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
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06082-1981
8605621000
MML Inflation-Protected and Income Fund
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2020-12-31
2020-06-30
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9600000
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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
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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
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88576NAG3
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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
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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
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000366AA2
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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
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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