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Original filing (PDF)20251015231853NAL0002945731001
WESTERN ASSET MANAGEMENT COMPANY, LLC
Form 5500
FILING_RECEIVED
WESTERN ASSET MORTGAGE BACKED SECURITIES PORTFOLIO, L.L.C.
Pooled investment trust — a fund that other plans invest in — not a participant plan
Active participants
—
Accounts w/ balance
—
Plan assets (EOY)
$873.1M
Net assets (EOY)
$644.4M
How this plan invests
9 plans
invest in this fund
This trust
pooled vehicle
225 securities
Schedule of Assets
This is a pooled fund: many plans invest in it, and it holds the underlying securities.
Master trust / DFE filing
Pooled investment vehicle
This filing is a Direct Filing Entity (DFE) — a master trust or collective investment trust that pools assets from multiple participating plans. It does not have plan participants of its own, and the Plan Health Score formula doesn’t apply. Individual participant-facing plans that invest in this trust are the appropriate target for fiduciary analysis.
Pooled assets (EOY)
$873.1M
Net assets (EOY)
$644.4M
Participating plans
9
latest filings citing this trust
Cited interest
$365.5M
across citing plans' latest filings
Cited interest vs pooled assets: cited interest sums what each participating plan reported holding in this trust, measured at that plan’s own year-end — and those filings span different years. Pooled assets is this single filing’s balance at one date. They’re independent measurements, so cited interest can land slightly above or below the pooled balance and won’t reconcile exactly.
Why no Schedule of Assets here? DFE holdings often live on the master trust’s own audited statement, not as a 4i schedule on the participating plans’ filings. We’re extending the parsing pipeline to cover DFE filings — see Methodology.
Decision-maker contacts
CFO / Head of HR / Benefits Manager — verified email + LinkedIn for WESTERN ASSET MANAGEMENT COMPANY, LLC.
Plan sponsor
Name
WESTERN ASSET MANAGEMENT COMPANY, LLC
EIN
20-1575792
Address
385 EAST COLORADO BOULEVARD · PASADENA, CA · 911011923
Phone
(626) 844-9400
Plan administrator
Same as plan sponsor.
Plan characteristics
Plan number
001
Plan year
2024
Plan year begin
2024-01-01
Tax period
2024-12-31
Filed
2025-10-16
Audit & trust (Schedule H)
Auditor
PRICEWATERHOUSECOOPERS LLP
Trustee / custodian
—
Trustee phone
—
Service providers (Schedule C)
3 rowsCustodian
1| Name | EIN | Location | Relation | Direct comp | Indirect comp |
|---|---|---|---|---|---|
| THE BANK OF NEW YORK MELLON | 13-5160382 | — | CUSTODIAN | $306K | — |
Other
2| Name | EIN | Location | Relation | Direct comp | Indirect comp |
|---|---|---|---|---|---|
| PRICEWATERHOUSECOOPERS LLP | 13-4008324 | — | NONE | $98K | — |
| ROPES & GRAY LLP | 04-2233412 | — | NONE | $6K | — |
Investments
223 direct securities · 1 pooled fund· $824.6M(94% of reported assets)
Rows tagged as a trust or pooled fund hold many underlying securities. Click one to drill into its own Schedule of Assets — where the individual funds, shares, and CUSIPs live.
Uncategorized
$756.6M
223 holdings
Common Collective Trust
$68.1M
1 holding
| PI | Investment | Type | Shares / units | Cost | Current value | % of plan |
|---|---|---|---|---|---|---|
| WA INVESTMENT GRADE COMM MORTGAGE WESTERN ASSET MANAGEMENT COMPANY, LLC · EIN 99-1188494 / PN 001 | Common Collective Trust | — | $63.7M | $68.1M | 7.8% | |
| FEDERAL HOME LOAN MORTGAGE CORP 3% US GOVERNMENT SECURITIES | — | — | $53.3M | $46.2M | 5.3% | |
| FEDERAL HOME LOAN MORTGAGE CORP 2.5% US GOVERNMENT SECURITIES | — | — | $37.3M | $35.4M | 4.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 2.5% US GOVERNMENT SECURITIES | — | — | $34.3M | $33.9M | 3.9% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.5% US GOVERNMENT SECURITIES | — | — | $30.1M | $27.3M | 3.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 6% US GOVERNMENT SECURITIES | — | — | $27.0M | $26.9M | 3.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.5% US GOVERNMENT SECURITIES | — | — | $26.7M | $26.7M | 3.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 3.5% US GOVERNMENT SECURITIES | — | — | $26.9M | $22.6M | 2.6% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 2% US GOVERNMENT SECURITIES | — | — | $25.0M | $22.6M | 2.6% | |
| As of December 31, 2024 Investment Description Investment Type Cost Market Value FEDERAL NATIONAL MORTGAGE ASSOCIATION 4% US GOVERNMENT SECURITIES | — | — | $24.4M | $21.8M | 2.5% | |
| FEDERAL HOME LOAN MORTGAGE CORP 2% US GOVERNMENT SECURITIES | — | — | $27.2M | $21.5M | 2.5% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 5% US GOVERNMENT SECURITIES | — | — | $20.0M | $19.4M | 2.2% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 4.5% US GOVERNMENT SECURITIES | — | — | $27.5M | $19.2M | 2.2% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5.5% US GOVERNMENT SECURITIES | — | — | $18.4M | $18.3M | 2.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 3% US GOVERNMENT SECURITIES | — | — | $18.3M | $17.1M | 2.0% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2.5% US GOVERNMENT SECURITIES | — | — | $14.2M | $15.9M | 1.8% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 6% US GOVERNMENT SECURITIES | — | — | $15.7M | $15.7M | 1.8% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 3.5% US GOVERNMENT SECURITIES | — | — | $26.5M | $14.4M | 1.7% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 3% US GOVERNMENT SECURITIES | — | — | $15.0M | $14.0M | 1.6% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 4% US GOVERNMENT SECURITIES | — | — | $13.3M | $12.4M | 1.4% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 6.5% US GOVERNMENT SECURITIES | — | — | $10.7M | $10.7M | 1.2% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 4.5% US GOVERNMENT SECURITIES | — | — | $11.1M | $10.5M | 1.2% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5% US GOVERNMENT SECURITIES | — | — | $22.6M | $10.1M | 1.2% | |
| JMAC MASTER RESECURITIZATION TRUST I SERIES 2009-A 144A 4.26% CORPORATE DEBT SECURITIES | — | — | $11.1M | $9.6M | 1.1% | |
| FEDERAL HOME LOAN MORTGAGE CORP 3.5% US GOVERNMENT SECURITIES | — | — | $11.4M | $9.4M | 1.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2% US GOVERNMENT SECURITIES | — | — | $9.2M | $8.0M | 0.9% | |
| GOLDMAN SACHS & CO. REPURCHASE AGREEMENT OTHER INVESTMENTS | — | — | $8.0M | $8.0M | 0.9% | |
| As of December 31, 2024 Investment Description Investment Type Cost Market Value DREYFUS GOVERNMENT CASH MANAGEMENT INTEREST BEARING CASH | — | — | $7.3M | $7.3M | 0.8% | |
| FEDERAL HOME LOAN MORTGAGE CORP US GOVERNMENT SECURITIES | — | — | $4.9M | $7.3M | 0.8% | |
| PRKCM 2021-AFC2 TRUST 144A 2.693% CORPORATE DEBT SECURITIES | — | — | $9.9M | $6.9M | 0.8% | |
| NP SPE X LP 144A 2.23% CORPORATE DEBT SECURITIES | — | — | $6.9M | $6.5M | 0.7% | |
| SMB PRIVATE EDUCATION TRUST 2021-A 144A 2.99% CORPORATE DEBT SECURITIES | — | — | $7.0M | $6.0M | 0.7% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.5% US GOVERNMENT SECURITIES | — | — | $6.4M | $5.7M | 0.7% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION US GOVERNMENT SECURITIES | — | — | — | $5.5M | 0.6% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2.2% US GOVERNMENT SECURITIES | — | — | $6.4M | $5.1M | 0.6% | |
| HELIOS ISSUER LLC 144A 5.75% CORPORATE DEBT SECURITIES | — | — | $4.5M | $4.7M | 0.5% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2.1% US GOVERNMENT SECURITIES | — | — | $6.6M | $4.6M | 0.5% | |
| AGNC INVESTMENT CORP. 6.125% PREFFERED STOCk | — | — | $4.4M | $4.5M | 0.5% | |
| BAYVIEW OPPORTUNITY MASTER FUND VII LLC 144A 6.019% CORPORATE DEBT SECURITIES | — | — | $4.3M | $4.3M | 0.5% | |
| OBX TRUST 144A 7.299% CORPORATE DEBT SECURITIES | — | — | $3.9M | $4.0M | 0.5% | |
| MOSAIC SOLAR TRUST 2018-2-GS 144A 4.2% CORPORATE DEBT SECURITIES | — | — | $4.3M | $4.0M | 0.5% | |
| VERUS SECURITIZATION TRUST 144A 5.811% CORPORATE DEBT SECURITIES | — | — | $3.9M | $3.9M | 0.5% | |
| AQUA FINANCE TRUST 2020-A 144A 3.97% CORPORATE DEBT SECURITIES | — | — | $4.2M | $3.7M | 0.4% | |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2 144A 0.931% CORPORATE DEBT SECURITIES | — | — | $4.5M | $3.7M | 0.4% | |
| HARDEE'S FUNDING LLC 144A 3.981% CORPORATE DEBT SECURITIES | — | — | $4.0M | $3.6M | 0.4% | |
| RENEW 144A 5.9% CORPORATE DEBT SECURITIES | — | — | $3.4M | $3.5M | 0.4% | |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST 144A 7.5% CORPORATE DEBT SECURITIES | — | — | $3.4M | $3.5M | 0.4% | |
| LA HIPOTECARIA EL SALVADORIAN MORTGAGE TRUST 2019-1 144A 4.25% CORPORATE DEBT SECURITIES | — | — | $3.5M | $3.2M | 0.4% | |
| COLLEGE AVE STUDENTS 2021-B LLC 144A 1.76% CORPORATE DEBT SECURITIES | — | — | $3.6M | $3.2M | 0.4% | |
| SMB PRIVATE EDUCATION LOAN TRUST 144A 5.67% CORPORATE DEBT SECURITIES | — | — | $3.2M | $3.2M | 0.4% | |
| SMB PRIVATE EDUCATION TRUST 2021-C 144A 1.39% CORPORATE DEBT SECURITIES | — | — | $3.5M | $3.2M | 0.4% | |
| CASCADE MH ASSET TRUST 2021-MH1 144A 1.753% CORPORATE DEBT SECURITIES | — | — | $3.5M | $3.1M | 0.4% | |
| FEDERAL HOME LOAN MORTGAGE CORP 3.008% US GOVERNMENT SECURITIES | — | — | $3.3M | $3.1M | 0.4% | |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES 7.069% US GOVERNMENT SECURITIES | — | — | $2.9M | $2.9M | 0.3% | |
| BRAVO RESIDENTIAL FUNDING TRUST 144A 4.272% CORPORATE DEBT SECURITIES | — | — | $2.9M | $2.8M | 0.3% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1.3% US GOVERNMENT SECURITIES | — | — | $2.7M | $2.8M | 0.3% | |
| GOODGREEN 2021-1 TRUST 144A 2.66% CORPORATE DEBT SECURITIES | — | — | $3.4M | $2.7M | 0.3% | |
| OBX 2021-NQM3 TRUST 144A 1.054% CORPORATE DEBT SECURITIES | — | — | $3.2M | $2.6M | 0.3% | |
| JIMMY JOHNS FUNDING LLC 144A 4.846% CORPORATE DEBT SECURITIES | — | — | $2.7M | $2.5M | 0.3% | |
| CSMC 2021-NQM5 TRUST 144A 0.938% CORPORATE DEBT SECURITIES | — | — | $3.1M | $2.5M | 0.3% | |
| SLM PRIVATE EDUCATION TRUST 2010-C 144A 9.262% CORPORATE DEBT SECURITIES | — | — | $2.7M | $2.5M | 0.3% | |
| NEW RESIDENTIAL MORTGAGE TRUST 2019-RPL3 144A 2.75% CORPORATE DEBT SECURITIES | — | — | $2.7M | $2.5M | 0.3% | |
| NEIGHBORLY ISSUER 144A 7.308% CORPORATE DEBT SECURITIES | — | — | $2.4M | $2.5M | 0.3% | |
| GOODGREEN 2017-2 TRUST 144A 3.26% CORPORATE DEBT SECURITIES | — | — | $2.7M | $2.4M | 0.3% | |
| OBX 2021-NQM2 TRUST 144A 1.101% CORPORATE DEBT SECURITIES | — | — | $2.9M | $2.3M | 0.3% | |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R03 144A 7.319% CORPORATE DEBT SECURITIES | — | — | $2.3M | $2.3M | 0.3% | |
| INSTAR LEASING III LLC 144A 2.3% CORPORATE DEBT SECURITIES | — | — | $2.5M | $2.3M | 0.3% | |
| CLSEC HOLDINGS 22T LLC 2.868% CORPORATE DEBT SECURITIES | — | — | $2.5M | $2.2M | 0.3% | |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES 144A 6.769% US GOVERNMENT SECURITIES | — | — | $2.2M | $2.2M | 0.3% | |
| CARS-DB7 LP 144A 5.75% CORPORATE DEBT SECURITIES | — | — | $2.1M | $2.2M | 0.2% | |
| COMMONBOND STUDENT TRUST 2018-C-GS 144A 3.87% CORPORATE DEBT SECURITIES | — | — | $2.3M | $2.1M | 0.2% | |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 144A 5.819% US GOVERNMENT SECURITIES | — | — | $2.1M | $2.1M | 0.2% | |
| SIERRA TIMESHARE RECEIVABLES FUNDING LLC 144A 5.94% CORPORATE DEBT SECURITIES | — | — | $2.1M | $2.1M | 0.2% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 3.75% US GOVERNMENT SECURITIES | — | — | $2.5M | $2.0M | 0.2% | |
| FEDERAL HOME LOAN MORTGAGE CORP 5.869% US GOVERNMENT SECURITIES | — | — | $1.9M | $1.9M | 0.2% | |
| HERO FUNDING TRUST 2020-1 144A 2.59% CORPORATE DEBT SECURITIES | — | — | $2.4M | $1.9M | 0.2% | |
| JP MORGAN MORTGAGE TRUST 144A 0.335% CORPORATE DEBT SECURITIES | — | — | $2.0M | $1.9M | 0.2% | |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 144A 6.5% CORPORATE DEBT SECURITIES | — | — | $1.9M | $1.9M | 0.2% | |
| FEDERAL HOME LOAN MORTGAGE CORP 4.5% US GOVERNMENT SECURITIES | — | — | $1.9M | $1.9M | 0.2% | |
| MOSAIC SOLAR TRUST 2021-3 144A 1.92% CORPORATE DEBT SECURITIES | — | — | $2.5M | $1.9M | 0.2% | |
| FEDERAL HOME LOAN MORTGAGE CORP 0.974% US GOVERNMENT SECURITIES | — | — | $2.0M | $1.8M | 0.2% | |
| PRKCM TRUST 144A 6.636% CORPORATE DEBT SECURITIES | — | — | $1.8M | $1.8M | 0.2% | |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 144A 6.519% US GOVERNMENT SECURITIES | — | — | $1.7M | $1.8M | 0.2% | |
| PRKCM 2021-AFC1 TRUST 144A 1.51% CORPORATE DEBT SECURITIES | — | — | $2.1M | $1.7M | 0.2% | |
| JP MORGAN MORTGAGE TRUST 144A 0.5% CORPORATE DEBT SECURITIES | — | — | $1.8M | $1.7M | 0.2% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 0.461% US GOVERNMENT SECURITIES | — | — | $1.8M | $1.7M | 0.2% | |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES 144A 7.66% US GOVERNMENT SECURITIES | — | — | $1.6M | $1.7M | 0.2% | |
| NEW RESIDENTIAL MORTGAGE TRUST 2019-6 144A 3.5% CORPORATE DEBT SECURITIES | — | — | $1.9M | $1.6M | 0.2% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2.25% US GOVERNMENT SECURITIES | — | — | $2.2M | $1.6M | 0.2% | |
| NEW RESIDENTIAL MORTGAGE TRUST 2021-NQM3 144A 1.156% CORPORATE DEBT SECURITIES | — | — | $1.8M | $1.6M | 0.2% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.212% US GOVERNMENT SECURITIES | — | — | $3.0M | $1.6M | 0.2% | |
| FEDERAL HOME LOAN MORTGAGE CORP 6% US GOVERNMENT SECURITIES | — | — | $1.6M | $1.6M | 0.2% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 0.826% US GOVERNMENT SECURITIES | — | — | $1.9M | $1.6M | 0.2% | |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2020-2 144A 1.178% CORPORATE DEBT SECURITIES | — | — | $1.7M | $1.5M | 0.2% | |
| SBA SMALL BUSINESS INVESTMENT COS 3.548% CORPORATE DEBT SECURITIES | — | — | $1.6M | $1.5M | 0.2% | |
| BAYVIEW OPPORTUNITY MASTER FUND VII LLC 144A 6.069% CORPORATE DEBT SECURITIES | — | — | $1.4M | $1.4M | 0.2% | |
| JMAC MASTER RESECURITIZATION TRUST I SERIES 2009-A 144A 3.644% CORPORATE DEBT SECURITIES | — | — | $1.5M | $1.4M | 0.2% | |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 144A 6.769% US GOVERNMENT SECURITIES | — | — | $1.4M | $1.4M | 0.2% | |
| MAPS 2021-1 TRUST 144A 2.521% CORPORATE DEBT SECURITIES | — | — | $1.5M | $1.4M | 0.2% | |
| PRODIGY FINANCE CM2021-1 DAC 144A 5.702% CORPORATE DEBT SECURITIES | — | — | $1.3M | $1.3M | 0.2% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1.615% US GOVERNMENT SECURITIES | — | — | $2.2M | $1.3M | 0.1% | |
| PEAR LLC 144A 2.6% CORPORATE DEBT SECURITIES | — | — | $1.2M | $1.2M | 0.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.032% US GOVERNMENT SECURITIES | — | — | $3.5M | $1.2M | 0.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 0.553% US GOVERNMENT SECURITIES | — | — | $1.7M | $1.2M | 0.1% | |
| GSAMP TRUST 2003-SEA2 5.421% CORPORATE DEBT SECURITIES | — | — | $1.1M | $1.1M | 0.1% | |
| FEDERAL HOME LOAN MORTGAGE CORP 1.5% US GOVERNMENT SECURITIES | — | — | $1.1M | $1.1M | 0.1% | |
| FEDERAL HOME LOAN MORTGAGE CORP 0.471% US GOVERNMENT SECURITIES | — | — | $1.3M | $1.1M | 0.1% | |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 144A 5.869% US GOVERNMENT SECURITIES | — | — | $1.0M | $1.0M | 0.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 0.822% US GOVERNMENT SECURITIES | — | — | $2.0M | $1.0M | 0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1.4% US GOVERNMENT SECURITIES | — | — | $1.1M | $1.0M | 0.1% | |
| JP MORGAN MORTGAGE TRUST 2018-3 144A 3.5% CORPORATE DEBT SECURITIES | — | — | $1.0M | $931K | 0.1% | |
| WFRBS COMMERCIAL MORTGAGE TRUST 2014-C22 144A 3.773% CORPORATE DEBT SECURITIES | — | — | $1.5M | $905K | 0.1% | |
| FEDERAL HOME LOAN MORTGAGE CORP 1.509% US GOVERNMENT SECURITIES | — | — | $1.1M | $900K | 0.1% | |
| COMMONBOND STUDENT TRUST 2021-B-GS 144A 1.64% CORPORATE DEBT SECURITIES | — | — | $1.1M | $894K | 0.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.201% US GOVERNMENT SECURITIES | — | — | $2.4M | $860K | <0.1% | |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST 3% US GOVERNMENT SECURITIES | — | — | $876K | $847K | <0.1% | |
| BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM2 144A 0.97% CORPORATE DEBT SECURITIES | — | — | $872K | $840K | <0.1% | |
| THORNBURG MORTGAGE SECURITIES TRUST 2007-4 4.428% CORPORATE DEBT SECURITIES | — | — | $853K | $838K | <0.1% | |
| JMAC MASTER RESECURITIZATION TRUST I SERIES 2009-B 144A 4.68% CORPORATE DEBT SECURITIES | — | — | $1.1M | $831K | <0.1% | |
| FEDERAL HOME LOAN MORTGAGE CORP 5% US GOVERNMENT SECURITIES | — | — | $869K | $783K | <0.1% | |
| GS MORTGAGE-BACKED SECURITIES TRUST 2018-RPL1 144A 3.75% CORPORATE DEBT SECURITIES | — | — | $836K | $780K | <0.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.592% US GOVERNMENT SECURITIES | — | — | $1.4M | $765K | <0.1% | |
| FOUNDATION FINANCE TRUST 2021-1 144A 1.27% CORPORATE DEBT SECURITIES | — | — | $798K | $745K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1.588% US GOVERNMENT SECURITIES | — | — | $1.7M | $696K | <0.1% | |
| FEDERAL HOME LOAN MORTGAGE CORP 1.367% US GOVERNMENT SECURITIES | — | — | $1.2M | $695K | <0.1% | |
| JMAC MASTER RESECURITIZATION TRUST I SERIES 2009-B 144A 4.912% CORPORATE DEBT SECURITIES | — | — | $760K | $669K | <0.1% | |
| FEDERAL HOME LOAN MORTGAGE CORP 2.968% US GOVERNMENT SECURITIES | — | — | $655K | $638K | <0.1% | |
| CHL MORTGAGE PASS-THROUGH TRUST 2004-25 5.113% CORPORATE DEBT SECURITIES | — | — | $659K | $612K | <0.1% | |
| JMAC MASTER RESECURITIZATION TRUST I SERIES 2009-A 144A 4.905% CORPORATE DEBT SECURITIES | — | — | $836K | $600K | <0.1% | |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES 144A 6.369% US GOVERNMENT SECURITIES | — | — | $580K | $585K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1.715% US GOVERNMENT SECURITIES | — | — | $1.3M | $580K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 0.631% US GOVERNMENT SECURITIES | — | — | $2.4M | $577K | <0.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.767% US GOVERNMENT SECURITIES | — | — | $752K | $574K | <0.1% | |
| CWABS INC. ASSET-BACKED CERTIFICATES TRUST 2004-6 4.993% CORPORATE DEBT SECURITIES | — | — | $549K | $557K | <0.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.805% US GOVERNMENT SECURITIES | — | — | $526K | $532K | <0.1% | |
| JMAC MASTER RESECURITIZATION TRUST I SERIES 2009-B 144A 4.039% CORPORATE DEBT SECURITIES | — | — | $592K | $518K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 0.16% US GOVERNMENT SECURITIES | — | — | — | $511K | <0.1% | |
| NOVASTAR MORTGAGE FUNDING TRUST SERIES 2003-1 5.213% CORPORATE DEBT SECURITIES | — | — | $499K | $510K | <0.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.367% US GOVERNMENT SECURITIES | — | — | $1.4M | $475K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1.638% US GOVERNMENT SECURITIES | — | — | $1.1M | $468K | <0.1% | |
| FEDERAL HOME LOAN MORTGAGE CORP 4% US GOVERNMENT SECURITIES | — | — | $608K | $466K | <0.1% | |
| JMAC MASTER RESECURITIZATION TRUST I SERIES 2009-A 144A 4.926% CORPORATE DEBT SECURITIES | — | — | $503K | $455K | <0.1% | |
| JMAC MASTER RESECURITIZATION TRUST I SERIES 2009-A 144A 5.082% CORPORATE DEBT SECURITIES | — | — | $576K | $453K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 6.033% US GOVERNMENT SECURITIES | — | — | $431K | $441K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 4.812% US GOVERNMENT SECURITIES | — | — | $419K | $417K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1.765% US GOVERNMENT SECURITIES | — | — | $642K | $406K | <0.1% | |
| JMAC MASTER RESECURITIZATION TRUST I SERIES 2009-B 144A 3.517% CORPORATE DEBT SECURITIES | — | — | $470K | $403K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 0.914% US GOVERNMENT SECURITIES | — | — | $481K | $398K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 0.575% US GOVERNMENT SECURITIES | — | — | $345K | $391K | <0.1% | |
| GCAT TRUST 144A 6.5% CORPORATE DEBT SECURITIES | — | — | $377K | $374K | <0.1% | |
| As of December 31, 2024 Investment Description Investment Type Cost Market Value STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2004-AR7 5.181% CORPORATE DEBT SECURITIES | — | — | $361K | $367K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 4.583% US GOVERNMENT SECURITIES | — | — | $352K | $359K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 0.445% US GOVERNMENT SECURITIES | — | — | $3.4M | $357K | <0.1% | |
| JP MORGAN MORTGAGE TRUST 2018-4 144A 3.5% CORPORATE DEBT SECURITIES | — | — | $378K | $341K | <0.1% | |
| HSI ASSET SECURITIZATION CORP. TRUST 2005-I1 5.233% CORPORATE DEBT SECURITIES | — | — | $368K | $334K | <0.1% | |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR8 4.993% CORPORATE DEBT SECURITIES | — | — | $341K | $327K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5.666% US GOVERNMENT SECURITIES | — | — | $316K | $321K | <0.1% | |
| FEDERAL HOME LOAN MORTGAGE CORP 1.438% US GOVERNMENT SECURITIES | — | — | $704K | $320K | <0.1% | |
| PAL SOLAR 2021-2 LTD. 144A 2.79% CORPORATE DEBT SECURITIES | — | — | $414K | $318K | <0.1% | |
| FEDERAL HOME LOAN MORTGAGE CORP 6.5% US GOVERNMENT SECURITIES | — | — | $327K | $316K | <0.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 7% US GOVERNMENT SECURITIES | — | — | $331K | $313K | <0.1% | |
| WAMU MORTGAGE PASS-THROUGH CERTS SERIES 2005-AR9 TRUST 5.093% CORPORATE DEBT SECURITIES | — | — | $313K | $310K | <0.1% | |
| JMAC MASTER RESECURITIZATION TRUST I SERIES 2009-B 144A 5.502% CORPORATE DEBT SECURITIES | — | — | $267K | $297K | <0.1% | |
| FEDERAL HOME LOAN MORTGAGE CORP 1.488% US GOVERNMENT SECURITIES | — | — | $729K | $292K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 0.329% US GOVERNMENT SECURITIES | — | — | $3.4M | $290K | <0.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.317% US GOVERNMENT SECURITIES | — | — | $1.2M | $287K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1.088% US GOVERNMENT SECURITIES | — | — | $1.9M | $285K | <0.1% | |
| GALTON FUNDING MORTGAGE TRUST 2017-1 144A 3% CORPORATE DEBT SECURITIES | — | — | $314K | $275K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1.314% US GOVERNMENT SECURITIES | — | — | $1.8M | $267K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 0.314% US GOVERNMENT SECURITIES | — | — | $3.0M | $266K | <0.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.267% US GOVERNMENT SECURITIES | — | — | $768K | $263K | <0.1% | |
| GOODGREEN 2021-1 TRUST 144A 3.01% CORPORATE DEBT SECURITIES | — | — | $338K | $259K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 0.628% US GOVERNMENT SECURITIES | — | — | $2.6M | $255K | <0.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.689% US GOVERNMENT SECURITIES | — | — | $3.3M | $254K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 0.451% US GOVERNMENT SECURITIES | — | — | $2.1M | $250K | <0.1% | |
| FEDERAL HOME LOAN MORTGAGE CORP 5.5% US GOVERNMENT SECURITIES | — | — | $256K | $245K | <0.1% | |
| FEDERAL HOME LOAN MORTGAGE CORP 1.238% US GOVERNMENT SECURITIES | — | — | $789K | $236K | <0.1% | |
| FEDERAL HOME LOAN MORTGAGE CORP 1.534% US GOVERNMENT SECURITIES | — | — | $273K | $225K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 0.63% US GOVERNMENT SECURITIES | — | — | $1.1M | $223K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 3.186% US GOVERNMENT SECURITIES | — | — | $1.6M | $221K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5.216% US GOVERNMENT SECURITIES | — | — | $193K | $193K | <0.1% | |
| FEDERAL HOME LOAN MORTGAGE CORP 1.188% US GOVERNMENT SECURITIES | — | — | $854K | $183K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 0.584% US GOVERNMENT SECURITIES | — | — | $2.9M | $183K | <0.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.467% US GOVERNMENT SECURITIES | — | — | $597K | $174K | <0.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.674% US GOVERNMENT SECURITIES | — | — | $1.6M | $170K | <0.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 1.717% US GOVERNMENT SECURITIES | — | — | $1.5M | $166K | <0.1% | |
| INDYMAC INDX MORTGAGE TRUST 2004-AR5 5.313% CORPORATE DEBT SECURITIES | — | — | $168K | $151K | <0.1% | |
| As of December 31, 2024 Investment Description Investment Type Cost Market Value GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2.244% US GOVERNMENT SECURITIES | — | — | $148K | $137K | <0.1% | |
| NOVASTAR MORTGAGE FUNDING TRUST SERIES 2006-MTA1 0.446% CORPORATE DEBT SECURITIES | — | — | $148K | $134K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 0.915% US GOVERNMENT SECURITIES | — | — | $661K | $128K | <0.1% | |
| FEDERAL HOME LOAN MORTGAGE CORP 7% US GOVERNMENT SECURITIES | — | — | $137K | $128K | <0.1% | |
| As of December 31, 2024 Investment Description Investment Type Cost Market Value GREENPOINT MTA TRUST 2005-AR1 4.893% CORPORATE DEBT SECURITIES | — | — | $133K | $120K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5.635% US GOVERNMENT SECURITIES | — | — | $119K | $118K | <0.1% | |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION 6.754% US GOVERNMENT SECURITIES | — | — | $104K | $105K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 0.406% US GOVERNMENT SECURITIES | — | — | $960K | $91K | <0.1% | |
| MORGAN STANLEY MORTGAGE TRUST 2007-2AX 4.633% CORPORATE DEBT SECURITIES | — | — | $248K | $87K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 0.368% US GOVERNMENT SECURITIES | — | — | $449K | $82K | <0.1% | |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 5.116% US GOVERNMENT SECURITIES | — | — | $81K | $81K | <0.1% | |
| CITIGROUP MORTGAGE TRUST INC. 4.713% CORPORATE DEBT SECURITIES | — | — | $94K | $80K | <0.1% | |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP. 5.61% CORPORATE DEBT SECURITIES | — | — | $129K | $79K | <0.1% |
Showing top 200 of 224 investments by value.