0001398344-20-016941.txt : 20200824 0001398344-20-016941.hdr.sgml : 20200824 20200824154023 ACCESSION NUMBER: 0001398344-20-016941 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20200630 FILED AS OF DATE: 20200824 PERIOD START: 20201231 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: 201127706 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 2020-12-31 2020-06-30 N 353751212.59 26899252.49 326851960.1 0 0 0 0 0 0 0 0 0 0 9600000 0 0 181.33 USD N 321 HENDERSON RECEIVABLES LLC N/A HENDR 2006 1A A1 144A 88576NAA6 270471.96 PA USD 264300.17 0.0808623482 Long ABS-O CORP US Y 2 2041-03-15 Floating 0.38475 N N N N N N 321 HENDERSON RECEIVABLES LLC N/A HENDR 2006 2A A1 144A 88576NAC2 1072274.27 PA USD 1024525.36 0.3134524143 Long ABS-O CORP US Y 2 2041-06-15 Floating 0.38363 N N N N N N 321 HENDERSON RECEIVABLES LLC N/A HENDR 2006 3A A1 144A 88576NAE8 128497.67 PA USD 126062.91 0.0385688095 Long ABS-O CORP US Y 2 2041-09-15 Floating 0.38475 N N N N N N 321 HENDERSON RECEIVABLES LLC N/A HENDR 2006 4A A1 144A 88576NAG3 152369.31 PA USD 149600.85 0.0457702166 Long ABS-O CORP US Y 2 2041-12-15 Floating 0.38475 N N N N N N 321 HENDERSON RECEIVABLES LLC N/A HENDR 2007 1A A1 144A 88576NAJ7 572966.42 PA USD 553380.94 0.1693062938 Long ABS-O CORP US Y 2 2042-03-15 Floating 0.38475 N N N N N N AASET 2017 1 TRUST 549300UGVCXV1Y1NM635 AASET 2017 1A A 144A 000366AA2 159227.16 PA USD 134233.93 0.0410687242 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 1591265.97 PA USD 1418986.6 0.4341373996 Long ABS-O CORP US Y 2 2038-11-18 Fixed 4.454 N N N N N N AIMCO N/A AIMCO 2015 AA AR 144A 00900LAG9 2430947.42 PA USD 2396542.22 0.7332194732 Long ABS-CBDO CORP KY Y 2 2028-01-15 Floating 2.06888 N N N N N N AMERICAN CREDIT ACCEPTANCE REC N/A ACAR 2019 1 C 144A 02528CAE2 1300000 PA USD 1320073.95 0.4038751824 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 17854.13 PA USD 17854.13 0.0054624516 Long ABS-O CORP US Y 2 2024-01-10 Fixed 2.94 N N N N N N AMERICAN ELEC PWR INC 1B4S6S7G0TW5EE83BO58 SHORT TERMS 0255E2GN4 3000000 PA USD 2999462.82 0.9176823719 Long STIV CORP US N 2 2020-07-22 None 0 N N N N N N AMERICAN HONDA FINAN B6Q2VFHD1797Q7NZ3E43 SHORT TERMS 02665JHM5 3000000 PA USD 2997824.67 0.9171811817 Long STIV CORP US N 2 2020-08-21 None 0 N N N N N N ANGEL OAK MORTGAGE TRUST N/A AOMT 2019 3 A3 144A 03464QAC9 1339273.68 PA USD 1321798.7 0.4044028678 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 765474.22 0.2341960011 Long ABS-CBDO CORP KY Y 2 2028-06-15 Floating 1.33475 N N N N N N ASSET BACKED SECURITIES CORP H N/A ABSHE 2006 HE3 A4 04541GXB3 253575.69 PA USD 250832.69 0.0767419874 Long ABS-O CORP US N 2 2036-03-25 Floating 0.3545 N N N N N N AVANGRID INC 549300OX0Q38NLSKPB49 SHORT TERMS 05353AG60 3000000 PA USD 2999865 0.9178054184 Long STIV CORP US N 2 2020-07-06 None 0 N N N N N N AVANT LOANS FUNDING TRUST N/A AVNT 2019 A A 144A 05352EAA0 167927.32 PA USD 168185.63 0.0514562097 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 2019 B A 144A 05354NAA8 1236081.48 PA USD 1238336.59 0.3788677264 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 528190.83 PA USD 527238.5 0.1613080429 Long ABS-CBDO CORP KY Y 2 2026-04-25 Floating 2.09138 N N N N N N AVIS BUDGET RENTAL CAR FUNDING IHXLB8SL0QWSSG2VG640 AESOP 2019 1A C 144A 05377RDJ0 388000 PA USD 364822.63 0.111617085 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 1436220.43 PA USD 1419954.52 0.4344335336 Long ABS-O CORP US N 2 2036-07-20 Floating 0.63 N N N N N N BAYER CORP 54930050NR9YMICYZM28 SHORT TERMS 07273LGF9 4000000 PA USD 3999550 1.2236579517 Long STIV CORP US N 2 2020-07-15 None 0 N N N N N N BCC FUNDING CORP 549300UOGJDZQ0HU5P22 BCCFC 2018 1A A2 144A 055377AB1 219344.94 PA USD 219714.08 0.0672212827 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 1545099.7 0.4727215647 Long DBT CORP US N 2 2020-12-29 Floating 1.181 N N N N N N BEMIS COMPANY INC. PTVU09TE3QPJPL7K4E13 SHORT TERMS 08143TGD3 4000000 PA USD 3999621.56 1.2236798454 Long STIV CORP US N 2 2020-07-13 None 0 N N N N N N BHMS MORTGAGE TRUST N/A BHMS 2018 ATLS B 144A 05549GAG6 1700000 PA USD 1568356.76 0.4798370368 Long ABS-O CORP US Y 2 2035-07-15 Floating 1.68475 N N N N N N BM1106004 SWAPTION N/A 321213 2.94 PUT 99ZW82473 22880000 NC USD 590304 0.1806028637 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 -553536.14 N N N BM1106277 SWAPTION N/A 321213 2.44 CALL 99ZW82564 1967000 NC USD 301541.1 0.09225617 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Call Purchased BARCLAYS CAPITAL AC28XWWI3WIBK2824319 2042-12-15 98334.86 USD 0 USD 1967000 USD 1 USD 2.44 USD 2032-12-13 XXXX 203206.24 N N N BM1107838 SWAPTION N/A 330131 3.11 PUT 99ZX35701 12590000 NC USD 294606 0.0901343837 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 -308455 N N N BM1161561 IRS USD R V 12MUSCPI N/A BV1161561 INFLATION 99S1BTKF0 1920000 PA USD -38501.18 -0.0117793939 N/A DIR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 N 2022-11-08 0 USD 0 USD 1920000 USD -38501.18 N N N BM1163260 IRS USD R V 12MUSCPI N/A BV1163260 INFLATION 99S1CBHR6 11000000 PA USD -181918 -0.0556576133 N/A DIR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 N 2021-12-09 0 USD 0 USD 11000000 USD -181918 N N N BM1164417 TRS USD R E N/A 1.7935 07/31/2020 99S1CVML9 50000000 PA USD 2677113.45 0.8190599344 N/A DIR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 N 2020-07-31 0 USD 0 USD 156348.7 USD 2677113.45 N N N BM1165422 TRS USD R E N/A 1.763 08/31/2020 99S1DE8X6 60000000 PA USD 2739903.78 0.8382705673 N/A DIR US N 2 BNP PARIBAS SECURITIES CORPORATION 2J5703FH5U5M97R1I237 N 2020-08-31 0 USD 0 USD 186215.64 USD 2739903.78 N N N BM1165448 TRS USD R E N/A 1.7625 08/31/2020 99S1DE8U2 50000000 PA USD 2283253.15 0.698558806 N/A DIR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 N 2020-08-31 0 USD 0 USD 155179.7 USD 2283253.15 N N N BM1165455 TRS USD R E N/A 1.769 07/31/2020 99S1DF7R7 40000000 PA USD 1754316.18 0.5367311181 N/A DIR US N 2 BNP PARIBAS SECURITIES CORPORATION 2J5703FH5U5M97R1I237 N 2020-07-31 0 USD 0 USD 123929.21 USD 1754316.18 N N N BM1168004 CDS USD R V 03MEVENT N/A 2 CCPCDX 99S1EP364 1800000 PA USD -21038.4 -0.0064366755 N/A DCR US N 2 InterContinental Exchange 5493000F4ZO33MV32P92 N 2025-06-20 6392.48 USD 0 USD 1800000 USD -27430.88 N N N BM1172709 TRS USD R E N/A 0.31 10/30/2020 99S1FXML2 32000000 PA USD 400983.14 0.1226803535 N/A DIR US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 N 2020-10-30 0 USD 0 USD 96167.98 USD 400983.14 N N N BM1173624 IRS USD R V 12MUSCPI N/A BV1173624 INFLATION 99S1GA290 3000000 PA USD 596.7 0.0001825597 N/A DIR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 N 2022-06-22 0 USD 0 USD 3000000 USD 596.7 N N N BP CAPITAL MARKETS PLC 549300CRVT18MXX0AG93 SHORT TERMS 05568TL23 3000000 PA USD 2996822.91 0.9168746943 Long STIV CORP GB N 2 2020-11-02 None 0 N N N N N N BRAVO RESIDENTIAL FUNDING TRUS N/A BRAVO 2019 NQM1 A1 144A 10568HAA3 7349603.09 PA USD 7324712.19 2.2409876899 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 1149393.02 0.3516555384 Long ABS-O CORP US N 2 2042-06-25 Floating 1.678 N N N N N N BRAZOS TX HGR EDU AUTH N/A BRASTD 06/26 FLOATING VAR 10620NAX6 957664.93 PA USD 942447.73 0.2883408531 Long ABS-O CORP US N 2 2026-06-25 Floating 0.417 N N N N N N BX COMMERCIAL MORTGAGE TRUST 2 N/A BX 2019 XL F 144A 056054AJ8 1671950.88 PA USD 1606849.46 0.4916138363 Long ABS-O CORP US Y 2 2036-10-15 Floating 2.18475 N N N N N N BX TRUST N/A BX 2018 IND E 144A 056059AN8 1582000 PA USD 1561993.71 0.4778902686 Long ABS-O CORP US Y 2 2035-11-15 Floating 1.88475 N N N N N N BX TRUST N/A BX 2020 BXLP E 144A 05607QAU2 1300000 PA USD 1237990.91 0.378761966 Long ABS-O CORP US Y 2 2036-12-15 Floating 1.78475 N N N N N N CAMB COMMERCIAL MORTGAGE TRUST N/A CAMB 2019 LIFE D 144A 12482HAL8 308865 PA USD 298060.87 0.0911913974 Long ABS-O CORP US Y 2 2037-12-15 Floating 1.93475 N N N N N N CARLYLE GLOBAL MARKET STRATEGI N/A CGMS 2013 2A AR 144A 14310DAU1 2000000 PA USD 1966428 0.6016264976 Long ABS-O CORP KY Y 2 2029-01-18 Floating 2.02525 N N N N N N CARNIVAL CORP N/A SHORT TERMS 1436P0LR6 6000000 PA USD 5834905.98 1.785183108 Long STIV CORP US N 2 2020-11-25 None 0 N N N N N N CATERPLR FIN SRV CO. EDBQKYOPJUCJKLOJDE72 SHORT TERMS 14912DGQ6 4000000 PA USD 3999256 1.2235680027 Long STIV CORP US N 2 2020-07-24 None 0 N N N N N N CCG RECEIVABLES TRUST N/A CCG 2018 2 A2 144A 12509KAB2 491029.15 PA USD 492127.43 0.1505658494 Long ABS-O CORP US Y 2 2025-12-15 Fixed 3.09 N N N N N N CHASE EDUCATION LOAN TRUST N/A CEDLT 2007 A A4 16151UAD8 3359966.29 PA USD 2890078.03 0.8842162149 Long ABS-O CORP US N 2 2039-06-28 Floating 0.406 N N N N N N CHESAPEAKE FUNDING II LLC 5493000HT7H4OFOD6Z12 CFII 2018 1A A2 144A 165183BH6 520810.19 PA USD 520809.36 0.1593410545 Long ABS-O CORP US Y 2 2030-04-15 Floating 0.63475 N N N N N N CIM TRUST N/A CIM 2019 INV3 A11 144A 12557LBK0 3729401.21 PA USD 3713205.91 1.1360512903 Long ABS-O CORP US Y 2 2049-08-25 Floating 1.11825 N N N N N N CITIBANK CREDIT CARD ISSUANCE R8AG6FXVDQAMDKCSJJ64 CCCIT 2017 A6 A6 17305EGE9 1100000 PA USD 1080961.53 0.3307189988 Long ABS-O CORP US N 2 2029-05-14 Floating 0.95475 N N N N N N CITIGROUP MORTGAGE LOAN TRUST N/A CMLTI 2019 IMC1 A3 144A 17328BAC8 1078017.93 PA USD 1073383.42 0.3284004843 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 426962.6 PA USD 363186.47 0.1111165036 Long ABS-O CORP US N 2 2037-01-15 Floating 1.70888 N N N N N N COMMONBOND STUDENT LOAN TRUST 549300O1CSZVJJTIR319 CBSLT 2018 CGS C 144A 20267XAD5 59409.63 PA USD 57445.4 0.0175753574 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 2877 PA USD 2550.92 0.0007804512 Long ABS-O CORP US N 2 2034-09-25 Floating 0.6445 N N N N N N CPS AUTO TRUST N/A CPS 2019 A A 144A 12596HAA5 57829.02 PA USD 57973.37 0.0177368892 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 B 144A 12655CAB2 130233.76 PA USD 130662.09 0.0399759236 Long ABS-O CORP US Y 2 2022-07-15 Fixed 3.43 N N N N N N DAIMLER FIN NORTH AMERICA 8YAK2VWYCZ8B120UOU20 SHORT TERMS 23384DHT9 3000000 PA USD 2997733.17 0.9171531874 Long STIV CORP US N 2 2020-08-27 None 0 N N N N N N DEEPHAVEN RESIDENTIAL MORTGAGE N/A DRMT 2018 1A A1 144A 24380PAA2 308570.24 PA USD 311581.11 0.0953279001 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 308570.24 PA USD 307723.46 0.0941476563 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 218854.21 PA USD 219004.85 0.0670042945 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 1009326.94 PA USD 1026177.45 0.3139578694 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 1470209.21 PA USD 1478513.98 0.4523497364 Long ABS-O CORP US Y 2 2058-10-25 Floating 4.285 N N N N N N DEUTSCHE BANK COMMERCIAL MORTG N/A DBJPM 2017 C6 A1 23312JAA1 598455.89 PA USD 603577.66 0.1846639255 Long ABS-O CORP US N 2 2050-06-10 Fixed 1.907 N N N N N N DOMINION RESOURCES ILUL7B6Z54MRYCF6H308 SHORT TERMS 2574P0L36 3000000 PA USD 2992440 0.9155337478 Long STIV CORP US N 2 2020-11-03 None 0 N N N N N N DRB PRIME STUDENT LOAN TRUST N/A DRB 2016 A A1 144A 23340WAA8 187965.53 PA USD 177324.56 0.0542522553 Long ABS-O CORP US Y 2 2040-04-25 Floating 2.1845 N N N N N N DRB PRIME STUDENT LOAN TRUST N/A DRB 2016 R A1 144A 23342BAA2 1098488.96 PA USD 1099785.29 0.3364781076 Long ABS-O CORP US Y 2 2044-10-25 Floating 2.0845 N N N N N N DRIVE AUTO RECEIVABLES TRUST N/A DRIVE 2019 1 C 26208NAF1 963000 PA USD 959558.62 0.2935759112 Long ABS-O CORP US N 2 2025-04-15 Fixed 3.78 N N N N N N DUKE ENERGY CORP I1BZKREC126H0VB1BL91 SHORT TERMS 26244HH30 3000000 PA USD 2999033.82 0.9175511198 Long STIV CORP US N 2 2020-08-03 None 0 N N N N N N DUPONT DE NEMOURS INC 5493004JF0SDFLM8GD76 SHORT TERMS 26082MG27 3000000 PA USD 2999936.01 0.9178271438 Long STIV CORP US N 2 2020-07-02 None 0 N N N N N N EARNEST STUDENT LOAN PROGRAM L N/A EARN 2016 B A1 144A 27034JAA9 145892.45 PA USD 137219.19 0.0419820612 Long ABS-O CORP US Y 2 2035-02-26 Floating 2.2345 N N N N N N ECMC GROUP STUDENT LOAN TRUST N/A ECMC 2016 1A A 144A 26827XAA1 908125.27 PA USD 880702.07 0.2694498359 Long ABS-O CORP US Y 2 2066-07-26 Floating 1.5345 N N N N N N ECMC GROUP STUDENT LOAN TRUST N/A ECMC 2017 1A A 144A 26828WAA2 1343439.63 PA USD 1316667.3 0.4028329215 Long ABS-O CORP US Y 2 2066-12-27 Floating 1.3845 N N N N N N EDLINC STUDENT LOAN FUNDING TR N/A ESLFT 2017 A A 144A 28108RAA0 693216 PA USD 684148.53 0.2093144951 Long ABS-O CORP US Y 2 2047-12-01 Floating 3.6 N N N N N N EDUCATIONAL SERVICES OF AMERIC N/A EDUSA 2015 1 A 144A 281378AA7 372405.21 PA USD 348368.65 0.1065830078 Long ABS-O CORP US Y 2 2056-10-25 Floating 0.9845 N N N N N N EDUCATIONAL SERVICES OF AMERIC N/A EDUSA 2015 2 B 144A 28138JAB0 1000000 PA USD 948513.8 0.2901967605 Long ABS-O CORP US Y 2 2058-12-25 Floating 1.6845 N N N N N N ELARA HGV TIMESHARE ISSUER N/A EHGVT 2014 A B 144A 284157AB0 127776.4 PA USD 127533.27 0.0390186646 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 455713.41 PA USD 423688.61 0.1296270672 Long ABS-O CORP US Y 2 2042-08-25 Floating 0.9345 N N N N N N EXETER AUTOMOBILE RECEIVABLES N/A EART 2019 1A B 144A 30167DAB3 386121.36 PA USD 387647.97 0.1186004728 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 289125.65 PA USD 289769.24 0.0886545823 Long ABS-O CORP US Y 2 2022-09-15 Fixed 2.59 N N N N N N EXETER AUTOMOBILE RECEIVABLES N/A EART 2020 2A A 144A 30167YAA9 880000 PA USD 880056.14 0.2692522143 Long ABS-O CORP US Y 2 2023-08-15 Fixed 1.13 N N N N N N FCI FUNDING, LLC 213800W6B18ZHTNG7371 FCITL 2019 1A A 144A 30259MAA4 224604.52 PA USD 226331.01 0.0692457252 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 184917.32 PA USD 194685.58 0.0595638404 Long ABS-MBS USGSE US N 2 2037-03-01 Variable 3.833 N N N N N N FIDELITY NATL INFORMATION SVCS 6WQI0GK1PRFVBA061U48 SHORT TERMS 31621YG94 2000000 PA USD 1999865 0.6118565112 Long STIV CORP US N 2 2020-07-09 None 0 N N N N N N FIRST ABU DHABI BANK PJSC 2138002Y3WMK6RZS8H90 SHORT TERMS 31849HJU7 1000000 PA USD 999475 0.305788284 Long STIV CORP AE N 2 2020-09-28 None 0 N N N N N N FIRST FRANKLIN MTG LOAN ASSET N/A FFML 2005 FF9 A4 32027NVV0 1328606.65 PA USD 1252479.61 0.3831947679 Long ABS-O CORP US N 2 2035-10-25 Floating 0.5445 N N N N N N FLAGSHIP CREDIT AUTO TRUST N/A FCAT 2017 4 A 144A 33843RAA0 11958.22 PA USD 11962.37 0.003659874 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 400944.84 PA USD 402775.35 0.1232286782 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 142164.44 PA USD 142276.68 0.0435293948 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 597686.68 PA USD 598562.11 0.1831294234 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 3024X2G91 1000000 PA USD 999745 0.3058708902 Long STIV CORP US N 2 2020-07-09 None 0 N N N N N N FMC TECH INC EMQFUEY7DV1MVNKAUT87 SHORT TERMS 3024X2GD2 2000000 PA USD 1999624.44 0.6117829122 Long STIV CORP US N 2 2020-07-13 None 0 N N N N N N FREDDIE MAC STACR S6XOOCT0IEG5ABCC6L87 STACR 2020 DNA3 M1 144A 35565WAA0 9600000 PA USD 9600000 2.9371095089 Long ABS-O USGA US Y 2 2050-06-25 Floating 1 N N N N N N GOAL CAPITAL FUNDING TRUST N/A GOAL 2010 1 A 144A 38021EAA2 257278.08 PA USD 241706.61 0.0739498732 Long ABS-O CORP US Y 2 2048-08-25 Floating 1.0595 N N N N N N HARLEY-DAVIDSON FND CP 5493006EFVOCXD9ZVB19 SHORT TERMS 41282JG70 4000000 PA USD 3999790 1.2237313794 Long STIV CORP US N 2 2020-07-07 None 0 N N N N N N HERTZ FLEET LEASE FUNDING LP 549300FESQ105M6ZTE59 HFLF 2018 1 A1 144A 428041BC0 1513691.27 PA USD 1487871.18 0.4552125615 Long ABS-O CORP US Y 2 2032-05-10 Floating 0.67663 N N N N N N HERTZ VEHICLE FINANCING LLC 549300FPK70TCB78NG05 HERTZ 2017 1A B 144A 428040CV9 2530000 PA USD 2420250.37 0.7404729558 Long ABS-O CORP US Y 2 2021-10-25 Fixed 3.56 N N N N N N HERTZ VEHICLE FINANCING LLC 549300FPK70TCB78NG05 HERTZ 2016 2A D 144A 42806DAX7 3300000 PA USD 2717812.35 0.8315117184 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 46188.88 PA USD 46172.94 0.0141265605 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 1490944.05 PA USD 1401573.88 0.4288099969 Long ABS-O CORP US Y 2 2032-06-15 Floating 1.18475 N N N N N N JP MORGAN MORTGAGE TRUST N/A JPMMT 2018 1 A5 144A 46648RAE1 374627.64 PA USD 379213.87 0.1160200691 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 480035.42 PA USD 488483.08 0.1494508645 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 596228.68 PA USD 604007.74 0.184795508 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 477090.26 PA USD 419983.13 0.1284933797 Long ABS-O CORP US Y 2 2039-06-28 Floating 1.23713 N N N N N N KEYCORP STUDENT LOAN TRUST 549300O83C3TV9I4SN56 KSLT 2000 A A2 493268AW6 76851.85 PA USD 74663.22 0.0228431306 Long ABS-O CORP US N 2 2029-05-25 Floating 0.6795 N N N N N N KNDL MORTGAGE TRUST N/A KNDL 2019 KNSQ E 144A 482598AN9 476000 PA USD 457582.99 0.1399970157 Long ABS-O CORP US Y 2 2036-05-15 Floating 1.98475 N N N N N N KREF 2018 FL1 LTD. 549300N45646UZ8P3S07 KREF 2018 FL1 AS 144A 48275PAC5 2000000 PA USD 1954711.4 0.5980418167 Long ABS-CBDO CORP KY Y 2 2036-06-15 Floating 1.54388 N N N N N N KREF 2018 FL1 LTD. 549300N45646UZ8P3S07 KREF 2018 FL1 D 144A 48275PAJ0 2450000 PA USD 2320860.01 0.7100645838 Long ABS-CBDO CORP KY Y 2 2036-06-15 Floating 2.74388 N N N N N N LAUREL ROAD PRIME STUDENT LOAN N/A LRK 2019 A A1FX 144A 51889RAA7 638472.41 PA USD 614376.78 0.1879679044 Long ABS-O CORP US Y 2 2048-10-25 Fixed 2.34 N N N N N N LCM LTD PARTNERSHIP 5493003LYT7GC7SDWZ12 LCM 19A AR 144A 50188QAJ0 1300000 PA USD 1284275.2 0.3929225939 Long ABS-CBDO CORP KY Y 2 2027-07-15 Floating 2.45888 N N N N N N LENDMARK FUNDING TRUST N/A LFT 2018 1A A 144A 52603VAA1 630000 PA USD 629835.38 0.1926974462 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 33340.53 PA USD 33273.85 0.010180098 Long DBT MUN US N 2 2027-04-26 Floating 1.891 N N N N N N LYONDELLBASELL INVEST BN6WCCZ8OVP3ITUUVN49 SHORT TERMS 55208UG19 3000000 PA USD 2999977.5 0.9178398377 Long STIV CORP US N 2 2020-07-01 None 0 N N N N N N MARLETTE FUNDING TRUST 549300J7CH2COR8VWE03 MFT 2018 3A A 144A 57109FAA4 22782.53 PA USD 22788.41 0.0069720891 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 243566.82 PA USD 238352.44 0.0729236685 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 384063.83 0.1175039091 Long ABS-O CORP US Y 2 2029-07-16 Fixed 3.53 N N N N N N MARLETTE FUNDING TRUST 549300W2612MGSLICQ35 MFT 2019 3A A 144A 57109MAA9 1795902.12 PA USD 1804843.38 0.5521898597 Long ABS-O CORP US Y 2 2029-09-17 Fixed 2.69 N N N N N N MARLETTE FUNDING TRUST 549300J7CH2COR8VWE03 MFT 2019 1A A 144A 57109XAA5 153889.75 PA USD 152439.8 0.0466387902 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 60920VH47 2000000 PA USD 1999325.28 0.6116913845 Long STIV CORP US N 2 2020-08-04 None 0 N N N N N N MVW OWNER TRUST N/A MVWOT 2017 1A A 144A 553896AA9 81118.28 PA USD 80051.76 0.0244917485 Long ABS-O CORP US Y 2 2034-12-20 Fixed 2.42 N N N N N N NAVIENT STUDENT LOAN TRUST 549300YZ4ZMNDBNO4U12 NAVSL 2015 AA A2B 144A 63939EAC7 366461.27 PA USD 352239.49 0.107767287 Long ABS-O CORP US Y 2 2028-12-15 Floating 1.38475 N N N N N N NAVIENT STUDENT LOAN TRUST 549300761SV59SBM0Z40 NAVSL 2016 5A A 144A 63939QAA4 2003434.22 PA USD 1962498.25 0.6004241949 Long ABS-O CORP US Y 2 2065-06-25 Floating 1.4345 N N N N N N NAVIENT STUDENT LOAN TRUST N/A NAVSL 2018 1A A3 144A 63940DAC6 1120000 PA USD 999704.27 0.3058584289 Long ABS-O CORP US Y 2 2067-03-25 Floating 0.9045 N N N N N N NAVIENT STUDENT LOAN TRUST N/A NAVSL 2016 3A A2 144A 63940HAB9 121980.53 PA USD 121722.2 0.0372407741 Long ABS-O CORP US Y 2 2065-06-25 Floating 1.0345 N N N N N N NAVIENT STUDENT LOAN TRUST N/A NAVSL 2016 6A A3 144A 63940LAC8 2200000 PA USD 2041750.26 0.6246712608 Long ABS-O CORP US Y 2 2066-03-25 Floating 1.4845 N N N N N N NAVIENT STUDENT LOAN TRUST N/A NAVSL 2017 1A A3 144A 63940NAC4 410000 PA USD 399301.95 0.1221659952 Long ABS-O CORP US Y 2 2066-07-26 Floating 1.3345 N N N N N N NAVIENT STUDENT LOAN TRUST N/A NAVSL 2019 2A A2 144A 63941RAB6 3387000 PA USD 3189810.89 0.9759191559 Long ABS-O CORP US Y 2 2068-02-27 Floating 1.1845 N N N N N N NAVIENT STUDENT LOAN TRUST N/A NAVSL 2019 3A B 144A 63941VAB7 2900000 PA USD 2212480.47 0.6769059819 Long ABS-O CORP US Y 2 2068-07-25 Floating 1.7345 N N N N N N NAVISTAR FINANCIAL DEALER NOTE 549300S28N49H5RT4J50 NAVMT 2019 1 B 144A 63938PBJ7 1400000 PA USD 1373260 0.4201473963 Long ABS-O CORP US Y 2 2024-05-25 Floating 0.9345 N N N N N N NELNET PRIVATE EDUCATION LOAN N/A NPELT 2016 A A1A 144A 64034JAA2 288729.37 PA USD 274136.87 0.0838718758 Long ABS-O CORP US Y 2 2040-12-26 Floating 1.9345 N N N N N N NELNET STUDENT LOAN TRUST 549300T6B0Q52I6OM558 NSLT 2006 2 B 640315AH0 643393.91 PA USD 552564.06 0.1690563703 Long ABS-O CORP US N 2 2038-01-25 Floating 1.19138 N N N N N N NELNET STUDENT LOAN TRUST N/A NSLT 2006 3 B 64031AAJ5 314038 PA USD 270970.61 0.082903162 Long ABS-O CORP US N 2 2041-06-25 Floating 0.54688 N N N N N N NELNET STUDENT LOAN TRUST N/A NSLT 2004 3 B 64031QBE0 1066397.71 PA USD 952884.79 0.2915340602 Long ABS-O CORP US N 2 2040-10-25 Floating 1.34138 N N N N N N NELNET STUDENT LOAN TRUST N/A NSLT 2005 2 B 64031QBY6 854829.55 PA USD 615477.28 0.1883046012 Long ABS-O CORP US N 2 2037-03-23 Floating 0.47638 N N N N N N NELNET STUDENT LOAN TRUST N/A NSLT 2014 2A B 144A 64033LAD2 375000 PA USD 353388.98 0.1081189722 Long ABS-O CORP US Y 2 2041-06-25 Floating 1.6845 N N N N N N NEUBERGER BERMAN CLO LTD 549300NPF57YF6WBDP72 NEUB 2015 20A AR 144A 64130TAQ8 2410613.92 PA USD 2386216.1 0.7300602081 Long ABS-CBDO CORP KY Y 2 2028-01-15 Floating 2.01888 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN N/A NRZT 2019 NQM1 A3 144A 64829YAC4 954298.07 PA USD 971583.08 0.2972547816 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 2017 2A A1 144A 65341KAW6 2000000 PA USD 1986510.6 0.6077707472 Long ABS-O CORP US Y 2 2022-10-17 Floating 0.86475 N N N N N N NP SPE IX LP N/A NPRL 2019 1A A1 144A 62954JAA2 362498.34 PA USD 359144.36 0.1098798245 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 1856368.49 PA USD 1841060.88 0.5632705643 Long ABS-CBDO CORP KY Y 2 2027-10-26 Floating 1.81138 N N N N N N ONEMAIN DIRECT AUTO RECEIVABLE N/A ODART 2017 2A C 144A 68267CAC2 8490000 PA USD 8476723.34 2.5934442423 Long ABS-O CORP US Y 2 2024-07-15 Fixed 2.82 N N N N N N ONEMAIN DIRECT AUTO RECEIVABLE N/A ODART 2017 2A E 144A 68267CAE8 968000 PA USD 964179.3 0.2949896032 Long ABS-O CORP US Y 2 2025-11-14 Fixed 4.74 N N N N N N ONSLOW BAY FINANCIAL LLC N/A OBX 2020 EXP1 2A2 144A 67448TBF1 1809918.02 PA USD 1809917.66 0.5537423302 Long ABS-O CORP US Y 2 2060-02-25 Floating 1.1345 N N N N N N OPTEUM MORTGAGE ACCEPTANCE COR N/A OPMAC 2005 4 1APT 68383NCA9 1191650.08 PA USD 1141391.4 0.3492074515 Long ABS-O CORP US N 2 2035-11-25 Floating 0.4945 N N N N N N ORANGE LAKE TIMESHARE TRUST N/A ONGLT 2016 A A 144A 68504LAA9 197000.62 PA USD 191052.84 0.0584524076 Long ABS-O CORP US Y 2 2029-03-08 Fixed 2.61 N N N N N N OSCAR US FUNDING TRUST 3538004ZS19MV1XYKA71 OSCAR 2018 2A A2B 144A 68784XAC0 37245 PA USD 37218.3 0.0113868982 Long ABS-O CORP JP Y 2 2021-08-10 Floating 0.64663 N N N N N N OXFORD FINANCE FUNDING TRUST N/A OXFIN 2016 1A A 144A 69144YAA5 92807.82 PA USD 93223.03 0.0285214842 Long ABS-O CORP US Y 2 2024-06-17 Fixed 3.968 N N N N N N PNMAC GMSR ISSUER TRUST 5493007JEN3QN6CZC711 PNMSR 2018 GT1 A 144A 69354WAC0 440000 PA USD 431231.99 0.1319349561 Long ABS-O CORP US Y 2 2023-02-25 Floating 3.0345 N N N N N N PSMC TRUST N/A PSMC 2018 1 A3 144A 69371VAC1 511278.97 PA USD 518499.71 0.1586344196 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 74457LGL4 3000000 PA USD 2999521.68 0.91770038 Long STIV CORP US N 2 2020-07-20 None 0 N N N N N N Repurchase Agreement 549300H47WTHXPU08X20 FIXED INC CLEARING CORP.REPO 85748R009 2206611.05 PA USD 2206611.05 0.6751102393 Long RA CORP US N 1 Repurchase N 0 2020-07-01 1938300 USD 2250792.4 USD UST N N N SAXON ASSET SECURITIES TRUST N/A SAST 2006 2 A3C 80556XAE7 1594157.12 PA USD 1587254.26 0.4856187063 Long ABS-O CORP US N 2 2036-09-25 Floating 0.3345 N N N N N N SBA TOWER TRUST N/A ASSET BACKED 144A 10/45 3.156 78403DAJ9 2000000 PA USD 2004291.4 0.6132107635 Long ABS-O CORP US Y 2 2045-10-10 Fixed 3.156 N N N N N N SCHLUMBERGER HOLDINGS 529900IKZG65COT1D505 SHORT TERMS 80686DH72 3000000 PA USD 2998372.32 0.9173487346 Long STIV CORP US N 2 2020-08-07 None 0 N N N N N N SEQUOIA MORTGAGE TRUST N/A SEMT 2018 3 A4 144A 81746VAD2 502206.59 PA USD 508415.47 0.1555491574 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 225435.56 PA USD 226286.11 0.0692319881 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 300111.72 PA USD 302519.28 0.0925554431 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 963382.11 PA USD 978178.02 0.2992724962 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 3A B 144A 82652JAB3 22092.19 PA USD 21959.76 0.0067185646 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 2497692.98 PA USD 2255685.51 0.6901245167 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 639550.12 PA USD 582258.45 0.1781413365 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 548934.13 PA USD 510912.21 0.1563130323 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 496654.69 PA USD 462964.42 0.1416434584 Long ABS-O CORP US Y 2 2036-01-20 Fixed 4.75 N N N N N N SKANDIN ENS BANKEN AG F3JS33DEI6XQ4ZBPTN86 SHORT TERMS 83050TJQ5 3000000 PA USD 2998437.66 0.9173687253 Long STIV CORP SE N 2 2020-09-24 None 0 N N N N N N SLC STUDENT LOAN TRUST N/A SLCLT 2005 2 B 784420AK7 1774761.57 PA USD 1548276.79 0.4736935919 Long ABS-O CORP US N 2 2040-03-15 Floating 0.59338 N N N N N N SLC STUDENT LOAN TRUST N/A SLCLT 2006 2 B 784428AG9 1173961.91 PA USD 1030996.71 0.3154323167 Long ABS-O CORP US N 2 2039-12-15 Floating 0.54338 N N N N N N SLM STUDENT LOAN TRUST N/A SLMA 2002 7 A11 78442GEX0 25000 PA USD 25000 0.0076487227 Long ABS-O USGA US N 2 2028-03-15 Floating 1.403 N N N N N N SLM STUDENT LOAN TRUST 5493000NQN5E3MSIIG77 SLMA 2003 11 B 78442GJY3 414500.76 PA USD 367789.47 0.1125247864 Long ABS-O USGA US N 2 2038-12-15 Floating 0.96338 N N N N N N SLM STUDENT LOAN TRUST 549300UECCCKC4WVNL14 SLMA 2003 14 A7 144A 78442GKG0 2100000 PA USD 1978719.33 0.6053870166 Long ABS-O USGA US Y 2 2065-10-25 Floating 1.59138 N N N N N N SLM STUDENT LOAN TRUST 5493001IJLRQI58G5Z31 SLMA 2003 14 A6 78442GKN5 250711.56 PA USD 243044.3 0.074359138 Long ABS-O USGA US N 2 2025-07-25 Floating 1.29138 N N N N N N SLM STUDENT LOAN TRUST 549300YK6GOQU7FJ5N55 SLMA 2004 3 B 78442GLJ3 281276.19 PA USD 249857.47 0.0764436199 Long ABS-O USGA US N 2 2064-10-25 Floating 1.46138 N N N N N N SLM STUDENT LOAN TRUST 549300IWUQEXD0TZWG69 SLMA 2004 8 B 78442GMR4 405717.03 PA USD 356229.01 0.1089878763 Long ABS-O USGA US N 2 2040-01-25 Floating 1.45138 N N N N N N SLM STUDENT LOAN TRUST N/A SLMA 2005 5 A4 78442GPQ3 431052.14 PA USD 418341.49 0.1279911217 Long ABS-O USGA US N 2 2028-10-25 Floating 1.13138 N N N N N N SLM STUDENT LOAN TRUST 549300H0EHPP0GTD9V95 SLMA 2005 8 B 78442GQT6 368563.72 PA USD 327793.35 0.1002880172 Long ABS-O USGA US N 2 2055-01-25 Floating 1.30138 N N N N N N SLM STUDENT LOAN TRUST 5493007758ACJK074H95 SLMA 2006 2 B 78442GRY4 405722.97 PA USD 363714.9 0.1112781762 Long ABS-O USGA US N 2 2041-01-25 Floating 1.21138 N N N N N N SLM STUDENT LOAN TRUST 549300NL48RDOTQF8W80 SLMA 2006 4 B 78442GSL1 346626.96 PA USD 309303 0.0946309148 Long ABS-O USGA US N 2 2070-01-25 Floating 1.19138 N N N N N N SLM STUDENT LOAN TRUST 549300LSGT1L2CL14698 SLMA 2006 5 B 83149EAG2 369519.58 PA USD 330526.58 0.1011242459 Long ABS-O USGA US N 2 2040-10-25 Floating 1.20138 N N N N N N SMB PRIVATE EDUCATION LOAN TRU 549300XC4C7GRVLU6076 SMB 2014 A A2A 144A 784456AB1 183078.83 PA USD 178623.53 0.0546496738 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 1364077.54 PA USD 1318452.01 0.4033789516 Long ABS-O CORP US Y 2 2037-01-15 Floating 0.90475 N N N N N N SMB PRIVATE EDUCATION LOAN TRU 549300WEYOS38NWU8D22 SMB 2019 A A1 144A 78449TAA9 588265.73 PA USD 569952.31 0.1743762864 Long ABS-O CORP US Y 2 2026-02-16 Floating 0.53475 N N N N N N SMB PRIVATE EDUCATION LOAN TRU 549300WEYOS38NWU8D22 SMB 2019 A A2B 144A 78449TAC5 1639000 PA USD 1581883.64 0.4839755709 Long ABS-O CORP US Y 2 2036-07-15 Floating 1.05475 N N N N N N SMB PRIVATE EDUCATION LOAN TRU N/A SMB 2019 B A1 144A 83192CAA5 235498.22 PA USD 226952.84 0.0694359734 Long ABS-O CORP US Y 2 2026-07-15 Floating 0.53475 N N N N N N SOCIAL PROFESSIONAL LOAN PROGR 549300MIP15HTYPHSM46 SOFI 2016 A A1 144A 78469PAA2 219579.33 PA USD 216864.74 0.0663495302 Long ABS-O CORP US Y 2 2036-08-25 Floating 1.9345 N N N N N N SOCIAL PROFESSIONAL LOAN PROGR N/A SOFI 2019 C A1FX 144A 83401CAA2 1479743.98 PA USD 1489368.83 0.4556707659 Long ABS-O CORP US Y 2 2048-11-16 Fixed 2.13 N N N N N N SOCIAL PROFESSIONAL LOAN PROGR 549300WT845S0N68C331 SOFI 2016 B A2B 144A 83402JAC2 2641184.76 PA USD 2576373.26 0.7882385834 Long ABS-O CORP US Y 2 2032-10-25 Fixed 2.74 N N N N N N SOCIAL PROFESSIONAL LOAN PROGR N/A SOFI 2017 A A1 144A 83404FAA2 247083.32 PA USD 241227.45 0.0738032747 Long ABS-O CORP US Y 2 2040-03-26 Floating 0.8845 N N N N N N SOFI ALTERNATIVE TRUST N/A SAT 2019 C PT 144A 83406JAA2 1796567.34 PA USD 1951181.72 0.5969619149 Long ABS-O CORP US Y 2 2045-01-25 Fixed 4.852969 N N N N N N SOFI CONSUMER LOAN PROGRAM TRU N/A SCLP 2016 1 A 144A 78471DAA5 296383.01 PA USD 297850.88 0.0911271512 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 12664.09 PA USD 12589.39 0.0038517101 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 26741.48 PA USD 26667.32 0.0081588374 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 158255.04 PA USD 158589.27 0.0485202138 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 4 A 144A 83405JAA3 370784.85 PA USD 373010.93 0.1141222864 Long ABS-O CORP US Y 2 2026-05-26 Fixed 2.5 N N N N N N SOFI CONSUMER LOAN PROGRAM TRU N/A SCLP 2017 2 A 144A 83405PAA9 128740.11 PA USD 128601.04 0.0393453476 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 2017 6 A2 144A 83405QAB5 405544.35 PA USD 408599.28 0.1250105032 Long ABS-O CORP US Y 2 2026-11-25 Fixed 2.82 N N N N N N SOUTH CAROLINA STUDENT LOAN CO 549300PIO3ZMSROGFF38 SCSLC 2010 1 A2 83715AAL3 204018.48 PA USD 204018.91 0.0624193626 Long DBT MUN US N 2 2025-07-25 Floating 1.99138 N N N N N N STARWOOD MORTGAGE RESIDENTIAL N/A STAR 2019 INV1 A3 144A 85572JAC1 919707.18 PA USD 902328.3 0.2760663573 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 1293360.53 PA USD 1229748.14 0.3762400995 Long ABS-O CORP US Y 2 2035-11-25 Floating 0.9845 N N N N N N SUMITOMO MTSU BKG CORP 5U0XI89JRFVHWIBS4F54 SHORT TERMS 86562KJM7 4000000 PA USD 3997749.76 1.2231071702 Long STIV CORP JP N 2 2020-09-21 None 0 N N N N N N SUNCOR ENERGY INC 549300W70ZOQDVLCHY06 SHORT TERMS 86723AG71 3000000 PA USD 2999842.5 0.9177985346 Long STIV CORP US N 2 2020-07-07 None 0 N N N N N N TESLA AUTO LEASE TRUST N/A TESLA 2018 B A 144A 88161NAA7 5516651.78 PA USD 5597052.57 1.7124121172 Long ABS-O CORP US Y 2 2021-08-20 Fixed 3.71 N N N N N N TEXTAINER MARINE CONTAINERS LI 549300X48KLHDDGPK024 TMCL 2018 1A A 144A 88315LAA6 1163700 PA USD 1163389.06 0.3559376115 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 501531.79 PA USD 504757.64 0.1544300483 Long ABS-O CORP US Y 2 2029-12-15 Fixed 3.09 N N N N N N TORONTO DOMINION BANK PT3QB789TSUIDF371261 SHORT TERMS 89119AJQ2 3000000 PA USD 2998502.16 0.917388459 Long STIV CORP CA N 2 2020-09-24 None 0 N N N N N N TOYOTA AUTO RECEIVABLES OWNER N/A TAOT 2018 C A2B 89231AAC5 232585.24 PA USD 232585.24 0.0711592 Long ABS-O CORP US N 2 2021-08-16 Floating 0.30475 N N N N N N TRIP RAIL MASTER FUNDING LLC 5493004VSVYOZVEYVJ29 TRMF 2017 1A A1 144A 89690EAF4 113378.29 PA USD 113431.41 0.0347042159 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 2774712.5 PA USD 3733650.84 1.1423063943 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 4055896 PA USD 5732536.16 1.7538631735 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 361192.5 PA USD 537487.43 0.1644436918 Long DBT UST US N 2 2032-04-15 Fixed 3.375 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 02/41 2.125 912810QP6 1288144 PA USD 1921960.63 0.5880217544 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 2788550 PA USD 3279276.07 1.0032909299 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 1870170 PA USD 2549578.43 0.7800407344 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 707869.5 PA USD 865020.82 0.2646521746 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 637416 PA USD 811974.25 0.2484226344 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 2339865 PA USD 3090149.71 0.9454279268 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 264.5 PA USD 352.48 0.0001078409 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 02/50 0.25 912810SM1 1595968 PA USD 1790164.89 0.5476989918 Long DBT UST US N 2 2050-02-15 Fixed 0.25 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 07/27 0.375 9128282L3 52417.5 PA USD 56966.44 0.0174288201 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 1325812.5 PA USD 1453353.99 0.444652065 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 1780941.75 PA USD 1851764.6 0.5665453557 Long DBT UST US N 2 2023-04-15 Fixed 0.625 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 04/24 0.5 9128286N5 2745360 PA USD 2885305.17 0.8827559636 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 2355992.5 PA USD 2577340.63 0.7885345492 Long DBT UST US N 2 2029-07-15 Fixed 0.25 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 01/24 0.625 912828B25 3076696 PA USD 3240234.7 0.9913462654 Long DBT UST US N 2 2024-01-15 Fixed 0.625 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 01/25 0.25 912828H45 7145952 PA USD 7517738.73 2.3000439489 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 2401375.75 PA USD 2599914.73 0.7954410704 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 1604790 PA USD 1703922.03 0.521313083 Long DBT UST US N 2 2026-07-15 Fixed 0.125 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 07/25 0.375 912828XL9 1968148 PA USD 2101830.04 0.6430526038 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 2222045.25 PA USD 2505153.08 0.7664488471 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 8096274 PA USD 8479373.9 2.5942551782 Long DBT UST US N 2 2024-10-15 Fixed 0.125 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 01/30 0.125 912828Z37 8273025 PA USD 8937364.79 2.7343769905 Long DBT UST US N 2 2030-01-15 Fixed 0.125 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 04/25 0.125 912828ZJ2 595692 PA USD 624052.26 0.190928107 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N US 10YR ULTRA FUT SEP20 N/A XCBT 20200921 ADI1JZD58 -58 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US Treasury 10 Year Ultra Note 2020-09-18 -9134093.75 USD -25303.41 N N N US 2YR NOTE (CBT) SEP20 N/A XCBT 20200930 ADI1HVBG7 23 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury 2 Year Note 2020-09-30 5079046.9 USD 2928.09 N N N US 5YR NOTE (CBT) SEP20 N/A XCBT 20200930 ADI1HVCQ4 19 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury 5 Year Note 2020-09-30 2389101.57 USD 1214.69 N N N US LONG BOND(CBT) SEP20 N/A XCBT 20200921 ADI1JZDD1 35 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury Ultra Long Bond 2020-09-21 6249687.5 USD -2772.35 N N N US ULTRA BOND CBT SEP20 N/A XCBT 20200921 ADI1JZCF7 -22 NC USD 0 0 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US Treasury Ultra Long Bond 2020-09-18 -4799437.5 USD 12232.36 N N N VERIZON COMMNTN INC 2S72QS2UO2OESLG6Y829 SHORT TERMS 92344LGU3 2000000 PA USD 1999513.12 0.6117488539 Long STIV CORP US N 2 2020-07-28 None 0 N N N N N N VERIZON OWNER TRUST 54930074536XOX02QB08 VZOT 2018 1A A1A 144A 92349FAA1 1286984.79 PA USD 1298241.4 0.3971955376 Long ABS-O CORP US Y 2 2022-09-20 Fixed 2.82 N N N N N N VERUS SECURITIZATION TRUST N/A VERUS 2019 1 A1 144A 92537DAA8 2175238.94 PA USD 2225812.38 0.6809848652 Long ABS-O CORP US Y 2 2059-02-25 Floating 3.836 N N N N N N VERUS SECURITIZATION TRUST N/A VERUS 2019 1 A3 144A 92537DAC4 4257296.52 PA USD 4290376.99 1.3126361515 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 913073.77 PA USD 912535.97 0.2791893828 Long ABS-O CORP US Y 2 2059-07-25 Floating 3.219 N N N N N N WESTGATE RESORTS 5493001B6N5F6HQT6Z27 WESTR 2017 1A A 144A 96033DAA8 272224.32 PA USD 271281.44 0.0829982601 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 390984.37 PA USD 384382.99 0.1176015557 Long ABS-O CORP US Y 2 2031-12-20 Fixed 3.38 N N N N N N WORLD OMNI AUTO RECEIVABLES TR N/A WOART 2019 C A2B 98162RAC2 5846900.4 PA USD 5846900.4 1.7888527877 Long ABS-O CORP US N 2 2023-02-15 Floating 0.41475 N N N N N N 2020-08-24 MML Series Investment Fund II /s/ Renee Hitchcock Renee Hitchcock Treasurer and CFO