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5.B. - Page 29 of 59
<br />REDWOOD CITY
<br />Trade Settle
<br />Date Date
<br />Par ($) CUSIP Security Description
<br />For the Quarter Ended December 31, 2019
<br />Portfolio Activity
<br />Maturity Transact Yield Realized
<br />Coupon Date Amt ($) at Market G/L (BV)
<br />11/15/19
<br />11/15/19
<br />890,000
<br />58772RAD6
<br />-'092018-B
<br />MBART 2018-1 A3
<br />3.03%
<br />1/15/23
<br />2,247.25
<br />11/15/19
<br />1,180,000
<br />89238TAD5
<br />A
<br />12/1 805,000
<br />65479HAC1 NAROT 2019-B A3
<br />2,910.67
<br />11/15/19
<br />11/15/19
<br />500,000
<br />14316LAC7
<br />CARMX 2019-2 A3
<br />2.68%
<br />3/15/24
<br />1,116.67
<br />11/15/19
<br />11/15/19
<br />465,522
<br />65478HADW
<br />NAROT 2017-C A3
<br />12/15/19
<br />pr 822.42
<br />11/15/19
<br />11/15/19
<br />465,000
<br />44891KAD7
<br />HART 2018-A A3
<br />2.79%
<br />7/15/22
<br />1,081.13
<br />11/15/19
<br />1IN405,000
<br />12/19/19
<br />COPAR 2019-1 A3
<br />3137EAEN5 FREDDIE MAC NOTES
<br />2.75%
<br />6/19/23
<br />11/15/19
<br />11/15/19
<br />1,400,000
<br />02007JAC1
<br />ALLYA 2018-3 A3
<br />3.00%
<br />1/15/23
<br />3,500.00
<br />11
<br />11/18/19
<br />390,000
<br />43814WAC9
<br />HAROT 2019-1 A3
<br />0
<br />3/20/23
<br />919.75
<br />11/21/19
<br />11/21/19
<br />515,917
<br />43813FAC7
<br />HAROT 2017-4 A3
<br />2.05%
<br />11/21/21
<br />881.36
<br />11/21/19
<br />11/21/19
<br />750,000
<br />43815MACO
<br />HAROT 2019-2 A3
<br />2.52%
<br />16/21/23
<br />1,575.00
<br />11/30/19
<br />11/30/19
<br />3,000,000
<br />912828U57
<br />US TREASURY NOTES
<br />2.12%
<br />11/30/23
<br />31,875.00
<br />11/30/19
<br />11/30/19
<br />3,410,000
<br />9128284S6
<br />US TREASURY N/B NOTES
<br />2.75%
<br />5/31/23
<br />46,887.50
<br />12/2/19
<br />12/2/19
<br />0
<br />MONEY0002
<br />MONEY MARKET FUND
<br />292.68
<br />12/7/19
<br />12/7/19
<br />1,410,000
<br />78012UEE1
<br />ROYAL BANK OF CANADA NYC
<br />3.24%
<br />6/7/21
<br />22,842.00
<br />12/8/19
<br />12/8/19
<br />1,390,000
<br />172967LC3
<br />CITIGROUP INC CORP (CALLABLE) NOTE
<br />2.90%
<br />12/8/21
<br />20,155.00
<br />12/8/19
<br />12/8/19 d&z00,000
<br />3130AOF70
<br />FEDERAL HOME LOAN BANKS NO
<br />3.37%
<br />12/8/23
<br />28,687.50
<br />12/15/19
<br />12/15/19
<br />1,400,000
<br />02007JAC1
<br />ALLYA 2018-3 A3
<br />3.00%
<br />1/15/23
<br />3,500.00
<br />12/15/19
<br />12/15/1
<br />405,000
<br />14042WAC4
<br />COPAR 2019-1 A3
<br />L 11/15
<br />12/15/19
<br />12/15/19
<br />1,180,000
<br />89238TAD5
<br />TACIT 2018-B A3
<br />2.96%
<br />9/15/22
<br />2,910.67
<br />L 12/15/19
<br />12/15/19
<br />835,000
<br />65479GAD1
<br />NAROT 2018-B A3
<br />2,129.25
<br />12/15/19
<br />12/15/19
<br />610,000
<br />44932NAD2
<br />HYUNDAI AUTO RECEIVABLES TRUST
<br />2.66%
<br />6/15/23
<br />1,352.17
<br />12/15/19 12/15/19 430,232 65478HADO NAROT 2017-C A3
<br />12/15/19
<br />12/15/19 890,000
<br />58772RAD6 MBART 2018-1 A3
<br />3.03%
<br />1/15/23
<br />2,247.25
<br />12/15/19
<br />12/1 805,000
<br />65479HAC1 NAROT 2019-B A3
<br />2.50%
<br />11/15/23
<br />1,677.08
<br />12/15/19
<br />12/15/19 720,000
<br />89238BAD4 TACIT 2018-A A3
<br />2.35%
<br />5/16/22
<br />1,410.00
<br />12/15/19
<br />12/15/19W500,000
<br />14316LAC71FCARMX 2019-2 A3
<br />12/15/19
<br />12/15/19 465,000
<br />44891KAD7 HART 2018-A A3
<br />2.79%
<br />7/15/22
<br />1,081.13
<br />390,000
<br />43814WAC9 HAROT 2019-1 A3
<br />/20/23
<br />919.75
<br />12/19/19
<br />12/19/19 3,500,000
<br />3137EAEN5 FREDDIE MAC NOTES
<br />2.75%
<br />6/19/23
<br />48,125.00
<br />/21/19
<br />12/21/19 750,000
<br />43815MACO HAROT 2019-2 A3
<br />2.52%
<br />6/21/23
<br />1,575.00
<br />PFM Asset Management LLC
<br />
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