|
|
 |
|
Holdings of the Fund as of 11/29/2023
Total Number of Holdings (excluding cash): 234
| US 2YR NOTE (CBT) Mar24 |
TUH4 |
|
67 |
$13,718,773.40 |
20.75% |
| US 10yr Ultra Fut Mar24 |
UXYH4 |
|
58 |
$6,625,593.75 |
10.02% |
| US 5YR NOTE (CBT) Mar24 |
FVH4 |
|
57 |
$6,110,578.13 |
9.24% |
| U.S. Treasury Bill, 0%, due 05/16/2024 |
|
912797FH5 |
5,000,000 |
$4,879,580.55 |
7.38% |
| GNMA TBA, 2.50%, due 12/01/2051 |
|
21H0226C0 |
5,050,000 |
$4,233,714.87 |
6.40% |
| Fannie Mae or Freddie Mac TBA, 5%, due 05/01/2053 |
|
01F0506C5 |
3,325,000 |
$3,214,145.01 |
4.86% |
| Fannie Mae or Freddie Mac TBA, 2%, due 01/01/2052 |
|
01F0206C8 |
3,650,000 |
$2,849,191.97 |
4.31% |
| GNMA TBA, 4.50%, due 04/01/2053 |
|
21H0426C8 |
2,575,000 |
$2,445,545.92 |
3.70% |
| Fannie Mae or Freddie Mac TBA, 2.50%, due 02/01/2052 |
|
01F0226C4 |
2,900,000 |
$2,361,007.83 |
3.57% |
| Fannie Mae or Freddie Mac TBA, 5.50%, due 05/01/2053 |
|
01F0526C1 |
2,225,000 |
$2,199,968.72 |
3.33% |
| GNMA TBA, 5%, due 05/01/2053 |
|
21H0506C1 |
1,750,000 |
$1,706,660.17 |
2.58% |
| Fannie Mae or Freddie Mac TBA, 4%, due 06/01/2052 |
|
01F0406C6 |
1,300,000 |
$1,185,519.00 |
1.79% |
| Freddie Mac FD QD7088, 2%, due 02/01/2052 |
|
3133B42V6 |
1,478,872 |
$1,157,645.00 |
1.75% |
| Fannie Mae FN BV8477, 3%, due 05/01/2052 |
|
3140MNM37 |
1,333,084 |
$1,135,162.92 |
1.72% |
| Fannie Mae FN FS0139, 2.50%, due 01/01/2052 |
|
3140XFEM9 |
1,362,508 |
$1,117,987.36 |
1.69% |
| Fannie Mae or Freddie Mac TBA, 3%, due 03/01/2052 |
|
01F0306C7 |
1,200,000 |
$1,017,069.55 |
1.54% |
| Fannie Mae FN CB2411, 2.50%, due 12/01/2051 |
|
3140QMVD3 |
1,135,007 |
$932,199.50 |
1.41% |
| Frost CMBS Series 2021-1A, Class GBB, Variable rate, due 11/22/2026 |
XS2402427962 |
|
790,241 |
$935,388.27 |
1.41% |
| Fannie Mae FN CB3151, 2%, due 03/01/2052 |
|
3140QNQD7 |
1,185,486 |
$927,978.52 |
1.40% |
| Fannie Mae FN CB3486, 3.50%, due 05/01/2052 |
|
3140QN2U5 |
1,051,083 |
$927,147.60 |
1.40% |
| Navient Student Loan Trust Series 2019-3A, Class B, Variable rate, due 07/25/2068 |
|
63941VAB7 |
975,000 |
$928,749.90 |
1.40% |
| Freddie Mac FR RA7639, 3.50%, due 07/01/2052 |
|
3133KPQL5 |
1,028,359 |
$906,117.37 |
1.37% |
| US ULTRA BOND CBT Mar24 |
WNH4 |
|
7 |
$869,968.75 |
1.32% |
| Freddie Mac FR QC8921, 2.50%, due 10/01/2051 |
|
3133AT4E8 |
1,024,398 |
$841,568.54 |
1.27% |
| Freddie Mac FR SD0956, 2.50%, due 04/01/2052 |
|
3132DNBZ5 |
1,011,568 |
$825,322.67 |
1.25% |
| Fannie Mae or Freddie Mac TBA, 4.50%, due 05/01/2053 |
|
01F0426C2 |
875,000 |
$822,807.62 |
1.24% |
| Specialty Underwriting & Residential Finance Series 2006-AB3, Class A2C, Variable rate, due 09/25/2037 |
|
84751XAD4 |
1,135,076 |
$767,708.75 |
1.16% |
| Fannie Mae FN FS3781, 2%, due 11/01/2051 |
|
3140XKFX3 |
943,363 |
$743,226.91 |
1.12% |
| Fannie Mae or Freddie Mac TBA, 3.50%, due 05/01/2052 |
|
01F0326C3 |
800,000 |
$704,586.73 |
1.07% |
| ARES CLO Ltd Series 2021-62A, Class B, Variable rate, due 01/25/2034 |
|
00192WAE7 |
700,000 |
$690,710.67 |
1.04% |
| Freddie Mac Series 5210, Class LB, 3%, due 08/25/2050 |
|
3137H6ZG3 |
925,000 |
$690,172.10 |
1.04% |
| Freddie Mac FR RA7773, 4%, due 08/01/2052 |
|
3133KPT65 |
706,263 |
$644,903.47 |
0.98% |
| Fannie Mae FN CB2610, 2%, due 01/01/2052 |
|
3140QM3U6 |
821,456 |
$643,107.07 |
0.97% |
| Freddie Mac - STACR Series 2021-HQA1, Class M2, Variable rate, due 08/25/2033 |
|
35564KBS7 |
627,175 |
$626,491.35 |
0.95% |
| Residential Accredit Loans, Inc. Series 2006-Q02, Class A1, Variable rate, due 02/25/2046 |
|
761118VY1 |
3,222,305 |
$629,939.13 |
0.95% |
| Sabey Data Center Issuer LLC Series 2020-1, Class A2, 3.812%, due 04/20/2045 |
|
78520EAA4 |
650,000 |
$622,795.94 |
0.94% |
| European Loan Conduit Series 36A, Class E, Variable rate, due 02/17/2030 |
|
BCC2LM3H4 |
568,576 |
$595,533.32 |
0.90% |
| Fannie Mae FN BV9960, 4%, due 06/01/2052 |
|
3140MQB65 |
653,327 |
$598,111.78 |
0.90% |
| GNMA TBA, 5.50%, due 06/01/2053 |
|
21H0526C7 |
600,000 |
$597,260.56 |
0.90% |
| Elmwood CLO VI Ltd. Series 2020-3A, Class BR, Variable rate, due 10/20/2034 |
|
29001VAN9 |
600,000 |
$591,550.41 |
0.89% |
| Washington Mutual Mortgage Pass Through CTFS Series 2006-AR10, Class A2A, Variable rate, due 12/25/2036 |
|
93935YAB6 |
725,292 |
$583,151.07 |
0.88% |
| BX Trust Series 2021-VIEW, Class B, Variable rate, due 06/15/2036 |
|
05606GAG6 |
605,000 |
$568,186.36 |
0.86% |
| JP Morgan Mortgage Acquisition Corp Series 2006-WMC2, Class A4, Variable rate, due 07/25/2036 |
|
46628TAD3 |
1,357,423 |
$560,208.71 |
0.85% |
| Freddie Mac - STACR Series 2022-DNA1, Class M1B, Variable rate, due 01/25/2042 |
|
35564KPV5 |
550,000 |
$546,280.46 |
0.83% |
| AMSR Trust Series 2020-SFR1, Class F, 3.566%, due 04/17/2037 |
|
00180AAF6 |
572,000 |
$539,265.64 |
0.82% |
| Fannie Mae FN BU9074, 2%, due 01/01/2052 |
|
3140MBCL4 |
686,957 |
$541,696.65 |
0.82% |
| Credit Suisse Mortgage Trust Series 2021-RP11, Class PT, Variable rate, due 10/25/2061 |
|
12659AAH9 |
701,542 |
$522,406.60 |
0.79% |
| Fannie Mae FN BW9886, 4.50%, due 10/01/2052 |
|
3140N26Y2 |
547,354 |
$515,413.96 |
0.78% |
| Barclays Commercial Mortgage Securities LLC Series 2020-BID, Class D, Variable rate, due 10/15/2037 |
|
05493BAL2 |
545,000 |
$507,817.59 |
0.77% |
| Argent Securities Inc. Series 2005-W3, Class M2, Variable rate, due 11/25/2035 |
|
040104PD7 |
600,000 |
$497,810.22 |
0.75% |
| Oakwood Mortgage Investors Inc Series 1999-C, Class A2, 7.475%, due 08/15/2027 |
|
67087TAK7 |
616,491 |
$493,704.18 |
0.75% |
| IndyMac INDX Mortgage Loan Trust Series 2007-AR21, Class 6A1, Variable rate, due 09/25/2037 |
|
45670BAL3 |
719,511 |
$485,497.19 |
0.73% |
| Wachovia Student Loan Trust Series 2006-1, Class B, Variable rate, due 04/25/2040 |
|
92978JAH6 |
523,679 |
$484,091.39 |
0.73% |
| GNMA TBA, 5.50%, due 07/01/2053 |
|
21H052611 |
475,000 |
$472,757.05 |
0.72% |
| U.S. Treasury Bill, 0%, due 04/25/2024 |
|
912797HG5 |
485,000 |
$474,762.90 |
0.72% |
| Fannie Mae FN CA5689, 3%, due 05/01/2050 |
|
3140QDKB9 |
538,893 |
$465,676.70 |
0.70% |
| Fannie Mae FN BQ1226, 2%, due 09/01/2050 |
|
3140KLLG5 |
581,321 |
$457,993.97 |
0.69% |
| First Franklin Mtg Loan Asset Backed Certificates Series 2006-FF7, Class 2A4, Variable rate, due 05/25/2036 |
|
320277AF3 |
565,000 |
$456,835.67 |
0.69% |
| Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3, Class A2B, Variable rate, due 06/25/2037 |
|
59024VAF6 |
610,270 |
$457,516.07 |
0.69% |
| Freddie Mac FR SD1382, 4%, due 08/01/2052 |
|
3132DNRB1 |
484,572 |
$442,321.68 |
0.67% |
| Fannie Mae FN CB2430, 3%, due 12/01/2051 |
|
3140QMVY7 |
501,373 |
$425,655.09 |
0.64% |
| Fannie Mae FN CB2802, 2%, due 02/01/2052 |
|
3140QNDG4 |
543,833 |
$425,711.63 |
0.64% |
| Credit Suisse Mortgage Trust Series 2021-RBL4, Class A1, 1.79561% |
|
12662GAC2 |
439,091 |
$417,316.57 |
0.63% |
| IndyMac INDX Mortgage Loan Trust Series 2006-AR31, Class A3, Variable rate, due 11/25/2036 |
|
45667QAC5 |
452,317 |
$407,638.64 |
0.62% |
| Freddie Mac FR SD2190, 4.50%, due 10/01/2052 |
|
3132DPNF1 |
426,019 |
$400,797.69 |
0.61% |
| GNMA Series 2023-116, Class FL, Variable rate, due 08/20/2053 |
|
38384EEE1 |
397,164 |
$396,854.04 |
0.60% |
| Residential Funding Mtg Sec I Series 2006-S10, Class 1A1, 6%, due 10/25/2036 |
|
74958DAA6 |
538,144 |
$398,254.78 |
0.60% |
| Structured Asset Mortgage Investments Inc Series 2006-AR6, Class 2A1, Variable rate, due 07/25/2046 |
|
86360UAF3 |
575,947 |
$395,381.08 |
0.60% |
| GNMA Series 2023-113, Class FD, Variable rate, due 08/20/2053 |
|
38384CUA5 |
394,333 |
$390,469.98 |
0.59% |
| Credit Suisse Mortgage Trust Series 2014-8R, Class 3A2, Variable rate, due 02/27/2036 |
|
12648VAL8 |
530,824 |
$386,319.09 |
0.58% |
| IndyMac INDX Mortgage Loan Trust Series 2006-AR13, Class A3, Variable rate, due 07/25/2036 |
|
45661XAD4 |
556,011 |
$385,042.47 |
0.58% |
| Merrill Lynch Mortgage Investors Trust Series 2006-HE6, Class !2B, Variable rate, due 11/25/2037 |
|
59023XAC0 |
1,101,229 |
$378,384.25 |
0.57% |
| Last Mile Logistics Pan Euro Finance DAC Series 1A, Class E, Variable rate, due 08/17/2026 |
|
BCC316NM6 |
363,287 |
$371,697.91 |
0.56% |
| Fannie Mae FN MA4511, 2%, due 01/01/2052 |
|
31418EAM2 |
463,964 |
$363,078.97 |
0.55% |
| Fannie Mae FN FS3160, 3%, due 06/01/2052 |
|
3140XJQN6 |
412,208 |
$351,048.84 |
0.53% |
| MASTR Adjustable Rate Mortgages Trust Series 2007-HF2, Class A2, Variable rate, due 09/25/2037 |
|
57645TAB3 |
800,000 |
$348,603.36 |
0.53% |
| Credit-Based Asset Servicing and Securitization Series 2007-CB3, Class A4, Variable rate, due 03/25/2037 |
|
17311YAD5 |
933,593 |
$340,566.27 |
0.52% |
| Golub Capital Partners CLO Ltd Series 2021-54A, Class A, Variable rate, due 08/05/2033 |
|
381743AA1 |
350,000 |
$346,106.67 |
0.52% |
| SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE, Class A2A, Variable rate, due 01/05/2043 |
|
78413MAC2 |
479,000 |
$344,593.32 |
0.52% |
| Bear Stearns Alt-A Trust Series 2006-1, Class 21A2, Variable rate, due 02/25/2036 |
|
07386HB83 |
487,606 |
$334,383.32 |
0.51% |
| Morgan Stanley BAML Trust Series 2015-C25, Class XA, Variable rate, due 10/15/2048 |
|
61765TAG8 |
28,833,805 |
$340,406.13 |
0.51% |
| Pretium Mortgage Credit Partners LLC Series 2022-RN1, Class A1, Variable rate, due 07/25/2051 |
|
69363JAA2 |
347,306 |
$334,029.35 |
0.51% |
| AMSR Trust Series 2020-SFR3, Class G, 4.994%, due 09/17/2037 |
|
001807AH9 |
355,000 |
$333,562.93 |
0.50% |
| DROP Mortgage Trust 2021-FILE Series 2021-FILE, Class B, Variable rate, due 04/15/2026 |
|
26210YAG1 |
386,000 |
$328,601.11 |
0.50% |
| MASTR Adjustable Rate Mortgages Trust Series 2006-OA2, Class 1A1, Variable rate, due 12/25/2046 |
|
55275NAA9 |
485,162 |
$332,584.91 |
0.50% |
| Lehman XS Trust Series 2006-10N, Class 1A4A, Variable rate, due 07/25/2046 |
|
525229AG5 |
483,515 |
$320,683.37 |
0.49% |
| Madison Park Funding Ltd Series 2020-45A, Class BR, Variable rate, due 07/15/2034 |
|
55820BAL1 |
325,000 |
$322,032.42 |
0.49% |
| MASTR Asset Backed Securities Trust Series 2007-HE1, Class A4, Variable rate, due 05/25/2037 |
|
576457AD7 |
435,500 |
$324,452.42 |
0.49% |
| Preston Ridge Partners Mortgage Trust Series 2021-11, Class A1, Variable rate, due 11/25/2026 |
|
69362QAA7 |
336,432 |
$324,268.90 |
0.49% |
| Washington Mutual Mortgage Pass-Through CTFS Series 2006-AR6, Class 2A, Variable rate, due 08/25/2046 |
|
93935FAC5 |
596,565 |
$321,453.76 |
0.49% |
| Progress Residential Trust Series 2021-SFR1, Class H, 5.004%, due 04/17/2038 |
|
74331FAQ4 |
360,000 |
$317,403.94 |
0.48% |
| Dryden Senior Loan Fund Series 2019-72A, Class BR, Variable rate, due 05/15/2032 |
|
26252NAQ2 |
315,000 |
$311,850.03 |
0.47% |
| Structured Asset Mortgage Investments Inc Series 2007-AR1, Class 2A1, Variable rate, due 01/25/2037 |
|
86362XAP3 |
373,490 |
$308,949.55 |
0.47% |
| Credit-Based Asset Servicing and Securitization Series 2007-CB3, Class A3, Variable rate, due 03/25/2037 |
|
17311YAC7 |
811,820 |
$296,297.22 |
0.45% |
| Fannie Mae FN BW6293, 4.50%, due 08/01/2052 |
|
3140MX7F5 |
312,917 |
$294,640.91 |
0.45% |
| Merrill Lynch Mortgage Investors Trust Series 2006-OPT1, Class A2D, Variable rate, due 08/25/2037 |
|
59022VAE1 |
400,000 |
$296,146.52 |
0.45% |
| Navient Student Loan Trust Series 2015-3, Class B, Variable rate, due 10/25/2058 |
|
63939LAC1 |
320,000 |
$295,831.04 |
0.45% |
| Nelnet Student Loan Trust Series 2005-4, Class B, Variable rate, due 09/22/2035 |
|
64031QCL3 |
353,604 |
$299,871.44 |
0.45% |
| Preston Ridge Partners Mortgage Trust Series 2021-3, Class A1, Variable rate, due 04/25/2026 |
|
69357PAA6 |
307,469 |
$295,690.86 |
0.45% |
| CIM Trust Series 2023-R3, Class A1B, Variable rate, due 01/25/2063 |
|
12570GAC3 |
450,000 |
$288,778.35 |
0.44% |
| Residential Accredit Loans, Inc. Series 2005-QO1, Class A1, Variable rate, due 08/25/2035 |
|
761118EN4 |
398,388 |
$290,091.91 |
0.44% |
| OWNIT Mortgage Loan Asset-Backed Certificates Series 2006-6, Class A2C, Variable rate, due 09/25/2037 |
|
69121TAD7 |
614,376 |
$277,582.39 |
0.42% |
| Securitized Asset Backed Receivables LLC Trust Series 2007-NC2, Clss A2B, Variable rate, due 01/25/2037 |
|
81378GAC2 |
327,796 |
$279,937.22 |
0.42% |
| Countrywide Alternative Loan Trust Series 2018-C8, Class A4, Variable rate, due 09/25/2047 |
|
02150XAA9 |
305,523 |
$265,025.87 |
0.40% |
| Credit Suisse Mortgage Trust Series 2020-RPL2, Class A12, Variable rate, due 02/25/2060 |
|
22946BAP1 |
258,231 |
$261,744.72 |
0.40% |
| Flexential Issuer, LLC Series 2021-1A, Class A2, 3.25%, due 11/27/2051 |
|
33938MAA7 |
300,000 |
$261,364.59 |
0.40% |
| Boyce Park CLO, LLC Series 2022-1A, Class SUB, Variable rate, due 04/21/2035 |
|
103226AC0 |
350,000 |
$255,304.53 |
0.39% |
| Freddie Mac FR RA5552, 3%, due 07/01/2051 |
|
3133KMEZ4 |
298,871 |
$255,634.28 |
0.39% |
| BCRED BSL CLO LTD Series 2023-1A, Class A, Variable rate, due 01/20/2036 |
|
055978AA8 |
250,000 |
$250,187.50 |
0.38% |
| Residential Accredit Loans, Inc. Series 2007-QH4, Class A1, Variable rate, due 05/25/2037 |
|
74922TAA4 |
289,586 |
$251,790.44 |
0.38% |
| SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE, Class A2B, Variable rate, due 01/05/2043 |
|
78413MAE8 |
340,000 |
$245,452.39 |
0.37% |
| CIFC Funding Ltd Series 2022-2A, Class INCB, Variable rate, due 04/19/2035 |
|
12567VAC5 |
300,000 |
$240,781.46 |
0.36% |
| SLG Office Trust Series 2021-OVA, Class G, 2.85061%, due 07/15/2041 |
|
78449RAQ8 |
385,000 |
$236,292.40 |
0.36% |
| Stratus CLO Series 2021-3A, Class SUB, Variable rate, due 12/29/2029 |
|
86315XAG1 |
385,000 |
$233,145.55 |
0.35% |
| Fannie Mae FN BQ1163, 2%, due 08/01/2050 |
|
3140KLJH6 |
288,677 |
$227,588.97 |
0.34% |
| LHOME Mortgage Trust Series 2021-RTL3, Class A, Variable rate, due 09/25/2026 |
|
50203RAA8 |
234,724 |
$227,835.78 |
0.34% |
| Wells Fargo Commercial Mortgage Trust Series 2016-C37, Class XEF, Variable rate, due 12/15/2049 |
|
95000PAP9 |
5,823,000 |
$226,792.46 |
0.34% |
| Soundview Home Equity Loan Trust Series 2007-OPT1, Class 2A2, Variable rate, due 06/25/2037 |
|
83612TAC6 |
312,882 |
$198,853.27 |
0.30% |
| Fannie Mae FN BW9888, 4%, due 10/01/2052 |
|
3140N27A3 |
211,733 |
$193,272.13 |
0.29% |
| JP Morgan Chase Commercial Mortgage Sec Trust Series 2017-JP5, Class XA, Variable rate, due 03/15/2050 |
|
46647TAU2 |
9,926,382 |
$194,218.59 |
0.29% |
| Argent Securities Inc. Series 2006-M1, Class A2C, Variable rate, due 07/25/2036 |
|
04012MAQ2 |
732,668 |
$181,949.42 |
0.28% |
| BX Trust Series 2021-XL2, Class J, Variable rate, due 10/15/2038 |
|
05609KAQ2 |
195,483 |
$183,577.28 |
0.28% |
| GNMA Series 2013-25, Class SA, Variable rate, due 02/20/2043 |
|
38378MKU8 |
1,735,186 |
$185,309.85 |
0.28% |
| GS Mortgage Securities Trust Series 2015-GC28, Class XA, Variable rate, due 02/10/2048 |
|
36251FAY2 |
27,748,795 |
$185,212.11 |
0.28% |
| Citigroup Mortgage Loan Trust Inc Series 2009-10, Class 2A2, Variable rate, due 12/25/2035 |
|
17316AAF7 |
248,068 |
$176,466.96 |
0.27% |
| Colony American Finance Ltd Series 2021-2, Class XA, Variable rate, due 07/15/2054 |
|
21873BAC9 |
2,443,893 |
$180,836.07 |
0.27% |
| CIM Trust Series 2021-R3, Class A1A, Variable rate, due 06/25/2057 |
|
12566LAB0 |
194,260 |
$171,534.76 |
0.26% |
| Countrywide Alternative Loan Trust Series 2005-16, Class A4, Variable rate, due 06/25/2035 |
|
12667GMF7 |
199,001 |
$170,431.37 |
0.26% |
| Voya CLO Ltd Series 2017-2A, Class A2AR, Variable rate, due 06/07/2030 |
|
92915UAJ3 |
175,000 |
$174,156.68 |
0.26% |
| Countrywide Home Loans Series 2004-25, Class 2A1, Variable rate, due 02/25/2035 |
|
12669GKF7 |
189,192 |
$156,981.79 |
0.24% |
| Lehman XS Trust Series 2007-12N, Class 1A3A, Variable rate, due 07/25/2047 |
|
52524YAC7 |
165,299 |
$156,840.41 |
0.24% |
| Credit Suisse Mortgage Trust Series 2019-UVIL, Class B, Variable rate, due 12/15/2041 |
|
12656DAE3 |
182,000 |
$151,760.90 |
0.23% |
| Fannie Mae Series 2019-68, Class US, Variable rate, due 11/25/2049 |
|
3136B6R21 |
1,440,747 |
$155,320.72 |
0.23% |
| Wells Fargo Commercial Mortgage Trust Series 2015-C28, Class XA, Variable rate, due 05/15/2048 |
|
94989JBC9 |
27,067,553 |
$152,861.30 |
0.23% |
| Park Avenue Institutional Advisers CLO Series 2018-1A, Class A2R, Variable rate, due 10/20/2031 |
|
70016RAQ8 |
150,000 |
$147,007.56 |
0.22% |
| Soundview Home Equity Loan Trust Series 2007-OPT3, Class 1A1, Variable rate, due 08/25/2037 |
|
83612KAA9 |
178,740 |
$147,186.35 |
0.22% |
| Freddie Mac FG G67710, 3.50%, due 03/01/2048 |
|
3132XCR72 |
156,378 |
$141,035.93 |
0.21% |
| GreenPoint Mortgage Funding Trust Series 2005-AR4, Class G41B, Variable rate, due 10/25/2045 |
|
39538WBZ0 |
152,297 |
$136,523.01 |
0.21% |
| JPMDB Commercial Mortgage Securities Trust Series 2016-C2, Class XA, Variable rate, due 06/15/2049 |
|
46590LAV4 |
5,376,203 |
$141,291.45 |
0.21% |
| Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-1, Class A1, Variable rate, due 04/25/2037 |
|
59023LAA0 |
322,161 |
$135,954.31 |
0.21% |
| Residential Accredit Loans, Inc. Series 2006-QS7, Class A2, 6%, due 06/25/2036 |
|
748940AB9 |
179,388 |
$135,682.11 |
0.21% |
| Deutsche Alt-A Securities INC Mortgage Loan Trust Series 2007-3, Class 2A1, Variable rate, due 10/25/2047 |
|
25151KAC3 |
174,065 |
$122,399.74 |
0.19% |
| Countrywide Alternative Loan Trust Series 2007-OA7, Class A1A, Variable rate, due 05/25/2047 |
|
126680AA5 |
142,097 |
$118,497.25 |
0.18% |
| GNMA Series 2012-34, Class SA, Variable rate, due 03/20/2042 |
|
38378D2U8 |
1,169,132 |
$121,031.02 |
0.18% |
| Residential Accredit Loans, Inc. Series 2007-QS2, Class A4, 6.25%, due 01/25/2037 |
|
74923CAD4 |
148,879 |
$118,746.71 |
0.18% |
| Bear Stearns Adjustable Rate Mortgage Trust Series 2005-1, Class 2A1, Variable rate, due 03/25/2035 |
|
07387AAB1 |
127,042 |
$112,659.73 |
0.17% |
| COMM Mortgage Trust Series 2015-LC21 Class XE, Variable rate, due 07/10/2048 |
|
12593FAG9 |
7,000,000 |
$109,512.90 |
0.17% |
| DBUBS Mortgage Trust Series 2017-BRBK, Class A, 3.452%, due 10/10/2034 |
|
23305JAA0 |
120,000 |
$109,502.11 |
0.17% |
| Freddie Mac FG G67706, 3.50%, due 12/01/2047 |
|
3132XCR31 |
121,934 |
$110,258.14 |
0.17% |
| BENCHMARK Mortgage Trust Series 2020-B18, Class AGNF, 4.139%, due 07/15/2053 |
|
08163ABR3 |
117,000 |
$102,595.64 |
0.16% |
| Citigroup Commercial Mortgage Trust Series 2016-P3, Class XA, Variable rate, due 04/15/2049 |
|
29429CAJ4 |
4,283,514 |
$104,996.65 |
0.16% |
| Structured Asset Mortgage Investments Inc. Series 2005-AR8, Class A2, Variable rate, due 02/25/2036 |
|
86359LRY7 |
131,686 |
$108,639.72 |
0.16% |
| Banc of America Funding Corporation Series 2007-C, Class 7A1, Variable rate, due 05/20/2047 |
|
059522AC6 |
108,880 |
$96,702.07 |
0.15% |
| Fannie Mae FN CB4365, 3.50%, due 08/01/2052 |
|
3140QPZ75 |
115,233 |
$101,649.88 |
0.15% |
| Fannie Mae Series 2006-56, Class FE, Variable rate, due 07/25/2036 |
|
31395NXU6 |
98,744 |
$96,918.48 |
0.15% |
| Freddie Mac FG G61748, 3.50%, due 11/01/2048 |
|
31335B5H5 |
106,406 |
$96,072.82 |
0.15% |
| Freddie Mac FR SD7511, 3.50%, due 01/01/2050 |
|
3132DVKY0 |
111,928 |
$100,514.91 |
0.15% |
| IndyMac INDX Mortgage Loan Trust Series 2005-AR29, Class A1, Variable rate, due 01/25/2036 |
|
45660LU98 |
121,399 |
$97,979.69 |
0.15% |
| IndyMac INDX Mortgage Loan Trust Series 2006-AR19, Class 5A2, Variable rate, due 08/25/2036 |
|
45660GBB5 |
130,913 |
$99,375.58 |
0.15% |
| Wells Fargo Commercial Mortgage Trust Series 2016-C33, Class XA, Variable rate, due 03/15/2059 |
|
95000LBC6 |
3,551,752 |
$96,159.78 |
0.15% |
| Fannie Mae Series 2018-50, Class BA, 3%, due 07/25/2048 |
|
3136B2LX8 |
103,962 |
$90,603.87 |
0.14% |
| Freddie Mac FR SD0499, 3%, due 08/01/2050 |
|
3132DMRU1 |
106,398 |
$91,941.29 |
0.14% |
| Wells Fargo Commercial Mortgage Trust Series 2015-C27, Class XA, Variable rate, due 02/15/2048 |
|
94989DAZ2 |
13,744,697 |
$92,389.10 |
0.14% |
| HSI Asset Securitization Corporation Trust Series 2006-WMC1, Class A4, Variable rate, due 07/25/2036 |
|
40430MAE7 |
200,802 |
$85,628.47 |
0.13% |
| Structured Asset Mortgage Investments Inc Series 2006-AR7, Class A1BG, Variable rate, due 08/25/2036 |
|
86361HAB0 |
99,740 |
$83,538.98 |
0.13% |
| American Home Mortgage Assets Series 2006-3, Class 1A1, Variable rate, due 10/25/2046 |
|
02660UAA8 |
98,144 |
$81,066.94 |
0.12% |
| Credit-Based Asset Servicing and Securitization Series 2007-CB6, Class A1, Variable rate, due 07/25/2037 |
|
1248RHAA5 |
127,391 |
$80,062.73 |
0.12% |
| Fannie Mae Series 2011-47, Class GF, Variable rate, due 06/25/2041 |
|
31397UDV8 |
78,132 |
$76,676.66 |
0.12% |
| Freddie Mac FG G60659, 3.50%, due 08/01/2046 |
|
31335AWU8 |
88,907 |
$80,589.91 |
0.12% |
| GNMA Series 2014-57, Class PS, Variable rate, due 04/20/2044 |
|
38379BVY1 |
734,499 |
$81,061.81 |
0.12% |
| U.S. Treasury Note, 4.875%, due 11/30/2025 |
|
91282CJL6 |
80,000 |
$80,345.31 |
0.12% |
| BCAP LLC Trust Series 2006-AA2, Class A1, Variable rate, due 01/25/2037 |
|
05530MAA7 |
82,970 |
$75,758.96 |
0.11% |
| BWAY Mortgage Trust Series 2013-1515, Class XA, Variable rate, due 03/10/2033 |
|
05604FAE5 |
17,221,934 |
$72,421.68 |
0.11% |
| Countrywide Alternative Loan Trust Series 2007-5CB, Class 1A11, 6%, due 04/25/2037 |
|
02150EAL7 |
128,991 |
$70,737.66 |
0.11% |
| FANNIE MAE Series 2019-67, Class FE, Variable rate, due 11/25/2049 |
|
3136B64Y6 |
72,991 |
$69,837.03 |
0.11% |
| FreddieMac Strip Series 360, Class 250, 2.50%, due 11/15/2047 |
|
3132J0US4 |
87,937 |
$75,291.70 |
0.11% |
| Wells Fargo Commercial Mortgage Trust Series 2015-C26, Class XA, Variable rate, due 02/15/2048 |
|
94989CBA8 |
7,850,103 |
$75,357.07 |
0.11% |
| Countrywide Alternative Loan Trust Series 2007-15CB, Class A5, 5.75%, due 07/25/2037 |
|
02151CAE6 |
111,475 |
$64,796.73 |
0.10% |
| Morgan Stanley BAML Trust Series 2015-C20, Class XA, Variable rate, due 02/15/2048 |
|
61764RBG2 |
9,048,177 |
$64,653.75 |
0.10% |
| Residential Accredit Loans, Inc. Series 2007-QS1, Class 1A4, 6%, due 01/25/2037 |
|
74922KAD7 |
89,673 |
$68,210.85 |
0.10% |
| SLM Student Loan Trust Series 2008-4, Class B, Variable rate, due 04/25/2073 |
|
78445AAE6 |
65,000 |
$63,541.97 |
0.10% |
| SLM Student Loan Trust Series 2008-5 Class B, Variable rate, due 07/25/2073 |
|
78444YAE5 |
65,000 |
$62,910.28 |
0.10% |
| Textainer Marine Containers Limited Series 2020-3A, Class A, 2.50%, due 09/20/2045 |
|
88315LAJ7 |
71,183 |
$63,081.71 |
0.10% |
| Freddie Mac FR SD7513, 3.50%, due 04/01/2050 |
|
3132DVK20 |
69,150 |
$62,098.48 |
0.09% |
| Freddie Mac FR ZM1779, 3%, due 09/01/2046 |
|
3131XU6Q5 |
70,643 |
$61,745.20 |
0.09% |
| GSR Mortgage Loan Trust Series 2006-OA1, Class 2A2, Variable rate, due 08/25/2046 |
|
362631AC7 |
230,538 |
$58,296.74 |
0.09% |
| Fannie Mae FN BV4119, 2.50%, due 03/01/2052 |
|
3140MHSH3 |
67,591 |
$55,159.02 |
0.08% |
| Fannie Mae FN FM2870, 3%, due 03/01/2050 |
|
3140X6FL0 |
61,977 |
$53,557.55 |
0.08% |
| Oakwood Mortgage Investors Inc Series 2001-C, Class A2, Variable rate, due 06/15/2031 |
|
67087TCK5 |
582,662 |
$55,114.78 |
0.08% |
| Saxon Asset Securities Trust Series 2005-1, Class M2, Variable rate, due 05/25/2035 |
|
805564RN3 |
58,982 |
$54,668.28 |
0.08% |
| Countrywide Home Loans Series 2007-20, Class A1, 6.50%, due 01/25/2038 |
|
12544QAA8 |
101,904 |
$47,871.81 |
0.07% |
| Fannie Mae FN CA0995, 3.50%, due 01/01/2048 |
|
3140Q8C94 |
49,290 |
$44,425.55 |
0.07% |
| Freddie Mac FG G08681, 3.50%, due 12/01/2045 |
|
3128MJXK1 |
47,770 |
$43,378.46 |
0.07% |
| Freddie Mac FR SD7502, 3.50%, due 07/01/2049 |
|
3132DVKP9 |
54,051 |
$48,803.99 |
0.07% |
| GNMA G2 MA4382, 3.50%, due 04/20/2047 |
|
36179S2P1 |
52,309 |
$47,625.91 |
0.07% |
| IndyMac INDX Mortgage Loan Trust Series 2006-AR3, Class 2A1A, Variable rate, due 03/25/2036 |
|
45660L5S4 |
64,684 |
$46,076.34 |
0.07% |
| GNMA G2 MA3873, 3%, due 08/20/2046 |
|
36179SJS7 |
42,160 |
$37,243.39 |
0.06% |
| Securitized Asset Backed Receivables LLC Trust Series 2006-NC2, Class A3, Variable rate, due 03/25/2036 |
|
81376EAC9 |
43,863 |
$42,750.83 |
0.06% |
| WAMU Mortgage Pass-Through Certificates Series 2006-AR3, Class A1A, Variable rate, due 02/25/2046 |
|
92925CDA7 |
48,121 |
$41,476.58 |
0.06% |
| COMM Mortgage Trust Series 2014-CR16, Class XA, Variable rate, due 04/10/2047 |
|
12591VAF8 |
30,090,753 |
$31,805.93 |
0.05% |
| CSAIL Commercial Mortgage Trust Series 2016-C5, Class XA, Variable rate, due 11/15/2048 |
|
12636LBA7 |
2,609,368 |
$35,224.90 |
0.05% |
| FHLMC Multifamily Structured Pass Through Certs. Series K732, Class X3, Variable rate, due 05/25/2046 |
|
3137FG7J8 |
1,000,000 |
$32,309.20 |
0.05% |
| Freddie Mac Series 4993, Class OP, 0%, due 10/25/2058 |
|
3137FU6Z2 |
38,048 |
$34,310.48 |
0.05% |
| GNMA G2 MA4778, 3.50%, due 10/20/2047 |
|
36179TJX4 |
39,121 |
$35,584.22 |
0.05% |
| Structured Asset Securities Corporation Series 2006-OPT1, Class A1, Variable rate, due 04/25/2036 |
|
86359UAA7 |
30,492 |
$29,832.50 |
0.05% |
| Fannie Mae FN BE3619, 4%, due 05/01/2047 |
|
3140FPAV1 |
25,222 |
$23,552.21 |
0.04% |
| Freddie Mac Series 3778, Class L, 3.50%, due 12/15/2025 |
|
3137A47J0 |
28,451 |
$27,831.96 |
0.04% |
| GNMA G2 MA4779, 4%, due 10/20/2047 |
|
36179TJY2 |
27,391 |
$25,756.71 |
0.04% |
| Structured Asset Mortgage Investments Inc Series 2007-AR3, Class 2A1, Variable rate, due 09/25/2047 |
|
86363NAY5 |
26,758 |
$23,486.34 |
0.04% |
| Boyce Park CLO, LLC Series 2022-1A, Class M2, Variable rate, due 04/21/2035 |
|
103226AG1 |
375,000 |
$16,597.49 |
0.03% |
| COMM Mortgage Trust Series 2014-UBS3, Class XA, Variable rate, due 06/10/2047 |
|
12591YBE4 |
20,053,162 |
$17,181.55 |
0.03% |
| COMM Mortgage Trust Series 2020-CX, Class E, Variable rate, due 11/10/2046 |
|
12656KAL1 |
35,000 |
$20,911.82 |
0.03% |
| CSMCM Trust Certificates Series 2021-RP11, Class CERT, 3.77782%, due 10/27/2061 |
|
12658QAA0 |
25,431 |
$18,783.77 |
0.03% |
| Freddie Mac FG G08792, 3.50%, due 12/01/2047 |
|
3128MJ3A6 |
24,745 |
$22,259.00 |
0.03% |
| Gracechurch Mortgage Finance Plc Series 2020-GRCE, Class X, 0.30091%, due 12/10/2040 |
|
38406JAC2 |
1,000,000 |
$17,516.75 |
0.03% |
| Wells Fargo Commercial Mortgage Trust Series 2015-LC22, Class XA, Variable rate, due 09/15/2058 |
|
94989TBC7 |
1,803,609 |
$19,012.74 |
0.03% |
| WF-RBS COMMERCIAL MORTGAGE TRUST Series 2015-C25, Class XA, Variable rate, due 11/15/2047 |
|
92939KAH1 |
4,778,333 |
$19,249.99 |
0.03% |
| Freddie Mac Series 3071, Class TF, Variable rate, due 04/15/2035 |
|
31396EFY7 |
14,842 |
$14,784.18 |
0.02% |
| Morgan Stanley Capital Inc Series 2006-NC2, Class A2D, Variable rate, due 02/25/2036 |
|
617451EF2 |
13,937 |
$13,673.17 |
0.02% |
| COMM Mortgage Trust Series 2014-UBS3, Class XB, Variable rate, due 06/10/2047 |
|
12591YAA3 |
11,151,000 |
$7,489.01 |
0.01% |
| FANNIE MAE Series 2018-86, Class JA, 4%, due 10/01/2047 |
|
3136B3SX9 |
4,064 |
$3,881.32 |
0.01% |
| FREMF Mortgage Trust Series 2017-K726, Class X2B, 0.10%, due 07/25/2049 |
|
35708TAQ0 |
21,686,166 |
$7,275.71 |
0.01% |
| JP Morgan Chase Commercial Mortgage Sec Trust Series 2014-C20, Class XA, Variable rate, due 07/15/2047 |
|
46642CBL3 |
12,371,033 |
$9,348.79 |
0.01% |
| JPMBB Commercial Mortgage Securities Trust Series 2015-C32, Class XA, Variable rate, due 11/15/2048 |
|
46590JAY3 |
791,676 |
$8,752.92 |
0.01% |
| COMM Mortgage Trust Series 2012-CR4, Class XA, Variable rate, due 10/15/2045 |
|
12624QAS2 |
938,014 |
$56.75 |
0.00% |
| COMM Mortgage Trust Series 2014-CR14, Class XA, Variable rate, due 02/10/2047 |
|
12630DAZ7 |
10,393,563 |
$134.08 |
0.00% |
| COMM Mortgage Trust Series 2014-UBS2, Class XA, Variable rate, due 03/10/2047 |
|
12591UAG8 |
628,286 |
$34.74 |
0.00% |
| Freddie Mac FR QD8010, 2%, due 03/01/2052 |
|
3133B53T7 |
0 |
$0.03 |
0.00% |
| GNMA G2 MA7534, 2.50%, due 08/20/2051 |
|
36179WLP1 |
0 |
$0.01 |
0.00% |
| GNMA G2 MA7589, 2.50%, due 09/20/2051 |
|
36179WNE4 |
0 |
$0.01 |
0.00% |
| GS Mortgage Securities Trust Series 2011-GC5, Class XA, Variable rate, due 08/10/2044 |
|
36191YAA6 |
1,326,676 |
$13.27 |
0.00% |
| JP Morgan Chase Commercial Mortgage Sec Trust Series 2013-LC11, Class XA, Variable rate, due 04/15/2046 |
|
46639YAS6 |
97,119 |
$4.72 |
0.00% |
| Morgan Stanley BAML Trust Series 2013-C13, Class XA, Variable rate, due 11/15/2046 |
|
61763BAV6 |
78,394 |
$2.10 |
0.00% |
| Morgan Stanley BAML Trust Series 2014-C14, Class XA, Variable rate, due 02/15/2047 |
|
61690GAG6 |
2,570,344 |
$125.95 |
0.00% |
| SMRT Series 2022-MINI, Class XCP, Variable rate, due 01/15/2039 |
|
78457JAC6 |
105,000,000 |
$110.25 |
0.00% |
| UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class XA, Variable rate, due 05/10/2063 |
|
90269CAH3 |
441,436 |
$18.41 |
0.00% |
| WF-RBS COMMERCIAL MORTGAGE TRUST Series 2014-C22, Class XA, Variable rate, due 09/15/2057 |
|
92890KBD6 |
892,542 |
$3,250.10 |
0.00% |
| WF-RBS COMMERCIAL MORTGAGE TRUST Series 2014-LC14, Class XA, Variable rate, due 03/15/2047 |
|
96221TAH0 |
14,444,189 |
$931.65 |
0.00% |
| US Dollar |
$USD |
|
-17,885,854 |
($17,885,854.18) |
-27.05% |
Currency Forward Positions
| USD->EUR 01-12-2024 |
-884,000.00 EUR |
$925,117.22 |
$46,986.64 |
| USD->GBP 01-12-2024 |
-721,000.00 GBP |
$879,129.72 |
$36,495.47 |
Holdings are subject to change.
The holdings information set forth above for the date indicated reflects creation and redemption transactions from the prior business day and may differ from the holdings information currently available from the Fund's custodian and accounting agent. With respect to the market value of the Fund's holdings set forth above, the pricing sources are generally third party vendors. The Fund ultimately relies on pricing information provided by the Fund's accounting agent.
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|
The information presented is not intended to constitute an investment recommendation for, or advice to, any specific person. By providing this information, First Trust is not undertaking to give advice in any fiduciary capacity within the meaning of ERISA, the Internal Revenue Code or any other regulatory framework. Financial professionals are responsible for evaluating investment risks independently and for exercising independent judgment in determining whether investments are appropriate for their clients.
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