0001398344-20-004015.txt : 20200224
0001398344-20-004015.hdr.sgml : 20200224
20200224143350
ACCESSION NUMBER: 0001398344-20-004015
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191231
FILED AS OF DATE: 20200224
PERIOD START: 20191231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: MML Series Investment Fund II
CENTRAL INDEX KEY: 0001317146
IRS NUMBER: 043557005
STATE OF INCORPORATION: CT
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-21714
FILM NUMBER: 20643667
BUSINESS ADDRESS:
STREET 1: 100 BRIGHT MEADOW BLVD.
CITY: ENFIELD
STATE: CT
ZIP: 06082
BUSINESS PHONE: (860) 562-1000
MAIL ADDRESS:
STREET 1: 100 BRIGHT MEADOW BLVD.
CITY: ENFIELD
STATE: CT
ZIP: 06082
0001317146
S000003833
MML Inflation-Protected and Income Fund
C000010689
Initial Class
C000067854
Service Class
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001317146
XXXXXXXX
S000003833
C000010689
C000067854
MML Series Investment Fund II
811-21714
0001317146
XSZQMOMB2JPNHA01JH98
100 BRIGHT MEADOW BLVD.
ENFIELD
06082-1981
8605621000
MML Inflation-Protected and Income Fund
S000003833
6GN6GDL3K7U3DFNZ8J62
2019-12-31
2019-12-31
N
619064766.39
261567308.35
357497458.04
0
0
260269675.16
0
0
0
0
0
0
0
0
0
0
275
USD
N
321 HENDERSON RECEIVABLES LLC
N/A
HENDR 2006 1A A1 144A
88576NAA6
368061.46
PA
USD
364114.77
0.1018510095
Long
ABS-O
CORP
US
Y
2
2041-03-15
Floating
1.93975
N
N
N
N
N
N
321 HENDERSON RECEIVABLES LLC
N/A
HENDR 2006 2A A1 144A
88576NAC2
1347503.24
PA
USD
1319516.68
0.3690981993
Long
ABS-O
CORP
US
Y
2
2041-06-15
Floating
1.93975
N
N
N
N
N
N
321 HENDERSON RECEIVABLES LLC
N/A
HENDR 2006 3A A1 144A
88576NAE8
139495.98
PA
USD
136610.55
0.038213013
Long
ABS-O
CORP
US
Y
2
2041-09-15
Floating
1.93975
N
N
N
N
N
N
321 HENDERSON RECEIVABLES LLC
N/A
HENDR 2006 4A A1 144A
88576NAG3
202261.7
PA
USD
200382.06
0.0560513244
Long
ABS-O
CORP
US
Y
2
2041-12-15
Floating
1.93975
N
N
N
N
N
N
321 HENDERSON RECEIVABLES LLC
N/A
HENDR 2007 1A A1 144A
88576NAJ7
609402.5
PA
USD
587567.61
0.1643557449
Long
ABS-O
CORP
US
Y
2
2042-03-15
Floating
1.93975
N
N
N
N
N
N
AASET 2017 1 TRUST
549300UGVCXV1Y1NM635
AASET 2017 1A A 144A
000366AA2
173221.37
PA
USD
174640.54
0.048850848
Long
ABS-O
CORP
US
Y
2
2042-05-16
Fixed
3.967
N
N
N
N
N
N
AASET 2018 2 TRUST
N/A
AASET 2018 2A A 144A
04546KAA6
1650506.77
PA
USD
1682175.54
0.4705419583
Long
ABS-O
CORP
US
Y
2
2038-11-18
Fixed
4.454
N
N
N
N
N
N
ACADEMIC LOAN FUNDING TRUST
N/A
ALFT 2013 1A A 144A
00389VAA0
1779790.75
PA
USD
1778813.29
0.497573689
Long
ABS-O
CORP
US
Y
2
2044-12-26
Floating
2.592
N
N
N
N
N
N
ACCESS GROUP INC
N/A
ACCSS 2003 A A3
00432CAV3
19469.27
PA
USD
19449.7
0.0054405142
Long
ABS-O
CORP
US
N
2
2038-07-01
Floating
2.79
N
N
N
N
N
N
ACCESS GROUP INC
N/A
ACCSS 2005 1 B
00432CCH2
615131.99
PA
USD
590387.57
0.1651445505
Long
ABS-O
CORP
US
Y
2
2037-09-22
Floating
2.49775
N
N
N
N
N
N
AIMCO
N/A
AIMCO 2015 AA AR 144A
00900LAG9
2450000
PA
USD
2449980.4
0.6853140756
Long
ABS-CBDO
CORP
KY
Y
2
2028-01-15
Floating
2.85088
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE REC
N/A
ACAR 2019 1 C 144A
02528CAE2
1300000
PA
USD
1317809.35
0.368620621
Long
ABS-O
CORP
US
Y
2
2025-04-14
Fixed
3.5
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE REC
N/A
ACAR 2017 4 C 144A
02529JAE6
671328.4
PA
USD
672185.62
0.1880252866
Long
ABS-O
CORP
US
Y
2
2024-01-10
Fixed
2.94
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE REC
N/A
ACAR 2018 4 A 144A
02529MAA7
324567.58
PA
USD
324854.21
0.0908689566
Long
ABS-O
CORP
US
Y
2
2021-12-13
Fixed
3.38
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
AOMT 2019 3 A3 144A
03464QAC9
1732330.46
PA
USD
1740103.77
0.4867457742
Long
ABS-O
CORP
US
Y
2
2059-05-25
Floating
3.238
N
N
N
N
N
N
ARBOR REALTY COLLATERALIZED LO
N/A
ARCLO 2018 FL1 A 144A
03879XAA7
780000
PA
USD
780487.27
0.2183196698
Long
ABS-CBDO
CORP
KY
Y
2
2028-06-15
Floating
2.88975
N
N
N
N
N
N
ASSET BACKED SECURITIES CORP H
N/A
ABSHE 2006 HE3 A4
04541GXB3
360388.73
PA
USD
358911.17
0.1003954467
Long
ABS-O
CORP
US
N
2
2036-03-25
Floating
1.962
N
N
N
N
N
N
AVANGRID INC
549300OX0Q38NLSKPB49
SHORT TERMS
05353AAM1
6000000
PA
USD
5993091
1.6764010108
Long
STIV
CORP
US
N
2
2020-01-21
None
0
N
N
N
N
N
N
AVANT LOANS FUNDING TRUST
N/A
AVNT 2019 A A 144A
05352EAA0
461986.14
PA
USD
463852.38
0.1297498401
Long
ABS-O
CORP
US
Y
2
2022-07-15
Fixed
3.48
N
N
N
N
N
N
AVANT LOANS FUNDING TRUST
N/A
AVNT 2018 B A 144A
05353TAA6
244946.11
PA
USD
245405.56
0.0686454
Long
ABS-O
CORP
US
Y
2
2022-01-18
Fixed
3.42
N
N
N
N
N
N
AVANT LOANS FUNDING TRUST
N/A
AVNT 2019 B A 144A
05354NAA8
2416336.26
PA
USD
2418285.04
0.6764481776
Long
ABS-O
CORP
US
Y
2
2026-10-15
Fixed
2.72
N
N
N
N
N
N
AVERY POINT CLO LTD
549300RWY6OWBAXCT467
AVERY 2014 1A AR 144A
05363UAS2
1171600.08
PA
USD
1171963.28
0.3278242275
Long
ABS-CBDO
CORP
KY
Y
2
2026-04-25
Floating
3.03963
N
N
N
N
N
N
AVIS BUDGET RENTAL CAR FUNDING
IHXLB8SL0QWSSG2VG640
AESOP 2019 1A C 144A
05377RDJ0
388000
PA
USD
397155.83
0.1110933298
Long
ABS-O
CORP
US
Y
2
2023-03-20
Fixed
4.53
N
N
N
N
N
N
BANC OF AMERICA FUNDING CORPOR
N/A
BAFC 2006 G 2A1
05950MAB6
1858082.27
PA
USD
1831451.31
0.5122977154
Long
ABS-O
CORP
US
N
2
2036-07-20
Floating
2.20463
N
N
N
N
N
N
BCC FUNDING CORP
549300UOGJDZQ0HU5P22
BCCFC 2018 1A A2 144A
055377AB1
437890.24
PA
USD
439378.63
0.1229039872
Long
ABS-O
CORP
US
Y
2
2023-06-20
Fixed
2.96
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
SR UNSECURED 12/20 VAR
075887CF4
1545000
PA
USD
1545758.87
0.4323831779
Long
DBT
CORP
US
N
2
2020-12-29
Floating
2.8355
N
N
N
N
N
N
BEMIS COMPANY INC.
PTVU09TE3QPJPL7K4E13
SHORT TERMS
08143TAT4
6000000
PA
USD
5990919
1.675793454
Long
STIV
CORP
US
N
2
2020-01-27
None
0
N
N
N
N
N
N
BHMS MORTGAGE TRUST
N/A
BHMS 2018 ATLS B 144A
05549GAG6
1700000
PA
USD
1696805.87
0.4746343874
Long
ABS-O
CORP
US
Y
2
2035-07-15
Floating
3.23975
N
N
N
N
N
N
BM1106004 SWAPTION
N/A
321213 2.94 PUT
99ZW82473
22880000
NC
USD
875726.05
0.2449600774
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Put
Purchased
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
2042-12-15
1143840.14
USD
0
USD
22880000
USD
1
USD
2.94
USD
2032-12-13
XXXX
-268114.09
N
N
N
BM1106277 SWAPTION
N/A
321213 2.44 CALL
99ZW82564
5620000
NC
USD
369766.83
0.1034320166
N/A
DIR
US
N
2
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
Call
Purchased
BARCLAYS CAPITAL
AC28XWWI3WIBK2824319
2042-12-15
280956.73
USD
0
USD
5620000
USD
1
USD
2.44
USD
2032-12-13
XXXX
88810.1
N
N
N
BM1107838 SWAPTION
N/A
330131 3.11 PUT
99ZX35701
12590000
NC
USD
431764.86
0.1207742462
N/A
DIR
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Put
Purchased
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
2043-02-02
603061
USD
0
USD
12590000
USD
1
USD
3.11
USD
2033-01-31
XXXX
-171296.14
N
N
N
BM1107945 SWAPTION
N/A
330131 2.61 CALL
99ZX37962
3155000
NC
USD
230832.67
0.0645690381
N/A
DIR
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Call
Purchased
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
2043-02-02
151440
USD
0
USD
3155000
USD
1
USD
2.61
USD
2033-01-31
XXXX
79392.67
N
N
N
BM1114651 IRS USD R V 12MUSCPI
N/A
BV1114651 INFLATION
99S14LA33
12000000
PA
USD
-123124.32
-0.0344406141
N/A
DIR
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
N
2020-10-01
0
USD
0
USD
12000000
USD
-123124.32
N
N
N
BM1117886 IRS USD R V 12MUSCPI
N/A
BV1117886 INFLATION
99S16ACR0
12900000
PA
USD
51638.44
0.0144444216
N/A
DIR
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
N
2021-01-10
0
USD
0
USD
12900000
USD
51638.44
N
N
N
BM1126739 IRS USD R V 12MUSCPI
N/A
BV1126739 INFLATION
99S19XPX0
1000000
PA
USD
1323.74
0.0003702796
N/A
DIR
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
N
2022-08-02
0
USD
0
USD
1000000
USD
1323.74
N
N
N
BM1161405 IRS USD R V 12MUSCPI
N/A
BV1161405 INFLATION
99S1BRZ01
10000000
PA
USD
41797.2
0.0116916076
N/A
DIR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
N
2021-11-06
0
USD
0
USD
10000000
USD
41797.2
N
N
N
BM1161561 IRS USD R V 12MUSCPI
N/A
BV1161561 INFLATION
99S1BTKF0
15900000
PA
USD
78005.88
0.0218199817
N/A
DIR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
N
2022-11-08
0
USD
0
USD
15900000
USD
78005.88
N
N
N
BM1163260 IRS USD R V 12MUSCPI
N/A
BV1163260 INFLATION
99S1CBHR6
40000000
PA
USD
147883.6
0.0413663361
N/A
DIR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
N
2021-12-09
0
USD
0
USD
40000000
USD
147883.6
N
N
N
BOEING COMPANY
RVHJWBXLJ1RFUBSY1F30
SHORT TERMS
09702LC94
7000000
PA
USD
6973341.06
1.9505987814
Long
STIV
CORP
US
N
2
2020-03-09
None
0
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUS
N/A
BRAVO 2019 NQM1 A1 144A
10568HAA3
1121662.86
PA
USD
1114717.64
0.3118113472
Long
ABS-O
CORP
US
Y
2
2059-07-25
Floating
2.666
N
N
N
N
N
N
BRAZOS HIGHER ED AUTH INC
N/A
2006 2 STUDENT LN REVNT CL IB2
10620NBD9
1200000
PA
USD
1175784.6
0.3288931358
Long
ABS-O
CORP
US
N
2
2042-06-25
Floating
3.237
N
N
N
N
N
N
BRAZOS TX HGR EDU AUTH
N/A
BRASTD 06/26 FLOATING VAR
10620NAX6
1007535.41
PA
USD
990069.38
0.2769444531
Long
ABS-O
CORP
US
N
2
2026-06-25
Floating
2.081
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2
N/A
BX 2019 XL F 144A
056054AJ8
1750000
PA
USD
1751094.28
0.4898200646
Long
ABS-O
CORP
US
Y
2
2036-10-15
Floating
3.73975
N
N
N
N
N
N
BX TRUST
N/A
BX 2018 IND E 144A
056059AN8
1582000
PA
USD
1586419.32
0.4437568112
Long
ABS-O
CORP
US
Y
2
2035-11-15
Floating
3.43975
N
N
N
N
N
N
CAMB COMMERCIAL MORTGAGE TRUST
N/A
CAMB 2019 LIFE D 144A
12482HAL8
308865
PA
USD
309737.05
0.0866403503
Long
ABS-O
CORP
US
Y
2
2037-12-15
Floating
3.48975
N
N
N
N
N
N
CARLYLE GLOBAL MARKET STRATEGI
N/A
CGMS 2013 2A AR 144A
14310DAU1
2000000
PA
USD
1991034
0.5569365474
Long
ABS-O
CORP
KY
Y
2
2029-01-18
Fixed
2.89325
N
N
N
N
N
N
CAZENOVIA CREEK FUNDING LLC
549300UQAFKKPU3B1L23
CAZ 2015 1A A 144A
149806AA9
1661.89
PA
USD
1658.69
0.0004639725
Long
ABS-O
CORP
US
Y
2
2023-12-10
Fixed
2
N
N
N
N
N
N
CCG RECEIVABLES TRUST
N/A
CCG 2018 2 A2 144A
12509KAB2
728287.47
PA
USD
733980.71
0.2053107493
Long
ABS-O
CORP
US
Y
2
2025-12-15
Fixed
3.09
N
N
N
N
N
N
CENTERPOINT ENGY INC
21TPXMRRHFKOBHDC8J74
SHORT TERMS
1518T2AD6
3000000
PA
USD
2998033.74
0.8386167992
Long
STIV
CORP
US
N
2
2020-01-13
None
0
N
N
N
N
N
N
CHASE EDUCATION LOAN TRUST
N/A
CEDLT 2007 A A4
16151UAD8
3576572.85
PA
USD
3453953.98
0.9661478431
Long
ABS-O
CORP
US
N
2
2039-06-28
Floating
2.0605
N
N
N
N
N
N
CHESAPEAKE FUNDING II LLC
5493000HT7H4OFOD6Z12
CFII 2018 1A A2 144A
165183BH6
695481.29
PA
USD
695907.27
0.1946607603
Long
ABS-O
CORP
US
Y
2
2030-04-15
Floating
2.18975
N
N
N
N
N
N
CIFC FUNDING LTD
549300RWVPXQ5M3BFY62
CIFC 2015 2A AR 144A
12550LAJ1
2145105.71
PA
USD
2145152.9
0.6000470358
Long
ABS-CBDO
CORP
KY
Y
2
2027-04-15
Floating
2.78088
N
N
N
N
N
N
CIM TRUST
N/A
CIM 2019 INV3 A11 144A
12557LBK0
4604997.19
PA
USD
4595236.44
1.285389962
Long
ABS-O
CORP
US
Y
2
2049-08-25
Floating
2.658
N
N
N
N
N
N
CITIBANK CREDIT CARD ISSUANCE
R8AG6FXVDQAMDKCSJJ64
CCCIT 2017 A6 A6
17305EGE9
1100000
PA
USD
1091794.44
0.3053992177
Long
ABS-O
CORP
US
N
2
2029-05-14
Floating
2.50975
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST
N/A
CMLTI 2019 IMC1 A3 144A
17328BAC8
1340760.02
PA
USD
1336369.97
0.3738124398
Long
ABS-O
CORP
US
Y
2
2049-07-25
Fixed
3.03
N
N
N
N
N
N
COLLEGE LOAN CORPORATON TRUST
254900HRAVYB2492C092
COLLE 2005 2 B
194266AE2
455695.88
PA
USD
424809.09
0.1188285624
Long
ABS-O
CORP
US
N
2
2037-01-15
Floating
2.47613
N
N
N
N
N
N
COMMONBOND STUDENT LOAN TRUST
N/A
CBSLT 2018 CGS C 144A
20267XAD5
162526.63
PA
USD
163918.91
0.0458517694
Long
ABS-O
CORP
US
Y
2
2046-02-25
Floating
4.35
N
N
N
N
N
N
COUNTRYWIDE ASSET BACKED CERTI
N/A
CWL 2004 5 3A
1266716D3
11118.51
PA
USD
10600.38
0.0029651623
Long
ABS-O
CORP
US
N
2
2034-09-25
Floating
2.252
N
N
N
N
N
N
CPS AUTO TRUST
N/A
CPS 2019 A A 144A
12596HAA5
193602.2
PA
USD
194279.34
0.0543442577
Long
ABS-O
CORP
US
Y
2
2022-06-15
Fixed
3.18
N
N
N
N
N
N
CPS AUTO TRUST
N/A
CPS 2018 C A 144A
12655CAA4
87567.28
PA
USD
87615.72
0.024508068
Long
ABS-O
CORP
US
Y
2
2021-09-15
Fixed
2.87
N
N
N
N
N
N
CPS AUTO TRUST
N/A
CPS 2018 C B 144A
12655CAB2
260000
PA
USD
261246.83
0.073076556
Long
ABS-O
CORP
US
Y
2
2022-07-15
Fixed
3.43
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE
N/A
DRMT 2018 1A A1 144A
24380PAA2
402513.16
PA
USD
401052.8
0.1121833991
Long
ABS-O
CORP
US
Y
2
2057-12-25
Floating
2.976
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE
N/A
DRMT 2018 1A A2 144A
24380PAB0
402513.16
PA
USD
401046.76
0.1121817095
Long
ABS-O
CORP
US
Y
2
2057-12-25
Floating
3.027
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE
N/A
DRMT 2019 1A A3 144A
24380RAC4
305522.07
PA
USD
307949.72
0.0861403943
Long
ABS-O
CORP
US
Y
2
2059-01-25
Floating
3.948
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE
N/A
DRMT 2018 2A A1 144A
24381HAA9
1189510.57
PA
USD
1189436.34
0.3327118314
Long
ABS-O
CORP
US
Y
2
2058-04-25
Floating
3.479
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE
N/A
DRMT 2018 4A A3 144A
24381LAC6
1907971.39
PA
USD
1914051.33
0.5354027803
Long
ABS-O
CORP
US
Y
2
2058-10-25
Floating
4.285
N
N
N
N
N
N
DIAGEO CAPITAL PLC
213800L23DJLALFC4O95
SHORT TERMS
2524H4AQ3
6000000
PA
USD
5992627.98
1.6762714937
Long
STIV
CORP
US
N
2
2020-01-24
None
0
N
N
N
N
N
N
DRB PRIME STUDENT LOAN TRUST
N/A
DRB 2016 A A1 144A
23340WAA8
267437.61
PA
USD
271695.89
0.0759993907
Long
ABS-O
CORP
US
Y
2
2040-04-25
Floating
3.792
N
N
N
N
N
N
DRB PRIME STUDENT LOAN TRUST
N/A
DRB 2016 R A1 144A
23342BAA2
1769783.59
PA
USD
1771145.26
0.4954287702
Long
ABS-O
CORP
US
Y
2
2044-10-25
Floating
3.608
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST
N/A
DRIVE 2017 1 C
26208EAF1
19927.1
PA
USD
19925.11
0.005573497
Long
ABS-O
CORP
US
N
2
2022-04-15
Fixed
2.84
N
N
N
N
N
N
DRIVE AUTO RECEIVABLES TRUST
N/A
DRIVE 2019 1 C
26208NAF1
963000
PA
USD
978844.34
0.2738045594
Long
ABS-O
CORP
US
N
2
2025-04-15
Fixed
3.78
N
N
N
N
N
N
DRUG ROYALTY II LP 1
549300Y0CSPJQGA1JE86
DRUGB 2014 1 A1 144A
26223UAC3
24878.68
PA
USD
24891.44
0.0069626901
Long
ABS-O
CORP
US
Y
2
2023-07-15
Floating
5.15338
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
SHORT TERMS
26244HAT0
6000000
PA
USD
5990919
1.675793454
Long
STIV
CORP
US
N
2
2020-01-27
None
0
N
N
N
N
N
N
DUPONT DE NEMOURS INC
5493004JF0SDFLM8GD76
SHORT TERMS
26082MA64
2000000
PA
USD
1999398
0.5592761445
Long
STIV
CORP
US
N
2
2020-01-06
None
0
N
N
N
N
N
N
DUPONT DE NEMOURS INC
5493004JF0SDFLM8GD76
SHORT TERMS
26082MAT4
5000000
PA
USD
4992383.75
1.3964809085
Long
STIV
CORP
US
N
2
2020-01-27
None
0
N
N
N
N
N
N
EARNEST STUDENT LOAN PROGRAM L
N/A
EARN 2016 B A1 144A
27034JAA9
171902.9
PA
USD
172957.82
0.0483801538
Long
ABS-O
CORP
US
Y
2
2035-02-26
Floating
3.842
N
N
N
N
N
N
ECMC GROUP STUDENT LOAN TRUST
N/A
ECMC 2016 1A A 144A
26827XAA1
950169.74
PA
USD
954981.3
0.2671295358
Long
ABS-O
CORP
US
Y
2
2066-07-26
Floating
3.058
N
N
N
N
N
N
ECMC GROUP STUDENT LOAN TRUST
N/A
ECMC 2018 1A A 144A
26828HAA5
3132156.25
PA
USD
3073481.88
0.8597213241
Long
ABS-O
CORP
US
Y
2
2068-02-27
Floating
2.542
N
N
N
N
N
N
ECMC GROUP STUDENT LOAN TRUST
N/A
ECMC 2017 1A A 144A
26828WAA2
1394788.7
PA
USD
1394786.89
0.3901529532
Long
ABS-O
CORP
US
Y
2
2066-12-27
Floating
2.992
N
N
N
N
N
N
EDLINC STUDENT LOAN FUNDING TR
N/A
ESLFT 2017 A A 144A
28108RAA0
815682.85
PA
USD
804266.55
0.224971264
Long
ABS-O
CORP
US
Y
2
2047-12-01
Floating
4.35
N
N
N
N
N
N
EDUCATIONAL SERVICES OF AMERIC
N/A
EDUSA 2015 1 A 144A
281378AA7
405969.97
PA
USD
403963.99
0.1129977237
Long
ABS-O
CORP
US
Y
2
2056-10-25
Floating
2.592
N
N
N
N
N
N
EDUCATIONAL SERVICES OF AMERIC
N/A
EDUSA 2015 2 B 144A
28138JAB0
1000000
PA
USD
1008433.3
0.2820812505
Long
ABS-O
CORP
US
Y
2
2058-12-25
Floating
3.292
N
N
N
N
N
N
ELARA HGV TIMESHARE ISSUER
N/A
EHGVT 2014 A B 144A
284157AB0
170943.41
PA
USD
169459.38
0.0474015622
Long
ABS-O
CORP
US
Y
2
2027-02-25
Fixed
3.02
N
N
N
N
N
N
ELFI GRADUATE LOAN PROGRAM
N/A
ELFI 2018 A A1 144A
268571AA4
552709.11
PA
USD
552873.21
0.1546509486
Long
ABS-O
CORP
US
Y
2
2042-08-25
Floating
2.458
N
N
N
N
N
N
ENTERGY CORP
N/A
SHORT TERMS
29366EAN6
2000000
PA
USD
1997595.88
0.5587720514
Long
STIV
CORP
US
N
2
2020-01-22
None
0
N
N
N
N
N
N
ENTERGY CORP
N/A
SHORT TERMS
29366EBJ4
4000000
PA
USD
3988577.56
1.1156939638
Long
STIV
CORP
US
N
2
2020-02-18
None
0
N
N
N
N
N
N
ERAC USA FINANCE LLC
LTKX5ODQW6Z7BQ2K1V47
SHORT TERMS
26882RAG3
1000000
PA
USD
999139.11
0.2794814585
Long
STIV
CORP
US
N
2
2020-01-16
None
0
N
N
N
N
N
N
EXELON CORP
N/A
SHORT TERMS
3016A2A64
4000000
PA
USD
3998796
1.118552289
Long
STIV
CORP
US
N
2
2020-01-06
None
0
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES
N/A
EART 2018 1A B 144A
301656AC8
112350.26
PA
USD
112392.9
0.031438797
Long
ABS-O
CORP
US
Y
2
2022-04-15
Fixed
2.75
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES
N/A
EART 2018 4A A 144A
30166EAA4
101494.33
PA
USD
101547.15
0.0284049992
Long
ABS-O
CORP
US
Y
2
2021-12-15
Fixed
3.05
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES
N/A
EART 2017 1A B 144A
30166JAC9
71031.25
PA
USD
71061.96
0.0198776127
Long
ABS-O
CORP
US
Y
2
2021-12-15
Fixed
3
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES
N/A
EART 2016 3A B 144A
30166LAB6
5934.56
PA
USD
5933.97
0.0016598636
Long
ABS-O
CORP
US
Y
2
2021-08-16
Fixed
2.84
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES
N/A
EART 2018 3A A 144A
30166PAA9
21129.51
PA
USD
21133.15
0.0059114127
Long
ABS-O
CORP
US
Y
2
2022-01-18
Fixed
2.9
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES
N/A
EART 2019 1A B 144A
30167DAB3
435000
PA
USD
438398.74
0.1226298901
Long
ABS-O
CORP
US
Y
2
2023-02-15
Fixed
3.45
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES
N/A
EART 2019 3A A 144A
30167EAA3
700990.61
PA
USD
702228.56
0.1964289659
Long
ABS-O
CORP
US
Y
2
2022-09-15
Fixed
2.59
N
N
N
N
N
N
FANNIE MAE CAS
B1V7KEBTPIMZEU4LTD58
CAS 2016 C04 1M1
30711XCZ5
2161.62
PA
USD
2162.62
0.000604933
Long
ABS-O
USGSE
US
N
2
2029-01-25
Floating
3.242
N
N
N
N
N
N
FANNIE MAE CAS
B1V7KEBTPIMZEU4LTD58
CAS 2016 C06 1M1
30711XDP6
157896.47
PA
USD
158177.05
0.0442456433
Long
ABS-O
USGSE
US
N
2
2029-04-25
Floating
3.092
N
N
N
N
N
N
FANNIE MAE CAS
B1V7KEBTPIMZEU4LTD58
CAS 2018 C03 1M1
30711XJ21
988932.75
PA
USD
989195.31
0.2766999563
Long
ABS-O
USGSE
US
N
2
2030-10-25
Floating
2.472
N
N
N
N
N
N
FANNIE MAE CAS
B1V7KEBTPIMZEU4LTD58
CAS 2017 C07 1M1
30711XUS1
965504.6
PA
USD
965503.73
0.2700728937
Long
ABS-O
USGSE
US
N
2
2030-05-25
Floating
2.442
N
N
N
N
N
N
FANNIE MAE CAS
B1V7KEBTPIMZEU4LTD58
CAS 2018 C05 1M1
30711XX25
1586840
PA
USD
1587515.2
0.4440633533
Long
ABS-O
USGSE
US
Y
2
2031-01-25
Floating
2.512
N
N
N
N
N
N
FCI FUNDING, LLC
213800W6B18ZHTNG7371
FCITL 2019 1A A 144A
30259MAA4
264361.34
PA
USD
265481.49
0.0742610847
Long
ABS-O
CORP
US
Y
2
2031-02-18
Fixed
3.63
N
N
N
N
N
N
FED HM LN PC POOL 1Q0239
S6XOOCT0IEG5ABCC6L87
FH 03/37 FLOATING VAR
3128S4HQ3
236717.2
PA
USD
249299.9
0.0697347336
Long
ABS-MBS
USGSE
US
N
2
2037-03-01
Variable
4.624
N
N
N
N
N
N
FIRST FRANKLIN MTG LOAN ASSET
N/A
FFML 2005 FF9 A4
32027NVV0
1520107.14
PA
USD
1516611.96
0.4242301381
Long
ABS-O
CORP
US
N
2
2035-10-25
Floating
2.152
N
N
N
N
N
N
FIRST INVESTORS AUTO OWNER TRU
N/A
FIAOT 2018 1A A1 144A
32059RAA1
99557.77
PA
USD
99603.1
0.0278612051
Long
ABS-O
CORP
US
Y
2
2022-05-16
Fixed
2.84
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FCAT 2017 1 B 144A
33843QAC8
380259.08
PA
USD
380481.76
0.1064292211
Long
ABS-O
CORP
US
Y
2
2023-03-15
Fixed
2.83
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FCAT 2017 4 A 144A
33843RAA0
346006.94
PA
USD
345840.86
0.09673939
Long
ABS-O
CORP
US
Y
2
2022-04-15
Fixed
2.07
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FCAT 2016 4 C 144A
33844FAD9
680000
PA
USD
680673.47
0.1903995272
Long
ABS-O
CORP
US
Y
2
2022-11-15
Fixed
2.71
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
N/A
FCAT 2018 1 A 144A
33844MAA0
498809.25
PA
USD
499221.12
0.1396432642
Long
ABS-O
CORP
US
Y
2
2022-06-15
Fixed
2.59
N
N
N
N
N
N
FLAGSHIP CREDIT AUTO TRUST
549300A2KXZJ0K08VV65
FCAT 2018 2 A 144A
33844NAA8
1168738.55
PA
USD
1172664.11
0.3280202652
Long
ABS-O
CORP
US
Y
2
2022-10-17
Fixed
2.97
N
N
N
N
N
N
FMC TECH INC
EMQFUEY7DV1MVNKAUT87
SHORT TERMS
3024X2A71
1000000
PA
USD
999646.11
0.2796232777
Long
STIV
CORP
US
N
2
2020-01-07
None
0
N
N
N
N
N
N
FMC TECH INC
EMQFUEY7DV1MVNKAUT87
SHORT TERMS
3024X2AA4
1000000
PA
USD
999483.06
0.279577669
Long
STIV
CORP
US
N
2
2020-01-10
None
0
N
N
N
N
N
N
FMC TECH INC
EMQFUEY7DV1MVNKAUT87
SHORT TERMS
3024X2AX4
4000000
PA
USD
3992959.56
1.1169197068
Long
STIV
CORP
US
N
2
2020-01-31
None
0
N
N
N
N
N
N
FREDDIE MAC STACR
S6XOOCT0IEG5ABCC6L87
STACR 2018 HQA1 M1
3137G0UC1
1179420.2
PA
USD
1179419.14
0.3299097975
Long
ABS-O
USGSE
US
N
2
2030-09-25
Floating
2.492
N
N
N
N
N
N
GCCFC COMMERCIAL MORTGAGE TRUS
N/A
GCCFC 2006 GG7 AM
20173MAG5
154775.32
PA
USD
156171.66
0.043684691
Long
ABS-O
CORP
US
N
2
2038-07-10
Floating
5.61931
N
N
N
N
N
N
GCO EDUCATION LOAN FUNDING TRU
N/A
GCOE 2006 1 A9L
36156HAW8
569043.36
PA
USD
568829.46
0.159114267
Long
ABS-O
CORP
US
N
2
2026-05-25
Floating
2.0695
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
SHORT TERMS
36960LCH6
4000000
PA
USD
3981682.56
1.1137652787
Long
STIV
CORP
US
N
2
2020-03-17
None
0
N
N
N
N
N
N
GOAL CAPITAL FUNDING TRUST
N/A
GOAL 2010 1 A 144A
38021EAA2
287044.98
PA
USD
287961.66
0.0805492888
Long
ABS-O
CORP
US
Y
2
2048-08-25
Floating
2.6095
N
N
N
N
N
N
HERTZ FLEET LEASE FUNDING LP
549300FESQ105M6ZTE59
HFLF 2018 1 A1 144A
428041BC0
2076517.29
PA
USD
2078328.64
0.5813548022
Long
ABS-O
CORP
US
Y
2
2032-05-10
Floating
2.21513
N
N
N
N
N
N
HERTZ VEHICLE FINANCING LLC
549300FPK70TCB78NG05
HERTZ 2017 1A B 144A
428040CV9
730000
PA
USD
734287.8
0.2053966493
Long
ABS-O
CORP
US
Y
2
2021-10-25
Fixed
3.56
N
N
N
N
N
N
HERTZ VEHICLE FINANCING LLC
5493004IHDYOZ9K9WF47
HERTZ 2015 1A B 144A
42806DAB5
890000
PA
USD
891925.16
0.2494913292
Long
ABS-O
CORP
US
Y
2
2021-03-25
Fixed
3.52
N
N
N
N
N
N
HERTZ VEHICLE FINANCING LLC
549300FPK70TCB78NG05
HERTZ 2016 2A D 144A
42806DAX7
3300000
PA
USD
3373829.25
0.9437351719
Long
ABS-O
CORP
US
Y
2
2022-03-25
Fixed
5.97
N
N
N
N
N
N
HILTON GRAND VACATIONS TRUST
N/A
HGVT 2014 AA A 144A
43284AAA2
61471.46
PA
USD
61277.92
0.0171407988
Long
ABS-O
CORP
US
Y
2
2026-11-25
Fixed
1.77
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MOR
N/A
JPMCC 2018 LAQ A 144A
46649VAA9
1617427.15
PA
USD
1616411.08
0.4521461744
Long
ABS-O
CORP
US
Y
2
2032-06-15
Floating
2.73975
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST
N/A
JPMMT 2018 1 A5 144A
46648RAE1
535908.48
PA
USD
544156.43
0.1522126711
Long
ABS-O
CORP
US
Y
2
2048-06-25
Floating
3.5
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST
N/A
JPMMT 2017 6 A5 144A
46649HAE2
758554.4
PA
USD
769754.91
0.2153175897
Long
ABS-O
CORP
US
Y
2
2048-12-25
Floating
3.5
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST
N/A
JPMMT 2018 3 A5 144A
46649TAE6
810894.77
PA
USD
822868.12
0.2301745373
Long
ABS-O
CORP
US
Y
2
2048-09-25
Floating
3.5
N
N
N
N
N
N
JP MORGAN STUDENT LOAN TRUST
N/A
JPMST 2007 A B 144A
48122HAB0
510539.73
PA
USD
483543.56
0.1352579016
Long
ABS-O
CORP
US
Y
2
2039-06-28
Floating
2.28563
N
N
N
N
N
N
KEYCORP STUDENT LOAN TRUST
549300O83C3TV9I4SN56
KSLT 2000 A A2
493268AW6
150197.13
PA
USD
149050.28
0.0416926825
Long
ABS-O
CORP
US
N
2
2029-05-25
Floating
2.2295
N
N
N
N
N
N
KNDL MORTGAGE TRUST
N/A
KNDL 2019 KNSQ E 144A
482598AN9
476000
PA
USD
475715.11
0.1330681098
Long
ABS-O
CORP
US
Y
2
2036-05-15
Floating
3.53975
N
N
N
N
N
N
KREF 2018 FL1 LTD.
N/A
KREF 2018 FL1 AS 144A
48275PAC5
2000000
PA
USD
1999994.4
0.5594429709
Long
ABS-CBDO
CORP
KY
Y
2
2036-06-15
Floating
3.08738
N
N
N
N
N
N
KREF 2018 FL1 LTD.
N/A
KREF 2018 FL1 D 144A
48275PAJ0
2450000
PA
USD
2459181.13
0.6878877247
Long
ABS-CBDO
CORP
KY
Y
2
2036-06-15
Floating
4.28738
N
N
N
N
N
N
LCM LTD PARTNERSHIP
5493003LYT7GC7SDWZ12
LCM 19A AR 144A
50188QAJ0
1300000
PA
USD
1300301.6
0.3637233135
Long
ABS-CBDO
CORP
KY
Y
2
2027-07-15
Floating
3.24088
N
N
N
N
N
N
LENDMARK FUNDING TRUST
N/A
LFT 2018 1A A 144A
52603VAA1
630000
PA
USD
638521.44
0.1786086658
Long
ABS-O
CORP
US
Y
2
2026-12-21
Fixed
3.81
N
N
N
N
N
N
LOUISIANA ST PUBLIC FACS AUTH
549300RQIPT5S4P4M065
LASFAC 04/27 FLOATING VAR
546398K49
52330.71
PA
USD
52379.9
0.0146518245
Long
DBT
MUN
US
N
2
2027-04-26
Floating
2.84
N
N
N
N
N
N
MARLETTE FUNDING TRUST
5493000DIU62BZSFTP62
MFT 2018 2A A 144A
57109EAA7
125664.24
PA
USD
125726.36
0.0351684626
Long
ABS-O
CORP
US
Y
2
2028-07-17
Fixed
3.06
N
N
N
N
N
N
MARLETTE FUNDING TRUST
549300J7CH2COR8VWE03
MFT 2018 3A A 144A
57109FAA4
256026.94
PA
USD
256659.35
0.0717933357
Long
ABS-O
CORP
US
Y
2
2028-09-15
Fixed
3.2
N
N
N
N
N
N
MARLETTE FUNDING TRUST
5493000DIU62BZSFTP62
MFT 2019 2A A 144A
57109HAA0
367329.53
PA
USD
369673.72
0.1034059716
Long
ABS-O
CORP
US
Y
2
2029-07-16
Fixed
3.13
N
N
N
N
N
N
MARLETTE FUNDING TRUST
5493000DIU62BZSFTP62
MFT 2019 2A B 144A
57109HAB8
385000
PA
USD
390675.9
0.1092807491
Long
ABS-O
CORP
US
Y
2
2029-07-16
Fixed
3.53
N
N
N
N
N
N
MARLETTE FUNDING TRUST
549300J7CH2COR8VWE03
MFT 2019 1A A 144A
57109XAA5
244171.57
PA
USD
245906.21
0.0687854429
Long
ABS-O
CORP
US
Y
2
2029-04-16
Fixed
3.44
N
N
N
N
N
N
MONDELEZ INTL INC
549300DV9GIB88LZ5P30
SHORT TERMS
60920VAM4
6000000
PA
USD
5993091
1.6764010108
Long
STIV
CORP
US
N
2
2020-01-21
None
0
N
N
N
N
N
N
MVW OWNER TRUST
N/A
MVWOT 2017 1A A 144A
553896AA9
98105.78
PA
USD
98066.53
0.0274313923
Long
ABS-O
CORP
US
Y
2
2034-12-20
Fixed
2.42
N
N
N
N
N
N
NATIONAL GRID USA
N/A
SHORT TERMS
6362P2BA3
3500000
PA
USD
3491692.96
0.9767042762
Long
STIV
CORP
US
N
2
2020-02-10
None
0
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
549300YZ4ZMNDBNO4U12
NAVSL 2015 AA A2B 144A
63939EAC7
435629.78
PA
USD
438560.78
0.1226752163
Long
ABS-O
CORP
US
Y
2
2028-12-15
Floating
2.93975
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
549300761SV59SBM0Z40
NAVSL 2016 5A A 144A
63939QAA4
2087034.56
PA
USD
2111573.7
0.5906541858
Long
ABS-O
CORP
US
Y
2
2065-06-25
Floating
2.958
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
N/A
NAVSL 2018 1A A3 144A
63940DAC6
1120000
PA
USD
1102496.42
0.3083927998
Long
ABS-O
CORP
US
Y
2
2067-03-25
Floating
2.428
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
N/A
NAVSL 2016 3A A2 144A
63940HAB9
255080.59
PA
USD
255517.85
0.0714740327
Long
ABS-O
CORP
US
Y
2
2065-06-25
Floating
2.558
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
N/A
NAVSL 2016 6A A3 144A
63940LAC8
2200000
PA
USD
2229340.08
0.6235960648
Long
ABS-O
CORP
US
Y
2
2066-03-25
Floating
3.008
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
N/A
NAVSL 2018 A A1 144A
63940PAA3
647395.75
PA
USD
647995.63
0.1812588077
Long
ABS-O
CORP
US
Y
2
2042-02-18
Fixed
2.53
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
N/A
NAVSL 2019 2A A2 144A
63941RAB6
3387000
PA
USD
3415343.43
0.9553476125
Long
ABS-O
CORP
US
Y
2
2068-02-27
Floating
2.708
N
N
N
N
N
N
NAVIENT STUDENT LOAN TRUST
N/A
NAVSL 2019 3A B 144A
63941VAB7
2900000
PA
USD
2899995.07
0.8111932001
Long
ABS-O
CORP
US
Y
2
2068-07-25
Floating
3.342
N
N
N
N
N
N
NAVISTAR FINANCIAL DEALER NOTE
549300S28N49H5RT4J50
NAVMT 2019 1 B 144A
63938PBJ7
1400000
PA
USD
1399998.6
0.3916107845
Long
ABS-O
CORP
US
Y
2
2024-05-25
Floating
2.542
N
N
N
N
N
N
NELNET PRIVATE EDUCATION LOAN
N/A
NPELT 2016 A A1A 144A
64034JAA2
377308.01
PA
USD
375564.7
0.1050538099
Long
ABS-O
CORP
US
Y
2
2040-12-26
Floating
3.458
N
N
N
N
N
N
NELNET STUDENT LOAN TRUST
549300T6B0Q52I6OM558
NSLT 2006 2 B
640315AH0
733844.73
PA
USD
672867.37
0.1882159872
Long
ABS-O
CORP
US
N
2
2038-01-25
Floating
2.13963
N
N
N
N
N
N
NELNET STUDENT LOAN TRUST
N/A
NSLT 2006 3 B
64031AAJ5
326397.66
PA
USD
301507.26
0.0843382948
Long
ABS-O
CORP
US
N
2
2041-06-25
Floating
2.35625
N
N
N
N
N
N
NELNET STUDENT LOAN TRUST
N/A
NSLT 2018 1A A2 144A
64031KAB0
1781513.15
PA
USD
1747579.78
0.4888369807
Long
ABS-O
CORP
US
Y
2
2066-05-25
Floating
2.552
N
N
N
N
N
N
NELNET STUDENT LOAN TRUST
N/A
NSLT 2004 3 B
64031QBE0
1150705.82
PA
USD
1064280.45
0.297702942
Long
ABS-O
CORP
US
N
2
2040-10-25
Floating
2.28963
N
N
N
N
N
N
NELNET STUDENT LOAN TRUST
N/A
NSLT 2005 2 B
64031QBY6
854829.55
PA
USD
838968.79
0.2346782533
Long
ABS-O
CORP
US
N
2
2037-03-23
Floating
2.09775
N
N
N
N
N
N
NELNET STUDENT LOAN TRUST
N/A
NSLT 2014 2A B 144A
64033LAD2
375000
PA
USD
373114.31
0.1043683813
Long
ABS-O
CORP
US
Y
2
2041-06-25
Floating
3.208
N
N
N
N
N
N
NEUBERGER BERMAN CLO LTD
549300NPF57YF6WBDP72
NEUB 2015 20A AR 144A
64130TAQ8
2450000
PA
USD
2448654.95
0.6849433178
Long
ABS-CBDO
CORP
KY
Y
2
2028-01-15
Floating
2.80088
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN
N/A
NRZT 2019 NQM1 A3 144A
64829YAC4
1300992.17
PA
USD
1321304.04
0.3695981636
Long
ABS-O
CORP
US
Y
2
2049-01-25
Floating
3.92798
N
N
N
N
N
N
NEXTGEAR FLOORPLAN MASTER OWNE
N/A
NFMOT 2018 1A A1 144A
65341KAZ9
850000
PA
USD
851899.92
0.2382953783
Long
ABS-O
CORP
US
Y
2
2023-02-15
Floating
2.37975
N
N
N
N
N
N
NEXTGEAR FLOORPLAN MASTER OWNE
N/A
NFMOT 2018 2A A1 144A
65341KBC9
470000
PA
USD
471175
0.1317981399
Long
ABS-O
CORP
US
Y
2
2023-10-15
Floating
2.33975
N
N
N
N
N
N
NORTH CAROLINA STATE EDUCATION
N/A
NCSEA 2011 2 A2
658262GC8
1809732.38
PA
USD
1814190.11
0.5074693733
Long
DBT
MUN
US
N
2
2025-07-25
Floating
2.73963
N
N
N
N
N
N
NP SPE II LLC
N/A
NPRL 2019 1A A1 144A
62954JAA2
394928.58
PA
USD
394256.69
0.1102823758
Long
ABS-O
CORP
US
Y
2
2049-09-20
Fixed
2.574
N
N
N
N
N
N
OCP CLO LTD
N/A
OCP 2015 10A A1R 144A
67092DAL3
2450000
PA
USD
2447868.5
0.6847233302
Long
ABS-CBDO
CORP
KY
Y
2
2027-10-26
Floating
2.75563
N
N
N
N
N
N
ONEMAIN DIRECT AUTO RECEIVABLE
N/A
ODART 2017 2A A 144A
68267CAA6
54555.29
PA
USD
54549.59
0.0152587351
Long
ABS-O
CORP
US
Y
2
2021-12-14
Fixed
2.31
N
N
N
N
N
N
OPTEUM MORTGAGE ACCEPTANCE COR
N/A
OPMAC 2005 4 1APT
68383NCA9
1519840.64
PA
USD
1519158.23
0.4249423865
Long
ABS-O
CORP
US
N
2
2035-11-25
Floating
2.102
N
N
N
N
N
N
ORANGE LAKE TIMESHARE TRUST
N/A
ONGLT 2016 A A 144A
68504LAA9
238846.17
PA
USD
239138.02
0.0668922295
Long
ABS-O
CORP
US
Y
2
2029-03-08
Fixed
2.61
N
N
N
N
N
N
OSCAR US FUNDING TRUST
3538001UYSCP1K1A1R98
OSCAR 2017 1A A3 144A
687846AD7
139605
PA
USD
139764.7
0.039095299
Long
ABS-O
CORP
JP
Y
2
2021-06-10
Fixed
2.82
N
N
N
N
N
N
OSCAR US FUNDING TRUST
N/A
OSCAR 2018 1A A2A 144A
68784CAB8
71571.6
PA
USD
71628.41
0.0200360613
Long
ABS-O
CORP
JP
Y
2
2021-04-12
Fixed
2.91
N
N
N
N
N
N
OSCAR US FUNDING TRUST
3538004ZS19MV1XYKA71
OSCAR 2018 2A A2B 144A
68784XAC0
487245
PA
USD
487405.08
0.1363380547
Long
ABS-O
CORP
JP
Y
2
2021-08-10
Floating
2.18513
N
N
N
N
N
N
OXFORD FINANCE FUNDING TRUST
N/A
OXFIN 2016 1A A 144A
69144YAA5
163622.82
PA
USD
164377.02
0.0459799129
Long
ABS-O
CORP
US
Y
2
2024-06-17
Fixed
3.968
N
N
N
N
N
N
PARKER-HANNIFIN CORP
5493002CONDB4N2HKI23
SHORT TERMS
70109LCA2
2000000
PA
USD
1992716.12
0.5574070739
Long
STIV
CORP
US
N
2
2020-03-10
None
0
N
N
N
N
N
N
PARKER-HANNIFIN CORP
5493002CONDB4N2HKI23
SHORT TERMS
70109LCP9
5000000
PA
USD
4978200.95
1.3925136635
Long
STIV
CORP
US
N
2
2020-03-23
None
0
N
N
N
N
N
N
PNMAC GMSR ISSUER TRUST
5493007JEN3QN6CZC711
PNMSR 2018 GT1 A 144A
69354WAC0
440000
PA
USD
442595.96
0.123803946
Long
ABS-O
CORP
US
Y
2
2023-02-25
Floating
4.642
N
N
N
N
N
N
PSMC TRUST
N/A
PSMC 2018 1 A3 144A
69371VAC1
770163.43
PA
USD
782016.71
0.2187474882
Long
ABS-O
CORP
US
Y
2
2048-02-25
Floating
3.5
N
N
N
N
N
N
PUBLIC SEVC. ENT. GR
PUSS41EMO3E6XXNV3U28
SHORT TERMS
74457LAM8
6000000
PA
USD
5993091
1.6764010108
Long
STIV
CORP
US
N
2
2020-01-21
None
0
N
N
N
N
N
N
RECKITT BENCKISER TREAS
213800LAXWIUOOBZ3908
SHORT TERMS
7562E0CD6
6000000
PA
USD
5977163.16
1.6719456392
Long
STIV
CORP
US
N
2
2020-03-13
None
0
N
N
N
N
N
N
RECKITT BENCKISER TREAS
213800LAXWIUOOBZ3908
SHORT TERMS
7562E0DM5
1000000
PA
USD
993768.44
0.2779791626
Long
STIV
CORP
US
N
2
2020-04-21
None
0
N
N
N
N
N
N
Repurchase Agreement
549300H47WTHXPU08X20
FIXED INC CLEARING CORP.REPO
85748R009
266735.15
PA
USD
266735.15
0.0746117613
Long
RA
CORP
US
N
1
Repurchase
N
0.8
2020-01-02
265000
USD
272511.16
USD
UST
N
N
N
Reverse Repurchase Agreement
CYYGQCGNHMHPSMRL3R97
Reverse Repo HSBC Securities USA Inc
913ZLP001
-45417500
PA
USD
-45417500
-12.7042861365
Short
RA
CORP
US
N
1
Reverse repurchase
N
1.85
2020-02-13
39042466.3457131
USD
46567477.9190213
USD
UST
N
N
N
Reverse Repurchase Agreement
CYYGQCGNHMHPSMRL3R97
Reverse Repo HSBC Securities USA Inc
913ZLP019
-13561029.42
PA
USD
-13561029.42
-3.7933219146
Short
RA
CORP
US
N
1
Reverse repurchase
N
1.9
2020-02-19
11657533.6542869
USD
13904396.7209787
USD
UST
N
N
N
Reverse Repurchase Agreement
9R7GPTSO7KV3UQJZQ078
Reverse Repo Morgan Stanley and Co LLC
913ZLU000
-37305000
PA
USD
-37305000
-10.435039232
Short
RA
CORP
US
N
1
Reverse repurchase
N
1.88
2020-02-14
35000000
USD
38614763.57
USD
UST
N
N
N
Reverse Repurchase Agreement
2J5703FH5U5M97R1I237
Reverse Repo BNP Paribas
913ZLW006
-62699000
PA
USD
-62699000
-17.5383065222
Short
RA
CORP
US
N
1
Reverse repurchase
N
2.15
2020-02-13
54200000
USD
64459896.15
USD
UST
N
N
N
Reverse Repurchase Agreement
2IGI19DL77OX0HC3ZE78
Reverse Repo CIBC
923XCN009
-47250950
PA
USD
-47250950
-13.2171429299
Short
RA
CORP
US
N
1
Reverse repurchase
N
1.95
2020-01-15
36480000
USD
47666809.59
USD
UST
N
N
N
Reverse Repurchase Agreement
M67H5PRC0NQKM73ZAS82
Reverse Repo Daiwa Securities America Inc
939BYJ004
-53363750
PA
USD
-53363750
-14.9270292137
Short
RA
CORP
US
N
1
Reverse repurchase
N
1.92
2020-01-10
48000000
USD
55644937.19
USD
UST
N
N
N
SAXON ASSET SECURITIES TRUST
N/A
SAST 2006 2 A3C
80556XAE7
1964544.63
PA
USD
1948433.6
0.5450202669
Long
ABS-O
CORP
US
N
2
2036-09-25
Floating
1.942
N
N
N
N
N
N
SECURITIZED EQUIPMENT RECEIV
N/A
10/24 3.76
81376RAB2
400000
PA
USD
400404.56
0.1120020719
Long
ABS-O
CORP
US
Y
2
2024-10-11
Fixed
3.76
N
N
N
N
N
N
SECURITIZED EQUIPMENT RECEIV
N/A
10/24 4.2
81376RAC0
430000
PA
USD
431297.87
0.1206436187
Long
ABS-O
CORP
US
Y
2
2024-10-11
Fixed
4.2
N
N
N
N
N
N
SEMPRA ENERGY HOLDIN
PBBKGKLRK5S5C0Y4T545
SHORT TERMS
81685LA39
2500000
PA
USD
2499632.3
0.6992028177
Long
STIV
CORP
US
N
2
2020-01-03
None
0
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
SEMT 2018 3 A4 144A
81746VAD2
678935.97
PA
USD
687263.53
0.1922429138
Long
ABS-O
CORP
US
Y
2
2048-03-25
Floating
3.5
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
SEMT 2018 CH3 A11 144A
81746WAL2
386525.24
PA
USD
393782.48
0.1101497287
Long
ABS-O
CORP
US
Y
2
2048-08-25
Floating
4
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
549300ZUG1L9OO3W6B29
SEMT 2018 CH1 A10 144A
81747DAK5
429220.53
PA
USD
437230.86
0.1223032081
Long
ABS-O
CORP
US
Y
2
2048-02-25
Floating
4
N
N
N
N
N
N
SEQUOIA MORTGAGE TRUST
N/A
SEMT 2018 CH2 A12 144A
81747EAM9
1369489.23
PA
USD
1379295.87
0.3858197699
Long
ABS-O
CORP
US
Y
2
2048-06-25
Floating
4
N
N
N
N
N
N
SIERRA RECEIVABLES FUNDING CO
N/A
SRFC 2015 2A A 144A
82652HAA9
275533.95
PA
USD
275422.22
0.0770417282
Long
ABS-O
CORP
US
Y
2
2032-06-20
Fixed
2.43
N
N
N
N
N
N
SIERRA RECEIVABLES FUNDING CO
N/A
SRFC 2015 2A B 144A
82652HAB7
800150.59
PA
USD
801082.93
0.2240807346
Long
ABS-O
CORP
US
Y
2
2032-06-20
Fixed
3.02
N
N
N
N
N
N
SIERRA RECEIVABLES FUNDING CO
N/A
SRFC 2015 3A B 144A
82652JAB3
26683.2
PA
USD
26785.6
0.0074925288
Long
ABS-O
CORP
US
Y
2
2032-09-20
Fixed
3.08
N
N
N
N
N
N
SIERRA RECEIVABLES FUNDING CO
N/A
SRFC 2019 3A C 144A
82652NAC2
3306638.39
PA
USD
3294484.51
0.9215406812
Long
ABS-O
CORP
US
Y
2
2036-08-20
Fixed
3
N
N
N
N
N
N
SIERRA RECEIVABLES FUNDING CO
N/A
SRFC 2019 3A D 144A
82652NAD0
846685.72
PA
USD
843620.72
0.2359795017
Long
ABS-O
CORP
US
Y
2
2036-08-20
Fixed
4.18
N
N
N
N
N
N
SIERRA RECEIVABLES FUNDING CO
N/A
SRFC 2019 1A C 144A
82653EAC1
686770.02
PA
USD
702065.42
0.196383332
Long
ABS-O
CORP
US
Y
2
2036-01-20
Fixed
3.77
N
N
N
N
N
N
SIERRA RECEIVABLES FUNDING CO
N/A
SRFC 2019 1A D 144A
82653EAD9
621363.35
PA
USD
632327.8
0.1768761667
Long
ABS-O
CORP
US
Y
2
2036-01-20
Fixed
4.75
N
N
N
N
N
N
SLC STUDENT LOAN TRUST
N/A
SLCLT 2005 2 B
784420AK7
1866629.76
PA
USD
1731858.16
0.4844392935
Long
ABS-O
CORP
US
N
2
2040-03-15
Floating
2.17363
N
N
N
N
N
N
SLC STUDENT LOAN TRUST
N/A
SLCLT 2006 2 B
784428AG9
1239341.54
PA
USD
1157488.86
0.3237754099
Long
ABS-O
CORP
US
N
2
2039-12-15
Floating
2.12363
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
N/A
SLMA 2002 7 A11
78442GEX0
90000
PA
USD
90000
0.0251750042
Long
ABS-O
USGA
US
N
2
2028-03-15
Floating
1.513
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
549300JLVVUXV7DNSJ85
SLMA 2003 5 A7
78442GGU4
550000
PA
USD
550000
0.1538472478
Long
ABS-O
USGA
US
N
2
2030-06-15
Floating
2.894
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
5493000NQN5E3MSIIG77
SLMA 2003 11 B
78442GJY3
437476.38
PA
USD
409630.53
0.1145827812
Long
ABS-O
USGA
US
N
2
2038-12-15
Floating
2.54363
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
549300UECCCKC4WVNL14
SLMA 2003 14 A7 144A
78442GKG0
2550000
PA
USD
2492317.73
0.6971567696
Long
ABS-O
USGA
US
Y
2
2065-10-25
Floating
2.53963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
5493001IJLRQI58G5Z31
SLMA 2003 14 A6
78442GKN5
293793.96
PA
USD
293382.09
0.0820655038
Long
ABS-O
USGA
US
N
2
2025-07-25
Floating
2.23963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
549300YK6GOQU7FJ5N55
SLMA 2004 3 B
78442GLJ3
298149.42
PA
USD
278970.42
0.0780342388
Long
ABS-O
USGA
US
N
2
2064-10-25
Floating
2.40963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
549300IWUQEXD0TZWG69
SLMA 2004 8 B
78442GMR4
428646.68
PA
USD
402293.78
0.1125305288
Long
ABS-O
USGA
US
N
2
2040-01-25
Floating
2.39963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
N/A
SLMA 2005 5 A4
78442GPQ3
494289.27
PA
USD
490647.54
0.137245043
Long
ABS-O
USGA
US
N
2
2028-10-25
Floating
2.07963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
549300H0EHPP0GTD9V95
SLMA 2005 8 B
78442GQT6
391017.11
PA
USD
362853.75
0.1014982741
Long
ABS-O
USGA
US
N
2
2055-01-25
Floating
2.24963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
5493007758ACJK074H95
SLMA 2006 2 B
78442GRY4
427085.91
PA
USD
399335.79
0.1117031131
Long
ABS-O
USGA
US
N
2
2041-01-25
Floating
2.15963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
549300NL48RDOTQF8W80
SLMA 2006 4 B
78442GSL1
363879.6
PA
USD
338583.56
0.0947093615
Long
ABS-O
USGA
US
N
2
2070-01-25
Floating
2.13963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
54930051VPU2HCJB6841
SLMA 2006 10 A6
78443BAG1
850000
PA
USD
798947.56
0.223483424
Long
ABS-O
USGA
US
N
2
2044-03-25
Floating
2.08963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
54930051VPU2HCJB6841
SLMA 2006 10 B
78443BAK2
868800.25
PA
USD
786020.18
0.219867348
Long
ABS-O
USGA
US
N
2
2044-03-25
Floating
2.15963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
ZRVUPOA27EDLVJ4VN175
SLMA 2007 4 B1
78444AAG2
600060.76
PA
USD
593466.93
0.166005916
Long
ABS-O
USGA
US
Y
2
2025-07-25
Floating
2.07963
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
549300XEL6YCZ2OF2E98
SLMA 2011 A A3 144A
78446DAC3
125096.03
PA
USD
125644.24
0.0351454919
Long
ABS-O
USGA
US
Y
2
2043-01-15
Floating
4.23975
N
N
N
N
N
N
SLM STUDENT LOAN TRUST
549300LSGT1L2CL14698
SLMA 2006 5 B
83149EAG2
391120.97
PA
USD
364643.53
0.1019989155
Long
ABS-O
USGA
US
N
2
2040-10-25
Floating
2.14963
N
N
N
N
N
N
SM1112341 IRS USD R F 2.77500
N/A
BM1112341 CCPVANILLA
99S12WXL6
24300000
PA
USD
112984.07
0.0316041604
N/A
DIR
US
N
2
Chicago Mercantile Exchange Inc.
SNZ2OJLFK8MNNCLQOF39
N
2020-07-02
0
USD
0
USD
24300000
USD
112984.07
N
N
N
SM1116714 IRS USD R F 2.98800
N/A
BM1116714 CCPVANILLA
99S15NTF1
10160000
PA
USD
250389.95
0.0700396449
N/A
DIR
US
N
2
Chicago Mercantile Exchange Inc.
SNZ2OJLFK8MNNCLQOF39
N
2021-12-04
0
USD
0
USD
10160000
USD
250389.95
N
N
N
SMB PRIVATE EDUCATION LOAN TRU
549300XC4C7GRVLU6076
SMB 2014 A A2A 144A
784456AB1
265719.39
PA
USD
266577.34
0.0745676183
Long
ABS-O
CORP
US
Y
2
2026-05-15
Fixed
3.05
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRU
549300INMCHM7L5O6M41
SMB 2018 B A2B 144A
78449LAC2
1500000
PA
USD
1492433.1
0.4174667725
Long
ABS-O
CORP
US
Y
2
2037-01-15
Floating
2.45975
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRU
549300V1P5RKG8RJI005
SMB 2018 C A1 144A
78449QAA5
297081.69
PA
USD
297049.4
0.0830913321
Long
ABS-O
CORP
US
Y
2
2025-09-15
Floating
2.03975
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRU
549300WEYOS38NWU8D22
SMB 2019 A A2B 144A
78449TAC5
1639000
PA
USD
1637028.12
0.4579132196
Long
ABS-O
CORP
US
Y
2
2036-07-15
Floating
2.60975
N
N
N
N
N
N
SMB PRIVATE EDUCATION LOAN TRU
N/A
SMB 2019 B A1 144A
83192CAA5
424071.59
PA
USD
424011.46
0.1186054475
Long
ABS-O
CORP
US
Y
2
2026-07-15
Floating
2.08975
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGR
549300MIP15HTYPHSM46
SOFI 2016 A A1 144A
78469PAA2
261517.86
PA
USD
265220.48
0.0741880744
Long
ABS-O
CORP
US
Y
2
2036-08-25
Floating
3.542
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGR
N/A
SOFI 2017 F A1FX 144A
83401BAA4
203371.04
PA
USD
203264.13
0.0568575036
Long
ABS-O
CORP
US
Y
2
2041-01-25
Fixed
2.05
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGR
N/A
SOFI 2015 A A1 144A
83401LAA2
65721.29
PA
USD
65768.37
0.0183968777
Long
ABS-O
CORP
US
Y
2
2033-03-25
Floating
2.992
N
N
N
N
N
N
SOCIAL PROFESSIONAL LOAN PROGR
N/A
SOFI 2017 A A1 144A
83404FAA2
326309.91
PA
USD
326626.43
0.091364686
Long
ABS-O
CORP
US
Y
2
2040-03-26
Floating
2.492
N
N
N
N
N
N
SOFI ALTERNATIVE TRUST
N/A
SAT 2019 C PT 144A
83406JAA2
2164435.7
PA
USD
2212371.46
0.6188495639
Long
ABS-O
CORP
US
Y
2
2045-01-25
Fixed
4.00956
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRU
N/A
SCLP 2016 1 A 144A
78471DAA5
418093.32
PA
USD
421022.02
0.1177692346
Long
ABS-O
CORP
US
Y
2
2025-08-25
Fixed
3.26
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRU
N/A
SCLP 2016 3 A 144A
78471FAA0
98178.79
PA
USD
98345.45
0.0275094124
Long
ABS-O
CORP
US
Y
2
2025-12-26
Fixed
3.05
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRU
N/A
SCLP 2016 2A A 144A
83402QAA0
126914.5
PA
USD
127182.31
0.0355757243
Long
ABS-O
CORP
US
Y
2
2025-10-27
Fixed
3.09
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRU
N/A
SCLP 2016 5 A 144A
83404YAA1
547250.75
PA
USD
549522.94
0.1537138035
Long
ABS-O
CORP
US
Y
2
2028-09-25
Fixed
3.06
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRU
N/A
SCLP 2017 2 A 144A
83405PAA9
295687.62
PA
USD
296841.69
0.083033231
Long
ABS-O
CORP
US
Y
2
2026-02-25
Fixed
3.28
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRU
N/A
SCLP 2018 3 A1 144A
83405XAA2
285811.5
PA
USD
286287.52
0.0800809946
Long
ABS-O
CORP
US
Y
2
2027-08-25
Fixed
3.2
N
N
N
N
N
N
SPRINGLEAF FUNDING TRUST
N/A
SLFT 2016 AA A 144A
85172NAA0
385179.1
PA
USD
385321.15
0.1077829062
Long
ABS-O
CORP
US
Y
2
2029-11-15
Fixed
2.9
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL
N/A
STAR 2019 INV1 A3 144A
85572JAC1
1070650.83
PA
USD
1063499.42
0.2974844705
Long
ABS-O
CORP
US
Y
2
2049-09-27
Floating
2.916
N
N
N
N
N
N
STRUCTURED ASSET SECURITIES CO
N/A
SASC 2006 GEL1 M2 144A
863576EH3
1409541.53
PA
USD
1383798.23
0.3870791803
Long
ABS-O
CORP
US
Y
2
2035-11-25
Floating
2.592
N
N
N
N
N
N
TELUS CORP
L2TEUTQ8OSHMJWVLCE40
SHORT TERMS
87974PB44
5000000
PA
USD
4989986.1
1.3958102324
Long
STIV
CORP
CA
N
2
2020-02-04
None
0
N
N
N
N
N
N
TESLA AUTO LEASE TRUST
N/A
TESLA 2018 A B 144A
88161DAB7
2155.94
PA
USD
2155.72
0.0006030029
Long
ABS-O
CORP
US
Y
2
2020-02-20
Fixed
2.75
N
N
N
N
N
N
TEXTAINER MARINE CONTAINERS LI
549300X48KLHDDGPK024
TMCL 2018 1A A 144A
88315LAA6
1212300
PA
USD
1219249.39
0.3410512054
Long
ABS-O
CORP
US
Y
2
2043-07-20
Fixed
4.11
N
N
N
N
N
N
TLF NATIONAL TAX LIEN TRUST
N/A
TLF 2017 1A A 144A
87272QAA8
665191.04
PA
USD
666743
0.1865028646
Long
ABS-O
CORP
US
Y
2
2029-12-15
Fixed
3.09
N
N
N
N
N
N
TOYOTA AUTO RECEIVABLES OWNER
N/A
TAOT 2018 C A2B
89231AAC5
845598.44
PA
USD
845412.58
0.2364807248
Long
ABS-O
CORP
US
N
2
2021-08-16
Floating
1.85975
N
N
N
N
N
N
TRAFIGURA SECURITISATION FINAN
549300CH6S10UEZXWN56
TRFIG 2017 1A A1 144A
892725AE2
2950000
PA
USD
2951413.05
0.8255759541
Long
ABS-O
CORP
IE
Y
2
2020-12-15
Floating
2.58975
N
N
N
N
N
N
TRAFIGURA SECURITISATION FINAN
549300CH6S10UEZXWN56
TRFIG 2017 1A B 144A
892725AG7
2330000
PA
USD
2333543.93
0.6527442021
Long
ABS-O
CORP
IE
Y
2
2020-12-15
Floating
3.43975
N
N
N
N
N
N
TRANSCANADA PIPELINES LTD
5BV01I6231JPDAPMGH09
SHORT TERMS
89355PAT5
6000000
PA
USD
5990919
1.675793454
Long
STIV
CORP
CA
N
2
2020-01-27
None
0
N
N
N
N
N
N
TRIP RAIL MASTER FUNDING LLC
5493004VSVYOZVEYVJ29
TRMF 2017 1A A1 144A
89690EAF4
166270.52
PA
USD
166296.51
0.046516837
Long
ABS-O
CORP
US
Y
2
2047-08-15
Fixed
2.709
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
04/28 3.625
912810FD5
4772970
PA
USD
6105498.98
1.7078440259
Long
DBT
UST
US
N
2
2028-04-15
Fixed
3.625
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
04/29 3.875
912810FH6
7012588.8
PA
USD
9356692.33
2.6172752056
Long
DBT
UST
US
N
2
2029-04-15
Fixed
3.875
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
04/32 3.375
912810FQ6
2899460
PA
USD
3980654.14
1.1134776068
Long
DBT
UST
US
N
2
2032-04-15
Fixed
3.375
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
01/25 2.375
912810FR4
8190900
PA
USD
9128645.1
2.5534853171
Long
DBT
UST
US
N
2
2025-01-15
Fixed
2.375
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
01/26 2
912810FS2
5186040
PA
USD
5764524.46
1.6124658596
Long
DBT
UST
US
N
2
2026-01-15
Fixed
2
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
01/27 2.375
912810PS1
4083264
PA
USD
4713076.44
1.3183524341
Long
DBT
UST
US
N
2
2027-01-15
Fixed
2.375
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
01/28 1.75
912810PV4
6755705
PA
USD
7589186.79
2.1228645461
Long
DBT
UST
US
N
2
2028-01-15
Fixed
1.75
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
02/41 2.125
912810QP6
4700240
PA
USD
6190641.78
1.7316603631
Long
DBT
UST
US
N
2
2041-02-15
Fixed
2.125
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
02/43 0.625
912810RA8
6491650
PA
USD
6564783.57
1.8363161534
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.625
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
02/44 1.375
912810RF7
6762796.25
PA
USD
7974898.65
2.2307567426
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.375
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
02/45 0.75
912810RL4
8742160
PA
USD
9065717.22
2.5358829877
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
02/47 0.875
912810RW0
6396060
PA
USD
6853633.62
1.9171139447
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.875
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
02/48 1
912810SB5
7565447.5
PA
USD
8370945.99
2.3415400031
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
02/49 1
912810SG4
4243873
PA
USD
4715565.01
1.3190485426
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
07/27 0.375
9128282L3
18461722.5
PA
USD
18831548.28
5.2676034071
Long
DBT
UST
US
N
2
2027-07-15
Fixed
0.375
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
01/28 0.5
9128283R9
12857686.5
PA
USD
13189939.92
3.6895199178
Long
DBT
UST
US
N
2
2028-01-15
Fixed
0.5
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
04/23 0.625
9128284H0
19812926.25
PA
USD
20119553.08
5.6278870318
Long
DBT
UST
US
N
2
2023-04-15
Fixed
0.625
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
01/29 0.875
9128285W6
8035682.35
PA
USD
8533067.62
2.3868890332
Long
DBT
UST
US
N
2
2029-01-15
Fixed
0.875
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
04/24 0.5
9128286N5
8402088.15
PA
USD
8537922.61
2.388247082
Long
DBT
UST
US
N
2
2024-04-15
Fixed
0.5
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
07/29 0.25
9128287D6
6840732
PA
USD
6907113.44
1.9320734413
Long
DBT
UST
US
N
2
2029-07-15
Fixed
0.25
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
01/25 0.25
912828H45
19555920
PA
USD
19729646.19
5.518821392
Long
DBT
UST
US
N
2
2025-01-15
Fixed
0.25
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
01/26 0.625
912828N71
5875112.25
PA
USD
6055145.19
1.6937589496
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.625
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
07/26 0.125
912828S50
11808830
PA
USD
11846077.77
3.3136117484
Long
DBT
UST
US
N
2
2026-07-15
Fixed
0.125
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
07/22 0.125
912828TE0
12308890
PA
USD
12360294.14
3.457449518
Long
DBT
UST
US
N
2
2022-07-15
Fixed
0.125
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
01/23 0.125
912828UH1
19699046.1
PA
USD
19697083.48
5.5097128768
Long
DBT
UST
US
N
2
2023-01-15
Fixed
0.125
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
01/27 0.375
912828V49
5938936
PA
USD
6029045.52
1.6864582907
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.375
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
07/24 0.125
912828WU0
17881545
PA
USD
17988008.14
5.0316464454
Long
DBT
UST
US
N
2
2024-07-15
Fixed
0.125
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
04/22 0.125
912828X39
8486042.2
PA
USD
8473514.77
2.3702307749
Long
DBT
UST
US
N
2
2022-04-15
Fixed
0.125
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
07/25 0.375
912828XL9
16569629.7
PA
USD
16907148.58
4.7293059572
Long
DBT
UST
US
N
2
2025-07-15
Fixed
0.375
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
07/28 0.75
912828Y38
10943369.5
PA
USD
11512640.85
3.2203420167
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.75
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
10/24 0.125
912828YL8
7321681
PA
USD
7363823.86
2.0598255161
Long
DBT
UST
US
N
2
2024-10-15
Fixed
0.125
N
N
N
N
N
N
UPSTART SECURITIZATION TRUST
5493001JGB0VWKP2NJ75
UPST 2019 1 A 144A
91679KAA2
203221.07
PA
USD
203603.53
0.0569524413
Long
ABS-O
CORP
US
Y
2
2026-04-20
Fixed
3.45
N
N
N
N
N
N
US 10YR ULTRA FUT MAR20
N/A
XCBT 20200320
ADI1D4LR6
-52
NC
USD
0
0
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury
10 Year Ultra Note
2020-03-20
-7316562.5
USD
82652.86
N
N
N
US 2YR NOTE (CBT) MAR20
N/A
XCBT 20200331
ADI1CW635
56
NC
USD
0
0
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury
2 Year Note
2020-03-31
12068000
USD
-15835.92
N
N
N
US 5YR NOTE (CBT) MAR20
N/A
XCBT 20200331
ADI1CW4N3
-79
NC
USD
0
0
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury
5 Year Note
2020-03-31
-9370140.63
USD
26523.99
N
N
N
US LONG BOND(CBT) MAR20
N/A
XCBT 20200320
ADI1CT5R0
68
NC
USD
0
0
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury
Long Bond
2020-03-20
10601625
USD
-205714.96
N
N
N
US ULTRA BOND CBT MAR20
N/A
XCBT 20200320
ADI1CTD83
-22
NC
USD
0
0
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury
Ultra Long Bond
2020-03-20
-3996437.5
USD
70739.26
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS 2019 1 A3 144A
92537DAC4
5168578.78
PA
USD
5202953.45
1.4553819427
Long
ABS-O
CORP
US
Y
2
2059-02-25
Floating
4.04
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS 2019 INV2 A3 144A
92537HAC5
1004795.51
PA
USD
1007837.63
0.2819146283
Long
ABS-O
CORP
US
Y
2
2059-07-25
Floating
3.219
N
N
N
N
N
N
VMC FINANCE LLC
549300QK6J0UZ3WZJ014
VMC 2018 FL1 A 144A
91832DAA2
24830.09
PA
USD
24767.99
0.0069281584
Long
ABS-O
CORP
US
Y
2
2035-03-15
Floating
2.55738
N
N
N
N
N
N
VW CR INC
549300UUPJ2NXDB68M19
SHORT TERMS
91842JAW9
6000000
PA
USD
5989800
1.6754804448
Long
STIV
CORP
US
N
2
2020-01-30
None
0
N
N
N
N
N
N
WALGREENS BOOTS
549300RPTUOIXG4LIH86
SHORT TERMS
93142WAT0
1000000
PA
USD
998486.5
0.279298909
Long
STIV
CORP
US
N
2
2020-01-27
None
0
N
N
N
N
N
N
WALGREENS BOOTS
549300RPTUOIXG4LIH86
SHORT TERMS
93142WBQ5
6000000
PA
USD
5980566.66
1.672897674
Long
STIV
CORP
US
N
2
2020-02-24
None
0
N
N
N
N
N
N
WESTGATE RESORTS
5493001B6N5F6HQT6Z27
WESTR 2017 1A A 144A
96033DAA8
356891.16
PA
USD
358158.73
0.1001849725
Long
ABS-O
CORP
US
Y
2
2030-12-20
Fixed
3.05
N
N
N
N
N
N
WESTGATE RESORTS
N/A
WESTR 2018 1A A 144A
96033WAA6
478615.45
PA
USD
483957.18
0.1353736003
Long
ABS-O
CORP
US
Y
2
2031-12-20
Fixed
3.38
N
N
N
N
N
N
WESTLAKE AUTOMOBILE RECEIVABLE
N/A
WLAKE 2018 2A A2A 144A
96042FAB0
155167.74
PA
USD
155244.21
0.0434252626
Long
ABS-O
CORP
US
Y
2
2021-09-15
Fixed
2.84
N
N
N
N
N
N
2020-02-24
MML Series Investment Fund II
/s/ Renee Hitchcock
Renee Hitchcock
Treasurer and CFO