JRB STABLE VALUE INTEREST FUNDPortfolio (before fees) 1.37 5.31 3.39 2.60 2.27 Blended Benchmark1...

JRB STABLE VALUE INTEREST FUND

SECOND QUARTER 2020 PORTFOLIO REVIEW

STABLE VALUE PORTFOLIO REVIEW - JRB STABLE VALUE INTEREST FUND

Second Quarter 2020

GALLIARD CONTACTS

Client Relationship Team

Jaime Morgan Senior Director 612.667.0856 [email protected]

Tim Noel

Associate Director 612.667.5513 [email protected]

Additional Contact(s)

Mike Norman Senior Managing Principal 612.667.3219 [email protected]

Galliard Client Service

612.667.3220 [email protected]

Stable Value Audit Support

Galliard Stable Value Audit Team [email protected]

TABLE OF CONTENTS

Stable Value Portfolio Review - JRB Stable Value Interest Fund ..................................................................... 3

Investment Performance ............................................................................................................................ 4

Portfolio Characteristics ............................................................................................................................. 5

Transactions .............................................................................................................................................. 10

Portfolio Review - JRB Stable Value Interest Fund Short/Intermediate Portfolio ......................................... 11

Investment Performance & Portfolio Characteristics ............................................................................ 12

Transactions .............................................................................................................................................. 14

Holdings ..................................................................................................................................................... 21

Market Review ..................................................................................................................................................... 62

Appendix .............................................................................................................................................................. 66

Calendar Year Performance & Guideline Compliance ........................................................................... 67

Total Annual Fund Operating Expenses ................................................................................................. 69

Glossary of Terms ..................................................................................................................................... 70

The information contained in this report is for informational purposes only. It is intended to provide a summary of portfolio performance and characteristics, and an accounting based view of transactions and holdings. This is a standardized report and is not intended to be used for compliance purposes. Individual portfolio compliance requirements may not be captured in this report.


Second Quarter 2020

1: Returns for periods of less than one year are not annualized. 2: Returns are net of all fees, including book value contract fees, Galliard investment management fees, and, if applicable, external manager fees, Wells Fargo collective fund administrative fees, and plan administrative reimbursement. 3: Performance inception: June 1, 2012. 4: Hueler Pooled Fund Universe returns are before inv. Mgmt. fees. Universe consists of 16 funds for the quarter, YTD, 1,2,3 and 5 year periods and 14 funds for the 10 year period. 5: May not add due to rounding.

ANNUALIZED INVESTMENT PERFORMANCE AS OF 6/30/201

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3 MO YTD 1 YR 3 YR 5 YR Since Inception

3 Mo.

YTD

1 Yr.

3 Yr.

5 Yr. Since

Inception3

Portfolio (net of all fees - NAV level)2 0.57 1.15 2.41 2.24 2.04 1.93

3 Year Constant Maturity Treasury 0.06 0.34 1.14 1.91 1.60 1.25

Hueler Pooled Fund Universe Average4 0.57 1.17 2.45 2.31 2.11 2.01

Value Added (net of all fees - NAV level)5 0.51 0.82 1.27 0.33 0.44 0.68


Second Quarter 2020

1: Average holdings quality of the contracts and other book value assets in the portfolio. The Weighted Average Quality of the portfolio has NOT been assessed by a nationally recognized statistical rating organization. The Weighted Average Quality shown represents an average quality of the individual holdings' Composite Ratings, as rated by S&P, Moody's and Fitch. 2: Average holdings quality of the underlying assets of the portfolio. The Weighted Average Quality of the portfolio has NOT been assessed by a nationally recognized statistical rating organization. The Weighted Average Quality shown represents an average quality of the individual holdings' Composite Ratings, as rated by S&P, Moody's and Fitch. 3: Blended Yield is net of all fees, including book value contract fees, Galliard investment management fees, and, if applicable, external manager fees, Wells Fargo collective fund administrative fees, and plan administrative reimbursement. 4: Includes Receivables and Payables. 5: Total % of portfolio may not add to 100% due to rounding.

JRB STABLE VALUE INTEREST FUND

ACCOUNT SUMMARY

Benchmark 3 Year Constant Maturity Treasury

Galliard Inception Date May 30, 2012

Net Asset Value $197,391,801

HISTORICAL FUND ASSETS

$

$50

$100

$150

$200

$250

4Q'12 4Q'13 4Q'14 4Q'15 4Q'16 4Q'17 4Q'18 4Q'19 2Q'20

Mill

ions

PORTFOLIO CHARACTERISTICS

Portfolio 3/31/20

Portfolio 6/30/20

Average Quality - Book Value1 AA- AA- Average Quality - Market Value2 AA AA Number of Contract Issuers 4 4 Blended Yield (after all fees)3 2.35% 2.33% Yield to Maturity 1.93% 0.97% Effective Duration 2.90 years 2.85 years Market/Book Value Ratio 102.42% 104.84%

PORTFOLIO DISTRIBUTION

% Portfolio

3/31/20 % Portfolio

6/30/20

Liquidity Buffer: Cash & Equivalents4 4.6 4.3 Short / Intermediate Portfolio 95.4 95.7 Total 100.0%5 100.0%5


Second Quarter 2020

1: Participant cashflows only. 2: Contributions, Withdrawals and Investment Transfers 3: Cashflows may not net to final assets due to rounding.

2016 2017 2018 2019 1Q'20 2Q'20 2020 YTD Beginning Assets $155.1 $157.6 $167.0 $180.1 $191.1 $196.1 $191.1 Net Cash Flow ($)2 -$0.2 $6.3 $9.5 $0.7 $3.8 $0.2 $4.0 Net Cash Flow (%) -0.15% 4.01% 5.70% 0.41% 2.00% 0.11% 2.11% Estimated Investment Earnings $2.7 $3.0 $3.7 $4.5 $1.1 $1.1 $2.2 Ending Assets3 $157.6 $167.0 $180.1 $191.1 $196.1 $197.4 $197.4

HISTORICAL CASHFLOWS1

-$3.0

-$2.0

-$1.0

$0.0

$1.0

$2.0

$3.0

$4.0


Second Quarter 2020

1: Blended Yield is net of all fees, including book value contract fees, Galliard investment management fees, and, if applicable, external manager fees, Wells Fargo collective fund administrative fees, and plan administrative reimbursement.

HISTORICAL BLENDED YIELD1

2.08 2.17 2.29 2.40 2.48 2.49 2.46 2.35 2.33

0

1

2

3

4

5

2Q'18 3Q'18 4Q'18 1Q'19 2Q'19 3Q'19 4Q'19 1Q'20 2Q'20

Ble

nded

Yie

ld (

%)

HISTORICAL DURATION

2.73 2.73 2.69 2.86 2.82 2.82 2.85 2.90 2.85

0

1

2

3

4

5

2Q'18 3Q'18 4Q'18 1Q'19 2Q'19 3Q'19 4Q'19 1Q'20 2Q'20

Dur

atio

n (Y

ears

)

HISTORICAL MARKET VALUE TO BOOK VALUE RATIO

98.65 98.41 99.04

100.33

101.78 102.04 101.82

102.42

104.84

96

98

100

102

104

106

2Q'18 3Q'18 4Q'18 1Q'19 2Q'19 3Q'19 4Q'19 1Q'20 2Q'20

MV

/BV

Rat

io (

%)

HISTORICAL UNDERLYING YIELD TO MATURITY

3.10 3.28 3.16

2.80

2.32 2.10 2.15

1.93

0.97

0

1

2

3

4

5

2Q'18 3Q'18 4Q'18 1Q'19 2Q'19 3Q'19 4Q'19 1Q'20 2Q'20

Und

erly

ing

Yie

ld to

Mat

urity

(%

)


Second Quarter 2020

1: The quality rating shown represents the individual holdings' Composite Ratings, as rated by S&P, Moody's and Fitch. Ratings shown as NR/NA are not rated or not available security ratings. 2: SBIC = Security Backed Investment Contract. SAGIC = Separate Account GIC

CONTRACT ISSUER DISTRIBUTION & RATING SUMMARY1

Contract

Type2 % Portfolio

3/31/20 % Portfolio

6/30/20 Rating 3/31/20

Rating 6/30/20

Wrap fees (bps) 6/30/20

American General Life Ins. Co. SBIC 22.6 22.8 A+ A+ 16

Pacific Life Ins. Co. SBIC 22.7 22.8 AA- AA- 17

Prudential Ins. Co. of America SBIC 25.7 25.7 AA- AA- 16

Transamerica Premier Life Ins. Co. SBIC 24.4 24.4 A+ A+ 16


Second Quarter 2020

1: Market Value. Total % of portfolio may not add to 100% due to rounding. The external managers provide holdings and the securities are classified using Galliard's analytics methodology for maximum comparability across managers. The quality distribution shown represents the distribution of the individual holdings' Composite Ratings, as rated by S&P, Moody's and Fitch. Ratings shown as NR/NA are not rated or not available security ratings. Distributions represent the portfolio positions for reporting purposes only. Investment guideline compliance is reported in the appendix or separately through your Galliard relationship manager.

UNDERLYING FIXED INCOME ASSET ALLOCATION1

Portfolio 3/31/20 Portfolio 6/30/20

5.2%

9.0%

5.3%

0.9%

20.3%

7.1%

32.1%

11.5%

8.7%

4.7%

8.3%

5.5%

1.0%

20.3%

6.4%

32.1%

11.8%

9.8%

0.0% 10.0% 20.0% 30.0% 40.0%

Cash & Equivalents

Asset Backed

CMBS

Non-Agency MBS

Agency MBS

Taxable Muni/Not for Profit

Corporates

Other U.S. Government

U.S. Treasury

UNDERLYING QUALITY DISTRIBUTION1


UNDERLYING DURATION DISTRIBUTION


0.3%

11.1%

16.7%

8.7%

63.3%

0.2%

0.3%

10.5%

17.5%

8.3%

63.3%

0.0% 20.0% 40.0% 60.0% 80.0% 100.0%

NR/NA

<BBB

BBB

A

AA

AAA

16.2%

24.1%

42.5%

17.3%

15.6%

26.0%

42.3%

16.1%

0.0% 20.0% 40.0% 60.0% 80.0% 100.0%

5+

3-5

1-3

0-1

JRB STABLE VALUE INTEREST FUND PORTFOLIO TRANSACTIONS

Period: 4/1/2020 - 6/30/2020

Asset ID Security Description Book Value Settle Date Galliard

Composite Rating

PURCHASES

946996MZ5 American General Life Ins. Co. 275,000 5/29/2020 A+ 694992KR8 Pacific Life Ins. Co. 275,000 5/29/2020 AA- TOTAL PURCHASES

SALES

9983008$P WF/BlackRock Short Term Investment Fund S 550,000 5/29/2020 AAA TOTAL SALES

PORTFOLIO REVIEW - JRB STABLE VALUE INTEREST FUND SHORT/INTERMEDIATE PORTFOLIO

FIXED INCOME PORTFOLIO REVIEW - JRB STABLE VALUE INTEREST FUND SHORT/INTERMEDIATE PORTFOLIO

Second Quarter 2020

PORTFOLIO CHARACTERISTICS

Portfolio 6/30/20

Benchmark1 6/30/20

Weighted Average Quality2 AA AA Yield to Maturity 0.99% 0.58% Weighted Average Maturity 3.54 Yrs 3.10 Yrs Effective Duration 2.97 Yrs 2.93 Yrs

ANNUALIZED INVESTMENT PERFORMANCE4

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

3 MO YTD 1 YR 3 YR 5 YR Since Inception

3 Mo.

YTD

1 Yr.

3 Yr.

5 Yr. Since

Inception5 Portfolio (before fees) 3.19

4.61 6.29

4.21 3.28

2.59

Blended Benchmark1 1.17

2.88 4.20

2.90 2.10

1.60

Value Added (before fees)6 2.02

1.73 2.09

1.31 1.18

1.00

1: Blended benchmark: 50% Bloomberg Barclays U.S. Intermediate Government/Credit, 50% Bloomberg Barclays U.S. 1-3 Year Government/Credit. Prior to 7/1/2019 was the Bloomberg Barclays U.S. 1-5 Year Government Bond Index. From 6/1/12 - 6/30/2019, the account was managed to a target duration of 3 years rather than an active fixed income benchmark. Benchmark performance for this period is shown for comparative purposes only.

2: The Weighted Average Quality of the portfolio has NOT been assessed by a nationally recognized statistical rating organization. The Weighted Average Quality shown represents an average quality of the individual holdings' Composite Ratings, as rated by S&P, Moody's and Fitch.

3: Market value. Total % of portfolio may not add due to rounding. 4: Returns for periods of less than one year are not annualized. 5: Performance inception: Jun 1, 2012. 6: May not add due to rounding.

SECTOR DISTRIBUTION3

Portfolio 6/30/20

Benchmark1 6/30/20

U.S. Treasury 9.0% 61.3% U.S. Agency 0.0% 2.8% Other U.S. Government 12.0% 0.2% Corporates 33.4% 29.0% Taxable Muni/Not for Profit 7.4% 0.8% Agency MBS 21.2% 0.0% Non-Agency MBS 1.0% 0.0% CMBS 5.5% 0.0% Asset Backed 9.4% 0.0% Sovereign / Supranationals 0.0% 6.0% Cash & Equivalents 1.1% 0.0% Total 100.0%6 100.0%6

FIXED INCOME PORTFOLIO REVIEW - JRB STABLE VALUE INTEREST FUND SHORT/INTERMEDIATE PORTFOLIO

Second Quarter 2020

1: The quality distribution shown represents the distribution of the individual holdings' Composite Ratings, as rated by S&P, Moody's and Fitch. Ratings shown as NR/NA are not rated or not available security ratings. 2: 50% Bloomberg Barclays U.S. Intermediate Government/Credit, 50% Bloomberg Barclays U.S. 1-3 Year Government/Credit. 3: Column percentage may not add exactly due to rounding.

QUALITY DISTRIBUTION1

Portfolio 6/30/20

Benchmark2 6/30/20

AAA 61.8% 68.0% AA 9.1% 4.6% A 17.4% 13.9% BBB 11.5% 13.5% <BBB 0.3% 0.0% NR/NA 0.0% 0.0% Total 100.0%3 100.0%3 DURATION DISTRIBUTION

Portfolio 6/30/20

Benchmark2 6/30/20

0-1 Years 13.8% 1.3% 1-3 Years 44.3% 67.9% 3-5 Years 25.1% 15.2% 5-10 Years 16.9% 15.6% 10+ Years 0.0% 0.0% Total 100.0%3 100.0%3 MATURITY DISTRIBUTION

Portfolio 6/30/20

Benchmark2 6/30/20

0-1 Years 7.2% 1.1% 1-3 Years 36.3% 67.5% 3-5 Years 35.8% 14.1% 5-10 Years 20.4% 17.4% 10+ Years 0.2% 0.0% Total 100.0%3 100.0%3

Portfolio Benchmark2

0% 20% 40% 60% 80% 100%

<BBB

BBB

A

AA

AAA


0% 20% 40% 60% 80% 100%

10+ Years

5-10 Years

3-5 Years

1-3 Years

0-1 Years


0% 20% 40% 60% 80% 100%

10+ Years

5-10 Years

3-5 Years

1-3 Years

0-1 Years

JRB STABLE VALUE INTEREST FUND SHORT/INTERMEDIATE PORTFOLIO PORTFOLIO TRANSACTIONS

Period: 4/1/2020 - 6/30/2020

CUSIP Security Description Par

Amount Price Trade

Amount Accrued Income

Total Trade Amount

Trade Date

Settle Date

MATURITIES CORPORATES 82620KAC7 Siemens Financieringsmaatschappij NV 2.150% DUE 05/27/2020 350,000 100.00 350,000 0.00 350,000 05/27/20 05/27/20 59217GCE7 Metropolitan Life Global Funding I 2.050% DUE 06/12/2020 290,000 100.00 290,000 0.00 290,000 06/12/20 06/12/20 233851BV5 Daimler Finance North America LLC 2.450% DUE 05/18/2020 240,000 100.00 240,000 0.00 240,000 05/18/20 05/18/20 345397YM9 Ford Motor Credit Co LLC 2.425% DUE 06/12/2020 200,000 100.00 200,000 0.00 200,000 06/12/20 06/12/20 233851CY8 Daimler Finance North America LLC 2.200% DUE 05/05/2020 150,000 100.00 150,000 0.00 150,000 05/05/20 05/05/20 032095AF8 Amphenol Corp 2.200% DUE 04/01/2020 180,000 100.00 180,000 0.00 180,000 04/01/20 04/01/20 928668AM4 Volkswagen Group of America Finance LLC 2.400% DUE 05/22/2020 330,000 100.00 330,000 0.00 330,000 05/22/20 05/22/20

TOTAL CORPORATES 1,740,000 1,740,000 0.00 1,740,000

TAXABLE MUNI / NOT FOR PROFIT 4424354W0 City of Houston TX Combined Utility System Revenue 2.563% DUE 05/15/2020 250,000 100.00 250,000 0.00 250,000 05/15/20 05/15/20

TOTAL TAXABLE MUNI / NOT FOR PROFIT 250,000 250,000 0.00 250,000

TOTAL MATURITIES 1,990,000 1,990,000 0.00 1,990,000

PURCHASES ASSET BACKED 58769VAC4 Mercedes-Benz Auto Receivables Trust 0.550% DUE 02/18/2025 655,000 99.99 654,949 0.00 654,949 06/16/20 06/23/20 43813DAC2 Honda Auto Receivables 2020-2 Owner Trust 0.820% DUE 07/15/2024 760,000 99.99 759,940 0.00 759,940 05/18/20 05/27/20 89237JAA4 Toyota Auto Loan Extended Note Trust 2020-1 0.000% DUE 05/25/2033 535,000 99.99 534,969 0.00 534,969 06/01/20 06/08/20 34533GAD1 Ford Credit Auto Owner Trust 2020-B 1.020% DUE 10/15/2024 795,000 99.99 794,890 0.00 794,890 06/16/20 06/19/20 36259PAD8 GM Financial Automobile Leasing Trust 2020-2 0.800% DUE 07/20/2023 545,000 99.99 544,929 0.00 544,929 06/08/20 06/17/20

TOTAL ASSET BACKED 3,290,000 3,289,678 0.00 3,289,678

CORPORATES 902674YA2 UBS AG/London 1.750% DUE 04/21/2022 200,000 99.87 199,738 0.00 199,738 04/14/20 04/21/20


Period: 4/1/2020 - 6/30/2020


Amount Price Trade


Total Trade Amount

Trade Date

Settle Date

31428XBY1 FedEx Corp 3.800% DUE 05/15/2025 180,000 99.72 179,503 0.00 179,503 04/03/20 04/07/20 29446MAD4 Equinor ASA 2.875% DUE 04/06/2025 185,000 99.97 184,948 0.00 184,948 04/01/20 04/06/20 90327QD48 USAA Capital Corp 1.500% DUE 05/01/2023 150,000 99.88 149,814 0.00 149,814 04/14/20 04/21/20 37331NAJ0 GEORGIA-PACIFIC LLC 1.750% DUE 09/30/2025 150,000 99.98 149,970 0.00 149,970 04/27/20 04/30/20 855244AY5 Starbucks Corp 1.300% DUE 05/07/2022 50,000 99.93 49,967 0.00 49,967 05/04/20 05/07/20 89236THA6 Toyota Motor Credit Corp 1.350% DUE 08/25/2023 100,000 99.96 99,963 0.00 99,963 05/20/20 05/26/20 67077MAV0 Nutrien Ltd 1.900% DUE 05/13/2023 130,000 99.91 129,883 0.00 129,883 05/11/20 05/13/20 70450YAF0 PayPal Holdings Inc 1.350% DUE 06/01/2023 80,000 99.91 79,926 0.00 79,926 05/11/20 05/18/20 29446MAJ1 Equinor ASA 1.750% DUE 01/22/2026 30,000 99.60 29,880 0.00 29,880 05/18/20 05/22/20 42824CBG3 Hewlett Packard Enterprise Co 4.450% DUE 10/02/2023 160,000 99.96 159,930 0.00 159,930 04/06/20 04/09/20 166764BW9 Chevron Corp 1.554% DUE 05/11/2025 200,000 100.00 200,000 0.00 200,000 05/07/20 05/11/20 718546AU8 Phillips 66 3.700% DUE 04/06/2023 45,000 99.89 44,948 0.00 44,948 04/07/20 04/09/20 718546AV6 Phillips 66 3.850% DUE 04/09/2025 45,000 99.95 44,976 0.00 44,976 04/07/20 04/09/20 097023CU7 Boeing Co/The 5.040% DUE 05/01/2027 175,000 100.00 175,000 0.00 175,000 04/30/20 05/04/20 822582CF7 Shell International Finance BV 2.375% DUE 04/06/2025 70,000 99.78 69,846 0.00 69,846 04/01/20 04/06/20 6174468Q5 Morgan Stanley FLT DUE 04/28/2026 215,000 100.00 215,000 0.00 215,000 04/23/20 04/28/20 037833DT4 Apple Inc 1.125% DUE 05/11/2025 195,000 99.82 194,651 0.00 194,651 05/04/20 05/11/20 291011BL7 Emerson Electric Co 1.800% DUE 10/15/2027 170,000 99.91 169,847 0.00 169,847 04/27/20 04/29/20 539830BP3 Lockheed Martin Corp 1.850% DUE 06/15/2030 20,000 99.78 19,956 0.00 19,956 05/15/20 05/20/20 009158BB1 Air Products and Chemicals Inc 1.500% DUE 10/15/2025 35,000 99.98 34,993 0.00 34,993 04/27/20 04/30/20 30231GBL5 Exxon Mobil Corp 1.571% DUE 04/15/2023 250,000 100.00 250,000 0.00 250,000 04/13/20 04/15/20 316773CZ1 Fifth Third Bancorp 1.625% DUE 05/05/2023 45,000 99.94 44,971 0.00 44,971 04/30/20 05/05/20 69371RQ74 PACCAR Financial Corp 2.650% DUE 04/06/2023 175,000 99.95 174,911 0.00 174,911 04/02/20 04/07/20 64952WDP5 New York Life Global Funding 1.100% DUE 05/05/2023 435,000 99.98 434,909 0.00 434,909 05/04/20 05/07/20 00206RJX1 AT&T Inc 2.300% DUE 06/01/2027 70,000 99.85 69,896 0.00 69,896 05/21/20 05/28/20


Period: 4/1/2020 - 6/30/2020


Amount Price Trade


Total Trade Amount

Trade Date

Settle Date

032654AS4 Analog Devices Inc 2.950% DUE 04/01/2025 30,000 99.50 29,849 0.00 29,849 04/06/20 04/08/20 263534CN7 EI du Pont de Nemours & Co 1.700% DUE 07/15/2025 60,000 99.91 59,946 0.00 59,946 05/13/20 05/15/20 141781BL7 Cargill Inc 1.375% DUE 07/23/2023 95,000 99.90 94,901 0.00 94,901 04/20/20 04/23/20 438516CB0 Honeywell International Inc 1.350% DUE 06/01/2025 80,000 99.99 79,992 0.00 79,992 05/14/20 05/18/20 56585ABH4 Marathon Petroleum Corp 4.700% DUE 05/01/2025 165,000 99.81 164,678 0.00 164,678 04/23/20 04/27/20 06051GJD2 Bank of America Corp FLT DUE 06/19/2026 420,000 100.00 420,000 0.00 420,000 06/16/20 06/19/20

TOTAL CORPORATES 4,410,000 4,406,791 0.00 4,406,791

MORTGAGE BACKED 01F030678 Fannie Mae or Freddie Mac 3.000% DUE 07/01/2049 253,000 104.79 265,116 274.08 265,390 05/22/20 07/14/20 3133A4AH9 Freddie Mac Pool 3.000% DUE 04/01/2050 620,000 105.53 654,294 723.33 655,017 04/08/20 04/15/20 3140KCW65 Fannie Mae Pool 3.000% DUE 04/01/2050 145,000 105.69 153,247 169.17 153,416 04/08/20 04/15/20 01F030678 Fannie Mae or Freddie Mac 3.000% DUE 07/01/2049 190,000 104.79 199,107 205.83 199,312 05/21/20 07/14/20 3133A4CG9 Freddie Mac Pool 3.000% DUE 04/01/2050 255,000 105.53 269,105 297.50 269,402 04/08/20 04/15/20 01F030678 Fannie Mae or Freddie Mac 3.000% DUE 07/01/2049 308,000 104.69 322,438 333.67 322,771 05/12/20 07/14/20 01F030652 Fannie Mae 3.000% DUE 05/01/2050 925,000 105.57 976,489 925.00 977,414 04/08/20 05/13/20 3133A32J6 Freddie Mac Pool 3.000% DUE 04/01/2050 400,000 105.53 422,125 466.67 422,592 04/08/20 04/15/20 3140K8B34 Fannie Mae Pool 3.000% DUE 04/01/2050 275,000 105.58 290,340 320.83 290,661 04/08/20 04/15/20 3133A32H0 Freddie Mac Pool 3.000% DUE 04/01/2050 110,000 105.69 116,256 128.33 116,385 04/08/20 04/15/20 3140KCW57 Fannie Mae Pool 3.000% DUE 04/01/2050 175,000 105.54 184,693 204.17 184,898 04/08/20 04/15/20 01F030660 Fannie Mae or Freddie Mac 3.000% DUE 06/01/2050 455,000 105.44 479,758 379.17 480,138 04/24/20 06/11/20 01F030678 Fannie Mae or Freddie Mac 3.000% DUE 07/01/2049 174,000 105.05 182,782 188.50 182,970 06/01/20 07/14/20 3140K3WN8 Fannie Mae Pool 3.000% DUE 04/01/2050 850,314 105.53 897,347 992.03 898,339 04/08/20 04/15/20 01F030660 Fannie Mae or Freddie Mac 3.000% DUE 06/01/2050 235,000 105.38 247,631 195.83 247,827 05/04/20 06/11/20 01F030686 Fannie Mae or Freddie Mac 3.000% DUE 08/01/2049 463,000 105.13 486,729 463.00 487,192 06/30/20 08/13/20


Period: 4/1/2020 - 6/30/2020


Amount Price Trade


Total Trade Amount

Trade Date

Settle Date

01F030660 Fannie Mae or Freddie Mac 3.000% DUE 06/01/2050 235,000 105.43 247,760 195.83 247,956 05/01/20 06/11/20

TOTAL MORTGAGE BACKED 6,068,314 6,395,216 6,462.94 6,401,679

U.S. TREASURY / AGENCY 912828ZE3 United States Treasury Note/Bond 0.625% DUE 03/31/2027 30,000 100.82 30,246 15.37 30,261 04/29/20 04/30/20 912828Z94 United States Treasury Note/Bond 1.500% DUE 02/15/2030 525,000 108.29 568,540 1,709.13 570,249 05/01/20 05/04/20 912828Z94 United States Treasury Note/Bond 1.500% DUE 02/15/2030 450,000 107.66 484,490 1,613.32 486,103 05/11/20 05/12/20 912828Z94 United States Treasury Note/Bond 1.500% DUE 02/15/2030 600,000 108.08 648,471 1,804.95 650,276 04/27/20 04/28/20 912828ZG8 United States Treasury Note/Bond 0.375% DUE 03/31/2022 140,000 100.27 140,377 20.08 140,397 04/13/20 04/14/20

TOTAL U.S. TREASURY / AGENCY 1,745,000 1,872,125 5,162.85 1,877,288

TAXABLE MUNI / NOT FOR PROFIT 882724RC3 State of Texas 2.182% DUE 10/01/2027 420,000 100.00 420,000 0.00 420,000 04/08/20 04/23/20 29157TAC0 Emory University 1.566% DUE 09/01/2025 100,000 100.00 100,000 0.00 100,000 05/13/20 05/20/20 04352EAA3 Ascension Health 2.532% DUE 11/15/2029 50,000 103.16 51,580 580.25 52,160 04/23/20 04/30/20 6775223W2 State of Ohio 1.580% DUE 08/01/2030 390,000 100.00 390,000 0.00 390,000 06/18/20 06/26/20 68609TUT3 State of Oregon 0.795% DUE 05/01/2024 490,000 100.00 490,000 0.00 490,000 06/10/20 06/17/20 85440KAC8 Leland Stanford Junior University/The 1.289% DUE 06/01/2027 135,000 100.00 135,000 0.00 135,000 05/28/20 06/04/20 346766WQ7 County of Fort Bend TX 5.000% DUE 03/01/2026 420,000 117.30 492,677 0.00 492,677 05/20/20 06/17/20 938429V79 Washington & Multnomah Counties School Dist No 48J 1.227% DUE 06/15/2026 135,000 100.00 135,000 0.00 135,000 06/18/20 06/30/20 98459LAA1 Yale University 0.873% DUE 04/15/2025 475,000 100.00 475,000 0.00 475,000 06/02/20 06/09/20

TOTAL TAXABLE MUNI / NOT FOR PROFIT 2,615,000 2,689,257 580.25 2,689,837

TOTAL PURCHASES 18,128,314 18,653,067 12,206.04 18,665,273

SALES CORPORATES 713448EQ7 PepsiCo Inc 2.250% DUE 03/19/2025 10,000 105.79 10,579 19.38 10,599 04/16/20 04/20/20 037833DT4 Apple Inc 1.125% DUE 05/11/2025 50,000 101.33 50,664 17.19 50,681 05/20/20 05/22/20


Period: 4/1/2020 - 6/30/2020


Amount Price Trade


Total Trade Amount

Trade Date

Settle Date

68389XBR5 Oracle Corp 2.625% DUE 02/15/2023 80,000 105.45 84,361 624.17 84,985 05/29/20 06/02/20 56585AAL6 Marathon Petroleum Corp 3.400% DUE 12/15/2020 130,000 99.50 129,349 1,632.94 130,982 04/24/20 04/28/20 68389XBT1 Oracle Corp 2.500% DUE 04/01/2025 20,000 107.05 21,410 116.67 21,527 06/23/20 06/25/20 92826CAL6 Visa Inc 1.900% DUE 04/15/2027 30,000 103.64 31,091 45.92 31,137 04/29/20 05/01/20 68389XBT1 Oracle Corp 2.500% DUE 04/01/2025 35,000 103.50 36,225 29.17 36,255 04/08/20 04/13/20 42824CBG3 Hewlett Packard Enterprise Co 4.450% DUE 10/02/2023 15,000 100.96 15,144 7.42 15,152 04/08/20 04/13/20 68389XBT1 Oracle Corp 2.500% DUE 04/01/2025 20,000 107.40 21,479 126.39 21,606 06/30/20 07/02/20 867914BM4 Truist Financial Corp 2.700% DUE 01/27/2022 160,000 103.46 165,539 1,572.00 167,111 06/04/20 06/08/20 58013MFE9 McDonald's Corp 3.350% DUE 04/01/2023 170,000 107.00 181,902 442.94 182,345 04/27/20 04/29/20 17325FAQ1 Citibank NA 3.400% DUE 07/23/2021 340,000 103.14 350,676 4,399.22 355,075 06/08/20 06/10/20 68389XBT1 Oracle Corp 2.500% DUE 04/01/2025 40,000 102.89 41,155 22.22 41,177 04/07/20 04/09/20 68389XBT1 Oracle Corp 2.500% DUE 04/01/2025 20,000 106.95 21,390 116.67 21,507 06/23/20 06/25/20 69371RQ74 PACCAR Financial Corp 2.650% DUE 04/06/2023 30,000 105.83 31,750 159.00 31,909 06/17/20 06/19/20 713448EQ7 PepsiCo Inc 2.250% DUE 03/19/2025 50,000 105.89 52,946 140.63 53,087 04/30/20 05/04/20 66989HAP3 Novartis Capital Corp 1.750% DUE 02/14/2025 190,000 103.46 196,574 775.83 197,350 05/06/20 05/08/20 713448EQ7 PepsiCo Inc 2.250% DUE 03/19/2025 50,000 105.82 52,908 131.25 53,039 04/29/20 05/01/20 110122BZ0 Bristol-Myers Squibb Co 2.900% DUE 07/26/2024 40,000 107.25 42,902 273.89 43,175 04/17/20 04/21/20 68389XBT1 Oracle Corp 2.500% DUE 04/01/2025 50,000 105.00 52,500 163.19 52,663 05/14/20 05/18/20 191216CN8 Coca-Cola Co/The 2.950% DUE 03/25/2025 270,000 110.54 298,466 1,349.63 299,816 05/21/20 05/26/20 42824CBG3 Hewlett Packard Enterprise Co 4.450% DUE 10/02/2023 10,000 102.47 10,247 6.18 10,253 04/09/20 04/14/20 278865AY6 Ecolab Inc 2.375% DUE 08/10/2022 80,000 103.94 83,151 701.94 83,853 06/19/20 06/23/20 713448EQ7 PepsiCo Inc 2.250% DUE 03/19/2025 60,000 105.80 63,482 176.25 63,658 05/04/20 05/06/20 713448EQ7 PepsiCo Inc 2.250% DUE 03/19/2025 10,000 105.73 10,573 29.38 10,602 05/04/20 05/06/20 46625HNX4 JPMorgan Chase & Co 2.550% DUE 10/29/2020 190,000 100.75 191,416 174.96 191,590 05/08/20 05/12/20 88579YAX9 3M Co 2.250% DUE 03/15/2023 60,000 104.74 62,846 378.75 63,225 06/24/20 06/26/20


Period: 4/1/2020 - 6/30/2020


Amount Price Trade


Total Trade Amount

Trade Date

Settle Date

68389XBT1 Oracle Corp 2.500% DUE 04/01/2025 60,000 105.55 63,324 204.17 63,528 05/18/20 05/20/20 713448EQ7 PepsiCo Inc 2.250% DUE 03/19/2025 10,000 105.79 10,579 29.38 10,608 05/04/20 05/06/20 742718FG9 Procter & Gamble Co/The 2.800% DUE 03/25/2027 265,000 110.31 292,308 803.83 293,112 04/30/20 05/04/20 68389XBT1 Oracle Corp 2.500% DUE 04/01/2025 50,000 105.36 52,682 114.58 52,797 04/30/20 05/04/20 539830BP3 Lockheed Martin Corp 1.850% DUE 06/15/2030 20,000 102.17 20,434 15.42 20,450 06/03/20 06/05/20 87612EBL9 Target Corp 2.250% DUE 04/15/2025 30,000 105.06 31,519 37.50 31,556 04/16/20 04/20/20 92826CAL6 Visa Inc 1.900% DUE 04/15/2027 135,000 103.90 140,268 228.00 140,496 04/30/20 05/04/20 12189LAL5 Burlington Northern Santa Fe LLC 3.050% DUE 09/01/2022 210,000 105.02 220,550 1,423.33 221,974 05/19/20 05/21/20 40139LAA1 Guardian Life Global Funding 2.000% DUE 04/26/2021 290,000 101.39 294,037 483.33 294,520 05/21/20 05/26/20 377373AJ4 GlaxoSmithKline Capital PLC 2.875% DUE 06/01/2022 130,000 104.30 135,591 1,391.18 136,982 04/13/20 04/15/20 713448EQ7 PepsiCo Inc 2.250% DUE 03/19/2025 10,000 105.73 10,573 29.38 10,602 05/04/20 05/06/20

TOTAL CORPORATES 3,420,000 3,582,589 18,393.28 3,600,982

MORTGAGE BACKED 01F030652 Fannie Mae or Freddie Mac 3.000% DUE 05/01/2050 455,000 105.56 480,309 455.00 480,764 04/24/20 05/13/20 01F030660 Fannie Mae or Freddie Mac 3.000% DUE 06/01/2050 190,000 105.01 199,522 158.33 199,681 05/21/20 06/11/20 01F030660 Fannie Mae or Freddie Mac 3.000% DUE 06/01/2050 308,000 104.87 323,015 256.67 323,272 05/12/20 06/11/20 01F030660 Fannie Mae or Freddie Mac 3.000% DUE 06/01/2050 253,000 105.02 265,690 210.83 265,900 05/22/20 06/11/20 01F030645 Fannie Mae or Freddie Mac 3.000% DUE 04/01/2049 925,000 105.68 977,501 1,079.17 978,580 04/08/20 04/15/20 01F030652 Fannie Mae or Freddie Mac 3.000% DUE 05/01/2050 235,000 105.55 248,054 235.00 248,289 05/01/20 05/13/20 01F030660 Fannie Mae or Freddie Mac 3.000% DUE 06/01/2050 174,000 105.27 183,176 145.00 183,321 06/01/20 06/11/20 01F030678 Fannie Mae or Freddie Mac 3.000% DUE 07/01/2049 463,000 105.32 487,633 501.58 488,135 06/30/20 07/14/20 01F030652 Fannie Mae or Freddie Mac 3.000% DUE 05/01/2050 235,000 105.54 248,008 235.00 248,243 05/04/20 05/13/20

TOTAL MORTGAGE BACKED 3,238,000 3,412,907 3,276.58 3,416,184

U.S. TREASURY / AGENCY 912828ZD5 United States Treasury Note/Bond 0.500% DUE 03/15/2023 725,000 100.77 730,605 315.22 730,920 04/15/20 04/16/20


Period: 4/1/2020 - 6/30/2020


Amount Price Trade


Total Trade Amount

Trade Date

Settle Date

912828Z94 United States Treasury Note/Bond 1.500% DUE 02/15/2030 625,000 108.57 678,562 1,236.26 679,798 04/02/20 04/03/20 912828ZD5 United States Treasury Note/Bond 0.500% DUE 03/15/2023 2,200,000 100.48 2,210,575 747.28 2,211,322 04/08/20 04/09/20 912828ZG8 United States Treasury Note/Bond 0.375% DUE 03/31/2022 140,000 100.35 140,492 43.03 140,535 04/29/20 04/30/20

TOTAL U.S. TREASURY / AGENCY 3,690,000 3,760,233 2,341.79 3,762,575

TAXABLE MUNI / NOT FOR PROFIT 68609TMM7 State of Oregon 1.867% DUE 05/01/2025 680,000 103.89 706,438 352.66 706,791 05/07/20 05/11/20

TOTAL TAXABLE MUNI / NOT FOR PROFIT 680,000 706,438 352.66 706,791

TOTAL SALES 11,028,000 11,462,168 24,364.31 11,486,532

JRB STABLE VALUE INTEREST FUND SHORT/INTERMEDIATE PORTFOLIO PORTFOLIO HOLDINGS

June 30, 2020

1: Includes accrued income.

Par Value CUSIP Security Description Unit Cost

Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)

Total Market Value ($)1

YTM (%)

Wtd. Avg. Life (yrs)

Eff. Dur. (yrs)

% of Portfolio

CASH & EQUIVALENTS

-806,165 Receivables / (Payables)

FLT AA+/Aaa 1.0000 1.0000 -806,165 -806,165 0 -806,165 0.35 0.00 0.00 -0.41

3,048,224 PF9983008 Wells Fargo Short Term Investment Fund S

0.345% AAA/Aaa 1.0000 1.0000 3,048,224 3,048,224 0 3,048,224 0.35 0.00 0.00 1.54

TOTAL CASH & EQUIVALENTS 2,242,060 2,242,060 0 2,242,060 0.35 0.00 0.00 1.13 U.S. GOVERNMENT

460,000 912828YV6 United States Treasury Note/Bond

1.500% 11/30/2024 AA+/Aaa 99.31 105.50 456,845 485,282 584 485,866 0.25 4.42 4.29 0.24

775,000 9128286A3 United States Treasury Note/Bond

2.625% 01/31/2026 AA+/Aaa 100.32 112.51 777,462 871,935 8,495 880,431 0.36 5.59 5.21 0.44

625,000 912828YQ7 United States Treasury Note/Bond

1.625% 10/31/2026 AA+/Aaa 99.65 107.41 622,829 671,314 1,711 673,025 0.43 6.34 6.05 0.34

1,375,000 912828YX2 United States Treasury Note/Bond

1.750% 12/31/2026 AA+/Aaa 100.82 108.32 1,386,227 1,489,404 65 1,489,470 0.45 6.50 6.20 0.75

9,430,000 912828Z78 United States Treasury Note/Bond

1.500% 01/31/2027 AA+/Aaa 100.51 106.76 9,477,690 10,067,628 59,067 10,126,695 0.46 6.59 6.28 5.10

30,000 912828ZE3 United States Treasury Note/Bond

0.625% 03/31/2027 AA+/Aaa 100.80 101.01 30,240 30,304 47 30,351 0.47 6.75 6.62 0.02

250,000 912828YS3 United States Treasury Note/Bond

1.750% 11/15/2029 AA+/Aaa 99.81 110.41 249,537 276,016 559 276,574 0.61 9.38 8.76 0.14

3,675,000 912828Z94 United States Treasury Note/Bond

1.500% 02/15/2030 AA+/Aaa 107.59 108.10 3,953,750 3,972,734 20,748 3,993,481 0.63 9.63 9.03 2.01

TOTAL U.S. GOVERNMENT 16,954,581 17,864,617 91,277 17,955,893 0.49 7.18 6.77 9.05 OTHER U.S. GOVERNMENT Agency Multi-Family

664,685 3140JAU89 Fannie Mae Pool

FLT 06/01/2022 AA+/Aaa 99.85 102.71 663,683 682,668 1,318 683,986 0.00 1.02 1.00 0.34

225,089 3138EPJX3 Fannie Mae Pool

FLT 11/01/2022 AA+/Aaa 101.11 103.21 227,592 232,319 572 232,891 0.97 1.59 1.54 0.12


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

753,721 3140HRTF0 Fannie Mae Pool

3.410% 11/01/2023 AA+/Aaa 100.01 108.26 753,791 815,985 2,142 818,127 0.45 2.84 2.71 0.41

437,608 3138EPJZ8 Fannie Mae Pool

FLT 01/01/2024 AA+/Aaa 101.35 106.31 443,536 465,241 1,117 466,358 0.57 2.70 2.59 0.23

840,000 3140HSPL9 Fannie Mae Pool

3.120% 01/01/2024 AA+/Aaa 99.97 107.67 839,744 904,441 2,184 906,625 0.57 3.07 2.93 0.46

850,000 3140HSUW9 Fannie Mae Pool

3.100% 02/01/2024 AA+/Aaa 100.04 107.73 850,360 915,716 2,196 917,912 0.57 3.10 2.96 0.46

740,000 3140HTNY1 Fannie Mae Pool

2.800% 04/01/2024 AA+/Aaa 100.23 107.33 741,707 794,253 1,727 795,980 0.56 3.32 3.17 0.40

740,581 3140HU4D5 Fannie Mae Pool

3.090% 08/01/2024 AA+/Aaa 103.41 108.43 765,863 803,027 1,907 804,934 0.67 3.54 3.36 0.41

1,000,000 3140HWNH1 Fannie Mae Pool

2.100% 09/01/2024 AA+/Aaa 100.04 105.32 1,000,412 1,053,217 1,750 1,054,967 0.65 3.74 3.59 0.53

713,133 3140HWLN0 Fannie Mae Pool

1.970% 04/01/2025 AA+/Aaa 100.10 105.28 713,853 750,801 1,171 751,972 0.68 4.16 3.99 0.38

991,968 3140HWF49 Fannie Mae Pool

2.210% 05/01/2025 AA+/Aaa 100.04 105.11 992,371 1,042,654 1,827 1,044,481 0.98 4.26 4.06 0.53

158,324 3140HUYJ9 Fannie Mae Pool

2.510% 07/01/2025 AA+/Aaa 100.76 106.65 159,533 168,850 331 169,181 0.97 4.41 4.18 0.09

900,000 3140HVCG7 Fannie Mae Pool

2.080% 10/01/2026 AA+/Aaa 100.27 106.89 902,438 962,031 1,560 963,591 0.87 5.82 5.49 0.49

480,000 3140HV6S8 Fannie Mae Pool

2.190% 11/01/2026 AA+/Aaa 100.25 107.63 481,201 516,643 876 517,519 0.87 5.90 5.55 0.26

259,174 3136ARTB4 Fannie Mae-Aces

2.263% 02/25/2023 AA+/Aaa 99.91 101.64 258,945 263,427 489 263,916 0.00 0.39 0.38 0.13

720,000 3137BLUR7 Freddie Mac Multifam Struct PT Cert

2.716% 06/25/2022 AA+/Aaa 100.78 103.38 725,627 744,342 1,630 745,971 0.32 1.49 1.46 0.38

140,625 3137FARK6 Freddie Mac Multifam Struct PT Cert

FLT 01/25/2046 AA+/Aaa 100.10 98.59 140,759 138,645 346 138,991 6.88 0.32 0.31 0.07


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

630,000 3137FMU67 Freddie Mac Multifamily Structured PT Certificates

2.862% 05/25/2026 AA+/Aaa 102.56 110.49 646,110 696,100 1,503 697,603 0.84 5.40 5.02 0.35

Total Agency Multi-Family 11,307,526 11,950,359 24,644 11,975,003 0.70 3.47 3.31 6.03 Other U.S. Agencies

190,081 26144YAA5 EXIM Bank Gtd Dragon 2012 LLC

1.972% 03/12/2024 AA+/Aaa 100.00 102.11 190,081 194,087 198 194,285 0.89 1.98 1.93 0.10

216,155 42328BAA0 EXIM Bank Gtd Helios Leasing I LLC

2.018% 05/29/2024 AA+/Aaa 100.00 102.18 216,155 220,876 388 221,264 0.95 2.06 2.02 0.11

123,644 42328BAB8 EXIM Bank Gtd Helios Leasing I LLC

1.734% 07/24/2024 AA+/Aaa 100.00 101.70 123,644 125,746 399 126,145 0.91 2.09 2.05 0.06

245,027 42328BAC6 EXIM Bank Gtd Helios Leasing I LLC

1.562% 09/28/2024 AA+/Aaa 100.00 101.49 245,027 248,681 32 248,713 0.90 2.27 2.22 0.13

189,873 553737AA5 EXIM Bank Gtd MSN 41079 and 41084 Ltd

1.717% 07/13/2024 AA+/Aaa 100.00 101.75 189,873 193,196 706 193,903 0.86 2.06 2.02 0.10

162,500 71654QBD3 EXIM Bank Gtd Petroleos Mexicanos

1.950% 12/20/2022 AA+/Aaa 100.00 101.43 162,500 164,824 97 164,921 0.97 1.47 1.45 0.08

156,250 71654QBC5 EXIM Bank Gtd Petroleos Mexicanos

2.000% 12/20/2022 AA+/Aaa 100.00 101.57 156,250 158,696 95 158,792 0.92 1.47 1.45 0.08

318,750 71654QBN1 EXIM Bank Gtd Petroleos Mexicanos

FLT 02/15/2024 AA+/Aaa 100.00 99.27 318,750 316,435 342 316,777 1.07 1.87 0.13 0.16

270,000 71654QBL5 EXIM Bank Gtd Petroleos Mexicanos

2.830% 02/15/2024 AA+/Aaa 100.00 103.60 270,000 279,729 2,887 282,616 0.88 1.88 1.82 0.14

130,000 71654QBP6 EXIM Bank Gtd Petroleos Mexicanos

2.290% 02/15/2024 AA+/Aaa 100.00 102.49 130,000 133,231 1,125 134,355 0.94 1.88 1.83 0.07

246,783 719160AA1 EXIM Bank Gtd Phoenix 2012 LLC

1.607% 07/03/2024 AA+/Aaa 100.00 101.38 246,783 250,192 969 251,161 0.92 2.03 1.98 0.13

114,978 78657AAC3 EXIM Bank Gtd Safina Ltd

1.550% 01/15/2022 AA+/Aaa 100.00 100.47 114,978 115,513 376 115,890 0.91 0.74 0.73 0.06

129,217 802722AA6 EXIM Bank Gtd Santa Rosa Leasing LLC

1.693% 08/15/2024 AA+/Aaa 100.00 101.57 129,217 131,247 280 131,526 0.92 2.07 2.02 0.07


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

845,000 911759MX3 US Gov Gtd US Dept of HUD

2.668% 08/01/2024 AA+/Aaa 100.00 108.75 845,000 918,917 9,394 928,311 0.50 4.09 3.86 0.47

Total Other U.S. Agencies 3,338,259 3,451,371 17,287 3,468,658 0.82 2.44 2.21 1.75 SBA

8,634 831641EZ4 SBA Small Business Investment Cos

3.644% 09/10/2023 AA+/Aaa 100.00 103.98 8,634 8,978 105 9,083 1.62 2.06 1.98 0.00

338,081 831641FA8 SBA Small Business Investment Cos

3.191% 03/10/2024 AA+/Aaa 100.00 103.57 338,081 350,158 3,606 353,764 1.52 2.25 2.16 0.18

362,232 831641FC4 SBA Small Business Investment Cos

2.517% 03/10/2025 AA+/Aaa 100.00 103.53 362,232 375,026 3,047 378,074 1.07 2.54 2.46 0.19

409,504 831641FE0 SBA Small Business Investment Cos

2.829% 09/10/2025 AA+/Aaa 100.00 105.72 409,504 432,926 3,872 436,798 0.62 2.66 2.58 0.22

2,226,950 831641FF7 SBA Small Business Investment Cos

2.507% 03/10/2026 AA+/Aaa 100.48 103.61 2,237,692 2,307,399 18,661 2,326,060 1.14 2.76 2.66 1.17

578,829 831641FH3 SBA Small Business Investment Cos

2.845% 03/10/2027 AA+/Aaa 100.00 106.85 578,829 618,499 5,504 624,003 1.08 4.05 3.84 0.31

473,176 831641FJ9 SBA Small Business Investment Cos

2.518% 09/10/2027 AA+/Aaa 100.00 102.96 473,176 487,167 3,982 491,149 1.76 4.21 3.96 0.25

978,736 831641FL4 SBA Small Business Investment Cos

3.548% 09/10/2028 AA+/Aaa 100.00 107.51 978,736 1,052,200 11,607 1,063,807 1.76 4.49 4.16 0.54

659,152 831641FM2 SBA Small Business Investment Cos

3.113% 03/10/2029 AA+/Aaa 100.00 106.91 659,152 704,732 6,859 711,591 1.79 5.66 5.18 0.36

525,000 831641FN0 SBA Small Business Investment Cos

2.283% 09/10/2029 AA+/Aaa 100.00 102.66 525,000 538,958 4,006 542,964 1.79 5.86 5.42 0.27

630,000 831641FP5 SBA Small Business Investment Cos

2.078% 03/10/2030 AA+/Aaa 100.00 103.47 630,000 651,839 3,515 655,354 1.46 6.04 5.64 0.33

191,165 83162CWZ2 United States Small Business Administration

1.850% 05/01/2025 AA+/Aaa 100.00 103.15 191,165 197,190 589 197,779 0.16 1.87 1.84 0.10

158,172 83162CTB9 United States Small Business Administration

4.140% 02/01/2030 AA+/Aaa 105.18 108.50 166,373 171,620 2,728 174,348 0.16 2.14 2.11 0.09


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

345,194 83162CXB4 United States Small Business Administration

2.980% 06/01/2035 AA+/Aaa 100.00 107.11 345,194 369,752 857 370,610 1.00 3.38 3.24 0.19

Total SBA 7,903,766 8,266,444 68,940 8,335,384 1.31 3.82 3.58 4.20 TOTAL OTHER U.S. GOVERNMENT 22,549,551 23,668,174 110,872 23,779,045 0.93 3.44 3.24 11.98 CORPORATE Financial Institutions

340,000 00138CAC2 AIG Global Funding

2.700% 12/15/2021 A+/A2 99.96 102.98 339,874 350,148 408 350,556 0.64 1.46 1.43 0.18

90,000 015271AM1 Alexandria Real Estate Equities Inc

4.000% 01/15/2024 BBB+/Baa1 99.96 110.52 89,962 99,469 1,660 101,129 0.97 3.54 3.21 0.05

180,000 015271AP4 Alexandria Real Estate Equities Inc

3.800% 04/15/2026 BBB+/Baa1 99.91 112.18 179,843 201,919 1,444 203,363 1.59 5.79 5.12 0.10

120,000 025816BS7 American Express Co

3.400% 02/27/2023 BBB+/A3 99.95 106.98 119,940 128,382 1,405 129,787 0.74 2.66 2.46 0.07

150,000 025816BW8 American Express Co

3.700% 08/03/2023 BBB+/A3 99.93 108.75 149,900 163,125 2,282 165,407 0.83 3.09 2.83 0.08

210,000 09659W2G8 BNP Paribas SA

FLT 01/10/2025 A-/Baa1 100.00 110.68 210,000 232,429 4,693 237,123 1.58 3.53 3.22 0.12

200,000 09659W2F0 BNP Paribas SA

4.400% 08/14/2028 A-/Baa1 99.55 115.27 199,095 230,540 3,349 233,889 2.33 8.12 6.87 0.12

100,000 06051GHH5 Bank of America Corp

FLT 05/17/2022 A-/A2 100.00 102.43 100,000 102,433 428 102,861 0.73 0.88 0.87 0.05

190,000 06051GGE3 Bank of America Corp

FLT 01/20/2023 A-/A2 100.00 103.58 190,000 196,795 2,655 199,450 0.80 1.56 1.51 0.10

440,000 06051GGK9 Bank of America Corp

FLT 04/24/2023 A-/A2 100.00 103.66 440,000 456,097 2,359 458,456 0.85 1.82 1.77 0.23

340,000 06051GHF9 Bank of America Corp

FLT 03/05/2024 A-/A2 100.00 106.90 340,000 363,447 3,889 367,336 0.94 2.68 2.55 0.19

130,000 06051GHL6 Bank of America Corp

FLT 07/23/2024 A-/A2 100.00 108.37 130,000 140,876 2,205 143,081 1.08 3.06 2.87 0.07


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

80,000 06051GHW2 Bank of America Corp

FLT 10/22/2025 A-/A2 100.00 105.06 80,000 84,045 377 84,421 1.25 4.31 4.08 0.04

170,000 06051GHY8 Bank of America Corp

FLT 02/13/2026 A-/A2 100.00 103.41 170,000 175,796 1,313 177,110 1.25 4.62 4.38 0.09

420,000 06051GJD2 Bank of America Corp

FLT 06/19/2026 A-/A2 100.00 100.26 420,000 421,093 185 421,278 1.27 4.97 4.80 0.21

490,000 06367WHH9 Bank of Montreal

3.300% 02/05/2024 A-/A2 99.85 108.61 489,257 532,196 6,558 538,754 0.86 3.60 3.38 0.27

210,000 06406RAG2 Bank of New York Mellon Corp/The

3.500% 04/28/2023 A/A1 99.94 108.02 209,865 226,841 1,286 228,128 0.63 2.83 2.70 0.11

140,000 06406RAJ6 Bank of New York Mellon Corp/The

3.450% 08/11/2023 A/A1 99.99 108.58 139,984 152,016 1,878 153,895 0.66 3.12 2.94 0.08

320,000 064159SH0 Bank of Nova Scotia/The

2.000% 11/15/2022 A-/A2 99.98 103.18 319,926 330,167 818 330,985 0.65 2.38 2.32 0.17

340,000 064159MK9 Bank of Nova Scotia/The

3.400% 02/11/2024 A-/A2 99.93 108.41 339,771 368,587 4,496 373,082 1.02 3.62 3.38 0.19

220,000 10112RAV6 Boston Properties LP

3.125% 09/01/2023 A-/Baa1 100.72 105.77 221,588 232,698 2,292 234,989 1.26 3.17 2.77 0.12

330,000 10112RAW4 Boston Properties LP

3.800% 02/01/2024 A-/Baa1 103.28 108.46 340,815 357,920 5,225 363,145 1.37 3.59 3.11 0.18

260,000 808513BB0 Charles Schwab Corp/The

4.200% 03/24/2025 A/A2 99.95 114.74 259,866 298,328 2,942 301,270 1.00 4.73 4.25 0.15

110,000 00440EAT4 Chubb INA Holdings Inc

2.300% 11/03/2020 A/A3 100.00 100.48 109,996 110,531 408 110,939 0.89 0.34 0.27 0.06

150,000 172967LC3 Citigroup Inc

2.900% 12/08/2021 BBB+/A3 99.95 103.01 149,922 154,521 278 154,799 0.79 1.44 1.33 0.08

510,000 172967LG4 Citigroup Inc

2.750% 04/25/2022 BBB+/A3 99.97 103.64 509,865 528,550 2,571 531,121 0.73 1.82 1.69 0.27

450,000 17308CC46 Citigroup Inc

FLT 11/04/2022 BBB+/A3 100.00 101.97 450,000 458,873 1,647 460,520 0.84 1.35 1.32 0.23

80,000 172967LZ2 Citigroup Inc

FLT 06/01/2024 BBB+/A3 100.00 108.72 80,000 86,977 270 87,246 1.01 2.92 2.77 0.04


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

250,000 17401QAE1 Citizens Bank NA/Providence RI

2.550% 05/13/2021 A-/Baa1 99.98 101.64 249,958 254,090 850 254,940 0.66 0.87 0.78 0.13

250,000 17401QAU5 Citizens Bank NA/Providence RI

3.750% 02/18/2026 A-/Baa1 99.97 112.25 249,925 280,617 3,464 284,081 1.48 5.64 4.90 0.14

135,000 200340AS6 Comerica Inc

3.700% 07/31/2023 BBB+/A3 99.99 107.74 134,992 145,448 2,095 147,543 1.14 3.09 2.82 0.07

290,000 2027A0KB4 Commonwealth Bank of Australia

3.350% 06/04/2024 AA-/Aa3 99.95 109.63 289,862 317,936 729 318,665 0.85 3.93 3.70 0.16

380,000 74977RDF8 Cooperatieve Rabobank UA

2.625% 07/22/2024 A-/A3 99.81 106.20 379,260 403,547 4,406 407,952 1.06 4.06 3.83 0.21

255,000 21688AAL6 Cooperatieve Rabobank UA/NY

2.750% 01/10/2023 A+/Aa3 99.96 105.33 254,907 268,595 3,331 271,926 0.62 2.53 2.42 0.14

385,000 225401AD0 Credit Suisse Group AG

FLT 12/14/2023 BBB+/Baa2 100.00 104.08 385,000 400,721 545 401,266 1.30 2.46 2.37 0.20

250,000 225401AG3 Credit Suisse Group AG

FLT 06/12/2024 BBB+/Baa2 100.00 107.47 250,000 268,663 555 269,218 1.60 2.95 2.78 0.14

230,000 25389JAQ9 Digital Realty Trust LP

4.750% 10/01/2025 BBB/Baa2 107.33 115.38 246,857 265,365 2,731 268,096 1.68 5.25 4.49 0.14

80,000 26441YBB2 Duke Realty LP

4.000% 09/15/2028 BBB+/Baa1 99.09 117.37 79,271 93,894 942 94,836 1.72 8.21 6.95 0.05

90,000 313747AT4 Federal Realty Investment Trust

2.750% 06/01/2023 A-/A3 97.08 101.73 87,373 91,559 206 91,765 2.14 2.92 2.57 0.05

45,000 316773CZ1 Fifth Third Bancorp

1.625% 05/05/2023 BBB+/Baa1 99.94 102.57 44,973 46,157 114 46,271 0.71 2.85 2.70 0.02

280,000 316773CY4 Fifth Third Bancorp

2.375% 01/28/2025 BBB+/Baa1 99.97 105.53 279,927 295,498 2,826 298,324 1.13 4.58 4.26 0.15

300,000 38141GVU5 Goldman Sachs Group Inc/The

2.625% 04/25/2021 BBB+/A3 99.99 101.59 299,966 304,780 1,444 306,223 0.68 0.82 0.73 0.15

390,000 38141GWC4 Goldman Sachs Group Inc/The

3.000% 04/26/2022 BBB+/A3 99.89 101.94 389,559 397,552 2,113 399,664 1.91 1.82 0.81 0.20

120,000 38148YAC2 Goldman Sachs Group Inc/The

FLT 10/31/2022 BBB+/A3 100.00 102.52 120,000 123,026 585 123,611 0.97 1.33 1.31 0.06


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

75,000 38141GWM2 Goldman Sachs Group Inc/The

FLT 07/24/2023 BBB+/A3 100.00 103.89 75,000 77,918 950 78,868 1.00 2.07 1.99 0.04

150,000 38141GWN0 Goldman Sachs Group Inc/The

FLT 07/24/2023 BBB+/A3 100.00 100.20 150,000 150,300 572 150,873 1.19 3.07 0.07 0.08

230,000 38141GXE9 Goldman Sachs Group Inc/The

3.625% 02/20/2024 BBB+/A3 99.91 108.74 229,791 250,091 3,034 253,125 1.17 3.64 3.33 0.13

220,000 40139LAD5 Guardian Life Global Funding

2.500% 05/08/2022 AA+/Aa2 99.95 103.62 219,893 227,954 810 228,763 0.54 1.86 1.81 0.12

60,000 40139LAE3 Guardian Life Global Funding

3.400% 04/25/2023 AA+/Aa2 99.93 107.55 59,958 64,531 374 64,905 0.69 2.82 2.69 0.03

200,000 404280BM0 HSBC Holdings PLC

FLT 11/22/2023 A-/A2 100.00 104.44 200,000 208,877 657 209,535 1.15 2.40 2.31 0.11

420,000 404280CE7 HSBC Holdings PLC

FLT 11/07/2025 A-/A2 100.00 103.72 420,000 435,631 1,659 437,290 1.74 4.36 4.10 0.22

400,000 404280BX6 HSBC Holdings PLC

FLT 09/12/2026 A-/A2 100.00 111.24 400,000 444,952 5,198 450,150 2.01 5.20 4.65 0.23

110,000 40414LAQ2 Healthpeak Properties Inc

3.250% 07/15/2026 BBB+/Baa1 99.92 109.29 109,911 120,215 1,648 121,863 1.63 6.04 5.35 0.06

270,000 44644AAE7 Huntington National Bank/The

3.550% 10/06/2023 A-/A3 99.85 109.24 269,604 294,937 2,263 297,201 0.69 3.27 3.01 0.15

160,000 46647PAS5 JPMorgan Chase & Co

FLT 06/18/2022 A-/A2 100.00 102.70 160,000 164,322 203 164,525 0.71 0.97 0.96 0.08

60,000 48128BAB7 JPMorgan Chase & Co

2.972% 01/15/2023 A-/A2 100.43 103.55 60,256 62,128 822 62,950 1.54 2.54 1.49 0.03

110,000 46647PAE6 JPMorgan Chase & Co

FLT 04/25/2023 A-/A2 100.00 103.53 110,000 113,883 560 114,443 0.82 1.82 1.77 0.06

300,000 46625HRL6 JPMorgan Chase & Co

2.700% 05/18/2023 A-/A2 99.88 105.40 299,653 316,205 968 317,172 0.80 2.88 2.63 0.16

40,000 46647PAP1 JPMorgan Chase & Co

FLT 04/23/2024 A-/A2 100.00 107.05 40,000 42,820 269 43,089 1.01 2.81 2.68 0.02

110,000 46647PAU0 JPMorgan Chase & Co

FLT 07/23/2024 A-/A2 100.00 108.48 110,000 119,326 1,833 121,159 0.98 3.06 2.87 0.06


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

200,000 46647PAY2 JPMorgan Chase & Co

FLT 12/05/2024 A-/A2 100.00 110.19 200,000 220,379 581 220,960 0.99 3.43 3.23 0.11

145,000 46647PBF2 JPMorgan Chase & Co

FLT 10/15/2025 A-/A2 100.00 104.75 145,000 151,884 704 152,589 1.37 5.29 4.97 0.08

150,000 46647PBA3 JPMorgan Chase & Co

FLT 01/29/2027 A-/A2 99.96 113.90 149,934 170,857 2,508 173,365 1.37 5.58 5.01 0.09

160,000 46849LTB7 Jackson National Life Global Funding

3.300% 06/11/2021 A+/A1 99.95 102.69 159,915 164,303 293 164,597 0.45 0.95 0.94 0.08

370,000 49327M2Z6 KeyBank NA/Cleveland OH

1.250% 03/10/2023 A-/A3 99.96 101.51 369,844 375,592 1,426 377,018 0.68 2.69 2.64 0.19

180,000 49446RAR0 Kimco Realty Corp

2.700% 03/01/2024 BBB+/Baa1 99.73 102.72 179,513 184,902 1,620 186,522 1.93 3.67 3.34 0.09

130,000 571748BG6 Marsh & McLennan Cos Inc

4.375% 03/15/2029 A-/Baa1 99.98 119.07 129,972 154,793 1,675 156,468 1.98 8.71 7.23 0.08

635,000 57629WCH1 MassMutual Global Funding II

3.400% 03/08/2026 AA+/Aa3 99.83 112.11 633,925 711,911 6,777 718,688 1.19 5.69 5.19 0.36

270,000 59217GDB2 Metropolitan Life Global Funding I

2.400% 06/17/2022 AA-/Aa3 99.91 103.82 269,759 280,308 252 280,560 0.44 1.96 1.93 0.14

150,000 59217GAX7 Metropolitan Life Global Funding I

3.000% 01/10/2023 AA-/Aa3 100.98 105.93 151,475 158,894 2,138 161,031 0.63 2.53 2.42 0.08

150,000 59217GCT4 Metropolitan Life Global Funding I

3.600% 01/11/2024 AA-/Aa3 99.94 109.38 149,911 164,066 2,550 166,616 0.90 3.53 3.29 0.08

30,000 59523UAQ0 Mid-America Apartments LP

3.950% 03/15/2029 BBB+/Baa1 99.75 115.33 29,925 34,598 349 34,947 2.02 8.71 7.33 0.02

120,000 606822AW4 Mitsubishi UFJ Financial Group Inc

3.535% 07/26/2021 A-/A1 100.00 103.18 120,000 123,818 1,826 125,644 0.56 1.07 1.04 0.06

130,000 606822BG8 Mitsubishi UFJ Financial Group Inc

3.218% 03/07/2022 A-/A1 100.00 104.31 130,000 135,604 1,325 136,929 0.64 1.69 1.64 0.07

160,000 606822AP9 Mitsubishi UFJ Financial Group Inc

2.665% 07/25/2022 A-/A1 100.00 103.94 160,000 166,310 1,848 168,158 0.74 2.07 2.00 0.08

80,000 606822AT1 Mitsubishi UFJ Financial Group Inc

3.455% 03/02/2023 A-/A1 100.00 106.90 80,000 85,520 914 86,434 0.84 2.67 2.54 0.04


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

120,000 606822BA1 Mitsubishi UFJ Financial Group Inc

3.761% 07/26/2023 A-/A1 100.10 108.49 120,124 130,183 1,943 132,127 0.95 3.07 2.88 0.07

200,000 606822BN3 Mitsubishi UFJ Financial Group Inc

2.193% 02/25/2025 A-/A1 100.00 103.36 200,000 206,711 1,535 208,246 1.44 4.66 4.39 0.10

220,000 61746BED4 Morgan Stanley

2.625% 11/17/2021 BBB+/A3 99.85 102.79 219,675 226,145 706 226,851 0.59 1.38 1.36 0.11

120,000 61744YAH1 Morgan Stanley

2.750% 05/19/2022 BBB+/A3 99.92 103.96 119,901 124,758 385 125,143 0.63 1.89 1.84 0.06

60,000 61746BDQ6 Morgan Stanley

3.875% 04/29/2024 BBB+/A3 99.77 110.58 59,861 66,347 400 66,747 1.05 3.83 3.57 0.03

220,000 6174468J1 Morgan Stanley

FLT 07/22/2025 BBB+/A3 100.00 106.10 220,000 233,414 2,643 236,057 1.18 4.06 3.82 0.12

215,000 6174468Q5 Morgan Stanley

FLT 04/28/2026 BBB+/A3 100.00 104.12 215,000 223,860 823 224,683 1.30 4.83 4.57 0.11

50,000 61746BEF9 Morgan Stanley

3.625% 01/20/2027 BBB+/A3 96.40 112.90 48,199 56,452 811 57,263 1.55 6.56 5.83 0.03

90,000 637417AL0 National Retail Properties Inc

4.300% 10/15/2028 BBB+/Baa1 99.39 108.89 89,454 98,004 817 98,821 3.08 8.29 6.92 0.05

435,000 64952WDP5 New York Life Global Funding

1.100% 05/05/2023 AA+/Aaa 99.98 102.09 434,913 444,112 718 444,830 0.36 2.85 2.80 0.22

250,000 69353RFP8 PNC Bank NA

FLT 07/22/2022 A/A2 100.00 101.71 250,000 254,276 2,465 256,740 0.61 1.06 1.04 0.13

320,000 69353REF1 PNC Bank NA

3.300% 10/30/2024 A/A2 104.64 110.06 334,833 352,204 1,789 353,993 0.93 4.33 3.98 0.18

410,000 74153WCL1 Pricoa Global Funding I

2.400% 09/23/2024 AA-/Aa3 99.99 105.83 409,969 433,919 2,679 436,598 0.99 4.23 4.01 0.22

120,000 756109AV6 Realty Income Corp

3.875% 04/15/2025 A-/A3 99.65 110.91 119,575 133,086 982 134,068 1.51 4.79 4.26 0.07

300,000 7591EPAP5 Regions Financial Corp

3.800% 08/14/2023 BBB+/Baa2 99.97 108.75 299,921 326,243 4,338 330,581 0.95 3.12 2.86 0.17

650,000 78013XW20 Royal Bank of Canada

3.700% 10/05/2023 A/A2 99.86 109.26 649,090 710,174 5,745 715,920 0.82 3.27 3.08 0.36


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

270,000 828807DB0 Simon Property Group LP

2.625% 06/15/2022 A/A2 99.96 102.79 269,903 277,525 315 277,840 1.18 1.96 1.67 0.14

60,000 857477BC6 State Street Corp

FLT 12/03/2024 A/A1 100.00 110.21 60,000 66,127 176 66,304 0.75 3.43 3.24 0.03

330,000 857477BE2 State Street Corp

FLT 11/01/2025 A/A1 100.00 105.96 330,000 349,666 1,295 350,961 0.95 4.34 4.12 0.18

360,000 86562MBF6 Sumitomo Mitsui Financial Group Inc

3.936% 10/16/2023 A-/A1 100.00 109.87 360,000 395,532 2,952 398,484 0.89 3.30 3.10 0.20

430,000 89114QCB2 Toronto-Dominion Bank/The

3.250% 03/11/2024 A/Aa3 99.90 108.90 429,585 468,249 4,270 472,520 0.80 3.70 3.48 0.24

155,000 86787EAX5 Truist Bank

FLT 08/02/2022 A/A2 100.00 103.15 155,000 159,878 2,247 162,124 0.60 1.09 1.06 0.08

280,000 86787EBC0 Truist Bank

3.200% 04/01/2024 A/A2 99.98 108.42 279,932 303,582 2,240 305,822 0.91 3.75 3.46 0.15

390,000 89788JAA7 Truist Bank

1.500% 03/10/2025 A/A2 99.81 102.64 389,245 400,287 1,820 402,107 0.92 4.69 4.47 0.20

200,000 902674YA2 UBS AG/London

1.750% 04/21/2022 A+/Aa3 99.88 101.91 199,763 203,824 681 204,505 0.69 1.81 1.70 0.10

200,000 90352JAA1 UBS Group AG

3.491% 05/23/2023 A-/A3u 100.00 104.59 199,996 209,187 737 209,924 1.86 2.90 1.84 0.11

160,000 90265EAK6 UDR Inc

4.000% 10/01/2025 BBB+/Baa1 99.20 111.54 158,722 178,458 1,600 180,058 1.69 5.25 4.56 0.09

250,000 90331HNV1 US Bank NA/Cincinnati OH

3.400% 07/24/2023 AA-/A1 99.94 108.09 249,842 270,213 3,707 273,920 0.73 3.07 2.83 0.14

500,000 90331HPL1 US Bank NA/Cincinnati OH

2.050% 01/21/2025 AA-/A1 99.81 105.64 499,025 528,180 4,556 532,735 0.79 4.56 4.27 0.27

300,000 90327QCX5 USAA Capital Corp

2.450% 08/01/2020 AA/Aa1 100.00 100.17 299,997 300,500 3,063 303,562 0.47 0.09 0.09 0.15

150,000 90327QD48 USAA Capital Corp

1.500% 05/01/2023 AA/Aa1 99.88 102.60 149,826 153,897 438 154,335 0.57 2.84 2.77 0.08

270,000 92277GAK3 Ventas Realty LP

3.100% 01/15/2023 BBB+/Baa1 99.67 102.36 269,118 276,372 3,860 280,232 2.14 2.54 2.33 0.14


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

150,000 92277GAH0 Ventas Realty LP

3.125% 06/15/2023 BBB+/Baa1 99.71 102.91 149,559 154,369 208 154,577 2.11 2.96 2.59 0.08

80,000 92277GAT4 Ventas Realty LP

2.650% 01/15/2025 BBB+/Baa1 99.55 100.29 79,637 80,233 978 81,210 2.58 4.54 4.18 0.04

105,000 929043AJ6 Vornado Realty LP

3.500% 01/15/2025 BBB/Baa2 99.73 99.96 104,716 104,958 1,695 106,652 3.51 4.54 4.06 0.05

110,000 95040QAE4 Welltower Inc

3.950% 09/01/2023 BBB+/Baa1 99.98 107.71 109,978 118,485 1,448 119,933 1.45 3.17 2.89 0.06

220,000 95040QAG9 Welltower Inc

3.625% 03/15/2024 BBB+/Baa1 99.75 106.85 219,441 235,069 2,348 237,417 1.71 3.71 3.38 0.12

210,000 961214EC3 Westpac Banking Corp

3.300% 02/26/2024 AA-/Aa3 99.97 108.88 209,942 228,651 2,406 231,058 0.83 3.66 3.43 0.12

80,000 961214EH2 Westpac Banking Corp

2.350% 02/19/2025 AA-/Aa3 99.97 106.15 79,979 84,916 689 85,605 0.99 4.64 4.38 0.04

Total Financial Institutions 25,538,257 27,088,123 207,365 27,295,488 1.07 3.31 3.03 13.75 Financial Institutions-Covered

250,000 06367XD24 Covered Bank of Montreal

2.500% 01/11/2022 N.A./Aaa 99.91 102.97 249,769 257,424 2,951 260,376 0.55 1.53 1.49 0.13

700,000 06416CAC2 Covered Bank of Nova Scotia/The

1.875% 04/26/2021 N.A./Aaa 99.91 101.21 699,361 708,459 2,370 710,829 0.40 0.82 0.82 0.36

150,000 780082AE3 Covered Royal Bank of Canada

2.300% 03/22/2021 N.A./Aaa 99.99 101.42 149,984 152,135 949 153,084 0.34 0.73 0.72 0.08

200,000 8911457V0 Covered Toronto-Dominion Bank/The

2.250% 03/15/2021 N.A./Aaa 99.45 101.31 198,897 202,610 1,325 203,935 0.40 0.71 0.70 0.10

250,000 89117FJB6 Covered Toronto-Dominion Bank/The

3.350% 10/22/2021 N.A./Aaa 99.97 103.76 249,930 259,400 1,605 261,005 0.47 1.31 1.28 0.13

Total Financial Institutions-Covered 1,547,942 1,580,028 9,200 1,589,228 0.43 0.99 0.97 0.80 Industrials

30,000 88579YAX9 3M Co

2.250% 03/15/2023 A+/A1 100.89 104.48 30,268 31,345 199 31,544 0.58 2.71 2.54 0.02

35,000 88579YBM2 3M Co

2.650% 04/15/2025 A+/A1 99.92 108.15 34,973 37,851 242 38,093 0.91 4.79 4.44 0.02


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

200,000 00037BAE2 ABB Finance USA Inc

3.375% 04/03/2023 A/A3 99.96 105.96 199,922 211,917 1,650 213,567 1.17 2.76 2.55 0.11

120,000 00206RGD8 AT&T Inc

FLT 06/12/2024 BBB/Baa2 100.00 100.20 120,000 120,237 95 120,332 1.41 3.95 0.22 0.06

70,000 00206RJX1 AT&T Inc

2.300% 06/01/2027 BBB/Baa2 99.85 103.53 69,898 72,469 148 72,616 1.76 6.92 6.34 0.04

150,000 00206RHJ4 AT&T Inc

4.350% 03/01/2029 BBB/Baa2 99.56 116.60 149,347 174,894 2,175 177,069 2.23 8.67 7.18 0.09

100,000 00287YBE8 AbbVie Inc

3.375% 11/14/2021 BBB+/Baa2 99.93 103.61 99,926 103,608 441 104,049 0.73 1.37 1.34 0.05

350,000 00287YBQ1 AbbVie Inc

2.600% 11/21/2024 BBB+/Baa2 99.92 106.16 349,724 371,564 1,011 372,575 1.16 4.39 4.09 0.19

190,000 00287YBU2 AbbVie Inc

2.950% 11/21/2026 BBB+/Baa2 99.89 108.76 189,792 206,653 623 207,276 1.51 6.39 5.77 0.10

70,000 00507VAL3 Activision Blizzard Inc

2.600% 06/15/2022 BBB+/Baa1 99.88 103.77 69,919 72,639 81 72,720 0.66 1.96 1.84 0.04

35,000 009158BB1 Air Products and Chemicals Inc

1.500% 10/15/2025 A/A2 99.98 103.15 34,993 36,102 89 36,191 0.89 5.29 5.05 0.02

230,000 02665WCJ8 American Honda Finance Corp

3.450% 07/14/2023 A-/A3 99.89 107.60 229,750 247,469 3,681 251,150 0.91 3.04 2.86 0.13

255,000 02665WDD0 American Honda Finance Corp

2.150% 09/10/2024 A-/A3 99.98 104.47 254,940 266,395 1,690 268,086 1.06 4.20 4.00 0.14

60,000 032095AG6 Amphenol Corp

3.200% 04/01/2024 BBB+/Baa1 98.29 107.07 58,973 64,243 480 64,723 1.27 3.75 3.38 0.03

50,000 032095AH4 Amphenol Corp

4.350% 06/01/2029 BBB+/Baa1 99.91 117.97 49,956 58,983 181 59,164 2.13 8.92 7.44 0.03

250,000 032654AR6 Analog Devices Inc

2.950% 01/12/2021 BBB/Baa1 99.92 101.29 249,791 253,216 3,462 256,678 0.52 0.54 0.53 0.13

30,000 032654AS4 Analog Devices Inc

2.950% 04/01/2025 BBB/Baa1 99.52 108.33 29,855 32,500 204 32,704 1.14 4.75 4.38 0.02

450,000 035242AL0 Anheuser-Busch InBev Finance Inc

3.300% 02/01/2023 BBB+/Baa1 99.85 105.92 449,326 476,628 6,188 482,815 0.98 2.59 2.31 0.24


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

60,000 035240AJ9 Anheuser-Busch InBev Worldwide Inc

3.500% 01/12/2024 BBB+/Baa1 99.68 108.96 59,810 65,375 986 66,361 0.92 3.54 3.23 0.03

110,000 03523TBX5 Anheuser-Busch InBev Worldwide Inc

4.150% 01/23/2025 BBB+/Baa1 99.92 113.48 109,914 124,823 2,004 126,826 1.11 4.57 4.08 0.06

350,000 037833CU2 Apple Inc

2.850% 05/11/2024 AA+/Aa1 99.95 107.69 349,808 376,923 1,385 378,308 0.82 3.86 3.52 0.19

145,000 037833DT4 Apple Inc

1.125% 05/11/2025 AA+/Aa1 99.83 102.11 144,747 148,058 227 148,285 0.68 4.86 4.69 0.07

85,000 039482AA2 Archer-Daniels-Midland Co

2.750% 03/27/2025 A/A2 98.87 108.51 84,039 92,237 610 92,847 0.91 4.74 4.38 0.05

150,000 05523RAB3 BAE Systems PLC

4.750% 10/11/2021 BBB/Baa2 102.19 104.44 153,291 156,664 1,583 158,247 1.24 1.28 1.24 0.08

100,000 05565EAR6 BMW US Capital LLC

2.700% 04/06/2022 A/A2 99.97 102.98 99,968 102,982 638 103,620 0.99 1.77 1.64 0.05

340,000 05565EBH7 BMW US Capital LLC

3.150% 04/18/2024 A/A2 99.95 106.42 339,842 361,836 2,172 364,008 1.41 3.80 3.50 0.18

270,000 10373QAJ9 BP Capital Markets America Inc

3.245% 05/06/2022 A-/A1 99.41 104.89 268,414 283,191 1,339 284,529 0.58 1.85 1.80 0.14

300,000 10373QAW0 BP Capital Markets America Inc

3.216% 11/28/2023 A-/A1 98.84 107.35 296,533 322,052 884 322,937 1.02 3.41 3.09 0.16

120,000 10373QAD2 BP Capital Markets America Inc

3.790% 02/06/2024 A-/A1 100.00 109.21 120,000 131,047 1,832 132,879 1.17 3.60 3.28 0.07

95,000 05723KAD2 Baker Hughes a GE Co LLC

2.773% 12/15/2022 A-/A3 100.00 104.22 95,000 99,006 117 99,123 1.03 2.46 2.30 0.05

100,000 071813BV0 Baxter International Inc

3.750% 10/01/2025 A-/Baa1 99.86 113.93 99,862 113,933 990 114,923 1.02 5.25 4.73 0.06

380,000 07274NAE3 Bayer US Finance II LLC

3.875% 12/15/2023 BBB/Baa1 99.79 109.65 379,185 416,681 654 417,335 1.03 3.46 3.19 0.21

240,000 097023CM5 Boeing Co/The

2.700% 02/01/2027 BBB-/Baa2 99.76 97.68 239,424 234,424 2,700 237,124 3.09 6.59 5.90 0.12

175,000 097023CU7 Boeing Co/The

5.040% 05/01/2027 BBB-/Baa2 100.00 110.28 175,000 192,992 1,397 194,388 3.35 6.84 5.72 0.10


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

310,000 110122BZ0 Bristol-Myers Squibb Co

2.900% 07/26/2024 A+/A2 99.67 108.17 308,988 335,340 3,871 339,211 0.85 4.07 3.75 0.17

210,000 126650CJ7 CVS Health Corp

2.800% 07/20/2020 BBB/Baa2 100.00 100.09 209,998 210,189 2,630 212,818 1.16 0.06 0.04 0.11

60,000 126650DE7 CVS Health Corp

2.625% 08/15/2024 BBB/Baa2 99.57 106.78 59,742 64,065 595 64,660 0.95 4.13 3.83 0.03

440,000 126650CW8 CVS Health Corp

4.100% 03/25/2025 BBB/Baa2 99.31 113.09 436,974 497,614 4,811 502,425 1.25 4.73 4.19 0.25

60,000 136385AW1 Canadian Natural Resources Ltd

2.950% 01/15/2023 BBB/Baa2 99.93 103.41 59,959 62,044 816 62,860 1.58 2.54 2.34 0.03

280,000 13645RAP9 Canadian Pacific Railway Co

4.500% 01/15/2022 BBB+/Baa1 102.69 105.01 287,523 294,019 5,810 299,829 1.21 1.54 1.47 0.15

270,000 14149YBF4 Cardinal Health Inc

2.616% 06/15/2022 BBB/Baa2 100.00 103.20 270,000 278,635 314 278,949 0.96 1.96 1.84 0.14

210,000 141781BG8 Cargill Inc

3.250% 03/01/2023 A/A2 99.93 106.68 209,849 224,020 2,275 226,295 0.72 2.67 2.55 0.11

95,000 141781BL7 Cargill Inc

1.375% 07/23/2023 A/A2 99.90 101.73 94,906 96,639 247 96,886 0.80 3.06 2.99 0.05

260,000 14448CAF1 Carrier Global Corp

2.242% 02/15/2025 BBB/Baa3 100.00 102.24 260,000 265,829 2,008 267,837 1.74 4.63 4.32 0.13

380,000 14913Q2E8 Caterpillar Financial Services Corp

2.550% 11/29/2022 A/A3 99.96 104.93 379,841 398,726 861 399,587 0.49 2.42 2.35 0.20

40,000 14913Q2L2 Caterpillar Financial Services Corp

3.450% 05/15/2023 A/A3 99.96 108.32 39,984 43,328 176 43,504 0.53 2.87 2.75 0.02

125,000 14913Q2S7 Caterpillar Financial Services Corp

3.650% 12/07/2023 A/A3 99.96 110.59 124,956 138,238 304 138,542 0.54 3.44 3.26 0.07

110,000 14913Q2V0 Caterpillar Financial Services Corp

2.850% 05/17/2024 A/A3 99.83 107.99 109,815 118,787 383 119,170 0.76 3.88 3.69 0.06

200,000 166764BW9 Chevron Corp

1.554% 05/11/2025 AA/Aa2 100.00 102.83 200,000 205,669 432 206,101 0.96 4.86 4.64 0.10

140,000 166754AQ4 Chevron Phillips Chemical Co LLC

3.300% 05/01/2023 BBB+/A2 99.96 104.47 139,947 146,262 770 147,032 1.68 2.84 2.63 0.07


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

100,000 125523AF7 Cigna Corp

3.750% 07/15/2023 A-/Baa2 99.97 108.55 99,966 108,549 1,729 110,278 0.89 3.04 2.78 0.06

310,000 17252MAM2 Cintas Corp No 2

2.900% 04/01/2022 A-/A3 98.36 103.85 304,910 321,938 2,248 324,185 0.69 1.75 1.63 0.16

310,000 20030NBX8 Comcast Corp

3.000% 02/01/2024 A-/A3 100.60 107.55 311,873 333,395 3,875 337,270 0.86 3.59 3.31 0.17

190,000 20030NCR0 Comcast Corp

3.700% 04/15/2024 A-/A3 99.96 110.68 189,924 210,288 1,484 211,772 0.83 3.79 3.48 0.11

85,000 20030NDK4 Comcast Corp

3.300% 04/01/2027 A-/A3 99.74 112.15 84,781 95,325 732 96,057 1.41 6.75 5.99 0.05

150,000 233851DB7 Daimler Finance North America LLC

3.000% 02/22/2021 BBB+/A3 99.97 101.20 149,951 151,804 1,613 153,416 1.13 0.65 0.64 0.08

510,000 233851DU5 Daimler Finance North America LLC

2.550% 08/15/2022 BBB+/A3 99.97 102.57 509,865 523,104 4,913 528,017 1.32 2.13 2.05 0.27

150,000 233851DY7 Daimler Finance North America LLC

1.750% 03/10/2023 BBB+/A3 99.83 100.72 149,749 151,085 809 151,895 1.48 2.69 2.61 0.08

260,000 244199BH7 Deere & Co

2.750% 04/15/2025 A/A2 99.87 109.20 259,663 283,923 1,807 285,730 0.79 4.79 4.43 0.14

200,000 25243YAY5 Diageo Capital PLC

3.500% 09/18/2023 A-/A3 99.86 108.54 199,717 217,085 2,003 219,088 0.81 3.22 2.96 0.11

110,000 26078JAC4 DuPont de Nemours Inc

4.493% 11/15/2025 BBB+/Baa1 100.00 115.02 110,000 126,522 632 127,154 1.57 5.38 4.70 0.06

370,000 26078JAD2 DuPont de Nemours Inc

4.725% 11/15/2028 BBB+/Baa1 100.00 120.30 370,000 445,096 2,234 447,329 2.07 8.38 6.96 0.23

60,000 263534CN7 EI du Pont de Nemours and Co

1.700% 07/15/2025 A-/A3 99.91 103.25 59,947 61,948 130 62,078 1.04 5.04 4.79 0.03

110,000 278062AC8 Eaton Corp

2.750% 11/02/2022 A-/Baa1 100.69 105.18 110,755 115,700 496 116,196 0.52 2.34 2.27 0.06

170,000 291011BL7 Emerson Electric Co

1.800% 10/15/2027 A/A2 99.91 103.44 169,850 175,854 527 176,381 1.30 7.29 6.78 0.09

150,000 29379VBK8 Enterprise Products Operating LLC

2.850% 04/15/2021 BBB+/Baa1 99.98 101.58 149,974 152,372 903 153,275 0.84 0.79 0.70 0.08


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

70,000 29379VBS1 Enterprise Products Operating LLC

3.500% 02/01/2022 BBB+/Baa1 99.99 104.24 69,994 72,971 1,021 73,992 0.80 1.59 1.53 0.04

320,000 294429AK1 Equifax Inc

2.300% 06/01/2021 BBB/Baa2 99.90 101.43 319,671 324,575 613 325,188 0.74 0.92 0.83 0.16

40,000 294429AN5 Equifax Inc

3.950% 06/15/2023 BBB/Baa2 99.37 108.09 39,749 43,237 70 43,307 1.16 2.96 2.73 0.02

140,000 294429AQ8 Equifax Inc

2.600% 12/01/2024 BBB/Baa2 99.81 105.76 139,727 148,062 303 148,366 1.26 4.42 4.12 0.07

185,000 29446MAD4 Equinor ASA

2.875% 04/06/2025 AA-/Aa2 99.97 107.90 184,950 199,609 1,256 200,865 1.17 4.77 4.39 0.10

30,000 29446MAJ1 Equinor ASA

1.750% 01/22/2026 AA-/Aa2 99.61 102.43 29,882 30,729 57 30,786 1.30 5.56 5.26 0.02

250,000 30231GBL5 Exxon Mobil Corp

1.571% 04/15/2023 AA/Aa1 100.00 102.63 250,000 256,579 829 257,408 0.62 2.79 2.73 0.13

180,000 31428XBY1 FedEx Corp

3.800% 05/15/2025 BBB/Baa2 99.73 111.16 179,522 200,090 1,596 201,686 1.42 4.87 4.40 0.10

170,000 31428XBR6 FedEx Corp

4.200% 10/17/2028 BBB/Baa2 99.90 112.47 169,824 191,192 1,468 192,660 2.52 8.30 6.96 0.10

390,000 337738AQ1 Fiserv Inc

3.800% 10/01/2023 BBB/Baa2 99.97 109.26 389,882 426,115 3,705 429,820 0.90 3.25 2.99 0.22

300,000 340711AW0 Florida Gas Transmission Co LLC

4.350% 07/15/2025 BBB+/Baa2 102.09 112.23 306,266 336,702 6,018 342,719 1.80 5.04 4.31 0.17

230,000 345397ZU0 Ford Motor Credit Co LLC

3.350% 11/01/2022 BB+/Ba2 99.96 95.78 229,907 220,289 1,284 221,574 5.29 2.34 2.19 0.11

356,000 34959JAF5 Fortive Corp

2.350% 06/15/2021 BBB/Baa1 99.51 101.26 354,249 360,488 372 360,860 1.03 0.96 0.87 0.18

60,000 34964CAC0 Fortune Brands Home & Security Inc

4.000% 09/21/2023 BBB+/Baa3 99.98 109.09 59,988 65,453 667 66,120 1.12 3.23 2.95 0.03

225,000 369550BL1 General Dynamics Corp

3.500% 04/01/2027 A/A2 99.18 114.33 223,156 257,249 2,100 259,349 1.28 6.75 5.96 0.13

130,000 370334CA0 General Mills Inc

2.600% 10/12/2022 BBB/Baa2 99.99 104.18 129,991 135,432 742 136,174 0.75 2.28 2.14 0.07


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

60,000 370334CE2 General Mills Inc

3.700% 10/17/2023 BBB/Baa2 99.86 108.80 59,919 65,282 456 65,739 0.98 3.30 3.04 0.03

130,000 37045XCP9 General Motors Financial Co Inc

4.200% 11/06/2021 BBB/Baa3 100.02 102.55 130,022 133,318 834 134,152 2.27 1.35 1.31 0.07

120,000 37045XCU8 General Motors Financial Co Inc

3.550% 07/08/2022 BBB/Baa3 99.96 102.53 119,949 123,032 2,047 125,079 2.26 2.02 1.92 0.06

130,000 37331NAG6 Georgia-Pacific LLC

3.163% 11/15/2021 A+/A3 101.11 102.80 131,438 133,638 525 134,163 1.11 1.38 1.19 0.07

150,000 37331NAJ0 Georgia-Pacific LLC

1.750% 09/30/2025 A+/A3 99.98 103.16 149,971 154,745 445 155,189 1.13 5.25 4.97 0.08

420,000 377372AL1 GlaxoSmithKline Capital Inc

3.375% 05/15/2023 A/A2 99.72 107.82 418,827 452,854 1,811 454,665 0.63 2.87 2.75 0.23

230,000 406216BL4 Halliburton Co

2.920% 03/01/2030 BBB+/Baa1 99.97 94.85 229,942 218,155 2,201 220,356 3.55 9.67 8.25 0.11

170,000 42824CBC2 Hewlett Packard Enterprise Co

3.500% 10/05/2021 BBB/Baa2 99.94 103.17 169,900 175,391 1,421 176,813 0.97 1.27 1.16 0.09

110,000 42824CBB4 Hewlett Packard Enterprise Co

FLT 10/05/2021 BBB/Baa2 100.00 99.81 110,000 109,786 550 110,336 1.14 1.27 0.02 0.06

135,000 42824CBE8 Hewlett Packard Enterprise Co

2.250% 04/01/2023 BBB/Baa2 99.98 103.00 134,979 139,045 759 139,804 1.14 2.75 2.58 0.07

135,000 42824CBG3 Hewlett Packard Enterprise Co

4.450% 10/02/2023 BBB/Baa2 99.96 109.11 134,944 147,293 1,368 148,661 1.57 3.26 2.96 0.07

180,000 437076CA8 Home Depot Inc/The

2.500% 04/15/2027 A/A2 99.53 109.56 179,152 197,207 1,138 198,344 1.04 6.79 6.19 0.10

80,000 438516CB0 Honeywell International Inc

1.350% 06/01/2025 A/A2 99.99 102.41 79,992 81,932 129 82,061 0.85 4.92 4.72 0.04

320,000 44932HAH6 IBM Credit LLC

3.000% 02/06/2023 A/A2 99.30 106.39 317,747 340,443 3,867 344,309 0.52 2.60 2.49 0.17

355,000 458140BQ2 Intel Corp

3.750% 03/25/2027 A+/A1 99.81 116.42 354,331 413,303 3,550 416,853 1.21 6.73 5.92 0.21

350,000 459200JY8 International Business Machines Corp

3.000% 05/15/2024 A/A2 99.70 108.29 348,947 379,016 1,342 380,357 0.82 3.87 3.67 0.19


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

130,000 24422EUA5 John Deere Capital Corp

2.700% 01/06/2023 A/A2 99.96 105.42 129,950 137,046 1,706 138,752 0.53 2.52 2.42 0.07

130,000 24422EUM9 John Deere Capital Corp

3.650% 10/12/2023 A/A2 99.99 109.95 129,984 142,935 1,041 143,977 0.59 3.28 3.10 0.07

65,000 24422EVF3 John Deere Capital Corp

1.750% 03/09/2027 A/A2 99.94 103.99 64,959 67,593 354 67,947 1.13 6.69 6.31 0.03

220,000 512807AS7 Lam Research Corp

3.750% 03/15/2026 A-/A3 99.91 114.31 219,799 251,491 2,429 253,920 1.15 5.71 5.04 0.13

105,000 55336VAQ3 MPLX LP

3.375% 03/15/2023 BBB/Baa2 99.96 104.28 104,962 109,497 1,043 110,540 1.75 2.71 2.49 0.06

220,000 56585AAL6 Marathon Petroleum Corp

3.400% 12/15/2020 BBB/Baa2 100.50 100.95 221,100 222,094 332 222,426 1.31 0.46 0.39 0.11

165,000 56585ABH4 Marathon Petroleum Corp

4.700% 05/01/2025 BBB/Baa2 99.81 111.95 164,688 184,711 1,379 186,089 2.09 4.84 4.28 0.09

185,000 57636QAR5 Mastercard Inc

3.300% 03/26/2027 A+/A1 99.73 113.26 184,501 209,530 1,611 211,141 1.24 6.74 5.99 0.11

75,000 57772KAB7 Maxim Integrated Products Inc

3.375% 03/15/2023 BBB+/Baa1 101.47 103.86 76,101 77,898 745 78,643 1.91 2.71 2.34 0.04

165,000 579780AL1 McCormick & Co Inc/MD

2.700% 08/15/2022 BBB/Baa2 100.00 104.19 164,993 171,920 1,683 173,603 0.71 2.13 1.98 0.09

80,000 58013MFL3 McDonald's Corp

1.450% 09/01/2025 BBB+/Baa1 99.83 102.52 79,861 82,016 374 82,390 0.95 5.17 4.93 0.04

360,000 58013MFP4 McDonald's Corp

3.500% 07/01/2027 BBB+/Baa1 99.53 113.55 358,296 408,776 3,290 412,066 1.46 7.00 6.16 0.21

235,000 585055BS4 Medtronic Inc

3.500% 03/15/2025 A/A3 103.45 112.85 243,097 265,186 2,422 267,608 0.72 4.71 4.36 0.13

190,000 595017AP9 Microchip Technology Inc

4.333% 06/01/2023 BB+u/Baa3 100.00 107.88 190,000 204,964 686 205,650 1.56 2.92 2.68 0.10

200,000 60920LAF1 Mondelez International Holdings Netherlands BV

2.250% 09/19/2024 BBB/A3 99.89 105.20 199,775 210,402 1,275 211,677 0.99 4.22 3.95 0.11

180,000 609207AQ8 Mondelez International Inc

3.625% 05/07/2023 BBB/Baa1 99.85 107.70 179,725 193,851 979 194,830 0.89 2.85 2.65 0.10


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

150,000 654106AJ2 NIKE Inc

2.750% 03/27/2027 AA-/A1 99.99 110.16 149,981 165,234 1,077 166,312 1.18 6.74 6.09 0.08

70,000 655844CA4 Norfolk Southern Corp

3.650% 08/01/2025 BBB+/Baa1 99.84 112.89 69,887 79,020 1,065 80,084 1.04 5.09 4.51 0.04

275,000 666807BQ4 Northrop Grumman Corp

2.550% 10/15/2022 BBB/Baa2 99.99 104.49 274,982 287,355 1,480 288,835 0.58 2.29 2.14 0.15

130,000 67077MAV0 Nutrien Ltd

1.900% 05/13/2023 BBB/Baa2 99.91 103.20 129,888 134,154 329 134,483 0.77 2.87 2.79 0.07

340,000 674599CW3 Occidental Petroleum Corp

2.900% 08/15/2024 BB+/Ba2 99.89 85.45 339,633 290,523 3,725 294,248 7.02 4.13 3.72 0.15

260,000 68389XBR5 Oracle Corp

2.625% 02/15/2023 A/A3 99.97 105.17 259,921 273,451 2,578 276,030 0.64 2.63 2.45 0.14

110,000 68389XAU9 Oracle Corp

3.400% 07/08/2024 A/A3 99.56 109.48 109,517 120,426 1,797 122,223 0.99 4.02 3.52 0.06

150,000 68389XBS3 Oracle Corp

2.950% 11/15/2024 A/A3 97.34 108.39 146,017 162,591 565 163,156 0.99 4.38 3.98 0.08

375,000 68389XBT1 Oracle Corp

2.500% 04/01/2025 A/A3 99.96 107.10 374,868 401,633 2,342 403,976 0.97 4.75 4.42 0.20

230,000 68902VAD9 Otis Worldwide Corp

2.056% 04/05/2025 BBB/Baa2 100.00 104.91 229,999 241,291 1,629 242,920 1.00 4.76 4.47 0.12

145,000 69371RQ74 PACCAR Financial Corp

2.650% 04/06/2023 A+/A1 99.95 105.54 144,932 153,032 897 153,928 0.63 2.77 2.67 0.08

190,000 693506BQ9 PPG Industries Inc

2.400% 08/15/2024 BBB+/A3 99.86 105.97 189,726 201,348 1,723 203,070 0.92 4.13 3.85 0.10

110,000 70109HAK1 Parker-Hannifin Corp

3.500% 09/15/2022 BBB+/Baa1 100.43 105.42 110,474 115,960 1,134 117,093 1.01 2.21 2.12 0.06

220,000 701094AM6 Parker-Hannifin Corp

2.700% 06/14/2024 BBB+/Baa1 101.47 106.45 223,225 234,193 281 234,473 1.03 3.96 3.69 0.12

80,000 70450YAF0 PayPal Holdings Inc

1.350% 06/01/2023 BBB+/A3 99.91 101.95 79,929 81,561 129 81,690 0.67 2.92 2.86 0.04

45,000 718546AU8 Phillips 66

3.700% 04/06/2023 BBB+/A3 99.89 106.90 44,952 48,105 379 48,484 1.16 2.77 2.62 0.02


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

45,000 718546AV6 Phillips 66

3.850% 04/09/2025 BBB+/A3 99.95 110.84 44,977 49,879 395 50,273 1.49 4.78 4.31 0.03

200,000 75625QAC3 Reckitt Benckiser Treasury Services PLC

2.375% 06/24/2022 A-/A3 99.96 103.03 199,923 206,058 92 206,150 0.83 1.98 1.86 0.10

315,000 77578JAA6 Rolls-Royce PLC

2.375% 10/14/2020 BB/Baa3 100.01 99.79 315,045 314,348 1,600 315,948 3.09 0.29 0.29 0.16

270,000 776743AA4 Roper Technologies Inc

3.000% 12/15/2020 BBB+/Baa2 100.47 100.90 271,273 272,443 360 272,803 1.03 0.46 0.39 0.14

80,000 776743AE6 Roper Technologies Inc

3.650% 09/15/2023 BBB+/Baa2 99.90 108.73 79,922 86,988 860 87,847 0.88 3.21 2.95 0.04

110,000 776743AH9 Roper Technologies Inc

2.350% 09/15/2024 BBB+/Baa2 99.85 105.40 109,830 115,935 761 116,696 1.04 4.21 3.93 0.06

80,000 78355HKM0 Ryder System Inc

2.875% 06/01/2022 BBB/Baa2 99.96 103.47 79,970 82,779 192 82,970 1.04 1.92 1.79 0.04

250,000 78355HKL2 Ryder System Inc

3.650% 03/18/2024 BBB/Baa2 99.93 106.83 249,827 267,077 2,611 269,688 1.74 3.72 3.39 0.14

35,000 80685XAA9 Schlumberger Finance Canada Ltd

2.200% 11/20/2020 A/A2 99.98 100.63 34,994 35,221 88 35,309 0.58 0.39 0.40 0.02

340,000 822582BZ4 Shell International Finance BV

3.500% 11/13/2023 AA-/Aa2 99.71 108.79 339,016 369,893 1,587 371,479 0.85 3.37 3.12 0.19

210,000 822582CC4 Shell International Finance BV

2.000% 11/07/2024 AA-/Aa2 99.75 104.68 209,478 219,824 630 220,454 0.90 4.36 4.11 0.11

70,000 822582CF7 Shell International Finance BV

2.375% 04/06/2025 AA-/Aa2 99.79 106.15 69,853 74,307 393 74,699 1.05 4.77 4.44 0.04

14,000 824348AU0 Sherwin-Williams Co/The

2.750% 06/01/2022 BBB-/Baa3 99.98 103.28 13,997 14,460 32 14,492 1.02 1.92 1.79 0.01

160,000 854502AK7 Stanley Black & Decker Inc

3.400% 03/01/2026 A/Baa1 99.94 112.30 159,909 179,674 1,813 181,488 1.15 5.67 5.05 0.09

50,000 855244AY5 Starbucks Corp

1.300% 05/07/2022 BBB+/Baa1 99.94 101.42 49,969 50,711 98 50,809 0.53 1.85 1.83 0.03

145,000 87612EBL9 Target Corp

2.250% 04/15/2025 A/A2 99.84 106.95 144,771 155,079 825 155,904 0.77 4.79 4.49 0.08


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

110,000 883556BN1 Thermo Fisher Scientific Inc

3.000% 04/15/2023 BBB+/Baa1 99.79 105.97 109,773 116,562 697 117,259 0.83 2.79 2.52 0.06

115,000 883556CF7 Thermo Fisher Scientific Inc

4.133% 03/25/2025 BBB+/Baa1 100.00 114.02 115,000 131,120 1,267 132,387 1.09 4.73 4.25 0.07

330,000 89153UAF8 Total Capital Canada Ltd

2.750% 07/15/2023 A+/Aa3 97.53 106.83 321,855 352,533 4,185 356,718 0.49 3.04 2.90 0.18

100,000 89153VAS8 Total Capital International SA

2.434% 01/10/2025 A+/Aa3 100.00 106.26 100,000 106,263 1,156 107,419 1.02 4.53 4.07 0.05

280,000 892331AC3 Toyota Motor Corp

3.419% 07/20/2023 A+/A1 100.00 107.99 280,000 302,366 4,281 306,647 0.77 3.06 2.88 0.15

100,000 89236THA6 Toyota Motor Credit Corp

1.350% 08/25/2023 A+/A1 99.96 101.90 99,964 101,897 131 102,028 0.74 3.15 3.08 0.05

130,000 89236TFN0 Toyota Motor Credit Corp

3.450% 09/20/2023 A+/A1 99.87 108.69 129,831 141,303 1,258 142,561 0.72 3.22 3.05 0.07

350,000 456873AE8 Trane Technologies Luxembourg Finance SA

3.500% 03/21/2026 BBB/Baa2 102.87 109.31 360,058 382,585 3,403 385,987 1.78 5.72 5.08 0.19

320,000 907818EU8 Union Pacific Corp

3.500% 06/08/2023 A-/Baa1 99.94 108.39 319,809 346,847 716 347,563 0.62 2.94 2.74 0.18

80,000 907818FA1 Union Pacific Corp

3.150% 03/01/2024 A-/Baa1 99.94 108.49 79,951 86,794 840 87,634 0.80 3.67 3.38 0.04

170,000 911312BX3 United Parcel Service Inc

3.900% 04/01/2025 A-/A2 99.90 113.48 169,830 192,913 1,786 194,699 0.99 4.75 4.29 0.10

490,000 91324PDJ8 UnitedHealth Group Inc

3.500% 06/15/2023 A+/A3 99.97 108.91 489,849 533,643 762 534,405 0.46 2.96 2.83 0.27

170,000 92343VDY7 Verizon Communications Inc

4.125% 03/16/2027 BBB+/Baa1 110.30 117.95 187,505 200,519 2,045 202,565 1.32 6.71 5.93 0.10

120,000 92857WBJ8 Vodafone Group PLC

4.125% 05/30/2025 BBB/Baa2 99.45 113.38 119,341 136,050 426 136,477 1.31 4.92 4.50 0.07

200,000 928668AZ5 Volkswagen Group of America Finance LLC

2.700% 09/26/2022 BBB+/A3 99.97 103.30 199,944 206,599 1,425 208,024 1.20 2.24 2.16 0.10

190,000 96145DAB1 WRKCo Inc

3.000% 09/15/2024 BBB/Baa2 101.51 106.30 192,871 201,972 1,678 203,650 1.45 4.21 3.81 0.10


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

440,000 254687FN1 Walt Disney Co/The

3.350% 03/24/2025 A-/A2 99.95 110.85 439,770 487,757 4,013 491,769 1.00 4.73 4.38 0.25

190,000 94106LBF5 Waste Management Inc

2.950% 06/15/2024 A-/Baa1 100.00 102.37 189,993 194,509 249 194,758 2.32 3.96 3.68 0.10

Total Industrials 30,124,236 32,094,234 224,271 32,318,505 1.21 3.71 3.39 16.28 Utility

130,000 00108WAD2 AEP Texas Inc

2.400% 10/01/2022 A-/Baa1 99.92 103.82 129,897 134,970 780 135,750 0.69 2.25 2.11 0.07

140,000 01882YAA4 Alliant Energy Finance LLC

3.750% 06/15/2023 BBB+/Baa2 99.97 107.27 139,957 150,176 233 150,410 1.24 2.96 2.74 0.08

150,000 26442CAQ7 Duke Energy Carolinas LLC

2.500% 03/15/2023 A/Aa2 99.98 104.17 149,976 156,252 1,104 157,356 0.94 2.71 2.46 0.08

430,000 26442CAV6 Duke Energy Carolinas LLC

3.050% 03/15/2023 A/Aa2 99.94 106.39 429,723 457,463 3,862 461,325 0.67 2.71 2.52 0.23

500,000 29364DAR1 Entergy Arkansas LLC

3.050% 06/01/2023 A/A2 102.29 106.03 511,432 530,139 1,271 531,410 0.95 2.92 2.57 0.27

70,000 341081FZ5 Florida Power & Light Co

2.850% 04/01/2025 A+/Aa2 99.90 109.58 69,932 76,704 521 77,224 0.79 4.75 4.39 0.04

340,000 461070AL8 Interstate Power and Light Co

3.250% 12/01/2024 A-/Baa1 98.95 108.53 336,427 369,010 921 369,931 1.26 4.42 3.93 0.19

280,000 610202BN2 Monongahela Power Co

4.100% 04/15/2024 A-/A3 101.67 110.53 284,685 309,485 2,424 311,908 1.25 3.79 3.31 0.16

320,000 65339KAS9 NextEra Energy Capital Holdings Inc

2.403% 09/01/2021 BBB+/Baa1 100.14 102.26 320,447 327,228 2,563 329,792 0.46 1.17 1.15 0.17

150,000 65339KBG4 NextEra Energy Capital Holdings Inc

3.150% 04/01/2024 BBB+/Baa1 100.00 108.60 150,000 162,894 1,181 164,076 0.82 3.75 3.46 0.08

360,000 68233JBM5 Oncor Electric Delivery Co LLC

2.750% 06/01/2024 A+/A2 99.98 108.18 359,934 389,456 825 390,281 0.63 3.92 3.66 0.20

340,000 693304AP2 PECO Energy Co

2.375% 09/15/2022 A/Aa3 98.25 103.53 334,065 352,014 2,378 354,391 0.76 2.21 1.91 0.18

210,000 695114CQ9 PacifiCorp

2.950% 06/01/2023 A+/A1 99.15 105.79 208,214 222,165 516 222,681 0.94 2.92 2.57 0.11


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

300,000 695114CR7 PacifiCorp

3.600% 04/01/2024 A+/A1 99.65 109.42 298,958 328,275 2,700 330,975 1.03 3.75 3.30 0.17

235,000 744448CH2 Public Service Co of Colorado

2.500% 03/15/2023 A/A1 100.34 104.03 235,801 244,478 1,730 246,208 0.99 2.71 2.14 0.12

200,000 74456QBW5 Public Service Electric and Gas Co

3.250% 09/01/2023 A/Aa3 99.88 107.91 199,768 215,823 2,167 217,989 0.72 3.17 2.93 0.11

65,000 816851BF5 Sempra Energy

2.900% 02/01/2023 BBB+/Baa2 99.80 104.48 64,870 67,910 785 68,695 1.14 2.59 2.40 0.03

310,000 842400GD9 Southern California Edison Co

2.400% 02/01/2022 A-/A3 100.05 101.55 310,164 314,796 3,100 317,896 1.41 1.59 1.38 0.16

140,000 92939UAA4 WEC Energy Group Inc

3.375% 06/15/2021 BBB+/Baa1 99.99 102.80 139,982 143,920 210 144,130 0.44 0.96 0.95 0.07

175,000 92939UAB2 WEC Energy Group Inc

3.100% 03/08/2022 BBB+/Baa1 99.96 104.12 174,937 182,202 1,703 183,904 0.64 1.69 1.64 0.09

Total Utility 4,849,168 5,135,359 30,973 5,166,333 0.89 2.86 2.57 2.60 TOTAL CORPORATE 62,059,602 65,897,745 471,810 66,369,554 1.11 3.41 3.12 33.43 ASSET BACKED Auto Lease Backed

212,587 34531LAD2 Ford Credit Auto Lease Trust

3.190% 12/15/2021 N.A./Aaa 100.00 100.69 212,578 214,045 301 214,346 0.98 0.31 0.31 0.11

123,098 36256GAD1 GM Financial Automobile Leasing Trust 2018-3

3.180% 06/21/2021 AAA/Aaa 100.00 100.51 123,093 123,731 120 123,850 0.63 0.20 0.19 0.06

545,000 36259PAD8 GM Financial Automobile Leasing Trust 2020-2

0.800% 07/20/2023 AAA/Aaa 99.99 100.16 544,931 545,845 170 546,015 0.72 1.93 1.91 0.28

Total Auto Lease Backed 880,603 883,620 591 884,211 0.77 1.30 1.28 0.45 Auto Loan Backed

98,252 13976MAC8 Capital Auto Receivables Asset Trust 2018-1

2.790% 01/20/2022 AAA/N.A. 99.99 100.39 98,245 98,638 84 98,722 0.29 0.16 0.15 0.05

220,000 34531FAA1 Ford Credit Auto Owner Tr

2.620% 08/15/2028 AAA/Aaa 99.98 102.80 219,966 226,161 256 226,417 0.89 1.63 1.59 0.11


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

520,000 34529SAA7 Ford Credit Auto Owner Trust 2017-REV2

2.360% 03/15/2029 N.A./Aaa 99.99 102.89 519,956 535,045 545 535,591 1.04 2.21 2.15 0.27

450,000 34528HAA2 Ford Credit Auto Owner Trust 2018-REV2

3.470% 01/15/2030 N.A./Aaa 100.00 105.82 449,986 476,196 694 476,890 1.52 3.04 2.88 0.24

795,000 34533GAD1 Ford Credit Auto Owner Trust 2020-B

0.560% 10/15/2024 AAA/N.A. 99.99 100.14 794,892 796,102 270 796,372 0.50 2.16 2.14 0.40

675,000 34531NAA4 Ford Credit Auto Owner Trust 2020-REV1

2.040% 08/15/2031 AAA/Aaa 99.97 101.61 674,775 685,898 612 686,510 1.68 4.63 4.41 0.35

417,116 43815HAC1 Honda Auto Receivables 2018-3 Owner Trust

2.950% 08/22/2022 N.A./Aaa 99.99 101.75 417,083 424,431 342 424,773 0.00 0.58 0.58 0.21

760,000 43813DAC2 Honda Auto Receivables 2020-2 Owner Trust

0.820% 07/15/2024 AAA/Aaa 99.99 100.67 759,942 765,090 277 765,367 0.50 2.10 2.08 0.39

655,000 58769VAC4 Mercedes-Benz Auto Receivables Trust 2020-1

0.550% 02/18/2025 AAA/N.A. 99.99 100.03 654,949 655,204 80 655,284 0.54 2.32 2.30 0.33

400,000 89231XAA9 Toyota Auto Loan Extended Note Trust 2019-1

2.560% 11/25/2031 AAA/Aaa 99.97 106.43 399,877 425,732 171 425,903 0.89 3.90 3.72 0.21

535,000 89237JAA4 Toyota Auto Loan Extended Note Trust 2020-1

1.350% 05/25/2033 AAA/Aaa 100.00 101.50 534,984 543,018 461 543,479 1.04 4.90 4.74 0.27

Total Auto Loan Backed 5,524,654 5,631,515 3,793 5,635,308 0.84 2.76 2.68 2.84 Credit Card Backed

810,000 02582JHJ2 American Express Credit Account Master Trust

2.040% 05/15/2023 AAA/N.A. 99.99 100.48 809,935 813,899 734 814,633 0.39 0.29 0.28 0.41

580,000 02582JJF8 American Express Credit Account Master Trust

3.060% 02/15/2024 N.A./Aaa 99.99 102.75 579,941 595,954 789 596,743 0.41 1.04 1.02 0.30

500,000 02582JJH4 American Express Credit Account Master Trust

3.180% 04/15/2024 AAA/N.A. 99.99 103.43 499,953 517,159 707 517,866 0.34 1.21 1.18 0.26

575,000 14041NFN6 Capital One Multi-Asset Execution Trust

1.990% 07/17/2023 AAA/N.A. 100.00 100.33 574,976 576,887 509 577,395 0.41 0.21 0.20 0.29

770,000 254683CH6 Discover Card Execution Note Trust

3.320% 03/15/2024 N.A./Aaa 100.00 103.52 769,985 797,069 1,136 798,206 0.40 1.21 1.18 0.40

Total Credit Card Backed 3,234,791 3,300,968 3,875 3,304,842 0.39 0.77 0.76 1.66


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

Other Asset Backed

264,635 04033BAB4 ARI Fleet Lease Trust 2018-B

3.220% 08/16/2027 AAA/N.A. 100.00 101.19 264,630 267,779 379 268,158 1.14 0.58 0.57 0.14

765,000 55315XAD3 MMAF Equipment Finance LLC 2017-A

2.410% 08/16/2024 N.A./Aaa 99.99 101.83 764,895 779,026 768 779,794 0.71 1.08 1.06 0.39

408,677 55316AAC4 MMAF Equipment Finance LLC 2017-B

2.210% 10/17/2022 N.A./Aaa 100.00 100.79 408,672 411,904 401 412,305 0.66 0.51 0.50 0.21

535,000 60700DAC2 MMAF Equipment Finance LLC 2018-A

3.200% 09/12/2022 N.A./Aaa 99.99 101.69 534,973 544,052 999 545,051 0.59 0.65 0.64 0.27

555,000 60700FAE3 MMAF Equipment Finance LLC 2019-A

2.840% 11/13/2023 N.A./Aaa 99.99 103.10 554,934 572,205 919 573,124 0.72 1.47 1.43 0.29

595,000 55316EAC6 MMAF Equipment Finance LLC 2019-B

2.010% 12/12/2024 N.A./Aaa 99.98 103.09 594,870 613,377 631 614,008 0.73 2.43 2.36 0.31

226,323 92348RAA6 Verizon Owner Trust 2017-3

2.060% 04/20/2022 AAA/N.A. 99.99 100.33 226,304 227,074 142 227,216 0.04 0.16 0.16 0.11

260,000 92348XAA3 Verizon Owner Trust 2018-A

3.230% 04/20/2023 AAA/Aaa 100.00 102.20 259,999 265,725 257 265,982 0.42 0.79 0.77 0.13

595,000 92347YAA2 Verizon Owner Trust 2019-A

2.930% 09/20/2023 AAA/Aaa 99.99 102.93 594,918 612,433 533 612,966 0.48 1.20 1.17 0.31

Total Other Asset Backed 4,204,194 4,293,576 5,029 4,298,606 0.63 1.13 1.11 2.17 Stranded Utilities

178,510 69363PAA8 PSNH Funding LLC 3

3.094% 02/01/2026 AAA/Aaa 100.00 103.06 178,514 183,968 2,301 186,269 1.28 1.72 1.67 0.09

Total Stranded Utilities 178,514 183,968 2,301 186,269 1.28 1.72 1.64 0.09 Student Loans FFELP (NAUC)

113,981 28108QAA2 EdLinc Student Loan Funding Trust 2012-1

FLT 09/25/2030 AAA/N.A. 100.35 99.21 114,379 113,086 23 113,109 2.01 0.93 0.13 0.06

481,366 28137QAA7 Edsouth Indenture No 3 LLC

FLT 04/25/2039 AAA/N.A. 100.24 98.46 482,519 473,975 74 474,049 1.54 2.72 0.91 0.24

504,985 28148WAB9 Edu Fund of South

FLT 04/25/2035 AAA/Aaa 100.00 98.15 504,979 495,645 1,497 497,141 1.65 2.73 0.09 0.25


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

31,326 28140DAB9 Education Loan ABS Tr

FLT 06/25/2026 AAA/Aaa 99.78 99.88 31,257 31,289 5 31,294 1.14 0.72 0.22 0.02

31,758 49130NCG2 Kentucky Higher Ed Std Ln Co

FLT 06/01/2026 AA/N.A. 100.00 94.23 31,758 29,925 18 29,943 5.63 1.23 0.06 0.02

555,386 60535YAA1 MS State Higher Ed Asst Co

FLT 10/25/2035 AA+/N.A. 100.05 97.05 555,682 538,988 81 539,069 1.77 4.32 0.13 0.27

259,696 63940LAB0 Navient Student Loan Trust 2016-6

FLT 03/25/2066 AAA/Aaa 99.93 99.58 259,503 258,598 41 258,639 1.47 0.74 0.09 0.13

208,650 658262GE4 North Carolina State Education Assistance Auth

FLT 07/25/2039 AA+/Aaa 99.84 95.32 208,313 198,877 34 198,911 2.70 2.92 0.04 0.10

119,420 66705EAA6 Northstar Edu Fin Inc

FLT 12/26/2031 AAA/N.A. 100.00 96.52 119,420 115,262 18 115,280 2.71 1.96 0.17 0.06

115,700 679110EF9 Oklahoma Student Loan Authority

FLT 02/25/2032 AAA/N.A. 99.86 98.06 115,534 113,457 13 113,470 1.71 1.88 0.18 0.06

658,333 69339QAA7 PHEAA Student Loan Trust 2014-2

FLT 02/25/2043 AA+/N.A. 99.74 94.04 656,621 619,113 83 619,196 2.34 4.54 -0.11 0.31

515,054 709163GH6 Pennsylvania Higher Education Assistance Agency

FLT 10/25/2036 AA+/Aaa 98.74 94.86 508,553 488,555 1,043 489,598 2.85 2.19 0.02 0.25

331,215 83715RAE2 SC State Std Ln Corp

FLT 05/01/2030 AAA/Aaa 100.00 99.04 331,215 328,031 255 328,286 1.56 1.46 0.20 0.17

116,961 86386MAY0 SLCC Student Loan Trust I

FLT 10/25/2027 AAA/Aaa 100.95 100.38 118,066 117,400 27 117,427 0.44 0.40 0.10 0.06

192,566 00434MAA5 Student Loan Corp

FLT 07/25/2036 N.A./Aaa 100.28 97.59 193,114 187,920 29 187,948 2.20 1.86 0.17 0.09

156,885 924279AE2 Vermont Std Asst Corp

FLT 04/30/2035 AA+/N.A. 100.41 98.11 157,533 153,912 8 153,920 1.72 2.54 0.20 0.08

Total Student Loans FFELP (NAUC) 4,388,446 4,264,032 3,248 4,267,280 1.98 2.71 0.17 2.15 TOTAL ASSET BACKED 18,411,201 18,557,679 18,836 18,576,516 0.98 1.95 1.32 9.36


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

MORTGAGE BACKED ARMs

557 31400RDY4 Fannie Mae Pool

FLT 02/01/2033 AA+/Aaa 100.05 100.74 558 562 1 563 1.84 3.77 0.95 0.00

90 31403QMV9 Fannie Mae Pool

FLT 10/01/2033 AA+/Aaa 99.23 102.57 89 92 0 92 1.36 3.69 0.82 0.00

8,391 31418MCC4 Fannie Mae Pool

FLT 12/01/2033 AA+/Aaa 101.55 104.50 8,521 8,768 24 8,793 1.58 3.92 1.36 0.00

432 31405WSY2 Fannie Mae Pool

FLT 07/01/2034 AA+/Aaa 99.96 100.86 432 436 1 437 2.06 4.00 0.87 0.00

29,540 31407UMR5 Fannie Mae Pool

FLT 11/01/2034 AA+/Aaa 103.08 104.98 30,450 31,011 103 31,114 1.50 3.91 1.07 0.02

5,462 31402QR86 Fannie Mae Pool

FLT 11/01/2034 AA+/Aaa 101.78 104.52 5,559 5,709 17 5,726 1.26 4.09 0.75 0.00

3,638 31405X5M1 Fannie Mae Pool

FLT 12/01/2034 AA+/Aaa 101.79 104.93 3,703 3,818 12 3,830 1.58 4.19 1.16 0.00

4,501 31416BK64 Fannie Mae Pool

FLT 02/01/2035 AA+/Aaa 99.27 104.84 4,469 4,719 13 4,732 1.27 4.05 0.98 0.00

364 31406PCX5 Fannie Mae Pool

FLT 03/01/2035 AA+/Aaa 100.29 100.50 365 365 1 366 2.64 3.58 1.28 0.00

5,793 31406MYP5 Fannie Mae Pool

FLT 03/01/2035 AA+/Aaa 101.74 104.06 5,894 6,028 16 6,044 1.12 3.66 1.03 0.00

1,655 31416CAJ5 Fannie Mae Pool

FLT 04/01/2035 AA+/Aaa 101.49 105.10 1,679 1,739 5 1,745 1.28 4.08 0.76 0.00

10,958 31410KWF7 Fannie Mae Pool

FLT 05/01/2035 AA+/Aaa 99.74 104.31 10,930 11,431 32 11,463 1.56 4.03 1.24 0.01

930 31406YGT1 Fannie Mae Pool

FLT 06/01/2035 AA+/Aaa 100.10 105.38 931 980 2 983 1.24 4.06 1.24 0.00

4,124 31407CB71 Fannie Mae Pool

FLT 07/01/2035 AA+/Aaa 100.21 100.80 4,132 4,157 11 4,168 2.25 4.32 1.02 0.00

664 31416BT65 Fannie Mae Pool

FLT 07/01/2035 AA+/Aaa 99.95 105.17 663 698 2 700 1.26 4.07 0.98 0.00


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

4,765 31416BYK8 Fannie Mae Pool

FLT 07/01/2035 AA+/Aaa 100.78 104.75 4,803 4,992 15 5,007 1.60 4.13 1.32 0.00

176 31407MSE6 Fannie Mae Pool

FLT 07/01/2035 AA+/Aaa 100.40 100.92 177 178 0 179 1.91 4.40 0.96 0.00

14,994 31416BYL6 Fannie Mae Pool

FLT 10/01/2035 AA+/Aaa 101.11 104.69 15,160 15,698 46 15,744 1.25 4.11 0.84 0.01

735 31408C2U9 Fannie Mae Pool

FLT 10/01/2035 AA+/Aaa 99.65 100.73 733 740 2 743 1.91 3.67 0.64 0.00

373 31410EM88 Fannie Mae Pool

FLT 06/01/2036 AA+/Aaa 100.27 100.51 374 375 1 376 2.21 4.19 1.34 0.00

4,217 31416CAF3 Fannie Mae Pool

FLT 11/01/2036 AA+/Aaa 101.16 105.05 4,266 4,431 12 4,443 1.17 4.00 0.85 0.00

5,287 31417JUZ1 Fannie Mae Pool

FLT 01/01/2040 AA+/Aaa 101.06 104.35 5,343 5,517 16 5,533 1.42 4.13 0.80 0.00

4,110 31418M4E9 Fannie Mae Pool

FLT 03/01/2040 AA+/Aaa 102.53 104.62 4,214 4,300 13 4,313 1.20 3.52 0.74 0.00

7,353 31418NWR7 Fannie Mae Pool

FLT 03/01/2040 AA+/Aaa 101.88 105.29 7,492 7,742 24 7,766 1.35 3.95 0.97 0.00

10,431 3138A6ZZ6 Fannie Mae Pool

FLT 08/01/2041 AA+/Aaa 102.86 101.55 10,729 10,593 35 10,628 2.22 4.77 1.43 0.01

887 3138AHZY5 Fannie Mae Pool

FLT 08/01/2041 AA+/Aaa 103.37 101.08 917 896 3 899 2.28 4.09 1.43 0.00

4,432 3138AN4V2 Fannie Mae Pool

FLT 09/01/2041 AA+/Aaa 102.96 104.52 4,563 4,632 15 4,648 1.36 4.02 1.20 0.00

263,418 3138LY3P0 Fannie Mae Pool

FLT 07/01/2042 AA+/Aaa 102.73 103.31 270,599 272,131 569 272,700 1.22 2.69 1.29 0.14

58,023 3138MAAL2 Fannie Mae Pool

FLT 09/01/2042 AA+/Aaa 102.39 103.78 59,410 60,215 206 60,420 1.07 2.99 1.11 0.03

129,989 3138XQJ36 Fannie Mae Pool

FLT 03/01/2044 AA+/Aaa 101.23 103.72 131,591 134,820 309 135,129 0.87 2.61 0.84 0.07

138,352 3138Y1XT7 Fannie Mae Pool

FLT 08/01/2044 AA+/Aaa 102.21 103.79 141,405 143,590 322 143,912 0.85 2.50 0.99 0.07


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

158,222 3138YUVS7 Fannie Mae Pool

FLT 06/01/2045 AA+/Aaa 102.20 103.43 161,703 163,654 351 164,004 0.78 2.09 1.02 0.08

308,320 3138YRR34 Fannie Mae Pool

FLT 06/01/2045 AA+/Aaa 101.87 103.11 314,096 317,919 599 318,519 0.72 2.05 1.07 0.16

506,476 3138YW2T3 Fannie Mae Pool

FLT 07/01/2045 AA+/Aaa 102.19 103.32 517,585 523,273 1,106 524,378 0.84 2.11 1.05 0.26

533,461 3140GVWM3 Fannie Mae Pool

FLT 07/01/2047 AA+/Aaa 101.82 104.35 543,175 556,681 1,244 557,925 0.12 1.70 0.89 0.28

537,752 3140GUET0 Fannie Mae Pool

FLT 07/01/2047 AA+/Aaa 102.31 104.48 550,162 561,855 1,367 563,222 0.30 1.71 1.07 0.28

451,030 3140GWE41 Fannie Mae Pool

FLT 07/01/2047 AA+/Aaa 102.16 104.37 460,787 470,745 1,072 471,817 0.17 1.71 1.03 0.24

476,654 3140GWFF5 Fannie Mae Pool

FLT 08/01/2047 AA+/Aaa 102.35 104.40 487,867 497,631 1,177 498,808 0.12 1.62 0.96 0.25

52,848 3140GTV56 Fannie Mae Pool

FLT 09/01/2047 AA+/Aaa 101.87 104.34 53,837 55,141 124 55,265 0.42 1.90 1.12 0.03

83,921 3140GTV49 Fannie Mae Pool

FLT 09/01/2047 AA+/Aaa 101.79 104.40 85,420 87,616 194 87,809 0.27 1.84 1.05 0.04

40,110 3140H1YB0 Fannie Mae Pool

FLT 10/01/2047 AA+/Aaa 101.50 104.65 40,713 41,976 92 42,069 0.24 1.92 1.08 0.02

132,697 3140K0QJ0 Fannie Mae Pool

FLT 11/01/2049 AA+/Aaa 102.00 105.49 135,351 139,988 314 140,302 0.00 1.83 0.21 0.07

156,576 3140K0R59 Fannie Mae Pool

FLT 12/01/2049 AA+/Aaa 101.83 105.46 159,442 165,130 368 165,498 0.00 2.00 0.30 0.08

14,637 31394FVK8 Fannie Mae REMICS

FLT 10/25/2035 AA+/Aaa 99.95 99.57 14,630 14,574 1 14,575 0.66 3.36 1.19 0.01

13,707 31394UJ45 Fannie Mae REMICS

FLT 11/25/2035 AA+/Aaa 100.12 99.79 13,723 13,678 1 13,679 0.59 2.73 0.97 0.01

46,964 3136A4KB4 Fannie Mae REMICS

FLT 06/25/2040 AA+/Aaa 100.07 100.27 46,996 47,093 4 47,098 0.33 1.44 0.44 0.02

27 3128HD4K2 Freddie Mac Non Gold Pool

FLT 03/01/2033 AA+/Aaa 99.85 100.56 27 27 0 27 2.67 4.17 0.95 0.00


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

717 3128JR6V3 Freddie Mac Non Gold Pool

FLT 01/01/2035 AA+/Aaa 101.21 100.58 725 721 2 723 2.62 3.53 1.54 0.00

14,723 3128LUAE6 Freddie Mac Non Gold Pool

FLT 08/01/2035 AA+/Aaa 99.21 100.75 14,607 14,834 53 14,887 2.39 4.17 1.00 0.01

352 3128QGB84 Freddie Mac Non Gold Pool

FLT 10/01/2035 AA+/Aaa 99.45 101.01 350 356 1 357 2.80 3.16 0.86 0.00

1,271 3128NHLH4 Freddie Mac Non Gold Pool

FLT 11/01/2035 AA+/Aaa 99.32 104.67 1,262 1,330 4 1,335 0.98 3.50 0.81 0.00

1,416 3128JRM94 Freddie Mac Non Gold Pool

FLT 01/01/2036 AA+/Aaa 99.33 100.62 1,407 1,425 5 1,430 2.64 3.97 1.19 0.00

2,556 31300LCW3 Freddie Mac Non Gold Pool

FLT 08/01/2036 AA+/Aaa 102.90 105.36 2,630 2,693 8 2,701 1.31 4.26 0.98 0.00

4,347 3128JQDG0 Freddie Mac Non Gold Pool

FLT 04/01/2040 AA+/Aaa 102.05 105.32 4,436 4,578 13 4,592 1.16 3.43 1.04 0.00

4,932 3128JQB31 Freddie Mac Non Gold Pool

FLT 04/01/2040 AA+/Aaa 101.94 104.72 5,028 5,165 15 5,180 1.21 3.37 1.05 0.00

8,181 3128UG2R7 Freddie Mac Non Gold Pool

FLT 08/01/2041 AA+/Aaa 103.33 104.63 8,454 8,561 30 8,591 1.33 3.92 1.25 0.00

2,190 3128UG5U7 Freddie Mac Non Gold Pool

FLT 09/01/2041 AA+/Aaa 103.32 101.31 2,263 2,219 8 2,227 2.38 5.08 0.81 0.00

47,875 3128LL3Q7 Freddie Mac Non Gold Pool

FLT 10/01/2042 AA+/Aaa 102.13 102.99 48,893 49,304 160 49,463 1.56 3.48 0.64 0.02

32,844 31326FFG8 Freddie Mac Non Gold Pool

FLT 01/01/2043 AA+/Aaa 102.41 103.63 33,636 34,037 100 34,136 1.31 3.28 0.89 0.02

168,544 31326FG85 Freddie Mac Non Gold Pool

FLT 02/01/2043 AA+/Aaa 102.48 103.66 172,716 174,708 508 175,216 1.17 2.94 0.86 0.09

192,179 31326F6U7 Freddie Mac Non Gold Pool

FLT 10/01/2043 AA+/Aaa 101.68 103.26 195,402 198,451 375 198,826 0.86 2.59 0.64 0.10

508,834 31326KAN7 Freddie Mac Non Gold Pool

FLT 08/01/2045 AA+/Aaa 102.05 103.26 519,289 525,442 1,137 526,580 0.98 2.28 1.14 0.27

276,767 31326J5Y2 Freddie Mac Non Gold Pool

FLT 08/01/2045 AA+/Aaa 101.43 102.98 280,713 285,023 550 285,573 0.95 2.33 1.21 0.14


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

436,873 31326LGG4 Freddie Mac Non Gold Pool

FLT 09/01/2046 AA+/Aaa 102.48 103.42 447,721 451,822 888 452,710 0.24 1.69 1.11 0.23

500,115 31347AVQ4 Freddie Mac Non Gold Pool

FLT 05/01/2047 AA+/Aaa 99.67 104.04 498,467 520,300 1,204 521,503 0.36 1.75 1.09 0.26

304,087 31326MAL7 Freddie Mac Non Gold Pool

FLT 07/01/2047 AA+/Aaa 102.04 104.40 310,300 317,473 718 318,191 0.18 1.79 0.98 0.16

252,999 31326MCV3 Freddie Mac Non Gold Pool

FLT 08/01/2047 AA+/Aaa 102.38 104.36 259,021 264,020 630 264,650 0.30 1.77 1.05 0.13

319,047 31326MEY5 Freddie Mac Non Gold Pool

FLT 08/01/2047 AA+/Aaa 102.20 104.42 326,066 333,136 787 333,923 0.23 1.76 1.08 0.17

563,234 31326MGP2 Freddie Mac Non Gold Pool

FLT 10/01/2047 AA+/Aaa 101.02 104.29 568,959 587,394 1,192 588,586 0.32 2.09 1.27 0.30

248,290 31326MVH3 Freddie Mac Non Gold Pool

FLT 05/01/2048 AA+/Aaa 101.76 104.05 252,666 258,356 741 259,097 0.92 1.71 1.07 0.13

12,889 3137AG3L2 Freddie Mac REMICS

FLT 02/15/2026 AA+/Aaa 100.00 99.89 12,889 12,875 2 12,877 0.54 0.77 0.22 0.01

10,622 31396HUZ0 Freddie Mac REMICS

FLT 02/15/2036 AA+/Aaa 100.05 99.77 10,627 10,598 2 10,600 0.66 3.01 1.05 0.01

529,683 38376RJN7 GNMA

FLT 10/20/2065 AA+/Aaa 99.27 100.28 525,833 531,151 154 531,305 0.97 5.13 1.83 0.27

1,261,308 38376RP26 GNMA

FLT 12/20/2066 AA+/Aaa 100.26 101.70 1,264,618 1,282,736 502 1,283,239 1.04 5.32 2.07 0.65

99,340 36179RRQ4 Ginnie Mae II pool

FLT 10/20/2045 AA+/Aaa 101.11 104.09 100,439 103,407 259 103,666 0.33 2.10 0.95 0.05

897,052 38381TC37 Government National Mortgage Association

FLT 01/20/2069 AA+/Aaa 100.00 100.85 897,052 904,720 258 904,978 1.09 6.76 0.36 0.46

94,628 89169EAA7 Towd Point Mortgage Trust 2017-5

FLT 02/25/2057 N.A./Aaa 100.00 99.10 94,628 93,778 12 93,791 1.11 3.30 0.36 0.05

Total ARMs 11,186,765 11,388,957 20,167 11,409,125 0.65 2.95 1.12 5.75 CMBS

704,074 12624PAE5 COMM 2012-CCRE3 Mortgage Trust

2.822% 10/15/2045 N.A./Aaa 99.74 101.67 702,244 715,800 1,656 717,456 1.75 1.68 1.62 0.36


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

720,000 12624XAD0 COMM 2013-CCRE6 Mortgage Trust

3.101% 03/10/2046 N.A./Aaa 101.25 102.57 728,991 738,537 1,861 740,398 1.24 1.44 1.40 0.37

458,114 12625FAE6 COMM 2013-CCRE7 Mortgage Trust

3.213% 03/10/2046 N.A./Aaa 104.93 104.15 480,702 477,107 1,227 478,334 1.43 2.41 2.31 0.24

300,890 20048EAY7 COMM 2013-LC6 Mortgage Trust

2.941% 01/10/2046 AAA/Aaa 103.43 102.89 311,223 309,573 737 310,310 1.47 2.04 1.96 0.16

258,659 17318UAE4 Citigroup Commercial Mortgage Trust 2012-GC8

2.608% 09/10/2045 N.A./Aaa 99.73 101.43 257,958 262,352 562 262,914 0.99 0.93 0.92 0.13

380,354 17320DAJ7 Citigroup Commercial Mortgage Trust 2013-GC11

2.690% 04/10/2046 N.A./Aaa 100.75 101.69 383,194 386,791 853 387,644 1.25 1.23 1.21 0.20

599,463 23305XAD3 DBUBS 2011-LC2 Mortgage Trust

4.537% 07/10/2044 N.A./Aaa 107.18 101.55 642,499 608,753 2,266 611,020 0.97 0.47 0.47 0.31

281,405 36248FAG7 GS Mortgage Securities Trust 2011-GC3

4.753% 03/10/2044 N.A./Aaa 106.94 100.94 300,932 284,041 1,115 285,155 0.15 0.23 0.24 0.14

500,000 36191YBB3 GS Mortgage Securities Trust 2011-GC5

3.707% 08/10/2044 N.A./Aaa 104.81 101.02 524,071 505,092 1,545 506,636 1.79 0.58 0.58 0.26

700,000 36248GAD2 GS Mortgage Securities Trust 2013-GC16

4.271% 11/10/2046 N.A./Aaa 111.39 108.80 779,738 761,601 2,491 764,092 1.21 2.96 2.77 0.38

610,000 36250HAE3 GS Mortgage Securities Trust 2014-GC26

3.629% 11/10/2047 N.A./Aaa 99.53 108.27 607,118 660,470 1,845 662,314 1.52 4.08 3.78 0.33

315,000 46643TBJ0 JPMBB Commercial Mortgage Sec Trust 2014-C26

3.494% 01/15/2048 N.A./Aaa 98.92 108.13 311,608 340,607 917 341,524 1.40 4.06 3.78 0.17

377,197 46639YAR8 JPMorgan Chase Comml Mtg Sec Tr

2.554% 04/15/2046 AAA/Aaa 102.38 101.57 386,162 383,133 803 383,936 1.41 1.48 1.44 0.19

351,248 46638UAD8 JPMorgan Comm Mtg Sec Tr

2.379% 10/15/2045 AAA/N.A. 100.32 101.30 352,355 355,827 696 356,523 1.18 1.16 1.14 0.18

174,759 46636DAJ5 JPMorgan Comm Mtg Sec Tr

4.388% 07/15/2046 AAA/N.A. 107.80 101.94 188,394 178,149 639 178,788 0.77 0.58 0.58 0.09

367,125 61762DAU5 Morgan Stanley BAML Trust

2.657% 05/15/2046 N.A./Aaa 100.72 101.50 369,773 372,628 813 373,441 1.44 1.33 1.30 0.19

425,000 61764PBU5 Morgan Stanley BAML Trust 2014 C19

3.526% 12/15/2047 N.A./Aaa 99.12 107.24 421,250 455,778 1,249 457,027 1.61 3.96 3.68 0.23


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

313,204 90270RBF0 UBS-Barclays Commercial Mortgage Trust 2012-C4

2.459% 12/10/2045 AAA/N.A. 101.62 100.97 318,289 316,230 642 316,872 1.39 0.97 0.95 0.16

700,000 90270RBE3 UBS-Barclays Commercial Mortgage Trust 2012-C4

2.850% 12/10/2045 AAA/N.A. 103.86 102.88 727,005 720,192 1,663 721,854 1.37 2.02 1.95 0.36

740,000 92937FAD3 WFRBS Commercial Mortgage Trust 2013-C12

3.198% 03/15/2048 AAA/N.A. 105.26 103.47 778,916 765,670 1,972 767,642 1.64 2.34 2.24 0.39

670,000 92938GAD0 WFRBS Commercial Mortgage Trust 2013-C17

4.023% 12/15/2046 N.A./Aaa 110.71 106.49 741,726 713,510 2,246 715,756 1.76 3.01 2.81 0.36

520,000 94988QAG6 Wells Fargo Commercial Mortgage Trust 2013-LC12

FLT 07/15/2046 N.A./Aaa 103.86 107.67 540,082 559,888 1,828 561,716 1.22 2.65 2.50 0.28

Total CMBS 10,854,230 10,871,728 29,625 10,901,352 1.38 2.02 1.94 5.49 CMOs

39 31398SRG0 Fannie Mae REMICS

3.500% 12/25/2025 AA+/Aaa 101.81 100.00 39 39 0 39 2.25 0.19 0.18 0.00

277,104 59166EAB1 METLIFE SECURITIZATION TRUST 2019-1

FLT 04/25/2058 N.A./Aaa 101.77 105.56 282,009 292,514 866 293,379 2.11 3.73 3.43 0.15

540,789 35563PGG8 Seasoned Credit Risk Transfer Trust Series 2018-3

3.500% 08/25/2057 AA+/Aaa 102.60 108.36 554,877 585,973 1,577 587,550 0.33 2.73 1.01 0.30

949,837 35563PLH0 Seasoned Credit Risk Transfer Trust Series 2019-3

3.500% 10/25/2058 AA+/Aaa 104.44 108.10 992,025 1,026,762 2,770 1,029,532 0.66 2.97 1.58 0.52

132,221 89172EAU8 Towd Point Mortgage Trust 2016-1

FLT 02/25/2055 N.A./Aaa 99.87 101.19 132,055 133,790 303 134,093 1.65 1.27 1.24 0.07

154,558 89172YAA8 Towd Point Mortgage Trust 2016-3

FLT 04/25/2056 N.A./Aaa 99.86 100.57 154,335 155,438 290 155,727 1.71 1.35 1.32 0.08

232,335 89173FAA8 Towd Point Mortgage Trust 2017-1

FLT 10/25/2056 N.A./Aaa 100.11 102.32 232,590 237,727 532 238,260 1.43 1.93 1.86 0.12

376,774 89175JAA8 Towd Point Mortgage Trust 2017-6

FLT 10/25/2057 N.A./Aaa 100.26 103.58 377,762 390,281 863 391,145 1.13 2.37 2.27 0.20

595,710 89178BAA2 Towd Point Mortgage Trust 2019-4

FLT 10/25/2059 N.A./Aaa 100.95 105.19 601,389 626,626 1,440 628,066 1.25 3.23 3.08 0.32

Total CMOs 3,327,082 3,449,148 8,642 3,457,790 1.03 2.75 1.98 1.74


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

Pass Through

95,043 31418AV54 Fannie Mae Pool

2.000% 08/01/2023 AA+/Aaa 100.29 101.98 95,314 96,928 158 97,087 0.18 1.16 1.13 0.05

46,569 31418AYS1 Fannie Mae Pool

2.500% 10/01/2023 AA+/Aaa 100.31 104.77 46,715 48,789 97 48,886 0.00 1.20 1.14 0.02

175,572 31419AMS3 Fannie Mae Pool

3.500% 12/01/2025 AA+/Aaa 100.88 105.16 177,112 184,639 512 185,151 0.57 1.86 1.65 0.09

122,868 31417DQK2 Fannie Mae Pool

3.000% 10/01/2027 AA+/Aaa 103.45 105.12 127,112 129,155 307 129,462 0.70 2.34 1.96 0.07

118,418 3138W2LB9 Fannie Mae Pool

2.500% 01/01/2028 AA+/Aaa 102.26 104.77 121,096 124,065 247 124,312 0.63 2.68 2.36 0.06

739,477 3140EUJC4 Fannie Mae Pool

3.000% 02/01/2031 AA+/Aaa 103.38 106.29 764,437 785,997 1,849 787,846 0.84 3.07 2.43 0.40

774,735 3140EU5Q8 Fannie Mae Pool

3.000% 04/01/2031 AA+/Aaa 103.64 106.60 802,915 825,845 1,937 827,782 0.75 3.07 2.36 0.42

1,253,969 3138WJN53 Fannie Mae Pool

2.500% 12/01/2031 AA+/Aaa 100.89 104.96 1,265,162 1,316,183 2,612 1,318,796 0.67 2.85 1.62 0.66

322,089 31418AJK5 Fannie Mae Pool

3.000% 09/01/2032 AA+/Aaa 103.32 106.28 332,782 342,305 805 343,110 0.93 3.20 2.17 0.17

666,946 3140QAQH6 Fannie Mae Pool

4.000% 02/01/2034 AA+/Aaa 103.20 107.13 688,293 714,501 2,223 716,724 1.11 2.63 1.35 0.36

458,495 3140QAQJ2 Fannie Mae Pool

4.000% 02/01/2034 AA+/Aaa 103.03 106.11 472,385 486,493 1,528 488,022 1.28 2.42 1.27 0.25

280,203 3140JWPR5 Fannie Mae Pool

2.500% 09/01/2034 AA+/Aaa 101.42 104.98 284,189 294,158 584 294,742 0.58 2.72 1.01 0.15

616,589 3140JXSH2 Fannie Mae Pool

2.500% 10/01/2034 AA+/Aaa 101.58 105.22 626,325 648,764 1,285 650,048 0.65 2.97 1.26 0.33

488,757 3140JXR67 Fannie Mae Pool

2.500% 10/01/2034 AA+/Aaa 101.44 105.00 495,783 513,213 1,018 514,231 0.60 2.77 1.06 0.26

748,649 3140QB5G9 Fannie Mae Pool

2.500% 11/01/2034 AA+/Aaa 101.56 106.22 760,302 795,181 1,560 796,741 0.82 3.90 2.58 0.40


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

264,104 3140HDR30 Fannie Mae Pool

3.000% 12/01/2034 AA+/Aaa 102.77 106.01 271,427 279,965 660 280,626 0.61 2.64 0.79 0.14

203,203 3140HDR48 Fannie Mae Pool

2.500% 12/01/2034 AA+/Aaa 101.01 105.23 205,257 213,830 423 214,254 0.80 3.25 1.61 0.11

405,432 3140HDRU0 Fannie Mae Pool

2.500% 12/01/2034 AA+/Aaa 100.89 105.02 409,042 425,770 845 426,615 0.77 3.06 1.41 0.21

380,943 3140K15P7 Fannie Mae Pool

2.500% 12/01/2034 AA+/Aaa 100.99 105.23 384,708 400,858 794 401,652 0.73 3.11 1.23 0.20

173,724 3140QCT48 Fannie Mae Pool

3.000% 01/01/2035 AA+/Aaa 103.24 106.20 179,356 184,498 434 184,932 0.79 2.97 0.96 0.09

964,329 3140X5QW6 Fannie Mae Pool

2.500% 01/01/2035 AA+/Aaa 101.85 105.01 982,205 1,012,611 2,009 1,014,620 0.64 2.84 0.95 0.51

123,189 31402Q6U0 Fannie Mae Pool

5.000% 04/01/2035 AA+/Aaa 105.65 114.76 130,152 141,373 513 141,886 1.21 4.14 3.33 0.07

409,775 3140FXGG1 Fannie Mae Pool

4.000% 11/01/2040 AA+/Aaa 102.81 108.39 421,281 444,146 1,366 445,512 1.28 3.32 2.26 0.22

103,723 3140FXFN7 Fannie Mae Pool

4.000% 01/01/2041 AA+/Aaa 102.90 108.45 106,728 112,483 346 112,829 1.25 3.29 2.40 0.06

743,670 3140FXGB2 Fannie Mae Pool

4.000% 04/01/2041 AA+/Aaa 103.05 108.39 766,382 806,038 2,479 808,517 1.82 4.25 3.72 0.41

216,759 3140X4DE3 Fannie Mae Pool

3.000% 04/01/2047 AA+/Aaa 101.00 105.81 218,918 229,357 542 229,898 1.04 3.20 1.37 0.12

1,329,473 3140K4E55 Fannie Mae Pool

3.000% 11/01/2049 AA+/Aaa 101.54 105.63 1,350,007 1,404,265 3,324 1,407,589 0.90 2.86 0.30 0.71

968,243 3140K0SM1 Fannie Mae Pool

3.000% 12/01/2049 AA+/Aaa 101.76 105.99 985,297 1,026,252 2,421 1,028,672 1.08 3.37 1.16 0.52

360,783 3140K6CR4 Fannie Mae Pool

3.000% 12/01/2049 AA+/Aaa 101.78 105.41 367,200 380,291 902 381,193 1.31 3.48 2.24 0.19

847,327 3140K3WN8 Fannie Mae Pool

3.000% 04/01/2050 AA+/Aaa 105.49 105.43 893,854 893,310 2,118 895,428 1.11 3.11 0.88 0.45

274,146 3140K8B34 Fannie Mae Pool

3.000% 04/01/2050 AA+/Aaa 105.54 105.95 289,327 290,454 685 291,139 0.97 3.13 1.21 0.15


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

142,779 3140KCW65 Fannie Mae Pool

3.000% 04/01/2050 AA+/Aaa 105.65 106.26 150,840 151,710 357 152,067 1.32 4.06 1.56 0.08

174,296 3140KCW57 Fannie Mae Pool

3.000% 04/01/2050 AA+/Aaa 105.50 106.04 183,880 184,825 436 185,261 1.27 3.79 1.45 0.09

725,525 3140FXGL0 Fannie Mae Pool

4.500% 01/01/2051 AA+/Aaa 103.83 111.23 753,328 806,999 2,721 809,720 0.84 3.24 2.04 0.41

1,149,422 3140FXGK2 Fannie Mae Pool

4.000% 08/01/2051 AA+/Aaa 101.45 109.33 1,166,049 1,256,713 3,831 1,260,545 1.13 3.49 2.22 0.64

625,226 3140FXDY5 Fannie Mae Pool

4.500% 06/01/2056 AA+/Aaa 107.65 111.52 673,039 697,254 2,345 699,599 1.66 4.49 3.44 0.35

462,000 01F030678 Fannie Mae or Freddie Mac

3.000% 07/01/2049 AA+/Aaa 104.80 105.32 484,197 486,580 501 487,080 1.25 3.32 1.78 0.25

463,000 01F030686 Fannie Mae or Freddie Mac

3.000% 08/01/2049 AA+/Aaa 105.13 105.14 486,729 486,809 463 487,272 1.31 3.31 1.80 0.25

89,827 3132G0KK5 Freddie Mac Gold Pool

3.000% 06/01/2027 AA+/Aaa 102.30 105.17 91,893 94,472 225 94,696 0.60 2.23 1.94 0.05

286,263 3132G0CX6 Freddie Mac Gold Pool

3.000% 06/01/2027 AA+/Aaa 102.30 105.16 292,859 301,022 716 301,738 0.64 2.27 1.90 0.15

153,516 31307AD82 Freddie Mac Gold Pool

2.500% 01/01/2028 AA+/Aaa 102.30 104.99 157,051 161,175 320 161,495 0.43 2.48 2.15 0.08

436,703 3132XCRX5 Freddie Mac Gold Pool

4.000% 01/01/2047 AA+/Aaa 103.98 110.59 454,067 482,933 1,456 484,389 1.38 4.35 2.41 0.24

944,636 3133G66M2 Freddie Mac Pool

2.500% 11/01/2034 AA+/Aaa 100.89 104.77 953,063 989,680 1,968 991,648 0.96 3.30 2.37 0.50

1,210,466 3133G67E9 Freddie Mac Pool

2.500% 11/01/2034 AA+/Aaa 100.54 104.77 1,217,003 1,268,185 2,522 1,270,707 0.61 2.66 1.06 0.64

320,307 3133G7KK8 Freddie Mac Pool

2.500% 12/01/2034 AA+/Aaa 100.98 105.25 323,448 337,113 667 337,780 0.73 3.13 1.32 0.17

718,951 3133G7QG1 Freddie Mac Pool

2.500% 01/01/2035 AA+/Aaa 101.38 105.23 728,898 756,581 1,498 758,079 0.62 2.92 1.17 0.38

379,313 3133G7QB2 Freddie Mac Pool

2.500% 01/01/2035 AA+/Aaa 101.44 106.05 384,790 402,251 790 403,041 0.61 3.35 1.65 0.20


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

333,592 3133G72K8 Freddie Mac Pool

2.500% 02/01/2035 AA+/Aaa 101.75 104.77 339,420 349,499 695 350,194 0.90 3.18 2.19 0.18

608,126 3133G7VC4 Freddie Mac Pool

2.500% 02/01/2035 AA+/Aaa 101.74 104.77 618,710 637,123 1,267 638,390 0.49 2.48 0.64 0.32

33,958 3132DV3N3 Freddie Mac Pool

3.500% 08/01/2049 AA+/Aaa 102.15 105.10 34,688 35,689 99 35,788 0.39 1.73 0.06 0.02

1,698,059 31346YXK4 Freddie Mac Pool

3.000% 12/01/2049 AA+/Aaa 101.81 105.99 1,728,846 1,799,793 4,245 1,804,038 1.10 3.39 1.36 0.91

328,120 31346YYL1 Freddie Mac Pool

3.000% 12/01/2049 AA+/Aaa 101.78 105.39 333,956 345,813 820 346,633 1.30 3.43 2.24 0.17

395,099 3133A32J6 Freddie Mac Pool

3.000% 04/01/2050 AA+/Aaa 105.49 106.04 416,794 418,966 988 419,954 1.04 3.31 1.04 0.21

254,186 3133A4CG9 Freddie Mac Pool

3.000% 04/01/2050 AA+/Aaa 105.49 105.43 268,143 267,980 635 268,615 1.23 3.31 1.85 0.14

109,632 3133A32H0 Freddie Mac Pool

3.000% 04/01/2050 AA+/Aaa 105.65 106.25 115,822 116,489 274 116,763 1.23 3.82 1.79 0.06

614,189 3133A4AH9 Freddie Mac Pool

3.000% 04/01/2050 AA+/Aaa 105.49 105.43 647,915 647,520 1,535 649,056 1.15 3.16 1.53 0.33

2,538 36176F3F3 Ginnie Mae II pool

FLT 07/20/2062 AA+/Aaa 110.16 104.41 2,796 2,650 10 2,660 1.01 1.34 1.31 0.00

34,740 36230SEY6 Ginnie Mae II pool

FLT 08/20/2062 AA+/Aaa 109.54 101.09 38,055 35,120 97 35,217 2.82 2.05 1.94 0.02

Total Pass Through 28,067,341 29,072,665 68,063 29,140,728 0.95 3.16 1.65 14.68 TOTAL MORTGAGE BACKED 53,435,417 54,782,498 126,497 54,908,995 0.98 2.86 1.62 27.66 TAXABLE MUNI / NOT FOR PROFIT Municipal-G.O. Bonds

450,000 035519VX2 Ann Arbor School District

2.274% 05/01/2025 N.A./Aa1 100.00 103.95 450,000 467,753 1,706 469,458 1.43 4.84 4.57 0.24

370,000 067167YQ3 Barbers Hill Independent School District

4.000% 02/15/2025 AAA/Aaa 107.85 110.88 399,053 410,249 5,591 415,840 1.55 4.63 4.21 0.21


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

370,000 170016D97 Chippewa Valley Schools

2.237% 05/01/2027 N.A./Aa1 100.00 103.48 370,000 382,865 1,379 384,244 1.70 6.84 6.34 0.19

295,000 4423315U4 City of Houston TX

2.110% 03/01/2025 AA/Aa3 100.00 103.50 295,000 305,328 2,075 307,403 1.33 4.67 4.42 0.15

420,000 346766WQ7 County of Fort Bend TX

5.000% 03/01/2026 N.A./Aa1 117.19 121.82 492,216 511,661 817 512,477 1.03 5.67 5.05 0.26

405,000 587839J93 County of Mercer NJ

2.317% 05/01/2025 AA+/Aa2 100.00 105.25 405,000 426,250 1,564 427,814 1.20 4.84 4.57 0.22

330,000 663532KL2 County of Northampton PA

2.249% 10/01/2025 N.A./Aa1 100.00 106.41 330,000 351,146 1,855 353,002 0.99 5.25 4.95 0.18

500,000 231237N95 Cupertino Union School District

2.100% 08/01/2025 AA+/Aa1 100.00 104.09 500,000 520,425 4,375 524,800 1.27 5.09 4.79 0.26

345,000 535809GE1 Linn County Community School District No 9 Lebanon

2.327% 06/15/2025 AA+/N.A. 100.00 102.94 345,000 355,129 357 355,486 1.71 4.96 4.68 0.18

170,000 802385QZ0 Santa Monica Community College District

3.254% 08/01/2025 AA+/Aa2 100.00 109.39 170,000 185,955 2,305 188,259 1.34 5.09 4.67 0.09

455,000 840658QB7 South-Western City School District

2.112% 12/01/2024 N.A./Aa2 100.00 102.84 455,000 467,908 801 468,709 1.45 4.42 4.21 0.24

620,000 649791PR5 State of New York

2.260% 02/15/2026 AA+/Aa1 100.00 105.91 620,000 656,636 5,293 661,929 1.17 5.63 5.27 0.33

390,000 6775223W2 State of Ohio

1.580% 08/01/2030 AA+/Aa1 100.00 101.34 390,000 395,226 86 395,312 1.44 10.09 9.38 0.20

490,000 68609TUT3 State of Oregon

0.795% 05/01/2024 AA+/Aa1 100.00 100.12 490,000 490,588 151 490,739 0.76 3.84 3.77 0.25

420,000 882724RC3 State of Texas

2.182% 10/01/2027 AAA/Aaa 100.00 106.42 420,000 446,956 1,731 448,687 1.25 7.25 6.73 0.23

500,000 917542QV7 State of Utah

3.539% 07/01/2025 AAA/Aaa 103.13 107.07 515,667 535,335 8,848 544,183 1.40 3.40 3.17 0.27

290,000 93974D5T1 State of Washington

3.250% 08/01/2026 AA+/Aaa 98.91 112.50 286,828 326,236 3,927 330,163 1.12 6.09 5.53 0.17

460,000 97705MNQ4 State of Wisconsin

2.141% 05/01/2027 AA/Aa1 100.00 105.11 460,000 483,488 1,641 485,129 1.36 6.84 6.37 0.24


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

135,000 938429V79 Washington & Multnomah Counties School Dist No 48J

1.227% 06/15/2026 AA+/Aa1 100.00 101.11 135,000 136,492 5 136,496 1.03 5.96 5.75 0.07

Total Municipal-G.O. Bonds 7,528,763 7,855,624 44,507 7,900,130 1.29 5.50 5.10 3.98 Municipal-HFA

831,243 92812VMA1 Virginia Housing Development Authority

3.125% 11/25/2039 AAA/Aaa 101.86 102.12 846,745 848,874 2,165 851,038 2.62 5.07 4.31 0.43

Total Municipal-HFA 846,745 848,874 2,165 851,038 2.62 5.07 4.30 0.43 Municipal-Revenue

400,000 677561JK9 CLEVELAND CLINIC HEALTH SYSTEM

2.634% 01/01/2024 AA/Aa2 100.00 103.82 400,000 415,284 5,268 420,552 1.51 3.51 3.31 0.21

210,000 114894ZM3 County of Broward FL Airport System Revenue

2.384% 10/01/2026 A+/A1 100.00 99.01 210,000 207,919 1,252 209,171 2.56 6.25 5.76 0.11

285,000 24917DBB8 DENVER DEDICATED TAX

3.226% 08/01/2023 AA-/Aa3 100.00 106.76 285,000 304,263 3,831 308,094 1.00 3.09 2.92 0.16

370,000 343246EP5 Florida Water Pollution Control Financing Corp

2.300% 01/15/2026 AAA/Aaa 99.95 105.76 369,808 391,297 3,900 395,198 1.22 5.54 5.17 0.20

360,000 576051VX1 Massachusetts Water Resources Authority

1.862% 08/01/2024 AA+/Aa1 100.00 103.25 360,000 371,704 2,793 374,497 1.05 4.09 3.91 0.19

350,000 64971XEJ3 NYC Transit Fin Auth Future Tax Rev

3.350% 08/01/2025 AAA/Aa1 98.44 111.47 344,557 390,145 4,885 395,030 1.03 5.09 4.67 0.20

355,000 64990FQR8 New York State Dormitory Authority

2.270% 02/15/2025 N.A./Aa1 100.00 103.15 355,000 366,183 3,984 370,167 1.56 4.63 4.35 0.19

150,000 73209MAE7 Pomona Redevelopment Agency Successor Agency

3.632% 02/01/2023 A+/N.A. 100.00 105.04 150,000 157,566 2,270 159,836 1.63 2.59 2.44 0.08

400,000 83755LJ80 SOUTH DAKOTA ST BLDG AUTH REVE

2.349% 06/01/2026 AA+/Aa1 100.00 104.26 400,000 417,056 783 417,839 1.59 5.92 5.53 0.21

150,000 88213ALT0 Texas A&M University

2.592% 05/15/2023 AAA/Aaa 100.00 106.02 150,000 159,035 497 159,531 0.48 2.87 2.78 0.08

565,000 88213AKB0 Texas A&M University

2.549% 05/15/2024 AAA/Aaa 100.00 107.50 565,000 607,392 1,840 609,232 0.59 3.87 3.70 0.31

350,000 914639KP3 University of Nebraska Facilities Corp

2.175% 10/01/2026 AA/Aa1 100.00 104.03 350,000 364,112 1,903 366,015 1.50 6.25 5.84 0.18


June 30, 2020



Market Price

Amortized Cost ($)

Market Value ($)

Accrued Income ($)


YTM (%)


Eff. Dur. (yrs)

% of Portfolio

360,000 977100AC0 WISCONSIN ST GEN FUND APPROP

5.700% 05/01/2026 AA/Aa2 112.49 114.93 404,974 413,741 3,420 417,161 1.92 4.14 3.74 0.21

Total Municipal-Revenue 4,344,338 4,565,696 36,627 4,602,323 1.31 4.55 4.21 2.32 Non-Corporate

50,000 04352EAA3 Ascension Health

2.532% 11/15/2029 AA+/Aa2 103.11 107.25 51,555 53,625 162 53,787 1.69 9.38 8.32 0.03

190,000 17108JAA1 CHRISTUS Health

4.341% 07/01/2028 A+/A1 100.00 112.96 190,000 214,617 4,124 218,741 2.54 8.00 6.63 0.11

50,000 20268JAA1 CommonSpirit Health

2.760% 10/01/2024 BBB+/Baa1 100.00 103.28 50,000 51,640 345 51,985 1.95 4.25 3.83 0.03

100,000 29157TAC0 Emory University

1.566% 09/01/2025 AA/Aa2 100.00 102.13 100,000 102,125 178 102,304 1.14 5.17 4.92 0.05

135,000 85440KAC8 Leland Stanford Junior University/The

1.289% 06/01/2027 AAA/Aaa 100.00 101.73 135,000 137,339 131 137,469 1.03 6.92 6.57 0.07

250,000 743755AJ9 Providence Health & Services Obligated Group

4.379% 10/01/2023 AA-/Aa3 104.51 110.43 261,264 276,075 2,737 278,811 1.11 3.25 3.03 0.14

475,000 98459LAA1 Yale University

0.873% 04/15/2025 AAA/Aaa 100.00 100.77 475,000 478,665 253 478,918 0.71 4.79 4.66 0.24

Total Non-Corporate 1,262,819 1,314,085 7,930 1,322,015 1.25 5.39 4.95 0.67 TOTAL TAXABLE MUNI / NOT FOR PROFIT 13,982,666 14,584,278 91,228 14,675,506 1.37 5.17 4.76 7.39 TOTAL PORTFOLIO 189,635,078 197,597,050 910,520 198,507,570 0.99 3.54 2.97 100.00

PLEASE TAKE A MOMENT TO COMPARE THIS HOLDINGS REPORT TO THE ACCOUNT STATEMENT FROM YOUR CUSTODIAN

MARKET REVIEW

ECONOMIC SHUTDOWN TO START THE QUARTER…

• 1Q GDP growth came in at -5% q/q annualized as Governments around the world enacted dramatic measures in order to control the spread of COVID-19; the pandemic has had a swift and materially negative impact on the economy.

• More recently, many restrictions have been relaxed in order to restart economic activity, and there are early signs that a bottom has been reached and a recovery is underway.

• As a result of better than expected recent data, economists have revised their 2Q GDP estimates to -20% to -30% q/q annualized (still making this the most severe economic downturn since the Great Depression). Forecasts are calling for a strong recovery with +20% q/q annualized GDP growth in the back half of the year (full year -6% to -8%).

…BUT POSSIBLE RECOVERY UNDERWAY

• May and June saw the creation of 2.7 million and 4.8 million jobs respectively. While not enough to make up for the 21 million jobs lost in April, both months surprised to the upside; however, initial unemployment claims have stagnated at around 1.5 million per week since the beginning of June and continuing claims have remained at more than 19 million after peaking in May at 25 million.

• With the turnaround in the unemployment trend came a turnaround in consumer spending: retail sales fell by 14.7% m/m in April before increasing by 17.7% m/m in May.

• Measures of business activity show a similar pattern as the ISM Manufacturing Index rebounded into expansionary territory in June, to 52.6, following a deep contraction in April and May. Notably, this is a “diffusion” index that does not indicate the magnitude of change, rather, it is indicative of the direction (trend) of activity.

• Going forward, a delicate balance between economic welfare and health concerns will need to be struck as the global health system continues to learn the best way to deal with the disease.

Source: Bloomberg

The information contained herein reflects the views of Galliard Capital Management, Inc. & sources believed to be reliable by Galliard as of the date of publication. The views expressed here may change atany time subsequent to the date of publication. This publication is for informational purposes only. For institutional investor use only.

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MARKET REVIEWSECOND QUARTER 2020

EXTRAORDINARY GOVERNMENT AND CENTRAL BANK ACTION…

• Both monetary and fiscal policy responses to the pandemic have been massive: the Fed cut its policy rate to zero, enacted unlimited QE, and initiated a number of credit facilities, while Congress unanimously passed the ~$2 trillion CARES Act and is currently wrangling over $3 trillion of additional stimulus spending designed to provide ongoing support.

• As expected, the Fed kept interest rates unchanged at its June meeting, while published forecasts indicate that officials almost universally agree that policy rates will remain near zero for at least the next several years.

• To date, the Fed’s credit facilities have largely gone unused relative to their capacity as it seems the Fed’s signal that it will do “whatever it takes” to restore market functioning to pre-COVID levels was enough in and of itself. Regardless of their utilization, these programs remain in place and could provide a necessary backstop should markets unravel again.

…KEEPS INFLATION SUBDUED, BUT EASES DEFLATION FEARS

• The Fed remains opposed to negative rates but has suggested that “yield curve control” could be an additional policy tool. Current debate appears focused on the difference between strengthened forward guidance and yield curve control.

• On the inflation front, both headline and core CPI were basically zero m/m in May after falling considerably in April, while y/y numbers fell to 0.1% and 1.2% respectively.

• Market measures of inflation confirm subdued inflation expectations with 5-year and 10-year breakeven inflation rates ending the quarter at 1.17% and 1.34% respectively. The Fed’s policy actions have thus far convinced the market that deflation can be avoided but underwhelming inflation only serves to strengthen the Fed’s resolve to keep rates lower for longer.

Source: Federal Reserve, Bloomberg


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NON-TREASURY SECTORS OUTPERFORM AS SPREADS TIGHTEN, TREASURY RATES UNCHANGED

• Markets have responded favorably to historic Fed intervention and Government stimulus. Equity markets staged an impressive turnaround, rallying almost 40% to end the quarter within spitting distance of where the year started.

• High quality fixed income spread assets responded in kind with some sectors rallying back to pre-COVID-19 levels, while Treasury yields were largely unchanged during the second quarter with rates at all but the longest maturities still below 1%.

• Spread sectors outperformed like-duration Treasuries during the quarter as spreads tightened. Corporates outperformed other spread sectors overall, while longer Corporate bonds outperformed short/intermediate maturities, and BBB and crossover/high yield issuers outperformed up-in-quality names.

• The Corporate new issue market was open for business with investment grade issuance of almost $700 billion in 2Q; year-to-date supply of nearly $1.2 trillion has already surpassed full year supply in 2019*.

• After an initial deluge of buying ($788 billion gross since the end of March), the Fed has settled into a pace of adding $40 billion Agency MBS per month, net of paydowns, going forward. In addition to providing a liquidity backstop, ongoing Fed QE will provide technical support for Agency MBS spreads by effectively creating negative net supply.

• ABS spreads tightened dramatically as liquidity flowed through the system and short swap spreads tightened. With spread levels for on-the-run ABS approaching pre-COVID levels and well inside of TALF funding, program subscription has been practically zero. Year-to-date, ABS new issue is 32% lower than during the first half of 2019*.

• The CMBS primary market remains extremely quiet, with new issue volumes down 28% y/y*. At present, the market is not expecting much in the way of new issue for the remainder of the year. The TALF program could provide a much needed backstop should spreads widen meaningfully. We expect CMBS conduit delinquencies to test the GFC high of ~11% in the coming months.

*Issuance sources: JP Morgan, Citi, and Bloomberg

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Barclays U.S. Excess Returns vs. Treasuries

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APPENDIX

APPENDIX - JRB STABLE VALUE INTEREST FUND

Second Quarter 2020

1: Returns are net of all fees, including book value contract fees, Galliard investment management fees, and, if applicable, external manager fees, and plan administrative reimbursement. 2: May not add due to rounding.

CALENDAR YEAR INVESTMENT PERFORMANCE

2015 2016 2017 2018 2019 Portfolio (net of all fees - NAV level)1 1.63 1.78 1.86 2.12 2.46

3 Year Constant Maturity Treasury 1.03 1.01 1.58 2.63 1.94

Hueler Pooled Fund Universe Average 1.77 1.79 1.96 2.23 2.51

Value Added (net of all fees – NAV level)2 0.61 0.77 0.28 (0.50) 0.52

MARKET INDICES ICE BofAML U.S. 3 Month Treasury Bill 0.05 0.33 0.86 1.87 2.28

Consumer Price Index 0.73 2.07 2.11 1.67 2.29

GUIDELINE COMPLIANCE

We have not become aware of any investment guideline compliance issues occurring in the portfolio during the quarter.

APPENDIX - JRB STABLE VALUE INTEREST FUND SHORT/INTERMEDIATE PORTFOLIO

Second Quarter 2020

1: Blended benchmark:50% Bloomberg Barclays U.S. Intermediate Government/Credit, 50% Bloomberg Barclays U.S. 1-3 Year Government/Credit; Prior to 7/1/2019 was the Bloomberg Barclays U.S. 1-5 Year Government Bond Index. From 6/1/12 - 6/30/2019, the account was managed to a target duration of 3 years rather than an active fixed income benchmark. Benchmark performance for this period is shown for comparative purposes only.

2: May not add due to rounding.

CALENDAR YEAR INVESTMENT PERFORMANCE

2013 2014 2015 2016 2017 2018 2019 Portfolio (before fees) (0.64) 2.54 1.34 2.09 2.10 1.41 6.02

Blended Benchmark1 (0.12) 1.18 0.93 1.02 0.69 1.53 4.42

Value Added (before fees)2 (0.52) 1.36 0.41 1.07 1.41 (0.11) 1.61

MARKET INDICES ICE BofAML U.S. 3 Month Treasury Bill 0.07 0.03 0.05 0.33 0.86 1.87 2.28

Consumer Price Index 1.51 0.76 0.73 2.07 2.11 1.67 2.29

APPENDIX - JRB STABLE VALUE INTEREST FUND

Second Quarter 2020

TOTAL ANNUAL FUND OPERATING EXPENSES Total Annual Operating Expenses are deducted directly from the Fund’s net asset value and reduce the investment option’s rate of return.

Expense Expense Ratio 6/30/20 Per $1000

Investment Management Fees paid to Galliard 0.138% $1.38 Investment Management fees paid to Non-Affiliated Investment Advisors None None Investment Contract Fees1 0.155% $1.55 Acquired Fund Fees2 0.003% $0.03 -Investment Contract Fees None None -Other Acquired Fund Fees and Non-Affiliated Investment

Management Fees paid to Non-Affiliated Investment Advisors3 0.003% $0.03

12b-1 Distribution Fee None None Other Expenses 0.100% $1.00 Total Annual Fund Operating Expenses4 0.397% $3.97

1: These are fees paid to create and maintain the investments used by a stable value fund. 2: These are fees borne indirectly by the Fund when it acquires an interest in another fund which pays its own separate fees. 3: Includes audit fees for the cost of producing a report by a qualified auditor. 4: Total Annual Fund Operating Expenses are reflected daily in the Fund's net asset value (NAV).

APPENDIX

Second Quarter 2020

GLOSSARY OF TERMS

Amortized Cost: Cost is the amount paid for a fixed income security at its acquisition which may be equal to its par or face value, above par value or below par value. The book value or amortized cost is the original cost, plus accretion of any discount to par value or amortization of any premium to par value.

Effective Duration (Eff. Dur.): Effective duration estimates the sensitivity of a bond or portfolio's market value to a 100 basis point change in interest rates. An effective duration of 2.0, for instance, implies a 2% decline in value given a 1% rise in interest rates (-1 x duration x market rate change = price change).

Effective duration is the average of durations obtained from simulating a bond's cash flows along a large number of random, equally likely future paths of interest rates; therefore, the statistic accurately accounts for the effects of embedded options and irregular cash flow profiles.

Market Price: Closing prices on securities are primarily obtained from Intercontinental Exchange (ICE), an independent pricing vendor. Market prices may also be obtained from other independent pricing services such as Bank of America Merrill Lynch, Bloomberg, and various market makers.

Market Value: Market value is obtained by multiplying a fixed income security par value by its market price plus accrued interest to report date.

Number of Issues: A total of the individual security issues held in a portfolio including money market funds.

Weighted Average Life (Wtd. Avg. Life): Average life is the weighted average time to the receipt of all future cash flows taking into account the probability of early principal payments as well as final maturity.

Security Composite Rating: The single reduced rating for a bond is called the security Composite Rating. If Moody's, S&P and Fitch all provide a credit rating, the Composite Rating is the median of the three agency ratings; if only two or fewer agencies provide ratings, the Composite Rating is the most conservative rating. The types of ratings (e.g. issue/issuer/program) that may be used are determined in accordance with Galliard's policy on implied ratings.

Weighted Average Quality (Wtd. Avg. Qual.): The weighted average quality is a market value weighted average of the individual security holdings Composite Ratings. (e.g. AAA, AA+, etc.) These letter ratings are converted to a linear numeric scale for purposes of calculating an overall average (i.e. AAA=1, AA+=2, etc). The numeric weighted average is rounded to the nearest explicit notch to obtain the overall average letter rating.

Weighted Coupon: The weighted average coupon is the par value weighted average of all of the underlying securities' stated interest rates or coupons as of the report date.

Yield to Maturity (YTM): The annual yield or rate of return anticipated on a bond if it is held until the maturity date. The calculation of YTM takes into account the current market price, par value, coupon interest rate and time to maturity. It is also assumed that all coupons are reinvested at the current market rate. Sometimes this is simply referred to as "yield" for short.

JRB STABLE VALUE INTEREST FUNDPortfolio (before fees) 1.37 5.31 3.39 2.60 2.27 Blended Benchmark1...

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