2021-11-18T10:00:14-06:00 2021-05-31 990PF 2020-06-01 046011995 CHARLES E & CAROLINE J ADAMS TRUST ADAM 8888663275 P O BOX 1802 PROVIDENCE RI 029011802 BANK OF AMERICA N A MANAGING DIR 8888663275 2021-11-18 2020 2022-09-23 18:48:47Z X 17929361 X 239952 239952 3324857 16100282 3324857 0 4706 124553 3569515 3689362 118420 71052 47368 0 0 0 0 0 0 1250 750 0 500 44071 6054 38017 0 8814 2775 0 0 0 0 0 0 0 125 5701 125 172680 86332 0 86010 654000 654000 826680 86332 0 740010 2742835 3603030 0 624739 1037768 1037768 0 0 0 11309133 13961059 15980473 401020 165312 911120 12334892 15164139 17929361 0 X 12334892 15164139 12334892 15164139 12334892 15164139 12334892 2742835 291319 15369046 204907 15164139 6000. UNITED STATES TREAS NT DTD 06/01/20 0.250% DUE 05/31/25 2020-05-29 2020-06-01 5983 5984 -1 -1 21463.28 FEDERAL NATL MTG ASSN POOL #BM2007 2018-10-25 2020-06-03 22857 21514 1343 1343 59431.98 FEDERAL NATL MTG ASSN POOL #MA3357 2018-05-29 2020-06-03 63290 60802 2488 2488 13238.31 FEDERAL NATL MTG ASSN POOL #MA3384 2018-06-26 2020-06-03 14098 13479 619 619 74000. FNMA 30 YR TBA DTD 06/01/21 4.000% DUE 06/15/51 2020-06-03 2020-06-04 78824 78798 26 26 120000. FNMA 30 YR TBA DTD 06/01/21 3.000% DUE 06/15/51 2020-05-04 2020-06-05 126136 126431 -295 -295 4000. UNITED STATES TREAS NT DTD 05/15/20 0.625% DUE 05/15/30 2020-05-15 2020-06-05 3893 3995 -102 -102 130000. FNMA 30YR TBA DTD 06/01/21 2.500% DUE 06/15/51 2020-05-04 2020-06-08 134611 134875 -264 -264 4000. UNITED STATES TREAS BDS DTD 02/18/20 2.000% DUE 02/15/50 2020-05-07 2020-06-08 4341 4667 -326 -326 19000. UNITED STATES TREAS NT DTD 09/03/19 1.250% DUE 08/31/24 2019-08-30 2020-06-08 19693 18860 833 833 17000. UNITED STATES TREAS NT DTD 09/03/19 1.250% DUE 08/31/24 2019-09-10 2020-06-08 17620 16716 904 904 4000. UNITED STATES TREAS NT DTD 05/15/20 0.625% DUE 05/15/30 2020-04-24 2020-06-08 3906 4097 -191 -191 20000. FNMA 15 YR TBA DTD 06/01/21 2.500% DUE 06/15/36 2020-05-07 2020-06-10 21002 20883 119 119 23000. FNMA 15 YR TBA DTD 06/01/21 3.000% DUE 06/15/36 2020-05-08 2020-06-10 24281 24222 59 59 703.82 ALLY AUTO RECEIVABLES TR 2017-4 ASSET BACKED NT CL A-3 2019-04-29 2020-06-14 704 697 7 7 238.65 CNH EQUIP TR 2016-C ASSET BACKED NT CL A-3 2016-09-13 2020-06-14 239 239 550.08 CARMAX AUTO OWNER TR 2017-1 ASSET BACKED NT CL A-3 2017-05-30 2020-06-14 550 553 -3 -3 394.18 TOYOTA AUTO RECEIVABLES 2017-B OWNER TR NT CL A3 2017-05-09 2020-06-14 394 394 188.39 WORLD OMNI AUTO RECEIVABLES TR 2017-B ASSET BACKED NT CL A-3 2017-07-25 2020-06-14 188 188 546.2 WORLD OMNI AUTO RECEIVABLES TR 2018-A ASSET BACKED NT CL A-3 2018-01-30 2020-06-14 546 546 156.24 WORLD OMNI AUTO RECEIVABLES TR 2017-A ASSET BACKED NT CL A-3 2017-04-12 2020-06-14 156 156 274.54 GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2018-1 NT CL A-3 2018-01-09 2020-06-15 275 274 1 1 30.4 MERCEDES- BENZ AUTO LEASE TR 2018-A ASSET BACKED NT CL A-3 2018-01-17 2020-06-15 30 30 744.8 NISSAN AUTO RECEIVABLES 2017-B OWNER TR ASSET BACKED NT CL A-3 2017-08-16 2020-06-15 745 745 802.23 SMALL BUSINESS ADMIN GTD DEV PARTN CTF PARTN CTF SER 2017-20A 2017-01-05 2020-06-15 802 802 15000. INTEL CORP UNSECD SR NT C02/25/25 @100 2020-03-20 2020-06-16 16804 14977 1827 1827 570.29 AMERICREDIT AUTOMOBILE RECEIVABLES TR 2018-3 NT CL A2A 2018-11-15 2020-06-17 570 570 3000. NISOURCE INC UNSECD SR NT C2/1/30 @100 2020-04-07 2020-06-19 3441 2989 452 452 514.68 HONDA AUTO RECEIVABLES 2017-4 OWNER TR ASSET BACKED NT CL A-3 2017-11-22 2020-06-20 515 515 18780.62 FEDERAL HOME LN MTG CORP POOL #SD8005 2019-08-15 2020-06-25 19737 19316 421 421 78.74 FEDERAL HOME LN MTG CORP POOL #J10791 2009-12-04 2020-06-30 79 82 -3 -3 1594.34 FEDERAL HOME LN MTG CORP POOL #SD8005 2019-08-15 2020-06-30 1594 1640 -46 -46 295.92 FEDERAL HOME LN MTG CORP POOL #G60567 2016-04-26 2020-06-30 296 317 -21 -21 118.72 FEDERAL HOME LN MTG CORP SER K724 CL A1 2017-01-13 2020-06-30 119 121 -2 -2 4.99 FEDERAL NATL MTG ASSN POOL #535031 1999-10-27 2020-06-30 5 5 444.56 FEDERAL NATL MTG ASSN POOL #AS0774 2014-08-08 2020-06-30 445 440 5 5 416.05 FEDERAL NATL MTG ASSN POOL #AS6135 2016-11-29 2020-06-30 416 442 -26 -26 85.4 FEDERAL NATL MTG ASSN POOL #AS6413 2015-12-17 2020-06-30 85 86 -1 -1 568.92 FEDERAL NATL MTG ASSN POOL #AZ0862 2015-08-05 2020-06-30 569 588 -19 -19 321.94 FEDERAL NATL MTG ASSN POOL #AZ4775 2016-03-31 2020-06-30 322 338 -16 -16 2.94 FEDERAL HOME LN MTG CORP SER 3536 CL PC 2009-10-20 2020-06-30 3 3 410.77 FEDERAL NATL MTG ASSN POOL #BC0133 2015-12-11 2020-06-30 411 425 -14 -14 797.49 FEDERAL NATL MTG ASSN POOL #BC1158 2016-03-04 2020-06-30 797 835 -38 -38 1276.09 FEDERAL NATL MTG ASSN POOL #BC4764 2019-01-08 2020-06-30 1276 1243 33 33 901.16 FEDERAL NATL MTG ASSN POOL #BH9277 2018-05-29 2020-06-30 901 899 2 2 645.64 FEDERAL NATL MTG ASSN POOL #BJ1636 2018-10-11 2020-06-30 646 630 16 16 2187.47 FEDERAL NATL MTG ASSN POOL #CA0833 2017-12-06 2020-06-30 2187 2258 -71 -71 1885.96 FEDERAL NATL MTG ASSN POOL #CA2055 2018-10-01 2020-06-30 1886 1953 -67 -67 3.62 FEDERAL NATL MTG ASSN POOL #888757 2007-10-18 2020-06-30 4 4 2.27 FEDERAL NATL MTG ASSN POOL #890200 2010-02-25 2020-06-30 2 2 106.33 FEDERAL NATL MTG ASSN POOL #889389 2015-12-30 2020-06-30 106 119 -13 -13 958.03 FEDERAL NATL MTG ASSN POOL #MA3462 2018-09-06 2020-06-30 958 968 -10 -10 136.15 FEDERAL NATL MTG ASSN POOL #AD6942 2010-06-25 2020-06-30 136 144 -8 -8 717.66 GOVERNMENT NATL MTG ASSN II POOL #MA4900 2019-02-05 2020-06-30 718 725 -7 -7 2837.62 GOVERNMENT NATL MTG ASSN II POOL #MA5191 2018-05-29 2020-06-30 2838 2856 -18 -18 112.97 JOHN DEERE OWNER TR 2017-B ASSET BACKED NT CL A-3 2017-07-11 2020-06-30 113 113 22.611 MAN FRM ALTERNATIVE MULTI- STRATEGY FUND LLC 2018-12-31 2020-06-30 33172 31925 1247 1247 26000. UNITED STATES TREAS NT DTD 07/01/19 1.625% DUE 06/30/21 2019-07-08 2020-06-30 26380 25871 509 509 5000. UTAH ST TAXABLE GO BDS-TAXBL 2009-09-17 2020-07-01 5000 5034 -34 -34 45000. FNMA 30YR TBA DTD 07/01/21 2.500% DUE 07/15/51 2020-06-08 2020-07-06 46867 46529 338 338 130000. FNMA 30YR TBA DTD 07/01/21 2.500% DUE 07/15/51 2020-06-08 2020-07-06 135393 134327 1066 1066 120000. FNMA 30 YR TBA DTD 07/01/21 3.000% DUE 07/15/51 2020-06-05 2020-07-06 126291 125850 441 441 39000. FNMA 30 YR TBA DTD 07/01/21 3.500% DUE 07/15/51 2020-06-25 2020-07-06 41005 40987 18 18 74000. FNMA 30 YR TBA DTD 07/01/21 4.000% DUE 07/15/51 2020-06-04 2020-07-06 78405 78793 -388 -388 4000. UNITED STATES TREAS NT DTD 05/15/20 0.625% DUE 05/15/30 2020-03-31 2020-07-07 3982 4185 -203 -203 14000. UNITED STATES TREAS NT DTD 05/15/20 0.625% DUE 05/15/30 2020-05-15 2020-07-07 13938 13979 -41 -41 5000. UNITED STATES TREAS NT DTD 05/15/20 0.625% DUE 05/15/30 2020-05-15 2020-07-07 4978 4994 -16 -16 14947.95 UNITED STATES TREAS NT INFLATION INDEX 2020-03-10 2020-07-08 16268 15551 717 717 23000. FNMA 15 YR TBA DTD 07/01/21 3.000% DUE 07/15/36 2020-06-10 2020-07-09 24181 24265 -84 -84 4000. UNITED STATES TREAS NT DTD 01/31/20 1.500% DUE 01/31/27 2020-02-28 2020-07-09 4277 4117 160 160 7000. UNITED STATES TREAS NT DTD 03/31/20 0.625% DUE 03/31/27 2020-03-31 2020-07-09 7083 7035 48 48 20000. FNMA 15 YR TBA DTD 07/01/21 2.500% DUE 07/15/36 2020-06-10 2020-07-10 21035 20969 66 66 714.33 ALLY AUTO RECEIVABLES TR 2017-4 ASSET BACKED NT CL A-3 2019-04-29 2020-07-14 714 708 6 6 563.22 CARMAX AUTO OWNER TR 2017-1 ASSET BACKED NT CL A-3 2017-05-30 2020-07-14 563 566 -3 -3 417.24 TOYOTA AUTO RECEIVABLES 2017-B OWNER TR NT CL A3 2017-05-09 2020-07-14 417 417 204.43 WORLD OMNI AUTO RECEIVABLES TR 2017-B ASSET BACKED NT CL A-3 2017-07-25 2020-07-14 204 204 561.59 WORLD OMNI AUTO RECEIVABLES TR 2018-A ASSET BACKED NT CL A-3 2018-01-30 2020-07-14 562 561 1 1 162.32 WORLD OMNI AUTO RECEIVABLES TR 2017-A ASSET BACKED NT CL A-3 2017-04-12 2020-07-14 162 162 160.26 CNH EQUIP TR 2016-C ASSET BACKED NT CL A-3 2016-09-13 2020-07-15 160 160 281.83 GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2018-1 NT CL A-3 2018-01-09 2020-07-15 282 282 865.03 SMALL BUSINESS ADMIN GTD DEV PARTN CTF SER 2017-20B CL 1 2017-05-30 2020-07-15 865 872 -7 -7 807.86 NISSAN AUTO RECEIVABLES 2017-B OWNER TR ASSET BACKED NT CL A-3 2017-08-16 2020-07-16 808 808 529.6 HONDA AUTO RECEIVABLES 2017-4 OWNER TR ASSET BACKED NT CL A-3 2017-11-22 2020-07-20 530 530 60.69 AMERICREDIT AUTOMOBILE RECEIVABLES TR 2018-3 NT CL A2A 2018-11-15 2020-07-21 61 61 14945.55 GOVERNMENT NATL MTG ASSN II POOL #MA4900 2019-02-05 2020-07-21 15758 15088 670 670 44960.58 GOVERNMENT NATL MTG ASSN II POOL #MA5191 2018-05-29 2020-07-21 47483 45249 2234 2234 4000. SOUTHERN CA EDISON CO 1ST MORTGAGE BD C3/1/21 @100 2015-06-12 2020-07-21 4082 4041 41 41 14000. UNITED STATES TREAS NT DTD 06/30/20 0.250% DUE 06/30/25 2020-06-30 2020-07-21 13986 13973 13 13 5000. CISCO SYS INC SR UNSECD NT CALL 08/20/21 @100 2017-05-25 2020-07-29 5086 4949 137 137 5000. UNITED STATES TREAS NT DTD 05/15/20 0.625% DUE 05/15/30 2020-05-08 2020-07-29 5024 5001 23 23 1000. UNITED STATES TREAS NT DTD 05/15/20 0.625% DUE 05/15/30 2020-05-08 2020-07-29 1005 1000 5 5 4000. UNITED STATES TREAS NT DTD 05/15/20 0.625% DUE 05/15/30 2020-03-24 2020-07-29 4019 4191 -172 -172 5000. DISCOVERY COMMUNICATIONS LLC SR UNSECD BD CALL 12/20/27 @100 2017-09-07 2020-07-30 5722 4982 740 740 3000. FLORIDA PWR & LT CO SECD NT C03/01/25 @100 2020-03-24 2020-07-30 3309 2997 312 312 62.78 FEDERAL HOME LN MTG CORP POOL #J10791 2009-12-04 2020-07-31 63 65 -2 -2 1645.88 FEDERAL HOME LN MTG CORP POOL #G60567 2016-04-26 2020-07-31 1646 1763 -117 -117 111.82 FEDERAL HOME LN MTG CORP SER K724 CL A1 2017-01-13 2020-07-31 112 114 -2 -2 4.99 FEDERAL NATL MTG ASSN POOL #535031 1999-10-27 2020-07-31 5 5 603.13 FEDERAL NATL MTG ASSN POOL #AS0774 2014-08-08 2020-07-31 603 597 6 6 418.73 FEDERAL NATL MTG ASSN POOL #AS6135 2016-11-29 2020-07-31 419 444 -25 -25 141.86 FEDERAL NATL MTG ASSN POOL #AS6413 2015-12-17 2020-07-31 142 143 -1 -1 619.25 FEDERAL NATL MTG ASSN POOL #AZ0862 2015-08-05 2020-07-31 619 640 -21 -21 322.33 FEDERAL NATL MTG ASSN POOL #AZ4775 2016-03-31 2020-07-31 322 338 -16 -16 2.02 FEDERAL HOME LN MTG CORP SER 3536 CL PC 2009-10-20 2020-07-31 2 2 299.72 FEDERAL NATL MTG ASSN POOL #BC0133 2015-12-11 2020-07-31 300 310 -10 -10 756.52 FEDERAL NATL MTG ASSN POOL #BC1158 2016-03-04 2020-07-31 757 792 -35 -35 1430.67 FEDERAL NATL MTG ASSN POOL #BC4764 2019-01-08 2020-07-31 1431 1394 37 37 990.69 FEDERAL NATL MTG ASSN POOL #BH9277 2018-05-29 2020-07-31 991 989 2 2 522.66 FEDERAL NATL MTG ASSN POOL #BJ1636 2018-10-11 2020-07-31 523 510 13 13 1921.29 FEDERAL NATL MTG ASSN POOL #CA0833 2017-12-06 2020-07-31 1921 1983 -62 -62 1326.62 FEDERAL NATL MTG ASSN POOL #CA2055 2018-10-01 2020-07-31 1327 1374 -47 -47 4.16 FEDERAL NATL MTG ASSN POOL #888757 2007-10-18 2020-07-31 4 4 2.38 FEDERAL NATL MTG ASSN POOL #890200 2010-02-25 2020-07-31 2 3 -1 -1 112.19 FEDERAL NATL MTG ASSN POOL #889389 2015-12-30 2020-07-31 112 125 -13 -13 766. FEDERAL NATL MTG ASSN POOL #MA3462 2018-09-06 2020-07-31 766 774 -8 -8 444.07 FEDERAL NATL MTG ASSN POOL #AD6942 2010-06-25 2020-07-31 444 471 -27 -27 143.89 JOHN DEERE OWNER TR 2017-B ASSET BACKED NT CL A-3 2017-07-11 2020-07-31 144 144 183.98 WFRBS COML MTG TR 2013-C15 MTG PASS THRU CTF CL A-3 2017-11-21 2020-07-31 184 194 -10 -10 175000. FNMA 30YR TBA DTD 08/01/21 2.500% DUE 08/15/51 2020-07-06 2020-08-05 183989 181945 2044 2044 120000. FNMA 30 YR TBA DTD 08/01/21 3.000% DUE 08/15/51 2020-07-06 2020-08-05 126975 126075 900 900 39000. FNMA 30 YR TBA DTD 08/01/21 3.500% DUE 08/15/51 2020-07-06 2020-08-05 41115 41012 103 103 74000. FNMA 30 YR TBA DTD 08/01/21 4.000% DUE 08/15/51 2020-07-06 2020-08-05 78632 78452 180 180 15000. BENCHMARK 2020-B16 MTG TR MTG PASS THRU CTF CL A-4 2020-01-24 2020-08-05 16103 15150 953 953 10000. BENCHMARK 2019-B14 MTG TR MTG PASSTHRU CTF CL A-5 2019-11-05 2020-08-07 11258 10300 958 958 20000. FNMA 15 YR TBA DTD 08/01/21 2.500% DUE 08/15/36 2020-07-10 2020-08-10 21042 21004 38 38 23000. FNMA 15 YR TBA DTD 08/01/21 3.000% DUE 08/15/36 2020-07-09 2020-08-10 24137 24182 -45 -45 722.92 ALLY AUTO RECEIVABLES TR 2017-4 ASSET BACKED NT CL A-3 2019-04-29 2020-08-14 723 716 7 7 571.62 CARMAX AUTO OWNER TR 2017-1 ASSET BACKED NT CL A-3 2017-05-30 2020-08-14 572 574 -2 -2 398.42 TOYOTA AUTO RECEIVABLES 2017-B OWNER TR NT CL A3 2017-05-09 2020-08-14 398 398 211.42 WORLD OMNI AUTO RECEIVABLES TR 2017-B ASSET BACKED NT CL A-3 2017-07-25 2020-08-14 211 211 558.98 WORLD OMNI AUTO RECEIVABLES TR 2018-A ASSET BACKED NT CL A-3 2018-01-30 2020-08-14 559 559 164.98 WORLD OMNI AUTO RECEIVABLES TR 2017-A ASSET BACKED NT CL A-3 2017-04-12 2020-08-14 165 165 282.98 GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2018-1 NT CL A-3 2018-01-09 2020-08-15 283 283 15000. WORLD FINL NETWORK CR CARD MASTER TR 2015-B CL A 2015-08-14 2020-08-15 15000 14998 2 2 772.03 NISSAN AUTO RECEIVABLES 2017-B OWNER TR ASSET BACKED NT CL A-3 2017-08-16 2020-08-17 772 772 2000. KROGER CO SR UNSECD MTN CALL 04/15/46 @100 2018-06-29 2020-08-19 2298 1674 624 624 5000. NISOURCE FIN CORP UNSECD SR NT 2015-10-02 2020-08-19 5413 5082 331 331 526.54 HONDA AUTO RECEIVABLES 2017-4 OWNER TR ASSET BACKED NT CL A-3 2017-11-22 2020-08-20 527 526 1 1 120000. FNMA 30 YR TBA DTD 09/01/21 3.000% DUE 09/15/51 2020-08-05 2020-08-25 126244 126638 -394 -394 12000. UNITED STATES TREAS BD DTD 08/15/19 2.250% DUE 08/15/49 2019-11-14 2020-08-25 14480 11853 2627 2627 3000. UNITED STATES TREAS BD DTD 11/15/19 2.375% DUE 11/15/49 2020-04-13 2020-08-25 3718 3970 -252 -252 2000. UNITED STATES TREAS BD DTD 11/15/19 2.375% DUE 11/15/49 2020-02-18 2020-08-25 2478 2170 308 308 4000. UNITED STATES TREAS BD DTD 11/15/19 2.375% DUE 11/15/49 2020-02-19 2020-08-25 4957 4323 634 634 71000. UNITED STATES TREAS BDS DTD 02/18/20 2.000% DUE 02/15/50 2020-05-07 2020-08-25 81556 82761 -1205 -1205 4000. UNITED STATES TREAS BD DTD 05/15/20 1.125% DUE 05/15/40 2020-05-29 2020-08-25 3979 3971 8 8 4000. UNITED STATES TREAS NT DTD 05/15/20 0.625% DUE 05/15/30 2020-03-03 2020-08-25 3982 4161 -179 -179 18000. UNITED STATES TREAS NT DTD 05/15/20 0.625% DUE 05/15/30 2020-07-31 2020-08-25 17921 18149 -228 -228 14000. UNITED STATES TREAS NT DTD 05/15/20 0.625% DUE 05/15/30 2020-08-05 2020-08-25 13938 14112 -174 -174 4000. UNITED STATES TREAS NT DTD 05/15/20 0.625% DUE 05/15/30 2020-07-30 2020-08-25 3982 4032 -50 -50 9000. UNITED STATES TREAS NT DTD 05/15/20 0.625% DUE 05/15/30 2020-08-07 2020-08-25 8960 9061 -101 -101 13000. UNITED STATES TREAS NT DTD 05/15/20 0.625% DUE 05/15/30 2020-05-08 2020-08-25 12943 12999 -56 -56 18000. UNITED STATES TREAS NT DTD 05/15/20 0.625% DUE 05/15/30 2020-05-15 2020-08-25 17921 17973 -52 -52 13000. UNITED STATES TREAS NT DTD 05/15/20 0.625% DUE 05/15/30 2020-05-29 2020-08-25 12943 12972 -29 -29 6000. UNITED STATES TREAS NT DTD 05/15/20 0.625% DUE 05/15/30 2020-07-08 2020-08-25 5974 5985 -11 -11 4000. UNITED STATES TREAS NT DTD 05/15/20 0.625% DUE 05/15/30 2020-05-20 2020-08-25 3982 3982 5000. BROADCOM CORP/BROADCOM CAYMAN FIN LTD UNSECD SR NT C10/15/26 2020-06-08 2020-08-31 5530 5396 134 134 66.61 FEDERAL HOME LN MTG CORP POOL #J10791 2009-12-04 2020-08-31 67 69 -2 -2 807.35 FEDERAL HOME LN MTG CORP POOL #G60567 2016-04-26 2020-08-31 807 865 -58 -58 112.19 FEDERAL HOME LN MTG CORP SER K724 CL A1 2017-01-13 2020-08-31 112 114 -2 -2 5.63 FEDERAL NATL MTG ASSN POOL #535031 1999-10-27 2020-08-31 6 6 486.58 FEDERAL NATL MTG ASSN POOL #AS0774 2014-08-08 2020-08-31 487 482 5 5 388.32 FEDERAL NATL MTG ASSN POOL #AS6135 2016-11-29 2020-08-31 388 412 -24 -24 112.77 FEDERAL NATL MTG ASSN POOL #AS6413 2015-12-17 2020-08-31 113 114 -1 -1 548.83 FEDERAL NATL MTG ASSN POOL #AZ0862 2015-08-05 2020-08-31 549 567 -18 -18 275.03 FEDERAL NATL MTG ASSN POOL #AZ4775 2016-03-31 2020-08-31 275 288 -13 -13 2.01 FEDERAL HOME LN MTG CORP SER 3536 CL PC 2009-10-20 2020-08-31 2 2 227.04 FEDERAL NATL MTG ASSN POOL #BC0133 2015-12-11 2020-08-31 227 235 -8 -8 715.81 FEDERAL NATL MTG ASSN POOL #BC1158 2016-03-04 2020-08-31 716 749 -33 -33 1455.62 FEDERAL NATL MTG ASSN POOL #BC4764 2019-01-08 2020-08-31 1456 1418 38 38 900.84 FEDERAL NATL MTG ASSN POOL #BH9277 2018-05-29 2020-08-31 901 899 2 2 1040.85 FEDERAL NATL MTG ASSN POOL #BJ1636 2018-10-11 2020-08-31 1041 1016 25 25 2250.73 FEDERAL NATL MTG ASSN POOL #CA0833 2017-12-06 2020-08-31 2251 2323 -72 -72 1215.05 FEDERAL NATL MTG ASSN POOL #CA2055 2018-10-01 2020-08-31 1215 1258 -43 -43 4.87 FEDERAL NATL MTG ASSN POOL #888757 2007-10-18 2020-08-31 5 5 42.83 FEDERAL NATL MTG ASSN POOL #890200 2010-02-25 2020-08-31 43 46 -3 -3 89.56 FEDERAL NATL MTG ASSN POOL #889389 2015-12-30 2020-08-31 90 100 -10 -10 702.19 FEDERAL NATL MTG ASSN POOL #MA3462 2018-09-06 2020-08-31 702 710 -8 -8 127.51 FEDERAL NATL MTG ASSN POOL #AD6942 2010-06-25 2020-08-31 128 135 -7 -7 111.86 JOHN DEERE OWNER TR 2017-B ASSET BACKED NT CL A-3 2017-07-11 2020-08-31 112 112 2000. BROADCOM CORP/BROADCOM CAYMAN FIN LTD UNSECD SR NT C10/15/26 2020-06-08 2020-09-01 2217 2158 59 59 6000. BROADCOM CORP/BROADCOM CAYMAN FIN LTD UNSECD SR NT C10/15/26 2020-06-05 2020-09-01 6651 6445 206 206 4000. BROADCOM CORP/BROADCOM CAYMAN FIN LTD UNSECD SR NT C10/15/26 2018-02-06 2020-09-01 4434 3875 559 559 4000. AT&T INC SR UNSECD NT CALL 12/15/44 @100 2020-04-21 2020-09-02 4674 4531 143 143 2000. AT&T INC SR UNSECD NT CALL 12/15/44 @100 2019-05-08 2020-09-02 2337 1869 468 468 2000. AT&T INC UNSECD SR GBL NT C09/01/46 @100 2018-02-21 2020-09-02 2720 2073 647 647 175000. FNMA 30YR TBA DTD 09/01/21 2.500% DUE 09/15/51 2020-08-05 2020-09-02 184324 183668 656 656 39000. FNMA 30 YR TBA DTD 09/01/21 3.500% DUE 09/15/51 2020-08-05 2020-09-02 41137 41134 3 3 74000. FNMA 30 YR TBA DTD 09/01/21 4.000% DUE 09/15/51 2020-08-05 2020-09-02 78876 78691 185 185 4000. CAPITAL ONE FINL CORP SR UNSECD PIDI NT C12/31/27 @100 2019-07-25 2020-09-03 4493 4122 371 371 5000. CAPITAL ONE FINL CORP SR UNSECD PIDI NT C12/31/27 @100 2018-07-19 2020-09-03 5616 4749 867 867 20000. FNMA 15 YR TBA DTD 09/01/21 2.500% DUE 09/15/36 2020-08-10 2020-09-10 20964 21010 -46 -46 23000. FNMA 15 YR TBA DTD 09/01/21 3.000% DUE 09/15/36 2020-08-10 2020-09-10 24154 24139 15 15 720.56 ALLY AUTO RECEIVABLES TR 2017-4 ASSET BACKED NT CL A-3 2019-04-29 2020-09-14 721 714 7 7 532.92 CARMAX AUTO OWNER TR 2017-1 ASSET BACKED NT CL A-3 2017-05-30 2020-09-14 533 535 -2 -2 359.18 TOYOTA AUTO RECEIVABLES 2017-B OWNER TR NT CL A3 2017-05-09 2020-09-14 359 359 181. WORLD OMNI AUTO RECEIVABLES TR 2017-B ASSET BACKED NT CL A-3 2017-07-25 2020-09-14 181 181 530.67 WORLD OMNI AUTO RECEIVABLES TR 2018-A ASSET BACKED NT CL A-3 2018-01-30 2020-09-14 531 531 153.3 WORLD OMNI AUTO RECEIVABLES TR 2017-A ASSET BACKED NT CL A-3 2017-04-12 2020-09-14 153 153 267.77 GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2018-1 NT CL A-3 2018-01-09 2020-09-15 268 268 718.6 NISSAN AUTO RECEIVABLES 2017-B OWNER TR ASSET BACKED NT CL A-3 2017-08-16 2020-09-15 719 719 5000. UNITED STATES TREAS NT DTD 06/30/20 0.125% DUE 06/30/22 2020-07-21 2020-09-15 4998 4999 -1 -1 493.61 HONDA AUTO RECEIVABLES 2017-4 OWNER TR ASSET BACKED NT CL A-3 2017-11-22 2020-09-20 494 494 10000. BOSTON PPTYS LTD PARTNERSHIP UNSECD SR NT CALL 07/01/26 @100 2019-04-02 2020-09-22 10733 9466 1267 1267 6000. UNITED STS TREAS NT DTD 08/17/20 0.625% DUE 08/15/30 2020-09-03 2020-09-22 5974 6003 -29 -29 81000. FNMA 30YR TBA DTD 10/01/21 2.500% DUE 10/15/51 2020-09-02 2020-09-23 84753 85151 -398 -398 58.33 FEDERAL HOME LN MTG CORP POOL #J10791 2009-12-04 2020-09-30 58 61 -3 -3 856.57 FEDERAL HOME LN MTG CORP POOL #G60567 2016-04-26 2020-09-30 857 917 -60 -60 119.8 FEDERAL HOME LN MTG CORP SER K724 CL A1 2017-01-13 2020-09-30 120 122 -2 -2 32.84 FEDERAL NATL MTG ASSN POOL #535031 1999-10-27 2020-09-30 33 33 438.97 FEDERAL NATL MTG ASSN POOL #AS0774 2014-08-08 2020-09-30 439 435 4 4 381.24 FEDERAL NATL MTG ASSN POOL #AS6135 2016-11-29 2020-09-30 381 405 -24 -24 68.77 FEDERAL NATL MTG ASSN POOL #AS6413 2015-12-17 2020-09-30 69 69 678.81 FEDERAL NATL MTG ASSN POOL #AZ0862 2015-08-05 2020-09-30 679 702 -23 -23 317.58 FEDERAL NATL MTG ASSN POOL #AZ4775 2016-03-31 2020-09-30 318 333 -15 -15 2.02 FEDERAL HOME LN MTG CORP SER 3536 CL PC 2009-10-20 2020-09-30 2 2 597.05 FEDERAL NATL MTG ASSN POOL #BC0133 2015-12-11 2020-09-30 597 617 -20 -20 710.89 FEDERAL NATL MTG ASSN POOL #BC1158 2016-03-04 2020-09-30 711 744 -33 -33 1690.51 FEDERAL NATL MTG ASSN POOL #BC4764 2019-01-08 2020-09-30 1691 1647 44 44 990.28 FEDERAL NATL MTG ASSN POOL #BH9277 2018-05-29 2020-09-30 990 988 2 2 1063.51 FEDERAL NATL MTG ASSN POOL #BJ1636 2018-10-11 2020-09-30 1064 1038 26 26 1998.16 FEDERAL NATL MTG ASSN POOL #CA0833 2017-12-06 2020-09-30 1998 2062 -64 -64 1477.46 FEDERAL NATL MTG ASSN POOL #CA2055 2018-10-01 2020-09-30 1477 1530 -53 -53 2.36 FEDERAL NATL MTG ASSN POOL #888757 2007-10-18 2020-09-30 2 2 9.35 FEDERAL NATL MTG ASSN POOL #890200 2010-02-25 2020-09-30 9 10 -1 -1 131.27 FEDERAL NATL MTG ASSN POOL #889389 2015-12-30 2020-09-30 131 147 -16 -16 736.77 FEDERAL NATL MTG ASSN POOL #MA3462 2018-09-06 2020-09-30 737 745 -8 -8 580.97 FEDERAL NATL MTG ASSN POOL #AD6942 2010-06-25 2020-09-30 581 616 -35 -35 107.56 JOHN DEERE OWNER TR 2017-B ASSET BACKED NT CL A-3 2017-07-11 2020-09-30 108 108 28000. UNITED STS TREAS NT DTD 08/31/20 0.500% DUE 08/31/27 2020-08-31 2020-10-01 28083 28032 51 51 12000. UNITED STS TREAS NT DTD 08/31/20 0.250% DUE 08/31/25 2020-09-22 2020-10-01 11990 11993 -3 -3 25000. UNITED STS TREAS NT DTD 08/31/20 0.250% DUE 08/31/25 2020-08-31 2020-10-01 24979 24979 1000. UNITED STATES TREAS BD DTD 05/15/20 1.250% DUE 05/15/50 2020-08-25 2020-10-02 946 965 -19 -19 2000. UNITED STATES TREAS BD DTD 05/15/20 1.250% DUE 05/15/50 2020-08-25 2020-10-02 1891 1929 -38 -38 39000. FNMA 30YR TBA DTD 10/01/21 2.000% DUE 10/15/51 2020-09-23 2020-10-05 40254 40172 82 82 94000. FNMA 30YR TBA DTD 10/01/21 2.500% DUE 10/15/51 2020-09-02 2020-10-06 98428 98818 -390 -390 120000. FNMA 30 YR TBA DTD 10/01/21 3.000% DUE 10/15/51 2020-08-25 2020-10-06 125503 126056 -553 -553 39000. FNMA 30 YR TBA DTD 10/01/21 3.500% DUE 10/15/51 2020-09-02 2020-10-06 41128 41175 -47 -47 74000. FNMA 30 YR TBA DTD 10/01/21 4.000% DUE 10/15/51 2020-09-02 2020-10-06 78957 78946 11 11 15000. UNITED STS TREAS NT DTD 09/30/20 0.375% DUE 09/30/27 2020-10-01 2020-10-07 14806 14908 -102 -102 2000. CHARTER COMMUNICATIONS OPER LLC /CHARTER COMMUNICATIONS 1ST LIEN 2019-06-25 2020-10-08 2364 2007 357 357 20000. FNMA 15 YR TBA DTD 10/01/21 2.500% DUE 10/15/36 2020-09-10 2020-10-09 20832 20959 -127 -127 23000. FNMA 15 YR TBA DTD 10/01/21 3.000% DUE 10/15/36 2020-09-10 2020-10-09 24088 24161 -73 -73 693.79 ALLY AUTO RECEIVABLES TR 2017-4 ASSET BACKED NT CL A-3 2019-04-29 2020-10-14 694 687 7 7 697. NISSAN AUTO RECEIVABLES 2017-B OWNER TR ASSET BACKED NT CL A-3 2017-08-16 2020-10-14 697 697 190. WORLD OMNI AUTO RECEIVABLES TR 2017-B ASSET BACKED NT CL A-3 2017-07-25 2020-10-14 190 190 540.35 WORLD OMNI AUTO RECEIVABLES TR 2018-A ASSET BACKED NT CL A-3 2018-01-30 2020-10-14 540 540 153.74 WORLD OMNI AUTO RECEIVABLES TR 2017-A ASSET BACKED NT CL A-3 2017-04-12 2020-10-14 154 154 5.8 CARMAX AUTO OWNER TR 2017-1 ASSET BACKED NT CL A-3 2017-05-30 2020-10-15 6 6 258.22 GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2018-1 NT CL A-3 2018-01-09 2020-10-15 258 258 674.87 SMALL BUSINESS ADMIN GTD DEV PARTN CTF SER 2017-20E CL 1 2017-05-25 2020-10-15 675 680 -5 -5 68.69 TOYOTA AUTO RECEIVABLES 2017-B OWNER TR NT CL A3 2017-05-09 2020-10-15 69 69 473.46 HONDA AUTO RECEIVABLES 2017-4 OWNER TR ASSET BACKED NT CL A-3 2017-11-22 2020-10-20 473 473 10000. CITIGROUP INC SR UNSECD NT 2017-05-25 2020-10-23 11046 10198 848 848 4000. PROCTER & GAMBLE UNSECD SR NT C09/25/49 @100 2020-03-23 2020-10-29 5203 3975 1228 1228 39000. FNMA 30 YR TBA DTD 11/01/20 2.000% DUE 11/12/50 2020-10-05 2020-10-30 40202 40176 26 26 94000. FNMA 30YR TBA DTD 11/01/20 2.500% DUE 11/15/50 2020-10-06 2020-10-30 97896 98289 -393 -393 120000. FNMA 30 YR TBA DTD 11/01/20 3.000% DUE 11/15/50 2020-10-06 2020-10-30 125363 125569 -206 -206 39000. FNMA 30 YR TBA DTD 11/01/20 3.500% DUE 11/15/50 2020-10-06 2020-10-30 41166 41175 -9 -9 74000. FNMA 30 YR TBA DTD 11/01/20 4.000% DUE 11/15/50 2020-10-06 2020-10-30 79021 79059 -38 -38 59.94 FEDERAL HOME LN MTG CORP POOL #J10791 2009-12-04 2020-10-31 60 62 -2 -2 741.98 FEDERAL HOME LN MTG CORP POOL #G60567 2016-04-26 2020-10-31 742 795 -53 -53 115.47 FEDERAL HOME LN MTG CORP SER K724 CL A1 2017-01-13 2020-10-31 115 118 -3 -3 4.6 FEDERAL NATL MTG ASSN POOL #535031 1999-10-27 2020-10-31 5 5 640.51 FEDERAL NATL MTG ASSN POOL #AS0774 2014-08-08 2020-10-31 641 634 7 7 347.72 FEDERAL NATL MTG ASSN POOL #AS6135 2016-11-29 2020-10-31 348 369 -21 -21 66.76 FEDERAL NATL MTG ASSN POOL #AS6413 2015-12-17 2020-10-31 67 67 608.23 FEDERAL NATL MTG ASSN POOL #AZ0862 2015-08-05 2020-10-31 608 629 -21 -21 375.82 FEDERAL NATL MTG ASSN POOL #AZ4775 2016-03-31 2020-10-31 376 394 -18 -18 2.1 FEDERAL HOME LN MTG CORP SER 3536 CL PC 2009-10-20 2020-10-31 2 2 325.8 FEDERAL NATL MTG ASSN POOL #BC0133 2015-12-11 2020-10-31 326 337 -11 -11 677.66 FEDERAL NATL MTG ASSN POOL #BC1158 2016-03-04 2020-10-31 678 709 -31 -31 2046.46 FEDERAL NATL MTG ASSN POOL #BC4764 2019-01-08 2020-10-31 2046 1994 52 52 1025.65 FEDERAL NATL MTG ASSN POOL #BH9277 2018-05-29 2020-10-31 1026 1024 2 2 666.75 FEDERAL NATL MTG ASSN POOL #BJ1636 2018-10-11 2020-10-31 667 651 16 16 2115.72 FEDERAL NATL MTG ASSN POOL #CA0833 2017-12-06 2020-10-31 2116 2183 -67 -67 1197.49 FEDERAL NATL MTG ASSN POOL #CA2055 2018-10-01 2020-10-31 1197 1240 -43 -43 5.33 FEDERAL NATL MTG ASSN POOL #888757 2007-10-18 2020-10-31 5 5 5.04 FEDERAL NATL MTG ASSN POOL #890200 2010-02-25 2020-10-31 5 5 202.41 FEDERAL NATL MTG ASSN POOL #889389 2015-12-30 2020-10-31 202 226 -24 -24 654.52 FEDERAL NATL MTG ASSN POOL #MA3462 2018-09-06 2020-10-31 655 662 -7 -7 397.66 FEDERAL NATL MTG ASSN POOL #AD6942 2010-06-25 2020-10-31 398 422 -24 -24 323.94 WFRBS COML MTG TR 2013-C15 MTG PASS THRU CTF CL A-3 2017-11-21 2020-10-31 324 341 -17 -17 32000. UNITED STS TREAS NT DTD 09/30/20 0.250% DUE 09/30/25 2020-10-01 2020-11-05 31891 31965 -74 -74 20000. FNMA 15 YR TBA DTD 11/01/20 2.500% DUE 11/15/35 2020-10-09 2020-11-09 20791 20841 -50 -50 23000. FNMA 15 YR TBA DTD 11/01/20 3.000% DUE 11/15/35 2020-10-09 2020-11-09 24055 24100 -45 -45 1000. UNITED STS TREAS NT DTD 08/17/20 0.625% DUE 08/15/30 2020-09-03 2020-11-10 969 1000 -31 -31 6000. UNITED STS TREAS NT DTD 08/17/20 0.625% DUE 08/15/30 2020-08-06 2020-11-10 5815 5994 -179 -179 4000. UNITED STS TREAS NT DTD 08/17/20 0.625% DUE 08/15/30 2020-08-25 2020-11-10 3877 3977 -100 -100 5000. UNITED STS TREAS NT DTD 08/17/20 0.625% DUE 08/15/30 2020-08-25 2020-11-10 4841 4971 -130 -130 4000. UNITED STS TREAS NT DTD 08/17/20 0.625% DUE 08/15/30 2020-08-25 2020-11-12 3897 3977 -80 -80 176.09 WORLD OMNI AUTO RECEIVABLES TR 2017-B ASSET BACKED NT CL A-3 2017-07-25 2020-11-14 176 176 522.39 WORLD OMNI AUTO RECEIVABLES TR 2018-A ASSET BACKED NT CL A-3 2018-01-30 2020-11-14 522 522 150.89 WORLD OMNI AUTO RECEIVABLES TR 2017-A ASSET BACKED NT CL A-3 2017-04-12 2020-11-14 151 151 254.44 GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2018-1 NT CL A-3 2018-01-09 2020-11-15 254 254 1395.25 SMALL BUSINESS ADMIN GTD DEV PARTN CTF 2018-20F CL 1 2018-06-07 2020-11-15 1395 1395 215.05 ALLY AUTO RECEIVABLES TR 2017-4 ASSET BACKED NT CL A-3 2019-04-29 2020-11-16 215 213 2 2 8000. AMERICAN INTL GROUP INC SR UNSECD NT CALL 04/10/25 @100 2018-04-11 2020-11-16 8974 7903 1071 1071 2000. AMERICAN INTL GROUP INC UNSECD SR PIDI NT CALL 01/01/28 @100 2019-06-12 2020-11-16 2356 2077 279 279 6.83 JOHN DEERE OWNER TR 2017-B ASSET BACKED NT CL A-3 2017-07-11 2020-11-16 7 7 642.92 NISSAN AUTO RECEIVABLES 2017-B OWNER TR ASSET BACKED NT CL A-3 2017-08-16 2020-11-16 643 643 50000. UNITED STATES TREAS BD DTD 05/15/20 1.250% DUE 05/15/50 2020-08-25 2020-11-16 45172 48227 -3055 -3055 63000. UNITED STS TREAS NT DTD 08/17/20 0.625% DUE 08/15/30 2020-08-25 2020-11-16 61459 62636 -1177 -1177 13000. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-11-16 2020-11-18 12992 12966 26 26 565.4 VERIZON OWNER TR 2018-A NT CL A-1A 2018-10-02 2020-11-19 565 565 461.48 HONDA AUTO RECEIVABLES 2017-4 OWNER TR ASSET BACKED NT CL A-3 2017-11-22 2020-11-20 461 461 61.35 FEDERAL HOME LN MTG CORP POOL #J10791 2009-12-04 2020-11-30 61 64 -3 -3 1188.15 FEDERAL HOME LN MTG CORP POOL #G60567 2016-04-26 2020-11-30 1188 1272 -84 -84 123.25 FEDERAL HOME LN MTG CORP SER K724 CL A1 2017-01-13 2020-11-30 123 126 -3 -3 4.52 FEDERAL NATL MTG ASSN POOL #535031 1999-10-27 2020-11-30 5 5 387.7 FEDERAL NATL MTG ASSN POOL #AS0774 2014-08-08 2020-11-30 388 384 4 4 272.17 FEDERAL NATL MTG ASSN POOL #AS6135 2016-11-29 2020-11-30 272 289 -17 -17 88.76 FEDERAL NATL MTG ASSN POOL #AS6413 2015-12-17 2020-11-30 89 90 -1 -1 589.31 FEDERAL NATL MTG ASSN POOL #AZ0862 2015-08-05 2020-11-30 589 609 -20 -20 284.05 FEDERAL NATL MTG ASSN POOL #AZ4775 2016-03-31 2020-11-30 284 298 -14 -14 2.04 FEDERAL HOME LN MTG CORP SER 3536 CL PC 2009-10-20 2020-11-30 2 2 467.7 FEDERAL NATL MTG ASSN POOL #BC0133 2015-12-11 2020-11-30 468 484 -16 -16 625.27 FEDERAL NATL MTG ASSN POOL #BC1158 2016-03-04 2020-11-30 625 654 -29 -29 1498.74 FEDERAL NATL MTG ASSN POOL #BC4764 2019-01-08 2020-11-30 1499 1460 39 39 826.23 FEDERAL NATL MTG ASSN POOL #BH9277 2018-05-29 2020-11-30 826 825 1 1 1016.84 FEDERAL NATL MTG ASSN POOL #BJ1636 2018-10-11 2020-11-30 1017 992 25 25 1740.36 FEDERAL NATL MTG ASSN POOL #CA0833 2017-12-06 2020-11-30 1740 1796 -56 -56 1048.69 FEDERAL NATL MTG ASSN POOL #CA2055 2018-10-01 2020-11-30 1049 1086 -37 -37 9.31 FEDERAL NATL MTG ASSN POOL #888757 2007-10-18 2020-11-30 9 9 2.37 FEDERAL NATL MTG ASSN POOL #890200 2010-02-25 2020-11-30 2 3 -1 -1 146.26 FEDERAL NATL MTG ASSN POOL #889389 2015-12-30 2020-11-30 146 164 -18 -18 491.47 FEDERAL NATL MTG ASSN POOL #MA3462 2018-09-06 2020-11-30 491 497 -6 -6 316.03 FEDERAL NATL MTG ASSN POOL #AD6942 2010-06-25 2020-11-30 316 335 -19 -19 12000. UNITED STATES TREAS NT DTD 06/30/20 0.125% DUE 06/30/22 2020-07-21 2020-12-02 11996 11997 -1 -1 10000. UNITED STATES TREAS NT DTD 06/30/20 0.125% DUE 06/30/22 2020-07-21 2020-12-02 9997 9996 1 1 39000. FNMA 30YR TBA DTD 12/01/20 2.000% DUE 12/15/50 2020-10-30 2020-12-07 40397 40109 288 288 94000. FNMA 30YR TBA DTD 12/01/20 2.500% DUE 12/15/50 2020-10-30 2020-12-07 98450 97745 705 705 120000. FNMA 30 YR TBA DTD 12/01/20 3.000% DUE 12/15/50 2020-10-30 2020-12-07 125381 125400 -19 -19 39000. FNMA 30 YR TBA DTD 12/01/20 3.500% DUE 12/15/50 2020-10-30 2020-12-07 41098 41189 -91 -91 74000. FNMA 30 YR TBA DTD 12/01/20 4.000% DUE 12/15/50 2020-10-30 2020-12-07 78781 79067 -286 -286 2000. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-11-16 2020-12-07 1990 1995 -5 -5 8000. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-11-16 2020-12-07 7962 7979 -17 -17 20000. FNMA 15 YR TBA DTD 12/01/20 2.500% DUE 12/15/35 2020-11-09 2020-12-08 20845 20801 44 44 23000. FNMA 15 YR TBA DTD 12/01/20 3.000% DUE 12/15/35 2020-11-09 2020-12-08 24094 24067 27 27 2000. APPLE INC UNSECD SR NT CALL 08/23/45 @100 2016-02-16 2020-12-08 2863 1988 875 875 5000. GENERAL DYNAMICS CORP UNSECD SR PIDI NT C10/1/49 @100 2020-03-23 2020-12-08 6819 4927 1892 1892 9000. INTEL CORP UNSECD SR NT CALL 08/15/29 @100 2020-03-03 2020-12-08 9761 9476 285 285 2000. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-10-26 2020-12-09 1989 1998 -9 -9 4000. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-11-17 2020-12-09 3977 3995 -18 -18 165.11 WORLD OMNI AUTO RECEIVABLES TR 2017-B ASSET BACKED NT CL A-3 2017-07-25 2020-12-14 165 165 473.51 WORLD OMNI AUTO RECEIVABLES TR 2018-A ASSET BACKED NT CL A-3 2018-01-30 2020-12-14 474 473 1 1 138.01 WORLD OMNI AUTO RECEIVABLES TR 2017-A ASSET BACKED NT CL A-3 2017-04-12 2020-12-14 138 138 223.13 GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2018-1 NT CL A-3 2018-01-09 2020-12-15 223 223 15000. HUNTINGTON BANKSHARES INC SUB 2013-03-20 2020-12-15 15000 15333 -333 -333 332.37 NISSAN AUTO RECEIVABLES 2017-B OWNER TR ASSET BACKED NT CL A-3 2017-08-16 2020-12-15 332 332 1355.06 SMALL BUSINESS ADMIN GTD DEV PARTN CTF PARTN CTF SER 2017-20A 2017-01-05 2020-12-15 1355 1355 2000. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-10-03 2020-12-16 1992 2005 -13 -13 2000. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-10-25 2020-12-16 1992 2004 -12 -12 3000. DUKE ENERGY CORP NEW UNSECD SR NT CALL 03/01/46 @100 2017-05-25 2020-12-17 3486 2814 672 672 7000. DUKE ENERGY CORP NEW UNSECD SR NT CALL 3/15/29 @100 2019-06-04 2020-12-17 7926 6989 937 937 4000. DUKE ENERGY IND LLC SECD NT CALL 10/01/49 @100 2020-03-10 2020-12-17 4183 3995 188 188 530.54 VERIZON OWNER TR 2018-A NT CL A-1A 2018-10-02 2020-12-19 531 531 419.2 HONDA AUTO RECEIVABLES 2017-4 OWNER TR ASSET BACKED NT CL A-3 2017-11-22 2020-12-20 419 419 65.98 FEDERAL HOME LN MTG CORP POOL #J10791 2009-12-04 2020-12-31 66 69 -3 -3 478.28 FEDERAL HOME LN MTG CORP POOL #G60567 2016-04-26 2020-12-31 478 512 -34 -34 116.25 FEDERAL HOME LN MTG CORP SER K724 CL A1 2017-01-13 2020-12-31 116 119 -3 -3 8.88 FEDERAL NATL MTG ASSN POOL #535031 1999-10-27 2020-12-31 9 9 606.97 FEDERAL NATL MTG ASSN POOL #AS0774 2014-08-08 2020-12-31 607 601 6 6 353.96 FEDERAL NATL MTG ASSN POOL #AS6135 2016-11-29 2020-12-31 354 376 -22 -22 100.87 FEDERAL NATL MTG ASSN POOL #AS6413 2015-12-17 2020-12-31 101 102 -1 -1 523.32 FEDERAL NATL MTG ASSN POOL #AZ0862 2015-08-05 2020-12-31 523 541 -18 -18 279.17 FEDERAL NATL MTG ASSN POOL #AZ4775 2016-03-31 2020-12-31 279 293 -14 -14 2.85 FEDERAL HOME LN MTG CORP SER 3536 CL PC 2009-10-20 2020-12-31 3 3 427.37 FEDERAL NATL MTG ASSN POOL #BC0133 2015-12-11 2020-12-31 427 442 -15 -15 737.83 FEDERAL NATL MTG ASSN POOL #BC1158 2016-03-04 2020-12-31 738 772 -34 -34 1515.36 FEDERAL NATL MTG ASSN POOL #BC4764 2019-01-08 2020-12-31 1515 1477 38 38 777.79 FEDERAL NATL MTG ASSN POOL #BH9277 2018-05-29 2020-12-31 778 776 2 2 796.9 FEDERAL NATL MTG ASSN POOL #BJ1636 2018-10-11 2020-12-31 797 778 19 19 2996.24 FEDERAL NATL MTG ASSN POOL #CA0833 2017-12-06 2020-12-31 2996 3092 -96 -96 724.11 FEDERAL NATL MTG ASSN POOL #CA2055 2018-10-01 2020-12-31 724 750 -26 -26 2.5 FEDERAL NATL MTG ASSN POOL #888757 2007-10-18 2020-12-31 3 3 2.31 FEDERAL NATL MTG ASSN POOL #890200 2010-02-25 2020-12-31 2 2 110.09 FEDERAL NATL MTG ASSN POOL #889389 2015-12-30 2020-12-31 110 123 -13 -13 459.57 FEDERAL NATL MTG ASSN POOL #MA3462 2018-09-06 2020-12-31 460 465 -5 -5 118.4 FEDERAL NATL MTG ASSN POOL #AD6942 2010-06-25 2020-12-31 118 126 -8 -8 5000. UNITED STATES TREAS NT DTD 12/31/18 2.500% DUE 12/31/20 2019-01-15 2020-12-31 5000 4997 3 3 295.16 WFRBS COML MTG TR 2013-C15 MTG PASS THRU CTF CL A-3 2017-11-21 2020-12-31 295 311 -16 -16 39000. UMBS 30YR TBA DTD 01/01/21 2.000% DUE 01/15/51 2020-12-07 2021-01-05 40431 40328 103 103 2000. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-09-03 2021-01-05 1986 2007 -21 -21 2000. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-09-25 2021-01-05 1986 2006 -20 -20 2000. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-10-25 2021-01-05 1986 2004 -18 -18 4000. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-11-17 2021-01-05 3972 3995 -23 -23 94000. FNMA 30YR TBA DTD 01/01/21 2.500% DUE 01/15/51 2020-12-07 2021-01-06 98942 98289 653 653 120000. FNMA 30 YR TBA DTD 01/01/21 3.000% DUE 01/15/51 2020-12-07 2021-01-07 125803 125494 309 309 39000. FNMA 30 YR TBA DTD 01/01/21 3.500% DUE 01/15/51 2020-12-07 2021-01-07 41227 41154 73 73 74000. FNMA 30 YR TBA DTD 01/01/21 4.000% DUE 01/15/51 2020-12-07 2021-01-07 79064 78888 176 176 2000. AT&T INC UNSECD SR NT CALL 08/01/51 @100 2020-09-02 2021-01-08 1882 2003 -121 -121 10000. LOWES COS INC UNSECD SR NT C02/15/28 @100 2020-10-07 2021-01-08 9963 9993 -30 -30 2000. UNITED STATES TREAS BD DTD 08/17/20 1.375% DUE 08/15/50 2020-12-17 2021-01-08 1787 1874 -87 -87 20000. FNMA 15 YR TBA DTD 01/01/21 2.500% DUE 01/15/36 2020-12-08 2021-01-12 20920 20853 67 67 23000. FNMA 15 YR TBA DTD 01/01/21 3.000% DUE 01/15/36 2020-12-08 2021-01-12 24075 24110 -35 -35 5000. CONAGRA BRANDS INC UNSECD SR NT C5/1/38 @100 2020-10-02 2021-01-12 6513 6490 23 23 2000. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-08-15 2021-01-14 1954 2016 -62 -62 2000. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-09-06 2021-01-14 1954 2015 -61 -61 2000. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-10-06 2021-01-14 1954 2013 -59 -59 1400. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-11-16 2021-01-14 1368 1396 -28 -28 170.07 WORLD OMNI AUTO RECEIVABLES TR 2017-B ASSET BACKED NT CL A-3 2017-07-25 2021-01-14 170 170 467.92 WORLD OMNI AUTO RECEIVABLES TR 2018-A ASSET BACKED NT CL A-3 2018-01-30 2021-01-14 468 468 145.29 WORLD OMNI AUTO RECEIVABLES TR 2017-A ASSET BACKED NT CL A-3 2017-04-12 2021-01-14 145 145 15000. ALLY MASTER OWNER TR 2018-1 CL A-2 2018-02-06 2021-01-15 15000 14998 2 2 238.21 GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2018-1 NT CL A-3 2018-01-09 2021-01-15 238 238 1140.66 SMALL BUSINESS ADMIN GTD DEV PARTN CTF SER 2017-20B CL 1 2017-05-30 2021-01-15 1141 1150 -9 -9 537.45 VERIZON OWNER TR 2018-A NT CL A-1A 2018-10-02 2021-01-19 537 537 388.14 HONDA AUTO RECEIVABLES 2017-4 OWNER TR ASSET BACKED NT CL A-3 2017-11-22 2021-01-21 388 388 1400. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-11-16 2021-01-21 1369 1396 -27 -27 2600. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-11-16 2021-01-21 2543 2593 -50 -50 4000. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-11-16 2021-01-22 3920 3989 -69 -69 3000. LOCKHEED MARTIN CORP SR UNSECD NT CALL 9/1/44 @100 2017-10-18 2021-01-28 3619 3029 590 590 45.49 FEDERAL HOME LN MTG CORP POOL #J10791 2009-12-04 2021-01-31 45 47 -2 -2 470.82 FEDERAL HOME LN MTG CORP POOL #G60567 2016-04-26 2021-01-31 471 504 -33 -33 116.63 FEDERAL HOME LN MTG CORP SER K724 CL A1 2017-01-13 2021-01-31 117 119 -2 -2 8.94 FEDERAL NATL MTG ASSN POOL #535031 1999-10-27 2021-01-31 9 9 506.04 FEDERAL NATL MTG ASSN POOL #AS0774 2014-08-08 2021-01-31 506 501 5 5 211.12 FEDERAL NATL MTG ASSN POOL #AS6135 2016-11-29 2021-01-31 211 224 -13 -13 77. FEDERAL NATL MTG ASSN POOL #AS6413 2015-12-17 2021-01-31 77 78 -1 -1 434.96 FEDERAL NATL MTG ASSN POOL #AZ0862 2015-08-05 2021-01-31 435 450 -15 -15 209.88 FEDERAL NATL MTG ASSN POOL #AZ4775 2016-03-31 2021-01-31 210 220 -10 -10 2.07 FEDERAL HOME LN MTG CORP SER 3536 CL PC 2009-10-20 2021-01-31 2 2 554.77 FEDERAL NATL MTG ASSN POOL #BC0133 2015-12-11 2021-01-31 555 574 -19 -19 496.25 FEDERAL NATL MTG ASSN POOL #BC1158 2016-03-04 2021-01-31 496 519 -23 -23 1369.68 FEDERAL NATL MTG ASSN POOL #BC4764 2019-01-08 2021-01-31 1370 1335 35 35 710.39 FEDERAL NATL MTG ASSN POOL #BH9277 2018-05-29 2021-01-31 710 709 1 1 580.89 FEDERAL NATL MTG ASSN POOL #BJ1636 2018-10-11 2021-01-31 581 567 14 14 812.82 FEDERAL NATL MTG ASSN POOL #CA0833 2017-12-06 2021-01-31 813 839 -26 -26 954.47 FEDERAL NATL MTG ASSN POOL #CA2055 2018-10-01 2021-01-31 954 988 -34 -34 6.38 FEDERAL NATL MTG ASSN POOL #888757 2007-10-18 2021-01-31 6 6 3.01 FEDERAL NATL MTG ASSN POOL #890200 2010-02-25 2021-01-31 3 3 99.56 FEDERAL NATL MTG ASSN POOL #889389 2015-12-30 2021-01-31 100 111 -11 -11 371.71 FEDERAL NATL MTG ASSN POOL #MA3462 2018-09-06 2021-01-31 372 376 -4 -4 128.13 FEDERAL NATL MTG ASSN POOL #AD6942 2010-06-25 2021-01-31 128 136 -8 -8 130.92 WFRBS COML MTG TR 2013-C15 MTG PASS THRU CTF CL A-3 2017-11-21 2021-01-31 131 138 -7 -7 7000. SAN DIEGO GAS & ELEC CO SECD 1ST MTG PIDI BD SER UUU CALL 2020-03-31 2021-02-02 7656 6991 665 665 7900. UNITED STATES TREAS NT DTD 07/01/19 1.750% DUE 06/30/24 2019-06-28 2021-02-02 8309 7897 412 412 8000. UNITED STATES TREAS NT DTD 09/30/19 1.500% DUE 09/30/24 2021-02-02 2021-02-02 8362 8363 -1 -1 39000. FNMA 30 YR TBA DTD 02/01/21 3.500% DUE 02/15/51 2021-01-07 2021-02-03 41520 41291 229 229 7900. UNITED STATES TREAS NT DTD 09/30/19 1.500% DUE 09/30/24 2021-02-02 2021-02-03 8253 8258 -5 -5 5100. UNITED STATES TREAS NT DTD 09/30/19 1.500% DUE 09/30/24 2019-10-22 2021-02-03 5328 5077 251 251 7000. ABBVIE INC UNSECD SR NT CALL 10/14/23 @100 2019-04-02 2021-02-04 7610 7108 502 502 2000. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-08-30 2021-02-04 1950 2025 -75 -75 39000. FNMA 30YR TBA DTD 02/01/21 2.000% DUE 02/12/51 2021-01-05 2021-02-05 40187 40377 -190 -190 94000. FNMA 30YR TBA DTD 02/01/21 2.500% DUE 02/15/51 2021-01-06 2021-02-05 98876 98788 88 88 120000. FNMA 30 YR TBA DTD 02/01/21 3.000% DUE 02/15/51 2021-01-07 2021-02-05 126206 125925 281 281 74000. FNMA 30 YR TBA DTD 02/01/21 4.000% DUE 02/15/51 2021-01-07 2021-02-08 79492 79189 303 303 20000. FNMA 15 YR TBA DTD 02/01/21 2.500% DUE 02/15/36 2021-01-12 2021-02-09 21059 20929 130 130 23000. FNMA 15 YR TBA DTD 02/01/21 3.000% DUE 02/15/36 2021-01-12 2021-02-09 24303 24093 210 210 4000. L3HARRIS TECHNOLOGIES INC UNSECD SR NT C10/15/30 @100 2020-11-10 2021-02-10 3984 3998 -14 -14 1188.72 CNH EQUIP TR 2019-B ASSET BACKED NT CL A-3 2019-05-14 2021-02-14 1189 1188 1 1 172.57 WORLD OMNI AUTO RECEIVABLES TR 2017-B ASSET BACKED NT CL A-3 2017-07-25 2021-02-14 173 173 467.94 WORLD OMNI AUTO RECEIVABLES TR 2018-A ASSET BACKED NT CL A-3 2018-01-30 2021-02-14 468 468 137.74 WORLD OMNI AUTO RECEIVABLES TR 2017-A ASSET BACKED NT CL A-3 2017-04-12 2021-02-14 138 138 226.93 GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2018-1 NT CL A-3 2018-01-09 2021-02-15 227 227 32000. UNITED STS TREAS NT DTD 11/02/20 0.250% DUE 10/31/25 2020-11-05 2021-02-16 31635 31881 -246 -246 8000. UNITED STS TREAS NT DTD 11/02/20 0.250% DUE 10/31/25 2020-10-30 2021-02-16 7909 7949 -40 -40 5000. UNITED STATES TREAS BD DTD 08/17/20 1.375% DUE 08/15/50 2020-12-17 2021-02-17 4229 4685 -456 -456 8000. UNITED STATES TREAS BD DTD 08/17/20 1.375% DUE 08/15/50 2020-12-08 2021-02-17 6767 7476 -709 -709 10000. UNITED STATES TREAS BD DTD 08/17/20 1.375% DUE 08/15/50 2020-11-16 2021-02-17 8459 9325 -866 -866 2000. UNITED STATES TREAS BD DTD 08/17/20 1.375% DUE 08/15/50 2020-11-16 2021-02-17 1692 1865 -173 -173 2000. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-09-21 2021-02-17 1925 2024 -99 -99 2000. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-10-21 2021-02-17 1925 2021 -96 -96 20600. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-11-16 2021-02-17 19832 20546 -714 -714 1400. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-12-13 2021-02-17 1348 1395 -47 -47 2600. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-12-06 2021-02-17 2503 2587 -84 -84 4000. UNITED STS TREAS NT DTD 11/16/20 0.875% DUE 11/15/30 2020-12-11 2021-02-17 3851 3948 -97 -97 5000. GOLDMAN SACHS GROUP INC UNSECD SR GBL NT C04/23/28 @100 2020-09-22 2021-02-18 5701 5698 3 3 2000. CELGENE CORP UNSECD SR PIDI NT C2/20/47 @100 2018-02-08 2021-02-19 2484 1988 496 496 438.21 VERIZON OWNER TR 2018-A NT CL A-1A 2018-10-02 2021-02-19 438 438 16000. UNITED STS TREAS NT DTD 11/30/20 0.625% DUE 11/30/27 2020-11-30 2021-02-23 15647 16012 -365 -365 4000. UNITED STS TREAS NT DTD 02/16/21 1.125% DUE 02/15/31 2021-02-18 2021-02-25 3863 3941 -78 -78 6000. UNITED STS TREAS NT DTD 02/16/21 1.125% DUE 02/15/31 2021-02-17 2021-02-25 5795 5901 -106 -106 18000. UNITED STATES TREAS NT DTD 05/15/18 2.625% DUE 05/15/21 2019-02-01 2021-02-26 18097 18005 92 92 7000. UNITED STATES TREAS NT DTD 05/15/18 2.625% DUE 05/15/21 2018-05-17 2021-02-26 7038 6975 63 63 54.56 FEDERAL HOME LN MTG CORP POOL #J10791 2009-12-04 2021-02-28 55 57 -2 -2 1375.43 FEDERAL HOME LN MTG CORP POOL #G60567 2016-04-26 2021-02-28 1375 1473 -98 -98 139.1 FEDERAL HOME LN MTG CORP SER K724 CL A1 2017-01-13 2021-02-28 139 142 -3 -3 4.58 FEDERAL NATL MTG ASSN POOL #535031 1999-10-27 2021-02-28 5 5 361.75 FEDERAL NATL MTG ASSN POOL #AS0774 2014-08-08 2021-02-28 362 358 4 4 202.14 FEDERAL NATL MTG ASSN POOL #AS6135 2016-11-29 2021-02-28 202 215 -13 -13 78.93 FEDERAL NATL MTG ASSN POOL #AS6413 2015-12-17 2021-02-28 79 80 -1 -1 572.43 FEDERAL NATL MTG ASSN POOL #AZ0862 2015-08-05 2021-02-28 572 592 -20 -20 237.24 FEDERAL NATL MTG ASSN POOL #AZ4775 2016-03-31 2021-02-28 237 249 -12 -12 2.08 FEDERAL HOME LN MTG CORP SER 3536 CL PC 2009-10-20 2021-02-28 2 2 497.69 FEDERAL NATL MTG ASSN POOL #BC0133 2015-12-11 2021-02-28 498 515 -17 -17 468.07 FEDERAL NATL MTG ASSN POOL #BC1158 2016-03-04 2021-02-28 468 490 -22 -22 1570.55 FEDERAL NATL MTG ASSN POOL #BC4764 2019-01-08 2021-02-28 1571 1530 41 41 708.04 FEDERAL NATL MTG ASSN POOL #BH9277 2018-05-29 2021-02-28 708 707 1 1 403.52 FEDERAL NATL MTG ASSN POOL #BJ1636 2018-10-11 2021-02-28 404 394 10 10 1798.8 FEDERAL NATL MTG ASSN POOL #CA0833 2017-12-06 2021-02-28 1799 1856 -57 -57 713.09 FEDERAL NATL MTG ASSN POOL #CA2055 2018-10-01 2021-02-28 713 738 -25 -25 2.39 FEDERAL NATL MTG ASSN POOL #888757 2007-10-18 2021-02-28 2 2 2.47 FEDERAL NATL MTG ASSN POOL #890200 2010-02-25 2021-02-28 2 3 -1 -1 113.24 FEDERAL NATL MTG ASSN POOL #889389 2015-12-30 2021-02-28 113 127 -14 -14 371.01 FEDERAL NATL MTG ASSN POOL #MA3462 2018-09-06 2021-02-28 371 375 -4 -4 213.01 FEDERAL NATL MTG ASSN POOL #AD6942 2010-06-25 2021-02-28 213 226 -13 -13 14000. UNITED STS TREAS NT DTD 12/31/20 0.625% DUE 12/31/27 2020-12-31 2021-03-03 13545 13983 -438 -438 4000. UNITED STS TREAS NT DTD 12/31/20 0.625% DUE 12/31/27 2021-01-08 2021-03-03 3870 3959 -89 -89 39000. UMBS 30YR TBA DTD 03/01/21 2.000% DUE 03/15/51 2021-02-05 2021-03-05 39192 40127 -935 -935 30000. UMBS 30YR TBA DTD 03/01/21 2.000% DUE 03/15/51 2021-02-16 2021-03-05 30148 30670 -522 -522 16000. UMBS 30YR TBA DTD 03/01/21 2.000% DUE 03/15/51 2021-02-26 2021-03-05 16079 16043 36 36 94000. FNMA 30YR TBA DTD 03/01/21 2.500% DUE 03/15/51 2021-02-05 2021-03-05 97037 98715 -1678 -1678 120000. FNMA 30 YR TBA DTD 03/01/21 3.000% DUE 03/15/51 2021-02-05 2021-03-05 125372 126300 -928 -928 39000. FNMA 30 YR TBA DTD 03/01/21 3.500% DUE 03/15/51 2021-02-03 2021-03-05 41377 41501 -124 -124 74000. FNMA 30 YR TBA DTD 03/01/21 4.000% DUE 03/15/51 2021-02-08 2021-03-05 79492 79588 -96 -96 74000. FNMA 30 YR TBA DTD 03/01/21 4.000% DUE 03/15/51 2021-03-05 2021-03-05 79466 79492 -26 -26 4000. UNITED STS TREAS NT DTD 02/16/21 1.125% DUE 02/15/31 2021-02-10 2021-03-08 3828 4012 -184 -184 6000. UNITED STS TREAS NT DTD 02/16/21 1.125% DUE 02/15/31 2021-02-17 2021-03-08 5742 5901 -159 -159 23000. FNMA 15 YR TBA DTD 03/01/21 3.000% DUE 03/15/36 2021-02-09 2021-03-10 24265 24315 -50 -50 20000. FNMA 15 YR TBA DTD 03/01/21 2.500% DUE 03/15/36 2021-02-09 2021-03-11 20923 21046 -123 -123 3100. UNITED STATES TREAS BD DTD 11/30/20 1.375% DUE 11/15/40 2021-02-17 2021-03-11 2694 2823 -129 -129 19000. UNITED STS TREAS NT DTD 08/17/20 0.625% DUE 08/15/30 2020-08-25 2021-03-12 17403 18890 -1487 -1487 741.52 CNH EQUIP TR 2019-B ASSET BACKED NT CL A-3 2019-05-14 2021-03-14 742 741 1 1 1079.97 FORD CR AUTO LEASE TR 2019-B NT CL A-3 2019-07-23 2021-03-14 1080 1080 146.21 WORLD OMNI AUTO RECEIVABLES TR 2017-B ASSET BACKED NT CL A-3 2017-07-25 2021-03-14 146 146 421.96 WORLD OMNI AUTO RECEIVABLES TR 2018-A ASSET BACKED NT CL A-3 2018-01-30 2021-03-14 422 422 117.77 WORLD OMNI AUTO RECEIVABLES TR 2017-A ASSET BACKED NT CL A-3 2017-04-12 2021-03-14 118 118 200.43 GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2018-1 NT CL A-3 2018-01-09 2021-03-15 200 200 5000. UNITED STATES TREAS NT DTD 06/30/20 0.125% DUE 06/30/22 2020-07-21 2021-03-15 5002 4998 4 4 369.03 VERIZON OWNER TR 2018-A NT CL A-1A 2018-10-02 2021-03-19 369 369 3000. CONAGRA BRANDS INC UNSECD SR NT C5/1/38 @100 2018-11-01 2021-03-25 3708 2909 799 799 4000. UNITED STS TREAS NT DTD 02/16/21 1.125% DUE 02/15/31 2021-01-22 2021-03-26 3811 4118 -307 -307 82.11 FEDERAL HOME LN MTG CORP POOL #J10791 2009-12-04 2021-03-31 82 86 -4 -4 1221.53 FEDERAL HOME LN MTG CORP POOL #G60567 2016-04-26 2021-03-31 1222 1308 -86 -86 117.46 FEDERAL HOME LN MTG CORP SER K724 CL A1 2017-01-13 2021-03-31 117 120 -3 -3 14.26 FEDERAL NATL MTG ASSN POOL #535031 1999-10-27 2021-03-31 14 14 399.78 FEDERAL NATL MTG ASSN POOL #AS0774 2014-08-08 2021-03-31 400 396 4 4 421.62 FEDERAL NATL MTG ASSN POOL #AS6135 2016-11-29 2021-03-31 422 447 -25 -25 95.32 FEDERAL NATL MTG ASSN POOL #AS6413 2015-12-17 2021-03-31 95 96 -1 -1 695.65 FEDERAL NATL MTG ASSN POOL #AZ0862 2015-08-05 2021-03-31 696 719 -23 -23 260.77 FEDERAL NATL MTG ASSN POOL #AZ4775 2016-03-31 2021-03-31 261 273 -12 -12 2.09 FEDERAL HOME LN MTG CORP SER 3536 CL PC 2009-10-20 2021-03-31 2 2 454.77 FEDERAL NATL MTG ASSN POOL #BC0133 2015-12-11 2021-03-31 455 470 -15 -15 476.59 FEDERAL NATL MTG ASSN POOL #BC1158 2016-03-04 2021-03-31 477 499 -22 -22 1503.93 FEDERAL NATL MTG ASSN POOL #BC4764 2019-01-08 2021-03-31 1504 1465 39 39 737.28 FEDERAL NATL MTG ASSN POOL #BH9277 2018-05-29 2021-03-31 737 736 1 1 784.2 FEDERAL NATL MTG ASSN POOL #BJ1636 2018-10-11 2021-03-31 784 765 19 19 909.64 FEDERAL NATL MTG ASSN POOL #CA0833 2017-12-06 2021-03-31 910 939 -29 -29 1169.49 FEDERAL NATL MTG ASSN POOL #CA2055 2018-10-01 2021-03-31 1169 1211 -42 -42 3.02 FEDERAL NATL MTG ASSN POOL #888757 2007-10-18 2021-03-31 3 3 2.54 FEDERAL NATL MTG ASSN POOL #890200 2010-02-25 2021-03-31 3 3 123.37 FEDERAL NATL MTG ASSN POOL #889389 2015-12-30 2021-03-31 123 138 -15 -15 519.76 FEDERAL NATL MTG ASSN POOL #MA3462 2018-09-06 2021-03-31 520 525 -5 -5 387.7 FEDERAL NATL MTG ASSN POOL #AD6942 2010-06-25 2021-03-31 388 411 -23 -23 1992.31 JPMBB COML MTG SEC SER 2013-C14 CL A4 2017-06-12 2021-03-31 1992 2152 -160 -160 454.29 WFRBS COML MTG TR 2013-C15 MTG PASS THRU CTF CL A-3 2017-11-21 2021-03-31 454 478 -24 -24 10000. CONSOLIDATED EDISON CO NY INC UNSECD SR NT CALL 11/15/48 @100 2019-05-06 2021-04-06 11293 9997 1296 1296 85000. FNMA 30 YR TBA DTD 04/01/21 2.000% DUE 04/15/51 2021-03-05 2021-04-07 85276 85226 50 50 94000. FNMA 30YR TBA DTD 04/01/21 2.500% DUE 04/15/51 2021-03-05 2021-04-07 96827 96820 7 7 120000. FNMA 30 YR TBA DTD 04/01/21 3.000% DUE 04/15/51 2021-03-05 2021-04-07 125292 125438 -146 -146 39000. FNMA 30 YR TBA DTD 04/01/21 3.500% DUE 04/15/51 2021-03-05 2021-04-07 41220 41430 -210 -210 74000. FNMA 30 YR TBA DTD 04/01/21 4.000% DUE 04/15/51 2021-03-05 2021-04-07 79313 79573 -260 -260 20000. FNMA 15 YR TBA DTD 04/01/21 2.500% DUE 04/15/36 2021-03-11 2021-04-13 20881 20922 -41 -41 23000. FNMA 15 YR TBA DTD 04/01/21 3.000% DUE 04/15/36 2021-03-10 2021-04-13 24266 24279 -13 -13 2000. DTE ENERGY CO UNSECD SR NT CALL 7/1/26 @100 2016-09-06 2021-04-13 2128 2003 125 125 10000. DTE ENERGY CO UNSECD SR NT CALL 7/1/26 @100 2017-05-25 2021-04-13 10640 9546 1094 1094 860.08 CNH EQUIP TR 2019-B ASSET BACKED NT CL A-3 2019-05-14 2021-04-14 860 860 1379.71 FORD CR AUTO LEASE TR 2019-B NT CL A-3 2019-07-23 2021-04-14 1380 1379 1 1 189.79 WORLD OMNI AUTO RECEIVABLES TR 2017-B ASSET BACKED NT CL A-3 2017-07-25 2021-04-14 190 190 510.13 WORLD OMNI AUTO RECEIVABLES TR 2018-A ASSET BACKED NT CL A-3 2018-01-30 2021-04-14 510 510 149.06 WORLD OMNI AUTO RECEIVABLES TR 2017-A ASSET BACKED NT CL A-3 2017-04-12 2021-04-14 149 149 228.5 GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2018-1 NT CL A-3 2018-01-09 2021-04-15 229 228 1 1 1689.65 SMALL BUSINESS ADMIN GTD DEV PARTN CTF SER 2017-20E CL 1 2017-05-25 2021-04-15 1690 1704 -14 -14 4000. UNITED STS TREAS NT DTD 02/16/21 1.125% DUE 02/15/31 2021-01-08 2021-04-15 3840 4127 -287 -287 8000. UNITED STS TREAS NT DTD 02/16/21 1.125% DUE 02/15/31 2021-02-17 2021-04-15 7703 7868 -165 -165 9000. UNITED STS TREAS NT DTD 02/01/21 0.375% DUE 01/31/26 2021-01-29 2021-04-19 8819 8976 -157 -157 419.5 VERIZON OWNER TR 2018-A NT CL A-1A 2018-10-02 2021-04-19 420 420 63.58 FEDERAL HOME LN MTG CORP POOL #J10791 2009-12-04 2021-04-30 64 66 -2 -2 633.27 FEDERAL HOME LN MTG CORP POOL #G60567 2016-04-26 2021-04-30 633 678 -45 -45 125.18 FEDERAL HOME LN MTG CORP SER K724 CL A1 2017-01-13 2021-04-30 125 128 -3 -3 9.55 FEDERAL NATL MTG ASSN POOL #535031 1999-10-27 2021-04-30 10 10 477.13 FEDERAL NATL MTG ASSN POOL #AS0774 2014-08-08 2021-04-30 477 472 5 5 293.55 FEDERAL NATL MTG ASSN POOL #AS6135 2016-11-29 2021-04-30 294 312 -18 -18 92.51 FEDERAL NATL MTG ASSN POOL #AS6413 2015-12-17 2021-04-30 93 93 557.06 FEDERAL NATL MTG ASSN POOL #AZ0862 2015-08-05 2021-04-30 557 576 -19 -19 260.03 FEDERAL NATL MTG ASSN POOL #AZ4775 2016-03-31 2021-04-30 260 273 -13 -13 2.49 FEDERAL HOME LN MTG CORP SER 3536 CL PC 2009-10-20 2021-04-30 2 3 -1 -1 456.65 FEDERAL NATL MTG ASSN POOL #BC0133 2015-12-11 2021-04-30 457 472 -15 -15 484.76 FEDERAL NATL MTG ASSN POOL #BC1158 2016-03-04 2021-04-30 485 507 -22 -22 1140.22 FEDERAL NATL MTG ASSN POOL #BC4764 2019-01-08 2021-04-30 1140 1111 29 29 550.45 FEDERAL NATL MTG ASSN POOL #BH9277 2018-05-29 2021-04-30 550 549 1 1 249.23 FEDERAL NATL MTG ASSN POOL #BJ1636 2018-10-11 2021-04-30 249 243 6 6 589.23 FEDERAL NATL MTG ASSN POOL #CA0833 2017-12-06 2021-04-30 589 608 -19 -19 801.7 FEDERAL NATL MTG ASSN POOL #CA2055 2018-10-01 2021-04-30 802 830 -28 -28 2.41 FEDERAL NATL MTG ASSN POOL #888757 2007-10-18 2021-04-30 2 2 8.42 FEDERAL NATL MTG ASSN POOL #890200 2010-02-25 2021-04-30 8 9 -1 -1 73.97 FEDERAL NATL MTG ASSN POOL #889389 2015-12-30 2021-04-30 74 83 -9 -9 389.13 FEDERAL NATL MTG ASSN POOL #MA3462 2018-09-06 2021-04-30 389 393 -4 -4 22.83 FEDERAL NATL MTG ASSN POOL #AD6942 2010-06-25 2021-04-30 23 24 -1 -1 356.9 WFRBS COML MTG TR 2013-C15 MTG PASS THRU CTF CL A-3 2017-11-21 2021-04-30 357 376 -19 -19 4000. UNITED STATES TREAS NT DTD 01/31/20 1.500% DUE 01/31/27 2020-02-28 2021-05-04 4114 4103 11 11 9000. UNITED STATES TREAS NT DTD 06/01/20 0.500% DUE 05/31/27 2020-05-29 2021-05-04 8692 9006 -314 -314 13000. UNITED STS TREAS NT DTD 09/30/20 0.375% DUE 09/30/27 2020-10-01 2021-05-04 12373 12920 -547 -547 85000. UMBS 30YR TBA DTD 05/01/21 2.000% DUE 05/15/51 2021-04-07 2021-05-06 85983 85133 850 850 27000. FNMA 30YR TBA DTD 05/01/21 2.500% DUE 05/15/51 2021-05-04 2021-05-06 28059 28023 36 36 67000. FNMA 30YR TBA DTD 05/01/21 2.500% DUE 05/15/51 2021-04-07 2021-05-06 69628 68874 754 754 27000. FNMA 30YR TBA DTD 05/01/21 2.500% DUE 05/15/51 2021-04-07 2021-05-06 28067 27755 312 312 120000. FNMA 30 YR TBA DTD 05/01/21 3.000% DUE 05/15/51 2021-04-07 2021-05-06 125709 125325 384 384 39000. FNMA 30 YR TBA DTD 05/01/21 3.500% DUE 05/15/51 2021-04-07 2021-05-06 41383 41267 116 116 74000. FNMA 30 YR TBA DTD 05/01/21 4.000% DUE 05/15/51 2021-04-07 2021-05-06 79186 79434 -248 -248 11000. AMAZON COM INC SR UNSECD NT C5/22/27 @100 2018-08-17 2021-05-10 12124 10648 1476 1476 9747.292 AQR LONG-SHORT EQUITY FUND CL I 2019-11-05 2021-05-11 118332 108000 10332 10332 7627.907 AQR LONG-SHORT EQUITY FUND CL I 2019-08-02 2021-05-11 92603 82000 10603 10603 1032.807 AQR MANAGED FUTURES STRATEGY FUND CL I 2019-08-02 2021-05-11 8500 9347 -847 -847 7580.3 CAMBIAR INTERNATIONAL EQUITY FUND INSTL 2016-08-23 2021-05-11 216418 185784 30634 30634 2659.714 CAMBIAR INTERNATIONAL EQUITY FUND INSTL 2017-02-15 2021-05-11 75935 65000 10935 10935 5465.288 ARBITRAGE FUND CL I 2019-11-05 2021-05-11 74055 74000 55 55 4023.845 ARBITRAGE FUND CL I 2019-08-02 2021-05-11 54523 54000 523 523 11921.748 BAIRD MIDCAP FUND INSTL CL SHS 2019-01-07 2021-05-11 345611 214591 131020 131020 21232.682 BAIRD MIDCAP FUND INSTL CL SHS 2014-10-02 2021-05-11 615535 318490 297045 297045 2680. ISHARES RUSSELL MID-CAP ETF 2017-05-19 2021-05-11 205992 126465 79527 79527 4806. ISHARES RUSSELL 1000 VALUE ETF 2019-01-14 2021-05-11 770350 551149 219201 219201 7153. ISHARES RUSSELL 1000 VALUE ETF 2017-05-19 2021-05-11 1146549 815882 330667 330667 801. ISHARES RUSSELL 1000 GROWTH ETF 2019-01-07 2021-05-11 199636 106876 92760 92760 2142. ISHARES RUSSELL 1000 GROWTH ETF 2014-12-04 2021-05-11 533859 207624 326235 326235 1912. ISHARES RUSSELL 1000 GROWTH ETF 2014-05-12 2021-05-11 476535 167396 309139 309139 99. ISHARES RUSSELL 2000 GROWTH INDEX FUND 2019-04-23 2021-05-11 28275 19973 8302 8302 451. ISHARES RUSSELL 2000 GROWTH INDEX FUND 2019-01-07 2021-05-11 128809 79025 49784 49784 143. ISHARES RUSSELL 2000 GROWTH INDEX FUND 2017-02-15 2021-05-11 40842 22992 17850 17850 1028. ISHARES RUSSELL 2000 GROWTH INDEX FUND 2014-04-02 2021-05-11 293606 142431 151175 151175 1133. ISHARES MSCI EAFE GROWTH ETF 2014-01-07 2021-05-11 117685 79915 37770 37770 519. ISHARES MSCI EAFE GROWTH ETF 2014-11-06 2021-05-11 53909 34990 18919 18919 1124. ISHARES MSCI EAFE GROWTH ETF 2017-02-15 2021-05-11 116750 74999 41751 41751 502. ISHARES MSCI EAFE GROWTH ETF 2016-03-08 2021-05-11 52143 32054 20089 20089 325.397 LEGG MASON BW ABSOLUTE RETURN OPPORTUNITIES FUND CL I 2019-11-05 2021-05-11 4100 3823 277 277 102.71 MFS VALUE FUND CL R5 2017-02-15 2021-05-11 5293 3865 1428 1428 16068.593 MFS VALUE FUND CL R5 2012-07-17 2021-05-11 828015 386336 441679 441679 14758.875 PIMCO HIGH YIELD FD INSTL CL 2012-04-20 2021-05-11 133273 135897 -2624 -2624 1567.749 PIMCO HIGH YIELD FD INSTL CL 2018-02-01 2021-05-11 14157 13960 197 197 620.767 PIMCO HIGH YIELD FD INSTL CL 2019-04-23 2021-05-11 5606 5492 114 114 147.33 PIMCO UNCONSTRAINED BD FUND INSTL CL 2019-08-02 2021-05-11 1600 1593 7 7 2310.127 BOSTON PARTNERS LONG/SHORT RESH FUND INSTL CL 2019-11-05 2021-05-11 37955 36500 1455 1455 1763.553 BOSTON PARTNERS LONG/SHORT RESH FUND INSTL CL 2019-08-02 2021-05-11 28975 27000 1975 1975 1324. VANGUARD FTSE EMERGING MKTS ETF 2019-04-23 2021-05-11 68856 58060 10796 10796 1409. VANGUARD FTSE EMERGING MKTS ETF 2013-08-13 2021-05-11 73277 56631 16646 16646 1141. VANGUARD FTSE EMERGING MKTS ETF 2014-01-07 2021-05-11 59339 45026 14313 14313 654. VANGUARD FTSE EMERGING MKTS ETF 2017-02-15 2021-05-11 34012 25699 8313 8313 2151.199 VICTORY SYCAMORE SM CO OPPORTUNITY FUND CL R6 2017-02-15 2021-05-11 122726 96203 26523 26523 957.769 VICTORY SYCAMORE SM CO OPPORTUNITY FUND CL R6 2019-04-23 2021-05-11 54641 42000 12641 12641 2918.486 VICTORY SYCAMORE SM CO OPPORTUNITY FUND CL R6 2019-01-07 2021-05-11 166500 113000 53500 53500 551.87 VICTORY SYCAMORE SM CO OPPORTUNITY FUND CL R6 2016-03-08 2021-05-11 31484 19499 11985 11985 6159.018 VICTORY SYCAMORE SM CO OPPORTUNITY FUND CL R6 2012-08-17 2021-05-11 351372 201502 149870 149870 4448.288 VICTORY SYCAMORE SM CO OPPORTUNITY FUND CL R6 2012-10-16 2021-05-11 253775 145000 108775 108775 148.471 VIRTUS CEREDEX MID CAP VALUE EQUITY FUND CL R6 2017-02-15 2021-05-11 2166 2149 17 17 5542.132 VIRTUS CEREDEX MID CAP VALUE EQUITY FUND CL R6 2017-10-10 2021-05-11 80860 75000 5860 5860 4604.627 VIRTUS CEREDEX MID CAP VALUE EQUITY FUND CL R6 2018-02-01 2021-05-11 67182 60000 7182 7182 38220.213 VIRTUS CEREDEX MID CAP VALUE EQUITY FUND CL R6 2012-04-25 2021-05-11 557633 420459 137174 137174 20000. FNMA 15 YR TBA DTD 05/01/21 2.500% DUE 05/15/36 2021-04-13 2021-05-13 20879 20877 2 2 23000. FNMA 15 YR TBA DTD 05/01/21 3.000% DUE 05/15/36 2021-04-13 2021-05-13 24204 24287 -83 -83 359.32 CNH EQUIP TR 2019-B ASSET BACKED NT CL A-3 2019-05-14 2021-05-14 359 359 1441.78 FORD CR AUTO LEASE TR 2019-B NT CL A-3 2019-07-23 2021-05-14 1442 1442 158.14 WORLD OMNI AUTO RECEIVABLES TR 2017-B ASSET BACKED NT CL A-3 2017-07-25 2021-05-14 158 158 454.68 WORLD OMNI AUTO RECEIVABLES TR 2018-A ASSET BACKED NT CL A-3 2018-01-30 2021-05-14 455 455 208.27 GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2018-1 NT CL A-3 2018-01-09 2021-05-15 208 208 44000. UNITED STATES TREAS NT DTD 05/15/18 2.625% DUE 05/15/21 2018-05-17 2021-05-15 44000 43844 156 156 47.99 WORLD OMNI AUTO RECEIVABLES TR 2017-A ASSET BACKED NT CL A-3 2017-04-12 2021-05-17 48 48 20545.81 SMALL BUSINESS ADMIN GTD DEV PARTN CTF 2018-20F CL 1 2018-06-07 2021-05-19 22555 20546 2009 2009 3000. UNITED STS TREAS NT DTD 02/16/21 1.125% DUE 02/15/31 2021-02-17 2021-05-19 2851 2951 -100 -100 6000. UNITED STS TREAS NT DTD 02/16/21 1.125% DUE 02/15/31 2021-02-21 2021-05-19 5701 5887 -186 -186 6000. UNITED STS TREAS NT DTD 02/16/21 1.125% DUE 02/15/31 2021-03-04 2021-05-19 5701 5835 -134 -134 2000. UNITED STS TREAS NT DTD 02/16/21 1.125% DUE 02/15/31 2021-03-12 2021-05-19 1900 1910 -10 -10 353.18 VERIZON OWNER TR 2018-A NT CL A-1A 2018-10-02 2021-05-19 353 353 2000. AEP TEX INC UNSECD SR NT SER H CALL 07/15/49 @100 2020-03-10 2021-05-26 2003 2224 -221 -221 5000. AEP TEX INC UNSECD SR NT SER H CALL 07/15/49 @100 2019-12-03 2021-05-26 5007 4977 30 30 2000. COMCAST CORP NEW UNSECD SR NT CALL 2/15/47 @100 2018-03-12 2021-05-26 2263 1864 399 399 40.87 FEDERAL HOME LN MTG CORP POOL #J10791 2009-12-04 2021-05-31 41 43 -2 -2 1042.44 FEDERAL HOME LN MTG CORP POOL #G60567 2016-04-26 2021-05-31 1042 1116 -74 -74 5633.55 FEDERAL HOME LN MTG CORP SER K724 CL A1 2017-01-13 2021-05-31 5634 5746 -112 -112 9.81 FEDERAL NATL MTG ASSN POOL #535031 1999-10-27 2021-05-31 10 10 193.34 FEDERAL NATL MTG ASSN POOL #AS0774 2014-08-08 2021-05-31 193 191 2 2 314.51 FEDERAL NATL MTG ASSN POOL #AS6135 2016-11-29 2021-05-31 315 334 -19 -19 47.43 FEDERAL NATL MTG ASSN POOL #AS6413 2015-12-17 2021-05-31 47 48 -1 -1 320.03 FEDERAL NATL MTG ASSN POOL #AZ0862 2015-08-05 2021-05-31 320 331 -11 -11 177.98 FEDERAL NATL MTG ASSN POOL #AZ4775 2016-03-31 2021-05-31 178 187 -9 -9 99.03 FEDERAL HOME LN MTG CORP SER 3536 CL PC 2009-10-20 2021-05-31 99 103 -4 -4 626.82 FEDERAL NATL MTG ASSN POOL #BC0133 2015-12-11 2021-05-31 627 648 -21 -21 423.69 FEDERAL NATL MTG ASSN POOL #BC1158 2016-03-04 2021-05-31 424 443 -19 -19 795.91 FEDERAL NATL MTG ASSN POOL #BC4764 2019-01-08 2021-05-31 796 776 20 20 409.06 FEDERAL NATL MTG ASSN POOL #BH9277 2018-05-29 2021-05-31 409 408 1 1 737.33 FEDERAL NATL MTG ASSN POOL #BJ1636 2018-10-11 2021-05-31 737 720 17 17 971.76 FEDERAL NATL MTG ASSN POOL #CA0833 2017-12-06 2021-05-31 972 1003 -31 -31 799.59 FEDERAL NATL MTG ASSN POOL #CA2055 2018-10-01 2021-05-31 800 828 -28 -28 2.41 FEDERAL NATL MTG ASSN POOL #888757 2007-10-18 2021-05-31 2 2 2.48 FEDERAL NATL MTG ASSN POOL #890200 2010-02-25 2021-05-31 2 3 -1 -1 87.36 FEDERAL NATL MTG ASSN POOL #889389 2015-12-30 2021-05-31 87 98 -11 -11 446.62 FEDERAL NATL MTG ASSN POOL #MA3462 2018-09-06 2021-05-31 447 451 -4 -4 113.85 FEDERAL NATL MTG ASSN POOL #AD6942 2010-06-25 2021-05-31 114 121 -7 -7 278.91 JPMBB COML MTG SEC SER 2013-C14 CL A4 2017-06-12 2021-05-31 279 301 -22 -22 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN 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DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 CAPITAL GAIN DIVIDENDS P 93790 3324857 50082 0 50082 0 50082 5788 0 44312 50100 0 18 18 0 false false false false false false false true true MA true false false false false true BANK OF AMERICA NA 8888663275 PO BOX 1802 PROVIDENCE RI 029011802 false false false false true false false false false false false false false false false false false false false false false false BANK OF AMERICA N A 225 FRANKLIN STREET BOSTON MA 02110 TRUSTEE 1 118420 NONE 0 NONE 0 NONE NONE 15514607 901052 0 16415659 0 0 16415659 246235 16169424 808471 808471 50082 50082 758389 0 758389 0 758389 740010 0 0 0 0 740010 0 740010 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WASHINGTON ST FLOOR 6 ROXBURY MA 02119 N/A PC UNRESTRICTED GENERAL 10000 RESPOND INC PO BOX 555 SOMERVILLE MA 02143 N/A PC UNRESTRICTED GENERAL 15000 654000 14 239952 18 3324857 EXCISE TAX REFUND 1 2767 OID INCOME ON USGI 1 1939 3569515 3569515 false false false false false false false false false false TAX PREPARATION FEE - BOA 1250 750 500 FEDERAL FOOTNOTE PART VIII LIST OF OFFICERS AND DIRECTORS THE COMPENSATION SHOWN ON THE RETURN THAT IS PAID TO BANK OF AMERICA, N.A. AS CORPORATE TRUSTEE IS NOT CALCULATED BASED UPON AN HOURLY RATE FOR THE TIME SPENT BY THE TRUSTEE; RATHER, BANK OF AMERICA'S COMPENSATION AS CORPORATE TRUSTEE IS CALCULATED USING A MARKET VALUE FEE SCHEDULE. THE TRUST OFFICER'S TIME SPENT PERFORMING ADMINISTRATIVE RESPONSIBILITIES FOR THIS FOUNDATION AVERAGES ONE HOUR PER WEEK. IN ADDITION, TIME IS SPENT BY OTHER STAFF MEMBERS FOR RECORDKEEPING, INVESTMENT MANAGEMENT, INCOME COLLECTION, RENDERING STATEMENTS AND ACCOUNTINGS, REGULATORY REPORTING, REGULATORY COMPLIANCE, AND TAX SERVICES. 464287614 ISHARES RUSSELL 1000 407633 1192588 464287648 ISHARES RUSSELL 2000 242171 615957 464288885 ISHARES MSCI EAFE GR 921943858 VANGUARD FTSE DEVELO 760312 1025964 922042858 VANGUARD FTSE EMERGI 160128 219561 057071813 BAIRD MIDCAP FUND IN 552983694 MFS VALUE FUND CL I 92646A815 VICTORY SMALL CO OPP 693390841 PIMCO HIGH YIELD FD 22544R305 CREDIT SUISSE COMMOD 763891 699590 00206RBK7 AT&T INC 037833BX7 APPLE INC 075887BG3 BECTON DICKINSON & C 1942 2401 125896BP4 CMS ENERGY CORP UNSE 2990 3287 202795JG6 COMMONWEALTH EDISON 2977 3574 25746UCE7 DOMINION RES INC VA 2996 3328 3128PP2Y8 FEDERAL HOME LN MTG 1298 1305 31335ATY4 FEDERAL HOME LN MTG 18039 18390 31384VLL4 FEDERAL NATL MTG ASS 389 438 3138W92G4 FEDERAL NATL MTG ASS 11601 12484 3138WGDT8 FEDERAL NATL MTG ASS 3904 4078 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11097 98162EAC1 WORLD OMNI AUTO RECE 92837F458 VIRTUS CEREDEX MID C 00206RDS8 AT&T INC 02005AGP7 ALLY MASTER OWNER TR 02007FAC9 ALLY AUTO RECEIVABLE 026874DD6 AMERICAN INTL GROUP 035240AL4 ANHEUSER-BUSCH INBEV 3969 4543 11134LAH2 BROADCOM CORP/BROADC 125896BM1 CMS ENERGY CORP 3073 3231 14041NFQ9 CAPITAL ONE MULTI-AS 14997 15407 14149YBM9 CARDINAL HEALTH INC 2765 3304 151020AZ7 CELGENE CORP 172967LS8 CITIGROUP INC 15157 16494 17325GAB2 CITIGROUP COML MTG 2 14946 15081 186108CE4 CLEVELAND ELEC ILLUM 3547 3736 20030NBZ3 COMCAST CORP NEW 25470DAR0 DISCOVERY COMMUNICAT 29103DAM8 EMERA US FIN LP 5687 5731 3136AY6U2 FEDERAL NATL MTG ASS 30357 32132 3140Q74T1 FEDERAL NATL MTG ASS 26240 26996 31428XBE5 FEDEX CORP 3229 3624 31428XBQ8 FEDEX CORP 5521 6618 34528QFU3 FORD CR FLOORPLAN MA 14996 15438 36164QNA2 GE CAP INTL FDG CO 8085 9326 36255PAD2 GM FINL CONSUMER AUT 150 150 43813FAC7 HONDA AUTO RECEIVABL 46638UAC0 J P MORGAN CHASE COM 11229 11139 46640LAD4 JPMBB COML MTG SEC 8650 8427 476556CX1 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912828W71 UNITED STATES TREAS 18898 19993 912828Y61 UNITES STTES TREAS N 17935 19003 913017DD8 UNITED TECHNOLOGIES 1997 2232 92343VEN0 VERIZON COMMUNICATIO 7059 7628 92348XAA3 VERIZON OWNER TR 201 1787 1803 96949LAC9 WILLIAMS PARTNERS LP 1898 2358 00203H446 AQR LONG-SHORT EQUIT 00203H859 AQR MANAGED FUTURES 122153 116204 03875R205 ARBITRAGE FUND CL I 09250J734 BLACKROCK EVENT DRIV 188000 193433 64128R608 NEUBERGER BERMAN LON 196700 230964 74925K581 BOSTON PARTNERS LONG 09260C604 BLACKROCK GLOBAL LON 64000 64701 72201M487 PIMCO UNCONSTRAINED 127407 128440 95768D400 WESTERN ASSET MACRO 66200 64583 524686672 LEGG MASON BW ABSOLU 59177 64607 00769G543 CAMBIAR INTERNATIONA 589509108 THE MERGER FD 188000 193643 00108WAK6 AEP TEX INC UNSECD 026874DK0 AMERICAN INTL GROUP 8296 9107 031162CS7 AMGEN INC 4998 5061 037833DW7 APPLE INC 4928 4627 05492TBP4 BARCLAYS COMMERCIAL 11330 11494 06406RAN7 BANK NEW YORK MELLON 6997 7219 075887BV0 BECTON DICKINSON & C 12497 12914 08161NAE7 BENCHMARK 2020-B16 M 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6037 036752AP8 ANTHEM INC 9962 10192 04636NAB9 ASTRAZENECA FIN LLC 1998 2003 072863AH6 BAYLOR SCOTT & WHITE 7000 6744 09661RAD3 BMW VEH OWNER TR 202 7999 8030 097023DB8 BOEING CO 13997 14741 10373QBL3 BP CAP MKTS AMER INC 11484 11068 11135FBD2 BROADCOM INC 15345 15016 126650DQ0 CVS HEALTH CORP 9999 9535 136385AE1 CANADIAN NAT RES LTD 6401 6491 14448CAQ7 CARRIER GLOBAL CORP 11718 11304 166756AV8 CHEVRON U S A INC 1470 2601 29379VBX0 ENTERPRISE PRODS OPE 7480 7292 30161NAU5 EXELON CORP 15344 15279 31620MBS4 FIDELITY NATL INFO S 15908 15731 41284NAC4 HARLEY-DAVIDSON MOTO 4999 5003 44933LAC7 HYUNDAI AUTO RECEIVA 4999 5007 46647PCC8 JPMORGAN CHASE & CO 4000 4038 502431AN9 L3HARRIS TECHNOLOGIE 6997 6649 548661DX2 LOWES COS INC 4996 4831 58769EAC2 MERCEDES BENZ FINL S 2000 2004 58769VAC4 MERCEDES-BENZ AUTO R 9999 10048 61769JBA8 MORGAN STANLEY CAP I 16577 16408 61772BAB9 MORGAN STANLEY 9000 9078 646140DR1 NEW JERSEY ST TPK AU 10000 9890 64966QRM4 NEW YORK N Y 5000 4978 65339KBU3 NEXTERA ENERGY CAP H 5000 5025 68389XCE3 ORACLE CORP 8239 8201 80285WAD9 SANTANDER DRIVE AUT 5000 5010 842400GN7 SOUTHERN CALIF EDISO 15477 15340 85440KAC8 STANFORD UNIV CALIF 4000 4009 872540AW9 TJX COS INC NEW 12984 12310 902494BH5 TYSON FOODS INC 6497 6441 912810SN9 UNITED STATES TREAS 50103 40424 912810SP4 UNITED STATES TREAS 52388 44973 912810SQ2 UNITED STATES TREAS 3959 3329 912810SS8 UNITED STATES TREAS 8501 8570 912810ST6 UNITED STATES TREAS 45129 43374 9128286Z8 UNITED STATES TREAS 13063 13673 912828XT2 UNITED STATES TREAS 23049 24157 912828ZT0 UNITED STATES TREAS 21901 21727 912828ZW3 UNITED STATES TREAS 4990 4933 912828ZX1 UNITED STATES TREAS 27990 28010 91282CAB7 UNITED STS TREAS NT 3003 2957 91282CAM3 UNITED STS TREAS NT 29962 29496 91282CAT8 UNITED STS TREAS NT 19863 19635 91282CAY7 UNITED STS TREAS NT 2001 1932 91282CAZ4 UNITED STS TREAS NT 41027 40428 91282CBC4 UNITED STS TREAS NT 32025 31520 91282CBH3 UNITED STS TREAS NT 9974 9836 91282CBQ3 UNITED STS TREAS NT 12771 12851 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