIES
BELK 10/19 EXTENDEDCORP HO HE1 A2A
COV-LITE (( 72.89)
35.23) (( 0.26)
- ) 1/25/2037
7/31/2025 2,708
415 1,299
352 1,974
145
BELRON 10/17 USD COV-LITE TLB ( 96.38) ( - ) 11/7/2024 249 237 239
BENEFIT STREET PAR VIIA D 144A ( 80.77) ( 5.62) 7/18/2027 1,320 1,304 1,049
BERLIN PACKAGING 12/18 ( 94.50) ( - ) 11/7/2025 399 359 377
BERLIN PACKAGING
ALTERNATIVE LOAN 5/18TRUST COV-LITE
J13 2A3 (( 94.50)
83.42) (( - )
5.50) 11/7/2025
11/25/2035 100
1,352 91
1,037 94
1,122
BERRY
AMEREN PLASTICS
CORP 12/19 (USD) TLY (( 95.38)
105.97) (( - )
2.50) 7/1/2026
9/15/2024 499
1,800 477
1,799 475
1,894
BIFM/BROOKFIELD
AMERICAN AIRLINESGLOBAL 2016-25/19
CLASS ( 96.00)
81.46) ( - )
3.65) 5/1/2026
12/15/2029 997
2,246 958
1,539 954
1,826
AMERICAN
BIOPLAN HOMES
5/15 4 RENT
COV-LITE TL LP ( 106.95)
- ) ( 4.25)
- ) 2/15/2028
9/23/2021 1,600
- 1,591- 1,685
(7)
AMERICAN HONDA
BLACKROCK CORP HIFINANCE
YLD CORP ( 99.78)
10.17) ( 0.84)
- ) -
2/15/2022 3,800
204 3,800
1,648 3,787
2,077
AMERICAN TOWER
BLACKROCK CREDITCORP ALLOCATION (( 108.57)
13.20) (( 3.38)
- ) 5/15/2024
- 2,200
65 2,193
689 2,379
856
AMERICAN WATER
BLACKROCK CAPITAL CORP
DEBT STRATEGIES FD (( 114.54)
9.33) (( 3.45)
- ) 6/1/2029
- 500
29 499
252 571
272
BLACKROCK EUROPEAN 7AWORLDWIDE
ANHEUSER-BUSCH INBEV C1 144A (( 113.91)
112.06) (( 4.35)
2.30) 6/1/2040
10/15/2031 1,700
480 1,699
546 1,918
535
AT&T INC EUROPEAN C 5X E REGS
BLACKROCK (( 100.51)
96.23) (( 1.10)
4.44) 6/1/2021
7/16/2031 2,000
1,025 2,000
1,080 2,008
976
AT&T INC ( 100.82) ( 1.23) 7/15/2021 2,300 2,300 2,308
BLACKSTONE/GSO STRATEGIC C ( 11.42) ( - ) - 72 717 826
AT&T INC ( 116.60) ( 4.35) 3/1/2029 1,800 1,791 2,073
BLUCORA (TAXACT) 11/17 ( 98.25) ( - ) 5/22/2024 250 249 245
BLUE NILE 1/17 TL ( 58.17) ( - ) 1/20/2023 425 412 244
BLUEMOUNTAIN CLO 2 1A A1R 144A ( 99.48) ( 1.60) 4/13/2027 413 408 408
BLUEMOUNTAIN CLO 2 1A A2R 144A ( 99.17) ( 2.17) 4/13/2027 250 244 246
BLUEMOUNTAIN CLO 2 2A A1R 144A ( 98.00) ( 1.20) 7/18/2027 1,773 1,723 1,731
AVANGRID INC ( 107.96) ( 3.15) 12/1/2024 1,700 1,702 1,831
BLUEMOUNTAIN CLO 20 4X DR REGS ( 85.20) ( 3.22) 4/20/2030 685 613 578
AVANGRID INC ( 115.77) ( 3.80) 6/1/2029 2,100 2,274 2,424
BLUEMOUNTAIN CLO 201 1A C 144A ( 98.61) ( 4.02) 4/13/2027 570 565 556
BLUEMOUNTAIN CLO 201 1X C REGS ( 98.61) ( 4.02) 4/13/2027 1,345 1,333 1,311
BLUEMOUNTAIN FUJI EU 4X D REGS ( 106.46) ( 4.03) 3/30/2032 855 778 910
BLUEMOUNTAIN FUJI US 3A D 144A ( 87.91) ( 2.68) 1/15/2030 750 700 654
BMC EAST LLC 144A ( 100.75) ( 5.50) 10/1/2024 600 587 596
BMC SOFTWARE 6/18 (USD) ( 94.38) ( - ) 10/2/2025 660 575 623
BNPP AM EURO CLO 201 1X C REGS ( 112.03) ( 2.35) 4/15/2031 1,215 1,186 1,355
BOEING CO/THE ( 111.50) ( 5.15) 5/1/2030 3,000 3,000 3,321
BOEING CO/THE ( 113.84) ( 5.71) 5/1/2040 1,620 1,620 1,830
BARCLAYS PLC ( 101.54) ( 2.56) 8/10/2021 2,200 2,222 2,226
BOEING CO/THE ( 118.10) ( 5.81) 5/1/2050 1,270 1,270 1,488
BARCLAYS PLC ( 103.78) ( 3.68) 1/10/2023 2,700 2,700 2,755
BOMBARDIER
BARCLAYS PLCRECREATIONAL 5/20 I (( 100.58)
107.72) (( - )
4.34) 5/24/2027
5/16/2024 1,850
1,700 1,795
1,690 1,850
1,822
BOMGAR
BAYER US 4/18
FINANCETL II LLC 144A (( 96.25)
99.69) (( - )
1.32) 4/17/2025
12/15/2023 216
2,100 215
2,100 207
2,092
BOOKING HOLDINGS
BEAR STEARNS INC 1 12A5
ARM TRUST (( 118.03)
94.60) (( 4.63)
3.83) 4/13/2030
4/25/2034 350
634 376
630 410
598
BOSPHORUS
BEAR STEARNS CLO III DA
ARM 3X C10
TRUST REGS
15A1 (( 112.03)
92.40) (( 2.10)
3.98) 4/15/2027
1/25/2035 2,060
175 2,137
173 2,298
161
BOSPHORUS
BEAR STEARNS ARM TRUST 2 8144A
CLO V DAC 5A DE 1A1 (( 107.22)
92.04) (( 4.80)
4.00) 12/12/2032
1/25/2034 1,380
3 1,5253 1,4763
BOWMAN
BEAR PARKARM
STEARNS CLO TRUST
LT 1A D2R 144A
2 9 2A1 (( 99.48)
98.46) (( 3.71)
3.89) 11/23/2025
2/25/2034 685
556 623
549 679
546
BOXER
BNP PARENT
PARIBAS SACO144AINC 144A (( 104.85)
105.85) (( 7.13)
3.50) 10/2/2025
3/1/2023 750
1,700 750
1,696 782
1,780
BOYD 8/18
BOSTON COV-LITE TLB
PROPERTIES LP ( 84.71)
104.52) ( - )
2.90) 9/6/2025
3/15/2030 197
2,300 196
2,299 166
2,384
BROADCOM
BOYD GAMING INC3/17
144ACOV-LITE TLB ( 107.24)
93.78) ( 3.46)
- ) 9/15/2026
9/15/2023 1,513
344 1,550
323 1,617
323
CARLYLE FINANCE
BOYD GAMING CORPLLC144A
144A ( 120.82)
104.50) ( 5.65)
8.63) 9/15/2048
6/1/2025 2,700
150 2,698
150 3,217
155
C-BASS 2007-CB5
BOYNE USA INC 144ATRUST CB5 A2 ( 74.41)
104.75) ( 0.34)
7.25) 4/25/2037
5/1/2025 4,432
1,566 2,337
1,546 3,297
1,621
CCP_CDS.
BP CAPITALSPMARKETS
UL CITIGROUPPLC INC. ( 0.29)
103.25) ( 1.00)
4.88) 12/20/2020
12/31/2049 5,500
3,710 104
3,710 14
3,826
CCP_CDS. SP UL SIMON PROPERTY
BRINKER INTERNATIONAL INC 144A ( (0.51)
93.25) ( 1.00)
5.00) 6/20/2022
10/1/2024 3,300
490 11
500 (18)
451
BROADCOM INC
CCP_CDS._SP UL 144A
CITIGROUP INC. ( 108.67)
- ) ( 4.15)
- ) 11/15/2030
12/20/2020 1,470
(5,500) 1,468
(0) 1,588-
BWAY 3/17 TLB
CCP_CDS._SP UL SIMON PROPERTY ( 89.54)
- ) ( - ) 4/3/2024
6/20/2022 1,478
(3,300) 1,306
(0) 1,312-
BWX TECHNOLOGIES
CCP_IRS. P JPY-LIBOR-BBA INC 144A
6M CM ( 99.75)
(0.03) ( 4.13)
0.04) 6/30/2028
3/10/2038 1,350
61,000 1,3500 1,344
(17)
BX COMMERCIAL MORTGA XL F 144A ( 96.25) ( 2.17) 10/15/2036 955 959 919
67 2019–2020
were created REPORT
Core Fixed IncomeMORTGA XL G 144A
BX COMMERCIAL ( 96.00) ( 2.47) 10/15/2036 1,911 1,919 1,832
ABBVIE INC 144ALTD FL2 B 144A
BXMT 2020-FL2 ($
( 104.01)
95.02) ( 3.45)
1.58) 3/15/2022
2/16/2037 3,600 ($
1,000 3,744
951 ($ 3,708
950
ABBVIE2020-FL2
BXMT INC 144ALTD FL2 C 144A ( 104.80)
94.09) ( 3.25)
1.83) 10/1/2022
2/16/2037 1,100
2,000 1,149
2,000 1,144
1,880
ABBVIE2020-FL2
BXMT INC 144ALTD FL2 D 144A ( 106.16)
92.00) ( 2.60)
2.13) 11/21/2024
2/16/2037 1,800
1,000 1,798
1,000 1,906
919
ABBVIE INC
CAESARS 144A
ENTERTAINMENT (( 108.77)
92.99) (( 2.95)
- ) 11/21/2026
12/20/2024 1,900
350 1,898
336 2,060
325
ACCREDITED
CAESARS MORTGAGE LOAN
ENTERTAINMENT 4 A2D
INC 144A (( 96.16)
96.63) (( 0.87)
8.13) 1/25/2035
7/1/2027 1,487
249 1,495
249 1,430
241
ACE SECURITIES
CAESARS CORP HO HE1
ENTERTAINMENT INCA2A
144A (( 72.89)
99.38) (( 0.26)
6.25) 1/25/2037
7/1/2025 2,708
410 1,299
410 1,974
407
ADAMS MILL
CAESARS CLO 12/17
RESORT LTD 1ACOV-LITE
A1R 144A (( 99.72)
88.66) (( 1.38)
- ) 7/15/2026
12/23/2024 850
499 850
424 843
442
AIA GROUP LTD REGS
CAIRN CLO III BV 3X DR REGS (( 103.96)
109.65) (( 3.13)
2.50) 3/13/2023
10/20/2028 2,000
1,895 2,034
2,239 2,061
2,067
ALLY MASTER
CAIRN CLO IV BVOWNER
4A DRR TRUST
144A3 A (( 99.99)
109.09) (( 0.50)
3.80) 7/15/2022
4/30/2031 1,400
1,405 1,400
1,589 1,400
1,522
ALTERNATIVE LOAN TRUST
CAIRN CLO VI BV 6X BR REGS 46CB A9 (( 85.56)
111.60) (( 5.50)
1.65) 10/25/2035
7/25/2029 2,328
500 2,021
517 1,981
556
ALTERNATIVE
CAIRN CLO VII LOAN
BV 7XTRUST
E REGSJ13 2A3 (( 83.42)
108.77) (( 5.50)
6.35) 11/25/2035
1/31/2030 1,352
550 1,037
600 1,122
592
AMEREN
CAIRN CLOCORP
X BV 10X C1 REGS (( 105.97)
111.23) (( 2.50)
2.30) 9/15/2024
10/15/2031 1,800
415 1,799
406 1,894
459
CALIFORNIAAIRLINES
AMERICAN STREET 12A 2016-2 CLASS
CR 144A (( 81.46)
98.20) (( 3.65)
2.38) 12/15/2029
10/15/2025 2,246
1,240 1,539
1,190 1,826
1,209
CALIFORNIA STREET 12A DR 144A LP (( 106.95)
98.07) (( 4.25)
3.53) 2/15/2028
10/15/2025 1,600
3,485 1,591
3,344 1,685
3,385
CALPINE 3/19 B-9 COV-LITE TLB ( 96.28) ( - ) 3/20/2026 499 486 480
CALPINE CORP 144A ( 97.50) ( 4.50) 2/15/2028 301 299 286
CAMBREX 12/19 COV-LITE TL ( 98.00) ( - ) 12/4/2026 2,736 2,709 2,682
CAMPING
AT&T INC WORLD 11/16 COV-LITE (( 90.13)
100.51) (( - )
1.10) 11/8/2023
6/1/2021 613
2,000 611
2,000 547
2,008
CANYON
AT&T INCCAPITAL CLO 1A CR 144A (( 87.22)
100.82) (( 3.51)
1.23) 1/30/2031
7/15/2021 250
2,300 236
2,300 217
2,308
CANYON
AT&T INCCLO 2020-1 LT 1A B 144A (( 99.75)
116.60) (( 3.15)
4.35) 7/15/2028
3/1/2029 990
1,800 980
1,791 983
2,073
CAPITAL
AURIUM AUTOMOTIVE
CLO II DAC 2A 1A AR A1
144A144A (( 100.09)
110.99) (( 3.87)
0.68) 4/15/2047
10/13/2029 1,835
900 1,853
1,047 1,833
997
CAPITAL AUTOMOTIVE R 1A A 144A ( 99.00) ( 3.66) 10/15/2044 1,661 1,661 1,641
CAPITAL FOUR CLO I 1A DE 144A ( 109.65) ( 4.00) 1/15/2033 1,490 1,656 1,596
CAPMARK MILITARY H AET2 A 144A ( 119.12) ( 6.06) 10/10/2052 945 946 1,122
CARLSON TRAVEL INC 144A ( 44.00) ( 9.50) 12/15/2024 824 536 359
AVANGRID INC ( 107.96) ( 3.15) 12/1/2024 1,700 1,702 1,831
CARLYLE GLOBAL MARK 1X DR REGS ( 104.57) ( 2.90) 7/15/2031 2,670 2,124 2,774
AVANGRID INC ( 115.77) ( 3.80) 6/1/2029 2,100 2,274 2,424
CARLYLE GLOBAL MARK 2A DR 144A ( 85.21) ( 2.67) 1/18/2029 350 328 296
CARLYLE GLOBAL MARK 4RA C 144A ( 84.13) ( 3.18) 7/15/2030 510 510 425
CARLYLE US CLO 2017- 4A C 144A ( 86.10) ( 3.08) 1/15/2030 740 714 631
CARRIAGE SERVICES INC 144A ( 105.13) ( 6.63) 6/1/2026 400 392 418
CARS-DB4 LP 1A B3 144A ( 88.30) ( 4.95) 2/15/2050 1,500 1,500 1,321
CASCADE FUNDING MOR RM2 A 144A ( 103.95) ( 4.00) 10/25/2068 794 790 824
CASPIAN SC HOLDINGS ( 1.32) ( - ) - 193,028 193,028 255,411
CAST & CREW
BARCLAYS BANK ENTERTAINMENT
PLC 1/19 (( 90.94)
108.88) (( - )
7.63) 1/16/2026
11/21/2022 897
2,100 868
2,289 816
2,269
CASTLE PARK
BARCLAYS PLC CLO DAC 1X D REGS (( 108.79)
101.54) (( 5.17)
2.56) 1/15/2028
8/10/2021 650
2,200 689
2,222 699
2,226
CASTLE
BARCLAYSPARK
PLCCLO DAC 1X E REGS (( 101.77)
103.78) (( 6.07)
3.68) 1/15/2028
1/10/2023 3,405
2,700 3,907
2,700 3,415
2,755
CASTLELAKE
BARCLAYS PLC AIRCRAFT S 1 A 144A (( 92.85)
107.72) (( 4.13)
4.34) 6/15/2043
5/16/2024 2,027
1,700 1,449
1,690 1,879
1,822
CASTLELAKE AIRCRAFT
BAYER US FINANCE II LLC SECURI
144A 1 A (( 89.77)
99.69) (( 4.45)
1.32) 8/15/2041
12/15/2023 1,515
2,100 1,515
2,100 1,357
2,092
CATAMARAN
BEAR STEARNS ARM TRUST CR
CLO 2014- 1A 144A
1 12A5 (( 90.95)
94.60) (( 3.69)
3.83) 4/22/2030
4/25/2034 655
634 631
630 590
598
CATHEDRAL LAKE CLO 1A
BEAR STEARNS ARM TRUST 10 15A1 BR 144A (( 92.60)
92.40) (( 2.58)
3.98) 10/15/2029
1/25/2035 1,370
175 1,370
173 1,258
161
CATSKILL PARK CLO
BEAR STEARNS ARMLT 1A C 144A
TRUST 2 8 1A1 (( 97.12)
92.04) (( 3.97)
4.00) 4/20/2029
1/25/2034 750
3 7473 7213
CB144A
BEAR APPVION
STEARNS ARM ESCTRUST 2 9 2A1 (( - )
98.46) (( 9.00)
3.89) 6/1/2020
2/25/2034 1,620
556 5490 546-
CCO PARIBAS
BNP HOLDINGS SALLC / CCO HO 144A
144A (( 101.25)
105.85) (( 4.50)
3.50) 5/1/2032
3/1/2023 222
1,700 224
1,696 222
1,780
CCO HOLDINGS
BOSTON LLC / CCO
PROPERTIES LP HO 144A (( 103.25)
104.52) (( 5.00)
2.90) 2/1/2028
3/15/2030 472
2,300 494
2,299 478
2,384
CCO HOLDINGS
BROADCOM INC 144A LLC / CCO HO 144A (( 104.35)
107.24) (( 5.88)
3.46) 5/1/2027
9/15/2026 416
1,513 439
1,550 430
1,617
CCP CDX SP UL HY34
CARLYLE FINANCE LLC 144A V5 (( (0.69)
120.82) (( 5.00)
5.65) 6/20/2025
9/15/2048 20,121
2,700 172
2,698 (164)
3,217
CCP CDX2007-CB5
C-BASS SP UL HY34.V5
TRUST CB5 A2 ( - )
74.41) ( - )
0.34) 6/20/2025
4/25/2037 (20,121)
4,432 (0)
2,337 3,297-
CD&R SMOKEY
CCP_CDS. SP ULBUYER INC 144A
CITIGROUP INC. ( 103.97)
0.29) ( 6.75)
1.00) 7/15/2025
12/20/2020 300
5,500 303
104 312
14
CEDAR FAIR
CCP_CDS. SPLPUL/ SIMON
CANADA'S 144A
PROPERTY ( 100.50)
(0.51) ( 5.50)
1.00) 5/1/2025
6/20/2022 750
3,300 747
11 746
(18)
CEDAR FUNDING
CCP_CDS._SP II CL 1A DR INC.
UL CITIGROUP 144A (( 94.16)
- ) (( 3.91)
- ) 6/9/2030
12/20/2020 715
(5,500) 678
(0) 672-
CENGAGE LEARNING INC
CCP_CDS._SP UL SIMON PROPERTY 144A (( 70.00)
- ) (( 9.50)
- ) 6/15/2024
6/20/2022 155
(3,300) 133
(0) 108-
CENT CLOP19
CCP_IRS. LTD 19A C 144A
JPY-LIBOR-BBA 6M CM (( 99.52)
(0.03) (( 3.57)
0.04) 10/29/2025
3/10/2038 1,383
61,000 1,2720 1,366
(17)
CENT CLO 21 LTD 21A CR2 144A ( 89.13) ( 3.44) 7/27/2030 2,295 2,195 2,028
RETIREMENT
Core FixedCORP
CENTENE Income ( 103.19) ( 4.25) 12/15/2027 358 370 369
ABBVIE
CENTENE INC 144A
CORP ($
( 104.01)
105.50) ( 3.45)
4.63) 3/15/2022
12/15/2029 3,600
832 ($ 3,744
886 ($ 3,708
876
ABBVIE
CENTRALINC 144A & PET CO
GARDEN ( 104.80)
103.41) ( 3.25)
5.13) 10/1/2022
2/1/2028 1,100
490 1,149
456 1,144
496
ABBVIE INC 144A
CENTURYLINK 1/20 COV-LITE TLB (( 106.16)
94.06) (( 2.60)
- ) 11/21/2024
3/15/2027 1,800
299 1,798
289 1,906
281
ABBVIE
CERBERUS INCLOAN
144A FUNDIN 3A A 144A (( 108.77)
94.64) (( 2.95)
2.81) 11/21/2026
1/15/2028 1,900
3,000 1,898
3,000 2,060
2,815
ACCREDITED
CERTARA 3/18 MORTGAGE
COV-LITE TLLOAN 4 A2D (( 96.16)
92.50) (( 0.87)
- ) 1/25/2035
8/15/2024 1,487
241 1,495
240 1,430
223
CETERA FINANCIAL 8/18 COV-LITE ( 91.50) ( - ) 8/15/2025 1,761 1,643 1,611
CF INDUSTRIES INC ( 108.13) ( 5.38) 3/15/2044 105 111 112
CFIP CLO 2014-1 LTD 1A DR 144A ( 91.30) ( 4.37) 7/13/2029 2,485 2,464 2,239
CFIP CLO 2014-1 LTD 1A ER 144A ( 79.97) ( 6.87) 7/13/2029 250 249 196
CFIP CLO LTD 1A C 144A ( 98.09) ( 2.72) 7/18/2031 250 219 243
CHANGE HEALTHCARE HOLDING 144A ( 98.75) ( 5.75) 3/1/2025 200 197 194
AMEREN CORP ( 105.97) ( 2.50) 9/15/2024 1,800 1,799 1,894
CHARLES SCHWAB CORP/THE ( 106.83) ( 5.38) 12/31/2049 1,100 1,100 1,165
CHARTER COMMUNICATIONS OPERATI ( 101.30) ( 2.80) 4/1/2031 400 398 403
CHARTER NEX 5/17 COV-LITE TLB ( 95.49) ( - ) 5/16/2024 249 237 238
CHENIERE ENERGY PARTNERS LP ( 99.50) ( 5.63) 10/1/2026 1,000 1,005 981
CHG HEALTHCARE
AMERICAN WATER12/17CAPITALCOV-LITE
CORP (( 96.18)
114.54) (( - )
3.45) 6/7/2023
6/1/2029 1,047
500 971
499 1,006
571
CIFC FUNDING 2012-I 2RA
ANHEUSER-BUSCH INBEV WORLDWIDE D 144A (( 78.00)
113.91) (( 5.72)
4.35) 1/20/2028
6/1/2040 1,745
1,700 1,705
1,699 1,338
1,918
CIFC
AT&TFUNDING
INC 2013 2A B1LR 144A (( 90.11)
100.51) (( 3.32)
1.10) 10/18/2030
6/1/2021 310
2,000 301
2,000 277
2,008
CIFC FUNDING
AT&T INC 2013-I 1A CR 144A (( 92.23)
100.82) (( 3.82)
1.23) 7/16/2030
7/15/2021 1,000
2,300 1,000
2,300 912
2,308
CIFC FUNDING
AT&T INC 2013-I 3RA C 144A (( 91.08)
116.60) (( 3.16)
4.35) 4/24/2031
3/1/2029 300
1,800 280
1,791 271
2,073
CIFC
AURIUM CLO II 2014
FUNDING DAC 2A 1A AR
DR2144A
144A (( 85.13)
110.99) (( 3.12)
0.68) 1/18/2031
10/13/2029 250
900 241
1,047 211
997
CIFC FUNDING 2015-I 3A CR 144A ( 96.28) ( 1.92) 4/19/2029 500 441 479
CIFC FUNDING 2015-I 4A CR 144A ( 96.01) ( 4.27) 10/20/2027 500 501 475
CIFC FUNDING 2019-VI 6A D 144A ( 98.54) ( 4.22) 1/16/2033 2,000 1,730 1,949
CIMPRESS PLC 144A ( 92.25) ( 7.00) 6/15/2026 542 420 498
AVANGRID INC ( 107.96) ( 3.15) 12/1/2024 1,700 1,702 1,831
CINEWORLD 2/18 (USD) COV-LITE ( 74.86) ( - ) 2/28/2025 1,424 1,411 1,066
AVANGRID INC ( 115.77) ( 3.80) 6/1/2029 2,100 2,274 2,424
CIT GROUP INC ( 97.01) ( 3.93) 6/19/2024 675 675 654
CITIGROUP MORTGAG IMC1 A1 144A ( 101.31) ( 2.72) 7/25/2049 706 706 714
CITIGROUP MORTGAGE LO AMC3 A2C ( 84.94) ( 0.42) 3/25/2037 2,278 1,976 1,935
CITIZENS FINANCIAL GROUP INC ( 108.08) ( 3.25) 4/30/2030 3,170 3,166 3,409
CITYCENTER 4/17 COV-LITE
BANK OF AMERICA CORP TLB (( 90.73)
106.73) (( - )
3.30) 4/18/2024
1/11/2023 0
2,400 2,404- 2,524-
CLARIOS GLOBAL
BANK OF AMERICA CORP LP / CLARI 144A (( 100.50)
111.07) (( 8.50)
4.13) 5/15/2027
1/22/2024 100
2,200 104
2,306 99
2,403
CLARK EQUIPMENT
BANKUNITED TRUST 2005-1 CO 144A1 1A1 (( 102.25)
94.56) (( 5.88)
0.77) 6/1/2025
9/25/2045 276
134 276
115 281
127
CLEAR CHANNEL
BARCLAYS BANK PLC 2/20 COV-LITE TL (( 91.92)
108.88) (( - )
7.63) 5/1/2026
11/21/2022 299
2,100 275
2,289 275
2,269
CLEAR CHANNEL
BARCLAYS PLC 8/19 COV-LITE ( 90.40)
101.54) ( - )
2.56) 8/7/2026
8/10/2021 192
2,200 183
2,222 173
2,226
CLEAR
BARCLAYSCHANNEL
PLC WORLDWIDE H 144A ( 96.00)
103.78) ( 5.13)
3.68) 8/15/2027
1/10/2023 340
2,700 327
2,700 320
2,755
CLEAR
BARCLAYSCHANNEL
PLC WORLDWIDE HOLDIN ( 92.76)
107.72) ( 9.25)
4.34) 2/15/2024
5/16/2024 184
1,700 157
1,690 164
1,822
CLEARWAY ENERGYIIOPERATING
BAYER US FINANCE LLC 144A 144A ( 101.99)
99.69) ( 4.75)
1.32) 3/15/2028
12/15/2023 225
2,100 230
2,100 224
2,092
CLEAVER-BROOKS
BEAR STEARNS ARM INCTRUST
144A 1 12A5 ( 84.75)
94.60) ( 7.88)
3.83) 3/1/2023
4/25/2034 360
634 367
630 296
598
CML
BEAR- STEARNS
MARRIOTT ARM WAIKIKI
TRUST 10 15A1 ( 89.61)
92.40) ( - )
3.98) 3/31/2021
1/25/2035 5,000
175 4,527
173 4,481
161
CNH
BEARINDUSTRIAL
STEARNS ARM CAPITAL
TRUSTLLC
2 8 1A1 ( 100.66)
92.04) ( 1.95)
4.00) 1/25/2034
7/2/2023 3
1,100 1,0933 1,1073
BEAR STEARNS
COBHAM/AI ARM TRUST
CONVOY 12/192(USD)
9 2A1C ( 98.46)
95.13) ( 3.89)
- ) 2/25/2034
12/23/2024 556
823 549
803 546
777
BNP PARIBAS SA 144A
COLLEGE AVENUE STUDE A A1 144A ( 105.85)
99.22) ( 3.50)
1.82) 3/1/2023
11/26/2046 1,700
1,477 1,696
1,477 1,780
1,465
BOSTON
COLOGIXPROPERTIES
HOLDINGS 12/18 LP TL (( 104.52)
95.71) (( 2.90)
- ) 3/15/2030
3/20/2024 2,300
100 2,299
97 2,384
96
BROADCOM INC
COMMSCOPE 1/19 TLB 144A (( 107.24)
94.50) (( 3.46)
- ) 9/15/2026
2/6/2026 1,513
499 1,550
471 1,617
471
CARLYLE FINANCE
COMMSCOPE LLC 144A
INC 144A (( 120.82)
102.77) (( 5.65)
8.25) 9/15/2048
3/1/2027 2,700
321 2,698
324 3,217
321
C-BASS 2007-CB5 TRUST
COMMSCOPE TECHNOLOGIES CB5 A2LL 144A (( 74.41)
90.07) (( 0.34)
5.00) 4/25/2037
3/15/2027 4,432
543 2,337
494 3,297
481
CCP_CDS. SP UL
COMMSCOPE CITIGROUP INC.
TECHNOLOGIES LL 144A (( 0.29)
96.57) (( 1.00)
6.00) 12/20/2020
6/15/2025 5,500
255 104
244 14
246
CCP_CDS. SP UL SIMON PROPERTY ( (0.51)( 1.00) 6/20/2022 3,300 11 (18)
CONSOLIDATED ENERGY 5/18 TLB ( 90.50) ( - ) 5/2/2025 838 670 757
CCP_CDS._SP
CONSTELLATION UL CITIGROUP
BRANDS INCINC. (( - )
109.19) (( - )
3.75) 12/20/2020
5/1/2050 (5,500)
350 (0)
353 380-
CCP_CDS._SP
CONTEGO CLOUL SIMON
II BV 2A ERPROPERTY
144A (( - )
106.79) (( - )
4.95) 6/20/2022
11/15/2026 (3,300)
1,860 (0)
2,164 1,973-
CCP_IRS.
CONTEGOPCLO JPY-LIBOR-BBA 6M CM
II BV 2X ER REGS (( (0.03)
106.79) (( 0.04)
4.95) 3/10/2038
11/15/2026 61,000
590 6380 (17)
626
CONTEGO CLO IV DAC 4X F REGS ( 91.30) ( 6.55) 1/23/2030 430 448 387
69 2019–2020
were created REPORT
Core Fixed
CONTEGO
DRYDEN 59Income
CLO CLO
EURO VI DAC59X6X C1DREGS
REGS ( ( 108.35)
106.84)
( ( 3.30) 5/15/2032
1.55) 1/15/2032 1,600605 1,558501 1,730642
ABBVIE
CONTEGO
DRYDEN INC
59 144ACLO CLO
EURO VII DAC
59X7X D1DREGSREGS ($
( ( 104.01) ( (
109.36)
100.11) 3.45)
3.95) 3/15/2022
2.40) 5/14/2032
5/15/2032 3,600 ($
2,045385 3,744
2,170325($ 3,708
2,040412
ABBVIE
DRYDEN INC
69 144A
EURO
COREL 6/19 COV-LITE TLCLO 69X D REGS ( ( 104.80)
109.38) (
93.92) ( 3.25)
4.00)
- ) 10/1/2022
4/18/2032
6/26/2026 1,100
210997 1,149
199957 1,144
228932
ABBVIE
CORPINC
DRYDEN 69 144A
EURO CLO
NACIONAL 69X
DEL DE REGS
COBRE D 144A ( ( 106.16)
109.38) ( (
108.99) 2.60)
3.75) 11/21/2024
4.00) 4/18/2032
1/15/2031 1,800
280250 1,798
265250 1,906
304271
ABBVIE
DRYDEN
COSTAR INC
XXV144A
SENIORINC
GROUP 25A DRR 144A
144A ( ( 108.77)
89.17) ( (
102.34) 2.95)
2.80) 11/21/2026
3.28) 10/15/2027
7/15/2030 1,900
250
3,480 1,898
245
3,477 2,060
221
3,561
ACCREDITED
DRYDEN XXVIMORTGAGE
SENIOR 26A5/17
CPG INTERNATIONAL LOAN
DR 144A4 A2D ( ( 96.16)
90.11) ( (
98.84) 0.87)
2.98)- ) 1/25/2035
4/15/2029
5/3/2024 1,487
790 58 1,495
743 55 1,430
705 57
ACE SECURITIES
DRYDEN XXVII-R CORP
EURO HO
27X HE1
C A2A
REGS ( 72.89) (
110.37) 0.26)
2.15) 1/25/2037
5/15/2030 2,708
455 84 1,299
471 82 1,974
501 82
CPI ACQUISITION 3/20 COV-LITE ( 97.43) ( - ) 5/17/2022
ADAMS
DUFF MILL CLO LTD(USD)
1A A1R 144A (( 99.72) (( 1.38)
- )- ) 7/15/2026 850 850 843
CPI&CARDPHELPS 4/20
GROUP COV-L
8/15 COV-LITE ( 97.00) 80.63) ( 4/9/2027
8/17/2022 1,850400 1,801255 1,793 317
AIA GROUP
DYNACAST LTD REGS (( 103.96) (( 3.13)
- )- ) 3/13/2023 2,000 2,034 2,061
ALLYCPP 4/185/15
MASTER
TLB1 TLB
COV-LITE
OWNER TRUST
81.00)
( 99.99) 86.06) ( 1/28/2022
4/25/2025 942
1,005 940
1,005 763857
EAST WEST
CREDIT SUISSEINVESTMENT
GROUP 1XAG E3144A
A
REGS (( 87.50)
( 85.56)
((
113.99) (
0.50)
7.68)
4.19)
7/15/2022
1/20/2033
4/1/2031
1,400
1,740600 1,400
1,613600 1,400
1,439678
ALTERNATIVE
EATON LOAN
VANCE CLOASSET TRUST
2 1A A1RR 46CB144AA9 (( 98.73) (( 5.50)
1.44) 10/25/2035
1/15/2028 2,328
605767 2,021
588769 1,981
594760
CREDIT-BASED
ALTERNATIVE LOAN TRUST RP2J13M22A3144A (( ( 83.42) 99.17)
( ( 1.77) 11/25/2035
5.50) 9/25/2035 1,352 1,037 1,122
EATON
CROWN VANCE CLO 20 1A CRR
POINT CLO IV L 4A D 144A 144A 94.50)
( 105.97) 89.67)( 4.08) 1/15/2028 1,250 1,119 1,168969
AMEREN
EATON CORP (( (( ( 3.02) 9/15/2024
2.50) 4/20/2031 1,090
1,800 1,002
1,799 1,894
CSC VANCE
AMERICAN HOLDINGS CLOLLC
AIRLINES
2019144A
2016-2
1A D 144A
CLASS (
97.08)
( 81.46) 99.13)
( ( 4.03)
4.13)
3.65)
4/15/2031
12/1/2030
12/15/2029
1,000
2,600
2,246
858
2,596
1,539
960
2,573
1,826
EATON VANCE
CSC HOLDINGS LTD DURATION
144ALP FND ( 11.27) ( ( - ) - 61250 637259 686255
AMERICAN HOMESLLC 4 RENT ( ( 106.95)102.64)( 5.50)
4.25) 5/15/2026
2/15/2028 1,600 1,591 1,685
EDELMAN FINANCIAL
CSC HOLDINGS 6/18
144ATLB ( 95.25) ( - ) 7/21/2025 199 180 190
AMERICAN HONDALLC FINANCE CORP ( ( 99.78) 109.13)( ( 7.50) 2/15/2022
0.84) 4/1/2028 3,800750 3,800845 3,787802
EDGEWATER
CTI FOODS
AMERICAN GENERATION
TOWER5/19 CORP
FIRST OUT 11/18TL (( 95.35)
( 108.57) (( (
94.00) - )
- )
3.38) 11/14/2025
5/3/2024
5/15/2024 499 71
2,200 469 70
2,193 476 66
2,379
EFS COGEN
CTI
AMERICAN FOODS 6/16
WATER COV-LITE
5/19 SECOND
CAPITAL TLBOUT TL
CORP (( 96.92)
( 114.54) (( (
91.00) - )- ) 6/28/2023
3.45) 5/3/2024
6/1/2029 492
500 43 480
499 42 477
571 39
ELEVATION
ANHEUSER-BUSCH
CTI FOODS CLOHOLDING
2017-7
INBEV 7A
CO DLLC
144A
WORLDWIDE (( 89.04)
( 113.91) (( (
81.58) 3.18)
4.35)- ) 7/15/2030
6/1/2040
8/15/2019 2,865
1,700 1 2,697
1,699251 2,526
1,918 83
ELM
AT&T PARK
INC CLO&DAC
CUSHMAN 1X CR REGS
WAKEFIELD US BO 144A (( ( 106.85)
100.51) (( (
104.25) 2.45)
6.75) 4/16/2029
1.10) 6/1/2021
5/15/2028 1,185
2,000
2,050 1,097
2,000
2,050 1,259
2,008
2,122
ELOISE
AT&TCVC SPV
INC SRL
CORDATUS LOAN 11X DE REGS (( 108.34)
( 100.82) (
107.51) ( ( 0.01)
3.20) 1/20/2035
1.23) 7/15/2021
10/15/2031 4,017
2,300950 4,409
2,300
1,026 4,352
2,308
1,014
EMDEON
AT&TCVC INC 3/17
CORDATUS COV-LITE
LOANTLB 3X CRR REGS ( 95.85)
( 116.60) ( (
108.53) - )
4.35)
1.70) 3/1/2024
3/1/2029
8/15/2032 500365
1,800 484304
1,791 477395
2,073
ENCORE
AURIUM CAPITAL GROUP
CLO II DACLOAN
CVC CORDATUS 2A ARINC 144A
3X ERR REGS ( 101.27)
( 110.99) (
98.64) ( 5.63)
0.68) 8/11/2024
4.86) 10/13/2029
8/15/2032 3,740
900380 3,740
1,047383 3,758
997372
ENDURANCE
AUTOCVCABS CORDATUSINTL 6/18
2012-2 LOAN
SRL 2TL
A 4X
REGSDRR REGS ( ( 96.33) ) ( (
-110.15) - ) 2/9/2023
3.80) 4/27/2025
2.80) 4/22/2030 266
- 880 255- 795 255- 963
ENERSYS 144A
AUTO ABS COMPARTIM 12-2 DRRE
CVC CORDATUS LOAN 4X A REGS REGS (( ( 102.50)110.15)
- ) ( ( ( 5.00)
3.80)
2.80) 4/30/2023
4/22/2030
4/27/2025 100
1,925
- 97
1,989
- 102
2,105
-
ENOVA
CVC INTERNATIONAL
CORDATUS
AVALONBAY COMMUNITIES INC LOAN INC
8X 144A
DNE REGS (( 90.25)
( 111.54)106.95)(( ( 8.50)
3.30)
3.45) 9/15/2025
4/23/2030
6/1/2025 315475
3,200 304424
3,194 276505
3,560
ENPRO
CVC INDUSTRIES
AVANGRID CORDATUS
INC INC 9X DNE REGS
LOAN (( ( 100.00)108.26)
107.96) (( ( 5.75)
2.85) 10/15/2026
3.15) 8/20/2030
12/1/2024 70870
1,700 68958
1,702 69939
1,831
CVC CORDATUS
ENTRANS
AVANGRID INTERNATIONAL
INC LOAN F10/1810X DTL REGS ( ( 115.77)102.36)
77.33) ( ( 2.50) 11/2/2024
- )
3.80) 1/27/2031
6/1/2029 1,005
444
2,100 1,085
328
2,274 1,024
343
2,424
BANCCVENT
ENVISION 6/16 COV-LITE
OF AMERICA
HEALTHCARE ALTERNA TL 7 2CB1
9/18 ( ( 65.25)
96.97)85.46)( ( - )- ) 10/10/2025
6.00) 11/29/2023
8/25/2035 598930
1,840 389869
1,722 391795
1,775
BANCCVPOFCASCADE
ENVISION AMERICA
HEALTHCARECLO-1 CLO17C
FUNDING
CORP 144A
1A1
144A ( ( 47.50)
82.03)97.49)( ( 3.77) 10/15/2026
0.62)
8.75) 1/16/2026
9/25/2036 1,510
2,579
500 1,508
1,730
144 1,457
2,115
228
BANC
ERNACVP CASCADE
1OFA AMERICACLO-2 LT 2AAC1A1
FUNDING 144A ( ( 111.80)
93.95)94.43) ( ( 4.07) 7/25/2031
4.18)
2.25) 7/18/2026
2/20/2036 3,600
142
4,395 3,114
125
4,919 3,363
132
4,893
CVR ENERGY
BANK 1OFB AMERICA CORP
ERNA INC 144A ( ( 112.82)
99.67)87.50) ( ( 5.75) 7/25/2031
1.12)
3.60) 2/15/2028
3/5/2024 900437
765 894376
855 896372
858
BANK
ESH CVR OFENERGY
AMERICA
HOSPITALITY INC 144A
CORP
INC 144A ( ( 106.73)
93.63)92.00) ( ( 5.25) 10/1/2027
3.30)
4.63) 2/15/2025
1/11/2023 334268
2,400 296240
2,404 309241
2,524
BANKCVR OFPARTNERS
AMERICA
EURO GARAGES/EG GROUP LP
CORP/ CVR NIT3/18144A ( ( 111.07)
93.67)98.00) ( ( 9.25)
4.13)
- ) 6/15/2023
1/22/2024
2/7/2025 2,200750
1,047 2,306660
1,037 967732
2,403
BANKUNITED
DAE AVIATIONTRUST
EURO GARAGES/EG GROUP 3/18 2005-1
(STANDARD 1 1A1
AERO)
2ND 2 (( 94.56)
( 91.00) 85.13) (( ( 0.77)
- )
- ) 9/25/2045
4/6/2026
3/23/2026 134
386 398 115
382 398 127339
342
BARCLAYS BANK PLC
EURO-GALAXY III CL 3X DRR REGS REGS
DARTRY PARK CLO DAC 1X CR (( 108.88)
( 109.09)111.82) (( ( 7.63)
2.95)
3.55) 11/21/2022
4/28/2029
1/17/2031 2,100
360 865 2,289
1,010
290 2,269
390962
BARCLAYS
DARTRYPLC
EURO-GALAXY PARK CLOBDAC
V CLO 5X DR 1X REGS
D REGS (( 101.54)
( 109.08)111.46) (( ( 2.56) 8/10/2021
5.65) 11/10/2030
3.50) 4/28/2029 2,200
1,245
1,350 2,222
1,449
1,246 2,226
1,374
1,465
BARCLAYS
DAVITA
ÉVICOF II TRUSTPLC
INC 144A (( 103.78)
( 101.38) 99.52) (( ( 3.68)
4.63)
- ) 1/10/2023
6/1/2030
5/20/2023 2,700
2,330
4,500 2,700
2,330
4,524 2,755
2,312
4,562
BARCLAYS PLC
DELL INTERNATIONAL LLC / 144A ( ( 107.72)103.59) ( ( 4.34)
7.13) 5/16/2024
6/15/2024 1,700562 1,690587 1,822580
EXGEN RENEWABLES/EXELON 11/17 ( 96.75) ( - ) 12/31/2020 486 471 471
BAYER
DELTA US FINANCE
AIR LINESIIINC LLC144A
144A ( ( 99.69)103.23) ( ( 7.00) 12/15/2023
1.32) 5/1/2025 6,500
2,100 6,500
2,100 6,631
2,092
EXPRESS OIL/MAVIS TIRE 3/18 ( 85.60) ( - ) 3/20/2023 181 181 154
BEARDIAMOND
STEARNSCLO ARM 2018-1
TRUSTL 11A12A5C 144A ( ( 94.60) 94.39) ( ( 2.86) 4/25/2034
3.83) 7/22/2030 2,000
634 2,000
630 1,873
598
EYECARE
BEARDIAMOND PARTNERS
STEARNS ARM 2/20
ISSUER LLC COV-LITE
TRUST 1A10B 15A1
144A (( ( 89.78)100.00)
92.40) (( ( - )
3.72) 2/18/2027
3.98) 7/20/2050
1/25/2035 549
1,800
175 548
1,800
173 493
1,800
161
FAGE
BEAR INTERNATIONAL
DIAMOND
STEARNS ISSUER
ARM TRUST SA 1A
LLC / F2C144A
8144A
1A1 (( 94.00)
( 92.04) 100.00) (( ( 5.63)
4.00) 8/15/2026
5.93) 1/25/2034
7/20/2050 300
3
1,000 2573
1,000 2763
1,000
FAIRDISH
BEAR SQUARE
STEARNS
DBS CORPFINANCIAL
ARM TRUST 2 9 2A1 (( ( 100.00)
98.46) (( (
99.76) - )
3.89) 8/20/2020
5.00) 2/25/2034
3/15/2023 16,685
556194 16,685
549190 16,685
546191
FAIRSTONE
BNP PARIBAS
DISH FINANCIAL
NETWORK SA 144A CORP INC 144A (( 98.00)
( 105.85) (( (
91.86) 7.88)
3.38) 7/15/2024
3.50) 3/1/2023
8/15/2026 470336
1,700 506272
1,696 444304
1,780
FALCON
BOSTON
DIVERSEYAEROSPACE
PROPERTIES LTD
LP 1 A 144ACOV-
6/20 INCREMENTAL (( 88.01)
( 104.52) (( (
97.75) 4.58)- ) 3/15/2030
2.90) 2/15/2042
9/6/2024 1,042
2,300
1,000 1,042975
2,299 915977
2,384
FALCON AEROSPACE
BROADCOM LTD 1 B 144A (( 71.49) (( 6.30) 2/15/2042 827 823 589
DIVERSEYINC 9/17 144A
(USD) COV-LT TL ( 107.24)91.67) ( 3.46)
- ) 9/15/2026
9/6/2024 1,513
1,857 1,550
1,733 1,617
1,690
FDF I
CARLYLELTD 1A A 144A
FINANCE2/18 LLC TL144A (( 97.86) (( 4.40) 11/12/2030 1,000 999 973
DIVERSITECH ( 120.82) 95.25) ( 5.65)
- ) 9/15/2048
6/3/2024 2,700249 2,698234 3,217 238
FDF I LTD
C-BASS 1A D 144A
2007-CB5 TRUST CB5 A2 (( 86.22) (( 7.50) 11/12/2030 2,000 1,965 1,704
DOLE FOOD CO INC 144A ( 74.41) 95.75) ( 0.34)
7.25) 4/25/2037
6/15/2025 4,432 530 2,337 531 3,297 506
FDF II LTD SP
CCP_CDS. 2AUL B 144A
CITIGROUP (( 98.75) ( 5.29) 5/12/2031 2,250 2,246 2,206
DRYDEN 29 EURO CL 29XINC.DRR REGS ( 0.29) (
103.49) ( 1.00)
2.60) 12/20/2020
7/15/2032 5,500 995 104
1,053 14
1,024
FDF II LTD SP
CCP_CDS. 2AUL C 144A
SIMON PROPERTY (( 87.41)
(0.51) (( 6.29)
1.00) 5/12/2031
6/20/2022 1,000
3,300 999
11 866
(18)
DRYDEN 37 SENIOR LO 37A Q 144A ( 76.43) ( - ) 1/15/2031 1,000 760 764
FEDERAL AGRICULTURAL
CCP_CDS._SP MORTGAGE (( 25.35) ) (( ( - ) - 36 900 913
DRYDEN 39ULEURO CITIGROUP
CL 39X INC.
DRE REGS ( -104.64) - )
2.90) 12/20/2020
10/15/2031 (5,500)
1,915 (0)
2,113 -
1,991
FERGUSON
CCP_CDS._SP FINANCE
UL SIMON PLC 144A
PROPERTY (( 102.45) (
- 47.75)
) ( ( 3.25)
- ) 6/2/2030
6/20/2022 440
(3,300) 442
(0) 450-
DRYDEN
FIDELITY 41 SENIOR
NATIONAL 41A SUBIN144A
FINANCIAL ( 104.10) 3.40)- ) 3/10/2038
4/15/2031 1,200 1,024 935573
CCP_IRS.
DRYDEN P JPY-LIBOR-BBA
44 EURO CLO 44X 6M CMDR REGS (( ( (0.03) (( (
108.55) 0.04)
2.95)
6/15/2030
7/15/2030
900
61,000 430
8990 396 (17) 467
FIELDWOOD ENERGY 4/18 2ND LIEN ( 0.60) ( - ) 4/11/2023 2,966 148 (24)
1Appendices
1Appendices
A-JA-J
were
were
created
created
using
using
data
data
as as
of June
of June
30,30,
2020
2020 RETIREMENT
provided
provided
by by
thethe SYSTEM All
Custodian. INVESTMENT
Custodian. All
figures areCOMMISSION
figures are
in U.S.
in U.S. 70
Dollars.
Dollars. 2
Core
HYATT Fixed
HOTELSIncome
GRIFFON
CORP CORP
FIELDWOOD ENERGY INC ( 105.97) ( 98.75)
5.38) (
0.01) 5.75)
4/23/2025
- ) - 640
3/1/2028 882
644
4 847
672
2 852
0
ABBVIE INC 144A
HYATT HOTELS CORP 11/19
GRIFOLS
FIELDWOOD COV-LITE T ($
(USD) INC
ENERGY ( 104.01)
109.95) (( 3.45)
5.75) (
96.11)
0.05) 3/15/2022
4/23/2030
- ) 3,600
- 570 ($
11/15/2027 3,744
15 ($
576
499 3,708
621
484
15 479
1
ABBVIE INC
HYLAND SOFTWARE144AGRINDING
FIGUEROA 10/18MEDIA
CLO 2014-1 INC /1AMOLY
CR 144A (
144A( 104.80)
96.95) (( 3.25)
99.50)
- ) (
97.66) 10/1/2022
7.38)
7/1/2024
2.38) 1,100
12/15/2023
499
1/15/2027 1,149
250
480
1,000 1,144
243
484
965 248
969
ABBVIEENTERPRISES
ICAHN INC 144A GROSVENORLP / ICAHNPLACE
FIGUEROA CLO 2014-1 1A DR 144AE CL 1X BRR REGS(
( 106.16)
99.00) (( 2.60) (
108.00)
6.38)
99.50) 11/21/2024
1.60)
12/15/2025
3.53) 1,800
10/30/2029
650
1/15/2027 1,798
975
663
3,075 1,906
1,197
642
2,883 1,050
3,030
ABBVIEENTERPRISES
ICAHN INC 144A GRUBHUB
FINANCIAL HOLDINGS
LP / ICAHNINSTITUTIONE INCNOTE 144ASEC(( 108.77)
100.07) (( 2.95)
102.38)
6.25)
100.00) ( 11/21/2026
5.50)
5/15/2026
5.93) 1,900
7/1/2027
388
5/16/2042 1,898
540
393
3,000 2,060
500
385
3,000 538
2,977
ACCREDITED
IDEX CORP MORTGAGEGS
FIRSTMORTGAGE
AMERICAN LOANSECURI 4FINANCIAL
A2D DUNECORP ((
E 144A 96.16)
104.35) (( 0.87) (
84.55)
3.00)
109.65) 1/25/2035
2.67)
5/1/2030
4.00) 1,487
12/15/2036
530
5/15/2030 1,495
2,000
530
1,020 1,430
2,000
550
1,016 1,689
1,113
ACE SECURITIES
ILLUMINATE GS
BUYERCORP
FIRSTMORTGAGE
LLC
NLC HO ILHE1
/ TRUST144A A2A
SECURI
2007 1STAY
A1 144AE 144A (( 72.89)
104.25) (( 0.26)
88.02)
9.00) (
55.53) 1/25/2037
2.32)
7/1/2028
0.24) 2,708
7/15/2032
275
8/25/2037 1,299
1,900
275
1,482 1,974
1,900
287
937 1,670
823
ADAMS MILL CLO
INFORMATICA GS LTD
FIRST
2/20 NLC1A TRUST
MORTGAGE
(USD) A1R 144A
COV-LITSECURI
2007 1UPTN
A4 144A E 144A (( 99.72)
95.50) (( 1.38)
91.96)
- ) (
57.66) 7/15/2026
3.25)
0.45)
2/25/2027 850
2/10/2037
8/25/2037
599 850
2,000
1,491
596 843
2,004
974
572 1,834
860
AIA GROUP
INGRAM MICRO LTD REGS
GSAA
FIRST HOME EQUITY
INC QUANTUM TRUST 20
MINERALS LT 7144A
A4( ( 103.96)
100.01) (( 3.13)
95.21)
5.00) (
94.38) 3/13/2023
0.44)
6.50)
8/10/2022 2,000
7/25/2037
3/1/2024
1,195 2,034
362
400
1,120 2,061
322
353
1,172 345
369
ALLY
INGRAMMASTER
MICRO OWNER
GSAMP
FIRST
INC QUANTUMTRUST
TRUST 32007-NC1 AMINERALS NC1LTA1 144A (( 99.99)
100.80) (( 0.50)
58.14)
5.45) (
95.75) 7/15/2022
0.30)
7.50)
12/15/2024 1,400
12/25/2046
4/1/2025
490 1,400
1,357
277
510 1,400
936
255
493 789
260
ALTERNATIVE
INTERTAPE POLYMER LOAN
GUARDIA
FIRSTKEY TRUST
GROUP 1 46CB
LTD
REVOLVING 1X A9
C REGS
I 144A TR 144A (( 85.56)
102.77) (( 5.50)
100.00)
7.00) (
100.50) 10/25/2035
6.50)
0.01)
10/15/2026 2,328
10/20/2037
7/31/2023
191 2,021
1,990
3,982
202 1,981
2,000
3,982
193 1,964
3,991
ALTERNATIVE LOAN TRUST J13CLO
GUGGENHEIM 2A3201 1A SUB 144A ( 83.42) (( 5.50) (
55.44) 11/25/2035
- ) 1,352
10/15/2032 1,037
6,700 1,122
5,829 3,329
INTRAWEST 7/17 FIRSTLIGHT
(USD) TLB1 FIBER 5/18 TL ( 94.00) 94.13)
- ) 7/31/2024 7/23/2025
100 466
93 44994 438
AMEREN CORPHALCYON LOAN ADVISOR 1A C 144A ( 105.97) ((( 2.50) (
86.12) 9/15/2024
3.47) 1,800
7/21/2031 1,799
1,793 1,894
1,322 1,528
INTRAWEST/ALTERRA FLAGSHIP 5/20 CLO TLVIII 8A BRR 144A ( 98.00) 98.38)
- ) 1.67)
5/13/2026 1/16/2026
2,693 1,500
2,661 1,433
2,639 1,467
AMERICAN AIRLINES HALCYON 2016-2 LOAN CLASSADVISOR 1A D 144A ( 81.46) ((( 3.65) (
94.53) 12/15/2029
3.77) 2,246
4/18/2026 1,539
3,975 1,826
3,975 3,719
IRIDIUM FLAGSHIP VII
COMMUNICATIONS LTD
11/197A DC 144A ( 97.90) 98.23)
- ) 4.02)
11/4/2026 1/20/2026
499 1,500
491 1,445
488 1,459
AMERICAN HOMES HALCYON4 RENT LOANLP ADVISOR 1X D REGS ( 106.95) ((( 4.25) (
103.44) 2/15/2028
3.20) 1,600
7/25/2030 1,591
250 1,685
270 257
IRON MOUNTAIN FLATIRON
INC 144A CLO 2015-1 1A E 144A ( 99.79) 88.59)
5.63) 4.98)
7/15/2032 4/15/2027
2,350 1,000
2,350 975
2,342 873
ISHARES IBOXX HAMILTON
FLORA
HIGH FOOD
YLD PROJECTS
CORP 3/18 (USD) 6/20 TLB (
COV-LITE 81.62) (( 97.71)
95.57)
- ) ( - )
- 6/11/2027
7/2/2025
201 1,100
997
14,764 1,045
954
16,377 1,073
950
IXIS REAL ESTATE HANESBRANDS
FMG RESOURCES
CAPITA HE1CORP INC
A2 144A 2006 144A
AUGUST (( 30.46) (( 101.13)
100.04)
0.28) ( 5.38)
4.50)
5/25/2037 5/15/2025
9/15/2027
5,328 350
510
1,879 350
510
1,623 351
503
AMERICAN WATER CAPITAL 114.54) ( 3.45) 6/1/2029 500 499 571
JACKSON MILL FORD
ANHEUSER-BUSCH
HARBOR LTMOTOR
CLO INBEV 1AFREIGHT
CR CO TOOLS 1/18
144A
WORLDWIDE (( 94.61)
113.91)
((
(
108.22)
96.06)
2.13)
4.35)
( 9.00)
- )
4/15/2027
6/1/2040
4/22/2025
8/18/2023
1,000
1,700
106
499
1,000
1,699
106
474
940
1,918
113
479
JAGUAR HOLDING FORD
HARVEST
CO MOTOR
II / CLO
PP CREDIT
IX
144A DAC 9X COERLLCREGS ( 101.77) (( 94.75)
97.44)
4.63) ( 4.54)
5.12)
6/15/2025 8/1/2026
2/15/2030
1,105 744
4,295
1,110 677
4,464
1,121 691
4,153
AT&T INC ( 100.51) ( 1.10) 6/1/2021 2,000 2,000 2,008
JAMAICA FORD
HARVEST MOTOR CLO XCREDITDA 10XCO LLC REGS(
DRNE (( 95.25)
- ) (
111.83) 3.09)
2.60) 1/9/2023
11/15/2028 408
1,850 377
2,153 383
2,062
AT&T INCMERCHANT VOUCHER 99.87)
100.82) 1.23) 7/8/2022
7/15/2021 972
2,300 972
2,300 966
2,308
JAMES HARDIE FORD
HARVEST MOTOR
INTERNATIONA CLO XCREDITDAC
144A CODR
10X LLCREGS ( 102.00) (( 97.66)
111.83)
5.00) ( 4.69)
2.60)
1/15/2028 6/9/2025
11/15/2028
355 478
1,910
334 450
2,222
354 465
2,129
AT&T INC 116.60) 4.35) 3/1/2029 1,800 1,791 2,073
JAMESTOWN HARVEST
FORMULA CLOCRX144A
ONE DAC 10X
1/18 (USD)E REGS ( (( 106.85)
94.94) ( 4.75)
- ) 11/15/2028
2/1/2024 2,705
500 3,186
460 2,871
475
AURIUM CLO IICLO DAC IV2ALT AR 4A 144A 97.80)
110.99) 2.93)
0.68) 7/15/2026
10/13/2029 2,095
900 1,969
1,047 2,032
997
JAMESTOWN HARVEST
FORTRESS
CLO IV LT 4XCLO
CREDIT
CR XII
REGSDA 12X
OPPO FR
9A CREGS
144A( 97.80) (( 87.77)
88.98)
2.93) ( 6.55)
3.04)
7/15/2026 11/18/2030
11/15/2029
800 365
2,500
748 361
2,434
776 317
2,215
JAMESTOWN HARVEST
FREDDIE
CLO IX L 9A CLO
MACC2R XVII
MILITA
144A 17XR1DRE
XA1 REGS144A( 95.39) (( 109.65)
7.20)
4.37) ( 3.95)
0.70)
10/20/2028 5/11/2032
11/25/2055
1,140 930
11,866
1,083 805
950
1,076 1,014
854
AUTO ABS COMPARTIM HARVEST 12-2
CLO A
XVIIREGS
D 17X CR REGS ( - ) ( 2.80)
109.74) 4/27/2025
2.40) 5/11/2032- 1,115- 1,081 - 1,219
JAMESTOWN FREDDIE
CLO IX L 9XMAC C1RINC MILITA
REGS R1 XA3 144A( 96.15) (( 6.16)
4.37) ( 0.70)
10/20/2028 11/25/2052
1,800 36,668
1,739 2,525
1,712 2,260
AVALONBAY COMMUNITIES
HARVEST CLO ( 111.54) ( 3.45) 6/1/2025 3,200 3,194 3,560
JAMESTOWN
AVANGRID INCCLO
GAIA IX AVIATION
LT 9A BRXXII LTDDA
144A 22A
1A D 144A (
144A
( 98.84)
107.96)
(( 109.09)
85.18)
2.92) ( 4.00)
3.97)
10/20/2028 1/15/2032
12/15/2044
875 2,485
1,700
801 2,789
1,199
858 2,687
1,445
JAMESTOWN HARVEST
GALAXY
CLO V LTD XXICLO
5A CLO
D XXIILTD
144A DA21A
22XDR D REGS
144A ( 95.93) ((( 3.15) (
109.09)
91.62)
4.02)
12/1/2024
4.00)
2.92)
1/17/2027
1,700
1/15/2032
4/20/2031
2,535
1,702
325
750
2,525
1,831
305
713
2,406 351
682
AVANGRID INCHARVEST CLO XXIII 23A CE 144A ( 115.77) ( 3.80)
106.17) 6/1/2029
2.05) 2,100
10/20/2032 2,274
3,605 2,424
3,389 3,804
JAMESTOWN GALAXY
CLO X LTD XXIV
10A CLO
C LTD 24X D REGS (
144A 91.17) (( 90.34)
3.97) ( 2.73)
7/17/2029 1/15/2031
1,085 1,600
1,072 1,453
978 1,433
BANC OF AMERICA HAYFIN ALTERNA
EMERALD 7 2CB1 ( 96.97) ( 6.00) 8/25/2035 1,840 1,722 1,775
JB POINDEXTER GALLATIN
& CO INC CLO
144A VIII CLO 1XEDNE
20 1A 144AREGS ( 101.00) (( 104.89)
79.86)
7.13) ( 3.35)
5.68)
4/15/2026 9/6/2031
7/15/2027
1,206 3,465
310
1,179 3,011
310
1,200 3,625
243
BANC OF AMERICA FUNDING
HAYFIN EMERALD 7 1A1
CLO 2X CE REGS ( 82.03) ( 0.62) ( 9/25/2036 2,579 1,730 2,115
JBS USA GARDNER DENVER/INGERSOLL-RAND ((( 112.39)
94.94) ( 2.80)
- ) 5/27/2032
2/5/2027 515
499 506
484 577
474
BANC OF4/19 TLB
AMERICA HAYFIN FUNDING
EMERALD A 1A1 CLO I 1X C REGS (
( 95.29)
93.95) (((
- )
4.18)
110.17) (
12/31/2022
2/20/2036
2.30)
500
142
9/6/2031
483
125
1,455
475
132
1,277 1,600
JEFFERIES FINANCE
BANK OF AMERICA GARDNER5/19
CORP DENVER/INGERSOLL-RAND
TL ( 94.28)
99.67) ( 97.00)
- ) (
1.12) - )
5/22/2026
3/5/2024 3/1/2027
1,195
900 1,100
1,160
894 1,084
1,126
896 1,067
HAYFIN
GARTNER EMERALD CLO I 3A D 144A ((( 107.78) (( 4.00) 10/15/2032 925 1,029 988
JEFFERIES FINANCE
BANK OF AMERICA LLC / INC
CORP J 144A 144A ( 88.00)
106.73) 101.17)
7.25)
3.30) 4.50)
8/15/2024
1/11/2023 7/1/2028
265
2,400 1,075
265
2,404 1,075
226
2,524 1,086
HCA INC ((( 96.32) (( 3.50) 9/1/2030 602 597 573
JELD-WEN INC GATES
BANK OF AMERICA 144ACORP GLOBAL LLC / GATES 144A ( 103.75)
111.07) 98.25)
6.25)
4.13) ( 6.25)
5/15/2025
1/22/2024 1/15/2026
900
2,200 800
901
2,306 732
925
2,403 756
HIGHBRIDGE
GATX CORP LOAN 2015 A2R 144A (( 96.37)
102.25) 1.29) 3/15/2027 1,500 1,425 1,443
BANKUNITED
JETBLUE 6/20 TRUST
TL 2005-1
HIGHBRIDGE 1 1A1 ( 94.56)
97.75) ((( - ) ((
0.77) 3.50)
9/25/2045
6/12/2024 3/15/2028
134
400 160
115
392 164
127
391 162
BARCLAYS
JOL 1 AGATX
AIR LTDBANK PLC
144A CORP LOAN M 2015 BR 144A ( 108.88)
86.42) (
95.75)
107.04)
7.63) ((
3.97)
1.57)
4.00)
11/21/2022
4/15/2044
3/15/2027
6/30/2030
2,100
226
3,800
330
2,289
195
3,762
329
2,269
195
3,630
351
HIGHBRIDGE
GCI LLC ACQ LOAN M 2015 ER 144A ((( 79.75)
103.00) ( 5.39)
6.88) 3/15/2027
4/15/2025 693
404 472
416 547
410
BARCLAYS
JP MORGAN PLCMORTGAGE
HILCORP ENERGY WMC4
I LP /A5
HIL 144A ( 101.54)
57.43) ( 2.56) (
0.38)
86.00) 8/10/2021
12/25/2036
5.00) 2,200
2,437
12/1/2024 2,222
1,505
575 2,226
1,400
514 492
BARCLAYS
JUBILEE CLOPLC GENESEE
2013- 10X C1R & WYOMING
REGS 11/19 COV-LI ( 103.78)
112.02) (( 96.05)
3.68) (
2.35) - )
1/10/2023
4/15/2031 12/30/2026
2,700
365 499
2,700
364 491
2,755
407 479
HILEX POLY
GENESIS 12/16 COV-LITE TL (( 95.34) ( - ) 12/29/2023 440 415 415
BARCLAYS
JUBILEE CLOPLC2014-XI 14XENERGY
E REGS LP / GENESIS EN ( 107.72)
100.26) ( 85.50)
4.34) (
4.57) 6.50)
5/16/2024
1/15/2028 10/1/2025
1,700
4,797 735
1,690
5,680 627
1,822
4,756 616
HILLENBRAND
GENESIS INC (( 103.50) ( 5.75) 6/15/2025 200 201 207
BAYER US
JUBILEE FINANCE
CLO 2015-X LLCENERGY
II16X 144A
ER REGSLP / GENESIS EN ( 99.69)
97.70) ( 87.00)
1.32) (
4.60) 5.63)
12/15/2023
12/15/2029 6/15/2024
2,100
8,170 535
2,100
9,681 510
2,092
7,964 464
HILLMAN
GLENN POOL GROUP INC/THE 144A ((( 92.30) (( 6.38) 7/15/2022 260 242 232
BEAR STEARNS
JUBILEE CLO 2018-XARM 21X TRUST 1OIL
C1 REGS 12A5 & GAS TRUST ( 94.60)
110.72) 80.46)
3.83)
2.50) 6.00)
4/25/2034
1/15/2032 8/2/2021
634
245 1,266
630
240 1,258
598
271 1,012
HILTON
GLG ORE DOMESTIC
HILL10 CLO OPERATING
201 1A D 144A CO I (( 98.50)
98.37) ( 4.88) 1/15/2030 322 309 310
BEAR STEARNS
JUICE PLUS+ 11/18 ARMTL TRUST 15A1 ( 92.40)
69.20) ( - ) (
3.98) 3.48)
1/25/2035
11/15/2025 7/15/2025
175
465 1,255
173
448 1,203
161
317 1,223
HOFFMASTER
GLOBAL SC FINANCE 6/18 COV-LITE TL (( 79.50) ( - ) 11/21/2023 115 81 91
BEAR STEARNS
JUPITER RES INC ARM
144ATRUST 2 8 1A1 I 1A A1 144A ( 92.04)
75.00) ( 99.59)
4.00) (
8.50) 3.19)
1/25/2034
10/1/2022 7/17/20293
278 2,042
2783 2,043
2093 2,031
HOMEWARD
GLOBAL SC 144A OPPORTUNITI 2 A1 144A
FINANCE (( 101.22) ( 2.70) 9/25/2059 713 713 720
BEAR
KAISERSTEARNS
ALUMINUM ARMCORP TRUST 2 9 2A1 II 1A A 144A ( 98.46)
103.38) ( 99.68)
6.50) (
3.89) 2.98)
2/25/2034
5/1/2025 4/17/2028
556
575 567
549
579 561
546
588 564
BNP HORNBLOWER
GLOBALFOUNDRIES 3/18 5/19
COV-LITE
(USD)TL ( ((( 79.50)
96.00) (
( - )
- ) 3/28/2025
6/5/2026 767
2,266 769
2,218 610
2,175
KEHEPARIBAS SA
DISTRIBUTORS 144ALLC / K 144A 105.85)
106.50) 3.50)
8.63) 3/1/2023
10/15/2026 1,700
945 1,696
995 1,780
989
HOUGHTON
GLP CAPITAL MIFFLIN
LP / GLP HARCOURT 144A 104.52) (( 96.50) ( 9.00) 2/15/2025 300 270 279
BOSTON PROPERTIES
KENAN ADVANTAGE LP
GROUP INC 144AFINANCING ( 88.00) ( 99.28)
7.88) (
2.90) 4.00)
3/15/2030
7/31/2023 1/15/2031
2,300
1,502 2,150
2,299
1,217 2,131
2,384
1,272 2,133
BROADCOM HOWMET AEROSPACE INC (( 108.49) ( 6.88) 5/1/2025 475 483 509
KGA ESCROWINC LLC 144A
144A ENTERTAINMENT 10/17 (
GOLDEN 107.24)
99.88) 3.46)
90.08)
7.50) ( 9/15/2026
- )
8/15/2023 1,513
8/15/2024
537 1,550
500
513 1,617
422
521 450
CARLYLE FINANCE HP COMMUNITIES
LLCCO
GOLDEN 144A
NUGGET LLC144A
INC 144A ( 120.82) (( 104.56)
5.65)
56.50) ( 5.12)
9/15/2048 3/15/2022
2,700 181
2,698 185
3,217 187
KKR GROUP FINANCE VI L 144A 114.80) 3.75) ( 8.75)
7/1/2029 10/1/2025
920 975
916 595
1,039 530
C-BASS 2007-CB5 HP TRUST
COMMUNITIES CB51/20 A2 LLC 144A ( 105.25) ( 5.27) 3/15/2022 79 81 82
KNOWLTON GOLDEN
DEVELOPMENT NUGGET/LANDRYS COV- 9/17 (( 74.41)
95.44) ( 0.34)
79.00)
- ) ( 4/25/2037
- )
12/25/2022 4,432
10/4/2023
399 2,337
260
363 3,297
215
381 205
CCP_CDS. SP UL HPS LOAN MANAGEMENT
CITIGROUP INC. 16 C 144A (( 0.29) (( 93.12)
1.00) ( 3.92)
12/20/2020 1/20/2028
5,500 645
104 64514 594
KRAFT HEINZ FOODS GOLDENTTREE
CO LOAN MA 1A CR 144A 98.31) ( 97.35)
4.38) ( 2.12)
6/1/2046 4/20/2029
470 3,000
449 3,000
460 2,903
CCP_CDS. SP UL HSBC
SIMON HOLDINGS
PROPERTY PLC ( (0.51) (( 120.16)
1.00) ( 4.95)
6/20/2022 3/31/2030
3,300 250
11 250
(18) 297
KRAFT HEINZ FOODS GOLUBCO CAPITAL BDC C 1A BR 144A( 105.36) ( 97.32)
5.00) ( 1.64)
6/4/2042 4/25/2026
650 3,350
646 3,350
682 3,245
CCP_CDS._SP ULHUB
GOLUB INTERNATIONAL
CITIGROUP CAPITAL INC. PAR 17A4/18A1R(USD)144A( - ) (( 94.92) (
- ) (
95.32) - )
12/20/2020
1.89) 4/25/2025
(5,500)
10/25/2030 748
(0)
1,000 703 -
928 707
948
KRAFT HEINZ FOODS CO 106.10) 3.95) 7/15/2025 187 196 193
HUGHESCAPITAL
GOLUB SATELLITE PARTNSYSTEMS
36A CCORP
144A (( 103.42)
82.08) ( 5.25) 8/1/2026 540 587 547
CCP_CDS._SP
KRAFT HEINZ FOODSUL SIMON CO PROPERTY ( - )
108.45) - ) (
5.20) 2.64)
6/20/2022
7/15/2045 2/5/2031
(3,300)
173 2,000
(0)
184 2,000
183- 1,633
HUGHES SATELLITE SYSTEMS CORP ( 103.79) ( 6.63) 8/1/2026 460 505 465
CCP_IRS.
KRAFT HEINZP JPY-LIBOR-BBA
GRAFTECH
FOODS CO 2/18 6M CM COV-LITE TLB ( (0.03)
120.37) ( 0.04)
97.17)
6.50) ( 3/10/2038
- )
2/9/2040 61,000
2/12/2025
244 1,498
2880 (17)
1,444
287 1,456
KRAFT HEINZ FOODS HUSKYCO
GREAT IMS 3/18
LAKES DREDGECOV-LITE TLB CORP
& DOCK ( 123.62) (( 91.21)
102.50) (
6.88) ( - )
8.00)
1/26/2039 3/28/2025
5/15/2022
201 299
175
244 266
172
243 273
178
711Appendices
2019–2020
A-J ANNUAL
1Appendices INVESTMENT
were created
A-J were
using REPORT
created
data as
using
of June
data30,
as 2020
of June
provided
30, 2020
by provided
the Custodian.
by theAll
Custodian.
figures are
Allinfigures
U.S. Dollars.
are in U.S. Dollars.
2 Amounts
Core
KRAFTFixed
HEINZIncome
FOODS CO 144A ( 106.03) ( 4.25) 3/1/2031 550 550 580
ABBVIE INC 144A
KRAFT HEINZ FOODS CO 144A ($( 104.01)
106.60) ( 3.45)
5.50) 3/15/2022
6/1/2050 3,600
450 ($ 3,744
450 ($ 3,708
477
ABBVIE
KVK CLOINC 144ALTD 1A CR 144A
2013-1 ( 104.80)
95.25) ( 3.25)
2.27) 10/1/2022
1/14/2028 1,100
900 1,149
810 1,144
851
ABBVIE
KVK CLOINC 144ALTD 1A ER 144A
2013-1 ( 106.16)
81.02) ( 2.60)
6.21) 11/21/2024
1/14/2028 1,800
500 1,798
497 1,906
397
ABBVIE
KVK CLOINC 144ALTD 1A SUB 144A
2013-1 (( 108.77)
12.77) (( 2.95)
- ) 11/21/2026
1/14/2028 1,900
4,500 1,898
1,646 2,060
575
ACCREDITED
LAMB WESTON MORTGAGE
HOLDINGSLOAN 4 A2D
INC 144A (( 96.16)
105.95) (( 0.87)
4.88) 1/25/2035
5/15/2028 1,487
100 1,495
100 1,430
105
ACE SECURITIES
LAREDO PETROLEUM CORPINC HO HE1 A2A (( 72.89)
69.13) (( 0.26)
9.50) 1/25/2037
1/15/2025 2,708
239 1,299
110 1,974
155
ADAMS
LBC TANK MILL CLO LTD 1A
TERMINALS A1R 144A
HOLDIN 144A (( 99.72)
100.93) (( 1.38)
6.88) 7/15/2026
5/15/2023 850
1,460 850
1,395 843
1,461
AIA GROUP LTD REGS
LCPR SENIOR SECURED FINAN 144A (( 103.96)
102.00) (( 3.13)
6.75) 3/13/2023
10/15/2027 2,000
272 2,034
283 2,061
274
ALLY
LEGACYMASTER
MORTGAGEOWNER ASTRUST
GS3 A1 3A 144A (( 99.99)
100.28) (( 0.50)
4.00) 7/15/2022
6/25/2058 1,400
1,579 1,400
1,575 1,400
1,582
ALTERNATIVE
LEHMAN XS TRUST LOANSERIETRUST 46CB
10N A9
1A3A (( 85.56)
94.58) (( 5.50)
0.38) 10/25/2035
7/25/2046 2,328
553 2,021
438 1,981
523
ALTERNATIVE
LEHMAN XS TRUST LOANSERIETRUST J13A32A
12N 2A3 (( 83.42)
92.39) (( 5.50)
0.37) 11/25/2035
8/25/2046 1,352
2,274 1,037
2,178 1,122
2,101
AMEREN
LEHMAN CORPXS TRUST SERIES 16N A31 (( 105.97)
94.14) (( 2.50)
0.38) 9/15/2024
11/25/2046 1,800
1,538 1,799
1,446 1,894
1,448
AMERICAN
LEHMAN XSAIRLINES
TRUST SERIES 2016-218NCLASS
A3 (( 81.46)
93.31) (( 3.65)
0.35) 12/15/2029
12/25/2036 2,246
1,020 1,539
938 1,826
952
AMERICAN
LEHMAN XSHOMES 4 RENT9N
TRUST SERIES LP 1A1 (( 106.95)
92.74) (( 4.25)
0.44) 2/15/2028
2/25/2036 1,600
1,288 1,591
1,225 1,685
1,194
AMERICAN
LEIDOS INC HONDA
144A FINANCE CORP (( 99.78)
112.65) (( 0.84)
4.38) 2/15/2022
5/15/2030 3,800
660 3,800
652 3,787
740
AMERICAN TOWER CORP
LEVEL 3 FINANCING INC 144A (( 108.57)
99.89) (( 3.38)
4.25) 5/15/2024
7/1/2028 2,200
3,025 2,193
3,025 2,379
3,016
AMERICAN
LIBERTY WATER
LATIN 10/19 CAPITAL
TLB CORP (( 114.54)
99.00) (( 3.45)
- ) 6/1/2029
10/15/2026 500
650 499
608 571
642
LINCOLN NATIONAL CORPWORLDWIDE
ANHEUSER-BUSCH INBEV (( 113.91)
108.54) (( 4.35)
3.40) 6/1/2040
1/15/2031 1,700
1,060 1,699
1,058 1,918
1,146
AT&T INCNATIONAL CORP
LINCOLN (( 100.51)
111.49) (( 1.10)
4.38) 6/1/2021
6/15/2050 2,000
440 2,000
440 2,008
488
AT&TNATION
LIVE INC ENTERTAINMENT 144A (( 100.82)
86.02) (( 1.23)
4.75) 7/15/2021
10/15/2027 2,300
869 2,300
759 2,308
739
AT&T INC
LIVE NATION ENTERTAINMENT 144A (( 116.60)
103.00) (( 4.35)
6.50) 3/1/2029
5/15/2027 1,800
1,540 1,791
1,540 2,073
1,575
AURIUM CLO
LOANCORE II DAC 2ACRE1
2018-CRE AR 144A
AS 144A (( 110.99)
98.03) (( 0.68)
1.67) 10/13/2029
5/15/2028 900
2,000 1,047
2,004 997
1,959
AUTO ABS 2012-2
LOANCORE 2019-CRE SRLCRE22 A REGS
AS 144A (( - )
96.86) (( 2.80)
1.67) 4/27/2025
5/15/2036 -
1,150 997- 1,113-
AUTO ABS COMPARTIM
LOANCORE 2019-CRE3 CRE3 12-2CA144A
REGS ( - )
92.31) ( 2.80)
2.12) 4/27/2025
4/15/2034 -
1,343 1,352- 1,238-
AVALONBAY
LPL HOLDINGS COMMUNITIES
INC 144A INC ( 111.54)
98.75) ( 3.45)
4.63) 6/1/2025
11/15/2027 3,200
375 3,194
367 3,560
368
AVANGRID
LPL HOLDINGS INC INC 144A ( 107.96)
101.25) ( 3.15)
5.75) 12/1/2024
9/15/2025 1,700
525 1,702
539 1,831
523
AVANGRID
LSTAR INC INV 1 A1 144A
SECURITIES ( 115.77)
100.81) ( 3.80)
1.87) 6/1/2029
3/1/2024 2,100
6,809 2,274
6,810 2,424
6,853
BANC OF
LSTAR AMERICAINV
SECURITIES ALTERNA 7 2CB1
5 A1 144A ( 96.97)
99.10) ( 6.00)
1.67) 8/25/2035
11/1/2024 1,840
3,164 1,722
3,164 1,775
3,131
BANC OF AMERICA
LUMILEDS 1/18 COV-LITE FUNDINGTLB 7 1A1 (( 82.03)
43.06) (( 0.62)
- ) 9/25/2036
6/30/2024 2,579
1,094 1,730
876 2,115
471
BANC OF SHIELDS
MACKAY AMERICAEURO FUNDING A 1A1
1X D REGS (( 93.95)
108.43) (( 4.18)
4.05) 2/20/2036
10/20/2032 142
940 125
928 132
1,011
BANK OF SHIELDS
MACKAY AMERICAEURO CORP2A DE 144A (( 99.67)
112.32) (( 1.12)
4.69) 3/5/2024
8/15/2033 900
1,440 894
1,549 896
1,617
BANK OF AMERICA
MACQUARIE BANK LTD CORP 144A (( 106.73)
104.85) (( 3.30)
3.62) 1/11/2023
6/3/2030 2,400
410 2,404
410 2,524
429
BANK OF AMERICA
MADISON PARK EURO CORP 14A DN 144A (( 111.07)
107.80) (( 4.13)
3.60) 1/22/2024
7/15/2032 2,200
705 2,306
787 2,403
754
BANKUNITED
MADISON PARK TRUST
EURO 2005-1
14X B11 REGS
1A1 (( 94.56)
112.24) (( 0.77)
1.80) 9/25/2045
7/15/2032 134
500 115
506 127
559
BARCLAYS PARK
MADISON BANKFUNDI PLC 12A CR 144A (( 108.88)
99.02) (( 7.63)
2.62) 11/21/2022
7/20/2026 2,100
776 2,289
752 2,269
763
BARCLAYS PARK
MADISON PLC FUNDI 24A DR 144A (( 101.54)
94.23) (( 2.56)
4.12) 8/10/2021
10/20/2029 2,200
250 2,222
246 2,226
233
BARCLAYS PARK
MADISON PLC FUNDIN 16A C 144A (( 103.78)
98.07) (( 3.68)
3.97) 1/10/2023
4/20/2026 2,700
500 2,700
500 2,755
486
BARCLAYS PLC
MAGNETITE XXVI LTD 26A D 144A (( 107.72)
100.47) (( 4.34)
4.76) 5/16/2024
7/15/2030 1,700
1,150 1,690
1,104 1,822
1,151
BAYERGLG
MAN US FINANCE
EURO CLOII 6A LLCD144A
144A (( 99.69)
105.51) (( 1.32)
3.65) 12/15/2023
10/15/2032 2,100
1,585 2,100
1,753 2,092
1,658
BEAR STEARNS ARM TRUST
MAN GLG EURO CLO II 2X E REGS 1 12A5 (( 94.60)
100.95) (( 3.83)
6.55) 4/25/2034
1/15/2030 634
820 630
871 598
815
BEAR GLG
MAN STEARNS
US CLO ARM2018 TRUST
2A CR10144A
15A1 (( 92.40)
90.15) (( 3.98)
3.76) 1/25/2035
10/15/2028 175
4,145 173
4,130 161
3,695
BEAR STEARNS10/18
MANITOWOC ARM TLB TRUST 2 8 1A1 (( 92.04)
86.00) (( 4.00)
- ) 1/25/2034
12/31/2021 3
350 2893 3013
BEAR STEARNS
MARATHON CLO ARM
V LTD TRUST 2 9 144A
5A A2R 2A1 (( 98.46)
96.11) (( 3.89)
1.82) 2/25/2034
11/21/2027 556
689 549
689 546
660
BNP PARIBAS SA 144A
MARATHON CLO V LTD 5A BR 144A (( 105.85)
88.14) (( 3.50)
2.22) 3/1/2023
11/21/2027 1,700
1,009 1,696
952 1,780
886
BOSTON POINT
MARBLE PROPERTIES
CLO XIILP1A D 144A (( 104.52)
83.49) (( 2.90)
3.27) 3/15/2030
7/16/2031 2,300
500 2,299
485 2,384
413
MARKEL CORP 144A
BROADCOM INC (( 107.24)
101.75) (( 3.46)
6.00) 9/15/2026
12/31/2049 1,513
3,070 1,550
3,070 1,617
3,106
CARLYLE FINANCE
MARRIOTT LLC 144A INC/MD
INTERNATIONAL (( 120.82)
103.76) (( 5.65)
4.63) 9/15/2048
6/15/2030 2,700
1,100 2,698
1,114 3,217
1,137
C-BASS 2007-CB5
MARRIOTT TRUST CB5INC/MD
INTERNATIONAL A2 (( 74.41)
108.64) (( 0.34)
5.75) 4/25/2037
5/1/2025 4,432
730 2,337
742 3,297
784
CCP_CDS. SP
MATTAMY UL CITIGROUP
GROUP CORP 144A INC. (( 0.29)
96.00) (( 1.00)
4.63) 12/20/2020
3/1/2030 5,500
478 104
433 14
452
CCP_CDS.INC
MATTEL SP 144A
UL SIMON PROPERTY (( (0.51)
103.75) (( 1.00)
6.75) 6/20/2022
12/31/2025 3,300
746 11
776 (18)
774
CCP_CDS._SP
MAUSER PACKAGING UL CITIGROUPSOLUTIONINC.144A (( - )
90.68) (( - )
7.25) 12/20/2020
4/15/2025 (5,500)
678 (0)
573 604-
CCP_CDS._SP
MAUSER PACKAGING UL SIMON PROPERTY
SOLUTION 144A ( - )
104.63) ( - )
8.50) 6/20/2022
4/15/2024 (3,300)
550 (0)
545 568-
CCP_IRS.
MCDERMOTT P JPY-LIBOR-BBA 6M CM
INTERNATIONAL/LUMMUS (( (0.03)
98.35) (( 0.04)
- ) 3/10/2038
6/16/2027 61,000
1,623 1,5980 (17)
1,596
MCDERMOTT INTERNATIONAL/LUMMUS ( 99.84) ( - ) 6/30/2027 452 450 451
2 Amounts expressed
1Appendices
in thousands
A-J wereand
created
thus using
may not
data
add
asup
of to
June
totals
30,due
2020 RETIREMENT
to provided
rounding. SYSTEM All
Core Fixed Income
MCGRAW-HILL 5/16 COV-LITE TLB ( 84.10) ( - ) 5/4/2022 972 969 818
ABBVIE INC 144A
MCGRAW-HILL GLOBAL EDUCAT 144A (($ 104.01)
66.50) (( 3.45)
7.88) 3/15/2022
5/15/2024 3,600
135 ($ 3,744
123 ($ 3,708
88
ABBVIE 11/17
MDVIP INC 144A COV-LITE TL (( 104.80)
93.00) (( 3.25)
- ) 10/1/2022
10/23/2022 1,100
224 1,149
209 1,144
209
ABBVIE INC 144A ( 106.16) ( 2.60) 11/21/2024 1,800 1,798 1,906
MEDALLION MIDLAND 10/17 TLB ( 89.20) ( - ) 10/30/2024 899 864 802
ABBVIE INC 144A ( 108.77) ( 2.95) 11/21/2026 1,900 1,898 2,060
MEDPRO SAFETY PRODUCTS INC ( - ) ( - ) - 1 - -
MGM 6/18 2ND CORP
ACE SECURITIES LIEN COV-LITE
HO HE1 A2ATL (( 95.50)
72.89) (( - )
0.26) 6/29/2026
1/25/2037 250
2,708 235
1,299 239
1,974
MICROCONNECTIONS
ADAMS MILL CLO LTD 1A 7/15
A1R(USD)
144A (( - )
99.72) (( - )
1.38) 10/14/2022
7/15/2026 0
850 850- 843-
MIDOCEAN
AIA GROUP CREDIT
LTD REGS C 1A A2RR 144A (( 97.14)
103.96) (( 1.58)
3.13) 1/15/2024
3/13/2023 500
2,000 480
2,034 483
2,061
MIDOCEAN
ALLY MASTER CREDIT
OWNER CL 1A BRR3144A
TRUST A (( 94.90)
99.99) (( 2.08)
0.50) 1/15/2024
7/15/2022 875
1,400 809
1,400 825
1,400
MIDOCEAN
ALTERNATIVE LOAN TRUSTCRR
CREDIT CL 1A 46CB144A
A9 (( 91.43)
85.56) (( 2.83)
5.50) 1/15/2024
10/25/2035 3,025
2,328 2,435
2,021 2,741
1,981
MIDOCEAN
ALTERNATIVE CREDIT
LOANCLO TRUST4A J13
DR 144A
2A3 (( 93.58)
83.42) (( 3.13)
5.50) 4/15/2027
11/25/2035 1,640
1,352 1,629
1,037 1,520
1,122
MIDOCEAN
AMEREN CORP CREDIT CLO 7A CR 144A (( 95.56)
105.97) (( 2.48)
2.50) 7/15/2029
9/15/2024 3,700
1,800 3,700
1,799 3,508
1,894
MIDOCEAN CREDIT CLO
AMERICAN AIRLINES 8A DCLASS
2016-2 144A (( 91.01)
81.46) (( 3.28)
3.65) 2/20/2031
12/15/2029 750
2,246 698
1,539 680
1,826
MILEAGE
AMERICAN HOMES 4 RENT LP 144A
PLUS HOLDINGS LLC (( 100.25)
106.95) (( 6.50)
4.25) 6/20/2027
2/15/2028 2,200
1,600 2,173
1,591 2,206
1,685
MILEAGEPLUS
AMERICAN HONDA 6/20 FINANCE
TLB CORP ( 99.21)
99.78) ( - )
0.84) 12/31/2023
2/15/2022 2,000
3,800 1,968
3,800 1,984
3,787
MINERALS
AMERICAN TOWER CORP INC 144A
TECHNOLOGIES ( 101.50)
108.57) ( 5.00)
3.38) 7/1/2028
5/15/2024 1,125
2,200 1,125
2,193 1,142
2,379
AMERICAN
MISYS 4/17 WATER
2ND LIEN CAPITAL
(USD) CORP ( 114.54)
86.11) ( 3.45)
- ) 6/1/2029
6/13/2025 500
650 499
518 571
550
MISYS 6/17 (USD) COV-LITE WORLDWIDE
TLB ( 113.91)
87.18) ( 4.35)
- ) 6/1/2040
6/13/2024 1,700
1,611 1,699
1,532 1,918
1,392
AT&T INC
MMCF CLO 2019-2 LLC 2A A1 144A ( 100.51)
98.22) ( 1.10)
1.78) 6/1/2021
4/15/2029 2,000
1,276 2,000
1,273 2,008
1,245
AT&T INC
MMCF CLO 2019-2 LLC 2A A2 144A ( 100.82)
95.13) ( 1.23)
2.68) 7/15/2021
4/15/2029 2,300
500 2,300
375 2,308
472
AT&T INC TRIBAL 9/16 TLB
MOHEGAN (( 116.60)
81.65) (( 4.35)
- ) 3/1/2029
9/30/2023 1,800
1,193 1,791
1,169 2,073
968
AURIUM CLO IIPAYMENT
MONEYGRAM DAC 2A AR6/19 144ATLB (( 110.99)
90.34) (( 0.68)
- ) 10/13/2029
6/30/2023 900
997 1,047
940 997
901
AUTO ABSCAPITAL
MONROE 2012-2 SRL BSL 21AA BR
REGS144A (( - )
98.32) (( 2.80)
2.11) 4/27/2025
5/22/2027 -
500 499- 490-
AUTO ABSSTANLEY
MORGAN COMPARTIM ABS CAP12-2HE8
A REGS
A2D ( - )
51.77) ( 2.80)
0.39) 4/27/2025
10/25/2036 -
2,221 1,393- 1,150-
AVALONBAYHAWK
MOUNTAIN COMMUNITIES
II CL 2A CRINC144A ( 111.54)
96.00) ( 3.45)
2.62) 6/1/2025
7/20/2024 3,200
1,000 3,194
1,000 3,560
953
AVANGRID INC
MOUNTAIN HAWK II CL 2A CR 144A ( 107.96)
98.33) ( 3.15)
2.62) 12/1/2024
7/20/2024 1,700
500 1,702
483 1,831
488
AVANGRID INC
MOUNTAIN HAWK III CL 3A D 144A ( 115.77)
92.09) ( 3.80)
3.77) 6/1/2029
4/18/2025 2,100
2,000 2,274
1,996 2,424
1,823
BANC OF AMERICA
MOUNTAIN VIEW CLO ALTERNA
10A BR7144A
2CB1 ( 96.97)
96.89) ( 6.00)
1.62) 8/25/2035
10/13/2027 1,840
315 1,722
295 1,775
303
BANC OF AMERICA
MOUNTAIN VIEW CLO FUNDING
2 1A AR7 144A
1A1 ( 82.03)
97.50) ( 0.62)
1.36) 9/25/2036
10/16/2029 2,579
710 1,730
682 2,115
689
BANC OF AMERICA
MOUNTAIN VIEW CLO FUNDING
2 1A CRA144A
1A1 ( 93.95)
96.04) ( 4.18)
2.72) 2/20/2036
4/14/2033 142
400 125
349 132
381
BANK OF AMERICA
MOUNTAIN VIEW CLOCORP 2 1A CR 144A ( 99.67)
96.65) ( 1.12)
2.62) 3/5/2024
10/16/2029 900
640 894
614 896
614
BANK
MP CLOOFIIIAMERICA
LTD 1A BR CORP144A ( 106.73)
96.28) ( 3.30)
1.92) 1/11/2023
10/20/2030 2,400
1,865 2,404
1,711 2,524
1,785
BANK OF AMERICA
MP CLO III LTD 1A DR CORP144A ( 111.07)
88.88) ( 4.13)
3.32) 1/22/2024
10/20/2030 2,200
500 2,306
488 2,403
440
BANKUNITED
MP CLO IV LTDTRUST 2A DRR 2005-1
144A1 1A1 ( 94.56)
90.20) ( 0.77)
3.84) 9/25/2045
7/25/2029 134
1,795 115
1,795 127
1,604
BARCLAYS
MP CLO VIIIBANK PLCCR 144A
LTD 2A ( 108.88)
94.94) ( 7.63)
2.15) 11/21/2022
10/28/2027 2,100
2,000 2,289
2,000 2,269
1,889
BARCLAYS
MPT PLC PARTNERSHIP LP /
OPERATING ( 101.54)
102.75) ( 2.56)
5.00) 8/10/2021
10/15/2027 2,200
431 2,222
445 2,226
438
BARCLAYS
MSCI PLC
INC 144A ( 103.78)
102.00) ( 3.68)
3.88) 1/10/2023
2/15/2031 2,700
1,525 2,700
1,525 2,755
1,550
BARCLAYS PLC
MULBERRY STREET CD 2A A1B 144A ( 107.72)
54.24) ( 4.34)
2.52) 5/16/2024
8/12/2038 1,700
3,065 1,690
1,716 1,822
1,629
BAYER US FINANCE
MULBERRY STREET CD II LLC
2A144A
A1W 144A ( 99.69)
61.18) ( 1.32)
2.27) 12/15/2023
8/12/2038 2,100
3,536 2,100
2,222 2,092
2,131
BEAR STEARNS
NASDAQ INC ARM TRUST 1 12A5 ( 94.60)
104.67) ( 3.83)
3.25) 4/25/2034
4/28/2050 634
320 630
314 598
333
BEAR STEARNS
NASSAU 2019 CFO ARM LLCTRUST 10 15A1
1 A 144A ( 92.40)
94.69) ( 3.98) 1/25/2035
8/15/2034 175
1,133 173
1,133 161
1,067
BEAR STEARNS
NATHAN'S FAMOUSARM INCTRUST
144A2 8 1A1 ( 92.04)
100.75) ( 4.00)
6.63) 1/25/2034
11/1/2025 3
350 3613 3493
BEAR STEARNSMUTUAL
NATIONWIDE ARM TRUST 2 9 2A1
INSURAN 144A ( 98.46)
106.65) ( 3.89)
4.35) 2/25/2034
4/30/2050 556
1,840 549
1,836 546
1,949
BNP PARIBAS
NAVIENT CORP SA 144A ( 105.85)
84.00) ( 3.50)
5.00) 3/1/2023
3/15/2027 1,700
520 1,696
523 1,780
426
BOSTON
NAVISTARPROPERTIES
INTERNATIONAL LP 11/17 (( 104.52)
94.46) (( 2.90)
- ) 3/15/2030
11/6/2024 2,300
635 2,299
581 2,384
599
BROADCOM
NCR CORP INC 144A (( 107.24)
101.63) (( 3.46)
6.38) 9/15/2026
12/15/2023 1,513
200 1,550
203 1,617
203
CARLYLE
NCR CORP FINANCE
144A LLC 144A (( 120.82)
106.00) (( 5.65)
8.13) 9/15/2048
4/15/2025 2,700
605 2,698
633 3,217
631
C-BASS 2007-CB5
NEP 10/18 (USD) TL TRUST CB5 A2 (( 74.41)
81.61) (( 0.34)
- ) 4/25/2037
10/5/2025 4,432
1,094 2,337
1,088 3,297
893
NESTLE SKIN HEALTH/SUNSHINE ( 95.54) ( - ) 7/17/2026 499 456 477
NETFLIX INC ( 113.88) ( 5.88) 11/15/2028 415 478 469
CCP_CDS._SP
NETFLIX INC 144A UL CITIGROUP INC. (( - )
107.25) (( - )
4.88) 12/20/2020
6/15/2030 (5,500)
622 (0)
668 666-
CCP_CDS._SP
NETFLIX INC 144A UL SIMON PROPERTY (( - )
109.52) (( - )
5.38) 6/20/2022
11/15/2029 (3,300)
160 (0)
178 175-
CCP_IRS.
NEUBERGER P JPY-LIBOR-BBA
BERMAN C 16SA 6MBCM 144A (( (0.03)
96.00) (( 0.04)
1.53) 3/10/2038
1/15/2028 61,000
4,800 4,7760 (17)
4,583
NEUBERGER BERMAN LO 25A D 144A ( 95.58) ( 3.52) 10/18/2029 500 494 473
73 2019–2020
were created REPORT
Core
NEW Fixed Income AD T3 DT3 144A
RESIDENTIAL ( 96.29) ( 3.06) 9/15/2052 3,000 3,000 2,885
ABBVIE
NEW INC 144A AD T4 DT4 144A
RESIDENTIAL (($ 104.01)
96.81) ( 3.45)
2.80) 3/15/2022
10/15/2051 3,600 ($ 3,744 ($
3,600 3,708
3,481
ABBVIE INC
NEWARK BSL144A
CLO 2 LTD 1A C 144A ( 104.80)
97.12) ( 3.25)
3.89) 10/1/2022
7/25/2030 1,100
250 1,149
251 1,144
241
ABBVIE INC FINANCE
NEWCREST 144A PTY LTD 144A ( 106.16)
107.41) ( 2.60)
3.25) 11/21/2024
5/13/2030 1,800
1,320 1,798
1,316 1,906
1,412
ABBVIE INC FINANCE
NEWCREST 144A PTY LTD 144A ( 108.77)
110.69) ( 2.95)
4.20) 11/21/2026
5/13/2050 1,900
620 1,898
617 2,060
683
ACCREDITED
NEWELL BRANDSMORTGAGE
INC LOAN 4 A2D ( 96.16)
104.94) ( 0.87)
4.70) 1/25/2035
4/1/2026 1,487
316 1,495
331 1,430
328
ACE SECURITIES
NEWELL BRANDSCORP INC HO HE1 A2A ( 72.89)
106.63) ( 0.26)
5.88) 1/25/2037
4/1/2036 2,708
123 1,299
131 1,974
129
ADAMS
NEWFLEET MILLCLOCLO LTD 1A
2016-1 1AA1R
DR 144A ( 99.72)
94.25) ( 1.38)
3.22) 7/15/2026
4/20/2028 850
1,155 850
1,155 843
1,079
AIA GROUPCLO
NEWFLEET LTD 2016-1
REGS 1X CR REGS ( 103.96)
95.09) ( 3.13)
2.27) 3/13/2023
4/20/2028 2,000
1,599 2,034
1,486 2,061
1,508
ALLY MASTERII OWNER
NEWHAVEN CLO DA 2X TRUST
DRE3REGS
A ( 99.99)
100.62) ( 0.50)
2.30) 7/15/2022
2/16/2032 1,400
890 1,400
931 1,400
893
ALTERNATIVE
NEWSTAR CLARENDONLOAN TRUST F 1A46CB A9
AR 144A ( 85.56)
98.83) ( 5.50)
1.54) 10/25/2035
1/25/2027 2,328
2,088 2,021
2,087 1,981
2,055
ALTERNATIVE
NEWSTAR CLARENDONLOAN TRUST F 1AJ13
BR2A3
144A ( 83.42)
96.66) ( 5.50)
2.29) 11/25/2035
1/25/2027 1,352
1,000 1,037
1,000 1,122
961
AMEREN
NEWSTARCORP CLARENDON F 1A CR 144A ( 105.97)
94.46) ( 2.50)
3.29) 9/15/2024
1/25/2027 1,800
1,500 1,799
1,500 1,894
1,405
AMERICANCOMMERCIAL
NEWSTAR AIRLINES 2016-2 CLASS
1A CN 144A ( 81.46)
97.74) ( 3.65)
3.81) 12/15/2029
3/20/2027 2,246
1,000 1,539
1,000 1,826
976
AMERICAN
NFP HOMES 4 RENT LP
CORP 144A ( 106.95)
105.00) ( 4.25)
7.00) 2/15/2028
5/15/2025 1,600
1,850 1,591
1,850 1,685
1,923
AMERICANPARK
NIAGARA HONDA CLOFINANCE
LTD 1A BCORP144A ( 99.78)
97.16) ( 0.84)
2.07) 2/15/2022
7/17/2032 3,800
250 3,800
250 3,787
241
AMERICAN
NIELSEN TOWERLLC
FINANCE CORP/ NIE 144A ( 108.57)
99.65) ( 3.38)
5.00) 5/15/2024
4/15/2022 2,200
200 2,193
197 2,379
197
AMERICAN
NORTH WATERCLO
WESTERLY CAPITAL
I X CRCORP
REGS ( 114.54)
112.05) ( 3.45)
1.93) 6/1/2029
1/15/2026 500
1,625 499
1,839 571
1,805
ANHEUSER-BUSCH
NORTH WESTERLY CLO INBEV I XWORLDWIDE
DR REGS ( 113.91)
111.79) ( 4.35)
2.78) 6/1/2040
1/15/2026 1,700
1,035 1,699
1,290 1,918
1,142
AT&T INC FINANCIAL 5/18
NORTHSTAR (( 100.51)
98.00) (( 1.10)
- ) 6/1/2021
5/25/2025 2,000
78 2,000
78 2,008
77
AT&T INC
NORTHWEST ACQUISITIONS UL 144A (( 100.82)
1.03) (( 1.23)
7.13) 7/15/2021
11/1/2022 2,300
832 2,300
383 2,3089
AT&T INC
NUMERICABLE / YPSO / ALTICE (( 116.60)
95.67) (( 4.35)
- ) 3/1/2029
1/31/2026 1,800
629 1,791
587 2,073
601
NUMERICABLE / YPSO / ALTICE ( 95.95) ( - ) 8/14/2026 443 416 424
AUTOHILL
OAK ABSEUROPEAN
2012-2 SRLCR 2 A5XREGS
E REGS (( - )
104.62) (( 2.80)
6.20) 4/27/2025
2/21/2030 -
580 662- 602-
AUTO ABSCLO
OAKTREE COMPARTIM
2014-1 1A12-2 A REGS
BR 144A (( - )
90.90) (( 2.80)
3.15) 4/27/2025
5/13/2029 -
850 850- 769-
AVALONBAY
OAKTREE CLOCOMMUNITIES
2020-1 L 1A D INC 144A (( 111.54)
100.50) (( 3.45)
5.40) 6/1/2025
7/15/2029 3,200
4,085 3,194
3,860 3,560
4,102
AVANGRID INC
OCCIDENTAL PETROLEUM CORP (( 107.96)
85.45) (( 3.15)
2.90) 12/1/2024
8/15/2024 1,700
93 1,702
67 1,831
78
AVANGRID INC
OCCIDENTAL PETROLEUM CORP (( 115.77)
92.02) (( 3.80)
1.84) 6/1/2029
8/15/2022 2,100
93 2,274
72 2,424
85
BANC OF AMERICA
OCCIDENTAL ALTERNA
PETROLEUM CORP7 2CB1 (( 96.97)
93.10) (( 6.00)
2.70) 8/25/2035
8/15/2022 1,840
177 1,722
146 1,775
163
BANC OF AMERICA
OCCIDENTAL FUNDING
PETROLEUM CORP7 1A1 (( 82.03)
95.28) (( 0.62)
2.60) 9/25/2036
4/15/2022 2,579
76 1,730
62 2,115
72
BANC OF AMERICA
OCCIDENTAL FUNDING
PETROLEUM CORPA 1A1 (( 93.95)
100.40) (( 4.18)
4.10) 2/20/2036
2/1/2021 142
395 125
369 132
390
BANK OF
OCEAN AMERICA
TRAILS CLO CORP
IV 4A DR 144A (( 99.67)
99.38) (( 1.12)
3.43) 3/5/2024
8/13/2025 900
2,235 894
2,152 896
2,211
BANK OF
OCEAN AMERICA
TRAILS CLO CORP
IV 4A ER 144A (( 106.73)
98.54) (( 3.30)
5.53) 1/11/2023
8/13/2025 2,400
3,640 2,404
3,627 2,524
3,559
OCEAN TRAILS CLO CORP
BANK OF AMERICA VI 6A DR 144A (( 111.07)
93.04) (( 4.13)
3.93) 1/22/2024
7/15/2028 2,200
605 2,306
606 2,403
557
BANKUNITED
OCP CLO 2013-4 TRUST
LTD 2005-1
4A CRR 1144A1A1 (( 94.56)
92.12) (( 0.77)
3.26) 9/25/2045
4/24/2029 134
250 115
230 127
228
BARCLAYS
OCP BANK LTD
CLO 2015-8 PLC 8A BR 144A (( 108.88)
96.72) (( 7.63)
2.12) 11/21/2022
4/17/2027 2,100
1,000 2,289
953 2,269
961
BARCLAYS
OCP PLC LTD 8X D REGS
CLO 2015-8 (( 101.54)
94.54) (( 2.56)
5.77) 8/10/2021
4/17/2027 2,200
1,185 2,222
1,141 2,226
1,104
BARCLAYS
OCP PLC
CLO 2016-11 LT 11A CR 144A (( 103.78)
97.12) (( 3.68)
3.89) 1/10/2023
10/26/2030 2,700
250 2,700
246 2,755
241
BARCLAYS
OCP PLC
CLO 2018-15 LTD 15A C 144A (( 107.72)
94.15) (( 4.34)
3.22) 5/16/2024
7/20/2031 1,700
975 1,690
975 1,822
910
BAYER
OCP CLOUS2020-18
FINANCELTD II LLC
18A144A
D 144A (( 99.69)
99.71) (( 1.32)
4.58) 12/15/2023
4/20/2030 2,100
1,000 2,100
950 2,092
994
BEAR STEARNS
OCTAGON ARM TRUST
INVESTMENT 1A 1AR12A5
144A (( 94.60)
99.98) (( 3.83)
2.32) 4/25/2034
4/15/2026 634
18 630
18 598
18
BEAR STEARNS
OCTAGON ARM TRUST
INVESTMENT 1A 10
BR 15A1
144A (( 92.40)
96.63) (( 3.98)
1.47) 1/25/2035
10/20/2026 175
500 173
473 161
481
BEAR STEARNS
OCTAGON ARM TRUST
INVESTMENT 1A 2CR8 144A
1A1 (( 92.04)
94.12) (( 4.00)
4.28) 1/25/2034
7/15/2029 3
1,750 1,7293 1,6283
BEAR STEARNS
OCTAGON ARM TRUST
INVESTMENT 1A 2CR9 144A
2A1 (( 98.46)
98.05) (( 3.89)
2.38) 2/25/2034
4/15/2026 556
820 549
796 546
798
BNP PARIBAS
OCTAGON SA 144A 1A CR 144A
INVESTMENT (( 105.85)
98.62) (( 3.50)
2.38) 3/1/2023
4/15/2026 1,700
250 1,696
251 1,780
245
BOSTON PROPERTIES
OCTAGON INVESTMENT LP 1A DN 144A (( 104.52)
93.08) (( 2.90)
2.57) 3/15/2030
10/20/2026 2,300
248 2,299
233 2,384
229
BROADCOM
OCTAGON INC 144A P 1A C 144A
INVESTMENT (( 107.24)
96.99) (( 3.46)
2.67) 9/15/2026
7/20/2030 1,513
304 1,550
303 1,617
293
CARLYLE FINANCE
OCTAGON INVESTMENTLLC 144A P 1A D 144A (( 120.82)
94.34) (( 5.65)
3.97) 9/15/2048
7/20/2030 2,700
250 2,698
251 3,217
233
C-BASS 2007-CB5
OCTAGON TRUST PCB5
INVESTMENT 1A A2
D 144A (( 74.41)
100.39) (( 0.34)
5.13) 4/25/2037
4/20/2031 4,432
1,000 2,337
960 3,297
999
CCP_CDS. SP
OCTAGON LOANUL CITIGROUP
FUNDI 1A DRR INC.144A (( 0.29)
90.40) (( 1.00)
3.29) 12/20/2020
11/18/2031 5,500
1,500 104
1,245 14
1,350
CCP_CDS. SP
OCTAGON LOANUL SIMON
FUNDI PROPERTY
1A SUB 144A (( (0.51)
29.53) (( 1.00)
- ) 6/20/2022
11/18/2031 3,300
2,472 11
2,051 (18)
730
CCP_CDS._SP UL CITIGROUP
OCWEN MASTER ADVAN T1 BT1 INC.144A (( - )
99.76) (( - )
2.66) 12/20/2020
8/15/2050 (5,500)
1,000 (0)
1,000 996-
CCP_CDS._SP
OCWEN MASTER UL SIMON
ADVANPROPERTY
T1 CT1 144A ( - )
99.76) ( - )
2.81) 6/20/2022
8/15/2050 (3,300)
1,000 (0)
1,000 996-
CCP_IRS. P JPY-LIBOR-BBA
OCWEN MASTER ADVAN T16M DT1CM144A ( (0.03)
99.76) ( 0.04)
3.11) 3/10/2038
8/15/2050 61,000
1,400 1,4000 (17)
1,395
OFSI FUND VII LTD 7A CR 144A ( 96.79) ( 2.12) 10/18/2026 1,550 1,501 1,491
RETIREMENT
Core Fixed Income
OHA CREDIT PARTNE 9A ACOM 144A ( 75.54) ( - ) 10/20/2025 912 684 689
ABBVIE INC 144A
OHA CREDIT PARTNERS 7A CR 144A ($
( 104.01)
99.76) (( 3.45)
3.08) 3/15/2022
11/20/2027 3,600
250 ($ 3,744
235 ($ 3,708
249
ABBVIE
OHA INC 144A
CREDIT PARTNERS 9A E 144A (( 104.80)
98.55) (( 3.25)
5.27) 10/1/2022
10/20/2025 1,100
4,270 1,149
4,169 1,144
4,156
ABBVIE INC 144A
OMNITRACS 3/18 COV-LITE TLB (( 106.16)
93.78) (( 2.60)
- ) 11/21/2024
3/19/2025 1,800
348 1,798
337 1,906
326
ABBVIE INCFINANCE
ONEMAIN 144A CORP (( 108.77)
93.50) (( 2.95)
5.38) 11/21/2026
11/15/2029 1,900
987 1,898
951 2,060
916
ONYX 12/16 RC ( 93.24) ( - ) 12/20/2021 87 87 81
ONYX 12/16 TL ( 93.24) ( - ) 12/20/2021 1,750 1,742 1,632
ONYX CENTERSOURCE
AIA GROUP LTD REGS INC (( 93.24)
103.96) (( - )
3.13) 3/31/2021
3/13/2023 682
2,000 682
2,034 636
2,061
OPEN TEXT HOLDINGS
ALLY MASTER OWNER TRUST INC 144A 3A (( 98.25)
99.99) (( 4.13)
0.50) 2/15/2030
7/15/2022 291
1,400 292
1,400 281
1,400
ORIGEN 14%MEZZ
ALTERNATIVE LOAN TRUST 46CB A9 (( 100.00)
85.56) (( - )
5.50) 8/20/2022
10/25/2035 2,740
2,328 2,740
2,021 2,740
1,981
ORIGEN PVE LOAN TRUST J13 2A3
ALTERNATIVE ( 0.87)
83.42) ( - )
5.50) -
11/25/2035 3,838
1,352 2,761
1,037 3,320
1,122
AMEREN CORP 5/18 TLB
ORTHO-CLINICAL ( 105.97)
93.31) ( 2.50)
- ) 9/15/2024
6/30/2025 1,800
348 1,799
332 1,894
324
AMERICAN AIRLINES
ORTHO-CLINICAL 2016-2 CLASS
DIAGNOSTIC 144A ( 81.46)
101.65) ( 3.65)
7.25) 12/15/2029
2/1/2028 2,246
540 1,539
481 1,826
532
AMERICAN
ORWELL PARKHOMES 4 RENT
CLO DAC 1X CRLP REGS ( 106.95)
111.79) ( 4.25)
2.70) 2/15/2028
7/18/2029 1,600
1,060 1,591
1,250 1,685
1,178
AMERICAN
ORWELL PARKHONDA FINANCE
CLO DAC 1X D CORP
REGS ( 99.78)
105.81) ( 0.84)
4.45) 2/15/2022
7/18/2029 3,800
4,951 3,800
5,790 3,787
5,189
AMERICAN
ORWELL PARKTOWER CORP1X E REGS
CLO DAC ( 108.57)
95.73) ( 3.38)
5.20) 5/15/2024
7/18/2029 2,200
3,100 2,193
2,978 2,379
2,931
AMERICAN
OSUM WATER CAPITAL
PRODUCTION CORP
6/19 EXTENDED ( 114.54)
75.00) ( 3.45)
- ) 6/1/2029
7/31/2022 500
797 499
700 571
598
ANHEUSER-BUSCH
OWENS CORNING INBEV WORLDWIDE ( 113.91)
106.77) ( 4.35)
3.88) 6/1/2040
6/1/2030 1,700
770 1,699
769 1,918
818
AT&T INCFINANCE FUNDI 1A B 144A
OXFORD ( 100.51)
97.94) ( 1.10)
4.04) 6/1/2021
2/15/2028 2,000
1,650 2,000
1,650 2,008
1,613
AT&T INC
OZLM VI LTD 6A B1S 144A ( 100.82)
93.88) ( 1.23)
2.37) 7/15/2021
4/17/2031 2,300
670 2,300
638 2,308
624
AT&T INC
OZLM VIII LTD 8A CRR 144A ( 116.60)
92.10) ( 4.35)
3.42) 3/1/2029
10/17/2029 1,800
3,110 1,791
2,972 2,073
2,836
AURIUM
OZLM XII CLO
LTD II12A
DAC
CR2A AR 144A
144A ( 110.99)
90.35) ( 0.68)
3.27) 10/13/2029
4/30/2027 900
645 1,047
642 997
579
AUTO ABS
OZLM XIII LTD2012-2
13ASRL
A2R2144A A REGS ( - )
96.39) ( 2.80)
1.92) 4/27/2025
7/30/2027 -
1,880 1,737- 1,804-
OZLM XIV LTD
AUTO ABS 14A A1AR12-2
COMPARTIM 144AA REGS ( 98.13)
- ) ( 1.44)
2.80) 1/15/2029
4/27/2025 250
- 242- 244-
OZLM XIX LTDCOMMUNITIES
AVALONBAY 19A A2 144A INC ( 94.76)
111.54) ( 1.89)
3.45) 11/22/2030
6/1/2025 1,000
3,200 917
3,194 942
3,560
OZLM XIX LTD
AVANGRID INC19A C 144A ( 86.35)
107.96) ( 3.38)
3.15) 11/22/2030
12/1/2024 470
1,700 418
1,702 402
1,831
OZLM XVI LTD
AVANGRID INC16A C 144A ( 90.08)
115.77) ( 3.94)
3.80) 5/16/2030
6/1/2029 500
2,100 484
2,274 448
2,424
OZLM
BANC OFXX AMERICA
LTD 20A CALTERNA
144A 7 2CB1 ( 88.15)
96.97) ( 3.22)
6.00) 4/20/2031
8/25/2035 755
1,840 723
1,722 659
1,775
OZLME
BANC OF BVAMERICA
1X AR REGS FUNDING 7 1A1 ( 111.38)
82.03) ( 0.82)
0.62) 1/18/2030
9/25/2036 300
2,579 316
1,730 334
2,115
OZLME
BANC OF BVAMERICA
1X DRE REGSFUNDING A 1A1 ( 108.71)
93.95) ( 3.30)
4.18) 1/18/2030
2/20/2036 1,000
142 932
125 1,080
132
OZLME II DAC
BANK OF AMERICA 2X F REGS
CORP ( 88.88)
99.67) ( 6.50)
1.12) 10/15/2030
3/5/2024 505
900 208
894 441
896
OZLME
BANK OF IIIAMERICA
DAC 3X B1CORP REGS ( 108.87)
106.73) ( 1.20)
3.30) 8/24/2030
1/11/2023 755
2,400 762
2,404 821
2,524
OZLME
BANK OF V AMERICA
DAC 5X DECORP REGS ( 106.10)
111.07) ( 3.40)
4.13) 1/14/2032
1/22/2024 1,630
2,200 1,419
2,306 1,716
2,403
BANKUNITED
PABST BREWING TRUST
11/14 2005-1
COV-LITE1 1A1 ( 94.56)
84.71) ( 0.77)
- ) 9/25/2045
11/15/2021 134
170 115
148 127
143
BARCLAYSSANITATION
PACKERS BANK PLC SERVICES ( 108.88)
95.55) ( 7.63)
- ) 11/21/2022
12/4/2024 2,100
249 2,289
237 2,269
238
BARCLAYS
PALMER PLC LOAN 2A A2 144A
SQUARE ( 101.54)
96.22) ( 2.56)
1.33) 8/10/2021
7/15/2026 2,200
1,000 2,222
958 2,226
957
BARCLAYS
PALMER PLC LOAN F 1A C 144A
SQUARE ( 103.78)
98.07) ( 3.68)
3.42) 1/10/2023
4/20/2027 2,700
3,415 2,700
3,415 2,755
3,320
BARCLAYS
PALMER PLC LOAN F 2A B 144A
SQUARE ( 107.72)
97.76) ( 4.34)
2.52) 5/16/2024
4/20/2027 1,700
750 1,690
686 1,822
728
BAYER US FINANCE
PALMER SQUARE LOAN II LLCF 144A
4A B 144A ( 99.69)
95.56) ( 1.32)
2.29) 12/15/2023
11/15/2026 2,100
1,000 2,100
920 2,092
953
BEARPHARMACEUTICAL
PAR STEARNS ARM TRUST INC 1144A
12A5 ( 94.60)
102.62) ( 3.83)
7.50) 4/25/2034
4/1/2027 634
403 630
415 598
406
BEAR STEARNS
PARALLEL 2015-1 ARM
LTDTRUST
1A DR10 15A1
144A ( 92.40)
89.15) ( 3.98)
2.82) 1/25/2035
7/20/2027 175
260 173
260 161
230
BEAR STEARNS
PARALLEL 2018-1 ARM
LTDTRUST 2 8 1A1
1A C 144A ( 92.04)
85.69) ( 4.00)
3.07) 1/25/2034
4/20/2031 3
2,215 2,0293 1,8813
BEAR STEARNS
PAREXEL ARM TRUST8/17
INTERNATIONAL 2 9 2A1
TLB (( 98.46)
94.56) (( 3.89)
- ) 2/25/2034
9/27/2024 556
500 549
465 546
473
BNP PARIBAS SA 144A
PARK AVENUE INSTITU 1A A2 144A (( 105.85)
97.14) (( 3.50)
2.17) 3/1/2023
10/20/2031 1,700
250 1,696
233 1,780
241
BOSTON
PARKLAND PROPERTIES
CORP/CANADA LP 144A (( 104.52)
103.75) (( 2.90)
5.88) 3/15/2030
7/15/2027 2,300
228 2,299
215 2,384
230
BROADCOM INC 144A
PATRIOT RAIL & PORTS/PATRIOT R (( 107.24)
95.00) (( 3.46)
- ) 9/15/2026
10/19/2026 1,513
1,172 1,550
1,159 1,617
1,113
CARLYLE
PBF HOLDING FINANCE LLC/144A
CO LLC PBF 144A (( 120.82)
83.00) (( 5.65)
6.00) 9/15/2048
2/15/2028 2,700
1,350 2,698
1,129 3,217
1,085
C-BASS 2007-CB5 TRUST
PBF HOLDING CO LLC / PBF CB5144AA2 (( 74.41)
106.75) (( 0.34)
9.25) 4/25/2037
5/15/2025 4,432
181 2,337
181 3,297
191
CCP_CDS.
PEABODY ENERGYSP UL CITIGROUP
CORP 144A INC. (( 0.29)
65.00) (( 1.00)
6.00) 12/20/2020
3/31/2022 5,500
634 104
482 14
402
PELICAN PRODUCTS 4/18 TL ( 91.33) ( - ) 4/19/2025 748 660 683
PENN NATIONAL GAMING 8/18 TL ( 92.97) ( - ) 10/15/2025 111 105 104
CCP_CDS._SP
PENSKE AUTOMOTIVE UL SIMON PROPERTY
GROUP INC (( - )
99.75) (( - )
5.50) 6/20/2022
5/15/2026 (3,300)
534 (0)
507 529-
CCP_IRS.
PENTA CLO P JPY-LIBOR-BBA
2 BV 2X DRNE REGS 6M CM (( (0.03)
109.33) (( 0.04)
3.00) 3/10/2038
8/4/2028 61,000
1,163 1,2510 (17)
1,265
75 2019–2020
were created REPORT
Core
PENTA Fixed
CLOIncome
2 BV 2X E REGS ( 101.63) ( 4.55) 8/4/2028 6,720 7,973 6,775
ABBVIE
PENTA CLOINC 2144A
BV 2X F REGS ($
( 104.01)
84.81) ( 3.45)
5.48) 3/15/2022
8/4/2028 3,600
1,435 ($ 3,744
1,667 ($ 3,708
1,203
ABBVIE
PENTA CLOINC 6144A
DAC 6A D 144A ( 104.80)
110.36) ( 3.25)
3.85) 10/1/2022
7/25/2032 1,100
3,585 1,149
4,083 1,144
3,928
ABBVIE INC 144AFOOD GROUP IN 144A
PERFORMANCE ( 106.16)
103.25) ( 2.60)
6.88) 11/21/2024
5/1/2025 1,800
300 1,798
304 1,906
306
ABBVIE
PERMIAN INC 144A
PRODUCTION (( 108.77)
7.50) (( 2.95)
- ) 11/21/2026
9/5/2024 1,900
713 1,898
684 2,060
53
ACCREDITED
PERSHING MORTGAGE
SQUARE LOAN144A
HOLDINGS 4 A2D (( 96.16)
105.50) (( 0.87)
5.50) 1/25/2035
7/15/2022 1,487
1,000 1,495
1,058 1,430
1,030
ACE SECURITIES6/16
PET HOLDINGS CORP HO HE1 TL
DELAYED A2A (( 72.89)
81.00) (( 0.26)
- ) 1/25/2037
7/5/2022 2,708
117 1,299
117 1,974
93
PET HOLDINGS 6/16 TL ( 81.00) ( - ) 6/27/2023 1,036 1,021 821
PETCO 1/17 COV-LITE TLB1 ( - ) ( - ) 1/26/2023 - - (2)
PF CHANG'S 1/19
ALTERNATIVE LOAN TLBTRUST 46CB A9 (( 64.88)
85.56) (( - )
5.50) 2/7/2026
10/25/2035 996
2,328 980
2,021 646
1,981
PG&E CORP LOAN TRUST J13 2A3
ALTERNATIVE (( 99.97)
83.42) (( 5.00)
5.50) 7/1/2028
11/25/2035 117
1,352 117
1,037 117
1,122
PGT INNOVATIONS
AMEREN CORP INC 144A (( 101.00)
105.97) (( 6.75)
2.50) 8/1/2026
9/15/2024 237
1,800 240
1,799 233
1,894
PHOENIX
AMERICAN AIRLINESDA
PARK CLO 1X B1CLASS
2016-2 REGS (( 112.09)
81.46) (( 2.47)
3.65) 10/29/2031
12/15/2029 720
2,246 722
1,539 804
1,826
PICASSO FINANCE SUB
AMERICAN HOMES 4 RENT LP INC 144A (( 102.25)
106.95) (( 6.13)
4.25) 6/15/2025
2/15/2028 1,400
1,600 1,400
1,591 1,428
1,685
PIKES PEAK HONDA
AMERICAN CLO 1 1AFINANCE
D 144A CORP (( 94.36)
99.78) (( 3.41)
0.84) 7/24/2031
2/15/2022 2,995
3,800 2,944
3,800 2,802
3,787
PLANVIEW 1/17
AMERICAN TOWER CORP TL (( 99.57)
108.57) (( - )
3.38) 1/27/2023
5/15/2024 1,483
2,200 1,469
2,193 1,477
2,379
PLANVIEW
AMERICAN 12/17 WATERTLCAPITAL CORP ( 99.57)
114.54) ( - )
3.45) 1/27/2023
6/1/2029 107
500 107
499 106
571
ANHEUSER-BUSCH
PLAY INBEV WORLDWIDE
POWER 5/19 COV-LITE TLB ( 113.91)
87.50) ( 4.35)
- ) 6/1/2040
5/7/2026 1,700
466 1,699
444 1,918
407
AT&T INC 12/19 COV-LITE TLB
PLAYTIKA ( 100.51)
99.75) ( 1.10)
- ) 6/1/2021
12/10/2024 2,000
1,106 2,000
1,059 2,008
1,103
AT&T HOLDINGS
POST INC INC 144A ( 100.82)
100.38) ( 1.23)
5.00) 7/15/2021
8/15/2026 2,300
430 2,300
446 2,308
423
AT&T INC
POWER SOLUTIONS 4/19 (USD) (( 116.60)
95.00) (( 4.35)
- ) 3/1/2029
4/30/2026 1,800
2,161 1,791
2,026 2,073
2,052
AURIUM CLO IISERVICES
POWERTEAM DAC 2A AR LLC144A
144A (( 110.99)
102.00) (( 0.68)
9.03) 10/13/2029
12/4/2025 900
1,085 1,047
1,085 997
1,084
AUTO
PQ CORPABS6/20
2012-2 SRL 2 A REGS
INCREMENTAL COV-L (( - )
96.38) (( 2.80)
- ) 4/27/2025
2/7/2027 -
450 443- 434-
AUTO ABS COMPARTIM
PREFERRED TERM SECURITIES 12-2 A144A
REGS ( - )
66.00) ( 2.80)
0.66) 4/27/2025
6/22/2037 -
7,056 4,773- 4,655-
AVALONBAYTERM
PREFERRED COMMUNITIES
SECURITIESINC 144A ( 111.54)
67.00) ( 3.45)
0.69) 6/1/2025
3/22/2037 3,200
4,831 3,194
3,199 3,560
3,235
AVANGRID INC
PREFERRED TERM SECURITIES 144A ( 107.96)
68.00) ( 3.15)
0.68) 12/1/2024
9/22/2037 1,700
858 1,702
661 1,831
583
AVANGRID INC
70.25) ( 3.80)
0.71) 6/1/2029
3/22/2038 2,100
1,533 2,274
1,090 2,424
1,076
BANC OF AMERICA
PREFERRED ALTERNA 7144A
TERM SECURITIES 2CB1 ( 96.97)
71.25) ( 6.00)
0.76) 8/25/2035
3/22/2038 1,840
1,977 1,722
1,375 1,775
1,408
BANC OF AMERICA
PREFERRED FUNDING 7144A
TERM SECURITIES 1A1 ( 82.03)
72.00) ( 0.62)
0.71) 9/25/2036
12/22/2037 2,579
1,815 1,730
1,382 2,115
1,306
BANC OF AMERICA
PREFERRED FUNDING A144A
TERM SECURITIES 1A1 ( 93.95)
77.25) ( 4.18)
0.60) 2/20/2036
6/22/2037 142
1,674 125
1,467 132
1,293
BANK OF AMERICA
PREFERRED CORP
TERM SECURITIES 144A ( 99.67)
79.00) ( 1.12)
0.79) 3/5/2024
9/23/2035 900
278 894
212 896
219
BANK OF AMERICA
PREFERRED CORP
TERM SECURITIES 144A ( 106.73)
80.75) ( 3.30)
0.71) 1/11/2023
3/22/2038 2,400
138 2,404
115 2,524
112
BANK OF AMERICA CORP
85.51) ( 4.13)
0.61) 1/22/2024
9/22/2037 2,200
16,167 2,306
13,137 2,403
13,820
BANKUNITED
PREFERRED TRUST
TERM 2005-1 1 1A1
SECURITIES 144A ( 94.56)
87.00) ( 0.77)
0.65) 9/25/2045
9/22/2036 134
1,782 115
1,591 127
1,550
BARCLAYS BANK
PREFERRED TERMPLC SECURITIES 144A ( 108.88)
89.51) ( 7.63)
0.82) 11/21/2022
3/23/2035 2,100
769 2,289
637 2,269
688
BARCLAYS PLC
90.50) ( 2.56)
0.51) 8/10/2021
12/22/2036 2,200
214 2,222
194 2,226
194
BARCLAYS1/20
PRESIDIO PLC COV-LITE TLB (( 103.78)
96.17) (( 3.68)
- ) 1/10/2023
1/15/2027 2,700
130 2,700
127 2,755
125
BARCLAYS
PRESS GANEYPLC7/19 TLB (( 107.72)
96.75) (( 4.34)
- ) 5/16/2024
7/23/2026 1,700
348 1,690
343 1,822
335
BAYER US FINANCE
PRIME SECURITY SERVICES II LLC 144A
B 144A (( 99.69)
94.25) (( 1.32)
6.25) 12/15/2023
1/15/2028 2,100
645 2,100
611 2,092
591
PROJECT 29 HOLDING CO ( 100.00) ( - ) 5/3/2024 1,000 1,000 1,000
PROJECT ALPHA (QLIK) 4/17 ( 95.83) ( - ) 4/26/2024 499 481 474
PROLAMINA
BEAR STEARNS 11/16
ARMCOV-LITE
TRUST 2 TL
9 2A1 (( 95.13)
98.46) (( - )
3.89) 11/20/2023
2/25/2034 499
556 471
549 473
546
PROSIGHT
BNP PARIBAS GLOBAL
SA 144AINC GTD SR NT (( 101.57)
105.85) (( 7.50)
3.50) 11/26/2020
3/1/2023 850
1,700 890
1,696 853
1,780
PROVIDUS
BOSTON CLO III DACLP
PROPERTIES 3A D 144A (( 109.09)
104.52) (( 3.75)
2.90) 7/20/2032
3/15/2030 1,710
2,300 1,944
2,299 1,851
2,384
BROADCOM INC 144A 4A B 144A
PROVIDUS CLO IV DAC (( 112.60)
107.24) (( 2.65)
3.46) 7/20/2031
9/15/2026 980
1,513 1,046
1,550 1,101
1,617
PUBLIC STORAGE
CARLYLE FINANCE LLC 144A (( 25.41)
120.82) (( - )
5.65) -
9/15/2048 91
2,700 2,280
2,698 2,317
3,217
PUERTO RICO ELECTRUST
C-BASS 2007-CB5 PWR CB5
AUTH A2PWR (( 88.00)
74.41) (( 0.72)
0.34) 7/1/2029
4/25/2037 2,250
4,432 1,970
2,337 1,972
3,297
PUNCH
CCP_CDS. TAVERNS FINANCE BINC.
SP UL CITIGROUP L REGS (( 118.62)
0.29) (( 5.27)
1.00) 3/30/2024
12/20/2020 1,058
5,500 1,437
104 1,255
14
PURPLE
CCP_CDS. FINANCE CLO 2APROPERTY
SP UL SIMON DE 144A (( 108.58)
(0.51) (( 4.10)
1.00) 4/20/2032
6/20/2022 2,210
3,300 2,438
11 2,380
(18)
PURPLE FINANCE
CCP_CDS._SP CLO 2X DE REGS
UL CITIGROUP INC. (( 108.58)
- ) (( 4.10)
- ) 4/20/2032
12/20/2020 335
(5,500) 373
(0) 360-
PUTNAM STRUCTURED P 1A A2 144A ( 98.98) ( 1.18) 10/15/2038 442 378 437
QBE INSURANCE GROUP LTD 144A ( 103.25) ( 5.88) 12/31/2049 600 603 615
QORVO INC 144A ( 102.41) ( 4.38) 10/15/2029 1,070 1,094 1,086
RETIREMENT
Core Fixed
R&R ICE Income
CREAM/FRONERI 1/20 ( 93.81) ( - ) 1/29/2027 500 469 469
ABBVIE
RACE POINT144A
INC VIII CL 8A DR2 144A ($
( 104.01)
90.14) (( 3.45)
3.88) 3/15/2022
2/20/2030 3,600
2,620 ($ 3,744
2,620 ($ 3,708
2,350
ABBVIE INC 144A
RADIOLOGY PARTNERS 7/18 (( 104.80)
92.68) (( 3.25)
- ) 10/1/2022
6/12/2022 1,100
500 1,149
461 1,144
463
ABBVIE INC 144A
RADIOLOGY PARTNERS INC 144A (( 106.16)
94.25) (( 2.60)
9.25) 11/21/2024
2/1/2028 1,800
224 1,798
214 1,906
202
ABBVIE INC 144A ( 108.77) ( 2.95) 11/21/2026 1,900 1,898 2,060
RADNET 1/17 TLB ( 94.88) ( - ) 6/30/2023 345 325 327
RALI SERIES 2006-QO2 TR QO2 A1 ( 28.16) ( 0.39) 2/25/2046 1,051 377 296
RALI SERIES 2006-QO2 TR QO2 A2 ( 29.27) ( 0.44) 2/25/2046 957 449 280
RALI SERIES 2006-QO6 TR QO6 A1 ( 34.48) ( 0.35) 6/25/2046 7,019 2,884 2,420
RALI SERIES 2006-QO8 QO8 1A3A ( 91.99) ( 0.37) 10/25/2046 995 865 916
RASPRO TRUST 2005 1A B 144A ( 93.68) ( 2.89) 3/23/2024 4,045 3,851 3,766
AMEREN CORP ( 105.97) ( 2.50) 9/15/2024 1,800 1,799 1,894
RCN CABLE 12/16 COV-LITE TL ( 95.25) ( - ) 2/1/2024 399 379 380
RCP VEGA/BLACKBOARD
AMERICAN HOMES 4 RENT TRANSACT
LP (( 90.00)
106.95) (( - )
4.25) 4/17/2026
2/15/2028 521
1,600 513
1,591 469
1,685
REALOGY GROUP LLC
AMERICAN HONDA FINANCE CORP / REALO 144A (( 93.26)
99.78) (( 9.38)
0.84) 4/1/2027
2/15/2022 164
3,800 131
3,800 149
3,787
RECETTE CLO LTD
AMERICAN TOWER CORP 1A DR 144A (( 96.77)
108.57) (( 3.02)
3.38) 10/20/2027
5/15/2024 300
2,200 302
2,193 288
2,379
REFINITIV/THOMSON
AMERICAN WATER CAPITAL REUTERS CORP (( 97.58)
114.54) (( - )
3.45) 10/1/2025
6/1/2029 499
500 489
499 487
571
REGIONALCARE/LIFEPOINT
ANHEUSER-BUSCH INBEV WORLDWIDE HEALTH ( 93.49)
113.91) ( - )
4.35) 11/14/2025
6/1/2040 500
1,700 481
1,699 467
1,918
REINSURANCE
AT&T INC GROUP OF AMERICA I ( 103.75)
100.51) ( 3.15)
1.10) 6/15/2030
6/1/2021 1,728
2,000 1,754
2,000 1,789
2,008
RESIDEO
AT&T INCFUNDING INC 144A ( 97.75)
100.82) ( 6.13)
1.23) 11/1/2026
7/15/2021 600
2,300 516
2,300 580
2,308
AT&T INCTECHNOLOGIES 9/18 TLB
RESIDEO ( 116.60)
96.50) ( 4.35)
- ) 3/1/2029
10/3/2025 1,800
499 1,791
489 2,073
481
AURIUM
RHP HOTELCLO II DAC 2A AR
PROPERTIES LP144A
/ 144A ( 110.99)
89.00) ( 0.68)
4.75) 10/13/2029
10/15/2027 900
367 1,047
336 997
323
RICHMOND PARK CLO
AUTO ABS 2012-2 SRL 21XADRRE
REGS REGS ( 106.23)
- ) ( 3.05)
2.80) 7/14/2031
4/27/2025 755
- 687- 797-
RISERVA
AUTO ABS CLO LTD 3A BR 144A
COMPARTIM 12-2 A REGS (( 97.41)
- ) (( 1.97)
2.80) 10/18/2028
4/27/2025 625
- 495- 605-
ROCKFORD TOWER
AVALONBAY COMMUNITIES EURO 1XINC DE REGS (( 109.68)
111.54) (( 3.70)
3.45) 1/20/2033
6/1/2025 1,375
3,200 1,481
3,194 1,475
3,560
ROCKWALL
AVANGRID INC CDO II LT 1A B1L 144A (( 99.67)
107.96) (( 2.94)
3.15) 8/1/2024
12/1/2024 375
1,700 353
1,702 372
1,831
ROCKWALL
AVANGRID INC CDO II LT 1X B2L REGS (( 97.90)
115.77) (( 4.94)
3.80) 8/1/2024
6/1/2029 890
2,100 821
2,274 865
2,424
RR
BANC5 LTD
OF 5A C 144AALTERNA 7 2CB1
AMERICA (( 92.96)
96.97) (( 3.38)
6.00) 10/15/2031
8/25/2035 505
1,840 473
1,722 465
1,775
RRE 3 LOAN MANAGEMEN
BANC OF AMERICA FUNDING 3X7B1A1
REGS (( 112.00)
82.03) (( 1.60)
0.62) 7/15/2032
9/25/2036 1,050
2,579 969
1,730 1,164
2,115
SABEY DATA CENTER IS
BANC OF AMERICA FUNDING A 1A1 1 A2 144A (( 101.57)
93.95) (( 3.81)
4.18) 4/20/2045
2/20/2036 1,800
142 1,787
125 1,826
132
SABINE
BANK OFPASS LIQUEFACTION
AMERICA CORP 144A (( 111.02)
99.67) (( 4.50)
1.12) 5/15/2030
3/5/2024 1,400
900 1,404
894 1,545
896
SABRE
BANK OF GLBL INC 144A
AMERICA CORP (( 93.35)
106.73) (( 5.38)
3.30) 4/15/2023
1/11/2023 140
2,400 130
2,404 129
2,524
SAMSONITE
CORP 5/20 ( 96.88)
111.07) ( - )
4.13) 4/25/2025
1/22/2024 1,800
2,200 1,746
2,306 1,743
2,403
BANKUNITEDENERGY
SANDRIDGE TRUST 2005-1
INC 1 1A1 ( 94.56)
1.29) ( 0.77)
- ) -
9/25/2045 44
134 489
115 56
127
SAPPHIRE
BARCLAYS AVIATION
BANK PLC FI 1A B 144A ( 47.98)
108.88) ( 4.34)
7.63) 3/15/2040
11/21/2022 2,000
2,100 2,000
2,289 956
2,269
SBA COMMUNICATIONS
BARCLAYS PLC CORP 144A ( 99.63)
101.54) ( 3.88)
2.56) 2/15/2027
8/10/2021 350
2,200 348
2,222 343
2,226
BARCLAYS
SBP PLC 3/14 TL
HOLDINGS ( 103.78)
92.25) ( 3.68)
- ) 1/10/2023
3/27/2021 2,700
950 2,700
825 2,755
876
BARCLAYS PLC
SCIENTIFIC GAMES 1/18 B5 (( 107.72)
88.20) (( 4.34)
- ) 5/16/2024
8/14/2024 1,700
349 1,690
318 1,822
308
BAYER US
SCOF-2 LTDFINANCE
2A DR 144AII LLC 144A (( 99.69)
93.30) (( 1.32)
3.34) 12/15/2023
7/15/2028 2,100
1,055 2,100
1,016 2,092
975
BEAR STEARNS ARM
SCOF-2 LTD 2A ER 144A TRUST 1 12A5 (( 94.60)
80.34) (( 3.83)
5.99) 4/25/2034
7/15/2028 634
720 630
698 598
568
BEAR STEARNS
SEAPOINT PARKARM CLO TRUST
DA 1A C10144A15A1 (( 92.40)
106.82) (( 3.98)
3.90) 1/25/2035
5/22/2032 175
1,000 173
1,114 161
1,046
BEAR STEARNS ARM TRUST
SEDGWICK CMS 5/20 COV-LITE TLB 2 8 1A1 (( 92.04)
96.83) (( 4.00)
- ) 1/25/2034
9/3/2026 3
400 3903 3873
BEAR STEARNS2014-VI-
SHACKLETON ARM TRUST 6RA B2 144A
9 2A1 (( 98.46)
97.53) (( 3.89)
2.00) 2/25/2034
7/17/2028 556
1,200 549
1,141 546
1,163
BNP PARIBAS SA
SHACKLETON 144AC 9A D 144A
2016-IX (( 105.85)
92.15) (( 3.50)
4.01) 3/1/2023
10/20/2028 1,700
250 1,696
243 1,780
228
BOSTON
SHACKLETON 2017-XI LP
PROPERTIES 11A D 144A (( 104.52)
90.16) (( 2.90)
4.04) 3/15/2030
8/15/2030 2,300
500 2,299
497 2,384
448
BROADCOM INC 144A ( 107.24) ( 3.46) 9/15/2026 1,513 1,550 1,617
SI GROUP/ADDIVANT 7/18 TL ( 94.00) ( - ) 10/15/2025 399 375 375
SILVERMORE CLO LTD 1A B 144A ( 96.54) ( 3.39) 5/15/2026 500 501 480
SIMMONS FOODS INC 144A ( 104.32) ( 7.75) 1/15/2024 811 843 817
SIRIUS XM RADIO INC 144A ( 98.90) ( 4.13) 7/1/2030 1,080 1,080 1,066
SIRIUS XM RADIO INC 144A ( 102.21) ( 5.00) 8/1/2027 353 368 353
CCP_CDS._SP
SIRIUS XM RADIO UL CITIGROUP
INC 144A INC. (( - )
105.26) (( - )
5.50) 12/20/2020
7/1/2029 (5,500)
304 (0)
323 312-
CCP_CDS._SP
SIX FLAGS THEME UL SIMON
PARKSPROPERTY
INC 144A (( - )
103.38) (( - )
7.00) 6/20/2022
7/1/2025 (3,300)
1,475 (0)
1,528 1,505-
CCP_IRS.
SLM STUDENTP JPY-LIBOR-BBA
LOAN TRUST6M 20CM5 B2 (( (0.03)
101.80) (( 0.04)
0.01) 3/10/2038
1/26/2043 61,000
4,550 4,1730 (17)
4,632
SMERALDA SPV S.R.L. ( 108.29) ( 4.50) 12/22/2034 4,123 4,525 4,460
77 2019–2020
were created REPORT
Core Fixed Income
SMITHFIELD FOODS INC 144A ( - ) ( 5.20) 4/1/2029 - - (0)
ABBVIE
SOLERA INC3/16144A
(USD) COV-LITE TL ($
( 104.01)
96.33) (( 3.45)
- ) 3/15/2022
3/3/2023 3,600
849 ($ 3,744
805 ($ 3,708
818
ABBVIE INC
SOLERA LLC 144A
/ SOLERA FINAN 144A (( 104.80)
101.75) (( 3.25)
10.50) 10/1/2022
3/1/2024 1,100
412 1,149
420 1,144
405
ABBVIE INC PARK
SORRENTO 144A CLO D 1X CR REGS (( 106.16)
111.85) (( 2.60)
2.74) 11/21/2024
11/16/2027 1,800
901 1,798
1,009 1,906
1,004
ABBVIE INC
SORRENTO PARK 144A CLO DA 1X E REGS (( 108.77)
93.32) (( 2.95)
5.99) 11/21/2026
11/16/2027 1,900
250 1,898
233 2,060
231
ACCREDITED144A
SOTHEBY'S MORTGAGE LOAN 4 A2D (( 96.16)
94.50) (( 0.87)
7.38) 1/25/2035
10/15/2027 1,487
200 1,495
200 1,430
188
SOTHEBYS 9/19 TLB ( 93.17) ( - ) 12/31/2022 89 88 83
SOUND POINT CLO XII 2A DR 144A ( 92.70) ( 4.12) 10/20/2028 5,195 5,216 4,764
SOUND POINT CLO XIV 3X C REGS ( 98.15) ( 2.91) 1/23/2029 1,135 1,097 1,113
SOUND POINT CLO XXII 2A B 144A ( 96.23) ( 2.31) 4/15/2032 810 812 774
SOUND POINT CLO XXIV 3X D REGS ( 99.00) ( 4.35) 10/25/2032 940 911 918
SOUND POINT CLO XXVI 1A D 144A ( 98.00) ( 5.02) 7/20/2030 2,000 1,950 1,960
AMEREN CORP ( 105.97) ( 2.50) 9/15/2024 1,800 1,799 1,894
SOUND POINT EURO CLO 1A E 144A ( 106.85) ( 6.22) 4/25/2032 250 191 264
SOUND POINT EURO CLO 2X C REGS ( 112.57) ( 2.70) 10/26/2032 365 366 409
SOUND POINT EURO CLO 3X E REGS ( 100.97) ( 5.45) 4/15/2033 1,055 1,085 1,047
SPECTRUM BRANDS INC 144A ( 100.13) ( 5.50) 7/15/2030 350 350 350
SPRINGS WINDOW FASHIONS 6/18 2 ( 83.50) ( - ) 6/15/2026 300 285 251
SPRINT CORP ( 112.63) ( 7.88) 9/15/2023 1,135 1,252 1,252
SPRINT CORP ( 118.04) ( 7.63) 3/1/2026 271 327 313
AT&T INC ( 100.51) ( 1.10) 6/1/2021 2,000 2,000 2,008
SPS SERVICER ADVAN T1 DT1 144A ( 99.38) ( 2.63) 10/15/2051 1,300 1,300 1,290
AT&T INC ( 100.82) ( 1.23) 7/15/2021 2,300 2,300 2,308
SRS
AT&TDISTRIBUTION
INC 5/18 COV-LITE (( 94.28)
116.60) (( - )
4.35) 5/23/2025
3/1/2029 500
1,800 471
1,791 471
2,073
SS&C
AURIUM CLO II DAC 2A10/18
TECHNOLOGIES ADD-ON
AR 144A (( 95.21)
110.99) (( - )
0.68) 4/16/2025
10/13/2029 499
900 484
1,047 475
997
SS&C TECHNOLOGIES INC
AUTO ABS 2012-2 SRL 2 A REGS 144A (( 101.46)
- ) (( 5.50)
2.80) 9/30/2027
4/27/2025 359
- 377- 359-
ST PAULS CLO II D 2A DRRR 144A ( 106.95) ( 3.60) 10/15/2030 750 831 796
ST PAUL'S CLO III- 3RX CR REGS ( 107.98) ( 1.60) 1/15/2032 755 707 812
STANDARD CHARTERED PLC 144A ( 113.02) ( 4.64) 4/1/2031 700 700 783
AVANGRID INC ( 107.96) ( 3.15) 12/1/2024 1,700 1,702 1,831
STANDARD INDUSTRIES INC/N 144A ( 99.75) ( 4.38) 7/15/2030 675 675 673
AVANGRID INC ( 115.77) ( 3.80) 6/1/2029 2,100 2,274 2,424
STANDARD INDUSTRIES INC/N 144A ( 101.25) ( 5.00) 2/15/2027 325 323 323
STEEL DYNAMICS INC ( 102.00) ( 3.25) 1/15/2031 190 188 193
STRIPES
BANC OF2013-1
AMERICA A1 A1 TERM LOAN
FUNDING A 1A1 (( 82.00)
93.95) (( - )
4.18) 3/20/2023
2/20/2036 2,008
142 1,994
125 1,646
132
STRUCTURED
BANK OF AMERICA CORP BC8 2A
ASSET INVEST (( 95.51)
99.67) (( 1.12)
1.12) 8/25/2033
3/5/2024 523
900 465
894 499
896
STWD
BANK OF 2019-FL1
AMERICA LTDCORP
FL1 AS 144A (( 96.73)
106.73) (( 1.57)
3.30) 7/15/2038
1/11/2023 1,800
2,400 1,661
2,404 1,740
2,524
STWD
BANK OF AMERICA CORPC 144A
2019-FL1 LTD FL1 (( 94.52)
111.07) (( 2.12)
4.13) 7/15/2038
1/22/2024 2,876
2,200 2,759
2,306 2,716
2,403
SUBURBAN
BANKUNITED PROPANE PARTNERS
TRUST 2005-1 1 1A1LP/S (( 100.00)
94.56) (( 5.75)
0.77) 3/1/2025
9/25/2045 300
134 308
115 294
127
SUDBURY MILL
BARCLAYS BANK PLC CLO LTD 1A D 144A (( 95.14)
108.88) (( 3.77)
7.63) 1/17/2026
11/21/2022 2,333
2,100 2,315
2,289 2,197
2,269
SUNCOKE
BARCLAYS PLCENERGY PARTNERS L 144A (( 84.52)
101.54) (( 7.50)
2.56) 6/15/2025
8/10/2021 1,727
2,200 1,510
2,222 1,454
2,226
SUNDYNE
BARCLAYS PLC2/20 TLB (( 90.50)
103.78) (( - )
3.68) 2/13/2025
1/10/2023 200
2,700 187
2,700 181
2,755
SUNSOURCE
BARCLAYS PLC 11/17 COV-LITE TL ( 92.04)
107.72) ( - )
4.34) 12/11/2024
5/16/2024 943
1,700 892
1,690 868
1,822
SUPERIOR PLUS LP /IISUPERI
BAYER US FINANCE 144A
LLC 144A ( 104.75)
99.69) ( 7.00)
1.32) 7/15/2026
12/15/2023 210
2,100 228
2,100 213
2,092
SURGERY
BEAR STEARNSCENTER ARM8/17 COV-LITE
TRUST 1 12A5 ( 87.46)
94.60) ( - )
3.83) 9/2/2024
4/25/2034 499
634 454
630 436
598
SYMPHONY
BEAR STEARNS CLOARM XIX LT 19A D
TRUST 10144A
15A1 ( 90.77)
92.40) ( 2.82)
3.98) 4/16/2031
1/25/2035 320
175 318
173 288
161
SYMPHONY
BEAR STEARNS CLOARM XVII TRUST
17A ER2144A
8 1A1 ( 89.88)
92.04) ( 5.83)
4.00) 1/25/2034
4/15/2028 3
3,485 3,4373 3,0823
BEAR STEARNS
SYMPHONY CLOARM XVIIITRUST
18A D2144A
9 2A1 ( 98.46)
93.31) ( 3.89)
4.26) 2/25/2034
1/23/2028 556
1,920 549
1,715 546
1,773
BNP PARIBAS
SYSCO CORP SA 144A ( 105.85)
125.61) ( 3.50)
5.95) 3/1/2023
4/1/2030 1,700
3,600 1,696
3,593 1,780
4,469
BOSTON 2019-4
TAURUS PROPERTIES LP A REGS
FIN FIN4 ( 104.52)
107.01) ( 2.90)
1.40) 3/15/2030
11/18/2031 2,300
949 2,299
978 2,384
1,014
BROADCOM
TCP WATERMAN INC 144A
CLO LT 1A A2 144A ( 107.24)
96.25) ( 3.46)
3.31) 9/15/2026
12/15/2028 1,513
2,000 1,550
2,000 1,617
1,922
CARLYLE
TECH DATA FINANCE
CORP 6/20LLC 144A
ABL COV-LI ( 120.82)
98.96) ( 5.65)
- ) 9/15/2048
6/26/2025 2,700
1,500 2,698
1,478 3,217
1,484
C-BASS INC
TEGNA 2007-CB5
144A TRUST CB5 A2 ( 74.41)
92.00) ( 0.34)
4.63) 4/25/2037
3/15/2028 4,432
398 2,337
366 3,297
357
CCP_CDS. SP10/17
TEKNI-PLEX UL CITIGROUP
(USD) INC. (( 0.29)
95.25) (( 1.00)
- ) 12/20/2020
10/17/2024 5,500
571 104
553 14
544
TELECOM ITALIA SPA/MILANO 144APROPERTY (( (0.51)
104.36) (( 1.00)
5.30) 6/20/2022
5/30/2024 3,300
544 11
574 (18)
565
CCP_CDS._SP
TELOS CLO 2014-6 UL CITIGROUP INC.
LT 6A CR 144A ( - )
94.68) ( - )
3.73) 12/20/2020
1/17/2027 (5,500)
1,500 (0)
1,502 1,409-
CCP_CDS._SP
TEMPO ACQUISITIONUL SIMON 5/17PROPERTY ( - )
94.75) ( - ) 6/20/2022
5/1/2024 (3,300)
499 (0)
469 472-
CCP_IRS. P JPY-LIBOR-BBA
TEMPO ACQUISITION LLC /6M CM
T 144A ( (0.03)
102.50) ( 0.04)
5.75) 3/10/2038
6/1/2025 61,000
385 3850 (17)
391
TENEO HOLDINGS 7/19 TL ( 94.50) ( - ) 7/15/2025 298 283 281
RETIREMENT
Core
TENETFixed Income CORP 144A
HEALTHCARE ( 97.38) ( 4.88) 1/1/2026 750 769 712
ABBVIE INC 144A CORP 144A
TENET HEALTHCARE ($
( 104.01)
97.42) ( 3.45)
4.63) 3/15/2022
6/15/2028 3,600
825 ($ 3,744
818 ($ 3,708
802
ABBVIE INC 144A
TERRAFORM GLOBAL OPERATIN 144A ( 104.80)
98.50) ( 3.25)
6.13) 10/1/2022
3/1/2026 1,100
250 1,149
248 1,144
241
ABBVIE INC
TERRIER MEDIA144ABUYER INC 144A ( 106.16)
95.88) ( 2.60)
8.88) 11/21/2024
12/15/2027 1,800
325 1,798
267 1,906
310
ABBVIE INC
TERRIER 144A
MEDIA/COX MEDIA 12/19 (( 108.77)
95.17) (( 2.95)
- ) 11/21/2026
12/17/2026 1,900
349 1,898
326 2,060
332
ACCREDITED
TEXGEN POWER MORTGAGE
LLC LOAN 4 A2D (( 96.16)
33.50) (( 0.87)
- ) 1/25/2035
- 1,487
17 1,495
676 1,430
572
ACE SECURITIES
TEXTAINER MARINECORP CONHO1AHE1 A2A
A 144A (( 72.89)
101.80) (( 0.26)
3.96) 1/25/2037
4/20/2044 2,708
1,133 1,299
1,023 1,974
1,152
ADAMS MILL
TEXTRON INC CLO LTD 1A A1R 144A (( 99.72)
99.56) (( 1.38)
3.00) 7/15/2026
6/1/2030 850
100 850
95 843
99
AIA GROUP
THACHER LTD CLO
PARK REGSL 1A D2R 144A (( 103.96)
99.50) (( 3.13)
3.67) 3/13/2023
10/20/2026 2,000
1,315 2,034
1,270 2,061
1,296
THL CREDIT LAKE SHORTRUST
ALLY MASTER OWNER 3A
1A A 144A (( 99.99)
96.73) (( 0.50)
1.98) 7/15/2022
4/15/2030 1,400
3,750 1,400
3,747 1,400
3,604
THL CREDIT WIND RIV 2A DR 144AA9
ALTERNATIVE LOAN TRUST 46CB (( 85.56)
89.12) (( 5.50)
3.18) 10/25/2035
1/15/2031 2,328
2,240 2,021
2,050 1,981
1,977
ALTERNATIVE
THL CREDIT WIND LOAN TRUST
RIV 2A DRJ13 2A3
144A (( 83.42)
90.16) (( 5.50)
2.88) 11/25/2035
10/15/2027 1,352
830 1,037
830 1,122
742
AMEREN CORP
THL CREDIT WIND RIVE 1A D 144A (( 105.97)
96.17) (( 2.50)
4.02) 9/15/2024
4/18/2029 1,800
1,585 1,799
1,571 1,894
1,508
THOMSON LEARNING 5/16 TLB ( 80.20) ( - ) 6/7/2023 121 120 96
THYSSENKRUPP ELEVATOR 6/20 (US ( 98.00) ( - ) 12/31/2023 950 931 931
TIBCO
AMERICANSOFTWARE
TOWER3/20 CORP COV-LITE T (( 94.25)
108.57) (( - )
3.38) 6/30/2026
5/15/2024 1,730
2,200 1,684
2,193 1,630
2,379
TICP CLO I-2WATER
AMERICAN LTD IX B REGS CORP
CAPITAL (( 98.12)
114.54) (( 2.44)
3.45) 4/26/2028
6/1/2029 1,275
500 1,210
499 1,244
571
TICP CLO II-2 LTD IIAINBEV
ANHEUSER-BUSCH C 144AWORLDWIDE (( 90.15)
113.91) (( 3.22)
4.35) 4/20/2028
6/1/2040 3,955
1,700 3,906
1,699 3,533
1,918
TICP CLO
AT&T INC II-2 LTD IIX C REGS (( 90.15)
100.51) (( 3.22)
1.10) 4/20/2028
6/1/2021 585
2,000 575
2,000 523
2,008
TICP
AT&TCLOINCIX LTD 9A D 144A (( 94.18)
100.82) (( 3.17)
1.23) 1/20/2031
7/15/2021 1,950
2,300 1,950
2,300 1,821
2,308
TIKEHAU
AT&T INCCLO BV 1X DR REGS (( 104.83)
116.60) (( 2.35)
4.35) 8/4/2028
3/1/2029 735
1,800 857
1,791 767
2,073
TIKEHAU
AURIUM CLO CLO IIBVDAC1X ER2A REGS
AR 144A (( 98.08)
110.99) (( 4.60)
0.68) 8/4/2028
10/13/2029 6,965
900 8,123
1,047 6,774
997
TIKEHAU CLO II BV 2X DR REGS ( 103.55) ( 3.25) 12/7/2029 2,130 1,828 2,200
T-MOBILE USA INC ( 105.25) ( 5.38) 4/15/2027 517 557 538
T-MOBILE USA INC 144A ( 111.30) ( 3.88) 4/15/2030 1,610 1,663 1,778
TORO EUROPEAN CLO 2 2X DR REGS ( 103.44) ( 3.30) 10/15/2030 1,575 1,687 1,617
AVANGRID INC ( 107.96) ( 3.15) 12/1/2024 1,700 1,702 1,831
TORO EUROPEAN CLO 3 3X C1 REGS ( 109.88) ( 2.35) 4/15/2030 420 426 459
AVANGRID INC ( 115.77) ( 3.80) 6/1/2029 2,100 2,274 2,424
TRADE ME 2/20 TL ( 94.50) ( - ) 5/1/2026 891 829 842
TRALEE CLO IV LTD 4A A 144A ( 97.89) ( 1.46) 1/20/2030 495 469 482
TRANSDIGM
BANC OF AMERICA 2/20 COV-LITE
FUNDINGTLE A 1A1 (( 89.56)
93.95) (( - )
4.18) 5/30/2025
2/20/2036 499
142 451
125 447
132
TRANSDIGM
BANK OF AMERICA CORP TLF
2/20 COV-LITE (( 89.71)
99.67) (( - )
1.12) 12/9/2025
3/5/2024 626
900 552
894 561
896
TRANSDIGM
BANK OF AMERICA 2/20 COV-LITE
CORP TLG ( 90.17)
106.73) ( - )
3.30) 8/22/2024
1/11/2023 350
2,400 325
2,404 316
2,524
TRANSDIGM
BANK OF AMERICA INC CORP ( 87.27)
111.07) ( 5.50)
4.13) 11/15/2027
1/22/2024 1,052
2,200 934
2,306 911
2,403
TRAPEZA
BANKUNITED CDOTRUSTIX LTD 2005-1
9A A1 144A
1 1A1 ( 89.51)
94.56) ( 0.57)
0.77) 1/27/2040
9/25/2045 2,575
134 2,220
115 2,299
127
BARCLAYS BANK
TRAVELPORT 3/19PLC2ND LIEN ( 108.88)
28.40) ( 7.63)
- ) 11/21/2022
5/28/2027 2,100
414 2,289
401 2,269
117
BARCLAYS PLC3/19 COV-LITE TL
TRAVELPORT ( 101.54)
65.40) ( 2.56)
- ) 8/10/2021
5/29/2026 2,200
1,307 2,222
1,272 2,226
855
BARCLAYSTPI
TRIDENT PLC HOLDINGS INC 144A ( 103.78)
102.50) ( 3.68)
9.25) 1/10/2023
8/1/2024 2,700
361 2,700
317 2,755
356
BARCLAYS PLC
TRIMARAN CAVU 2019-1 1A D 144A ( 107.72)
96.25) ( 4.34)
4.42) 5/16/2024
7/20/2032 1,700
805 1,690
805 1,822
766
BAYER US FINANCE
TRIMARAN CAVU 2019-2II LLC 2A
144AC 144A ( 99.69)
99.48) ( 1.32)
4.99) 12/15/2023
11/26/2032 2,100
2,675 2,100
2,622 2,092
2,630
BEAR STEARNS
TRIUMPH GROUP ARM INCTRUST 1 12A5 ( 94.60)
75.13) ( 3.83)
7.75) 4/25/2034
8/15/2025 634
795 630
517 598
574
BEAR STEARNS
TRIUMPH GROUP ARM INCTRUST 10 15A1 ( 92.40)
85.50) ( 3.98)
5.25) 1/25/2035
6/1/2022 175
192 173
157 161
163
BEAR STEARNS
TRIUMPH GROUP ARM INCTRUST
144A 2 8 1A1 ( 92.04)
85.00) ( 4.00)
6.25) 1/25/2034
9/15/2024 3
267 2273 2223
BEAR
TRIVIUMSTEARNS
PACKAGINGARM TRUST 2 9 144A
FINANCE 2A1 ( 98.46)
100.88) ( 3.89)
5.50) 2/25/2034
8/15/2026 556
269 549
280 546
263
BNP PARIBAS
TRONAIR 9/16 TL SA 144A (( 105.85)
- ) (( 3.50)
- ) 3/1/2023
9/8/2023 1,700
- 1,696- 1,780
(4)
BOSTON
TSG ENTMT PROPERTIES
FIN LLC LP (( 104.52)
102.02) (( 2.90)
6.25) 3/15/2030
9/25/2031 2,300
4,800 2,299
4,800 2,384
4,892
TYMON PARKINC
BROADCOM CLO144ADAC 1X DR REGS (( 107.24)
105.73) (( 3.46)
4.60) 9/15/2026
1/21/2029 1,513
2,640 1,550
3,207 1,617
2,765
CARLYLE FINANCE
U.S.I. 11/19 INCREMENTAL LLC 144ATLB (( 120.82)
96.92) (( 5.65)
- ) 9/15/2048
12/2/2026 2,700
1,000 2,698
940 3,217
969
U.S.I. 8/17 INCREMENTAL TLB ( 94.70) ( - ) 5/16/2024 499 468 472
ULTIMATE SOFTWARE 3/19 ( 96.72) ( - ) 4/8/2026 499 478 482
ULTIMATE SOFTWARE 6/20 INCREME ( 98.64) ( - ) 5/4/2026 500 496 493
UNIFRAX 11/18 (USD) COV-LITE ( 82.34) ( - ) 12/31/2021 559 553 460
UNIQUE PUB FINANCE CO PLC REGS ( 125.39) ( 5.66) 6/30/2027 748 1,077 938
UNITED STATES STEEL CORP 144A ( 102.50) ( 12.00) 6/1/2025 2,050 1,941 2,079
79 2019–2020
were created REPORT
Core Fixed Income
US ANESTHESIA 6/17 COV-LITE TL ( 88.04) ( - ) 6/23/2024 499 435 439
ABBVIE
US FOODS INCINC
144A144A ($
( 104.01)
101.75) (( 3.45)
6.25) 3/15/2022
4/15/2025 3,600
1,150 ($ 3,744
1,150 ($ 3,708
1,158
ABBVIE INC 144A 4/20 COV-LITE T
US FOODSERVICE (( 104.80)
96.00) (( 3.25)
- ) 10/1/2022
4/21/2027 1,100
2,584 1,149
2,403 1,144
2,480
ABBVIE
VALVOLINEINC INC
144A144A (( 106.16)
98.50) (( 2.60)
4.25) 11/21/2024
2/15/2030 1,800
282 1,798
273 1,906
275
ABBVIE INC
VALVOLINE INC 144A144A (( 108.77)
100.50) (( 2.95)
4.38) 11/21/2026
8/15/2025 1,900
420 1,898
418 2,060
415
VARSITY BRANDS 11/17 COV-LITE ( 84.77) ( - ) 12/9/2024 1,176 1,165 997
VB-S1 ISSUER LLC 1A F 144A ( 102.19) ( 6.66) 6/15/2050 3,700 3,700 3,770
VECTOR GROUP LTD 144A ( 96.00) ( 6.13) 2/1/2025 260 243 243
VENTURE XIII CLO 13A SUB 144A ( 26.34) ( - ) 9/10/2029 4,500 3,025 1,185
VENTURE XXV CLO LT 25A D2 144A ( 90.00) ( 4.48) 4/20/2029 845 843 751
VENTURE XXV CLO LT 25X D1 REGS ( 95.79) ( 4.57) 4/20/2029 2,000 2,006 1,894
VERIFONE
AMEREN CORP 8/18 COV-LITE TL (( 83.04)
105.97) (( - )
2.50) 8/8/2025
9/15/2024 555
1,800 552
1,799 458
1,894
VERITAS 6/17
AMERICAN AIRLINES(USD) COV-LITE
2016-2 CLASSTL (( 92.20)
81.46) (( - )
3.65) 1/27/2023
12/15/2029 540
2,246 486
1,539 498
1,826
VERITAS US INC / VERITAS
AMERICAN HOMES 4 RENT LP 144A (( 89.50)
106.95) (( 10.50)
4.25) 2/1/2024
2/15/2028 1,402
1,600 1,273
1,591 1,193
1,685
VERTAFORE
AMERICAN HONDA 5/18 TLB FINANCE CORP ( 94.06)
99.78) ( - )
0.84) 6/4/2025
2/15/2022 847
3,800 782
3,800 797
3,787
VERTICAL US
AMERICAN TOWER NEWCO CORPINC 144A ( 100.00)
108.57) ( 5.25)
3.38) 7/15/2027
5/15/2024 1,130
2,200 1,130
2,193 1,130
2,379
VERUS
AMERICANSECURITIZATION
WATER CAPITAL 1 A2CORP
144A ( 100.33)
114.54) ( 2.64)
3.45) 1/25/2060
6/1/2029 1,425
500 1,425
499 1,426
571
VIACOMCBS
ANHEUSER-BUSCH INC INBEV WORLDWIDE ( 111.38)
113.91) ( 4.95)
4.35) 5/19/2050
6/1/2040 890
1,700 845
1,699 986
1,918
VIACOMCBS
AT&T INC INC ( 118.09)
100.51) ( 4.95)
1.10) 1/15/2031
6/1/2021 1,769
2,000 1,894
2,000 2,067
2,008
VIASAT
AT&T INC INC 144A ( 95.75)
100.82) ( 5.63)
1.23) 9/15/2025
7/15/2021 920
2,300 909
2,300 866
2,308
VIRGIN
AT&T INCMEDIA FINANCE PLC 144A ( 97.77)
116.60) ( 5.00)
4.35) 7/15/2030
3/1/2029 2,100
1,800 2,105
1,791 2,047
2,073
VIRGIN
AURIUMMEDIACLO II SECURED
DAC 2A AR FINA
144A144A ( 100.13)
110.99) ( 4.50)
0.68) 8/15/2030
10/13/2029 950
900 950
1,047 951
997
VIRGIN
AUTO ABS 2012-2 SRL 2 A REGS144A
MEDIA SECURED FINA (( 104.50)
- ) (( 5.50)
2.80) 5/15/2029
4/27/2025 636
- 679- 660-
VIRGIN
AUTO ABSMEDIA VENDOR FINAN
COMPARTIM 12-2 A 144A
REGS (( 98.72)
- ) (( 5.00)
2.80) 7/15/2028
4/27/2025 550
- 550- 542-
VISTRA OPERATIONS
AVALONBAY COMMUNITIES CO LLC INC
144A (( 101.13)
111.54) (( 5.00)
3.45) 7/31/2027
6/1/2025 246
3,200 258
3,194 244
3,560
VOYA CLO 2014-3
AVANGRID INC LT 3A A2A 144A (( 99.09)
107.96) (( 2.14)
3.15) 7/25/2026
12/1/2024 2,000
1,700 1,957
1,702 1,971
1,831
VOYA CLO 2015-2
AVANGRID INC LTD 2A AR 144A (( 98.25)
115.77) (( 1.23)
3.80) 7/23/2027
6/1/2029 1,000
2,100 972
2,274 979
2,424
VULCAN MATERIALS
BANC OF AMERICA ALTERNA CO 7 2CB1 (( 108.93)
96.97) (( 3.50)
6.00) 6/1/2030
8/25/2035 550
1,840 548
1,722 597
1,775
WACHOVIA ASSET
BANC OF AMERICA FUNDING SEC HE2A A7144A
1A1 (( 84.96)
82.03) (( 0.31)
0.62) 7/25/2037
9/25/2036 1,470
2,579 1,400
1,730 1,248
2,115
WACHOVIA ASSET SECU
BANC OF AMERICA FUNDINGHE1 AA144A
1A1 (( 82.56)
93.95) (( 0.32)
4.18) 7/25/2037
2/20/2036 904
142 786
125 746
132
WADDELL + REED FINL
BANK OF AMERICA CORP INC (( 100.47)
99.67) (( 5.75)
1.12) 1/13/2021
3/5/2024 900
900 896
894 878
896
WALGREENS
BANK OF AMERICA BOOTSCORP ALLIANCE INC (( 103.31)
106.73) (( 3.20)
3.30) 4/15/2030
1/11/2023 1,100
2,400 1,100
2,404 1,129
2,524
WAMU ASSET-BACKED
BANK OF AMERICA CORP CERT HE2 2A2 (( 46.71)
111.07) (( 0.36)
4.13) 4/25/2037
1/22/2024 1,645
2,200 889
2,306 768
2,403
WARRIOR MET COAL
BANKUNITED TRUST 2005-1 INC 144A
1 1A1 (( 97.50)
94.56) (( 8.00)
0.77) 11/1/2024
9/25/2045 780
134 686
115 750
127
WASTE PRO USA
BARCLAYS BANK PLC INC 144A (( 95.45)
108.88) (( 5.50)
7.63) 2/15/2026
11/21/2022 250
2,100 230
2,289 233
2,269
WELLFLEET
BARCLAYS PLC CLO 2016- 1A DR 144A (( 88.11)
101.54) (( 3.17)
2.56) 4/20/2028
8/10/2021 1,085
2,200 1,078
2,222 947
2,226
WELLFLEET
BARCLAYS PLC CLO 2016 2A A2R 144A (( 96.11)
103.78) (( 1.85)
3.68) 10/20/2028
1/10/2023 2,000
2,700 2,001
2,700 1,911
2,755
WELLFLEET
BARCLAYS PLC CLO 2017-2 2A C 144A (( 90.09)
107.72) (( 3.67)
4.34) 10/20/2029
5/16/2024 2,605
1,700 2,546
1,690 2,323
1,822
WELLFLEET CLO 2018-1
BAYER US FINANCE II LLC1A144A
D 144A (( 87.90)
99.69) (( 3.17)
1.32) 7/17/2031
12/15/2023 250
2,100 238
2,100 218
2,092
WELLS FARGO & CO
BEAR STEARNS ARM TRUST 1 12A5 (( 104.31)
94.60) (( 3.07)
3.83) 4/30/2041
4/25/2034 3,200
634 3,200
630 3,321
598
WESCO DISTRIBUTION
BEAR STEARNS ARM TRUST INC 144A
10 15A1 (( 105.31)
92.40) (( 7.13)
3.98) 6/15/2025
1/25/2035 219
175 219
173 230
161
WESCO DISTRIBUTION
BEAR STEARNS ARM TRUST INC 144A
2 8 1A1 (( 105.75)
92.04) (( 7.25)
4.00) 6/15/2028
1/25/2034 226
3 2243 2383
WEST STEARNS
BEAR CORP 3/18 ARM INCREMENTAL
TRUST 2 9 2A1 (( 83.46)
98.46) (( - )
3.89) 10/10/2024
2/25/2034 1,089
556 1,084
549 908
546
WEX PARIBAS
BNP INC 144ASA 144A (( 99.29)
105.85) (( 4.75)
3.50) 2/1/2023
3/1/2023 100
1,700 97
1,696 97
1,780
WEYERHAEUSER
BOSTON PROPERTIES CO LP (( 113.17)
104.52) (( 4.00)
2.90) 4/15/2030
3/15/2030 119
2,300 126
2,299 133
2,384
WHIRLPOOL CORP
BROADCOM INC 144A (( 113.85)
107.24) (( 4.60)
3.46) 5/15/2050
9/15/2026 440
1,513 437
1,550 498
1,617
WHITEBOX
CARLYLE CLO I LTD
FINANCE LLC1A C 144A
144A (( 98.14)
120.82) (( 4.61)
5.65) 7/24/2032
9/15/2048 4,220
2,700 4,175
2,698 4,099
3,217
WHITEHORSE IX LTD
C-BASS 2007-CB5 TRUST CB5 9A C 144AA2 (( 98.88)
74.41) (( 2.97)
0.34) 7/17/2026
4/25/2037 1,095
4,432 1,031
2,337 1,074
3,297
WHITEHORSE
CCP_CDS. SP ULVIIICITIGROUP
LTD 1A CRINC. 144A (( 96.97)
0.29) (( 2.64)
1.00) 5/1/2026
12/20/2020 2,865
5,500 2,636
104 2,765
14
WIDEORBIT
CCP_CDS. SPINC. UL SIMON PROPERTY ( 87.50)
(0.51) ( - )
1.00) 7/8/2025
6/20/2022 77
3,300 67
11 67
(18)
WIDEORBIT INC.
CCP_CDS._SP UL CITIGROUP INC. ( 100.00)
- ) ( - ) 7/8/2025
12/20/2020 923
(5,500) 923
(0) 923-
WILLIAMS SCOTSMAN
CCP_CDS._SP UL SIMON INTERNA
PROPERTY 144A (( 102.65)
- ) (( 6.88)
- ) 8/15/2023
6/20/2022 150
(3,300) 138
(0) 150-
WIMC 2011-1
CCP_IRS. DEBT 10% 6M CM
P JPY-LIBOR-BBA ( 87.60)
(0.03) ( - )
0.04) 12/15/2022
3/10/2038 4,618
61,000 3,7890 4,045
(17)
WMG ACQUISITION CORP 144A ( 101.01) ( 3.88) 7/15/2030 380 380 384
RETIREMENT
Core Fixed Income
WOLVERINE WORLD WIDE INC 144A ( 104.75) ( 6.38) 5/15/2025 1,225 1,225 1,272
ABBVIE
WR GRACEINC&144A
CO-CONN 144A ($
( 104.01)
101.30) ( 3.45)
4.88) 3/15/2022
6/15/2027 3,600
1,250 ($ 3,744
1,250 ($ 3,708
1,265
ABBVIE
WYNDHAM INC 144A
DESTINATIONS INC ( 104.80)
96.50) ( 3.25)
5.40) 10/1/2022
4/1/2024 1,100
475 1,149
492 1,144
452
ABBVIE
WYNN LASINCVEGAS
144A LLC / WYNN 144A ( 106.16)
86.45) ( 2.60)
5.25) 11/21/2024
5/15/2027 1,800
402 1,798
370 1,906
345
ABBVIELAS
WYNN INCVEGAS
144A LLC / WYNN 144A ( 108.77)
91.50) ( 2.95)
5.50) 11/21/2026
3/1/2025 1,900
550 1,898
523 2,060
493
ACCREDITED
WYNN MACAU MORTGAGE
LTD 144A LOAN 4 A2D ( 96.16)
97.00) ( 0.87)
5.13) 1/25/2035
12/15/2029 1,487
234 1,495
212 1,430
226
ACE SECURITIES
XPLORNET CORP HO TLB
5/20 COV-LITE HE1 A2A (( 72.89)
95.25) (( 0.26)
- ) 1/25/2037
6/10/2027 2,708
2,100 1,299
1,995 1,974
2,000
ADAMS MILL CLO LTD
XPO LOGISTICS INC 144A 1A A1R 144A (( 99.72)
104.76) (( 1.38)
6.75) 7/15/2026
8/15/2024 850
776 850
815 843
793
AIA GROUP LTD REGS
YAK MAT 6/18 2ND LIEN TLB (( 103.96)
70.00) (( 3.13)
- ) 3/13/2023
7/10/2026 2,000
200 2,034
186 2,061
140
ALLY MASTER
YORK CLO 1 LTDOWNER
1A DRRTRUST
144A3 A (( 99.99)
94.08) (( 0.50)
3.27) 7/15/2022
10/22/2029 1,400
690 1,400
663 1,400
644
YUM! BRANDS INC 144A 46CB A9
ALTERNATIVE LOAN TRUST (( 85.56)
107.88) (( 5.50)
7.75) 10/25/2035
4/1/2025 2,328
100 2,021
100 1,981
106
ZAYO 2/20 (USD) COV-LITE TL ( 94.69) ( - ) 2/19/2027 499 498 472
AMEREN CORP ( 105.97) ( 2.50) 9/15/2024 1,800 1,799 1,894
ZIMMER BIOMET HOLDINGS INC ( 108.09) ( 3.55) 3/20/2030 800 823 857
High Yield Bonds / Bank Loans 1,438,156 ($ 1,353,982 ($ 1,387,798
High Yield Bonds / Bank Loans Receivable 7,334
AMERICAN HONDA
Total High Yield FINANCE
Bonds / BankCORP
Loans ( 99.78) ( 0.84) 2/15/2022 3,800 3,800 ($ 1,395,132
3,787
Total Fixed Income Investments ($ 3,487,520
AT&T INC ( 100.51) ( 1.10) 6/1/2021 2,000 2,000 2,008
AT&T INC ( 100.82) ( 1.23) 7/15/2021 2,300 2,300 2,308
AT&T INC ( 116.60) ( 4.35) 3/1/2029 1,800 1,791 2,073
AVANGRID INC ( 107.96) ( 3.15) 12/1/2024 1,700 1,702 1,831
AVANGRID INC ( 115.77) ( 3.80) 6/1/2029 2,100 2,274 2,424
BARCLAYS PLC ( 101.54) ( 2.56) 8/10/2021 2,200 2,222 2,226
BARCLAYS PLC ( 103.78) ( 3.68) 1/10/2023 2,700 2,700 2,755
BARCLAYS PLC ( 107.72) ( 4.34) 5/16/2024 1,700 1,690 1,822
BNP PARIBAS SA 144A ( 105.85) ( 3.50) 3/1/2023 1,700 1,696 1,780
BROADCOM INC 144A ( 107.24) ( 3.46) 9/15/2026 1,513 1,550 1,617
81 2019–2020
were created REPORT
Appendix E: Equity Investments
Issuer Price Shares Cost Market Value
Developed International Equity
BLACKROCK MSCI CANADA SMALL ($ 12.52) 4,349 ($ 54,091 ($ 54,449
BLACKROCK MSCI EAFE SMALL CAP ( 15.56) 38,364 604,749 596,972
Developed International Equity 42,713 ($ 658,840 ($ 651,420
Developed International Equity Receivable -
Total Developed International Equity ($ 651,420

Emerging Markets Equity
BLACKROCK EME SMALL CAP ($ 11.31) 14,598 ($ 175,089 ($ 165,079
LSV EMERGING MARKETS EQUITY ( 254.81) 790 334,078 201,358
MSCI EMF (EMERGING MKTS FREE) ( 49.38) 15,223 735,781 751,779
NUMERIC EME SMALL CAP ( 861.00) 146 141,148 125,566
STATE STREET EME ( 27.46) 27,379 710,000 751,750
Emerging Markets Equity 58,137 ($ 2,096,096 ($ 1,995,532
Emerging Markets Equity Receivable -
Total Emerging Markets Equity ($ 1,995,532

Equity Options Strategy
AMERICAN EXPRESS CO ($ 103.56) 350 ($ 355 ($ 359
AMERICAN EXPRESS CREDIT AC 1 A ( 104.19) 4,760 4,896 4,953
AMERICAN HONDA FINANCE CO 144A ( 100.69) 4,065 4,281 4,049
AMERICAN HONDA FINANCE CORP ( 99.68) 7,000 7,014 6,967
AQR STYLE PREMIA ( 1.54) 30,405 30,391 46,932
AQR VOLATILITY RISK ( 0.65) 57,361 57,530 37,548
BANK OF MONTREAL/CHICAGO IL ( 100.07) 1,500 1,503 1,500
BARCLAYS BANK PLC ( 100.07) 3,660 3,660 3,659
BMW US CAPITAL LLC 144A ( 99.70) 9,074 9,076 9,011
CATERPILLAR FINANCIAL SERVICES ( 99.97) 1,600 1,602 1,598
CITIBANK CREDIT CARD ISS A8 A8 ( 100.14) 2,000 2,000 1,988
CITIGROUP INC ( 100.78) 2,358 2,390 2,374
COOPERATIEVE RABOBANK UA/NY ( 100.14) 7,000 7,000 7,008
CREDIT AGRICOLE CORPORATE AND ( 99.99) 8,000 8,000 7,984
CREDIT SUISSE AG/NEW YORK NY ( 100.36) 7,700 7,857 7,591
DAIMLER FINANCE NORTH AME REGS ( 103.31) 5,650 5,784 5,768
FORD CREDIT AUTO OWNER T A A2A ( 100.67) 3,330 3,330 3,348
FORD CREDIT AUTO OWNER T B A2A ( 100.13) 453 453 453
HONDA AUTO RECEIVABLES 20 2 A2 ( 100.75) 3,922 3,922 3,949
HONDA AUTO RECEIVABLES 20 4 A2 ( 100.97) 5,900 5,900 5,953
HONEYWELL INTERNATIONAL INC ( 101.90) 3,350 3,219 3,403
HYUNDAI AUTO RECEIVABLES A A3 ( 100.08) 450 445 450
HYUNDAI AUTO RECEIVABLES B A2 ( 100.11) 229 229 229
HYUNDAI AUTO RECEIVABLES B A2 ( 100.71) 1,462 1,462 1,471
HYUNDAI AUTO RECEIVABLES B A3 ( 102.01) 2,500 2,500 2,547
IBM CREDIT LLC ( 100.09) 7,100 7,096 7,098
INTER-AMERICAN DEVELOPMENT BAN ( 99.69) 5,400 5,400 5,382
INTERNATIONAL BANK FOR RECONST ( 99.92) 4,200 4,200 4,190
JOHN DEERE CAPITAL CORP ( 100.04) 2,600 2,600 2,592
JOHN DEERE OWNER TRUST 20 B A2 ( 100.61) 3,556 3,556 3,575
JOHNSON & JOHNSON ( 103.07) 4,000 3,989 4,093
KREDITANSTALT FUER WIEDERAUFBA ( 100.64) 1,300 1,343 1,299
Developed
MERCK & CO International
INC Equity ( 106.55) 1,210 1,249 1,285
BLACKROCKBANK
NATIONAL MSCIOF CANADA
CANADA SMALL ($
( 12.52)
100.02) 4,349
3,630 ($ 54,091
3,630 ($ 54,449
3,628
BLACKROCK
NESTLE HOLDINGSMSCI EAFE SMALL CAP
INC REGS ( 15.56)
100.81) 38,364
3,884 604,749
3,814 596,972
3,893
Developed
NISSAN AUTO International
RECEIVABLES Equity
2 B A2 ( 100.74) 42,713
2,204 ($ 658,840
2,204 ($ 651,420
2,218
Developed
NISSAN AUTO International
RECEIVABLES Equity
C A2AReceivable ( 100.39) 1,522 1,522 -
1,526
Total
NISSAN Developed International
AUTO RECEIVABLES Equity
C A2A ( 100.89) 2,079 2,078 ($ 651,420
2,095
NORDEA BANK ABP/NEW YORK NY ( 100.14) 10,050 10,050 10,051
Issuer
PACCAR FINANCIAL CORP ( Price103.15) Shares
1,000 Cost
999 Market Value
1,026
EmergingFINANCIAL
PACCAR Markets EquityCORP ( 105.30) 5,600 5,588 5,851
BLACKROCK
PFIZER INC EME SMALL CAP ($
( 11.31)
101.57) 14,598
2,720 ($ 175,089
2,657 ($ 165,079
2,758
LSV EMERGING
RECKITT BENCKISERMARKETS
TREASUREQUITY
144A ( 254.81)
99.85) 790
4,360 334,078
4,360 201,358
4,352
MSCI
RECKITTEMF (EMERGING
BENCKISER MKTS FREE)
TREASUR 144A ( 49.38)
103.03) 15,223
2,455 735,781
2,453 751,779
2,528
NUMERIC EME SMALL
SKANDINAVISKA CAP BA 144A
ENSKILDA ( 861.00)
100.28) 146
7,700 141,148
7,700 125,566
7,713
STATE STREET EME CORP ( 27.46)
100.28) 27,379
702 710,000
706 751,750
697
Emerging Markets
STATE STREET CORPEquity ( 102.73) 58,137
4,412 ($ 2,096,096
4,551 ($ 1,995,532
4,471
Emerging
SUMITOMO Markets
MITSUIEquity
BANKINGReceivable
CORP/N ( 100.11) 12,375 12,363 -
12,347
Total
SVENSKAEmerging Markets Equity
HANDELSBANKEN AB ( 100.79) 2,215 2,254 ($ 1,995,532
2,232
TORONTO-DOMINION BANK/THE ( 99.36) 1,000 1,000 991
TORONTO-DOMINION
Issuer BANK/THE ( Price100.15) 2,300
Shares 2,300
Cost 2,303
Market Value
TORONTO-DOMINION
Equity Options Strategy BANK/THE ( 100.23) 10,000 10,000 10,005
TOTAL CAPITAL
AMERICAN INTERNATIONAL
EXPRESS CO SA (
($ 101.66)
103.56) 6,300
350 ($ 6,300
355 ($ 6,339
359
TOYOTA AUTO
AMERICAN RECEIVABLES
EXPRESS CREDIT AC2 D1A2
A ( 100.34)
104.19) 399
4,760 399
4,896 400
4,953
TOYOTA
AMERICAN AUTOHONDARECEIVABLES
FINANCE 2CO D 144A
A2 ( 100.86)
100.69) 3,708
4,065 3,708
4,281 3,737
4,049
TOYOTA AUTO
AMERICAN HONDARECEIVABLES
FINANCE BCORPA2A ( 100.63)
99.68) 3,241
7,000 3,241
7,014 3,258
6,967
TOYOTA
AQR MOTOR
STYLE PREMIA CREDIT CORP ( 98.88)
1.54) 1,900
30,405 1,900
30,391 1,871
46,932
TOYOTA MOTOR RISK
AQR VOLATILITY CREDIT CORP ( 99.97)
0.65) 3,000
57,361 3,000
57,530 2,999
37,548
TOYOTA
BANK OFMOTOR CREDIT CORP IL
MONTREAL/CHICAGO ( 100.01)
100.07) 9,650
1,500 9,650
1,503 9,618
1,500
UNILEVER
BARCLAYS CAPITAL
BANK PLCCORP ( 102.96)
100.07) 1,435
3,660 1,423
3,660 1,473
3,659
UNILEVER
BMW CAPITALLLC
US CAPITAL CORP144A ( 104.33)
99.70) 2,500
9,074 2,488
9,076 2,585
9,011
WELLS FARGOFINANCIAL
CATERPILLAR BANK NA SERVICES ( 100.36)
99.97) 7,060
1,600 7,060
1,602 7,064
1,598
WESTPAC BANKING
CATERPILLAR FINANCIALCORPSERVICES
144A ( 100.04)
100.05) 3,500
1,425 3,500
1,429 3,499
1,425
Equity Options
CATERPILLAR Strategy SERVICES
FINANCIAL ( 101.97) 344,412
5,115 ($ 345,131
5,011 ($ 342,310
5,191
Equity
CITIBANKOptions
CREDIT Strategy
CARD ISSReceivable
A8 A8 ( 100.14) 2,000 2,000 904
1,988
Total EquityINC
CITIGROUP Options Strategy ( 100.78) 2,358 2,390 ($ 343,213
2,374
COOPERATIEVE RABOBANK UA/NY ( 100.14) 7,000 7,000 7,008
Issuer
CREDIT AGRICOLE CORPORATE AND ( Price 99.99) Shares
8,000 Cost
8,000 Market Value
7,984
Public
CREDITGlobal
SUISSEEquity
AG/NEW YORK NY ( 100.36) 7,700 7,857 7,591
DAIMLER FINANCE
BLACKROCK NORTHINDEX
MSCI WORLD AME REGS
FD (($ 103.31)
33.10) 5,650
162,152 ($ 5,784
5,269,688 ($ 5,768
5,367,087
FORD CREDIT
DAILY MSCI USA AUTO
INDX OWNER
NL FUNDT A A2A ( 100.67)
44.53) 3,330
32,586 3,330
1,223,369 3,348
1,451,044
FORD CREDIT
MSCI CAD INDX AUTO OWNER
NL FUND T B A2A
(CA-12) ( 100.13)
93.61) 453
742 453
66,823 453
69,502
HONDA
MSCI EAFEAUTOINDX RECEIVABLES
NL FD (FD12) 20 2 A2 ( 100.75)
94.47) 3,922
7,394 3,922
651,738 3,949
698,485
Public
HONDAGlobal
AUTOEquity
RECEIVABLES 20 4 A2 ( 100.97) 202,874
5,900 ($ 7,211,618
5,900 ($ 7,586,119
5,953
Public GlobalINTERNATIONAL
HONEYWELL Equity Receivable INC ( 101.90) 3,350 3,219 -
3,403
Total
HYUNDAIPublic
AUTOGlobal Equity
RECEIVABLES A A3 ( 100.08) 450 445 ($ 7,586,119
450
HYUNDAI AUTO RECEIVABLES B A2 ( 100.11) 229 229 229
HYUNDAI AUTO RECEIVABLES B A2
Issuer ( Price100.71) 1,462
Shares 1,462
Cost 1,471
Market Value
HYUNDAI
US Equity AUTO RECEIVABLES B A3 ( 102.01) 2,500 2,500 2,547
IBM CREDIT LLC
1-800-FLOWERS.COM INC (($ 100.09)
20.02) 7,100
7 ($ 7,096
150 ($ 7,098
141
INTER-AMERICAN
1LIFE HEALTHCAREDEVELOPMENT
INC BAN ( 99.69)
36.32) 5,400
7 5,400
221 5,382
246
INTERNATIONAL
1ST SOURCE CORP BANK FOR RECONST ( 99.92)
35.58) 4,200
6 4,200
186 4,190
227
JOHN
2U INCDEERE CAPITAL CORP ( 100.04)
37.96) 2,600
17 2,600
563 2,592
650
JOHN
3D DEERE CORP
SYSTEMS CAPITAL CORP ( 100.42)
6.99) 9,390
32 9,429
224 9,425
225
JOHNINC
8X8 DEERE CAPITAL CORP ( 101.01)
16.00) 2,135
26 2,134
397 2,133
420
JOHNNETWORKS
A10 DEERE OWNER INC TRUST 20 B A2 ( 100.61)
6.81) 3,556
13 3,556
80 3,575
87
JOHNSON
AAON INC & JOHNSON ( 103.07)
54.29) 4,000
11 3,989
526 4,093
605
KREDITANSTALT
AAR CORP FUER WIEDERAUFBA ( 100.64)
20.67) 1,300
9 1,343
143 1,299
188
AARON'S INC ( 45.40) 18 548 813
1Appendices A-J were created using data as of June 30, 2020 provided by the Custodian. All figures are in U.S. Dollars. 2Amounts
Developed International
ABERCROMBIE & FITCH CO Equity ( 10.64) 18 187 190
BLACKROCK
ABM INDUSTRIESMSCI INC CANADA SMALL ($
( 12.52)
36.30) 4,349
18 ($ 54,091
539 ($ 54,449
654
BLACKROCK
ACACIA MSCI EAFE SMALL
COMMUNICATIONS INCCAP ( 15.56)
67.19) 38,364
10 604,749
686 596,972
677
ACADIA HEALTHCARE COEquity
INC ( 25.12) 42,713
21 ($ 658,840
523 ($ 651,420
540
Developed
ACADIA International Equity
PHARMACEUTICALS INC Receivable ( 48.47) 31 1,448 -
1,521
Total
ACADIA Developed
REALTY TRUST International Equity ( 12.98) 22 233 ($ 651,420
290
ACCEL ENTERTAINMENT INC ( 9.63) 11 109 104
Issuer
ACCELERATE DIAGNOSTICS INC ( Price 15.16) Shares
8 Cost
86 Market Value
126
Emerging Markets
ACCELERON PHARMA Equity
INC ( 95.27) 12 1,212 1,161
BLACKROCK
ACCO BRANDS EMECORPSMALL CAP ($
( 11.31)
7.10) 14,598
25 ($ 175,089
137 ($ 165,079
178
LSV WORLDWIDE
ACI EMERGING MARKETS INC EQUITY ( 254.81)
26.99) 790
31 334,078
741 201,358
835
MSCI RESEARCH
ACM EMF (EMERGING INC MKTS FREE) ( 49.38)
62.36) 15,223
3 735,781
192 751,779
200
NUMERIC
ACUITY EME SMALL
BRANDS INC CAP ( 861.00)
95.74) 146
11 141,148
919 125,566
1,015
STATE STREET
ACUSHNET EME CORP
HOLDINGS ( 27.46)
34.79) 27,379
10 710,000
283 751,750
357
Emerging
ADAPTIVE Markets Equity
BIOTECHNOLOGIES CORP ( 48.38) 58,137
20 ($ 2,096,096
801 ($ 1,995,532
987
Emerging
ADDUS Markets Equity
HOMECARE CORP Receivable ( 92.56) 4 329 -
371
Total Emerging
ADESTO TECHNOLOGIESMarkets CORP Equity ( 12.54) 6 75 ($ 1,995,532
78
ADIENT PLC ( 16.42) 24 380 401
ADT INC
Issuer ( Price 7.98) 41
Shares 240
Cost 325
Market Value
ADTALEM GLOBAL
Equity Options EDUCATION INC
Strategy ( 31.15) 14 456 448
ADTRAN
AMERICAN INCEXPRESS CO (
($ 10.93)
103.56) 13
350 ($ 138
355 ($ 145
359
ADVANCED DISPOSALCREDIT
AMERICAN EXPRESS SERVICESAC 1INC
A ( 30.17)
104.19) 20
4,760 665
4,896 618
4,953
ADVANCED
AMERICAN HONDA DRAINAGE SYSTEMS
FINANCE INC
CO 144A ( 49.40)
100.69) 14
4,065 540
4,281 685
4,049
ADVANCED
AMERICAN HONDA ENERGYFINANCEINDUSTRIES CORPINC ( 67.79)
99.68) 10
7,000 618
7,014 703
6,967
ADVANSIX
AQR STYLE INC PREMIA ( 11.74)
1.54) 8
30,405 80
30,391 90
46,932
ADVERUM
AQR VOLATILITYBIOTECHNOLOGIES
RISK INC ( 20.88)
0.65) 16
57,361 286
57,530 339
37,548
AECOM
BANK OF MONTREAL/CHICAGO IL ( 37.58)
100.07) 43
1,500 1,303
1,503 1,603
1,500
AEGION CORP
BARCLAYS BANK PLC ( 15.87)
100.07) 8
3,660 101
3,660 129
3,659
AERIE
BMW US PHARMACEUTICALS
CAPITAL LLC 144AINC ( 14.76)
99.70) 10
9,074 148
9,076 149
9,011
AEROJET ROCKETDYNE
CATERPILLAR FINANCIALHOLDINGS
SERVICES IN ( 39.64)
99.97) 18
1,600 719
1,602 716
1,598
AEROVIRONMENT
CATERPILLAR FINANCIAL INC SERVICES ( 79.63)
100.05) 6
1,425 379
1,429 492
1,425
AFFILIATED
CATERPILLAR MANAGERS
FINANCIALGROUP SERVICESINC ( 74.56)
101.97) 13
5,115 779
5,011 958
5,191
AGCO CORP
CITIBANK CREDIT CARD ISS A8 A8 ( 55.46)
100.14) 17
2,000 796
2,000 955
1,988
AGENUS
CITIGROUP INCINC ( 3.93)
100.78) 30
2,358 81
2,390 116
2,374
AGILYSYS
COOPERATIEVEINC RABOBANK UA/NY ( 17.94)
100.14) 6
7,000 92
7,000 99
7,008
AGIOS PHARMACEUTICALS
CREDIT AGRICOLE CORPORATE INC AND ( 53.48)
99.99) 17
8,000 765
8,000 889
7,984
AGREE
CREDIT REALTY CORP
SUISSE AG/NEW YORK NY ( 65.71)
100.36) 12
7,700 716
7,857 790
7,591
AIMMUNE THERAPEUTICS
DAIMLER FINANCE NORTH INC AME REGS ( 16.71)
103.31) 11
5,650 177
5,784 187
5,768
AIR
FORDLEASE
CREDITCORP AUTO OWNER T A A2A ( 29.29)
100.67) 29
3,330 646
3,330 842
3,348
AIR
FORDTRANSPORT
CREDIT AUTO SERVICES
OWNER GROUP I
T B A2A ( 22.27)
100.13) 4
453 81
453 90
453
AKCEA THERAPEUTICS
HONDA AUTO RECEIVABLES INC 20 2 A2 ( 13.70)
100.75) 5
3,922 78
3,922 69
3,949
AKEBIA THERAPEUTICS
HONDA AUTO RECEIVABLES INC 20 4 A2 ( 13.58)
100.97) 31
5,900 364
5,900 416
5,953
AKERO THERAPEUTICS
HONEYWELL INTERNATIONAL INC INC ( 24.92)
101.90) 3
3,350 66
3,219 64
3,403
ALAMO GROUP
HYUNDAI AUTO INC RECEIVABLES A A3 ( 102.64)
100.08) 3
450 242
445 282
450
ALARM.COM
HYUNDAI AUTO HOLDINGS
RECEIVABLES INC B A2 ( 64.81)
100.11) 12
229 585
229 765
229
ALASKA
HYUNDAIAIR GROUP
AUTO INC
RECEIVABLES B A2 ( 36.26)
100.71) 8
1,462 281
1,462 297
1,471
ALBANY
HYUNDAIINTERNATIONAL
AUTO RECEIVABLES CORPB A3 ( 58.71)
102.01) 8
2,500 411
2,500 486
2,547
ALCOA CORPLLC
IBM CREDIT ( 11.24)
100.09) 50
7,100 361
7,096 562
7,098
ALECTOR INC
INTER-AMERICAN DEVELOPMENT BAN ( 24.44)
99.69) 12
5,400 379
5,400 288
5,382
ALEXANDER
INTERNATIONAL & BALDWIN
BANK FOR INCRECONST ( 12.19)
99.92) 19
4,200 194
4,200 232
4,190
ALEXANDER'S
JOHN DEERE CAPITALINC CORP ( 240.90)
100.04) 1
2,600 140
2,600 145
2,592
ALKERMES
JOHN DEERE PLCCAPITAL CORP ( 19.41)
100.42) 43
9,390 666
9,429 826
9,425
ALLAKOS
JOHN DEERE INC CAPITAL CORP ( 71.86)
101.01) 7
2,135 433
2,134 472
2,133
ALLEGHENY
JOHN DEERETECHNOLOGIES
OWNER TRUST INC 20 B A2 ( 10.19)
100.61) 34
3,556 232
3,556 346
3,575
ALLEGIANCE BANCSHARES INC
JOHNSON & JOHNSON ( 25.39)
103.07) 5
4,000 116
3,989 125
4,093
ALLEGIANT
KREDITANSTALT TRAVELFUER COWIEDERAUFBA ( 109.21)
100.64) 1
1,300 97
1,343 129
1,299
ALLETE INC ( 54.61) 14 726 761
DevelopedDATA
ALLIANCE International
SYSTEMS Equity CORP ( 45.12) 12 565 551
BLACKROCK
ALLISON MSCI CANADA
TRANSMISSION SMALL
HOLDINGS ($
( 12.52)
36.78) 4,349
31 ($ 54,091
1,052 ($ 54,449
1,155
BLACKROCK MSCI EAFE SMALL
ALLOGENE THERAPEUTICS INC CAP ( 15.56)
42.82) 38,364
15 604,749
613 596,972
649
Developed
ALLSCRIPTSInternational
HEALTHCAREEquity SOLUTION ( 6.77) 42,713
44 ($ 658,840
252 ($ 651,420
298
Developed
ALTAIR International
ENGINEERING INCEquity Receivable ( 39.75) 10 337 -
411
Total Developed
ALTERYX INC International Equity ( 164.28) 14 1,748 ($ 651,420
2,309
ALTRA INDUSTRIAL MOTION CORP ( 31.86) 17 440 556
Issuer PHARMACEUTICALS INC
AMAG ( Price 7.65) Shares
7 Cost
51 Market Value
53
Emerging
AMALGAMATEDMarkets Equity
BANK ( 12.55) 6 55 72
BLACKROCK
AMBAC FINANCIALEME SMALL GROUP CAP INC ($
( 11.31)
14.32) 14,598
13 ($ 175,089
159 ($ 165,079
182
LSV EMERGING
AMBARELLA INCMARKETS EQUITY ( 254.81)
45.80) 790
9 334,078
473 201,358
418
MSCI ENTERTAINMENT
AMC EMF (EMERGING MKTS HOLDINGS FREE)INC ( 49.38)
4.29) 15,223
15 735,781
68 751,779
63
NUMERIC EME SMALL
AMC NETWORKS INC CAP ( 861.00)
23.39) 146
11 141,148
296 125,566
266
STATE STREET
AMEDISYS INC EME ( 27.46)
198.54) 27,379
9 710,000
1,570 751,750
1,724
Emerging
AMERANTMarkets
BANCORP Equity
INC ( 15.04) 58,137
6 ($ 2,096,096
83 ($ 1,995,532
96
Emerging
AMERESCOMarkets
INC Equity Receivable ( 27.78) 6 102 -
158
Total Emerging
AMERICAN Markets
AIRLINES GROUP EquityINC ( 13.07) 34 369 ($ 1,995,532
439
AMERICAN ASSETS TRUST INC ( 27.84) 14 335 386
AMERICAN
Issuer AXLE & MANUFACTURING ( Price 7.60) 30
Shares 157
Cost 232
Market Value
AMERICAN CAMPUS
Equity Options COMMUNITIES IN
Strategy ( 34.96) 37 1,006 1,291
EAGLE OUTFITTERS
AMERICAN EXPRESS CO INC (
($ 10.90)
103.56) 43
350 ($ 334
355 ($ 467
359
AMERICAN EQUITY
EXPRESSINVESTMENT
CREDIT AC 1 LIF A ( 24.71)
104.19) 24
4,760 464
4,896 581
4,953
AMERICAN FINANCE
HONDA FINANCE TRUST INC CO 144A ( 7.94)
100.69) 29
4,065 190
4,281 233
4,049
AMERICAN HOMES
HONDA 4FINANCERENT CORP ( 26.90)
99.68) 72
7,000 1,685
7,014 1,942
6,967
AMERICAN
AQR NATIONAL INSURANCE CO
STYLE PREMIA ( 72.07)
1.54) 2
30,405 161
30,391 172
46,932
AMERICAN PUBLIC
AQR VOLATILITY EDUCATION INC
RISK ( 29.60)
0.65) 4
57,361 142
57,530 131
37,548
AMERICAN SOFTWARE INC/GA IL
BANK OF MONTREAL/CHICAGO ( 15.76)
100.07) 8
1,500 135
1,503 130
1,500
AMERICAN
BARCLAYS BANKSTATES PLCWATER CO ( 78.63)
100.07) 10
3,660 754
3,660 778
3,659
AMERICAN VANGUARD
BMW US CAPITAL LLC 144A CORP ( 13.76)
99.70) 8
9,074 100
9,076 106
9,011
AMERICAN
CATERPILLAR WOODMARK CORP
FINANCIAL SERVICES ( 75.65)
99.97) 4
1,600 210
1,602 329
1,598
AMERICA'S
CATERPILLAR CAR-MART
FINANCIAL INC/TX
SERVICES ( 87.87)
100.05) 2
1,425 110
1,429 149
1,425
AMERICOLD
CATERPILLARREALTY TRUST
101.97) 54
5,115 1,790
5,011 1,941
5,191
AMERIS BANCORP
100.14) 18
2,000 341
2,000 431
1,988
AMERISAFE
CITIGROUP INC INC ( 61.16)
100.78) 5
2,358 312
2,390 313
2,374
AMICUS THERAPEUTICS
COOPERATIEVE RABOBANK INC UA/NY ( 15.08)
100.14) 69
7,000 813
7,000 1,035
7,008
AMKOR TECHNOLOGY
CREDIT AGRICOLE INC
CORPORATE AND ( 12.31)
99.99) 29
8,000 277
8,000 357
7,984
AMN
CREDITHEALTHCARE
SUISSE AG/NEW SERVICESYORKINC NY ( 45.24)
100.36) 13
7,700 479
7,857 571
7,591
AMNEAL
DAIMLER PHARMACEUTICALS
FINANCE NORTH AME INCREGS ( 4.76)
103.31) 22
5,650 95
5,784 103
5,768
AMPHASTAR
FORD CREDITPHARMACEUTICALS
AUTO OWNER T A A2A INC ( 22.46)
100.67) 10
3,330 194
3,330 231
3,348
AMYRIS INC AUTO OWNER T B A2A
FORD CREDIT ( 4.27)
100.13) 21
453 70
453 88
453
ANAPLAN
HONDA INC RECEIVABLES 20 2 A2
AUTO ( 45.31)
100.75) 29
3,922 1,175
3,922 1,303
3,949
ANAPTYSBIO
HONDA AUTOINC RECEIVABLES 20 4 A2 ( 22.34)
100.97) 7
5,900 127
5,900 148
5,953
ANDERSONS
HONEYWELL INC/THE
INTERNATIONAL INC ( 13.76)
101.90) 8
3,350 106
3,219 117
3,403
ANGI HOMESERVICES
HYUNDAI AUTO RECEIVABLES INC A A3 ( 12.15)
100.08) 21
450 212
445 255
450
ANGIODYNAMICS INC
HYUNDAI AUTO RECEIVABLES B A2 ( 10.17)
100.11) 11
229 111
229 110
229
ANI PHARMACEUTICALS
HYUNDAI AUTO RECEIVABLES INC B A2 ( 32.34)
100.71) 2
1,462 75
1,462 78
1,471
ANIKA THERAPEUTICS
102.01) 4
2,500 112
2,500 146
2,547
ANTARES
IBM CREDIT PHARMA
LLC INC ( 2.75)
100.09) 40
7,100 105
7,096 109
7,098
ANTERIX INC
99.69) 3
5,400 169
5,400 137
5,382
ANTERO MIDSTREAM
INTERNATIONAL BANKCORP FOR RECONST ( 5.10)
99.92) 78
4,200 311
4,200 399
4,190
ANTERO
JOHN DEERERESOURCES
CAPITALCORP CORP ( 2.54)
100.04) 63
2,600 161
2,600 161
2,592
APACHE
JOHN DEERECORPCAPITAL CORP ( 13.50)
100.42) 102
9,390 1,111
9,429 1,371
9,425
APARTMENT INVESTMENT
JOHN DEERE CAPITAL CORPAND MANAG ( 37.64)
101.01) 40
2,135 1,370
2,134 1,496
2,133
APELLIS
JOHN PHARMACEUTICALS
DEERE OWNER TRUST 20 INCB A2 ( 32.66)
100.61) 16
3,556 488
3,556 531
3,575
APOGEE
JOHNSONENTERPRISES
& JOHNSONINC ( 23.04)
103.07) 7
4,000 125
3,989 162
4,093
APOLLO COMMERCIAL
KREDITANSTALT REAL ESTATE
FUER WIEDERAUFBA ( 9.81)
100.64) 40
1,300 281
1,343 377
1,299
APOLLO MEDICAL HOLDINGS INC ( 16.50) 7 116 121
DevelopedINC
APPFOLIO International Equity ( 162.71) 4 476 646
BLACKROCK
APPIAN CORPMSCI CANADA SMALL ($
( 12.52)
51.25) 4,349
7 ($ 54,091
344 ($ 54,449
381
BLACKROCK
APPLE MSCI EAFE
HOSPITALITY REITSMALL
INC CAP ( 15.56)
9.66) 38,364
58 604,749
439 596,972
557
APPLIED INDUSTRIAL Equity
TECHNOLOGIE ( 62.39) 42,713
11 ($ 658,840
518 ($ 651,420
655
Developed
APPLIED InternationalINC
THERAPEUTICS Equity Receivable ( 36.15) 3 153 -
121
Total Developed
APREA THERAPEUTICS International
INC Equity ( 38.78) 2 65 ($ 651,420
93
APTARGROUP INC ( 111.98) 17 1,764 1,920
Issuer
ARBOR REALTY TRUST INC ( Price 9.24) Shares
29 Cost
196 Market Value
257
EmergingCORP
ARCBEST Markets Equity ( 26.51) 7 127 177
BLACKROCK
ARCH RESOURCES EME SMALL
INC CAP ($
( 11.31)
28.41) 14,598
4 ($ 175,089
110 ($ 165,079
110
LSV EMERGING
ARCHROCK INC MARKETS EQUITY ( 254.81)
6.49) 790
34 334,078
162 201,358
220
MSCI EMFCORP
ARCONIC (EMERGING MKTS FREE) ( 49.38)
13.93) 15,223
26 735,781
226 751,779
368
NUMERIC
ARCOSA INC EME SMALL CAP ( 861.00)
42.20) 146
13 141,148
431 125,566
551
STATE STREET
ARCTURUS EME
THERAPEUTICS HOLDINGS ( 27.46)
46.74) 27,379
4 710,000
148 751,750
177
Emerging
ARCUS Markets Equity
BIOSCIENCES INC ( 24.74) 58,137
10 ($ 2,096,096
311 ($ 1,995,532
240
EmergingBIOTHERAPEUTICS
ARCUTIS Markets Equity Receivable
INC ( 30.24) 2 84 -
75
Total Emerging
ARDELYX INC Markets Equity ( 6.92) 15 108 ($ 1,995,532
102
ARENA PHARMACEUTICALS INC ( 62.95) 15 740 943
ARES
IssuerCOMMERCIAL REAL ESTATE CO ( Price 9.12) 8
Shares 52
Cost 72
Market Value
ARES MANAGEMENT
Equity Options Strategy CORP ( 39.70) 24 811 951
ARGAN
AMERICAN INC EXPRESS CO (
($ 47.38)
103.56) 4
350 ($ 131
355 ($ 186
359
ARGO GROUP
AMERICAN INTERNATIONAL
EXPRESS CREDIT AC HOLDI
1A ( 34.83)
104.19) 9
4,760 261
4,896 330
4,953
ARMADA
AMERICANHOFFLER HONDA PROPERTIES
FINANCE COINC 144A ( 9.95)
100.69) 14
4,065 104
4,281 144
4,049
ARMOUR
AMERICANRESIDENTIAL
HONDA FINANCE REIT INC
CORP ( 9.39)
99.68) 15
7,000 105
7,014 144
6,967
ARMSTRONG
AQR STYLE PREMIA WORLD INDUSTRIES INC ( 77.96)
1.54) 13
30,405 868
30,391 1,001
46,932
ARROW FINANCIAL
AQR VOLATILITY RISKCORP ( 29.73)
0.65) 6
57,361 145
57,530 164
37,548
ARROWHEAD PHARMACEUTICALS
BANK OF MONTREAL/CHICAGO IL INC ( 43.19)
100.07) 26
1,500 891
1,503 1,122
1,500
ARTISAN
BARCLAYSPARTNERS
BANK PLCASSET MANAGEM ( 32.50)
100.07) 15
3,660 417
3,660 496
3,659
ARVINAS INC
BMW US CAPITAL LLC 144A ( 33.54)
99.70) 5
9,074 259
9,076 178
9,011
ASBURY
CATERPILLARAUTOMOTIVE
FINANCIAL GROUP INC
SERVICES ( 77.33)
99.97) 5
1,600 310
1,602 403
1,598
ASGN INC
CATERPILLAR FINANCIAL SERVICES ( 66.68)
100.05) 14
1,425 737
1,429 945
1,425
ASHLAND
CATERPILLAR GLOBAL HOLDINGS
FINANCIAL INC
SERVICES ( 69.10)
101.97) 15
5,115 846
5,011 1,003
5,191
ASPEN
CITIBANK TECHNOLOGY
CREDIT CARD INCISS A8 A8 ( 103.61)
100.14) 18
2,000 1,713
2,000 1,886
1,988
ASSEMBLY BIOSCIENCES
100.78) 8
2,358 158
2,390 194
2,374
ASSETMARK
COOPERATIEVE FINANCIAL
RABOBANK HOLDINGS
UA/NY I ( 27.29)
100.14) 5
7,000 120
7,000 137
7,008
ASSOCIATED
CREDIT AGRICOLE BANC-CORP
99.99) 45
8,000 539
8,000 619
7,984
ASSOCIATED
CREDIT SUISSE CAPITAL
AG/NEW GROUP
YORKINC NY ( 36.69)
100.36) 1
7,700 30
7,857 35
7,591
ASSURED FINANCE
DAIMLER GUARANTY LTD AME REGS
NORTH ( 24.41)
103.31) 25
5,650 601
5,784 615
5,768
ASTEC INDUSTRIES
FORD CREDIT AUTOINCOWNER T A A2A ( 46.31)
100.67) 6
3,330 210
3,330 260
3,348
ASTRONICS
FORD CREDIT CORP
AUTO OWNER T B A2A ( 10.56)
100.13) 6
453 50
453 67
453
ATARA BIOTHERAPEUTICS
HONDA AUTO RECEIVABLES INC
20 2 A2 ( 14.57)
100.75) 18
3,922 201
3,922 269
3,949
ATHENEX
HONDA AUTO INC RECEIVABLES 20 4 A2 ( 13.76)
100.97) 11
5,900 113
5,900 149
5,953
ATHERSYS
HONEYWELL INCINTERNATIONAL INC ( 2.76)
101.90) 47
3,350 138
3,219 131
3,403
ATKORE
HYUNDAIINTERNATIONAL
AUTO RECEIVABLES GROUPA A3 INC ( 27.35)
100.08) 12
450 271
445 340
450
ATLANTIC
HYUNDAI AUTO CAPITAL BANCSHARES
RECEIVABLES B A2IN ( 12.16)
100.11) 7
229 69
229 80
229
ATLANTIC AUTO
HYUNDAI UNIONRECEIVABLES
BANKSHARESB CORP A2 ( 23.16)
100.71) 23
1,462 468
1,462 534
1,471
ATLAS
HYUNDAI AIRAUTOWORLDWIDE
RECEIVABLESHOLDINGS
B A3 I ( 43.03)
102.01) 2
2,500 65
2,500 77
2,547
ATN CREDIT
IBM INTERNATIONALLLC INC ( 60.57)
100.09) 3
7,100 163
7,096 184
7,098
ATRECA INC
99.69) 3
5,400 58
5,400 67
5,382
ATRICURE INC BANK FOR RECONST
99.92) 12
4,200 578
4,200 536
4,190
ATRION
JOHN DEERE CORPCAPITAL CORP ( 637.01)
100.04) 0
2,600 262
2,600 254
2,592
AUTONATION
100.42) 16
9,390 521
9,429 583
9,425
AVANOS
JOHN DEERE MEDICALCAPITALINCCORP ( 29.39)
101.01) 13
2,135 335
2,134 379
2,133
AVAYA HOLDINGS
JOHN DEERE OWNER CORPTRUST 20 B A2 ( 12.36)
100.61) 26
3,556 333
3,556 318
3,575
AVIS BUDGET
JOHNSON GROUP INC
& JOHNSON ( 22.89)
103.07) 16
4,000 183
3,989 367
4,093
AVISTA CORP FUER WIEDERAUFBA
KREDITANSTALT ( 36.39)
100.64) 18
1,300 662
1,343 662
1,299
AVNET INC ( 27.89) 27 703 753
DevelopedINC
AVROBIO International Equity ( 17.45) 7 125 127
BLACKROCK
AXCELIS MSCI CANADA
TECHNOLOGIES INCSMALL ($
( 12.52)
27.85) 4,349
9 ($ 54,091
219 ($ 54,449
247
BLACKROCK
AXIS CAPITALMSCI EAFE SMALL
HOLDINGS LTD CAP ( 15.56)
40.56) 38,364
23 604,749
794 596,972
911
Developed
AXOGEN INC International Equity ( 9.24) 42,713
9 ($ 658,840
78 ($ 651,420
87
AXON ENTERPRISE INC Equity Receivable ( 98.13) 16 1,296 -
1,567
Total
AXONICSDeveloped
MODULATION International Equity
TECHNOLOGIE ( 35.11) 6 196 ($ 651,420
198
AXOS FINANCIAL INC ( 22.08) 15 272 323
Issuer THERAPEUTICS INC
AXSOME ( Price 82.28) Shares
7 Cost
626 Market Value
615
Emerging
AZZ INC Markets Equity ( 34.32) 7 195 245
BLACKROCK
B EME SMALL
RILEY FINANCIAL INC CAP ($
( 11.31)
21.76) 14,598
4 ($ 175,089
74 ($ 165,079
94
LSV
B&GEMERGING
FOODS INCMARKETS EQUITY ( 254.81)
24.38) 790
17 334,078
429 201,358
414
MSCI EMF
BADGER (EMERGING
METER INC MKTS FREE) ( 49.38)
62.92) 15,223
8 735,781
432 751,779
489
NUMERIC EME
BALCHEM CORPSMALL CAP ( 861.00)
94.86) 146
9 141,148
728 125,566
821
STATEOF
BANC STREET EME INC
CALIFORNIA ( 27.46)
10.83) 27,379
14 710,000
124 751,750
153
Emerging
BANCFIRSTMarkets
CORP Equity ( 40.57) 58,137
6 ($ 2,096,096
194 ($ 1,995,532
239
Emerging Markets
BANCORP INC/THE Equity Receivable ( 9.80) 15 89 -
148
Total Emerging Markets
BANCORPSOUTH BANK Equity ( 22.74) 30 564 ($ 1,995,532
686
BANDWIDTH INC ( 127.00) 5 525 605
BANK
Issuer FIRST CORP ( Price 64.10) 2
Shares 127
Cost 130
Market Value
BANK
EquityOF HAWAII
Options CORP
Strategy ( 61.41) 11 642 703
BANK OF MARIN
AMERICAN EXPRESSBANCORP
CO (
($ 33.33)
103.56) 4
350 ($ 122
355 ($ 144
359
BANK OZK EXPRESS CREDIT AC 1 A
AMERICAN ( 23.47)
104.19) 34
4,760 660
4,896 795
4,953
BANKUNITED
AMERICAN HONDA INC FINANCE CO 144A ( 20.25)
100.69) 26
4,065 374
4,281 529
4,049
BAR HARBOR
AMERICAN BANKSHARES
HONDA FINANCE CORP ( 22.39)
99.68) 5
7,000 92
7,014 120
6,967
BARNES
AQR STYLE GROUP
PREMIA INC ( 39.56)
1.54) 13
30,405 433
30,391 519
46,932
BARRETT BUSINESS
AQR VOLATILITY RISK SERVICES INC ( 53.13)
0.65) 2
57,361 83
57,530 106
37,548
BEACON
BANK OF ROOFING SUPPLY INC IL
MONTREAL/CHICAGO ( 26.37)
100.07) 15
1,500 280
1,503 394
1,500
BEAM
BARCLAYSTHERAPEUTICS
BANK PLC INC ( 28.00)
100.07) 3
3,660 82
3,660 90
3,659
BED BATH
BMW & BEYOND
US CAPITAL LLC INC
144A ( 10.60)
99.70) 34
9,074 199
9,076 365
9,011
BELDEN INC FINANCIAL SERVICES
CATERPILLAR ( 32.55)
99.97) 13
1,600 360
1,602 408
1,598
BELLRING
CATERPILLAR BRANDS INC SERVICES
FINANCIAL ( 19.94)
100.05) 11
1,425 219
1,429 217
1,425
BENCHMARK
CATERPILLAR ELECTRONICS INC
101.97) 11
5,115 202
5,011 226
5,191
BENEFITFOCUS
CITIBANK CREDIT INC CARD ISS A8 A8 ( 10.76)
100.14) 8
2,000 78
2,000 87
1,988
BERKSHIRE HILLS
CITIGROUP INC BANCORP INC ( 11.02)
100.78) 13
2,358 133
2,390 139
2,374
BERRY GLOBAL GROUP
COOPERATIEVE RABOBANK INC UA/NY ( 44.32)
100.14) 36
7,000 1,351
7,000 1,575
7,008
BEYONDAGRICOLE
CREDIT MEAT INCCORPORATE AND ( 133.98)
99.99) 7
8,000 876
8,000 886
7,984
BGC
CREDITPARTNERS INC
100.36) 67
7,700 165
7,857 183
7,591
BIG LOTS INC
DAIMLER FINANCE NORTH AME REGS ( 42.00)
103.31) 11
5,650 286
5,784 442
5,768
BILL.COM
FORD CREDIT HOLDINGS
AUTO OWNER INC T A A2A ( 90.21)
100.67) 4
3,330 276
3,330 351
3,348
BIOCRYST
FORD CREDIT PHARMACEUTICALS
AUTO OWNER T BINC A2A ( 4.77)
100.13) 47
453 228
453 224
453
BIODELIVERY
HONDA AUTOSCIENCESRECEIVABLES INTERNATI
20 2 A2 ( 4.36)
100.75) 21
3,922 96
3,922 90
3,949
BIOHAVEN
HONDA AUTOPHARMACEUTICAL
RECEIVABLES 20HOLDIN4 A2 ( 73.11)
100.97) 13
5,900 637
5,900 975
5,953
BIOSPECIFICS TECHNOLOGIES CORP
HONEYWELL INTERNATIONAL INC ( 61.28)
101.90) 2
3,350 86
3,219 93
3,403
BIO-TECHNE
HYUNDAI AUTOCORPRECEIVABLES A A3 ( 264.07)
100.08) 10
450 2,703
445 2,725
450
BIOTELEMETRY
HYUNDAI AUTOINC RECEIVABLES B A2 ( 45.19)
100.11) 9
229 387
229 418
229
BIOXCEL
HYUNDAITHERAPEUTICS
AUTO RECEIVABLES INC B A2 ( 53.01)
100.71) 3
1,462 120
1,462 136
1,471
BJ'S RESTAURANTS
HYUNDAI INC
AUTO RECEIVABLES B A3 ( 20.94)
102.01) 6
2,500 99
2,500 117
2,547
BJ'S
IBM WHOLESALE
CREDIT LLC CLUB HOLDINGS I ( 37.27)
100.09) 37
7,100 1,099
7,096 1,375
7,098
BLACK DIAMOND THERAPEUTICS
INTER-AMERICAN DEVELOPMENTINC BAN ( 42.16)
99.69) 2
5,400 89
5,400 96
5,382
BLACK HILLS CORP
INTERNATIONAL BANK FOR RECONST ( 56.66)
99.92) 17
4,200 965
4,200 950
4,190
BLACKBAUD
100.04) 13
2,600 652
2,600 756
2,592
BLACKLINE
JOHN DEEREINC CAPITAL CORP ( 82.91)
100.42) 13
9,390 819
9,429 1,054
9,425
BLACKSTONE MORTGAGE
JOHN DEERE CAPITAL CORPTRUST INC ( 24.09)
101.01) 35
2,135 743
2,134 814
2,133
BLK
JOHN MSCI
DEEREUS OWNER
EQUITY INDEXTRUSTFUND
20 B A2 ( 19.67)
100.61) 66,247
3,556 1,275,002
3,556 1,303,041
3,575
BLOOM ENERGY
JOHNSON & JOHNSONCORP ( 10.88)
103.07) 18
4,000 139
3,989 193
4,093
BLOOMIN'
KREDITANSTALTBRANDS FUER INCWIEDERAUFBA ( 10.66)
100.64) 21
1,300 192
1,343 220
1,299
BLUCORA INC ( 11.42) 13 147 150
Developed
BLUE International Equity
BIRD CORP ( 14.99) 3 37 51
BLACKROCK
BLUEBIRD MSCI
BIO INCCANADA SMALL ($
( 12.52)
61.04) 4,349
17 ($ 54,091
992 ($ 54,449
1,064
BLACKROCKMEDICINES
BLUEPRINT MSCI EAFE CORP SMALL CAP ( 15.56)
78.00) 38,364
14 604,749
893 596,972
1,078
Developed
BMC STOCKInternational
HOLDINGS INC Equity ( 25.14) 42,713
17 ($ 658,840
352 ($ 651,420
432
Developed
BOINGO International
WIRELESS INC Equity Receivable ( 13.32) 11 133 -
142
Total Developed
BOISE CASCADE CO International Equity ( 37.61) 11 307 ($ 651,420
398
BOK FINANCIAL CORP ( 56.44) 9 373 510
Issuer
BONANZA CREEK ENERGY INC ( Price 14.82) Shares
5 Cost
71 Market Value
67
Emerging
BOOT BARN Markets
HOLDINGS EquityINC ( 21.56) 8 147 171
BLACKROCK
BOSTON BEEREMECOSMALL
INC/THE CAP ($
( 11.31)
536.65) 14,598
2 ($ 175,089
1,177 ($ 165,079
1,297
LSV EMERGING
BOSTON OMAHA MARKETS
CORP EQUITY ( 254.81)
16.00) 790
4 334,078
73 201,358
67
MSCI
BOSTONEMFPRIVATE
(EMERGING MKTS HOLDI
FINANCIAL FREE) ( 49.38)
6.88) 15,223
21 735,781
157 751,779
147
NUMERIC
BOTTOMLINE EMETECHNOLOGIES
SMALL CAP DE INC ( 861.00)
50.77) 146
12 141,148
494 125,566
605
STATE
BOX STREET EME
INC ( 27.46)
20.76) 27,379
40 710,000
689 751,750
835
Emerging
BOYD GAMING Markets
CORP Equity ( 20.90) 58,137
23 ($ 2,096,096
356 ($ 1,995,532
473
Emerging
BRADY CORPMarkets Equity Receivable ( 46.82) 13 557 -
629
Total EmergingREALTY
BRANDYWINE Markets Equity
TRUST ( 10.89) 49 420 ($ 1,995,532
537
BRIDGE BANCORP INC ( 22.84) 6 109 136
BRIGHAM
Issuer MINERALS INC ( Price 12.35) 10
Shares 127
Cost 127
Market Value
BRIGHT HORIZONS
Equity Options FAMILY SOLUTIO
Strategy ( 117.20) 16 1,581 1,832
BRIGHTHOUSE
AMERICAN FINANCIAL
EXPRESS CO INC (
($ 27.82)
103.56) 28
350 ($ 714
355 ($ 791
359
BRIGHTSPHERE
AMERICAN EXPRESS INVESTMENT
CREDIT AC GROUP
1A ( 12.46)
104.19) 18
4,760 134
4,896 221
4,953
BRIGHTVIEW
AMERICAN HONDA HOLDINGS INC CO 144A
FINANCE ( 11.20)
100.69) 8
4,065 93
4,281 88
4,049
BRINKER INTERNATIONAL
AMERICAN HONDA FINANCE INCCORP ( 24.00)
99.68) 12
7,000 237
7,014 287
6,967
BRINK'S
AQR STYLECO/THE
PREMIA ( 45.51)
1.54) 13
30,405 477
30,391 614
46,932
BRIXMOR PROPERTY
AQR VOLATILITY RISKGROUP INC ( 12.82)
0.65) 80
57,361 756
57,530 1,027
37,548
BROADMARK REALTY CAPITAL INC
100.07) 34
1,500 301
1,503 323
1,500
BROOKDALE
BARCLAYS BANK SENIOR
PLC LIVING INC ( 2.95)
100.07) 50
3,660 134
3,660 146
3,659
BROOKS
BMW USAUTOMATION
CAPITAL LLC 144A INC ( 44.24)
99.70) 20
9,074 773
9,076 878
9,011
BRUKER CORPFINANCIAL SERVICES
99.97) 29
1,600 1,101
1,602 1,177
1,598
BRUNSWICK CORP/DE
100.05) 21
1,425 983
1,429 1,366
1,425
BRYN MAWR BANK
CATERPILLAR FINANCIALCORPSERVICES ( 27.66)
101.97) 7
5,115 171
5,011 193
5,191
BUCKLE
CITIBANKINC/THE
CREDIT CARD ISS A8 A8 ( 15.68)
100.14) 8
2,000 118
2,000 133
1,988
BUILDERS
CITIGROUPFIRSTSOURCE
INC INC ( 20.70)
100.78) 31
2,358 488
2,390 647
2,374
BWX TECHNOLOGIES
COOPERATIEVE RABOBANKINC UA/NY ( 56.64)
100.14) 26
7,000 1,387
7,000 1,450
7,008
BYLINE BANCORP
CREDIT AGRICOLE INC CORPORATE AND ( 13.10)
99.99) 9
8,000 87
8,000 114
7,984
CABOT
CREDIT CORP
100.36) 15
7,700 442
7,857 573
7,591
CABOT
DAIMLER MICROELECTRONICS
FINANCE NORTH AME CORP REGS ( 139.54)
103.31) 8
5,650 963
5,784 1,095
5,768
CACI
FORDINTERNATIONAL
CREDIT AUTO OWNER INC T A A2A ( 216.88)
100.67) 7
3,330 1,539
3,330 1,457
3,348
CACTUS
FORD INC AUTO OWNER T B A2A
CREDIT ( 20.63)
100.13) 12
453 190
453 252
453
CADIZ
HONDAINC AUTO RECEIVABLES 20 2 A2 ( 10.16)
100.75) 9
3,922 97
3,922 89
3,949
CAESARSAUTO
HONDA ENTERTAINMENT
RECEIVABLESCORP 20 4 A2 ( 12.13)
100.97) 147
5,900 1,431
5,900 1,782
5,953
CAI INTERNATIONAL
HONEYWELL INC
101.90) 4
3,350 69
3,219 71
3,403
CALAVO GROWERS
HYUNDAI INC
AUTO RECEIVABLES A A3 ( 62.91)
100.08) 5
450 256
445 290
450
CALIFORNIA
HYUNDAI AUTO WATER SERVICE GROUP
100.11) 13
229 572
229 619
229
CALITHERA
HYUNDAI AUTO BIOSCIENCES
100.71) 13
1,462 73
1,462 66
1,471
CALIX INC AUTO RECEIVABLES B A3
HYUNDAI ( 14.90)
102.01) 14
2,500 200
2,500 210
2,547
CALLAWAY
IBM CREDITGOLFLLC CO ( 17.51)
100.09) 24
7,100 290
7,096 422
7,098
CAL-MAINE
INTER-AMERICANFOODSDEVELOPMENT
INC BAN ( 44.48)
99.69) 8
5,400 357
5,400 371
5,382
CAMDEN NATIONAL
INTERNATIONAL BANK CORP
FOR RECONST ( 34.54)
99.92) 5
4,200 150
4,200 184
4,190
CAMPING
JOHN DEERE WORLD
CAPITAL HOLDINGS
CORP INC ( 27.16)
100.04) 9
2,600 135
2,600 233
2,592
CANNAE
JOHN DEEREHOLDINGS
CAPITALINC CORP ( 41.10)
100.42) 22
9,390 720
9,429 898
9,425
CANTEL MEDICAL
JOHN DEERE CAPITALCORP CORP ( 44.23)
101.01) 10
2,135 317
2,134 448
2,133
CAPITAL
JOHN DEERECITYOWNER
BANK GROUP TRUSTINC20 B A2 ( 20.95)
100.61) 4
3,556 76
3,556 91
3,575
CAPITOL FEDERAL
JOHNSON & JOHNSON FINANCIAL INC ( 11.01)
103.07) 39
4,000 411
3,989 428
4,093
CAPRI HOLDINGSFUER
KREDITANSTALT LTD WIEDERAUFBA ( 15.63)
100.64) 38
1,300 575
1,343 596
1,299
CAPSTEAD MORTGAGE CORP ( 5.49) 24 107 130
Developed
CARA International
THERAPEUTICS INC Equity ( 17.10) 12 177 211
BLACKROCK MSCI CANADA
CARDIOVASCULAR SYSTEMSSMALLINC ($
( 12.52)
31.55) 4,349
11 ($ 54,091
383 ($ 54,449
332
BLACKROCK MSCI
CARDLYTICS INC EAFE SMALL CAP ( 15.56)
69.98) 38,364
6 604,749
323 596,972
437
CARDTRONICS PLC Equity ( 23.98) 42,713
10 ($ 658,840
192 ($ 651,420
247
Developed
CAREDX INCInternational Equity Receivable ( 35.43) 11 308 -
388
Total Developed
CARETRUST International Equity
REIT INC ( 17.16) 26 421 ($ 651,420
434
CARGURUS INC ( 25.35) 22 496 568
Issuer COS INC
CARLISLE ( Price119.67) Shares
15 Cost
1,562 Market Value
1,792
Emerging
CARPENTER Markets Equity CORP
TECHNOLOGY ( 24.28) 13 243 314
BLACKROCKSERVICES
CARRIAGE EME SMALL INC CAP ($
( 11.31)
18.12) 14,598
5 ($ 175,089
72 ($ 165,079
85
LSV EMERGING
CARS.COM INC MARKETS EQUITY ( 254.81)
5.76) 790
20 334,078
99 201,358
113
MSCI EMFINC
CARTER'S (EMERGING MKTS FREE) ( 49.38)
80.70) 15,223
12 735,781
858 751,779
949
NUMERIC
CARVANA EME CO SMALL CAP ( 861.00)
120.20) 146
17 141,148
1,567 125,566
2,064
STATE STREET EME
CASA SYSTEMS INC ( 27.46)
4.16) 27,379
7 710,000
27 751,750
28
Emerging Markets
CASELLA WASTE Equity INC
SYSTEMS ( 52.12) 58,137
13 ($ 2,096,096
609 ($ 1,995,532
656
EmergingGENERAL
CASEY'S MarketsSTORES
Equity Receivable
INC ( 149.52) 10 1,408 -
1,476
CASS INFORMATION EquityINC
SYSTEMS ( 39.03) 3 109 ($ 1,995,532
128
CASTLE BIOSCIENCES INC ( 37.69) 3 118 117
CATALYST
Issuer PHARMACEUTICALS INC ( Price 4.62) 28
Shares 124
Cost 130
Market Value
CATASYS INC Strategy
Equity Options ( 24.74) 2 36 45
CATCHMARK
AMERICAN TIMBERCO
EXPRESS TRUST INC (
($ 8.85)
103.56) 14
350 ($ 101
355 ($ 125
359
CATHAY
AMERICAN GENERAL
EXPRESS BANCORP
CREDIT AC 1 A ( 26.30)
104.19) 22
4,760 506
4,896 579
4,953
CATO CORP/THE
AMERICAN HONDA FINANCE CO 144A ( 8.18)
100.69) 6
4,065 59
4,281 52
4,049
CAVCO INDUSTRIES
AMERICAN INC
HONDA FINANCE CORP ( 192.85)
99.68) 2
7,000 319
7,014 428
6,967
CBIZ INC PREMIA
AQR STYLE ( 23.97)
1.54) 14
30,405 292
30,391 338
46,932
CBTX INC
AQR VOLATILITY RISK ( 21.00)
0.65) 6
57,361 107
57,530 134
37,548
CEL-SCI
BANK OFCORPMONTREAL/CHICAGO IL ( 14.92)
100.07) 9
1,500 121
1,503 135
1,500
CENTRAL
BARCLAYSGARDEN
BANK PLC & PET CO ( 33.79)
100.07) 11
3,660 363
3,660 380
3,659
CENTRAL GARDENLLC
BMW US CAPITAL & PET CO
144A ( 35.99)
99.70) 2
9,074 70
9,076 73
9,011
CENTURY ALUMINUM
CATERPILLAR FINANCIAL COSERVICES ( 7.13)
99.97) 14
1,600 66
1,602 101
1,598
CENTURY
CATERPILLAR BANCORP INC/MA
100.05) 1
1,425 67
1,429 85
1,425
CENTURY COMMUNITIES
CATERPILLAR INC
101.97) 7
5,115 165
5,011 223
5,191
CERENCE
CITIBANK INCCREDIT CARD ISS A8 A8 ( 40.84)
100.14) 10
2,000 241
2,000 402
1,988
CERIDIAN
CITIGROUPHCM INC HOLDING INC ( 79.27)
100.78) 31
2,358 1,945
2,390 2,468
2,374
CERUS CORP RABOBANK UA/NY
COOPERATIEVE ( 6.60)
100.14) 44
7,000 235
7,000 292
7,008
CEVA
CREDITINCAGRICOLE CORPORATE AND ( 37.42)
99.99) 6
8,000 191
8,000 228
7,984
CHAMPIONX
CREDIT SUISSECORP AG/NEW YORK NY ( 9.76)
100.36) 51
7,700 491
7,857 500
7,591
CHANGE
DAIMLERHEALTHCARE
FINANCE NORTH INC AME REGS ( 11.20)
103.31) 60
5,650 631
5,784 677
5,768
CHANNELADVISOR
FORD CREDIT AUTOCORP OWNER T A A2A ( 15.84)
100.67) 8
3,330 98
3,330 120
3,348
CHARLES
FORD CREDITRIVER LABORATORIES
AUTO OWNER T BINT A2A ( 174.35)
100.13) 13
453 2,152
453 2,321
453
CHART INDUSTRIES
HONDA INC
AUTO RECEIVABLES 20 2 A2 ( 48.49)
100.75) 10
3,922 316
3,922 473
3,949
CHASE
HONDACORP AUTO RECEIVABLES 20 4 A2 ( 102.50)
100.97) 2
5,900 181
5,900 215
5,953
CHATHAM
HONEYWELL LODGING TRUST INC
101.90) 13
3,350 66
3,219 80
3,403
CHEESECAKE
HYUNDAI AUTO FACTORY INC/THE
RECEIVABLES A A3 ( 22.92)
100.08) 12
450 222
445 274
450
CHEFS'
HYUNDAI WAREHOUSE INC/THE B A2
100.11) 8
229 102
229 109
229
CHEGG
HYUNDAI INCAUTO RECEIVABLES B A2 ( 67.26)
100.71) 33
1,462 2,118
1,462 2,203
1,471
CHEMED CORP
102.01) 4
2,500 1,839
2,500 1,922
2,547
CHEMOCENTRYX
IBM CREDIT LLC INC ( 57.54)
100.09) 11
7,100 576
7,096 633
7,098
CHEMOURS
INTER-AMERICAN CO/THE DEVELOPMENT BAN ( 15.35)
99.69) 44
5,400 518
5,400 679
5,382
CHESAPEAKE
INTERNATIONAL UTILITIES
BANK FOR CORPRECONST ( 84.00)
99.92) 4
4,200 357
4,200 364
4,190
CHILDREN'S
JOHN DEEREPLACE CAPITALINC/THE
CORP ( 37.42)
100.04) 4
2,600 103
2,600 138
2,592
CHIMERA
JOHN DEERE INVESTMENT
CAPITAL CORP CORP ( 9.61)
100.42) 51
9,390 379
9,429 475
9,425
CHOICE
JOHN DEEREHOTELS INTERNATIONAL
CAPITAL CORP IN ( 78.90)
101.01) 10
2,135 663
2,134 758
2,133
CHURCHILL
JOHN DEEREDOWNS OWNERINC TRUST 20 B A2 ( 133.15)
100.61) 10
3,556 961
3,556 1,275
3,575
CIENA
JOHNSON CORP & JOHNSON ( 54.16)
103.07) 41
4,000 1,944
3,989 2,233
4,093
CIMAREX ENERGYFUER
KREDITANSTALT CO WIEDERAUFBA ( 27.49)
100.64) 28
1,300 643
1,343 758
1,299
CIMPRESS PLC ( 76.34) 5 343 377
CINCINNATI BELL INC Equity ( 14.85) 11 169 169
BLACKROCKHOLDINGS
CINEMARK MSCI CANADA INC SMALL ($
( 12.52)
11.55) 4,349
30 ($ 54,091
366 ($ 54,449
348
BLACKROCK
CIRRUS LOGICMSCI
INC EAFE SMALL CAP ( 15.56)
61.78) 38,364
16 604,749
1,062 596,972
975
Developed
CIT GROUP International
INC Equity ( 20.73) 42,713
27 ($ 658,840
359 ($ 651,420
550
Developed
CITIZENS International Equity Receivable
INC/TX ( 5.99) 13 69 -
79
Total Developed
CITY HOLDING COInternational Equity ( 65.17) 4 267 ($ 651,420
272
CITY OFFICE REIT INC ( 10.06) 15 133 153
Issuer ENERGY FUELS CORP
CLEAN ( Price 2.22) Shares
38 Cost
73 Market Value
84
Emerging MarketsINC
CLEAN HARBORS Equity ( 59.98) 14 669 853
BLACKROCK
CLEAR EME OUTDOOR
CHANNEL SMALL CAPHOLDINGS ($
( 11.31)
1.04) 14,598
95 ($ 175,089
83 ($ 165,079
99
LSV EMERGINGPAPER
CLEARWATER MARKETS CORPEQUITY ( 254.81)
36.13) 790
4 334,078
123 201,358
155
MSCI EMF (EMERGING
CLEARWAY ENERGY INCMKTS FREE) ( 49.38)
20.97) 15,223
8 735,781
153 751,779
166
NUMERIC EME
CLEARWAY SMALL
ENERGY INCCAP ( 861.00)
23.06) 146
21 141,148
440 125,566
490
STATE STREET EME INC
CLEVELAND-CLIFFS ( 27.46)
5.52) 27,379
107 710,000
443 751,750
592
Emerging
CLOUDERAMarkets
INC Equity ( 12.72) 58,137
54 ($ 2,096,096
451 ($ 1,995,532
688
Emerging
CLOVIS Markets Equity
ONCOLOGY INC Receivable ( 6.75) 21 148 -
144
TotalFINANCIAL
CNB Emerging Markets
CORP/PAEquity ( 17.93) 6 84 ($ 1,995,532
106
CNO FINANCIAL GROUP INC ( 15.57) 41 507 632
CNX RESOURCES CORP
Shares 489
Cost 435
Market Value
COCA-COLA
Equity OptionsCONSOLIDATED
Strategy INC ( 229.19) 1 306 308
CODEXIS
($ 11.40)
103.56) 15
350 ($ 174
355 ($ 177
359
CO-DIAGNOSTICS
AMERICAN EXPRESS INCCREDIT AC 1 A ( 19.35)
104.19) 6
4,760 114
4,896 122
4,953
COEUR
AMERICAN MINING
HONDA INCFINANCE CO 144A ( 5.08)
100.69) 65
4,065 264
4,281 332
4,049
COGENT
AMERICAN COMMUNICATIONS
HONDA FINANCE CORP HOLDINGS ( 77.36)
99.68) 11
7,000 864
7,014 876
6,967
COHEN
AQR STYLE& STEERS
PREMIA INC ( 68.05)
1.54) 6
30,405 363
30,391 428
46,932
COHERENT INC RISK
AQR VOLATILITY ( 130.98)
0.65) 6
57,361 842
57,530 850
37,548
COHERUS BIOSCIENCES INC
100.07) 15
1,500 242
1,503 261
1,500
COHU INC BANK PLC
BARCLAYS ( 17.34)
100.07) 11
3,660 145
3,660 191
3,659
COLFAX
BMW USCORPCAPITAL LLC 144A ( 27.90)
99.70) 25
9,074 612
9,076 710
9,011
COLLEGIUM
CATERPILLARPHARMACEUTICAL
FINANCIAL SERVICES INC ( 17.50)
99.97) 8
1,600 167
1,602 138
1,598
COLONY CAPITAL
CATERPILLAR INC
100.05) 133
1,425 213
1,429 319
1,425
COLONY CREDIT
CATERPILLAR REAL ESTATE
FINANCIAL SERVICESINC ( 7.02)
101.97) 22
5,115 83
5,011 151
5,191
COLUMBIA BANKING
CITIBANK CREDIT CARD SYSTEM
ISS A8 INC A8 ( 28.35)
100.14) 13
2,000 362
2,000 378
1,988
COLUMBIA
CITIGROUP FINANCIAL
INC INC ( 13.96)
100.78) 15
2,358 198
2,390 211
2,374
COLUMBIA
COOPERATIEVE PROPERTY
RABOBANK TRUSTUA/NY INC ( 13.14)
100.14) 31
7,000 358
7,000 414
7,008
COLUMBIA SPORTSWEAR
CREDIT AGRICOLE CORPORATE CO AND ( 80.58)
99.99) 8
8,000 490
8,000 652
7,984
COLUMBUS
CREDIT SUISSE MCKINNON
AG/NEW CORP/NY YORK NY ( 33.45)
100.36) 6
7,700 145
7,857 208
7,591
COMFORT SYSTEMSNORTH
DAIMLER FINANCE USA INC AME REGS ( 40.75)
103.31) 10
5,650 300
5,784 405
5,768
COMMERCE
FORD CREDITBANCSHARES
AUTO OWNER INC/MO
T A A2A ( 59.47)
100.67) 28
3,330 1,468
3,330 1,637
3,348
COMMERCIAL
FORD METALS
CREDIT AUTO OWNERCO T B A2A ( 20.40)
100.13) 32
453 467
453 653
453
COMMSCOPE
HONDA AUTO HOLDING
RECEIVABLES CO INC20 2 A2 ( 8.33)
100.75) 53
3,922 469
3,922 438
3,949
COMMUNITY
HONDA AUTOBANK SYSTEM 20
RECEIVABLES INC4 A2 ( 57.02)
100.97) 14
5,900 719
5,900 776
5,953
COMMUNITY HEALTH SYSTEMS
HONEYWELL INTERNATIONAL INC
INC ( 3.01)
101.90) 23
3,350 63
3,219 70
3,403
COMMUNITY
HYUNDAI AUTO HEALTHCARE
RECEIVABLES TRUST
A A3INC ( 40.90)
100.08) 5
450 181
445 223
450
COMMUNITY
HYUNDAI AUTO TRUST BANCORPBINC
RECEIVABLES A2 ( 32.76)
100.11) 6
229 162
229 183
229
COMMVAULT
HYUNDAI AUTO SYSTEMS
100.71) 12
1,462 434
1,462 473
1,471
COMPASS MINERALS
HYUNDAI AUTO INTERNATIONAL
102.01) 9
2,500 387
2,500 443
2,547
COMPUTER
IBM CREDIT PROGRAMS
LLC AND SYSTEMS ( 22.79)
100.09) 4
7,100 76
7,096 84
7,098
COMTECH TELECOMMUNICATIONS
INTER-AMERICAN DEVELOPMENT BAN COR ( 16.89)
99.69) 6
5,400 91
5,400 96
5,382
CONDUENT INC BANK FOR RECONST
99.92) 49
4,200 91
4,200 118
4,190
CONMED
JOHN DEERE CORPCAPITAL CORP ( 71.99)
100.04) 8
2,600 493
2,600 552
2,592
CONNECTONE BANCORP
JOHN DEERE CAPITAL CORP INC ( 16.12)
100.42) 10
9,390 125
9,429 169
9,425
CONSOLIDATED
JOHN DEERE CAPITAL COMMUNICATIONS
CORP HO ( 6.77)
101.01) 19
2,135 99
2,134 129
2,133
CONSTELLATION
JOHN DEERE OWNER PHARMACEUTICALS
TRUST 20 B A2 ( 30.05)
100.61) 7
3,556 242
3,556 210
3,575
CONSTRUCTION
JOHNSON & JOHNSON PARTNERS INC ( 17.76)
103.07) 7
4,000 99
3,989 119
4,093
CONTINENTAL
KREDITANSTALTRESOURCES
FUER WIEDERAUFBAINC/OK ( 17.53)
100.64) 25
1,300 309
1,343 435
1,299
COOPER TIRE & RUBBER CO ( 27.61) 14 284 381
Developed
CORBUS International Equity
PHARMACEUTICALS HOLDING ( 8.39) 17 123 139
BLACKROCK
CORCEPT MSCI CANADA
THERAPEUTICS SMALL
INC ($
( 12.52)
16.82) 4,349
29 ($ 54,091
405 ($ 54,449
494
BLACKROCK
CORE MSCI EAFE
LABORATORIES NVSMALL CAP ( 15.56)
20.32) 38,364
12 604,749
216 596,972
251
Developed
CORECIVIC INC International Equity ( 9.36) 42,713
33 ($ 658,840
335 ($ 651,420
306
CORELOGIC INC/UNITED STATES Equity Receivable ( 67.22) 21 941 -
1,426
Total Developed
CORE-MARK International
HOLDING CO INC Equity ( 24.96) 12 292 ($ 651,420
306
CORESITE REALTY CORP ( 121.06) 10 1,225 1,212
Issuer
CORNERSTONE BUILDING BRANDS IN ( Price 6.06) Shares
13 Cost
50 Market Value
76
Emerging
CORNERSTONE Markets Equity INC
ONDEMAND ( 38.56) 14 479 543
BLACKROCK EME
CORPORATE OFFICESMALL CAP
PROPERTIES TR ($
( 11.31)
25.34) 14,598
30 ($ 175,089
676 ($ 165,079
754
LSV EMERGING
CORTEXYME INCMARKETS EQUITY ( 254.81)
46.30) 790
4 334,078
191 201,358
191
MSCI EMF
CORVEL (EMERGING MKTS FREE)
CORP ( 49.38)
70.89) 15,223
3 735,781
136 751,779
196
NUMERIC
COTY INC EME SMALL CAP ( 861.00)
4.47) 146
82 141,148
303 125,566
368
STATE STREET
COUSINS EME INC
PROPERTIES ( 27.46)
29.83) 27,379
39 710,000
969 751,750
1,173
Emerging
COVANTA Markets
HOLDINGEquity CORP ( 9.59) 58,137
32 ($ 2,096,096
263 ($ 1,995,532
307
Emerging Markets
COVETRUS INC Equity Receivable ( 17.89) 27 309 -
488
Total Emerging
COWEN INC Markets Equity ( 16.21) 8 87 ($ 1,995,532
122
CRACKER BARREL OLD COUNTRY STO ( 110.91) 6 532 681
CRANE
Issuer CO ( Price 59.46) 13
Shares 604
Cost 757
Market Value
CRAWFORD
Equity Options & CO Strategy ( 7.89) 5 34 40
CREDIT ACCEPTANCE
AMERICAN EXPRESS CO CORP (
($ 419.01)
103.56) 3
350 ($ 831
355 ($ 1,124
359
CREE INC EXPRESS CREDIT AC 1 A
AMERICAN ( 59.19)
104.19) 29
4,760 1,294
4,896 1,722
4,953
CRINETICS PHARMACEUTICALS
AMERICAN HONDA FINANCE COINC 144A ( 17.52)
100.69) 4
4,065 85
4,281 76
4,049
CRISPR THERAPEUTICS
AMERICAN HONDA FINANCE AG CORP ( 73.49)
99.68) 11
7,000 637
7,014 783
6,967
CROCS INC PREMIA
AQR STYLE ( 36.82)
1.54) 18
30,405 411
30,391 676
46,932
CROSSFIRST
AQR VOLATILITY BANKSHARES
RISK INC ( 9.78)
0.65) 13
57,361 129
57,530 129
37,548
CRYOLIFE INC
100.07) 11
1,500 221
1,503 204
1,500
CRYOPORT
BARCLAYS BANK INC PLC ( 30.25)
100.07) 10
3,660 228
3,660 295
3,659
CSG
BMWSYSTEMS
US CAPITAL INTERNATIONAL
LLC 144A INC ( 41.39)
99.70) 9
9,074 388
9,076 370
9,011
CSW INDUSTRIALS
CATERPILLAR INC SERVICES
FINANCIAL ( 69.11)
99.97) 4
1,600 252
1,602 280
1,598
CTS CORP
100.05) 8
1,425 147
1,429 151
1,425
CUBESMART
101.97) 52
5,115 1,254
5,011 1,380
5,191
CUBIC CORP
100.14) 9
2,000 285
2,000 413
1,988
CUE BIOPHARMA
100.78) 5
2,358 150
2,390 133
2,374
CULLEN/FROST
COOPERATIEVE BANKERS RABOBANK INCUA/NY ( 74.71)
100.14) 16
7,000 987
7,000 1,231
7,008
CURTISS-WRIGHT
CREDIT AGRICOLE CORP CORPORATE AND ( 89.28)
99.99) 12
8,000 999
8,000 1,030
7,984
CUSHMAN
CREDIT SUISSE & WAKEFIELD
AG/NEW YORK PLC NY ( 12.46)
100.36) 29
7,700 280
7,857 367
7,591
CUSTOMERS
DAIMLER FINANCE BANCORPNORTH INCAME REGS ( 12.02)
103.31) 8
5,650 72
5,784 95
5,768
CVB FINANCIAL
FORD CREDIT AUTO CORPOWNER T A A2A ( 18.74)
100.67) 36
3,330 619
3,330 670
3,348
CVR
FORDENERGY
CREDITINC AUTO OWNER T B A2A ( 20.11)
100.13) 9
453 170
453 173
453
CYRUSONE
HONDA AUTO INCRECEIVABLES 20 2 A2 ( 72.75)
100.75) 31
3,922 2,187
3,922 2,232
3,949
CYTOKINETICS
HONDA INC
AUTO RECEIVABLES 20 4 A2 ( 23.57)
100.97) 13
5,900 287
5,900 313
5,953
CYTOMX
HONEYWELL THERAPEUTICS
INTERNATIONAL INC INC ( 8.33)
101.90) 10
3,350 151
3,219 87
3,403
DANA INCAUTO RECEIVABLES A A3
HYUNDAI ( 12.19)
100.08) 39
450 365
445 475
450
DARLING
HYUNDAI INGREDIENTS
100.11) 44
229 897
229 1,083
229
DAVE
HYUNDAI& BUSTER'S ENTERTAINMENT
100.71) 11
1,462 108
1,462 143
1,471
DECIPHERA
HYUNDAI AUTO PHARMACEUTICALS
RECEIVABLES B A3 INC ( 59.72)
102.01) 10
2,500 489
2,500 568
2,547
DECKERS
IBM CREDIT OUTDOOR
LLC CORP ( 196.39)
100.09) 8
7,100 1,041
7,096 1,474
7,098
DELEK US HOLDINGS
INTER-AMERICAN INC
DEVELOPMENT BAN ( 17.41)
99.69) 20
5,400 372
5,400 347
5,382
DELPHI TECHNOLOGIES
INTERNATIONAL BANK FOR PLC RECONST ( 14.21)
99.92) 24
4,200 254
4,200 336
4,190
DELUXE
JOHN DEERECORPCAPITAL CORP ( 23.54)
100.04) 12
2,600 236
2,600 274
2,592
DENALI THERAPEUTICS
JOHN DEERE CAPITAL CORP INC ( 24.18)
100.42) 21
9,390 520
9,429 516
9,425
DENNY'S
JOHN DEERE CORP CAPITAL CORP ( 10.10)
101.01) 14
2,135 124
2,134 143
2,133
DESIGNER
JOHN DEERE BRANDS
OWNER INCTRUST 20 B A2 ( 6.77)
100.61) 18
3,556 89
3,556 122
3,575
DEVON
JOHNSON ENERGY
& JOHNSONCORP ( 11.34)
103.07) 104
4,000 1,123
3,989 1,174
4,093
DIAMOND
KREDITANSTALTHILL INVESTMENT
FUER WIEDERAUFBAGROUP ( 113.67)
100.64) 1
1,300 97
1,343 110
1,299
DIAMOND S SHIPPING INC ( 7.99) 8 76 62
DIAMONDROCK Equity
HOSPITALITY CO ( 5.53) 51 220 284
BLACKROCK
DICERNA MSCI CANADA SMALL
PHARMACEUTICALS INC ($
( 12.52)
25.40) 4,349
17 ($ 54,091
384 ($ 54,449
433
BLACKROCK
DICK'S SPORTINGMSCI GOODS
EAFE SMALL
INC CAP ( 15.56)
41.26) 38,364
17 604,749
476 596,972
705
DIEBOLD NIXDORF INC Equity ( 6.06) 42,713
18 ($ 658,840
81 ($ 651,420
112
Developed
DIGITAL International
TURBINE INC Equity Receivable ( 12.57) 21 115 -
263
Total Developed
DILLARD'S INC International Equity ( 25.79) 2 58 ($ 651,420
62
DIME COMMUNITY BANCSHARES INC ( 13.73) 8 102 111
IssuerBRANDS GLOBAL INC
DINE ( Price 42.10) Shares
4 Cost
154 Market Value
186
Emerging
DIODES INCMarkets Equity ( 50.70) 12 506 599
BLACKROCK EME
DIVERSIFIED SMALL CAP
HEALTHCARE TRUST ($
( 11.31)
4.43) 14,598
59 ($ 175,089
156 ($ 165,079
262
LSV EMERGING
DMC GLOBAL INC MARKETS EQUITY ( 254.81)
27.60) 790
4 334,078
89 201,358
105
MSCI EMF
DOLBY (EMERGING INC
LABORATORIES MKTS FREE) ( 49.38)
65.87) 15,223
17 735,781
940 751,779
1,143
NUMERIC
DOMO INCEME SMALL CAP ( 861.00)
32.17) 146
6 141,148
136 125,566
187
STATE STREET
DOMTAR CORPEME ( 27.46)
21.11) 27,379
16 710,000
311 751,750
330
Emerging
DONALDSON Markets
CO INCEquity ( 46.52) 58,137
34 ($ 2,096,096
1,428 ($ 1,995,532
1,575
Emerging
DONEGAL Markets
GROUP INC Equity Receivable ( 14.22) 4 53 -
59
Total
DORIANEmerging
LPG LTDMarkets Equity ( 7.74) 10 85 ($ 1,995,532
80
DORMAN PRODUCTS INC ( 67.07) 7 473 500
DOUGLAS
Issuer DYNAMICS INC ( Price 35.12) 6
Shares 169
Cost 216
Market Value
DOUGLAS EMMETT
Equity Options INC
Strategy ( 30.66) 44 1,187 1,346
DRIL-QUIP INC
AMERICAN EXPRESS CO (
($ 29.79)
103.56) 10
350 ($ 254
355 ($ 294
359
DSP GROUPEXPRESS
AMERICAN INC CREDIT AC 1 A ( 15.88)
104.19) 6
4,760 110
4,896 97
4,953
DUCOMMUN
AMERICAN INC FINANCE CO 144A
HONDA ( 34.87)
100.69) 3
4,065 76
4,281 103
4,049
DUNKIN'
AMERICAN BRANDS
HONDAGROUPFINANCEINCCORP ( 65.23)
99.68) 22
7,000 1,340
7,014 1,436
6,967
DURECT
AQR STYLECORPPREMIA ( 2.32)
1.54) 50
30,405 118
30,391 115
46,932
DXC
AQR TECHNOLOGY
VOLATILITY RISK CO ( 16.50)
0.65) 68
57,361 981
57,530 1,128
37,548
DXP
BANKENTERPRISES INC/TX
OF MONTREAL/CHICAGO IL ( 19.91)
100.07) 5
1,500 64
1,503 95
1,500
DYCOM INDUSTRIES
BARCLAYS BANK PLC INC ( 40.89)
100.07) 8
3,660 225
3,660 342
3,659
DYNAVAX TECHNOLOGIES
BMW US CAPITAL LLC 144ACORP ( 8.87)
99.70) 26
9,074 115
9,076 233
9,011
DYNEX CAPITAL
CATERPILLAR INC
99.97) 6
1,600 72
1,602 85
1,598
EAGLE MATERIALS
CATERPILLAR INC SERVICES
FINANCIAL ( 70.22)
100.05) 11
1,425 565
1,429 747
1,425
EAGLE PHARMACEUTICALS
CATERPILLAR INC/DE
101.97) 3
5,115 156
5,011 144
5,191
EASTERLY GOVERNMENT
CITIBANK CREDIT CARD ISSPROPERTIES
A8 A8 ( 23.12)
100.14) 20
2,000 481
2,000 471
1,988
EASTGROUP
CITIGROUP INC PROPERTIES INC ( 118.61)
100.78) 10
2,358 1,037
2,390 1,226
2,374
EATON VANCE CORP
COOPERATIEVE RABOBANK UA/NY ( 38.60)
100.14) 31
7,000 1,113
7,000 1,188
7,008
EBIX INCAGRICOLE CORPORATE AND
CREDIT ( 22.36)
99.99) 7
8,000 120
8,000 150
7,984
ECHO
CREDITGLOBAL
SUISSE LOGISTICS
AG/NEW YORK INC NY ( 21.62)
100.36) 7
7,700 109
7,857 153
7,591
ECHOSTAR CORP NORTH AME REGS
DAIMLER FINANCE ( 27.96)
103.31) 13
5,650 348
5,784 357
5,768
EDGEWELL
FORD CREDIT PERSONAL
AUTO OWNER CARE COT A A2A ( 31.16)
100.67) 14
3,330 374
3,330 434
3,348
EDITAS MEDICINE
FORD CREDIT AUTO INCOWNER T B A2A ( 29.58)
100.13) 17
453 423
453 490
453
EHEALTH
100.75) 6
3,922 661
3,922 552
3,949
EIDOS
HONDATHERAPEUTICS
AUTO RECEIVABLES INC 20 4 A2 ( 47.67)
100.97) 3
5,900 107
5,900 119
5,953
EL PASO ELECTRIC
HONEYWELL CO
101.90) 10
3,350 707
3,219 696
3,403
EL POLLO LOCO
HYUNDAI AUTO HOLDINGS
RECEIVABLES INCA A3 ( 14.76)
100.08) 5
450 63
445 74
450
ELASTIC NV
100.11) 14
229 1,108
229 1,316
229
ELDORADO
HYUNDAI RESORTS
AUTO INC
100.71) 23
1,462 606
1,462 928
1,471
ELEMENT
HYUNDAI AUTOSOLUTIONS INC
102.01) 61
2,500 575
2,500 663
2,547
ELF
IBMBEAUTY
CREDIT LLCINC ( 19.07)
100.09) 10
7,100 142
7,096 184
7,098
ELLINGTON
INTER-AMERICAN FINANCIAL INC
99.69) 11
5,400 97
5,400 129
5,382
EMCOR GROUP INC
99.92) 15
4,200 848
4,200 994
4,190
EMERGENT
JOHN DEEREBIOSOLUTIONS
CAPITAL CORP INC ( 79.08)
100.04) 12
2,600 965
2,600 939
2,592
EMPIRE STATE
JOHN DEERE REALTYCORP
CAPITAL TRUST INC ( 7.00)
100.42) 42
9,390 286
9,429 293
9,425
ENANTA
JOHN DEEREPHARMACEUTICALS
101.01) 4
2,135 239
2,134 223
2,133
ENCOMPASS
JOHN DEERE OWNERHEALTH TRUST
CORP 20 B A2 ( 61.93)
100.61) 26
3,556 1,684
3,556 1,632
3,575
ENCORE CAPITAL
JOHNSON & JOHNSONGROUP INC ( 34.18)
103.07) 8
4,000 233
3,989 257
4,093
ENCORE WIRE CORP
KREDITANSTALT FUER WIEDERAUFBA ( 48.82)
100.64) 6
1,300 239
1,343 276
1,299
ENDO INTERNATIONAL PLC ( 3.43) 63 244 215
ENDURANCE INTERNATIONAL Equity
GROUP ( 4.03) 21 55 83
BLACKROCKHOLDINGS
ENERGIZER MSCI CANADA INC SMALL ($
( 12.52)
47.49) 4,349
17 ($ 54,091
676 ($ 54,449
796
BLACKROCK
ENERGY MSCI EAFE
RECOVERY INC SMALL CAP ( 15.56)
7.60) 38,364
10 604,749
71 596,972
75
Developed
ENERPAC TOOL International
GROUP CORP Equity ( 17.60) 42,713
16 ($ 658,840
237 ($ 651,420
289
Developed International Equity Receivable
ENERSYS ( 64.38) 11 630 -
732
Total Developed
ENLINK MIDSTREAM International
LLC Equity ( 2.44) 71 116 ($ 651,420
173
ENNIS INC ( 18.14) 7 113 128
Issuer INTERNATIONAL INC
ENOVA ( Price 14.87) Shares
9 Cost
92 Market Value
133
Emerging ENERGY
ENPHASE MarketsINC Equity ( 47.57) 25 1,416 1,182
BLACKROCK
ENPRO INDUSTRIES EME SMALL INC CAP ($
( 11.31)
49.29) 14,598
6 ($ 175,089
223 ($ 165,079
274
LSV EMERGING
ENSIGN GROUP MARKETSINC/THE EQUITY ( 254.81)
41.85) 790
14 334,078
506 201,358
574
MSCI EMF
ENSTAR (EMERGING
GROUP LTD MKTS FREE) ( 49.38)
152.77) 15,223
3 735,781
409 751,779
488
NUMERIC EME
ENTEGRIS INC SMALL CAP ( 861.00)
59.05) 146
36 141,148
1,974 125,566
2,148
STATE STREET
ENTERPRISE EME
31.12) 27,379
8 710,000
209 751,750
257
Emerging Markets
ENVESTNET INC Equity ( 73.54) 58,137
14 ($ 2,096,096
879 ($ 1,995,532
1,037
EmergingHOLDINGS
ENVISTA Markets Equity CORP Receivable ( 21.09) 43 690 -
902
Total Emerging
EPIZYME INC Markets Equity ( 16.06) 19 326 ($ 1,995,532
307
EPLUS INC ( 70.68) 4 236 255
EPR PROPERTIES
Shares 515
Cost 701
Market Value
EQT CORP
Equity Options Strategy ( 11.90) 69 854 819
EQUITRANS
AMERICAN EXPRESS MIDSTREAM CO CORP (
($ 8.31)
103.56) 111
350 ($ 908
355 ($ 918
359
EQUITY BANCSHARES
AMERICAN EXPRESS CREDIT INC AC 1 A ( 17.44)
104.19) 5
4,760 65
4,896 83
4,953
EQUITY COMMONWEALTH
100.69) 33
4,065 1,037
4,281 1,051
4,049
ESCO TECHNOLOGIES
AMERICAN HONDA FINANCE INC CORP ( 84.53)
99.68) 7
7,000 532
7,014 595
6,967
ESPERION
AQR STYLETHERAPEUTICS
PREMIA INC ( 51.31)
1.54) 7
30,405 331
30,391 362
46,932
ESSENT GROUP LTD
0.65) 27
57,361 703
57,530 978
37,548
ESSENTIAL PROPERTIES REALTY TR
100.07) 25
1,500 292
1,503 363
1,500
ETHAN
BARCLAYS ALLENBANK INTERIORS
PLC INC ( 11.83)
100.07) 7
3,660 64
3,660 79
3,659
ETSY INC
99.70) 32
9,074 2,636
9,076 3,387
9,011
EURONET WORLDWIDE
CATERPILLAR FINANCIALINC SERVICES ( 95.82)
99.97) 14
1,600 1,138
1,602 1,340
1,598
EVENTBRITE INC
100.05) 13
1,425 91
1,429 112
1,425
EVERBRIDGE
CATERPILLARINC FINANCIAL SERVICES ( 138.36)
101.97) 9
5,115 1,449
5,011 1,273
5,191
EVERCORECREDIT
CITIBANK INC CARD ISS A8 A8 ( 58.92)
100.14) 11
2,000 532
2,000 649
1,988
EVERI HOLDINGS
100.78) 21
2,358 90
2,390 109
2,374
EVERQUOTE
COOPERATIEVE INCRABOBANK UA/NY ( 58.16)
100.14) 2
7,000 86
7,000 102
7,008
EVERTEC INC
CREDIT AGRICOLE CORPORATE AND ( 28.10)
99.99) 17
8,000 419
8,000 466
7,984
EVO PAYMENTS
CREDIT SUISSE AG/NEW INC YORK NY ( 22.83)
100.36) 11
7,700 214
7,857 249
7,591
EVOLENT HEALTH INC
103.31) 20
5,650 133
5,784 140
5,768
EVOQUA
FORD CREDIT WATER AUTO TECHNOLOGIES
OWNER T A A2A CORP ( 18.60)
100.67) 24
3,330 369
3,330 439
3,348
EW
FORDSCRIPPS
CREDITCO/THE AUTO OWNER T B A2A ( 8.75)
100.13) 13
453 90
453 113
453
EXELIXIS
100.75) 82
3,922 2,167
3,922 1,950
3,949
EXLSERVICE
HONDA AUTO HOLDINGS
RECEIVABLES INC 20 4 A2 ( 63.40)
100.97) 9
5,900 496
5,900 583
5,953
EXP WORLD HOLDINGS
HONEYWELL INTERNATIONAL INC INC ( 17.05)
101.90) 8
3,350 67
3,219 129
3,403
EXPONENT
100.08) 14
450 916
445 1,125
450
EXTENDED
HYUNDAI AUTO STAY RECEIVABLES
AMERICA INCB A2 ( 11.19)
100.11) 48
229 495
229 538
229
EXTREME
HYUNDAI AUTO NETWORKS INC
100.71) 32
1,462 96
1,462 137
1,471
EZCORP
HYUNDAIINC AUTO RECEIVABLES B A3 ( 6.30)
102.01) 14
2,500 63
2,500 86
2,547
FABRINET
IBM CREDIT LLC ( 62.42)
100.09) 10
7,100 573
7,096 624
7,098
FARO TECHNOLOGIES
INTER-AMERICAN INC
99.69) 5
5,400 252
5,400 261
5,382
FASTLY INC
99.92) 19
4,200 808
4,200 1,621
4,190
FATE
JOHNTHERAPEUTICS
DEERE CAPITALINC CORP ( 34.31)
100.04) 16
2,600 454
2,600 560
2,592
FB FINANCIAL
JOHN DEERE CAPITAL CORP CORP ( 24.77)
100.42) 6
9,390 107
9,429 137
9,425
FBL
JOHNFINANCIAL
DEERE CAPITAL GROUPCORP INC ( 35.89)
101.01) 3
2,135 107
2,134 113
2,133
FEDERAL
JOHN DEERE AGRICULTURAL
OWNER TRUST MORTGAGE
20 B A2 ( 64.01)
100.61) 3
3,556 146
3,556 168
3,575
FEDERAL
JOHNSONSIGNAL& JOHNSON CORP ( 29.73)
103.07) 16
4,000 425
3,989 488
4,093
FEDERATED
KREDITANSTALT HERMES FUERINC WIEDERAUFBA ( 23.70)
100.64) 26
1,300 552
1,343 619
1,299
FERRO CORP ( 11.94) 20 205 241
DevelopedINC
FIBROGEN International Equity ( 40.53) 21 769 857
BLACKROCK
FIDELITY MSCI CANADA
NATIONAL FINANCIAL SMALLIN ($
( 12.52)
30.66) 4,349
4 ($ 54,091
129 ($ 54,449
120
BLACKROCKINSTITUTIONS
FINANCIAL MSCI EAFE SMALL INC CAP ( 15.56)
18.61) 38,364
6 604,749
98 596,972
119
Developed
FIREEYE INCInternational Equity ( 12.18) 42,713
60 ($ 658,840
661 ($ 651,420
732
Developed
FIRST AMERICANInternational
FINANCIAL Equity
CORP Receivable ( 48.02) 30 1,311 -
1,458
Total
FIRST Developed
BANCORP/PUERTO InternationalRICO Equity ( 5.59) 58 264 ($ 651,420
322
FIRST BANCORP/SOUTHERN PINES N ( 25.08) 10 206 243
IssuerBANCSHARES INC/THE
FIRST ( Price 22.50) Shares
6 Cost
112 Market Value
146
Emerging
FIRST BUSEYMarkets
CORP Equity ( 18.65) 16 239 291
BLACKROCK
FIRST CITIZENS EME SMALL CAP INC/
BANCSHARES ($
( 11.31)
405.02) 14,598
2 ($ 175,089
489 ($ 165,079
612
LSV EMERGING
FIRST COMMONWEALTH MARKETSFINANCIALEQUITY C ( 254.81)
8.28) 790
25 334,078
228 201,358
209
MSCI EMF
FIRST (EMERGING
COMMUNITY MKTS FREE)
BANKSHARES INC ( 49.38)
22.45) 15,223
6 735,781
111 751,779
133
NUMERIC
FIRST EME SMALL
FINANCIAL BANCORP CAP ( 861.00)
13.89) 146
20 141,148
288 125,566
282
STATEFINANCIAL
FIRST STREET EME BANKSHARES INC ( 27.46)
28.89) 27,379
35 710,000
889 751,750
1,006
Emerging Markets
FIRST FINANCIAL Equity
CORP/IN ( 36.84) 58,137
4 ($ 2,096,096
124 ($ 1,995,532
144
Emerging
FIRST Markets Equity
FOUNDATION INC Receivable ( 16.34) 12 144 -
192
Total Emerging
FIRST HAWAIIANMarkets INC Equity ( 17.24) 37 536 ($ 1,995,532
643
FIRST HORIZON NATIONAL CORP ( 9.96) 88 665 865
FIRST
IssuerINDUSTRIAL REALTY TRUST ( Price 38.44) 34
Shares 1,139
Cost 1,295
Market Value
FIRST INTERSTATE
Equity Options StrategyBANCSYSTEM IN ( 30.96) 13 362 394
FIRST MERCHANTS
AMERICAN EXPRESSCORP CO (
($ 27.57)
103.56) 16
350 ($ 387
355 ($ 454
359
FIRST MID BANCSHARES
104.19) 6
4,760 133
4,896 149
4,953
FIRST MIDWEST
AMERICAN HONDA BANCORPFINANCE INC/IL
CO 144A ( 13.35)
100.69) 29
4,065 322
4,281 385
4,049
FIRST OF LONG
AMERICAN HONDAISLAND CORP/THE
FINANCE CORP ( 16.34)
99.68) 9
7,000 121
7,014 144
6,967
FIRST SOLARPREMIA
AQR STYLE INC ( 49.50)
1.54) 21
30,405 855
30,391 1,058
46,932
FIRSTCASH
AQR VOLATILITYINC RISK ( 67.48)
0.65) 11
57,361 763
57,530 765
37,548
FITBIT
BANK OF INCMONTREAL/CHICAGO IL ( 6.46)
100.07) 61
1,500 394
1,503 391
1,500
FIVE BELOW
BARCLAYS BANKINC PLC ( 106.91)
100.07) 15
3,660 1,275
3,660 1,595
3,659
FIVE POINT
BMW HOLDINGS
US CAPITAL LLC
LLC 144A ( 4.60)
99.70) 13
9,074 60
9,076 59
9,011
FIVE9 INC
99.97) 16
1,600 1,664
1,602 1,818
1,598
FLAGSTAR BANCORP
100.05) 11
1,425 244
1,429 310
1,425
FLEX LTD
101.97) 135
5,115 1,320
5,011 1,388
5,191
FLEXION
CITIBANKTHERAPEUTICS
CREDIT CARD ISS INCA8 A8 ( 13.15)
100.14) 11
2,000 99
2,000 142
1,988
FLOOR
CITIGROUP& DECOR
INC HOLDINGS INC ( 57.65)
100.78) 22
2,358 949
2,390 1,259
2,374
FLOWERS
COOPERATIEVEFOODS INC
RABOBANK UA/NY ( 22.36)
100.14) 54
7,000 1,217
7,000 1,204
7,008
FLOWSERVE
CREDIT AGRICOLECORPCORPORATE AND ( 28.52)
99.99) 35
8,000 918
8,000 990
7,984
FLUOR
CREDIT CORP
100.36) 34
7,700 272
7,857 411
7,591
FLUSHING FINANCIAL
DAIMLER FINANCE CORPAME REGS
NORTH ( 11.52)
103.31) 9
5,650 88
5,784 101
5,768
FNB
FORDCORP/PA
CREDIT AUTO OWNER T A A2A ( 7.50)
100.67) 93
3,330 592
3,330 699
3,348
FOCUS FINANCIAL
FORD CREDIT AUTOPARTNERS
OWNER TINC B A2A ( 33.05)
100.13) 7
453 139
453 225
453
FOOT
HONDA LOCKER
AUTO INC RECEIVABLES 20 2 A2 ( 29.16)
100.75) 28
3,922 667
3,922 819
3,949
FORESTAR
HONDA AUTO GROUP INC
RECEIVABLES 20 4 A2 ( 15.08)
100.97) 4
5,900 55
5,900 67
5,953
FORMFACTORINTERNATIONAL
HONEYWELL INC INC ( 29.33)
101.90) 21
3,350 481
3,219 603
3,403
FORRESTER
HYUNDAI AUTO RESEARCH
RECEIVABLESINC A A3 ( 32.04)
100.08) 3
450 92
445 101
450
FORTERRA
HYUNDAI AUTO INC RECEIVABLES B A2 ( 11.16)
100.11) 5
229 33
229 52
229
FORWARDAUTO
HYUNDAI AIR CORP
100.71) 8
1,462 323
1,462 376
1,471
FOUNDATION
HYUNDAI AUTO BUILDING
RECEIVABLES MATERIALS
B A3 ( 15.61)
102.01) 6
2,500 72
2,500 95
2,547
FOURCREDIT
IBM CORNERS LLC PROPERTY TRUST IN ( 24.40)
100.09) 19
7,100 335
7,096 462
7,098
FOX FACTORY HOLDING
INTER-AMERICAN CORP
99.69) 10
5,400 597
5,400 855
5,382
FRANKLIN
INTERNATIONALCOVEYBANK CO FOR RECONST ( 21.40)
99.92) 3
4,200 66
4,200 72
4,190
FRANKLIN
JOHN DEERE ELECTRIC
CAPITALCO INC
CORP ( 52.52)
100.04) 11
2,600 482
2,600 559
2,592
FRANKLIN
JOHN DEERE FINANCIAL
CAPITAL NETWORK
CORP INC ( 25.75)
100.42) 4
9,390 76
9,429 95
9,425
FRANKLIN
JOHN DEERE STREET
CAPITAL PROPERTIES
CORP COR ( 5.09)
101.01) 29
2,135 129
2,134 146
2,133
FRANK'S
JOHN DEERE INTERNATIONAL
OWNER TRUST NV20 B A2 ( 2.23)
100.61) 34
3,556 72
3,556 76
3,575
FREEDOM &
JOHNSON HOLDING
JOHNSON CORP/NV ( 18.66)
103.07) 5
4,000 95
3,989 102
4,093
FRESH DEL MONTE
KREDITANSTALT FUER PRODUCE INC
WIEDERAUFBA ( 24.62)
100.64) 8
1,300 185
1,343 209
1,299
FRESHPET INC ( 83.66) 11 765 891
Developed
FRONT YARD International
RESIDENTIALEquity CORP ( 8.70) 13 90 114
BLACKROCK MSCI
FRONTDOOR INC CANADA SMALL ($
( 12.52)
44.33) 4,349
23 ($ 54,091
948 ($ 54,449
1,013
BLACKROCK
FRP HOLDINGS MSCI INCEAFE SMALL CAP ( 15.56)
40.58) 38,364
2 604,749
74 596,972
75
FTI CONSULTING INC Equity ( 114.55) 42,713
10 ($ 658,840
1,181 ($ 651,420
1,154
FULTON FINANCIAL CORPEquity Receivable ( 10.53) 48 452 -
499
Total Developed
FUTUREFUEL CORP International Equity ( 11.95) 7 72 ($ 651,420
82
G1 THERAPEUTICS INC ( 24.26) 8 128 188
Issuer
GAMESTOP CORP ( Price 4.34) Shares
12 Cost
52 Market Value
54
Emerging
GAMING AND MarketsLEISUREEquityPROPERTIES ( 34.60) 56 1,476 1,937
BLACKROCK
GAP INC/THEEME SMALL CAP ($
( 11.31)
12.62) 14,598
60 ($ 175,089
550 ($ 165,079
760
LSV EMERGING
GARRETT MOTION MARKETS
INC EQUITY ( 254.81)
5.54) 790
19 334,078
89 201,358
107
MSCI EMF
GATES (EMERGING
INDUSTRIAL CORP MKTS
PLCFREE) ( 49.38)
10.28) 15,223
16 735,781
139 751,779
161
NUMERIC
GATX CORP EME SMALL CAP ( 861.00)
60.98) 146
8 141,148
464 125,566
517
STATE
GCI STREET
LIBERTY INC EME ( 27.46)
71.12) 27,379
26 710,000
1,582 751,750
1,836
Emerging
GCP APPLIED Markets Equity
TECHNOLOGIES INC ( 18.58) 58,137
13 ($ 2,096,096
225 ($ 1,995,532
245
Emerging
GENCO Markets&Equity
SHIPPING TRADING Receivable
LTD ( 6.28) 6 25 -
35
Total
GENERACEmerging
HOLDINGS Markets INC Equity ( 121.93) 17 1,662 ($ 1,995,532
2,046
GENESCO INC ( 21.66) 3 51 73
GENMARK DIAGNOSTICS INC
Shares 194
Cost 243
Market Value
GENTEX CORP Strategy
Equity Options ( 25.77) 67 1,633 1,739
GENTHERMEXPRESS
AMERICAN INC CO (
($ 38.90)
103.56) 9
350 ($ 337
355 ($ 353
359
GENWORTH
AMERICAN EXPRESSFINANCIAL INC AC 1 A
CREDIT ( 2.31)
104.19) 137
4,760 378
4,896 316
4,953
GEO GROUPHONDA
AMERICAN INC/THE FINANCE CO 144A ( 11.83)
100.69) 33
4,065 350
4,281 389
4,049
GERMAN
AMERICAN AMERICAN
HONDA FINANCE BANCORP CORPINC ( 31.10)
99.68) 7
7,000 189
7,014 230
6,967
GERON
1.54) 86
30,405 126
30,391 186
46,932
GETTY REALTY CORP
0.65) 10
57,361 228
57,530 284
37,548
GIBRALTAR INDUSTRIES INC
100.07) 9
1,500 343
1,503 420
1,500
G-III APPAREL
BARCLAYS BANK GROUP
PLC LTD ( 13.29)
100.07) 11
3,660 95
3,660 149
3,659
GLACIER
BMW US BANCORP
CAPITAL LLC INC144A ( 35.29)
99.70) 25
9,074 889
9,076 890
9,011
GLADSTONE
CATERPILLARCOMMERCIAL
FINANCIAL SERVICES CORP ( 18.75)
99.97) 10
1,600 143
1,602 179
1,598
GLAUKOS
CATERPILLAR CORP FINANCIAL SERVICES ( 38.42)
100.05) 11
1,425 378
1,429 405
1,425
GLOBAL BLOOD
CATERPILLAR THERAPEUTICS
FINANCIAL SERVICES INC ( 63.13)
101.97) 15
5,115 1,043
5,011 931
5,191
GLOBAL
CITIBANKINDEMNITY
CREDIT CARD LTDISS A8 A8 ( 23.94)
100.14) 2
2,000 56
2,000 59
1,988
GLOBAL MEDICAL
CITIGROUP INC REIT INC ( 11.33)
100.78) 12
2,358 106
2,390 132
2,374
GLOBAL NET LEASE
COOPERATIEVE INC
100.14) 25
7,000 322
7,000 420
7,008
GLOBALSTAR
99.99) 201
8,000 60
8,000 66
7,984
GLOBUSSUISSE
CREDIT MEDICAL INC YORK NY
AG/NEW ( 47.71)
100.36) 21
7,700 940
7,857 991
7,591
GLU MOBILE
DAIMLER INC NORTH AME REGS
FINANCE ( 9.27)
103.31) 38
5,650 363
5,784 355
5,768
GMS
FORDINCCREDIT AUTO OWNER T A A2A ( 24.59)
100.67) 11
3,330 191
3,330 281
3,348
GOODYEAR
FORD CREDIT TIREAUTO& RUBBER
OWNERCO/THET B A2A ( 8.95)
100.13) 64
453 401
453 569
453
GOOSEHEAD
HONDA AUTOINSURANCE RECEIVABLES INC20 2 A2 ( 75.16)
100.75) 4
3,922 216
3,922 280
3,949
GOPRO
HONDA INC AUTO RECEIVABLES 20 4 A2 ( 4.76)
100.97) 33
5,900 122
5,900 158
5,953
GORMAN-RUPP CO/THE
101.90) 4
3,350 122
3,219 140
3,403
GOSSAMER
HYUNDAI AUTO BIO INCRECEIVABLES A A3 ( 13.00)
100.08) 14
450 173
445 177
450
GRACO
HYUNDAI INC
100.11) 45
229 1,973
229 2,159
229
GRAFTECHAUTO
HYUNDAI INTERNATIONAL
RECEIVABLES LTDB A2 ( 7.98)
100.71) 23
1,462 144
1,462 181
1,471
GRAHAM
HYUNDAI HOLDINGS
AUTO RECEIVABLES CO B A3 ( 342.67)
102.01) 1
2,500 371
2,500 400
2,547
GRAND CANYON
IBM CREDIT LLC EDUCATION INC ( 90.53)
100.09) 13
7,100 1,208
7,096 1,169
7,098
GRANITE CONSTRUCTION
INTER-AMERICAN DEVELOPMENT INC BAN ( 19.14)
99.69) 13
5,400 179
5,400 242
5,382
GRANITE POINT MORTGAGE
INTERNATIONAL BANK FOR RECONSTTRUST I ( 7.18)
99.92) 14
4,200 62
4,200 103
4,190
GRAPHIC
JOHN DEERE PACKAGING
CAPITAL CORP HOLDING CO ( 13.99)
100.04) 78
2,600 974
2,600 1,085
2,592
GRAY
JOHN TELEVISION
DEERE CAPITAL INC CORP ( 13.95)
100.42) 24
9,390 289
9,429 334
9,425
GREAT LAKESCAPITAL
JOHN DEERE DREDGECORP & DOCK CORP ( 9.26)
101.01) 17
2,135 142
2,134 157
2,133
GREAT SOUTHERN
JOHN DEERE OWNER BANCORP
TRUST 20 INCB A2 ( 40.36)
100.61) 4
3,556 148
3,556 166
3,575
GREEN
JOHNSON BRICK PARTNERS INC
& JOHNSON ( 11.85)
103.07) 6
4,000 56
3,989 70
4,093
GREEN DOT CORPFUER WIEDERAUFBA
100.64) 13
1,300 418
1,343 637
1,299
GREENBRIER COS INC/THE ( 22.75) 9 152 210
GREENLIGHT CAPITAL RE LTD Equity ( 6.52) 9 58 59
BLACKROCK
GREIF INC MSCI CANADA SMALL ($
( 12.52)
34.41) 4,349
7 ($ 54,091
187 ($ 54,449
224
BLACKROCK
GREIF INC MSCI EAFE SMALL CAP ( 15.56)
41.83) 38,364
1 604,749
38 596,972
44
Developed
GRIFFON CORP International Equity ( 18.52) 42,713
8 ($ 658,840
119 ($ 651,420
156
DevelopedOUTLET
GROCERY International
HOLDING Equity
CORP Receivable ( 40.80) 18 671 -
738
Total Developed
GROUP 1 AUTOMOTIVE International
INC Equity ( 65.97) 5 214 ($ 651,420
311
GROUPON INC ( 18.12) 7 146 125
Issuer
GRUBHUB INC ( Price 70.30) Shares
25 Cost
1,417 Market Value
1,737
Emerging Markets EquityINC
GTT COMMUNICATIONS ( 8.16) 7 65 61
BLACKROCK
GUARDANT HEALTH EME SMALL INC CAP ($
( 11.31)
81.13) 14,598
15 ($ 175,089
1,429 ($ 165,079
1,235
LSV EMERGING
GUESS? INC MARKETS EQUITY ( 254.81)
9.67) 790
10 334,078
71 201,358
98
MSCI EMF (EMERGING
H&E EQUIPMENT MKTSINC
SERVICES FREE) ( 49.38)
18.48) 15,223
9 735,781
121 751,779
170
NUMERIC
H&R BLOCK EME INCSMALL CAP ( 861.00)
14.28) 146
52 141,148
771 125,566
737
STATE STREET
HACKETT GROUP EME INC/THE ( 27.46)
13.54) 27,379
6 710,000
76 751,750
85
Emerging
HAEMONETICS Markets CORP Equity ( 89.56) 58,137
14 ($ 2,096,096
1,310 ($ 1,995,532
1,209
Emerging Markets
HAIN CELESTIAL Equity
GROUP Receivable
INC/THE ( 31.51) 22 697 -
707
Total Emerging
HALOZYME Markets Equity
THERAPEUTICS INC ( 26.81) 35 860 ($ 1,995,532
949
HAMILTON LANE INC ( 67.37) 6 410 433
HANCOCK
Issuer WHITNEY CORP ( Price 21.20) 25
Shares 406
Cost 531
Market Value
HANESBRANDS INC
Equity Options Strategy ( 11.29) 96 953 1,084
HANGER
($ 16.56)
103.56) 10
350 ($ 148
355 ($ 158
359
HANNON
AMERICANARMSTRONG
EXPRESS CREDIT SUSTAINABLE
AC 1 A I ( 28.46)
104.19) 18
4,760 482
4,896 515
4,953
HANOVER
AMERICANINSURANCE
HONDA FINANCE GROUPCO INC/TH
144A ( 101.33)
100.69) 11
4,065 920
4,281 1,082
4,049
HARBORONE
AMERICAN HONDA BANCORP INC CORP
FINANCE ( 8.54)
99.68) 17
7,000 129
7,014 147
6,967
HARLEY-DAVIDSON
AQR STYLE PREMIA INC ( 23.77)
1.54) 41
30,405 885
30,391 980
46,932
HARMONIC
AQR VOLATILITY INC RISK ( 4.75)
0.65) 24
57,361 127
57,530 115
37,548
HARSCO
BANK OFCORP MONTREAL/CHICAGO IL ( 13.51)
100.07) 21
1,500 175
1,503 286
1,500
HAVERTY
BARCLAYSFURNITURE
BANK PLC COS INC ( 16.00)
100.07) 4
3,660 57
3,660 66
3,659
HAWAIIAN
BMW ELECTRIC
US CAPITAL LLCINDUSTRIES
144A I ( 36.06)
99.70) 29
9,074 1,067
9,076 1,058
9,011
HAWAIIAN HOLDINGS
CATERPILLAR FINANCIAL INCSERVICES ( 14.04)
99.97) 3
1,600 39
1,602 44
1,598
HAWKINS INCFINANCIAL SERVICES
100.05) 3
1,425 88
1,429 109
1,425
HAYNES INTERNATIONAL
CATERPILLAR INC
101.97) 4
5,115 77
5,011 86
5,191
HB FULLERCREDIT
CITIBANK CO CARD ISS A8 A8 ( 44.60)
100.14) 14
2,000 454
2,000 622
1,988
HCI GROUP INC
CITIGROUP INC ( 46.18)
100.78) 2
2,358 96
2,390 106
2,374
HEALTH CATALYST
COOPERATIEVE INC
100.14) 4
7,000 105
7,000 110
7,008
HEALTHCARE
CREDIT AGRICOLE REALTY TRUST INCAND
CORPORATE ( 29.29)
99.99) 36
8,000 1,026
8,000 1,054
7,984
HEALTHCARE
CREDIT SUISSESERVICES
AG/NEWGROUP YORK NY INC ( 24.46)
100.36) 20
7,700 437
7,857 492
7,591
HEALTHCARE
DAIMLER FINANCE TRUSTNORTH
OF AMERICA
AME REGS IN ( 26.52)
103.31) 58
5,650 1,375
5,784 1,540
5,768
HEALTHEQUITY
FORD CREDIT AUTO INC OWNER T A A2A ( 58.67)
100.67) 19
3,330 983
3,330 1,117
3,348
HEALTHSTREAM
FORD CREDIT AUTO INCOWNER T B A2A ( 22.13)
100.13) 8
453 161
453 167
453
HEARTLAND
HONDA AUTO EXPRESS INC 20 2 A2
RECEIVABLES ( 20.82)
100.75) 13
3,922 248
3,922 269
3,949
HEARTLAND
HONDA AUTO FINANCIAL
RECEIVABLES USA 20INC4 A2 ( 33.44)
100.97) 10
5,900 283
5,900 342
5,953
HECLA MINING
HONEYWELL CO
101.90) 141
3,350 371
3,219 460
3,403
HEIDRICK
HYUNDAI & STRUGGLES
AUTO RECEIVABLES INTERNATI
A A3 ( 21.62)
100.08) 5
450 109
445 118
450
HELEN
HYUNDAI OF AUTO
TROY LTD RECEIVABLES B A2 ( 188.56)
100.11) 7
229 1,110
229 1,272
229
HELIOS TECHNOLOGIES
100.71) 8
1,462 259
1,462 302
1,471
HELIX
HYUNDAIENERGY
AUTOSOLUTIONS
RECEIVABLES GROUP
B A3 I ( 3.47)
102.01) 37
2,500 75
2,500 127
2,547
HELMERICH
IBM CREDIT LLC & PAYNE INC ( 19.51)
100.09) 30
7,100 531
7,096 585
7,098
HEMISPHERE
INTER-AMERICAN MEDIA GROUP INC BAN
DEVELOPMENT ( 9.83)
99.69) 4
5,400 37
5,400 43
5,382
HERBALIFE NUTRITION
INTERNATIONAL BANK FOR LTD RECONST ( 44.98)
99.92) 26
4,200 1,001
4,200 1,156
4,190
HERC HOLDINGS
100.04) 6
2,600 112
2,600 175
2,592
HERITAGE
JOHN DEERE COMMERCE
100.42) 22
9,390 152
9,429 165
9,425
HERITAGE
CAPITAL CORP/WA
CORP ( 20.00)
101.01) 6
2,135 103
2,134 116
2,133
HERITAGE
JOHN DEERE INSURANCE
OWNER TRUST HOLDINGS
20 B A2 IN ( 13.09)
100.61) 7
3,556 82
3,556 94
3,575
HERITAGE-CRYSTAL
JOHNSON & JOHNSON CLEAN INC ( 17.46)
103.07) 5
4,000 68
3,989 79
4,093
HERMAN MILLERFUER
KREDITANSTALT INC WIEDERAUFBA ( 23.61)
100.64) 16
1,300 326
1,343 378
1,299
HERON THERAPEUTICS INC ( 14.71) 23 337 342
Developed
HESKA CORPInternational Equity ( 93.17) 2 150 184
BLACKROCK
HEXCEL CORPMSCI CANADA SMALL ($
( 12.52)
45.22) 4,349
22 ($ 54,091
624 ($ 54,449
1,015
BLACKROCK
HIBBETT MSCIINC
SPORTS EAFE SMALL CAP ( 15.56)
20.94) 38,364
5 604,749
72 596,972
101
HIGHWOODS PROPERTIESEquity INC ( 37.33) 42,713
28 ($ 658,840
898 ($ 651,420
1,034
HILLENBRAND INC Equity Receivable ( 27.07) 20 391 -
551
Total Developed
HILL-ROM HOLDINGS International
INC Equity ( 109.78) 18 1,772 ($ 651,420
1,975
HILLTOP HOLDINGS INC ( 18.45) 19 263 351
Issuer GRAND VACATIONS INC
HILTON ( Price 19.55) Shares
22 Cost
375 Market Value
429
Emerging
HMS Markets
HOLDINGS CORP Equity ( 32.39) 24 646 767
BLACKROCK
HNI CORP EME SMALL CAP ($
( 11.31)
30.57) 14,598
12 ($ 175,089
254 ($ 165,079
362
LSV EMERGING
HOME BANCSHARES MARKETS INC/AREQUITY ( 254.81)
15.38) 790
45 334,078
560 201,358
696
MSCI EMF (EMERGING
HOMETRUST BANCSHARES MKTS FREE)
INC ( 49.38)
16.00) 15,223
6 735,781
74 751,779
92
NUMERIC
HOMOLOGY EME SMALL CAP
MEDICINES INC ( 861.00)
15.19) 146
7 141,148
88 125,566
99
STATE
HORACE STREET
MANNEME EDUCATORS CORP ( 27.46)
36.73) 27,379
8 710,000
279 751,750
293
Emerging BANCORP
HORIZON Markets Equity INC/IN ( 10.69) 58,137
13 ($ 2,096,096
105 ($ 1,995,532
134
Emerging THERAPEUTICS
HORIZON Markets EquityPLC Receivable ( 55.58) 51 2,343 -
2,842
Total
HOSTESS Emerging
BRANDS Markets
INC Equity ( 12.22) 33 387 ($ 1,995,532
409
HOULIHAN LOKEY INC ( 55.64) 12 729 668
HOWARD
Issuer HUGHES CORP/THE ( Price 51.95) 11
Shares 492
Cost 576
Market Value
HUB
Equity GROUP
Options INCStrategy ( 47.86) 9 372 436
HUBBELL
($ 125.36)
103.56) 15
350 ($ 1,608
355 ($ 1,825
359
HUBSPOT INC
AMERICAN EXPRESS CREDIT AC 1 A ( 224.35)
104.19) 11
4,760 1,973
4,896 2,482
4,953
HUDSON PACIFIC
AMERICAN HONDA PROPERTIES
FINANCE CO INC144A ( 25.16)
100.69) 41
4,065 858
4,281 1,044
4,049
HUNTSMAN
AMERICAN HONDA CORP FINANCE CORP ( 17.97)
99.68) 54
7,000 807
7,014 977
6,967
HURON
AQR STYLE CONSULTING
PREMIA GROUP INC ( 44.25)
1.54) 6
30,405 229
30,391 262
46,932
HYSTER-YALE
AQR VOLATILITY MATERIALS
RISK HANDLING ( 38.66)
0.65) 2
57,361 61
57,530 73
37,548
IAA
BANK INCOF MONTREAL/CHICAGO IL ( 38.57)
100.07) 36
1,500 1,201
1,503 1,383
1,500
IBERIABANK
BARCLAYS CORP
BANK PLC ( 45.54)
100.07) 15
3,660 516
3,660 684
3,659
ICF
BMW INTERNATIONAL
US CAPITAL LLCINC 144A ( 64.83)
99.70) 5
9,074 284
9,076 337
9,011
ICHOR HOLDINGS
CATERPILLAR LTD SERVICES
FINANCIAL ( 26.58)
99.97) 6
1,600 122
1,602 158
1,598
ICU MEDICAL FINANCIAL
CATERPILLAR INC SERVICES ( 184.31)
100.05) 5
1,425 960
1,429 972
1,425
IDACORP
CATERPILLAR INC FINANCIAL SERVICES ( 87.37)
101.97) 13
5,115 1,150
5,011 1,162
5,191
IES HOLDINGS
CITIBANK CREDITINCCARD ISS A8 A8 ( 23.17)
100.14) 3
2,000 54
2,000 60
1,988
IGM BIOSCIENCES
100.78) 2
2,358 119
2,390 134
2,374
IHEARTMEDIA
COOPERATIEVEINC RABOBANK UA/NY ( 8.35)
100.14) 16
7,000 95
7,000 131
7,008
II-VI
CREDIT INCAGRICOLE CORPORATE AND ( 47.22)
99.99) 24
8,000 1,100
8,000 1,155
7,984
IMAX CORP
CREDIT SUISSE AG/NEW YORK NY ( 11.21)
100.36) 14
7,700 166
7,857 161
7,591
IMMUNOGEN
DAIMLER FINANCE INC NORTH AME REGS ( 4.60)
103.31) 46
5,650 186
5,784 210
5,768
IMMUNOMEDICS
FORD CREDIT AUTO INCOWNER T A A2A ( 35.44)
100.67) 49
3,330 1,583
3,330 1,732
3,348
IMMUNOVANT
FORD CREDIT AUTO INC OWNER T B A2A ( 24.35)
100.13) 6
453 151
453 143
453
IMPINJ
100.75) 4
3,922 94
3,922 118
3,949
INDEPENDENCE
HONDA AUTO RECEIVABLESHOLDING CO20 4 A2 ( 30.59)
100.97) 2
5,900 48
5,900 54
5,953
INDEPENDENCE
HONEYWELL REALTY TRUSTINC
101.90) 28
3,350 259
3,219 322
3,403
INDEPENDENT
HYUNDAI AUTOBANK CORP/MIA A3
100.08) 8
450 91
445 116
450
INDEPENDENT
HYUNDAI AUTOBANK GROUP INC
100.11) 10
229 265
229 403
229
INDUSTRIAL
HYUNDAI AUTO LOGISTICS
RECEIVABLESPROPERTIE
B A2 ( 20.55)
100.71) 17
1,462 277
1,462 355
1,471
INFINERA
HYUNDAI AUTO CORP RECEIVABLES B A3 ( 5.92)
102.01) 44
2,500 197
2,500 261
2,547
INGEVITY
IBM CREDIT CORP
LLC ( 52.57)
100.09) 11
7,100 502
7,096 591
7,098
INGLES MARKETS INC
99.69) 4
5,400 159
5,400 156
5,382
INNOSPEC
INTERNATIONAL INC BANK FOR RECONST ( 77.25)
99.92) 7
4,200 448
4,200 515
4,190
INNOVATIVE
JOHN DEERE CAPITALINDUSTRIAL CORP PROPERTI ( 88.02)
100.04) 4
2,600 312
2,600 384
2,592
INNOVIVA
JOHN DEERE INCCAPITAL CORP ( 13.98)
100.42) 18
9,390 239
9,429 250
9,425
INOGEN
101.01) 5
2,135 182
2,134 180
2,133
INOVALON
JOHN DEEREHOLDINGSOWNER TRUST INC 20 B A2 ( 19.26)
100.61) 19
3,556 313
3,556 372
3,575
INOVIO
JOHNSON PHARMACEUTICALS
& JOHNSON INC ( 26.95)
103.07) 39
4,000 604
3,989 1,057
4,093
INPHI CORP
100.64) 12
1,300 1,353
1,343 1,445
1,299
INSEEGO CORP ( 11.60) 16 173 189
Developed
INSIGHT International
ENTERPRISES INCEquity ( 49.20) 10 436 470
BLACKROCK
INSMED INC MSCI CANADA SMALL ($
( 12.52)
27.54) 4,349
27 ($ 54,091
639 ($ 54,449
738
BLACKROCKINC
INSPERITY MSCI EAFE SMALL CAP ( 15.56)
64.73) 38,364
10 604,749
472 596,972
652
Developed
INSPIRE MEDICALInternational
SYSTEMS Equity
INC ( 87.02) 42,713
6 ($ 658,840
436 ($ 651,420
509
Developed BUILDING
INSTALLED International Equity Receivable
PRODUCTS IN ( 68.78) 6 324 -
446
Total Developed
INSTEEL INDUSTRIES International
INC Equity ( 19.07) 5 75 ($ 651,420
99
INTEGER HOLDINGS CORP ( 73.05) 9 625 645
Issuer LIFESCIENCES HOLDINGS
INTEGRA ( Price 46.99) Shares
19 Cost
909 Market Value
901
EmergingTHERAPEUTICS
INTELLIA Markets EquityINC ( 21.02) 12 209 261
BLACKROCK
INTER PARFUMS EMEINC SMALL CAP ($
( 11.31)
48.15) 14,598
5 ($ 175,089
191 ($ 165,079
233
LSV EMERGING
INTERACTIVE MARKETS
BROKERS EQUITY
GROUP INC ( 254.81)
41.77) 790
20 334,078
732 201,358
819
MSCI EMF (EMERGING
INTERCEPT PHARMACEUTICALS MKTS FREE) INC ( 49.38)
47.91) 15,223
7 735,781
594 751,779
340
NUMERIC EMEINC
INTERDIGITAL SMALL CAP ( 861.00)
56.63) 146
8 141,148
451 125,566
471
STATE STREET
INTERFACE INCEME ( 27.46)
8.14) 27,379
17 710,000
127 751,750
135
Emerging
INTERNATIONALMarkets Equity
BANCSHARES CORP ( 32.02) 58,137
16 ($ 2,096,096
398 ($ 1,995,532
501
Emerging Markets
INTERNATIONAL EquityEXPRESS
MONEY ReceivableIN ( 12.46) 6 52 -
72
INTERNATIONAL SEAWAYS Equity
INC ( 16.34) 7 142 ($ 1,995,532
109
INTERSECT ENT INC ( 13.54) 8 100 112
INTL.
IssuerFCSTONE INC ( Price 55.00) 4
Shares 165
Cost 240
Market Value
INTRA-CELLULAR
Equity Options Strategy THERAPIES INC ( 25.67) 16 335 417
INVESCO
AMERICAN MORTGAGE
EXPRESS CO CAPITAL INC (
($ 3.74)
103.56) 48
350 ($ 133
355 ($ 203
359
INVESTORS
AMERICAN EXPRESSBANCORPCREDIT INC AC 1 A ( 8.50)
104.19) 68
4,760 519
4,896 577
4,953
INVESTORS
AMERICAN HONDA REAL ESTATE FINANCE TRUST CO 144A ( 70.49)
100.69) 3
4,065 191
4,281 220
4,049
INVITAE
AMERICAN CORPHONDA FINANCE CORP ( 30.29)
99.68) 31
7,000 525
7,014 944
6,967
IOVANCE
AQR STYLEBIOTHERAPEUTICS
PREMIA INC ( 27.45)
1.54) 29
30,405 976
30,391 795
46,932
IRHYTHM TECHNOLOGIES
AQR VOLATILITY RISK INC ( 115.89)
0.65) 7
57,361 923
57,530 830
37,548
IRIDIUM
BANK OFCOMMUNICATIONS
MONTREAL/CHICAGO INCIL ( 25.44)
100.07) 32
1,500 660
1,503 811
1,500
IROBOT
BARCLAYS CORP
BANK PLC ( 83.90)
100.07) 8
3,660 489
3,660 640
3,659
IRONWOOD
BMW US CAPITAL PHARMACEUTICALS
LLC 144A INC ( 10.32)
99.70) 41
9,074 430
9,076 421
9,011
ISTAR INC
99.97) 21
1,600 192
1,602 259
1,598
ITRON INC FINANCIAL SERVICES
100.05) 10
1,425 560
1,429 676
1,425
ITT INC
101.97) 23
5,115 1,113
5,011 1,376
5,191
J & J SNACK
CITIBANK FOODS
CREDIT CORP
CARD ISS A8 A8 ( 127.13)
100.14) 4
2,000 517
2,000 517
1,988
J2 GLOBAL INC
100.78) 13
2,358 881
2,390 791
2,374
JABIL INC
100.14) 37
7,000 985
7,000 1,180
7,008
JACK
CREDITIN AGRICOLE
THE BOX INC CORPORATE AND ( 74.09)
99.99) 6
8,000 373
8,000 429
7,984
JAMES
CREDITRIVER
SUISSEGROUPAG/NEW HOLDINGS
YORK NYLTD ( 45.00)
100.36) 8
7,700 239
7,857 363
7,591
JANUS
DAIMLER HENDERSON
FINANCE NORTH GROUPAME PLC REGS ( 21.16)
103.31) 43
5,650 764
5,784 908
5,768
JBG
FORD SMITH
CREDIT PROPERTIES
AUTO OWNER T A A2A ( 29.57)
100.67) 32
3,330 928
3,330 959
3,348
JEFFERIES
FORD CREDIT FINANCIAL
AUTO OWNER GROUPTINC B A2A ( 15.55)
100.13) 61
453 901
453 953
453
JELD-WEN
HONDA AUTO HOLDING INC
100.75) 19
3,922 234
3,922 310
3,949
JERNIGAN
HONDA AUTO CAPITAL INC
100.97) 7
5,900 80
5,900 94
5,953
JETBLUE AIRWAYS
HONEYWELL CORP
101.90) 18
3,350 185
3,219 199
3,403
JOHN
HYUNDAI B SANFILIPPO & SON INCA A3
100.08) 2
450 209
445 207
450
JOHN
HYUNDAI BEAN AUTOTECHNOLOGIES
RECEIVABLESCORP B A2 ( 86.02)
100.11) 9
229 530
229 733
229
JOHN
HYUNDAI WILEYAUTO & SONS INC
100.71) 12
1,462 442
1,462 472
1,471
JOHNSON
HYUNDAI AUTO OUTDOORSRECEIVABLESINC B A3 ( 91.02)
102.01) 2
2,500 104
2,500 148
2,547
K12
IBM INC
CREDIT LLC ( 27.24)
100.09) 11
7,100 264
7,096 304
7,098
KADANT INC
99.69) 3
5,400 257
5,400 311
5,382
KADMON
INTERNATIONALHOLDINGS BANK INC FOR RECONST ( 5.12)
99.92) 31
4,200 136
4,200 156
4,190
KAISER
JOHN DEEREALUMINUMCAPITAL CORP
CORP ( 73.62)
100.04) 4
2,600 253
2,600 307
2,592
KALA
JOHN PHARMACEUTICALS
DEERE CAPITAL CORP INC ( 10.51)
100.42) 8
9,390 102
9,429 87
9,425
KAMAN
JOHN CORPCAPITAL CORP
DEERE ( 41.60)
101.01) 7
2,135 214
2,134 274
2,133
KAR
JOHNAUCTION
DEERE OWNER SERVICES TRUSTINC 20 B A2 ( 13.76)
100.61) 35
3,556 381
3,556 482
3,575
KARUNA
JOHNSONTHERAPEUTICS
& JOHNSON INC ( 111.46)
103.07) 3
4,000 299
3,989 352
4,093
KARYOPHARM
KREDITANSTALTTHERAPEUTICS
FUER WIEDERAUFBA INC ( 18.94)
100.64) 13
1,300 239
1,343 242
1,299
KB HOME ( 30.68) 22 539 665
Developed
KBR INC International Equity ( 22.55) 38 677 857
BLACKROCK
KEARNY MSCI CANADA
FINANCIAL CORP/MD SMALL ($
( 12.52)
8.18) 4,349
27 ($ 54,091
209 ($ 54,449
218
BLACKROCK
KELLY SERVICES MSCIINCEAFE SMALL CAP ( 15.56)
15.82) 38,364
9 604,749
110 596,972
146
Developed
KEMPER CORPInternational Equity ( 72.52) 42,713
17 ($ 658,840
988 ($ 651,420
1,235
KENNAMETAL INC Equity Receivable ( 28.71) 22 498 -
645
Total Developed International
KENNEDY-WILSON HOLDINGS INC Equity ( 15.22) 35 441 ($ 651,420
519
KFORCE INC ( 29.25) 6 163 171
Issuer REALTY CORP
KILROY ( Price 58.70) Shares
26 Cost
1,390 Market Value
1,490
KIMBALL ELECTRONICS INC ( 13.54) 7 93 101
BLACKROCK
KIMBALL EME SMALL CAP
INTERNATIONAL INC ($
( 11.31)
11.56) 14,598
10 ($ 175,089
98 ($ 165,079
115
LSV EMERGING
KIMCO REALTY CORPMARKETS EQUITY ( 254.81)
12.84) 790
116 334,078
1,305 201,358
1,493
MSCI EMF
KINIKSA (EMERGING MKTSLTD
PHARMACEUTICALS FREE) ( 49.38)
25.48) 15,223
4 735,781
94 751,779
115
NUMERICCAPITAL
KINSALE EME SMALLGROUP CAPINC ( 861.00)
155.21) 146
6 141,148
756 125,566
886
STATE CORP
KIRBY STREET EME ( 27.46)
53.56) 27,379
4 710,000
200 751,750
220
Emerging
KITE REALTYMarkets
GROUPEquityTRUST ( 11.54) 58,137
23 ($ 2,096,096
192 ($ 1,995,532
265
Emerging
KKR MarketsFINANCE
REAL ESTATE Equity Receivable
TRUST ( 16.58) 9 131 -
145
Total Emerging
KNOLL INC Markets Equity ( 12.19) 13 121 ($ 1,995,532
160
KNOWLES CORP ( 15.26) 25 331 379
KODIAK
Issuer SCIENCES INC ( Price 54.12) 6
Shares 323
Cost 325
Market Value
KOHL'S CORP Strategy
Equity Options ( 20.77) 42 807 868
KONTOOR
AMERICANBRANDS EXPRESSINC CO (
($ 17.81)
103.56) 13
350 ($ 186
355 ($ 230
359
KORN
AMERICANFERRYEXPRESS CREDIT AC 1 A ( 30.73)
104.19) 15
4,760 392
4,896 467
4,953
KOSMOS
AMERICAN ENERGY
HONDALTD FINANCE CO 144A ( 1.66)
100.69) 105
4,065 160
4,281 175
4,049
KRATON
AMERICAN CORPHONDA FINANCE CORP ( 17.28)
99.68) 9
7,000 98
7,014 149
6,967
KRATOS
AQR STYLE DEFENSE
PREMIA& SECURITY SOLU ( 15.63)
1.54) 33
30,405 521
30,391 512
46,932
KRONOS WORLDWIDE
0.65) 6
57,361 54
57,530 63
37,548
KRYSTAL
BANK OF BIOTECH INC
MONTREAL/CHICAGO IL ( 41.42)
100.07) 3
1,500 190
1,503 140
1,500
KULICKE
BARCLAYS & BANK
SOFFAPLC INDUSTRIES INC ( 20.83)
100.07) 18
3,660 375
3,660 368
3,659
KURA
BMW ONCOLOGY
US CAPITAL LLC INC 144A ( 16.30)
99.70) 13
9,074 188
9,076 212
9,011
LCATERPILLAR
BRANDS INCFINANCIAL SERVICES ( 14.97)
99.97) 63
1,600 687
1,602 946
1,598
LADDER CAPITAL
CATERPILLAR CORP SERVICES
FINANCIAL ( 8.10)
100.05) 26
1,425 183
1,429 208
1,425
LAKELAND
CATERPILLAR BANCORP
FINANCIAL INCSERVICES ( 11.43)
101.97) 16
5,115 151
5,011 183
5,191
LAKELAND FINANCIAL
CITIBANK CREDIT CARDCORP ISS A8 A8 ( 46.59)
100.14) 7
2,000 264
2,000 341
1,988
LAMAR
CITIGROUPADVERTISING
INC CO ( 66.76)
100.78) 23
2,358 1,375
2,390 1,544
2,374
LANCASTER COLONY
COOPERATIEVE CORP UA/NY
RABOBANK ( 154.99)
100.14) 5
7,000 753
7,000 798
7,008
LANDEC CORP
99.99) 7
8,000 77
8,000 58
7,984
LANDS' SUISSE
CREDIT END INCAG/NEW YORK NY ( 8.04)
100.36) 3
7,700 18
7,857 24
7,591
LANDSTARFINANCE
DAIMLER SYSTEMNORTHINC AME REGS ( 112.31)
103.31) 11
5,650 1,096
5,784 1,184
5,768
LANNETT
FORD CO INC
100.67) 9
3,330 63
3,330 64
3,348
LANTHEUS
FORD CREDIT HOLDINGS
AUTO OWNER INC T B A2A ( 14.30)
100.13) 15
453 195
453 212
453
LATTICE
HONDA AUTO SEMICONDUCTOR
RECEIVABLESCORP 20 2 A2 ( 28.39)
100.75) 36
3,922 854
3,922 1,027
3,949
LAUREATE
HONDA AUTO EDUCATION
100.97) 28
5,900 216
5,900 276
5,953
LA-Z-BOY
HONEYWELL INCINTERNATIONAL INC ( 27.06)
101.90) 13
3,350 279
3,219 345
3,403
LCI INDUSTRIES
HYUNDAI AUTO RECEIVABLES A A3 ( 114.98)
100.08) 7
450 529
445 772
450
LEGG
HYUNDAI MASONAUTO INC
100.11) 23
229 1,167
229 1,155
229
LEGGETT &AUTO
HYUNDAI PLATT INC
100.71) 36
1,462 1,093
1,462 1,234
1,471
LEMAITREAUTO
HYUNDAI VASCULAR INC
102.01) 5
2,500 112
2,500 119
2,547
LENDINGCLUB
IBM CREDIT LLCCORP ( 4.55)
100.09) 17
7,100 87
7,096 78
7,098
LENDINGTREE INC DEVELOPMENT BAN
INTER-AMERICAN ( 289.53)
99.69) 2
5,400 497
5,400 610
5,382
LEVI STRAUSS & CO
99.92) 17
4,200 211
4,200 230
4,190
LEXINGTON
JOHN DEEREREALTY CAPITALTRUSTCORP ( 10.55)
100.04) 68
2,600 606
2,600 714
2,592
LGI
JOHNHOMES
DEEREINC CAPITAL CORP ( 88.03)
100.42) 6
9,390 402
9,429 511
9,425
LHC
JOHNGROUP
101.01) 8
2,135 1,180
2,134 1,402
2,133
LIBERTY
JOHN LATIN
DEERE AMERICA
OWNER LTD20 B A2
TRUST ( 9.44)
100.61) 32
3,556 271
3,556 298
3,575
LIBERTY
JOHNSON LATIN AMERICA LTD
& JOHNSON ( 9.72)
103.07) 11
4,000 93
3,989 104
4,093
LIBERTY MEDIA CORP-LIBERTY
KREDITANSTALT FUER WIEDERAUFBA BRA ( 19.74)
100.64) 9
1,300 163
1,343 180
1,299
LIBERTY MEDIA CORP-LIBERTY BRA ( 20.08) 2 42 46
Developed
LIBERTY International
OILFIELD SERVICES Equity
INC ( 5.48) 16 69 89
BLACKROCK
LIBERTY MSCI CANADA
TRIPADVISOR SMALLI
HOLDINGS ($
( 12.52)
2.13) 4,349
19 ($ 54,091
29 ($ 54,449
40
BLACKROCK
LIFE STORAGE MSCI
INC EAFE SMALL CAP ( 15.56)
94.95) 38,364
12 604,749
1,082 596,972
1,185
LIGAND PHARMACEUTICALS INC ( 111.85) 42,713
4 ($ 658,840
441 ($ 651,420
499
Developed NETWORKS
LIMELIGHT International Equity Receivable
INC ( 7.36) 31 158 -
232
Total Developed
LINCOLN ELECTRIC International
HOLDINGS INC Equity ( 84.24) 15 1,101 ($ 651,420
1,287
LINDBLAD EXPEDITIONS HOLDINGS ( 7.72) 8 44 59
Issuer
LINDSAY CORP ( Price 92.21) Shares
3 Cost
254 Market Value
272
Emerging
LIONS GATE Markets Equity
ENTERTAINMENT CORP ( 6.83) 29 199 197
BLACKROCK
LIONS EME SMALL CAP CORP
GATE ENTERTAINMENT ($
( 11.31)
7.41) 14,598
18 ($ 175,089
133 ($ 165,079
134
LSV EMERGING
LITHIA MOTORSMARKETS INC EQUITY ( 254.81)
151.33) 790
6 334,078
607 201,358
922
MSCI EMF (EMERGING
LITTELFUSE INC MKTS FREE) ( 49.38)
170.63) 15,223
7 735,781
899 751,779
1,112
NUMERIC EME
LIVANOVA PLC SMALL CAP ( 861.00)
48.13) 146
13 141,148
628 125,566
628
STATE
LIVE STREET
OAK EME
BANCSHARES INC ( 27.46)
14.51) 27,379
9 710,000
109 751,750
136
Emerging
LIVENT CORPMarkets Equity ( 6.16) 58,137
40 ($ 2,096,096
203 ($ 1,995,532
243
Emerging Markets
LIVEPERSON INC Equity Receivable ( 41.43) 17 623 -
701
Total Emerging
LIVERAMP HOLDINGSMarkets INCEquity ( 42.47) 18 665 ($ 1,995,532
769
LIVONGO HEALTH INC ( 75.19) 10 631 785
LOGMEIN
Issuer INC ( Price 84.77) 13
Shares 1,111
Cost 1,107
Market Value
LORAL SPACE
Equity Options&Strategy
COMMUNICATIONS I ( 19.52) 3 58 63
LOUISIANA-PACIFIC
AMERICAN EXPRESSCORP CO (
($ 25.65)
103.56) 30
350 ($ 591
355 ($ 773
359
LPL FINANCIAL
AMERICAN HOLDINGS
EXPRESS CREDIT INC
AC 1 A ( 78.40)
104.19) 21
4,760 1,292
4,896 1,679
4,953
LTC PROPERTIES
AMERICAN HONDA INCFINANCE CO 144A ( 37.67)
100.69) 11
4,065 364
4,281 411
4,049
LUMENTUM
AMERICAN HONDA HOLDINGS INC CORP
FINANCE ( 81.43)
99.68) 20
7,000 1,481
7,014 1,634
6,967
LUMINEX
1.54) 12
30,405 391
30,391 376
46,932
LUTHER BURBANK
AQR VOLATILITY CORP
RISK ( 10.00)
0.65) 7
57,361 64
57,530 73
37,548
LUXFER
BANK OFHOLDINGS PLC
100.07) 7
1,500 91
1,503 105
1,500
M/I HOMESBANK
BARCLAYS INC PLC ( 34.44)
100.07) 8
3,660 196
3,660 267
3,659
MACERICH
BMW US CAPITALCO/THELLC 144A ( 8.97)
99.70) 31
9,074 195
9,076 278
9,011
MACK-CALI
CATERPILLAR REALTY CORPSERVICES
FINANCIAL ( 15.29)
99.97) 25
1,600 334
1,602 375
1,598
MACOM TECHNOLOGY
CATERPILLAR FINANCIALSOLUTIONS
SERVICES HOL ( 34.35)
100.05) 13
1,425 369
1,429 435
1,425
MACQUARIE
CATERPILLARINFRASTRUCTURE
FINANCIAL SERVICES CORP ( 30.69)
101.97) 20
5,115 533
5,011 610
5,191
MACROGENICS
100.14) 13
2,000 336
2,000 352
1,988
MACY'S
CITIGROUPINCINC ( 6.88)
100.78) 79
2,358 398
2,390 545
2,374
MADISON
COOPERATIEVESQUARE GARDENUA/NY
RABOBANK ENTERTAI ( 75.00)
100.14) 4
7,000 304
7,000 312
7,008
MADISON SQUARECORPORATE
CREDIT AGRICOLE GARDEN SPORTS AND C ( 146.89)
99.99) 4
8,000 643
8,000 613
7,984
MADRIGAL
CREDIT SUISSE PHARMACEUTICALS
AG/NEW YORK NY INC ( 113.25)
100.36) 3
7,700 311
7,857 309
7,591
MAGELLAN
DAIMLER FINANCEHEALTHNORTH INC AME REGS ( 72.98)
103.31) 6
5,650 404
5,784 431
5,768
MAGNACHIP
FORD CREDITSEMICONDUCTOR
AUTO OWNER T A CORP A2A ( 10.30)
100.67) 8
3,330 90
3,330 84
3,348
MAGNOLIA
FORD CREDIT OIL & GAS
AUTO CORP T B A2A
OWNER ( 6.06)
100.13) 33
453 166
453 198
453
MALIBU
HONDA AUTOBOATSRECEIVABLES
INC 20 2 A2 ( 51.95)
100.75) 5
3,922 196
3,922 285
3,949
MANHATTAN
HONDA AUTOASSOCIATES
RECEIVABLESINC 20 4 A2 ( 94.20)
100.97) 17
5,900 1,218
5,900 1,614
5,953
MANITOWOCINTERNATIONAL
HONEYWELL CO INC/THE INC ( 10.88)
101.90) 10
3,350 81
3,219 108
3,403
MANPOWERGROUP
HYUNDAI AUTO RECEIVABLES INC A A3 ( 68.75)
100.08) 16
450 1,091
445 1,084
450
MANTECHAUTO
HYUNDAI INTERNATIONAL
RECEIVABLES CORP/VA
B A2 ( 68.49)
100.11) 7
229 492
229 498
229
MARATHON
HYUNDAI AUTO OIL RECEIVABLES
CORP B A2 ( 6.12)
100.71) 213
1,462 1,145
1,462 1,302
1,471
MARCUS
HYUNDAI&AUTO MILLICHAP INC B A3
102.01) 6
2,500 151
2,500 182
2,547
MARCUS
IBM CREDIT CORP/THE
LLC ( 13.27)
100.09) 6
7,100 60
7,096 75
7,098
MARINEMAX INC DEVELOPMENT BAN
99.69) 6
5,400 89
5,400 134
5,382
MARRIOTT
INTERNATIONAL VACATIONSBANK FORWORLDWIDE
RECONST C ( 82.21)
99.92) 11
4,200 786
4,200 907
4,190
MARTEN
JOHN DEERE TRANSPORT
CAPITAL CORPLTD ( 25.16)
100.04) 11
2,600 252
2,600 271
2,592
MASONITE
JOHN DEEREINTERNATIONAL
100.42) 6
9,390 368
9,429 497
9,425
MASTEC
101.01) 16
2,135 521
2,134 736
2,133
MATADOR
JOHN DEERE RESOURCES
OWNER TRUST CO 20 B A2 ( 8.50)
100.61) 30
3,556 224
3,556 256
3,575
MATERION
JOHNSON &CORP JOHNSON ( 61.49)
103.07) 6
4,000 268
3,989 339
4,093
MATRIX SERVICEFUER
KREDITANSTALT CO WIEDERAUFBA ( 9.72)
100.64) 8
1,300 70
1,343 75
1,299
MATSON INC ( 29.10) 3 70 79
Developed
MATTEL INCInternational Equity ( 9.67) 93 753 900
BLACKROCK MSCI
MATTHEWS CANADA SMALL
INTERNATIONAL CORP ($
( 12.52)
19.10) 4,349
8 ($ 54,091
160 ($ 54,449
157
BLACKROCK
MAXAR MSCI EAFE SMALL
TECHNOLOGIES INC CAP ( 15.56)
17.96) 38,364
16 604,749
144 596,972
284
Developed
MAXIMUS INC International Equity ( 70.45) 42,713
17 ($ 658,840
1,114 ($ 651,420
1,208
Developed
MAXLINEARInternational
398
Total Developed
MBIA INC International Equity ( 7.25) 19 119 ($ 651,420
140
MCEWEN MINING INC ( 1.01) 93 83 94
Issuer
MCGRATH RENTCORP ( Price 54.01) Shares
7 Cost
320 Market Value
361
Emerging
MDC Markets
HOLDINGS INCEquity ( 35.70) 15 391 523
BLACKROCK
MDU RESOURCES EME SMALL
GROUPCAP INC ($
( 11.31)
22.18) 14,598
54 ($ 175,089
1,044 ($ 165,079
1,184
LSV EMERGING
MEDALLIA INC MARKETS EQUITY ( 254.81)
25.24) 790
20 334,078
545 201,358
516
MSCI EMF (EMERGING
MEDIFAST INC MKTS FREE) ( 49.38)
138.77) 15,223
3 735,781
260 751,779
389
NUMERICINC
MEDNAX EME SMALL CAP ( 861.00)
17.10) 146
23 141,148
319 125,566
394
STATE STREET
MEDPACE HOLDINGSEME INC ( 27.46)
93.02) 27,379
8 710,000
631 751,750
725
Emerging Markets
MEIRAGTX HOLDINGS Equity
PLC ( 12.52) 58,137
4 ($ 2,096,096
58 ($ 1,995,532
49
Emerging
MERCANTILE Markets
BANKEquity
CORP Receivable ( 22.60) 5 107 -
123
Total Emerging
MERCER Markets Equity
INTERNATIONAL INC ( 8.16) 12 90 ($ 1,995,532
94
MERCHANTS BANCORP/IN ( 18.49) 4 53 69
MERCURY GENERAL CORP
Shares 288
Cost 322
Market Value
MERCURY SYSTEMS
Equity Options INC
Strategy ( 78.66) 15 1,260 1,177
MEREDITH CORP
($ 14.55)
103.56) 11
350 ($ 141
355 ($ 164
359
MERIDIAN
AMERICANBANCORPEXPRESS CREDITINC AC 1 A ( 11.60)
104.19) 15
4,760 152
4,896 176
4,953
MERIDIAN
AMERICANBIOSCIENCE
HONDA FINANCE INC CO 144A ( 23.29)
100.69) 11
4,065 194
4,281 264
4,049
MERIT
AMERICAN MEDICAL
HONDA SYSTEMS
FINANCE INCCORP ( 45.65)
99.68) 13
7,000 525
7,014 611
6,967
MERITAGE
AQR STYLE HOMESPREMIA CORP ( 76.12)
1.54) 10
30,405 565
30,391 779
46,932
MERITOR INC RISK
AQR VOLATILITY ( 19.80)
0.65) 19
57,361 329
57,530 380
37,548
MERSANA THERAPEUTICS INC IL
100.07) 13
1,500 307
1,503 316
1,500
MERUS
BARCLAYS NVBANK PLC ( 16.09)
100.07) 4
3,660 58
3,660 68
3,659
MESA US
BMW LABORATORIES
CAPITAL LLC 144A INC ( 216.80)
99.70) 1
9,074 289
9,076 276
9,011
META FINANCIAL
CATERPILLAR GROUPSERVICES
FINANCIAL INC ( 18.17)
99.97) 9
1,600 125
1,602 163
1,598
METHODE
CATERPILLAR ELECTRONICS INC
100.05) 10
1,425 278
1,429 319
1,425
MFA FINANCIAL
CATERPILLAR INC
101.97) 123
5,115 187
5,011 306
5,191
MGE ENERGY
100.14) 9
2,000 561
2,000 604
1,988
MGIC INVESTMENT
100.78) 94
2,358 610
2,390 768
2,374
MGM GROWTH RABOBANK
COOPERATIEVE PROPERTIESUA/NY LLC ( 27.21)
100.14) 35
7,000 805
7,000 944
7,008
MGP
CREDITINGREDIENTS INC
AGRICOLE CORPORATE AND ( 36.71)
99.99) 4
8,000 122
8,000 132
7,984
MICHAELS
CREDIT SUISSE COS AG/NEW
INC/THE YORK NY ( 7.07)
100.36) 21
7,700 68
7,857 147
7,591
MICROSTRATEGY
DAIMLER FINANCEINC NORTH AME REGS ( 118.29)
103.31) 2
5,650 249
5,784 256
5,768
MIDDLEBY
FORD CREDIT CORP/THE
100.67) 15
3,330 1,036
3,330 1,190
3,348
MIDDLESEX
FORD CREDITWATER AUTO CO OWNER T B A2A ( 67.18)
100.13) 5
453 295
453 322
453
MIDLAND
HONDA AUTO STATES BANCORP 20
RECEIVABLES INC2 A2 ( 14.95)
100.75) 8
3,922 110
3,922 121
3,949
MIDWESTONE FINANCIAL GROUP
HONDA AUTO RECEIVABLES 20 4 A2INC ( 20.00)
100.97) 6
5,900 95
5,900 113
5,953
MIMECAST
HONEYWELLLTD INTERNATIONAL INC ( 41.66)
101.90) 16
3,350 616
3,219 665
3,403
MINERALS
HYUNDAI AUTO TECHNOLOGIES
100.08) 9
450 400
445 442
450
MIRATI
HYUNDAI THERAPEUTICS
100.11) 8
229 798
229 869
229
MKS INSTRUMENTS
HYUNDAI INC
100.71) 15
1,462 1,399
1,462 1,664
1,471
MOBILE MINI
HYUNDAI AUTO INCRECEIVABLES B A3 ( 29.50)
102.01) 11
2,500 309
2,500 334
2,547
MOBILEIRON
IBM CREDIT LLC INC ( 4.93)
100.09) 23
7,100 101
7,096 113
7,098
MODEL N INC
99.69) 7
5,400 209
5,400 236
5,382
MOELIS & CO BANK FOR RECONST
99.92) 15
4,200 405
4,200 452
4,190
MOLECULAR
JOHN DEERE CAPITALTEMPLATES CORPINC ( 13.79)
100.04) 5
2,600 81
2,600 72
2,592
MOMENTA
100.42) 30
9,390 877
9,429 999
9,425
MONARCH
JOHN DEERECASINO CAPITAL & CORP
RESORT INC ( 34.08)
101.01) 3
2,135 96
2,134 115
2,133
MONMOUTH
JOHN DEERE OWNER REAL ESTATE
TRUSTINVESTMEN
20 B A2 ( 14.49)
100.61) 25
3,556 301
3,556 368
3,575
MONOLITHIC
JOHNSON & JOHNSON POWER SYSTEMS INC ( 237.00)
103.07) 11
4,000 2,300
3,989 2,698
4,093
MONRO INC
100.64) 9
1,300 453
1,343 492
1,299
MOOG INC ( 52.98) 9 359 457
MORNINGSTAR INC Equity ( 140.97) 6 925 893
BLACKROCK
MR COOPER MSCI GROUP CANADA
INC SMALL ($
( 12.52)
12.44) 4,349
20 ($ 54,091
173 ($ 54,449
251
BLACKROCK
MRC GLOBALMSCI INC EAFE SMALL CAP ( 15.56)
5.91) 38,364
21 604,749
92 596,972
123
Developed
MSA SAFETYInternational
INC Equity ( 114.44) 42,713
10 ($ 658,840
1,149 ($ 651,420
1,134
Developed
MSC INDUSTRIALInternational
DIRECT CO Equity
INCReceivable ( 72.81) 12 719 -
880
Total NETWORKS
MSG Developed International
INC Equity ( 9.95) 11 126 ($ 651,420
106
MTS SYSTEMS CORP ( 17.59) 5 80 92
Issuer
MUELLER INDUSTRIES INC ( Price 26.58) Shares
14 Cost
316 Market Value
373
Emerging WATER
MUELLER MarketsPRODUCTS
Equity INC ( 9.43) 41 325 387
BLACKROCK
MURPHY OILEME CORP SMALL CAP ($
( 11.31)
13.80) 14,598
39 ($ 175,089
450 ($ 165,079
541
LSV EMERGING
MURPHY USA INC MARKETS EQUITY ( 254.81)
112.59) 790
8 334,078
829 201,358
874
MSCI EMF
MYERS (EMERGING
INDUSTRIES INCMKTS FREE) ( 49.38)
14.55) 15,223
9 735,781
102 751,779
125
NUMERIC EME
MYOKARDIA INCSMALL CAP ( 861.00)
96.62) 146
13 141,148
1,445 125,566
1,280
STATE
MYOVANTSTREET EME LTD
SCIENCES ( 27.46)
20.62) 27,379
10 710,000
126 751,750
204
Emerging
MYR GROUP Markets
INC Equity ( 31.91) 58,137
5 ($ 2,096,096
111 ($ 1,995,532
145
EmergingGENETICS
MYRIAD Markets INC Equity Receivable ( 11.34) 20 300 -
232
Total EmergingTECHNOLOGIES
NANOSTRING Markets EquityINC ( 29.35) 10 291 ($ 1,995,532
295
NAPCO SECURITY TECHNOLOGIES IN ( 23.39) 3 64 71
NATERA INC
Shares 832
Cost 889
Market Value
NATIONAL BANKStrategy
Equity Options HOLDINGS CORP ( 27.00) 8 193 213
NATIONAL
AMERICANBEVERAGE
EXPRESS CO CORP (
($ 61.02)
103.56) 3
350 ($ 165
355 ($ 195
359
NATIONAL
AMERICANCINEMEDIA
EXPRESS CREDIT INC AC 1 A ( 2.97)
104.19) 18
4,760 51
4,896 53
4,953
NATIONAL FUEL
AMERICAN HONDA GASFINANCE
CO CO 144A ( 41.93)
100.69) 21
4,065 855
4,281 868
4,049
NATIONAL
AMERICANGENERAL
HONDA FINANCEHOLDINGS CORP
CORP ( 21.61)
99.68) 19
7,000 314
7,014 406
6,967
NATIONAL
AQR STYLE HEALTH
PREMIA INVESTORS INC ( 60.72)
1.54) 12
30,405 579
30,391 717
46,932
NATIONAL HEALTHCARE
AQR VOLATILITY RISK CORP ( 63.44)
0.65) 3
57,361 207
57,530 211
37,548
NATIONAL INSTRUMENTS CORPIL
100.07) 33
1,500 1,206
1,503 1,292
1,500
NATIONAL BANK
BARCLAYS PRESTO PLCINDUSTRIES INC ( 87.39)
100.07) 1
3,660 119
3,660 128
3,659
NATIONAL RESEARCH
BMW US CAPITAL LLC CORP
144A ( 58.21)
99.70) 4
9,074 184
9,076 211
9,011
NATIONAL
CATERPILLAR STORAGE
FINANCIAL AFFILIATES
SERVICESTR ( 28.66)
99.97) 16
1,600 413
1,602 464
1,598
NATIONAL
CATERPILLAR VISION HOLDINGS
FINANCIAL INC
SERVICES ( 30.52)
100.05) 22
1,425 522
1,429 658
1,425
NATIONAL
CATERPILLAR WESTERN
FINANCIAL LIFESERVICES
GROUP IN ( 203.19)
101.97) 1
5,115 116
5,011 137
5,191
NATUS
CITIBANKMEDICAL
CREDIT INC CARD ISS A8 A8 ( 21.82)
100.14) 9
2,000 202
2,000 203
1,988
NAVIENT
CITIGROUP CORPINC ( 7.03)
100.78) 52
2,358 335
2,390 367
2,374
NAVISTAR
COOPERATIEVEINTERNATIONAL
RABOBANK CORP UA/NY ( 28.20)
100.14) 12
7,000 266
7,000 331
7,008
NBT BANCORP
CREDIT AGRICOLE INCCORPORATE AND ( 30.76)
99.99) 12
8,000 345
8,000 358
7,984
NCR CORP
CREDIT SUISSE AG/NEW YORK NY ( 17.32)
100.36) 34
7,700 559
7,857 595
7,591
NEENAH
DAIMLERINC FINANCE NORTH AME REGS ( 49.46)
103.31) 5
5,650 212
5,784 233
5,768
NEKTAR THERAPEUTICS
FORD CREDIT AUTO OWNER T A A2A ( 23.16)
100.67) 47
3,330 1,035
3,330 1,098
3,348
NELNET
FORD INC AUTO OWNER T B A2A
CREDIT ( 47.74)
100.13) 5
453 241
453 257
453
NEOGEN
HONDA AUTOCORPRECEIVABLES 20 2 A2 ( 77.60)
100.75) 14
3,922 924
3,922 1,097
3,949
NEOGENOMICS INC
HONDA AUTO RECEIVABLES 20 4 A2 ( 30.98)
100.97) 27
5,900 728
5,900 826
5,953
NEOLEUKIN
HONEYWELLTHERAPEUTICS
INTERNATIONAL INCINC ( 16.60)
101.90) 7
3,350 83
3,219 113
3,403
NEOPHOTONICS CORP
HYUNDAI AUTO RECEIVABLES A A3 ( 8.88)
100.08) 12
450 104
445 107
450
NETGEAR INC RECEIVABLES B A2
HYUNDAI AUTO ( 25.89)
100.11) 8
229 194
229 213
229
NETSCOUT
HYUNDAI AUTO SYSTEMS INC
100.71) 20
1,462 457
1,462 510
1,471
NEVRO
HYUNDAI CORP
102.01) 8
2,500 961
2,500 971
2,547
NEW JERSEYLLC
IBM CREDIT RESOURCES CORP ( 32.65)
100.09) 26
7,100 797
7,096 831
7,098
NEW RELIC INC DEVELOPMENT BAN
99.69) 14
5,400 775
5,400 933
5,382
NEW RESIDENTIAL
INTERNATIONAL INVESTMENT
BANK COR
FOR RECONST ( 7.43)
99.92) 112
4,200 645
4,200 831
4,190
NEW
JOHNYORK
DEERECOMMUNITY
CAPITAL CORP BANCORP INC ( 10.20)
100.04) 127
2,600 1,134
2,600 1,295
2,592
NEW
JOHNYORK
DEEREMORTGAGE
CAPITAL CORP TRUST INC ( 2.61)
100.42) 104
9,390 180
9,429 267
9,425
NEW
JOHNYORK
DEERETIMES
CAPITALCO/THECORP ( 42.03)
101.01) 38
2,135 1,374
2,134 1,585
2,133
NEWMARK
JOHN DEEREGROUP
OWNER INCTRUST 20 B A2 ( 4.86)
100.61) 41
3,556 149
3,556 202
3,575
NEWMARKET
JOHNSON & JOHNSON CORP ( 400.48)
103.07) 2
4,000 1,000
3,989 954
4,093
NEXPOINT RESIDENTIAL
KREDITANSTALT TRUST INC
100.64) 5
1,300 148
1,343 187
1,299
NEXSTAR MEDIA GROUP INC ( 83.69) 12 862 1,036
Developed INC
NEXTCURE International Equity ( 21.44) 3 99 68
BLACKROCK
NEXTERA MSCI CANADA
ENERGY PARTNERS SMALL
LP ($
( 12.52)
51.28) 4,349
16 ($ 54,091
759 ($ 54,449
826
BLACKROCK
NEXTGEN MSCI EAFE SMALL
HEALTHCARE INC CAP ( 15.56)
10.98) 38,364
13 604,749
117 596,972
147
NEXTIER OILFIELD EquityINC
SOLUTIONS ( 2.45) 42,713
46 ($ 658,840
106 ($ 651,420
112
Developed
NIC INC International Equity Receivable ( 22.96) 18 402 -
416
Total Developed
NICOLET BANKSHARES International
INC Equity ( 54.80) 3 144 ($ 651,420
167
NLIGHT INC ( 22.26) 9 209 209
IssuerHOLDINGS INC
NMI ( Price 16.08) Shares
22 Cost
289 Market Value
359
Emerging
NOBLE Markets
ENERGY INCEquity ( 8.96) 131 1,143 1,170
BLACKROCK
NORDSTROMEME INCSMALL CAP ($
( 11.31)
15.49) 14,598
30 ($ 175,089
475 ($ 165,079
457
LSV EMERGING
NORTHERN MARKETS
OIL AND EQUITY
GAS INC ( 254.81)
0.84) 790
78 334,078
66 201,358
66
MSCI EMF (EMERGING
NORTHFIELD BANCORPMKTS INC FREE) ( 49.38)
11.52) 15,223
15 735,781
155 751,779
177
NUMERIC
NORTHWEST EME SMALL CAP INC
BANCSHARES ( 861.00)
10.23) 146
32 141,148
293 125,566
327
STATE STREETNATURAL
NORTHWEST EME HOLDING CO ( 27.46)
55.79) 27,379
8 710,000
486 751,750
460
Emerging MarketsCORP
NORTHWESTERN Equity ( 54.52) 58,137
14 ($ 2,096,096
749 ($ 1,995,532
743
Emerging Markets
NORWEGIAN CRUISE Equity
LINE Receivable
HOLDINGS ( 16.43) 67 1,054 -
1,102
Total
NOVANTAEmerging
INC Markets Equity ( 106.77) 9 888 ($ 1,995,532
1,003
NOVAVAX INC ( 83.35) 14 668 1,154
NOVOCURE
Issuer LTD ( Price 59.30) 23
Shares 1,384
Cost 1,349
Market Value
NOW INC
Equity Options Strategy ( 8.63) 30 184 258
NU SKIN ENTERPRISES
AMERICAN EXPRESS COINC (
($ 38.23)
103.56) 15
350 ($ 498
355 ($ 573
359
NUANCE
AMERICAN COMMUNICATIONS
EXPRESS CREDIT AC INC1A ( 25.31)
104.19) 76
4,760 1,493
4,896 1,925
4,953
NUTANIX INC
100.69) 47
4,065 956
4,281 1,117
4,049
NUVASIVE
AMERICANINC HONDA FINANCE CORP ( 55.66)
99.68) 14
7,000 762
7,014 780
6,967
NV5
AQR GLOBAL
STYLE PREMIAINC ( 50.83)
1.54) 3
30,405 105
30,391 136
46,932
NVE
AQR CORP
VOLATILITY RISK ( 61.83)
0.65) 2
57,361 85
57,530 97
37,548
NVENT
BANK OF ELECTRIC PLC
100.07) 43
1,500 716
1,503 811
1,500
OCEANEERING
BARCLAYS BANKINTERNATIONAL
PLC INC ( 6.39)
100.07) 27
3,660 131
3,660 173
3,659
OCEANFIRST
BMW US CAPITAL FINANCIAL CORP
LLC 144A ( 17.63)
99.70) 18
9,074 254
9,076 316
9,011
ODONATE
CATERPILLAR THERAPEUTICS INC
99.97) 3
1,600 91
1,602 139
1,598
OFFICE DEPOTFINANCIAL
CATERPILLAR INC SERVICES ( 2.35)
100.05) 143
1,425 289
1,429 336
1,425
OFFICE PROPERTIES
CATERPILLAR FINANCIALINCOME TRUST
SERVICES ( 25.97)
101.97) 13
5,115 280
5,011 332
5,191
OFG BANCORP
100.14) 13
2,000 176
2,000 175
1,988
O-I GLASS INC
100.78) 40
2,358 255
2,390 362
2,374
OLD REPUBLIC INTERNATIONAL
COOPERATIEVE RABOBANK UA/NY COR ( 16.31)
100.14) 80
7,000 1,105
7,000 1,305
7,008
OLIN CORP
99.99) 43
8,000 482
8,000 490
7,984
OLLIE'S BARGAIN
CREDIT SUISSE OUTLETYORK
AG/NEW HOLDING
NY ( 97.65)
100.36) 15
7,700 1,100
7,857 1,502
7,591
OMEGA FLEX
DAIMLER FINANCEINC NORTH AME REGS ( 105.80)
103.31) 1
5,650 71
5,784 81
5,768
OMEROS
FORD CORP
100.67) 12
3,330 176
3,330 184
3,348
OMNICELL
FORD CREDIT INCAUTO OWNER T B A2A ( 70.62)
100.13) 11
453 684
453 806
453
ONE
HONDAGASAUTO
INC RECEIVABLES 20 2 A2 ( 77.05)
100.75) 14
3,922 1,075
3,922 1,085
3,949
ONE LIBERTY
HONDA AUTOPROPERTIES
RECEIVABLES INC
20 4 A2 ( 17.62)
100.97) 4
5,900 60
5,900 75
5,953
ONEMAIN HOLDINGS
HONEYWELL INC
101.90) 22
3,350 416
3,219 540
3,403
ONESPAN
HYUNDAI AUTOINC RECEIVABLES A A3 ( 27.93)
100.08) 9
450 160
445 243
450
ONESPAWORLD HOLDINGS LTD
100.11) 13
229 69
229 61
229
ONTO INNOVATION
HYUNDAI INC
100.71) 14
1,462 419
1,462 468
1,471
OPKO
HYUNDAI HEALTH
AUTOINC RECEIVABLES B A3 ( 3.41)
102.01) 117
2,500 279
2,500 400
2,547
OPTION
IBM CREDITCARE LLCHEALTH INC ( 13.88)
100.09) 9
7,100 111
7,096 127
7,098
ORASURE TECHNOLOGIES
INTER-AMERICAN INC
99.69) 19
5,400 298
5,400 219
5,382
ORIGIN BANCORPBANK
INTERNATIONAL INC FOR RECONST ( 22.00)
99.92) 7
4,200 134
4,200 155
4,190
ORION ENGINEERED
JOHN DEERE CAPITALCARBONS
CORP SA ( 10.59)
100.04) 17
2,600 189
2,600 181
2,592
ORMAT
JOHN DEERETECHNOLOGIES
100.42) 11
9,390 721
9,429 695
9,425
ORTHOFIX
JOHN DEERE MEDICAL
CAPITALINC CORP ( 32.00)
101.01) 5
2,135 172
2,134 165
2,133
ORTHOPEDIATRICS
JOHN DEERE OWNER CORP
TRUST 20 B A2 ( 43.76)
100.61) 3
3,556 123
3,556 126
3,575
OSHKOSH
JOHNSON CORP& JOHNSON ( 71.62)
103.07) 18
4,000 1,098
3,989 1,313
4,093
OSI SYSTEMS INCFUER WIEDERAUFBA
100.64) 5
1,300 323
1,343 349
1,299
OTTER TAIL CORP ( 38.79) 10 390 385
OUTFRONT MEDIA INC Equity ( 14.17) 39 452 552
BLACKROCK MSCI CANADA
OVERSTOCK.COM INC SMALL ($
( 12.52)
28.43) 4,349
10 ($ 54,091
192 ($ 54,449
286
BLACKROCK
OVINTIV INCMSCI EAFE SMALL CAP ( 15.56)
9.55) 38,364
70 604,749
545 596,972
668
Developed
OWENS & MINORInternationalINC Equity ( 7.62) 42,713
16 ($ 658,840
111 ($ 651,420
125
Developed
OXFORD International
INDUSTRIES INC Equity Receivable ( 44.01) 5 165 -
201
Total
P DevelopedCO
H GLATFELTER International Equity ( 16.05) 12 168 ($ 651,420
196
PACIFIC BIOSCIENCES OF CALIFOR ( 3.45) 39 137 135
Issuer PREMIER BANCORP INC
PACIFIC ( Price 21.68) Shares
25 Cost
435 Market Value
540
Emerging
PACIRA Markets Equity
BIOSCIENCES INC ( 52.47) 11 451 568
BLACKROCK
PACWEST EME SMALL CAP
BANCORP ($
( 11.31)
19.71) 14,598
32 ($ 175,089
514 ($ 165,079
637
LSV EMERGING
PAE INC MARKETS EQUITY ( 254.81)
9.56) 790
14 334,078
136 201,358
138
MSCI EMF (EMERGING
PAGERDUTY INC MKTS FREE) ( 49.38)
28.62) 15,223
7 735,781
164 751,779
186
NUMERIC EME
PALOMAR HOLDINGS SMALLINC CAP ( 861.00)
85.76) 146
5 141,148
255 125,566
386
STATEJOHN'S
PAPA STREETINTERNATIONAL
EME INC ( 27.46)
79.41) 27,379
8 710,000
627 751,750
621
Emerging
PAR Markets
PACIFIC HOLDINGS EquityINC ( 8.99) 58,137
10 ($ 2,096,096
83 ($ 1,995,532
93
Emerging
PARAMOUNT Markets GROUP Equity
INC Receivable ( 7.71) 50 369 -
382
Total Emerging
PARK AEROSPACE Markets
CORP Equity ( 11.14) 5 64 ($ 1,995,532
58
PARK HOTELS & RESORTS INC ( 9.89) 65 460 641
PARK
IssuerNATIONAL CORP ( Price 70.38) 4
Shares 301
Cost 304
Market Value
PARSLEY ENERGY
Equity Options INC
Strategy ( 10.68) 81 691 868
PARSONS
AMERICANCORP EXPRESS CO (
($ 36.24)
103.56) 7
350 ($ 261
355 ($ 242
359
PASSAGE
AMERICAN BIO INC CREDIT AC 1 A
EXPRESS ( 27.33)
104.19) 3
4,760 77
4,896 96
4,953
PATRICK INDUSTRIES
AMERICAN HONDA FINANCE INC CO 144A ( 61.25)
100.69) 6
4,065 247
4,281 373
4,049
PATTERSON
AMERICAN HONDA COS INCFINANCE CORP ( 22.00)
99.68) 23
7,000 358
7,014 512
6,967
PATTERSON-UTI
AQR STYLE PREMIA ENERGY INC ( 3.47)
1.54) 48
30,405 151
30,391 166
46,932
PAYLOCITY HOLDING
AQR VOLATILITY RISK CORP ( 145.89)
0.65) 9
57,361 1,054
57,530 1,367
37,548
PAYSIGN
BANK OF INCMONTREAL/CHICAGO IL ( 9.71)
100.07) 7
1,500 48
1,503 71
1,500
PBF ENERGY
BARCLAYS BANK INC PLC ( 10.24)
100.07) 28
3,660 264
3,660 284
3,659
PC
BMWCONNECTION
US CAPITALINC LLC 144A ( 46.36)
99.70) 3
9,074 118
9,076 150
9,011
PDC ENERGY INC
99.97) 27
1,600 281
1,602 333
1,598
PDF SOLUTIONS
CATERPILLAR INC
100.05) 8
1,425 119
1,429 151
1,425
PDL BIOPHARMA
CATERPILLAR INC
101.97) 27
5,115 95
5,011 80
5,191
PEABODY CREDIT
CITIBANK ENERGYCARD CORPISS A8 A8 ( 2.88)
100.14) 18
2,000 53
2,000 51
1,988
PEAPACK-GLADSTONE
CITIGROUP INC FINANCIAL CO ( 18.73)
100.78) 5
2,358 84
2,390 102
2,374
PEBBLEBROOK
COOPERATIEVEHOTEL RABOBANK TRUSTUA/NY ( 13.66)
100.14) 36
7,000 340
7,000 486
7,008
PEGASYSTEMS
CREDIT AGRICOLE INCCORPORATE AND ( 101.17)
99.99) 11
8,000 924
8,000 1,084
7,984
PENN
CREDITNATIONAL
SUISSE AG/NEW GAMING INC NY
YORK ( 30.54)
100.36) 34
7,700 592
7,857 1,034
7,591
PENNANT GROUP INC/THE
103.31) 7
5,650 123
5,784 160
5,768
PENNYMAC
FORD CREDITFINANCIAL
AUTO OWNER SERVICES IN
T A A2A ( 41.79)
100.67) 15
3,330 634
3,330 632
3,348
PENNYMAC
FORD CREDITMORTGAGEAUTO OWNER INVESTMENT
T B A2A T ( 17.53)
100.13) 27
453 241
453 473
453
PENSKE
HONDA AUTOMOTIVE
AUTO RECEIVABLES GROUP 20INC
2 A2 ( 38.71)
100.75) 9
3,922 282
3,922 338
3,949
PENUMBRA
100.97) 9
5,900 1,485
5,900 1,599
5,953
PEOPLES BANCORP
HONEYWELL INC/OH INC
101.90) 7
3,350 148
3,219 157
3,403
PEOPLE'S
HYUNDAI UTAH
AUTO BANCORP
RECEIVABLES A A3 ( 22.47)
100.08) 5
450 98
445 120
450
PERDOCEO
HYUNDAI AUTO EDUCATION
RECEIVABLES CORP B A2 ( 15.93)
100.11) 19
229 280
229 305
229
PERFICIENT
HYUNDAI AUTO INC RECEIVABLES B A2 ( 35.78)
100.71) 9
1,462 289
1,462 315
1,471
PERFORMANCE
HYUNDAI AUTO FOOD GROUP BCO
RECEIVABLES A3 ( 29.14)
102.01) 35
2,500 765
2,500 1,024
2,547
PERSPECTA
IBM CREDIT INC LLC ( 23.23)
100.09) 39
7,100 836
7,096 904
7,098
PETIQ INC
99.69) 5
5,400 142
5,400 182
5,382
PETMED EXPRESSBANK
INTERNATIONAL INC FOR RECONST ( 35.64)
99.92) 6
4,200 183
4,200 198
4,190
PGT
JOHNINNOVATIONS
DEERE CAPITAL INCCORP ( 15.68)
100.04) 15
2,600 189
2,600 239
2,592
PHATHOM
JOHN DEERE PHARMACEUTICALS
100.42) 2
9,390 79
9,429 61
9,425
PHIBRO
JOHN ANIMAL
DEERE HEALTH
CAPITAL CORPCORP ( 26.27)
101.01) 5
2,135 126
2,134 143
2,133
PHREESIA
JOHN DEERE INCOWNER TRUST 20 B A2 ( 28.28)
100.61) 6
3,556 145
3,556 158
3,575
PHYSICIANS
JOHNSON & REALTYJOHNSON TRUST ( 17.52)
103.07) 53
4,000 803
3,989 925
4,093
PIEDMONT
KREDITANSTALT OFFICE FUERREALTY TRUST I
WIEDERAUFBA ( 16.61)
100.64) 34
1,300 474
1,343 566
1,299
PILGRIM'S PRIDE CORP ( 16.89) 17 339 281
Developed
PING IDENTITYInternational
HOLDING CORP Equity ( 32.09) 6 176 199
BLACKROCK
PINNACLE MSCI CANADA
FINANCIAL SMALL
PARTNERS IN ($
( 12.52)
41.99) 4,349
22 ($ 54,091
735 ($ 54,449
910
BLACKROCK
PIPER SANDLER MSCI COSEAFE SMALL CAP ( 15.56)
59.16) 38,364
4 604,749
229 596,972
263
Developed
PITNEY BOWESInternational
INC Equity ( 2.60) 42,713
45 ($ 658,840
100 ($ 651,420
118
Developed
PJT PARTNERS International
267
Total Developed
PLAINS GP HOLDINGS International
LP Equity ( 8.90) 48 406 ($ 651,420
424
PLANET FITNESS INC ( 60.57) 21 1,024 1,276
Issuer
PLANTRONICS INC ( Price 14.68) Shares
9 Cost
113 Market Value
133
Emerging
PLAYA Markets
HOTELS Equity NV
& RESORTS ( 3.62) 16 41 57
BLACKROCK
PLEXUS CORPEME SMALL CAP ($
( 11.31)
70.56) 14,598
8 ($ 175,089
471 ($ 165,079
567
LSV EMERGING
PLUG POWER INC MARKETS EQUITY ( 254.81)
8.21) 790
83 334,078
353 201,358
679
MSCI EMF (EMERGING
PLURALSIGHT INC MKTS FREE) ( 49.38)
18.05) 15,223
28 735,781
510 751,779
505
NUMERIC EME SMALL
PNM RESOURCES INC CAP ( 861.00)
38.44) 146
21 141,148
738 125,566
790
STATE STREET
POLARIS INC EME ( 27.46)
92.55) 27,379
16 710,000
1,376 751,750
1,454
Emerging
POLYONE CORPMarkets Equity ( 26.23) 58,137
25 ($ 2,096,096
518 ($ 1,995,532
650
Emerging
POOL CORP Markets Equity Receivable ( 271.87) 11 2,355 -
2,919
Total Emerging
POPULAR INC Markets Equity ( 37.17) 26 866 ($ 1,995,532
965
PORTLAND GENERAL ELECTRIC CO ( 41.81) 24 988 987
PORTOLA
Issuer PHARMACEUTICALS INC ( Price 17.99) 20
Shares 359
Cost 363
Market Value
POST
EquityHOLDINGS INC
Options Strategy ( 87.62) 18 1,542 1,554
POTLATCHDELTIC
AMERICAN EXPRESS CORPCO (
($ 38.03)
103.56) 18
350 ($ 574
355 ($ 690
359
POWELL
AMERICAN INDUSTRIES
EXPRESS CREDIT INC AC 1 A ( 27.39)
104.19) 3
4,760 67
4,896 77
4,953
POWER INTEGRATIONS
AMERICAN HONDA FINANCE INC CO 144A ( 118.13)
100.69) 8
4,065 814
4,281 939
4,049
PQ GROUP HOLDINGS
AMERICAN HONDA FINANCE INC CORP ( 13.24)
99.68) 11
7,000 119
7,014 148
6,967
PRA
AQR GROUP INC
STYLE PREMIA ( 38.66)
1.54) 12
30,405 400
30,391 474
46,932
PRA
AQR HEALTH
VOLATILITY SCIENCES
RISK INC ( 97.29)
0.65) 17
57,361 1,547
57,530 1,666
37,548
PRECIGEN
BANK INC
100.07) 19
1,500 54
1,503 94
1,500
PRECISIONBANK
BARCLAYS BIOSCIENCES
PLC INC ( 8.33)
100.07) 9
3,660 65
3,660 77
3,659
PREFERRED
BMW APARTMENT
US CAPITAL LLC 144A COMMUNITIE ( 7.60)
99.70) 12
9,074 76
9,076 92
9,011
PREFERRED BANK/LOS
CATERPILLAR FINANCIAL ANGELES
SERVICESCA ( 42.85)
99.97) 5
1,600 143
1,602 197
1,598
PREMIER
CATERPILLARFINANCIAL
FINANCIAL CORP SERVICES ( 17.67)
100.05) 12
1,425 175
1,429 207
1,425
PREMIER
CATERPILLARINC FINANCIAL SERVICES ( 34.28)
101.97) 19
5,115 573
5,011 654
5,191
PRESTIGE CONSUMER
CITIBANK CREDIT CARDHEALTHCARE
ISS A8 A8 I ( 37.56)
100.14) 14
2,000 533
2,000 512
1,988
PRICESMART
100.78) 6
2,358 298
2,390 348
2,374
PRIMERICA
COOPERATIEVE INC RABOBANK UA/NY ( 116.60)
100.14) 11
7,000 1,113
7,000 1,297
7,008
PRIMORIS
CREDIT SERVICES
AGRICOLE CORP
99.99) 12
8,000 164
8,000 213
7,984
PRINCIPIA
CREDIT SUISSEBIOPHARMA
AG/NEWINC YORK NY ( 59.79)
100.36) 7
7,700 423
7,857 398
7,591
PROASSURANCE
DAIMLER FINANCE CORPNORTH AME REGS ( 14.47)
103.31) 13
5,650 176
5,784 185
5,768
PROGENICS
FORD CREDITPHARMACEUTICALS
AUTO OWNER T A A2A INC ( 0.00)
100.67) 5
3,330 -
3,330 0
3,348
PROGRESS
FORD CREDIT SOFTWARE
AUTO OWNER CORP T B A2A ( 38.75)
100.13) 12
453 431
453 475
453
PROGYNY
100.75) 4
3,922 108
3,922 112
3,949
PROOFPOINT
100.97) 15
5,900 1,759
5,900 1,701
5,953
PROPETRO HOLDING
HONEYWELL INTERNATIONALCORP INC ( 5.14)
101.90) 21
3,350 89
3,219 110
3,403
PROS
HYUNDAIHOLDINGS INC
100.08) 11
450 344
445 493
450
PROSIGHT
HYUNDAI AUTO GLOBAL INC
100.11) 3
229 28
229 25
229
PROSPERITY
HYUNDAI AUTOBANCSHARES
RECEIVABLES INCB A2 ( 59.38)
100.71) 26
1,462 1,400
1,462 1,524
1,471
PROTHENAAUTO
HYUNDAI CORPRECEIVABLES
PLC B A3 ( 10.46)
102.01) 7
2,500 79
2,500 72
2,547
PROTO
IBM LABSLLC
CREDIT INC ( 112.47)
100.09) 7
7,100 667
7,096 769
7,098
PROVENTION
INTER-AMERICAN BIO INCDEVELOPMENT BAN ( 14.11)
99.69) 10
5,400 143
5,400 146
5,382
PROVIDENCE
INTERNATIONAL SERVICE
BANKCORP/THE
99.92) 3
4,200 206
4,200 263
4,190
PROVIDENT
JOHN DEEREFINANCIAL
CAPITAL CORP SERVICES I ( 14.45)
100.04) 17
2,600 193
2,600 240
2,592
PS BUSINESS
JOHN PARKS INC
DEERE CAPITAL CORP ( 132.40)
100.42) 5
9,390 615
9,429 724
9,425
PTC
JOHNTHERAPEUTICS
DEERE CAPITAL INCCORP ( 50.74)
101.01) 15
2,135 688
2,134 761
2,133
PUMA BIOTECHNOLOGY
JOHN DEERE OWNER TRUST INC 20 B A2 ( 10.43)
100.61) 10
3,556 123
3,556 100
3,575
PURE
JOHNSONSTORAGE INC
& JOHNSON ( 17.33)
103.07) 63
4,000 894
3,989 1,091
4,093
PVH CORP
100.64) 19
1,300 868
1,343 915
1,299
Q2 HOLDINGS INC ( 85.79) 12 920 1,004
Developed
QAD INC International Equity ( 41.28) 3 129 137
BLACKROCK
QCR HOLDINGS MSCI INC CANADA SMALL ($
( 12.52)
31.18) 4,349
5 ($ 54,091
142 ($ 54,449
171
BLACKROCK
QTS MSCI EAFE
REALTY TRUST INC SMALL CAP ( 15.56)
64.09) 38,364
16 604,749
988 596,972
991
QUAKER CHEMICAL CORPEquity ( 185.65) 42,713
4 ($ 658,840
556 ($ 651,420
662
Developed
QUALYS INCInternational Equity Receivable ( 104.02) 9 910 -
929
Total Developed
QUANEX BUILDING International
PRODUCTS CORP Equity ( 13.88) 9 92 ($ 651,420
122
QUANTA SERVICES INC ( 39.23) 38 1,178 1,498
Issuer
QUANTERIX CORP ( Price 27.39) Shares
5 Cost
134 Market Value
139
Emerging
QUIDEL Markets Equity
CORP ( 223.74) 10 1,834 2,267
BLACKROCK
QUINSTREETEME INC SMALL CAP ($
( 11.31)
10.46) 14,598
12 ($ 175,089
104 ($ 165,079
130
LSV EMERGING
QUOTIENT LTD MARKETS EQUITY ( 254.81)
7.40) 790
15 334,078
110 201,358
112
MSCI EMF (EMERGING
QUOTIENT TECHNOLOGY MKTS
INC FREE) ( 49.38)
7.32) 15,223
21 735,781
121 751,779
153
NUMERIC EME SMALL
QURATE RETAIL INC CAP ( 861.00)
9.50) 146
104 141,148
766 125,566
988
STATE
R1 RCMSTREET
INC EME ( 27.46)
11.15) 27,379
26 710,000
237 751,750
295
Emerging
RADIAN GROUPMarkets INCEquity ( 15.51) 58,137
55 ($ 2,096,096
720 ($ 1,995,532
850
Emerging
RADIUS Markets
HEALTH INCEquity Receivable ( 13.63) 13 165 -
172
Total Emerging
RADNET INC Markets Equity ( 15.87) 11 158 ($ 1,995,532
176
RAMBUS INC ( 15.20) 30 441 464
RANGE
Issuer RESOURCES CORP ( Price 5.63) 63
Shares 339
Cost 352
Market Value
RANPAK HOLDINGS
Equity Options CORP
Strategy ( 7.44) 7 54 53
RAPID7 INC EXPRESS CO
AMERICAN (
($ 51.02)
103.56) 13
350 ($ 596
355 ($ 656
359
RATTLER
AMERICAN MIDSTREAM
EXPRESS CREDIT LP AC 1 A ( 9.70)
104.19) 12
4,760 91
4,896 112
4,953
RAVEN
AMERICANINDUSTRIES
HONDA FINANCE INC CO 144A ( 21.51)
100.69) 10
4,065 188
4,281 213
4,049
RAYONIER
AMERICANINC HONDA FINANCE CORP ( 24.79)
99.68) 35
7,000 758
7,014 860
6,967
RBC
AQR BEARINGS
STYLE PREMIA INC ( 134.04)
1.54) 7
30,405 756
30,391 900
46,932
RE/MAX HOLDINGS
0.65) 5
57,361 107
57,530 151
37,548
READY
BANK OF CAPITAL CORP
100.07) 10
1,500 50
1,503 88
1,500
REALOGY HOLDINGS
BARCLAYS BANK PLC CORP ( 7.41)
100.07) 31
3,660 137
3,660 230
3,659
REALPAGE INC
99.70) 23
9,074 1,479
9,076 1,488
9,011
REALREAL INC/THE
99.97) 6
1,600 74
1,602 75
1,598
REATA PHARMACEUTICALS
CATERPILLAR FINANCIAL SERVICES INC ( 156.02)
100.05) 6
1,425 962
1,429 996
1,425
RED ROCK RESORTS
101.97) 19
5,115 160
5,011 204
5,191
REDFIN
CITIBANK CORP
CREDIT CARD ISS A8 A8 ( 41.91)
100.14) 24
2,000 596
2,000 997
1,988
REDWOOD
CITIGROUP TRUSTINC INC ( 7.00)
100.78) 30
2,358 106
2,390 207
2,374
REGAL BELOIT CORP
100.14) 11
7,000 719
7,000 944
7,008
REGENXBIO
99.99) 9
8,000 320
8,000 316
7,984
REGIS
CREDITCORP
100.36) 7
7,700 56
7,857 56
7,591
RELIANCEFINANCE
DAIMLER STEEL & ALUMINUM
NORTH AMECO REGS ( 94.93)
103.31) 18
5,650 1,498
5,784 1,700
5,768
RELMADA
FORD CREDITTHERAPEUTICS
AUTO OWNER INCT A A2A ( 44.75)
100.67) 3
3,330 147
3,330 136
3,348
RENASANT
FORD CREDIT CORPAUTO OWNER T B A2A ( 24.90)
100.13) 17
453 361
453 423
453
RENEWABLE
HONDA AUTOENERGY RECEIVABLESGROUP20 INC
2 A2 ( 24.78)
100.75) 11
3,922 247
3,922 266
3,949
RENT-A-CENTER
HONDA AUTO RECEIVABLES INC/TX 20 4 A2 ( 27.82)
100.97) 13
5,900 303
5,900 369
5,953
REPAY HOLDINGS
HONEYWELL CORP
101.90) 12
3,350 239
3,219 291
3,403
REPLIGEN
HYUNDAI AUTOCORP RECEIVABLES A A3 ( 123.61)
100.08) 13
450 1,701
445 1,643
450
REPLIMUNE
HYUNDAI AUTOGROUP INC
100.11) 3
229 51
229 67
229
REPRO-MED
HYUNDAI AUTO SYSTEMS INC
100.71) 7
1,462 69
1,462 62
1,471
REPUBLIC AUTO
HYUNDAI BANCORP INC/KY B A3
102.01) 4
2,500 108
2,500 123
2,547
RESIDEO
IBM CREDIT TECHNOLOGIES
LLC INC ( 11.72)
100.09) 32
7,100 174
7,096 369
7,098
RESOURCES
INTER-AMERICAN CONNECTION INC
99.69) 8
5,400 79
5,400 97
5,382
RETAIL OPPORTUNITY
INTERNATIONAL BANKINVESTMENTS
99.92) 32
4,200 262
4,200 359
4,190
RETAIL PROPERTIES
JOHN DEERE CAPITAL OFCORP
AMERICA I ( 7.32)
100.04) 58
2,600 253
2,600 424
2,592
RETROPHIN
100.42) 12
9,390 193
9,429 236
9,425
REV
JOHNGROUP
101.01) 7
2,135 32
2,134 44
2,133
REVANCE
JOHN DEERETHERAPEUTICS
OWNER TRUST INC20 B A2 ( 24.42)
100.61) 14
3,556 272
3,556 339
3,575
REVOLUTION
JOHNSON & JOHNSON MEDICINES INC ( 31.57)
103.07) 3
4,000 92
3,989 95
4,093
REVOLVE GROUPFUER
KREDITANSTALT INC WIEDERAUFBA ( 14.86)
100.64) 5
1,300 67
1,343 69
1,299
REX AMERICAN RESOURCES CORP ( 69.37) 1 81 99
DevelopedINDUSTRIAL
REXFORD International Equity
REALTY INC ( 41.43) 30 1,150 1,250
BLACKROCK
REXNORD MSCI CANADA SMALL
CORP ($
( 12.52)
29.15) 4,349
33 ($ 54,091
832 ($ 54,449
951
BLACKROCK MSCI EAFE SMALL CAP
RH ( 15.56)
248.90) 38,364
4 604,749
622 596,972
1,016
Developed
RHYTHM International Equity
PHARMACEUTICALS INC ( 22.30) 42,713
6 ($ 658,840
117 ($ 651,420
141
Developed
RIBBON International Equity
COMMUNICATIONS INC Receivable ( 3.93) 15 49 -
58
Total
RIGELDeveloped
PHARMACEUTICALS International
INC Equity ( 1.83) 45 82 ($ 651,420
83
RITE AID CORP ( 17.06) 15 180 249
Issuer
RLI CORP ( Price 82.10) Shares
11 Cost
769 Market Value
897
Emerging
RLJ LODGING Markets
TRUSTEquity ( 9.44) 46 351 431
BLACKROCK
RMR GROUPEME INC/THESMALL CAP ($
( 11.31)
29.47) 14,598
4 ($ 175,089
100 ($ 165,079
121
LSV EMERGING
ROCKET MARKETS EQUITY
PHARMACEUTICALS INC ( 254.81)
20.93) 790
8 334,078
138 201,358
163
MSCI EMF
ROGERS (EMERGING MKTS FREE)
CORP ( 49.38)
124.60) 15,223
5 735,781
504 751,779
628
NUMERICSTONE
ROSETTA EME SMALL INC CAP ( 861.00)
16.86) 146
6 141,148
104 125,566
102
STATE STREET
ROYAL GOLD INC EME ( 27.46)
124.32) 27,379
18 710,000
2,246 751,750
2,181
Emerging
RPC INC Markets Equity ( 3.08) 58,137
15 ($ 2,096,096
42 ($ 1,995,532
46
Emerging
RPT REALTY Markets Equity Receivable ( 6.96) 22 120 -
154
Total Emerging
RUBICON PROJECT Markets
INC/THEEquity ( 6.67) 26 131 ($ 1,995,532
173
RUBIUS THERAPEUTICS INC ( 5.98) 8 56 51
RUSH ENTERPRISES INC
Shares 23
Cost 25
Market Value
RUSH ENTERPRISES
Equity Options Strategy INC ( 41.46) 7 263 310
RUTH'S
AMERICAN HOSPITALITY
EXPRESS CO GROUP INC (
($ 8.16)
103.56) 8
350 ($ 61
355 ($ 66
359
RYDER SYSTEM
AMERICAN INC CREDIT AC 1 A
EXPRESS ( 37.51)
104.19) 14
4,760 436
4,896 543
4,953
RYMAN
AMERICAN HOSPITALITY
HONDA FINANCE PROPERTIES I
CO 144A ( 34.60)
100.69) 14
4,065 341
4,281 486
4,049
S&T BANCORP
AMERICAN INC FINANCE CORP
HONDA ( 23.45)
99.68) 10
7,000 203
7,014 234
6,967
SABRA HEALTH
AQR STYLE PREMIA CARE REIT INC ( 14.43)
1.54) 55
30,405 642
30,391 798
46,932
SABRE CORP
0.65) 74
57,361 520
57,530 596
37,548
SAFEHOLD INC
100.07) 3
1,500 143
1,503 174
1,500
SAFETY
BARCLAYS INSURANCE
BANK PLCGROUP INC ( 76.26)
100.07) 4
3,660 282
3,660 296
3,659
SAGE
BMW THERAPEUTICS
US CAPITAL LLCINC 144A ( 41.58)
99.70) 14
9,074 508
9,076 583
9,011
SAIA INC
99.97) 7
1,600 660
1,602 779
1,598
SAILPOINT
CATERPILLAR TECHNOLOGIES
FINANCIAL SERVICES HOLDING ( 26.47)
100.05) 24
1,425 517
1,429 641
1,425
SALLY BEAUTYFINANCIAL
CATERPILLAR HOLDINGSSERVICES
INC ( 12.53)
101.97) 31
5,115 309
5,011 393
5,191
SANDERSON
CITIBANK CREDIT FARMS INCISS A8 A8
CARD ( 115.89)
100.14) 5
2,000 739
2,000 624
1,988
SANDY SPRING
CITIGROUP INC BANCORP INC ( 24.78)
100.78) 14
2,358 287
2,390 348
2,374
SANGAMO
COOPERATIEVE THERAPEUTICS
RABOBANKINC UA/NY ( 8.96)
100.14) 31
7,000 301
7,000 282
7,008
SANMINA CORP CORPORATE AND
CREDIT AGRICOLE ( 25.04)
99.99) 19
8,000 485
8,000 480
7,984
SAUL
CREDITCENTERS INC
100.36) 4
7,700 105
7,857 126
7,591
SCANSOURCE
DAIMLER FINANCE INC NORTH AME REGS ( 24.09)
103.31) 7
5,650 152
5,784 166
5,768
SCHNEIDER
FORD CREDIT NATIONAL
AUTO OWNER INC T A A2A ( 24.67)
100.67) 14
3,330 300
3,330 344
3,348
SCHNITZER
FORD CREDIT STEEL
AUTO INDUSTRIES
OWNER T INC B A2A ( 17.64)
100.13) 7
453 95
453 123
453
SCHOLAR
HONDA AUTO ROCKRECEIVABLES
HOLDING CORP 20 2 A2 ( 18.21)
100.75) 6
3,922 109
3,922 108
3,949
SCHOLASTIC
HONDA AUTOCORP RECEIVABLES 20 4 A2 ( 29.94)
100.97) 8
5,900 212
5,900 240
5,953
SCHRODINGER INC/UNITED STATES
101.90) 3
3,350 236
3,219 309
3,403
SCHWEITZER-MAUDUIT
HYUNDAI AUTO RECEIVABLES INTERNATION
A A3 ( 33.41)
100.08) 9
450 234
445 288
450
SCIENCE
HYUNDAIAPPLICATIONS
AUTO RECEIVABLES INTERNATI
B A2 ( 77.68)
100.11) 14
229 1,106
229 1,082
229
SCIENTIFICAUTO
HYUNDAI GAMES CORP
100.71) 16
1,462 179
1,462 240
1,471
SCOTTS
HYUNDAI MIRACLE-GRO
AUTO RECEIVABLES CO/THEB A3 ( 134.47)
102.01) 11
2,500 1,511
2,500 1,503
2,547
SEABOARD
IBM CREDITCORPLLC ( 2,933.82)
100.09) 0
7,100 238
7,096 229
7,098
SEACOAST BANKING
INTER-AMERICAN CORP OF FLORI
99.69) 14
5,400 253
5,400 279
5,382
SEACOR HOLDINGS
INTERNATIONAL BANKINCFOR RECONST ( 28.32)
99.92) 5
4,200 116
4,200 137
4,190
SEAWORLD
JOHN DEEREENTERTAINMENT
100.04) 14
2,600 175
2,600 209
2,592
SECUREWORKS
JOHN DEERE CAPITAL CORP CORP ( 11.43)
100.42) 3
9,390 28
9,429 29
9,425
SELECTDEERE
JOHN ENERGY SERVICES
101.01) 18
2,135 83
2,134 87
2,133
SELECTDEERE
JOHN MEDICAL OWNER HOLDINGS
TRUST CORP
20 B A2 ( 14.73)
100.61) 29
3,556 397
3,556 429
3,575
SELECTIVE
JOHNSON & INSURANCE
JOHNSON GROUP INC ( 52.74)
103.07) 16
4,000 704
3,989 855
4,093
SEMTECH CORP FUER WIEDERAUFBA
100.64) 18
1,300 771
1,343 932
1,299
SENSIENT TECHNOLOGIES CORP ( 52.16) 11 510 598
DevelopedGROWTH
SERITAGE International Equity
PROPERTIES ( 11.40) 9 59 101
BLACKROCK
SERVICE CORP MSCI CANADA SMALL
INTERNATIONAL/US ($
( 12.52)
38.89) 4,349
48 ($ 54,091
1,719 ($ 54,449
1,885
BLACKROCK MSCI EAFE
SERVICE PROPERTIES SMALL CAP
TRUST ( 15.56)
7.09) 38,364
42 604,749
200 596,972
299
Developed
SERVICEMASTER International
GLOBALEquity
HOLDINGS ( 35.69) 42,713
36 ($ 658,840
970 ($ 651,420
1,300
SERVISFIRST BANCSHARESEquity INC Receivable ( 35.76) 14 406 -
481
Total Developed
SHAKE SHACK INCInternational Equity ( 52.98) 8 400 ($ 651,420
443
SHENANDOAH TELECOMMUNICATIONS ( 49.29) 13 587 628
Issuer
SHOCKWAVE MEDICAL INC ( Price 47.37) Shares
7 Cost
287 Market Value
316
Emerging
SHOE Markets
CARNIVAL INCEquity ( 29.27) 3 52 77
BLACKROCK
SHOTSPOTTER EME INCSMALL CAP ($
( 11.31)
25.20) 14,598
2 ($ 175,089
52 ($ 165,079
55
LSV EMERGING MARKETS
SHUTTERSTOCK INC EQUITY ( 254.81)
34.97) 790
5 334,078
191 201,358
187
MSCI EMF
SHYFT GROUP(EMERGING
INC/THE MKTS FREE) ( 49.38)
16.84) 15,223
9 735,781
135 751,779
146
NUMERICINC
SI-BONE EME SMALL CAP ( 861.00)
15.94) 146
5 141,148
94 125,566
85
STATE STREET EME INC
SIGA TECHNOLOGIES ( 27.46)
5.91) 27,379
15 710,000
82 751,750
87
Emerging MarketsLTD
SIGNET JEWELERS Equity ( 10.27) 58,137
15 ($ 2,096,096
130 ($ 1,995,532
153
Emerging
SILGAN Markets INC
HOLDINGS Equity Receivable ( 32.39) 21 664 -
672
Total Emerging
SILICON MarketsINC
LABORATORIES Equity ( 100.27) 12 1,074 ($ 1,995,532
1,174
SILK ROAD MEDICAL INC ( 41.89) 7 272 303
SIMMONS
Issuer FIRST NATIONAL CORP ( Price 17.11) 29
Shares 505
Cost 493
Market Value
SIMPLY GOOD FOODS
Equity Options Strategy CO/THE ( 18.58) 23 392 430
SIMPSON
AMERICANMANUFACTURING
EXPRESS CO CO INC (
($ 84.36)
103.56) 11
350 ($ 741
355 ($ 903
359
SIMULATIONS
AMERICAN EXPRESS PLUS INC CREDIT AC 1 A ( 59.82)
104.19) 4
4,760 140
4,896 215
4,953
SINCLAIR
AMERICAN BROADCAST
HONDA FINANCE GROUPCO INC144A ( 18.46)
100.69) 17
4,065 260
4,281 320
4,049
SITE CENTERS
AMERICAN CORPFINANCE CORP
HONDA ( 8.10)
99.68) 42
7,000 200
7,014 342
6,967
SITEONE
AQR STYLE LANDSCAPE
PREMIA SUPPLY INC ( 113.97)
1.54) 11
30,405 982
30,391 1,279
46,932
SIX
AQRFLAGS ENTERTAINMENT
VOLATILITY RISK CORP ( 19.21)
0.65) 21
57,361 372
57,530 397
37,548
SJW
BANKGROUP
100.07) 7
1,500 380
1,503 433
1,500
SKECHERS
BARCLAYS USA BANKINC PLC ( 31.38)
100.07) 36
3,660 884
3,660 1,124
3,659
SKYLINE
BMW USCHAMPION
CAPITAL LLCCORP 144A ( 24.34)
99.70) 13
9,074 259
9,076 326
9,011
SKYWEST
CATERPILLAR INC FINANCIAL SERVICES ( 32.62)
99.97) 4
1,600 90
1,602 115
1,598
SL GREEN REALTY
FINANCIAL ( 49.29)
100.05) 21
1,425 891
1,429 1,027
1,425
SLEEP NUMBER
FINANCIAL ( 41.64)
101.97) 8
5,115 226
5,011 315
5,191
SLM CORPCREDIT CARD ISS A8 A8
CITIBANK ( 7.03)
100.14) 102
2,000 742
2,000 717
1,988
SMART
CITIGROUPGLOBALINC HOLDINGS INC ( 27.18)
100.78) 4
2,358 94
2,390 102
2,374
SMARTSHEET
COOPERATIEVE INCRABOBANK UA/NY ( 50.92)
100.14) 28
7,000 1,494
7,000 1,448
7,008
SMILEDIRECTCLUB
CREDIT INC
AGRICOLE CORPORATE AND ( 7.90)
99.99) 16
8,000 126
8,000 127
7,984
SMITH
CREDIT&SUISSE
WESSON AG/NEWBRANDSYORK INCNY ( 21.52)
100.36) 16
7,700 162
7,857 347
7,591
SOLAREDGE
DAIMLER FINANCE TECHNOLOGIES
NORTH AME INCREGS ( 138.78)
103.31) 13
5,650 1,573
5,784 1,815
5,768
SOLARWINDS
FORD CREDIT AUTOCORP OWNER T A A2A ( 17.67)
100.67) 17
3,330 305
3,330 295
3,348
SONIC AUTOMOTIVE
FORD CREDIT AUTO OWNER INC T B A2A ( 31.91)
100.13) 6
453 129
453 202
453
SONOCO
HONDA AUTO PRODUCTS CO
100.75) 27
3,922 1,208
3,922 1,410
3,949
SONOS INC
HONDA AUTO RECEIVABLES 20 4 A2 ( 14.63)
100.97) 24
5,900 254
5,900 348
5,953
SORRENTO
HONEYWELLTHERAPEUTICS
INTERNATIONAL INCINC ( 6.28)
101.90) 32
3,350 167
3,219 203
3,403
SOUTH
HYUNDAI JERSEY
AUTOINDUSTRIES
100.08) 25
450 640
445 618
450
SOUTH
HYUNDAI STATE
AUTO CORP
100.11) 19
229 839
229 925
229
SOUTHSIDE
HYUNDAI AUTO BANCSHARES
100.71) 9
1,462 224
1,462 236
1,471
SOUTHWEST
HYUNDAI AUTO GASRECEIVABLES
HOLDINGS INC B A3 ( 69.05)
102.01) 15
2,500 1,020
2,500 1,012
2,547
SOUTHWESTERN
IBM CREDIT LLC ENERGY CO ( 2.56)
100.09) 147
7,100 406
7,096 376
7,098
SP PLUS CORP
99.69) 6
5,400 93
5,400 115
5,382
SPARTANNASH
INTERNATIONALCO BANK FOR RECONST ( 21.25)
99.92) 10
4,200 179
4,200 212
4,190
SPECTRUM
JOHN DEEREBRANDS CAPITALHOLDINGS
CORP INC ( 45.90)
100.04) 11
2,600 417
2,600 511
2,592
SPECTRUM
100.42) 33
9,390 103
9,429 111
9,425
SPIRE INC CAPITAL CORP
JOHN DEERE ( 65.71)
101.01) 14
2,135 934
2,134 891
2,133
SPIRIT AEROSYSTEMS
JOHN DEERE OWNER TRUST HOLDINGS20 B IN
A2 ( 23.94)
100.61) 28
3,556 617
3,556 677
3,575
SPIRIT
JOHNSON AIRLINES
& JOHNSONINC ( 17.80)
103.07) 6
4,000 56
3,989 110
4,093
SPIRIT REALTY CAPITAL
KREDITANSTALT INC
100.64) 28
1,300 723
1,343 946
1,299
SPRINGWORKS THERAPEUTICS INC ( 42.00) 3 126 140
Developed
SPROUT International
SOCIAL INC Equity ( 27.00) 3 85 83
BLACKROCK
SPROUTS MSCI CANADA
FARMERS MARKETSMALLINC ($
( 12.52)
25.59) 4,349
32 ($ 54,091
809 ($ 54,449
808
BLACKROCK
SPS COMMERCE MSCIINCEAFE SMALL CAP ( 15.56)
75.12) 38,364
9 604,749
538 596,972
707
Developed
SPX CORP International Equity ( 41.15) 42,713
12 ($ 658,840
401 ($ 651,420
494
Developed
SPX FLOW INC International Equity Receivable ( 37.44) 11 307 -
422
Total
ST JOEDeveloped
CO/THE International Equity ( 19.42) 8 141 ($ 651,420
161
STAAR SURGICAL CO ( 61.54) 9 330 559
IssuerINDUSTRIAL INC
STAG ( Price 29.32) Shares
40 Cost
948 Market Value
1,164
Emerging Markets
STAMPS.COM INC Equity ( 183.69) 5 903 845
BLACKROCKMOTOR
STANDARD EME SMALL CAP INC
PRODUCTS ($
( 11.31)
41.20) 14,598
5 ($ 175,089
195 ($ 165,079
224
LSV EMERGING
STANDEX MARKETS EQUITY
INTERNATIONAL CORP ( 254.81)
57.55) 790
3 334,078
155 201,358
198
MSCI GROUP
STAR EMF (EMERGINGLP MKTS FREE) ( 49.38)
8.77) 15,223
11 735,781
85 751,779
99
NUMERIC
STARWOOD EME SMALL CAP
PROPERTY TRUST INC ( 861.00)
14.96) 146
76 141,148
911 125,566
1,106
STREETFINANCIAL
STATE AUTO EME CORP ( 27.46)
17.85) 27,379
5 710,000
92 751,750
88
Emerging
STEELCASEMarkets
INC Equity ( 12.06) 58,137
24 ($ 2,096,096
233 ($ 1,995,532
285
EmergingCOMarkets Equity Receivable
STEPAN ( 97.10) 5 486 -
530
Total Emerging
STERICYCLE INC Markets Equity ( 55.98) 24 1,172 ($ 1,995,532
1,370
STERLING BANCORP/DE ( 11.72) 56 537 652
STERLING
Issuer CONSTRUCTION CO INC ( Price 10.47) 7
Shares 50
Cost 72
Market Value
STEVENOptions
Equity MADDEN LTD
Strategy ( 24.69) 22 447 533
STEWART
AMERICANINFORMATION
EXPRESS CO SERVICES C (
($ 32.51)
103.56) 6
350 ($ 210
355 ($ 197
359
STIFEL
AMERICANFINANCIAL
EXPRESS CORPCREDIT AC 1 A ( 47.43)
104.19) 19
4,760 761
4,896 891
4,953
STITCH
AMERICAN FIX INC
HONDA FINANCE CO 144A ( 24.94)
100.69) 14
4,065 260
4,281 349
4,049
STOCK
AMERICANYARDS HONDABANCORP INC CORP
FINANCE ( 40.20)
99.68) 7
7,000 195
7,014 272
6,967
STOKE THERAPEUTICS
AQR STYLE PREMIA INC ( 23.83)
1.54) 2
30,405 58
30,391 56
46,932
STONERIDGE
AQR VOLATILITY INCRISK ( 20.66)
0.65) 7
57,361 125
57,530 150
37,548
STORE
BANK OF CAPITAL CORP
100.07) 62
1,500 1,143
1,503 1,463
1,500
STRATEGICBANK
BARCLAYS EDUCATION
PLC INC ( 153.65)
100.07) 6
3,660 964
3,660 906
3,659
STURM
BMW USRUGER CAPITAL & CO
LLCINC144A ( 76.00)
99.70) 5
9,074 285
9,076 360
9,011
SUMMIT
CATERPILLARHOTEL PROPERTIES
FINANCIAL INC
SERVICES ( 5.93)
99.97) 28
1,600 132
1,602 165
1,598
SUMMIT
CATERPILLARMATERIALS
FINANCIAL INC SERVICES ( 16.08)
100.05) 31
1,425 347
1,429 493
1,425
SUNCOKE
CATERPILLAR ENERGY INC SERVICES
FINANCIAL ( 2.96)
101.97) 21
5,115 56
5,011 63
5,191
SUNNOVACREDIT
CITIBANK ENERGY INTERNATIONAL
CARD ISS A8 A8 I ( 17.07)
100.14) 8
2,000 127
2,000 143
1,988
SUNPOWER
100.78) 24
2,358 165
2,390 185
2,374
SUNRUN INC RABOBANK UA/NY
100.14) 23
7,000 316
7,000 445
7,008
SUNSTONE
CREDIT AGRICOLEHOTEL CORPORATE
INVESTORS INC AND ( 8.15)
99.99) 61
8,000 435
8,000 500
7,984
SUPER
CREDITMICRO
SUISSE COMPUTER
100.36) 12
7,700 310
7,857 337
7,591
SUPERNUS PHARMACEUTICALS
DAIMLER FINANCE NORTH AMEINC REGS ( 23.75)
103.31) 14
5,650 330
5,784 338
5,768
SURGERY
FORD CREDIT PARTNERS INC
100.67) 6
3,330 63
3,330 69
3,348
SURMODICS
FORD CREDITINC AUTO OWNER T B A2A ( 43.24)
100.13) 4
453 126
453 155
453
SVMK
100.75) 29
3,922 581
3,922 682
3,949
SWITCH
100.97) 16
5,900 282
5,900 282
5,953
SYKES ENTERPRISES
HONEYWELL INC
101.90) 10
3,350 248
3,219 289
3,403
SYNAPTICS
100.08) 9
450 580
445 551
450
SYNEOS
HYUNDAIHEALTH INC
100.11) 17
229 906
229 981
229
SYNNEX
HYUNDAICORP AUTO RECEIVABLES B A2 ( 119.77)
100.71) 12
1,462 1,097
1,462 1,407
1,471
SYNOVUS AUTO
HYUNDAI FINANCIAL CORP B A3
102.01) 41
2,500 642
2,500 822
2,547
SYSTEMAX
IBM CREDITINC LLC ( 20.54)
100.09) 3
7,100 59
7,096 67
7,098
TABULA RASA HEALTHCARE
INTER-AMERICAN DEVELOPMENT INC BAN ( 54.73)
99.69) 6
5,400 317
5,400 312
5,382
TACTILE SYSTEMSBANK
INTERNATIONAL TECHNOLOGY
FOR RECONSTINC ( 41.43)
99.92) 5
4,200 245
4,200 220
4,190
TALOS ENERGY
JOHN DEERE INC CORP
CAPITAL ( 9.20)
100.04) 6
2,600 67
2,600 56
2,592
TANDEM
JOHN DEEREDIABETES
CAPITAL CARECORPINC ( 98.92)
100.42) 15
9,390 1,290
9,429 1,509
9,425
TANGER
JOHN FACTORY
DEERE CAPITALOUTLET
CORPCENTERS ( 7.13)
101.01) 25
2,135 140
2,134 179
2,133
TAPESTRY
JOHN DEERE INCOWNER TRUST 20 B A2 ( 13.28)
100.61) 74
3,556 1,009
3,556 986
3,575
TARGA
JOHNSON RESOURCES
& JOHNSON CORP ( 20.07)
103.07) 63
4,000 1,129
3,989 1,259
4,093
TAUBMAN CENTERS
KREDITANSTALT FUERINCWIEDERAUFBA ( 37.76)
100.64) 16
1,300 625
1,343 622
1,299
TAYLOR MORRISON HOME CORP ( 19.29) 34 491 663
Developed
TCF FINANCIAL International
CORP Equity ( 29.42) 42 983 1,250
BLACKROCK MSCI
TECHNIPFMC PLC CANADA SMALL ($
( 12.52)
6.84) 4,349
115 ($ 54,091
846 ($ 54,449
784
BLACKROCK
TECHTARGETMSCI INC EAFE SMALL CAP ( 15.56)
30.03) 38,364
6 604,749
158 596,972
195
Developed
TEGNA INC International Equity ( 11.14) 42,713
55 ($ 658,840
569 ($ 651,420
613
Developed
TEJON RANCH International
CO Equity Receivable ( 14.40) 6 78 -
86
Total Developed
TELEPHONE AND International
DATA SYSTEMS Equity
INC ( 19.88) 26 456 ($ 651,420
521
TELLURIAN INC ( 1.15) 25 27 29
Issuer
TEMPUR SEALY INTERNATIONAL INC ( Price 71.95) Shares
13 Cost
659 Market Value
934
EmergingHOLDINGS
TENABLE Markets Equity INC ( 29.81) 15 433 438
BLACKROCK
TENET EME SMALL
HEALTHCARE CORPCAP ($
( 11.31)
18.11) 14,598
24 ($ 175,089
402 ($ 165,079
434
LSV EMERGING
TENNANT CO MARKETS EQUITY ( 254.81)
65.01) 790
5 334,078
247 201,358
307
MSCI EMF (EMERGING
TERADATA CORP MKTS FREE) ( 49.38)
20.80) 15,223
30 735,781
606 751,779
630
NUMERIC
TEREX CORP EME SMALL CAP ( 861.00)
18.77) 146
19 141,148
249 125,566
364
STATE STREETPOWER
TERRAFORM EME INC ( 27.46)
18.44) 27,379
25 710,000
442 751,750
452
Emerging
TERRENO REALTY MarketsCORP Equity ( 52.64) 58,137
18 ($ 2,096,096
850 ($ 1,995,532
944
Emerging
TETRA TECH Markets
1,160
Total Emerging
TEXAS Markets Equity
CAPITAL BANCSHARES INC ( 30.87) 14 319 ($ 1,995,532
422
TEXAS PACIFIC LAND TRUST ( 594.69) 2 906 1,034
TEXAS
Issuer ROADHOUSE INC ( Price 52.57) 18
Shares 787
Cost 931
Market Value
TFS FINANCIAL
Equity Options CORP Strategy ( 14.31) 16 228 235
TG THERAPEUTICS
AMERICAN EXPRESS INCCO (
($ 19.48)
103.56) 21
350 ($ 438
355 ($ 415
359
THERAPEUTICSMD
AMERICAN EXPRESSINC CREDIT AC 1 A ( 1.25)
104.19) 60
4,760 71
4,896 75
4,953
THERAVANCE
AMERICAN BIOPHARMA
HONDA FINANCE INC
CO 144A ( 20.99)
100.69) 12
4,065 318
4,281 251
4,049
THERMON
AMERICAN GROUP HONDAHOLDINGS
FINANCE CORPINC ( 14.57)
99.68) 9
7,000 118
7,014 126
6,967
THIRD
AQR STYLEPOINT REINSURANCE LTD
PREMIA ( 7.51)
1.54) 24
30,405 167
30,391 178
46,932
THOR INDUSTRIES
AQR VOLATILITY INC
RISK ( 106.53)
0.65) 15
57,361 1,040
57,530 1,575
37,548
TILRAYOF
BANK INC MONTREAL/CHICAGO IL ( 7.11)
100.07) 9
1,500 63
1,503 62
1,500
TIMKEN CO/THE
BARCLAYS BANK PLC ( 45.49)
100.07) 18
3,660 667
3,660 830
3,659
TIVITY
BMW US HEALTH
CAPITAL INCLLC 144A ( 11.33)
99.70) 8
9,074 72
9,076 95
9,011
TOLL BROTHERS
CATERPILLAR INC
99.97) 33
1,600 839
1,602 1,087
1,598
TOMPKINS
CATERPILLAR FINANCIAL
FINANCIAL CORP
SERVICES ( 64.77)
100.05) 4
1,425 216
1,429 248
1,425
TOOTSIE
CATERPILLAR ROLLFINANCIAL
INDUSTRIES INC
SERVICES ( 34.27)
101.97) 5
5,115 171
5,011 165
5,191
TOPBUILD
CITIBANK CREDITCORP CARD ISS A8 A8 ( 113.77)
100.14) 9
2,000 788
2,000 1,023
1,988
TORO CO/THE
100.78) 29
2,358 1,735
2,390 1,901
2,374
TOWNE BANK/PORTSMOUTH
COOPERATIEVE RABOBANK UA/NY VA ( 18.84)
100.14) 22
7,000 357
7,000 408
7,008
TPG RE FINANCE
CREDIT AGRICOLETRUST INC AND
CORPORATE ( 8.60)
99.99) 12
8,000 69
8,000 94
7,984
TPI COMPOSITES
CREDIT SUISSE AG/NEW INC YORK NY ( 23.37)
100.36) 8
7,700 151
7,857 194
7,591
TRANSLATE
DAIMLER FINANCE BIO INCNORTH AME REGS ( 17.92)
103.31) 11
5,650 191
5,784 201
5,768
TRANSOCEAN
FORD CREDIT AUTO LTD OWNER T A A2A ( 1.83)
100.67) 157
3,330 217
3,330 287
3,348
TREDEGAR
FORD CREDIT CORP
100.13) 7
453 92
453 103
453
TREEHOUSE
HONDA AUTO FOODS INC
100.75) 15
3,922 785
3,922 663
3,949
TREX
HONDA COAUTOINC RECEIVABLES 20 4 A2 ( 130.07)
100.97) 16
5,900 1,820
5,900 2,062
5,953
TRI POINTE GROUP
HONEYWELL INC
101.90) 37
3,350 406
3,219 543
3,403
TRIBUNE
HYUNDAIPUBLISHING
AUTO RECEIVABLES CO A A3 ( 9.99)
100.08) 4
450 35
445 38
450
TRICIDA INC
100.11) 8
229 242
229 227
229
TRICO
HYUNDAI BANCSHARES
100.71) 9
1,462 216
1,462 262
1,471
TRIMAS
HYUNDAICORP AUTO RECEIVABLES B A3 ( 23.95)
102.01) 12
2,500 240
2,500 293
2,547
TRINET
IBM CREDIT GROUP LLCINC ( 60.94)
100.09) 12
7,100 549
7,096 731
7,098
TRINITY INDUSTRIES
INTER-AMERICAN INC
99.69) 26
5,400 474
5,400 550
5,382
TRINSEO
INTERNATIONALSA BANK FOR RECONST ( 22.16)
99.92) 9
4,200 150
4,200 192
4,190
TRIPADVISOR
100.04) 28
2,600 545
2,600 537
2,592
TRIPLE-S
JOHN DEERE MANAGEMENT
100.42) 6
9,390 94
9,429 114
9,425
TRISTATE
JOHN DEERE CAPITAL
CAPITAL HOLDINGS
CORP INC ( 15.71)
101.01) 8
2,135 94
2,134 119
2,133
TRITON
JOHN DEERE INTERNATIONAL
OWNER TRUST LTD/BERMU
20 B A2 ( 30.24)
100.61) 15
3,556 403
3,556 445
3,575
TRIUMPH
JOHNSON BANCORP& JOHNSON INC ( 24.27)
103.07) 6
4,000 133
3,989 155
4,093
TRONOX
KREDITANSTALTHOLDINGS FUER PLCWIEDERAUFBA ( 7.22)
100.64) 24
1,300 151
1,343 175
1,299
TRUEBLUE INC ( 15.27) 10 138 151
DevelopedINC
TRUECAR International Equity ( 2.58) 23 53 60
BLACKROCK MSCI
TRUPANION INC CANADA SMALL ($
( 12.52)
42.69) 4,349
8 ($ 54,091
218 ($ 54,449
345
BLACKROCK
TRUSTCO BANKMSCICORPEAFENY SMALL CAP ( 15.56)
6.33) 38,364
26 604,749
160 596,972
161
Developed
TRUSTMARK International
CORP Equity ( 24.52) 42,713
17 ($ 658,840
371 ($ 651,420
425
Developed
TTEC HOLDINGSInternational
233
TotalTECHNOLOGIES
TTM Developed International
INC Equity ( 11.86) 28 291 ($ 651,420
326
TUCOWS INC ( 57.32) 3 141 148
Issuer
TURNING POINT BRANDS INC ( Price 24.91) Shares
2 Cost
45 Market Value
52
Emerging Markets
TURNING POINT Equity
THERAPEUTICS INC ( 64.59) 9 558 576
BLACKROCK
TUTOR PERINI EMECORPSMALL CAP ($
( 11.31)
12.18) 14,598
10 ($ 175,089
74 ($ 165,079
127
LSV EMERGING
TWIN MARKETS EQUITY
RIVER WORLDWIDE HOLDINGS ( 254.81)
22.29) 790
4 334,078
67 201,358
99
MSCI
TWISTEMF (EMERGING
BIOSCIENCE CORP MKTS FREE) ( 49.38)
45.30) 15,223
8 735,781
295 751,779
346
NUMERIC
TWO EME SMALL
HARBORS CAP CORP
INVESTMENT ( 861.00)
5.04) 146
75 141,148
303 125,566
366
STATE
UFP STREET EME
INDUSTRIES INC ( 27.46)
49.51) 27,379
17 710,000
634 751,750
818
Emerging
ULTRA CLEAN Markets EquityINC
HOLDINGS ( 22.63) 58,137
11 ($ 2,096,096
196 ($ 1,995,532
247
Emerging Markets
ULTRAGENYX Equity Receivable
PHARMACEUTICAL INC ( 78.22) 15 961 -
1,159
Total FINANCIAL
UMB Emerging MarketsCORP Equity ( 51.55) 13 578 ($ 1,995,532
686
UMH PROPERTIES INC ( 12.93) 10 119 132
UMPQUA
Issuer HOLDINGS CORP ( Price 10.64) 63
Shares 602
Cost 673
Market Value
UNDER ARMOUR
Equity Options INC
Strategy ( 8.84) 52 410 456
UNDER
AMERICAN ARMOUR
EXPRESS INCCO (
($ 9.74)
103.56) 51
350 ($ 449
355 ($ 498
359
UNIFIRST
AMERICAN CORP/MA
EXPRESS CREDIT AC 1 A ( 178.95)
104.19) 4
4,760 617
4,896 730
4,953
UNIQURE
AMERICANNV HONDA FINANCE CO 144A ( 45.06)
100.69) 9
4,065 495
4,281 398
4,049
UNISYS
AMERICAN CORP HONDA FINANCE CORP ( 10.91)
99.68) 18
7,000 188
7,014 192
6,967
UNITED
AQR STYLEBANKSHARES
PREMIA INC/WV ( 27.66)
1.54) 36
30,405 851
30,391 971
46,932
UNITED COMMUNITY
AQR VOLATILITY RISK BANKS INC/GA ( 20.12)
0.65) 5
57,361 84
57,530 95
37,548
UNITED
BANK OFFIRE GROUP INC
100.07) 6
1,500 144
1,503 168
1,500
UNITED
BARCLAYS INSURANCE
BANK PLCHOLDINGS CORP ( 7.82)
100.07) 6
3,660 45
3,660 49
3,659
UNITED
BMW USNATURAL
CAPITAL LLC FOODS144AINC ( 18.21)
99.70) 14
9,074 319
9,076 258
9,011
UNITED STATES
CATERPILLAR CELLULARSERVICES
FINANCIAL CORP ( 30.87)
99.97) 4
1,600 101
1,602 112
1,598
UNITED STATES
CATERPILLAR LIME & MINERALS
100.05) 1
1,425 48
1,429 52
1,425
UNITED STATES
CATERPILLAR STEEL CORP
101.97) 60
5,115 442
5,011 431
5,191
UNITED
CITIBANKTHERAPEUTICS
CREDIT CARD ISS CORPA8 A8 ( 121.00)
100.14) 12
2,000 1,343
2,000 1,431
1,988
UNITI GROUP
100.78) 49
2,358 422
2,390 455
2,374
UNITIL CORP RABOBANK UA/NY
100.14) 4
7,000 189
7,000 187
7,008
UNIVAR SOLUTIONS
CREDIT AGRICOLE INC
99.99) 45
8,000 587
8,000 766
7,984
UNIVERSAL
CREDIT SUISSE CORP/VA
AG/NEW YORK NY ( 42.51)
100.36) 7
7,700 283
7,857 288
7,591
UNIVERSAL
DAIMLER FINANCEDISPLAYNORTH
CORP AME REGS ( 149.62)
103.31) 11
5,650 1,645
5,784 1,710
5,768
UNIVERSAL
FORD CREDIT ELECTRONICS
AUTO OWNER INCT A A2A ( 46.82)
100.67) 4
3,330 149
3,330 181
3,348
UNIVERSAL
FORD CREDIT HEALTH REALTY INCOME
100.13) 3
453 283
453 271
453
UNIVERSAL
HONDA AUTO INSURANCE
RECEIVABLES HOLDINGS
20 2 A2I ( 17.75)
100.75) 8
3,922 137
3,922 149
3,949
UNIVEST
HONDA AUTO FINANCIAL CORP 20 4 A2
100.97) 11
5,900 154
5,900 169
5,953
UNUM GROUP
101.90) 55
3,350 844
3,219 917
3,403
UPLAND
HYUNDAISOFTWARE INC
100.08) 6
450 170
445 210
450
UPWORK
HYUNDAI INC AUTO RECEIVABLES B A2 ( 14.44)
100.11) 20
229 265
229 284
229
URBAN
HYUNDAI EDGE
AUTO PROPERTIES
100.71) 33
1,462 270
1,462 390
1,471
URBAN
HYUNDAI OUTFITTERS INC
102.01) 17
2,500 273
2,500 265
2,547
URSTADT
IBM CREDIT BIDDLE
LLC PROPERTIES INC ( 11.88)
100.09) 9
7,100 97
7,096 104
7,098
US CONCRETE INC DEVELOPMENT BAN
99.69) 4
5,400 67
5,400 105
5,382
US ECOLOGY INC BANK FOR RECONST
99.92) 8
4,200 207
4,200 255
4,190
US FOODS
JOHN DEERE HOLDING
CAPITALCORPCORP ( 19.72)
100.04) 59
2,600 1,000
2,600 1,165
2,592
US PHYSICAL
JOHN THERAPYCORP
DEERE CAPITAL INC ( 81.02)
100.42) 3
9,390 235
9,429 280
9,425
USANA HEALTH
JOHN DEERE SCIENCES
101.01) 4
2,135 288
2,134 258
2,133
VALLEY NATIONAL
JOHN DEERE OWNER BANCORP
TRUST 20 B A2 ( 7.82)
100.61) 109
3,556 743
3,556 838
3,575
VALMONT
JOHNSON &INDUSTRIES
JOHNSON INC ( 113.62)
103.07) 6
4,000 593
3,989 657
4,093
VALVOLINE
KREDITANSTALT INC FUER WIEDERAUFBA ( 19.33)
100.64) 51
1,300 799
1,343 977
1,299
VANDA PHARMACEUTICALS INC ( 11.44) 14 164 166
VAPOTHERM INC Equity ( 40.99) 2 63 97
BLACKROCK
VAREX IMAGING MSCICORPCANADA SMALL ($
( 12.52)
15.15) 4,349
10 ($ 54,091
174 ($ 54,449
158
BLACKROCK
VARONIS MSCI EAFE
SYSTEMS INC SMALL CAP ( 15.56)
88.48) 38,364
8 604,749
590 596,972
731
Developed
VECTOR GROUPInternational
LTD Equity ( 10.06) 42,713
34 ($ 658,840
390 ($ 651,420
344
Developed
VECTRUS INCInternational Equity Receivable ( 49.13) 3 134 -
149
Total Developed
VEECO INSTRUMENTS International
INC Equity ( 13.49) 13 135 ($ 651,420
173
VEONEER INC ( 10.69) 29 255 310
Issuer
VERACYTE INC ( Price 25.90) Shares
13 Cost
332 Market Value
335
Emerging Markets
VERASTEM INC Equity ( 1.72) 29 53 49
BLACKROCK
VERICEL CORP EME SMALL CAP ($
( 11.31)
13.82) 14,598
10 ($ 175,089
155 ($ 165,079
143
LSV EMERGING
VERINT SYSTEMSMARKETS INC EQUITY ( 254.81)
45.18) 790
18 334,078
751 201,358
810
MSCI EMF
VERITEX (EMERGING
HOLDINGS INCMKTS FREE) ( 49.38)
17.70) 15,223
13 735,781
201 751,779
238
NUMERIC EME SMALL
VERRA MOBILITY CORPCAP ( 861.00)
10.28) 146
34 141,148
315 125,566
352
STATE STREET
VERSO CORP EME ( 27.46)
11.96) 27,379
8 710,000
104 751,750
92
Emerging Markets CO
VERTIV HOLDINGS Equity ( 13.56) 58,137
57 ($ 2,096,096
732 ($ 1,995,532
776
Emerging
VIAD CORPMarkets Equity Receivable ( 19.02) 6 88 -
105
Total Emerging
VIASAT INC Markets Equity ( 38.37) 13 451 ($ 1,995,532
481
VIAVI SOLUTIONS INC ( 12.74) 62 675 786
VICOR
Issuer CORP ( Price 71.95) 5
Shares 258
Cost 358
Market Value
VICTORY CAPITAL
Equity Options HOLDINGS INC
Strategy ( 17.19) 4 59 72
VIEWRAY INC
($ 2.24)
103.56) 28
350 ($ 53
355 ($ 64
359
VIKING THERAPEUTICS
104.19) 18
4,760 129
4,896 132
4,953
VILLAGE
AMERICAN SUPERHONDA MARKET INC CO 144A
FINANCE ( 27.72)
100.69) 3
4,065 63
4,281 73
4,049
VIPER ENERGY
AMERICAN HONDAPARTNERSFINANCELP CORP ( 10.36)
99.68) 16
7,000 132
7,014 163
6,967
VIRGIN
AQR STYLEGALACTIC
PREMIAHOLDINGS INC ( 16.34)
1.54) 17
30,405 290
30,391 279
46,932
VIRNETX HOLDING
AQR VOLATILITY RISKCORP ( 6.50)
0.65) 16
57,361 107
57,530 105
37,548
VIRTU
BANK OFFINANCIAL INC
100.07) 16
1,500 365
1,503 374
1,500
VIRTUS
BARCLAYS INVESTMENT
BANK PLC PARTNERS INC ( 116.29)
100.07) 2
3,660 172
3,660 243
3,659
VIRTUSA
BMW US CORPCAPITAL LLC 144A ( 32.47)
99.70) 8
9,074 244
9,076 249
9,011
VISHAY INTERTECHNOLOGY
CATERPILLAR FINANCIAL SERVICESINC ( 15.27)
99.97) 36
1,600 518
1,602 557
1,598
VISHAY PRECISION
CATERPILLAR GROUP
FINANCIAL INC
SERVICES ( 24.58)
100.05) 3
1,425 59
1,429 71
1,425
VISTA OUTDOOR
CATERPILLAR INC
101.97) 15
5,115 110
5,011 223
5,191
VISTEON
CITIBANKCORPCREDIT CARD ISS A8 A8 ( 68.50)
100.14) 8
2,000 438
2,000 519
1,988
VIVINT SOLAR
100.78) 13
2,358 77
2,390 125
2,374
VOCERA COMMUNICATIONS
COOPERATIEVE RABOBANK UA/NY INC ( 21.20)
100.14) 8
7,000 157
7,000 180
7,008
VONAGE HOLDINGS
CREDIT AGRICOLE CORP
99.99) 62
8,000 562
8,000 626
7,984
VOYAGER
CREDIT SUISSETHERAPEUTICS
100.36) 6
7,700 71
7,857 78
7,591
W R GRACE
DAIMLER & CO NORTH AME REGS
FINANCE ( 50.81)
103.31) 15
5,650 698
5,784 772
5,768
W&T
FORDOFFSHORE
CREDIT AUTO INCOWNER T A A2A ( 2.28)
100.67) 26
3,330 63
3,330 59
3,348
WABASH
FORD NATIONAL
CREDIT AUTO OWNERCORP T B A2A ( 10.62)
100.13) 14
453 106
453 147
453
WADDELL
HONDA AUTO & REED FINANCIAL20INC
RECEIVABLES 2 A2 ( 15.51)
100.75) 17
3,922 227
3,922 271
3,949
WALKER
HONDA AUTO& DUNLOP INC
100.97) 8
5,900 276
5,900 413
5,953
WARRIOR
HONEYWELL MET COAL INC
101.90) 14
3,350 221
3,219 218
3,403
WASHINGTON
HYUNDAI AUTOFEDERAL INC A A3
100.08) 22
450 506
445 595
450
WASHINGTON
HYUNDAI AUTOREAL ESTATE INVESTM
100.11) 22
229 429
229 488
229
WASHINGTON
HYUNDAI AUTOTRUST BANCORP
RECEIVABLES INC
B A2 ( 32.75)
100.71) 5
1,462 152
1,462 170
1,471
WATERSTONE
HYUNDAI AUTOFINANCIAL RECEIVABLES INC B A3 ( 14.83)
102.01) 8
2,500 107
2,500 121
2,547
WATFORD
IBM CREDITHOLDINGS
LLC LTD ( 16.69)
100.09) 5
7,100 54
7,096 78
7,098
WATSCO INC
99.69) 9
5,400 1,363
5,400 1,561
5,382
WATTS WATER TECHNOLOGIES
INTERNATIONAL BANK FOR RECONST INC ( 81.00)
99.92) 7
4,200 519
4,200 569
4,190
WAVE LIFE SCIENCES
JOHN DEERE CAPITALLTD CORP ( 10.41)
100.04) 5
2,600 54
2,600 55
2,592
WD-40DEERE
JOHN CO CAPITAL CORP ( 198.30)
100.42) 4
9,390 639
9,429 730
9,425
WEBSTER
CAPITALCORP CORP ( 28.61)
101.01) 25
2,135 544
2,134 727
2,133
WEINGARTEN
JOHN DEERE OWNER REALTYTRUSTINVESTORS
20 B A2 ( 18.93)
100.61) 33
3,556 494
3,556 625
3,575
WEIS MARKETS
JOHNSON & JOHNSONINC ( 50.12)
103.07) 5
4,000 261
3,989 231
4,093
WELBILT INC
100.64) 38
1,300 176
1,343 228
1,299
WENDY'S CO/THE ( 21.78) 51 1,016 1,108
Developed
WERNER International
ENTERPRISES INCEquity ( 43.53) 17 698 729
BLACKROCK INC
WESBANCO MSCI CANADA SMALL ($
( 12.52)
20.31) 4,349
20 ($ 54,091
391 ($ 54,449
408
BLACKROCK
WESCO MSCI EAFE SMALL
INTERNATIONAL INC CAP ( 15.56)
26.52) 38,364
0 604,749
0 596,972
0
WESCO INTERNATIONAL INC ( 35.11) 42,713
14 ($ 658,840
373 ($ 651,420
475
WESTAMERICA BANCORPEquity Receivable ( 57.42) 7 393 -
418
Total Developed
WESTERN ALLIANCEInternational
BANCORP Equity ( 37.87) 27 783 ($ 651,420
1,019
WESTLAKE CHEMICAL CORP ( 53.65) 10 494 551
IssuerINC
WEX ( Price165.01) Shares
12 Cost
1,381 Market Value
1,919
WHITE MOUNTAINS INSURANCE GROU ( 887.97) 1 767 772
BLACKROCK EME
WHITESTONE REITSMALL CAP ($
( 11.31)
7.27) 14,598
10 ($ 175,089
53 ($ 165,079
75
LSV EMERGING MARKETS
WIDEOPENWEST INC EQUITY ( 254.81)
5.27) 790
13 334,078
75 201,358
67
MSCI
WILLDANEMFGROUP(EMERGING INC MKTS FREE) ( 49.38)
25.01) 15,223
3 735,781
59 751,779
76
NUMERIC EME SMALLINC
WILLIAMS-SONOMA CAP ( 861.00)
82.01) 146
21 141,148
1,367 125,566
1,706
STATE
WILLSCOT STREETCORP EME ( 27.46)
12.29) 27,379
19 710,000
221 751,750
237
Emerging
WINGSTOPMarkets INC Equity ( 138.97) 58,137
8 ($ 2,096,096
957 ($ 1,995,532
1,098
Emerging Markets
WINMARK CORP Equity Receivable ( 171.24) 1 97 -
129
Total Emerging
WINNEBAGO Markets Equity
INDUSTRIES INC ( 66.62) 9 416 ($ 1,995,532
573
WINTRUST FINANCIAL CORP ( 43.62) 16 522 707
WISDOMTREE
Issuer INVESTMENTS INC ( Price 3.47) 34
Shares 91
Cost 120
Market Value
WOLVERINE
Equity Options WORLD
StrategyWIDE INC ( 23.81) 22 374 524
WOODWARD
AMERICAN EXPRESS INC CO (
($ 77.55)
103.56) 16
350 ($ 878
355 ($ 1,231
359
WORKIVA
AMERICANINC EXPRESS CREDIT AC 1 A ( 53.49)
104.19) 9
4,760 373
4,896 498
4,953
WORLD
AMERICAN ACCEPTANCE
HONDA FINANCE CORP CO 144A ( 65.52)
100.69) 2
4,065 77
4,281 100
4,049
WORLD
AMERICAN FUEL SERVICES
HONDA CORPCORP
FINANCE ( 25.76)
99.68) 18
7,000 378
7,014 453
6,967
WORLD
AQR STYLE WRESTLING
PREMIA ENTERTAINMENT ( 43.45)
1.54) 12
30,405 515
30,391 538
46,932
WORTHINGTON
AQR VOLATILITY INDUSTRIES
RISK INC ( 37.30)
0.65) 11
57,361 262
57,530 398
37,548
WPX
BANKENERGY INC
100.07) 113
1,500 610
1,503 719
1,500
WRIGHT
BARCLAYSMEDICALBANK PLC GROUP NV ( 29.72)
100.07) 35
3,660 1,025
3,660 1,027
3,659
WSFS FINANCIAL
BMW US CAPITALCORP LLC 144A ( 28.70)
99.70) 15
9,074 359
9,076 432
9,011
WW INTERNATIONAL
CATERPILLAR FINANCIAL INCSERVICES ( 25.38)
99.97) 12
1,600 307
1,602 316
1,598
WYNDHAM
CATERPILLARDESTINATIONS INC
100.05) 24
1,425 526
1,429 665
1,425
WYNDHAM
CATERPILLARHOTELS FINANCIAL & RESORTS
SERVICESINC ( 42.62)
101.97) 25
5,115 995
5,011 1,066
5,191
XBIOTECH
CITIBANK CREDITINC CARD ISS A8 A8 ( 13.71)
100.14) 4
2,000 51
2,000 50
1,988
XENCOR INCINC
CITIGROUP ( 32.39)
100.78) 14
2,358 446
2,390 451
2,374
XENIA HOTELS &RABOBANK
COOPERATIEVE RESORTS INC UA/NY ( 9.33)
100.14) 31
7,000 216
7,000 292
7,008
XENON PHARMACEUTICALS
CREDIT AGRICOLE CORPORATE INCAND ( 12.54)
99.99) 7
8,000 98
8,000 90
7,984
XEROX HOLDINGS
CREDIT SUISSE AG/NEW CORP YORK NY ( 15.29)
100.36) 49
7,700 773
7,857 732
7,591
XPERI
DAIMLER HOLDING
FINANCE CORP NORTH AME REGS ( 14.76)
103.31) 28
5,650 390
5,784 411
5,768
YELP
FORDINC CREDIT AUTO OWNER T A A2A ( 23.13)
100.67) 20
3,330 381
3,330 456
3,348
YETI
FORDHOLDINGS
CREDIT AUTO INC OWNER T B A2A ( 42.73)
100.13) 20
453 535
453 845
453
YEXT
HONDA INCAUTO RECEIVABLES 20 2 A2 ( 16.61)
100.75) 22
3,922 304
3,922 363
3,949
Y-MABS
HONDA AUTO THERAPEUTICS
100.97) 5
5,900 203
5,900 232
5,953
YORK WATERINTERNATIONAL
HONEYWELL CO/THE INC ( 47.96)
101.90) 3
3,350 136
3,219 156
3,403
ZENDESK
HYUNDAI INC AUTO RECEIVABLES A A3 ( 88.53)
100.08) 30
450 2,252
445 2,698
450
ZIOPHARMAUTO
HYUNDAI ONCOLOGY INC B A2
RECEIVABLES ( 3.28)
100.11) 57
229 165
229 187
229
ZOGENIX
HYUNDAI INC AUTO RECEIVABLES B A2 ( 27.01)
100.71) 14
1,462 361
1,462 376
1,471
ZSCALER
HYUNDAIINC AUTO RECEIVABLES B A3 ( 109.50)
102.01) 19
2,500 1,478
2,500 2,072
2,547
ZUMIEZ
IBM CREDIT INC LLC ( 27.38)
100.09) 6
7,100 104
7,096 155
7,098
ZUORA INC
99.69) 26
5,400 292
5,400 336
5,382
ZYMEWORKS
INTERNATIONAL INCBANK FOR RECONST ( 36.07)
99.92) 9
4,200 354
4,200 336
4,190
ZYNEX INC CAPITAL CORP
JOHN DEERE ( 24.87)
100.04) 5
2,600 91
2,600 117
2,592
ZYNGA
100.42) 244
9,390 1,907
9,429 2,329
9,425
US
JOHNEquity
DEERE CAPITAL CORP ( 101.01) 99,222
2,135 ($ 2,010,002
2,134 ($ 2,148,444
2,133
US
JOHNEquity
DEERE Receivable
OWNER TRUST 20 B A2 ( 100.61) 3,556 3,556 -
3,575
Total
JOHNSON US Equity
& JOHNSON ( 103.07) 4,000 3,989 ($ 2,149,220
4,093
KREDITANSTALT FUER WIEDERAUFBA ( 100.64) 1,300 1,343 1,299
Total Equity ($ 12,725,505
Appendix F: Public Infrastructure
AENA SME SA ($ 133.32) 36 ($ 4,409 ($ 4,825
AEROPORTS DE PARIS ( - ) - - -
AMERICAN TOWER CORP ( 258.54) 151 19,224 38,860
AMERICAN WATER WORKS CO INC ( 128.66) 69 5,824 8,819
APA GROUP ( - ) - - -
ATLAS ARTERIA LTD ( - ) - - -
ATMOS ENERGY CORP ( 99.58) 72 6,994 7,200
AUCKLAND INTERNATIONAL AIRPORT ( 4.23) 997 4,287 4,216
CELLNEX TELECOM SA ( 60.92) 303 7,743 18,430
CHENIERE ENERGY INC ( 48.32) 407 22,836 19,685
CHINA TOWER CORP LTD ( 0.18) 53,136 11,486 9,393
CONSOLIDATED EDISON INC ( 71.93) 53 4,495 3,803
CROWN CASTLE INTERNATIONAL COR ( 167.35) 262 31,193 43,833
CSX CORP ( 69.74) 70 5,117 4,896
DUET GROUP ( - ) - - -
EAST JAPAN RAILWAY CO ( 69.28) 2 173 125
EDISON INTERNATIONAL ( 54.31) 211 14,973 11,469
ENBRIDGE INC ( 30.31) 530 18,866 16,076
ENN ENERGY HOLDINGS LTD ( 11.25) 1,125 10,185 12,363
EVERSOURCE ENERGY ( 83.27) 258 21,304 21,490
FERROVIAL SA ( 26.62) 742 16,210 19,758
FIRSTENERGY CORP ( 38.78) 177 7,032 6,861
FLUGHAFEN ZURICH AG ( - ) - - -
FRAPORT AG FRANKFURT AIRPORT S ( - ) - - -
GETLINK SE ( 14.42) 486 6,943 7,005
GRUPO AEROPORTUARIO DEL PACIFI ( 71.82) 42 2,110 3,035
HYDRO ONE LIMITED ( 18.74) 254 5,119 4,755
JAPAN AIRPORT TERMINAL CO LTD ( - ) - - -
KONINKLIJKE VOPAK NV ( 52.88) 93 4,484 4,933
NATIONAL GRID PLC ( 12.22) 2,188 26,553 26,744
NISOURCE INC ( 22.74) 367 9,545 8,352
ONEOK INC ( 33.22) 261 8,834 8,674
ORSTED A/S ( 115.34) 58 4,099 6,641
PEMBINA PIPELINE CORP ( - ) - - -
RED ELECTRICA CORP SA ( - ) - - -
SBA COMMUNICATIONS CORP ( 297.92) 75 21,622 22,435
SEMPRA ENERGY ( 117.23) 230 26,632 26,579
SES SA ( 6.83) 231 4,357 1,575
SEVERN TRENT PLC ( 30.63) 396 11,434 11,730
SYDNEY AIRPORT ( - ) - - -
TC ENERGY CORP ( 42.58) 818 38,497 34,349
TERNA RETE ELETTRICA NAZIONALE ( 6.87) 987 6,050 6,781
TOKYO GAS CO LTD ( 23.91) 195 5,291 4,656
TRANSURBAN GROUP ( 9.73) 2,874 27,529 27,694
VINCI SA ( 92.10) 126 11,606 11,384
WILLIAMS COS INC/THE ( 19.02) 1,124 22,375 21,370
Public Infrastructure Total 69,404 ($ 455,431 ($ 490,794
Public Infrastructure Receivable 2,171
Total Public Infrastructure ($ 492,965
RETIREMENT
by the Custodian. INVESTMENT
in U.S. Dollars. 2
Appendix G: Public Real Estate
Issuer Base Price Shares Cost Market Value
Public Real Estate
ALEXANDRIA REAL ESTATE EQUITIE ($ 162.25) 59 ($ 8,645 ($ 9,457
AMERICAN CAMPUS COMMUNITIES IN ( 34.96) 9 326 315
AMERICAN HOMES 4 RENT ( 26.90) 18 430 495
AMERICAN TOWER CORP ( 258.54) 5 1,083 1,179
AMERICOLD REALTY TRUST ( 36.30) 352 11,159 12,718
APARTMENT INVESTMENT AND MANAG ( 37.64) 14 596 541
APPLE HOSPITALITY REIT INC ( 9.66) 566 6,522 5,469
AVALONBAY COMMUNITIES INC ( 154.64) 9 1,729 1,440
BOSTON PROPERTIES INC ( 90.38) 118 10,646 10,508
BRIXMOR PROPERTY GROUP INC ( 12.82) 44 549 569
COLUMBIA PROPERTY TRUST INC ( 13.14) 25 524 326
COUSINS PROPERTIES INC ( 29.83) 268 9,683 8,000
CUBESMART ( 26.99) 39 997 1,028
CYRUSONE INC ( 72.75) 54 3,231 3,927
DIAMONDROCK HOSPITALITY CO ( 5.53) 32 157 177
DIGITAL REALTY TRUST INC ( 142.11) 123 17,362 17,536
DIVERSIFIED HEALTHCARE TRUST ( 4.43) 15 122 65
DOUGLAS EMMETT INC ( 30.66) 12 488 365
DUKE REALTY CORP ( 35.39) 456 14,896 16,154
EMPIRE STATE REALTY TRUST INC ( 7.00) 45 642 317
EQUINIX INC ( 702.30) 65 34,632 45,825
EQUITY RESIDENTIAL ( 58.82) 441 30,202 25,743
EXTRA SPACE STORAGE INC ( 92.37) 289 28,308 26,653
GAMING AND LEISURE PROPERTIES ( 34.60) 10 304 356
HEALTHCARE TRUST OF AMERICA IN ( 26.52) 21 552 557
HEALTHPEAK PROPERTIES INC ( 27.56) 925 27,554 25,493
HOST HOTELS & RESORTS INC ( 10.79) 555 8,309 5,992
INVITATION HOMES INC ( 27.53) 877 22,624 24,137
IRON MOUNTAIN INC ( 26.10) 121 3,766 3,074
JBG SMITH PROPERTIES ( 29.57) 335 11,761 9,913
KILROY REALTY CORP ( 58.70) 146 10,031 8,523
LIFE STORAGE INC ( 94.95) 7 654 633
MEDICAL PROPERTIES TRUST INC ( 18.80) 434 8,966 8,071
MID-AMERICA APARTMENT COMMUNIT ( 114.67) 99 11,188 11,402
PROLOGIS INC ( 93.33) 401 31,201 37,379
PUBLIC STORAGE ( 191.89) 2 433 374
REALTY INCOME CORP ( 59.50) 364 24,388 21,580
REGENCY CENTERS CORP ( 45.89) 8 393 375
RETAIL OPPORTUNITY INVESTMENTS ( 11.33) 1,178 17,824 13,348
RETAIL PROPERTIES OF AMERICA I ( 7.32) 1,393 10,293 10,193
REXFORD INDUSTRIAL REALTY INC ( 41.43) 12 507 507
RYMAN HOSPITALITY PROPERTIES I ( 34.60) 100 4,265 3,468
SABRA HEALTH CARE REIT INC ( 14.43) 381 5,336 5,494
SBA COMMUNICATIONS CORP ( 297.92) 65 18,404 19,409
SIMON PROPERTY GROUP INC ( 68.38) 81 6,570 5,531
SL GREEN REALTY CORP ( 49.29) 6 337 286
STAG INDUSTRIAL INC ( 29.32) 31 918 917
STORE CAPITAL CORP ( 23.81) 212 6,578 4,984
SUN COMMUNITIES INC ( 135.68) 88 10,565 11,920
UDR INC ( 37.38) 509 22,387 19,025
URBAN EDGE PROPERTIES ( 11.87) 39 504 461
VENTAS INC ( 36.62) 307 15,736 11,121
VEREIT INC ( 6.43) 1,799 10,717 11,430
WELLTOWER INC ( 51.75) 189 9,089 9,780
WP CAREY INC ( 67.65) 15 952 1,005
XENIA HOTELS & RESORTS INC ( 9.33) 15 138 138
Public Real Estate 13,786 ($ 486,175 ($ 475,679
Public Real Estate Receivable 1,293
Total Public Real Estate ($ 476,972
1Appendices A-J were created using data as of June 30, 2020 provided by the Custodian. All figures are in U.S. Dollars. 2 Amounts expresse

Appendix H: Alternatives
Portable Alpha HF
DE SHAW LOW BETA ($ 3.17) 236,918 ($ 276,383 ($ 751,553
GCM - LOW BETA HF ( 1.00) 3,674 3,674 3,674
GCM - MIXED CRED HF ( 1.00) 1,320 1,320 1,320
GS - LOW BETA HF ( 1.00) 6,034 6,034 6,034
GSO - MIXED CRED HF ( 1.00) 19,791 19,791 19,791
LIGHTHOUSE HEDGE FUNDS ( 1.00) 1,573,788 1,573,788 1,573,788
MAN ALT BETA STRATEGIES ( 1,116.67) 222 250,000 248,163
MS-LOW BETA HF NIB ( 1.00) 25,470 25,470 25,470
PURE ALPHA FUND II SERIES CXLI ( 3,451.34) 120 411,422 415,504
RESERVOIR STRATEGIC PARTNERS ( 1.20) 388 399 465
Portable Alpha HF 1,867,726 ($ 2,568,281 ($ 3,045,762
Private Debt
ANGELO GORDON ($ 1.00) 9 ($ - ) ($ 9
APO - PRIVATE DEBT ( 1.00) 423,927 423,927 423,927
APOLLO ATHORA PRIVATE DEBT ( 1.00) 28,291 28,291 28,291
ARES JASPER FUND ( 1.00) 245,634 228,472 245,634
AVENUE CAPITAL US FUNDS ( 1.00) 7,961 - 7,961
BAIN CAPITAL DISTRESSED AND ( 1.00) 18,957 26,864 18,957
CREDIT OPPORTUNITY PARTNERS ( 1.00) 73,957 84,375 73,957
CRESCENT MEZZANINE V LP ( 1.00) 3,572 7,858 3,572
CRESCENT MEZZANINE VI ( 1.00) 28,790 39,730 28,790
EAGLE POINT CREDIT CO INVEST I ( 1.00) 5,000 5,000 5,000
EAGLE POINT CREDIT PARTNERS ( 1.00) 5,186 5,000 5,186
GATEWAY ENERGY & RESOURCES ( 1.00) 5,560 30,000 5,560
GOLDENTREE LOAN MGMT FUND II ( 1.00) 7,105 7,500 7,105
GS - PRIVATE DEBT ( 1.00) 112,892 112,892 112,892
GS MEZZANINE PTNR(S) V LP ( 1.00) 683 - 683
GSO - PRIVATE DEBT ( 1.00) 257,613 257,613 257,613
HIGHBRIDGE SANDLAPPER CREDIT ( 1.00) 241,227 239,773 241,227
JOCASSEE PARTNERS LLC ( 1.00) 144,344 150,000 144,344
KKR LENDING PARTNERS II LP ( 1.00) 24,148 49,585 24,148
KKR LENDING PARTNERS III LP ( 1.00) 95,662 101,488 95,662
KKR SPECIAL SIT US FUND II LP ( 1.00) 91,535 113,910 91,535
MS-PRIVATE DEBT NIB ( 1.00) 276 276 276
NORTHSTAR MEZZANINE PTNR V LP ( 1.00) 14,778 14,706 14,778
OWL ROCK CAP TECH HDGS LLC ( 1.00) 11,466 1,037 11,466
OWL ROCK CAPITAL 2 ( 1.00) 67,204 69,791 67,204
OWL ROCK CAPITAL CORP ( 12.33) 8,811 126,604 105,206
OWL ROCK FIRST LIEN FUND ( 1.00) 88,512 100,000 88,512
OWL ROCK TECH FIN CORP ( 1.00) 46,428 48,973 46,428
SANKATY CREDIT OPP IV ( 1.00) 6,041 2,304 6,041
SELENE II ( 1.00) 27,597 - 27,597
SJC ONSHORE DIRECT LENDING ( 1.00) 145 853 145
STRATEGIC CREDIT OPPORTUNITIES ( 1.00) 87,172 108,103 87,172
WL ROSS- WHOLE LOANS (PIPP) ( 1.00) 6,854 8,846 6,854
Private Debt 2,187,338 ($ 2,393,769 ($ 2,283,733
Private Equity
ABERDEEN US PRIVATE EQ VIII ($ 1.00) 6,773 ($ 7,000 ($ 6,773
APO - PRIVATE EQUITY ( 1.00) 475,143 475,143 475,143
APOLLO OFFSHR PE ( 1.00) 87,068 87,068 87,068
AQUILINE FINANCIAL SERVICES ( 1.00) 83,784 107,002 83,784
RETIREMENT
in U.S. Dollars. 2
Appendix H: Alternatives

Portable
AZALEA FUND AlphaIIIHFLP ( 1.00) 3,748 12,810 3,748
DE SHAW
AZALEA LOWIVBETA
FUND LP ($
( 3.17)
1.00) 236,918
11,294 ($ 276,383
12,004 ($ 751,553
11,294
GCM
BCP V- CO-INVEST
LOW BETA IHF ( 1.00) 3,674
21,937 3,674
22,048 3,674
21,937
GCM
BCP V- CO-INVEST
MIXED CRED II HF ( 1.00) 1,320
12,605 1,320
15,533 1,320
12,605
GS
BCP- VLOW BETA HFIII
CO-INVEST ( 1.00) 6,034
19,435 6,034
19,438 6,034
19,435
GSO - MIXEDSLS
BLACKROCK CRED HF ( 1.00) 19,791
3,000 19,791
3,000 19,791
3,000
LIGHTHOUSE
BRIDGEPOINTHEDGE EUROPE FUNDS
IV A ( 1.00)
1.12) 1,573,788
9,684 1,573,788
20,644 1,573,788
10,877
MAN ALT BETAEUROPE
BRIDGEPOINT STRATEGIES V ( 1,116.67)
1.12) 222
73,346 250,000
66,751 248,163
82,379
MS-LOW
BRIDGEPOINT BETAEUROPE
HF NIB VI ( 1.00)
1.12) 25,470
24,452 25,470
28,842 25,470
27,463
PURE
BRIGHTONALPHA FUND
PARK II SERIES
CAPITAL 1 CXLI ( 3,451.34)
1.00) 120
13,032 411,422
13,206 415,504
13,032
RESERVOIR
BROOKFIELDSTRATEGIC
CAP PTNRSPARTNERSIV LP ( 1.20)
1.00) 388
102,351 399
102,054 465
102,351
Portable
BROOKFIELD AlphaCAPHFPTNRS V LP ( 1.00) 1,867,726
41,131 ($ 2,568,281
41,978 ($ 3,045,762
41,131
BCP IV Co-Invest I ( 1.00) 22,933 21,439 22,933
Private
CAROUSEL DebtCAPITAL PARTNERS IV ( 1.00) 24,369 9,865 24,369
ANGELO
CLAYTONGORDONDUBILIER & RICE VIII ($
( 1.00) 9
14,179 ($ -)
14,791 ($ 9
14,179
APO - PRIVATE
CRESTVIEW DEBT PARTNERS LP
CAPITAL ( 1.00) 423,927
34,243 423,927
55,070 423,927
34,243
APOLLO
CRESTVIEW ATHORA PRIVATE
PARTNERS III LPDEBT ( 1.00) 28,291
39,087 28,291
49,038 28,291
39,087
ARES JASPER FUND FUND I LP
CVE ENDOWMENT ( 1.00) 245,634
33,680 228,472
- 245,634
33,680
AVENUE CAPITAL US
CVE ENDOWMENT FUNDS
FUND II LP ( 1.00) 7,961
78,323 -
8,072 7,961
78,323
BAIN
DIGITALCAPITAL
COLONY DISTRESSED
I AND ( 1.00) 18,957
54,490 26,864
58,522 18,957
54,490
CREDIT
DIGITALOPPORTUNITY
COLONY I CO-INVEST PARTNERS ( 1.00) 73,957
29,995 84,375
30,000 73,957
29,995
CRESCENT
FRANCISCOMEZZANINE
PARTNERS VV LP LP ( 1.00) 3,572
28,164 7,858
25,148 3,572
28,164
CRESCENT
GCM EDISTO MEZZANINE
RSIC DIRECT VI ( 1.00) 28,790
156,851 39,730
157,413 28,790
156,851
EAGLE POINT CREDIT
GCM GROSVENOR CO INVEST
EDISTO LP I ( 1.00) 5,000
171,828 5,000
193,612 5,000
171,828
EAGLE
GREAT POINT CREDITPARTNERS
HILL EQUITY PARTNERSVII ( 1.00) 5,186
(240) 5,000
- 5,186
(240)
GATEWAY
GS - PRIVATE ENERGY
EQUITY & RESOURCES ( 1.00) 5,560
11,033 30,000
11,033 5,560
11,033
GOLDENTREE
HELLMAN & FRIEDMANLOAN MGMT IX FUND II ( 1.00) 7,105
11,067 7,500
12,953 7,105
11,067
GS - PRIVATE
HORSLEY DEBTGC
BRIDGE ( 1.00) 112,892
4,560 112,892
4,560 112,892
4,560
GS MEZZANINE
HORSLEY BRIDGE PTNR(S) V LP
XIII VENTURE ( 1.00) 683
5,536 -
5,975 683
5,536
GSO - PRIVATE
INDUSTRY DEBT V LP
VENTURE ( 1.00) 257,613
357 257,613
7,872 257,613
357
HIGHBRIDGE
INDUSTRY VENTURESSANDLAPPER VI CREDIT ( 1.00) 241,227
8,679 239,773
14,997 241,227
8,679
JOCASSEE
INDUSTRY PARTNERS
VENTURESLLC VII LP ( 1.00) 144,344
24,997 150,000
25,306 144,344
24,997
KKR LENDING
INDUSTRY PARTNERS V
VP HOLDINGS II LP ( 1.00) 24,148
19,373 49,585
16,883 24,148
19,373
KKR LENDING
KPS MID CAP IPARTNERS III LP ( 1.00) 95,662
3,416 101,488
3,376 95,662
3,416
KKR SPECIAL SIT
MS-PRIVATE EQ USNIB FUND II LP ( 1.00) 91,535
91,343 113,910
91,343 91,535
91,343
MS-PRIVATE
PACIFIC EQUITY DEBT NIB
PARTNERS V ( 1.00)
0.69) 276
38,787 276
31,959 276
26,705
NORTHSTAR
PAUL CAPITALMEZZANINE
PARTNERS PTNR IX LP V LP ( 1.00) 14,778
21,534 14,706
40,884 14,778
21,534
OWL ROCK CAP
PROVIDENCE TECH PTNRS
EQUITY HDGS LLC VIII ( 1.00) 11,466
32,434 1,037
37,143 11,466
32,434
OWL ROCK CAPITAL
PROVIDENCE SEDONA 2 COINVEST ( 1.00) 67,204
8,832 69,791
10,000 67,204
8,832
OWL ROCK CAPITAL
PROVIDENCE SEDONA CORPCOINVEST LP ( 12.33)
1.00) 8,811
7,537 126,604
12,048 105,206
7,537
OWL ROCK FIRST
PROVIDENCE LIEN
STRAT FUND III LP
GROWTH ( 1.00) 88,512
47,105 100,000
43,515 88,512
47,105
OWL ROCK TECH
PROVIDENCE FINGROWTH
STRAT CORP IV ( 1.00) 46,428
4,375 48,973
3,394 46,428
4,375
SANKATY
RESERVOIR CREDIT
CAPITAL OPPPARTNERS
IV ( 1.00) 6,041
20,993 2,304
34,944 6,041
20,993
SELENE
SQUAREII1 VENTURE MGMT 1 LP ( 1.00) 27,597
201 -6 27,597
201
SJC ONSHORE
SQUARE DIRECT LP
1 VENTURES LENDING ( 1.00) 145
15,463 853
22,768 145
15,463
STRATEGIC
TA ASSOCIATES CREDITXIII OPPORTUNITIES ( 1.00) 87,172
9,434 108,103
11,250 87,172
9,434
WL
VALORROSS- WHOLE
EQUITY LOANS (PIPP)
PARTNERS V LP ( 1.00) 6,854
11,132 8,846
11,132 6,854
11,132
Private
VENTURE Debt
INVESTMENT MANAGERS LP ( 1.00) 2,187,338
50,120 ($ 2,393,769
29,523 ($ 2,283,733
50,120
WARBURG PINCUS PRIVATE EQUITY ( 1.00) 13,381 10,098 13,381
WLR - PRIVATE
Private Equity EQUITY ( 1.00) 37,304 37,304 37,304
Private Equity
ABERDEEN US PRIVATE EQ VIII ($ 1.00) 2,175,678
6,773 ($ 2,187,758
7,000 ($ 2,176,832
6,773
APOLLO OFFSHR
Private Real PE
Estate ( 1.00) 87,068 87,068 87,068
AQUILINE
APO - REALFINANCIAL
ESTATE SERVICES (($ 1.00) 83,784
44,977 ($ 107,002
44,977 ($ 83,784
44,977
ASANA PARTNERS FUND II ( 1.00) 9,187 12,292 9,187
117 2019–2020
were created REPORT
SQUARE 1 VENTURES LP ( 1.00) 15,463 22,768 15,463
TA ASSOCIATES XIII ( 1.00) 9,434 11,250 9,434
VALOR EQUITY PARTNERS V LP ( 1.00) 11,132 11,132 11,132
VENTURE INVESTMENT MANAGERS LP ( 1.00) 50,120 29,523 50,120
WARBURG PINCUS PRIVATE EQUITY ( 1.00) 13,381 Appendix H: Alternatives
10,098 13,381
WLR - PRIVATE EQUITY ( 1.00) 37,304 37,304 37,304
Private Equity 2,175,678 ($ 2,187,758 ($ 2,176,832
PortableReal
Private Alpha HF
Estate
DE SHAW
APO - REALLOW BETA
ESTATE ($ 3.17)
1.00) 236,918
44,977 ($ 276,383
44,977 ($ 751,553
44,977
GCM - LOW
ASANA BETA HF
PARTNERS FUND II ( 1.00) 3,674
9,187 3,674
12,292 3,674
9,187
GCM - MIXED PROPERTY
BLACKSTONE CRED HF PARTNERS ( 1.00) 1,320
506,444 1,320
443,434 1,320
506,444
GS - LOW BETA
BLACKSTONE REHFPARTNERS VII LP ( 1.00) 6,034
61,066 6,034
49,719 6,034
61,066
GSO - MIXED CRED
BLACKSTONE HF
REAL ESTATE IX ( 1.00) 19,791
25,784 19,791
27,571 19,791
25,784
LIGHTHOUSE
BROOKFIELD RE HEDGE
FIN FD FUNDS
IV LP ( 1.00) 1,573,788
3,422 1,573,788
6,081 1,573,788
3,422
MAN ALT BETA
BROOKFIELD RESTRATEGIES
FIN FD V LP ( 1,116.67)
1.00) 222
45,129 250,000
47,371 248,163
45,129
MS-LOW
BROOKFIELD BETA HF NIB
STRAT RE III-B LP ( 1.00) 25,470
36,294 25,470
34,251 25,470
36,294
PURE
1AppendicesALPHA FUND
BROOKFIELD A-J II SERIES
were
STRATEGIC CXLI using data as of June 30,
created
RE ( 20203,451.34)
provided 120
1.00) by the Custodian.
37,980 411,422
All figures
23,253 415,504
are in U.S. Dollars.
37,980 2
RESERVOIR
BROOKFIELDSTRATEGIC
STRATEGICPARTNERSRE II LP ( 1.20)
1.00) 388
70,203 399
56,712 465
70,203
Portable
CONAGREE Alpha HF
PARTNERS FUND II LP ( 1.00) 1,867,726
11,359 ($ 2,568,281
20,229 ($ 3,045,762
11,359
CRLYLE REALTY PARTNERS VI LP ( 1.00) 8,529 17,198 8,529
Private
CROW HLDGS Debt REALTY PTNRS VII LP ( 1.00) 49,446 40,533 49,446
ANGELO
GREYSTAR GORDON
EQUITY PARTNERS IX ($
( 1.00) 145,206 9 ($ - ) ($
131,268 145,2069
APO - PRIVATE
GREYSTAR EQUITYDEBTPARTNERS X ( 1.00) 423,927
24,978 423,927
25,528 423,927
24,978
APOLLO
GS - REALATHORA
ESTATE PRIVATE DEBT ( 1.00) 28,291
(60) 28,291
(60) 28,291
(60)
ARES
HEITMAN JASPER
COREFUNDRE CREDIT ( 1.00) 245,634
199,123 228,472
200,000 245,634
199,123
AVENUE
LONE STAR CAPITAL
RE FUND US FUNDS
II (US) LP ( 1.00) 7,961
1,250 -
14 7,961
1,250
BAIN
MORGAN CAPITAL DISTRESSED
STANLEY AND
PRIME PROPERTY ( 1.00) 18,957
797,335 26,864
765,930 18,957
797,335
CREDIT
MS-REAL OPPORTUNITY
ESTATE NIB PARTNERS ( 1.00) 73,957
66,827 84,375
66,827 73,957
66,827
CRESCENT
OAKTREE REAL MEZZANINE
ESTATE V LP ( 1.00) 3,572
32,387 7,858- 3,572
32,387
CRESCENT
SCULPTOR MEZZANINE
REAL ESTATEVIII ( 1.00) 28,790
8,591 39,730
10,160 28,790
8,591
EAGLE
TA REALTY POINT
- SCCREDIT
LP CO INVEST I ( 1.00) 5,000
282,272 5,000
245,137 5,000
282,272
EAGLE
THE REALTYPOINTASSOCIATES
CREDIT PARTNERS FUND X ( 1.00) 5,186
8,473 5,000
8,072 5,186
8,473
GATEWAY
TORCHLIGHT ENERGY
DEBT IV & RESOURCES ( 1.00) 5,560
12,111 30,000
19,026 5,560
12,111
GOLDENTREE
TORCHLIGHT DEBT LOANOPP MGMT FD VFUND
LLC II ( 1.00) 7,105
27,703 7,500
31,844 7,105
27,703
GS
WLR - PRIVATE DEBT
- REAL ESTATE ( 1.00) 112,892
23,892 112,892
23,892 112,892
23,892
Private
GS Real Estate
MEZZANINE PTNR(S) V LP ( 1.00) 2,539,910
683 ($ 2,351,259- ($ 2,539,910
683
GSO - PRIVATE DEBT ( 1.00) 257,613 257,613 257,613
HIGHBRIDGE SANDLAPPER CREDIT
Private Infrastructure ( 1.00) 241,227 239,773 241,227
JOCASSEE
ACTIS LONG PARTNERS LLC A LP
LIFE INFRASTR (($ 1.00) 144,344
3,605 ($ 150,000
6,288 ($ 144,344
3,605
KKR LENDINGINFRA
BROOKFIELD PARTNERSFUNDIIIV LP ( 1.00) 24,148
30,346 49,585
31,885 24,148
30,346
KKR LENDINGSUPER-CORE
BROOKFIELD PARTNERS III LP ( 1.00) 95,662
203,298 101,488
200,000 95,662
203,298
KKR SPECIAL SIT US FUND
MACQUARIE SUPER CORE INF SCSP II LP ( 1.00)
1.12) 91,535
95,027 113,910
107,307 91,535
106,730
MS-PRIVATE DEBT NIB
Private Infrastructure ( 1.00) 276 ($
332,276 276 ($
345,480 276
343,978
NORTHSTAR MEZZANINE PTNR V LP ( 1.00) 14,778 14,706 14,778
OWL ROCK CAP
Alternative TECH HDGS LLC
Investments ( 1.00) 11,466 ($
9,102,926 1,037 ($
9,846,547 11,466
10,390,215
OWL ROCK CAPITAL
Alternative Investments2 Receivables ( 1.00) 67,204 69,791 67,204
10,390,215
OWL
Total ROCK CAPITAL
Alternative CORP
Investments ( 12.33) 8,811 126,604 ($ 105,206
10,393,651
OWL ROCK FIRST LIEN FUND ( 1.00) 88,512 100,000 88,512
OWL
Issuer ROCK TECH FIN CORP ( 1.00)
Base Price 46,428
Shares Cost 48,973 46,428
Market Value
SANKATY CREDIT OPP IV
Other Opportunistic ( 1.00) 6,041 2,304 6,041
SELENE
APOLLOIIOFFSHR OTHER OPP (($ 1.00)
1.00) 27,597
75,897 ($ 75,897- ($ 27,597
75,897
SJC ONSHORE
ENTRUST GTAADIRECT LENDING (( 1.00)
1.00) 145
62,086 853
62,086 145
62,086
STRATEGIC CREDIT
WLR OTHER OPPORTUNISTIC OPPORTUNITIES (( 1.00)
1.00) 87,172
86,212 108,103
86,212 87,172
86,212
WL
TotalROSS-
OtherWHOLE LOANS (PIPP)
Opportunistic ( 1.00) 6,854 ($
224,194 8,846 ($
224,194 6,854
224,194
Private Debt 2,187,338 ($ 2,393,769 ($ 2,283,733
Private Equity
ABERDEEN US PRIVATE EQ VIII ($ 1.00) 6,773 ($ 7,000 ($ 6,773
APOLLO OFFSHR PE ( 1.00) 87,068 87,068 87,068
AQUILINE FINANCIAL SERVICES ( 1.00) 83,784 107,002 83,784
RETIREMENT
in U.S. Dollars. 2
Appendix I: Residual Assets
Residual Assets
ACHILLION PHARMACEUTICALS ($ 0.60) 0 ($ 0 ($ 0
ALDER BIOPHARMACEUTICALS INC ( 1.38) 0 0 0
BEST WORLD INTERNATIONAL LTD ( 0.97) 1,603 245 1,563
BETSSON AB ( 0.31) 27 8 8
BLACKSTONE SAF II LP ( 0.10) 5,778 5,778 564
BOLSAS Y MERCADOS ESPANOLES SH ( 37.02) 19 683 687
BUWOG AG RIGHTS ( 0.00) 6 0 0
CHINA HUISHAN DAIRY HOLDINGS C ( 0.05) 1,033 0 56
DOLPHIN DRILLING ASA ( 0.10) 0 0 0
EQUITAL LTD ( 18.20) 0 0 0
FIDELITY NATIONAL FINANCIAL IN ( 30.66) 0 1 0
FLUTTER ENTERTAINMENT PLC ( 130.91) 2 250 271
FOMENTO DE CONSTRUCCIONES Y CO ( 9.45) 1 9 8
GAMING AND LEISURE PROPERTIES ( 34.60) 1 26 23
GW PHARMACEUTICALS PLC ( 8.85) 0 0 0
HEMBLA AB ( 23.08) 8 183 185
INA INVEST HOLDING AG ( 22.16) 1 19 17
INVESCO MORTGAGE CAPITAL INC ( 3.74) 0 0 1
ISRACARD LTD ( 2.27) 0 0 0
JUST EAT TAKEAWAY.COM NV ( 104.31) 6 609 587
KONINKLIJKE VOLKERWESSELS NV ( 24.37) 5 129 130
MEHADRIN LTD ( 33.81) 0 0 0
MELLANOX TECHNOLOGIES LTD ( 125.00) 0 13 13
MIVNE REAL ESTATE KD LTD ( 1.80) 0 0 0
SMITH & WESSON BRANDS INC ( 21.52) 0 3 4
SPEEDCAST INTERNATIONAL LTD ( 0.54) 15 2 8
STANDARD LIFE GTAAN ( 0.13) 28,990 28,990 3,845
SUPER RETAIL GROUP LTD ( 0.10) 5 - 0
VISTRY GROUP PLC ( 8.78) 5 83 40
WESTERN MIDSTREAM PARTNERS LP ( 10.04) 0 0 0
Residual Assets 37,504 ($ 37,031 ($ 8,012
Residual Assets Receivable -
Total Residual Assets ($ 8,012
Appendix J: Futures
Net Contract Settle Futures Local Notional
Futures Product Position Maturity Currency Price Multiplier Currency US Dollar Exposure
Core Fixed Income
US 10YR NOTE FUTURE (CBT) ($ 2,063.00) EXP SEP 20 USD ($ 139.17) 1000 ($ 1.00) ($ 1.00) ($ 287,112
US 2YR NOTE FUTURE (CBT) ( 2,391.00) EXP SEP 20 USD ( 110.41) 2000 ( 1.00) ( 1.00) 528,000
US 5YR NOTE FUTURE (CBT) ( 2,339.00) EXP SEP 20 USD ( 125.74) 1000 ( 1.00) ( 1.00) 294,111
US LONG BOND FUTURE (CBT) ( 2,194.00) EXP SEP 20 USD ( 178.56) 1000 ( 1.00) ( 1.00) 391,766
Core Fixed Income Total ($1,500,989
Grand Total ($1,500,989
119 2019–2020
were created REPORT
Appendix K: Swaps and Options
Asset Class Finance Notional Current Notional Unrealized G/L Since Trade
Options
BNP
AssetParibas
Class Finance Notional Current Notional Unrealized G/L Since Trade
Euro Stoxx Options Proxy
Options ($ 79,039 ($ 73,777 ($ (7,612)
FTSE Options
Developed Strategy Equity
International 25,050 20,918 (4,341)
Goldman
BNP ParibasSachs
FTSE Options
Euro Stoxx Options Proxy ($ 23,688
79,039 ($ 23,648
73,777 ($ 1,488
(7,612)
NikkeiOptions
FTSE OptionStrategy
(JPY) 28,924
25,050 27,528
20,918 883
(4,341)
Stoxx 600Sachs
Goldman Options 74,637 80,101 9,716
Morgan
FTSE Stanley
Options 23,688 23,648 1,488
Options(JPY)
Nikkei Option 33,964
28,924 37,864
27,528 6,274
883
S&P/ASX
Stoxx 600200 Index Proxy
Options 9,983
74,637 8,986
80,101 (2,306)
9,716
S&P/ASXStanley
Morgan 200 Options 9,422 10,205 660
UBS Options
Nikkei 33,964 37,864 6,274
FTSE Options
S&P/ASX 200 Strategy
Index Proxy 24,983
9,983 19,142
8,986 (4,598)
(2,306)
Nikkei Option
S&P/ASX (JPY)
200 Options 35,958
9,422 36,902
10,205 1,612
660
S&P/ASX 200 Index Proxy
UBS 10,022 8,548 (1,302)
Stoxx 600 Options
FTSE Options Proxy
Strategy 63,177
24,983 54,881
19,142 (8,510)
(4,598)
Developed
Nikkei OptionInternational
(JPY) Equity Total ($ 418,845
35,958 ($ 402,501
36,902 ($ (8,035)
1,612
S&P/ASX 200 Index Proxy 10,022 8,548 (1,302)
US Equity
Stoxx 600 Options Proxy 63,177 54,881 (8,510)
Bank of America
Developed International Equity Total ($ 418,845 ($ 402,501 ($ (8,035)
S&P 500 Option Strategy ($ 162,589 ($ 169,257 ($ 17,007
Goldman
US EquitySachs
S&P 500
Bank Option Strategy
of America 275,701 337,529 27,165
US Equity
S&P Total Strategy
500 Option ($ 438,290
162,589 ($ 506,786
169,257 ($ 44,172
17,007
Goldman Sachs
Options
S&P 500 Total
Option Strategy 857,135
275,701 909,286
337,529 36,137
27,165
US Equity Total ($ 438,290 ($ 506,786 ($ 44,172
Total Return Swaps
Options
Core FixedTotal
Income 857,135 909,286 36,137
Barclays
Barclays Agg Proxy
Total Return Swaps ($ 1,327,703 ($ 1,333,550 ($ 29,997
Barclays
Core FixedUSIncome
Agg Proxy 556,688 560,196 26,645
Societe
BarclaysGenerale
Barclays Agg Proxy ($ 806,041
1,327,703 ($ 808,461
1,333,550 ($ 7,199
29,997
Barclays US Agg Proxy 105,661
556,688 106,326
560,196 5,068
26,645
Core Fixed
Societe Income Total
Generale ($ 2,796,092 ($ 2,808,533 ($ 68,909
Barclays Agg Proxy 806,041 808,461 7,199
Public Global
Barclays US AggEquity
Proxy 105,661 106,326 5,068
BNP Paribas
Core Fixed Income Total ($ 2,796,092 ($ 2,808,533 ($ 68,909
MSCI World Swap Proxy ($ 1,425,395 ($ 1,636,271 ($ 232,288
Credit
Public Suisse
Global Equity
MSCI World Swap Proxy
BNP Paribas 328,498 392,092 91,313
Public GlobalSwap
MSCI World Equity Total
Proxy ($ 1,753,893
1,425,395 ($ 2,028,363
1,636,271 ($ 323,601
232,288
Credit Suisse
Total World
MSCI ReturnSwap
Swaps Total
Proxy 4,549,986
328,498 4,836,896
392,092 392,510
91,313
Public Global Equity Total ($ 1,753,893 ($ 2,028,363 ($ 323,601
Grand Total ($ 5,407,121 ($ 5,746,183 ($ 428,647
Total Return Swaps Total 4,549,986 4,836,896 392,510
Grand Total ($ 5,407,121 ($ 5,746,183 ($ 428,647
Counterparty Collateral
Bank of America ($ 12,980
Barclays 8,180
BNP Paribas
Counterparty Collateral 177,060
Goldman Sachs 23,210
JPMorgan (1,020)
Societe Generale 9,240
1Appendices
UBS A-J were created using data as of June 30, 2020(13,270)
provided by the Custodian. All figures are in U.S. Dollars. 2 Amounts exp
Morgan Stanley 3,700
Merrill Lynch (5,120)
1Appendices
Credit Suisse A-J were created using data as of June 30, 2020 provided
58,350 by the Custodian. All figures are in U.S. Dollars. 2 Amounts exp
Grand Total ($ 273,310

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SOUTH CAROLINA RETIREMENT SYSTEM INVESTMENT COMMISSION

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Annual

July 1, 2019 – June 30, 2020

APPENDIX A: SUMMARY SCHEDULE  � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 41

APPENDIX B: CASH AND EQUIVALENTS  � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 43

APPENDIX C: SHORT DURATION � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 48

APPENDIX D: FIXED INCOME INVESTMENTS  � � � � � � � � � � � � � � � � � � � � � � � � � � � � 51

APPENDIX E: EQUITY INVESTMENTS  � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 82

APPENDIX F: PUBLIC INFRASTRUCTURE � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 114

APPENDIX G: PUBLIC REAL ESTATE � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 115

APPENDIX H: ALTERNATIVES� � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 116

APPENDIX I: RESIDUAL ASSETS� � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 119

APPENDIX J: FUTURES � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 119

APPENDIX K: SWAPS AND OPTIONS� � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 120

RETIREMENT SYSTEM INVESTMENT COMMISSION 5

1 2019–2020 ANNUAL INVESTMENT REPORT

PEGGY G. BOYKIN, CPA ALLEN R. GILLESPIE, CFA

December 18, 2020

The Honorable Henry D. McMaster, Governor

RE:2019-2020 Annual Investment Report

Dear Ladies and Gentlemen:

The Retirement System Investment Commission (RSIC) annually includes an introductory

RETIREMENT SYSTEM INVESTMENT COMMISSION 2

3 2019–2020 ANNUAL INVESTMENT REPORT

Michael R. Hitchcock, CEO

RETIREMENT SYSTEM INVESTMENT COMMISSION 4

5 2019–2020 ANNUAL INVESTMENT REPORT

To: The Honorable Henry McMaster, Governor

From: Meketa Investment Group

Date: October 16, 2020

Re: Fiscal Year Ending June 30, 2020 Review

FISCAL 2020 MARKET ENVIRONMENT REVIEW

RETIREMENT SYSTEM INVESTMENT COMMISSION 6

7 2019–2020 ANNUAL INVESTMENT REPORT

as market participants attempted to price in the impact of a cessation of a large portion

RETIREMENT SYSTEM INVESTMENT COMMISSION 8

9 2019–2020 ANNUAL INVESTMENT REPORT

Elsewhere, an increasingly robust acceleration in money supply growth, widening fiscal

RETIREMENT SYSTEM INVESTMENT COMMISSION 10

Globally, countries continue to tentatively ease their lockdown measures, as politicians

11 2019–2020 ANNUAL INVESTMENT REPORT

RETIREMENT SYSTEM INVESTMENT COMMISSION 12

SCRS INVESTMENT RESULTS 1

13 2019–2020 ANNUAL INVESTMENT REPORT

Asset Class % of Total System as of Target Allocation

RETIREMENT SYSTEM INVESTMENT COMMISSION 14

Purpose & Duties

The assets of the Retirement System are invested in History

15 2019–2020 ANNUAL INVESTMENT REPORT

RETIREMENT SYSTEM INVESTMENT COMMISSION 16

17 2019–2020 ANNUAL INVESTMENT REPORT

Dr. Rebecca Gunnlaugsson is an economist specializing in public finance and

Her experience also includes serving as a senior technology consultant for

Dr. Gunnlaugsson is currently a principal at Acuitas Economics, where she

Dr. Gunnlaugsson received her Bachelor and Master degrees in Mechanical

RETIREMENT SYSTEM INVESTMENT COMMISSION 18

A native of Wagener, S.C., Mrs. Boykin earned a Bachelor’s Degree in Business

19 2019–2020 ANNUAL INVESTMENT REPORT

Mr. Edward Giobbe is a resident of Aiken, South Carolina. He has 37 years of

RETIREMENT SYSTEM INVESTMENT COMMISSION 20

21 2019–2020 ANNUAL INVESTMENT REPORT

RETIREMENT SYSTEM INVESTMENT COMMISSION 22

23 2019–2020 ANNUAL INVESTMENT REPORT

Asset Class Policy Targets Target Ranges Policy Benchmark

RETIREMENT SYSTEM INVESTMENT COMMISSION 24

APPENDIX A: SUMMARY SCHEDULE � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 41

APPENDIX B: CASH AND EQUIVALENTS � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 43

APPENDIX C: SHORT DURATION � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 48

APPENDIX D: FIXED INCOME INVESTMENTS � � � � � � � � � � � � � � � � � � � � � � � � � � � � 51

APPENDIX E: EQUITY INVESTMENTS � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 82

APPENDIX F: PUBLIC INFRASTRUCTURE � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 114

APPENDIX G: PUBLIC REAL ESTATE � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 115

APPENDIX H: ALTERNATIVES� � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 116

APPENDIX I: RESIDUAL ASSETS� � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 119

APPENDIX J: FUTURES � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 119

APPENDIX K: SWAPS AND OPTIONS� � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � � 120