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First Trust TCW Opportunistic Fixed Income ETF (FIXD)
Holdings of the Fund as of 2/20/2020

Total Number of Holdings (excluding cash): 715

Security Name Identifier Shares / Quantity Market Value Weighting Descending sort
US 5YR NOTE (CBT) Jun20 FVM0 1,024 $123,352,000.51 8.09%
U.S. Treasury Note, 1.625%, due 12/31/2021 912828YZ7 80,860,000 $81,182,176.96 5.33%
U.S. Treasury Note, 1.75%, due 12/31/2024 912828YY0 79,760,000 $81,179,167.29 5.33%
U.S. Treasury Note, 1.375%, due 01/31/2025 912828Z52 76,695,000 $76,718,967.21 5.03%
U.S. Treasury Bond, 2.375%, due 11/15/2049 912810SK5 61,720,000 $67,327,840.93 4.42%
U.S. Treasury Note, 1.375%, due 01/31/2022 912828Z60 65,215,000 $65,194,620.32 4.28%
U.S. Treasury Note, 1.75%, due 11/15/2029 912828YS3 46,835,000 $47,768,041.25 3.13%
Freddie Mac FR SD8044, 3%, due 02/01/2050 3132DV5D3 30,926,309 $31,631,937.11 2.08%
US 2YR NOTE (CBT) Jun20 TUM0 143 $30,949,445.38 2.03%
U.S. Treasury Bond, 2%, due 02/15/2050 912810SL3 27,960,000 $28,139,664.80 1.85%
Fannie Mae FN MA3905, 3%, due 01/01/2050 31418DKT8 25,728,111 $26,315,134.66 1.73%
Fannie Mae or Freddie Mac TBA, 3%, due 09/01/2049 01F030637 23,075,000 $23,572,554.92 1.55%
Fannie Mae FN MA3896, 2.50%, due 01/01/2035 31418DKJ0 19,353,288 $19,681,977.53 1.29%
US 5YR NOTE (CBT) Mar20 FVH0 155 $18,607,265.63 1.22%
Fannie Mae FN MA3930, 2.50%, due 02/01/2035 31418DLL4 17,707,887 $18,008,635.70 1.18%
Freddie Mac FR SD8016, 3%, due 10/01/2049 3132DV3Z6 16,442,127 $16,817,277.98 1.10%
U.S. Treasury Inflation Indexed Note, 0.25%, due 07/15/2029 9128287D6 16,006,000 $16,684,771.50 1.09%
Fannie Mae or Freddie Mac TBA, 2.50%, due 10/01/2034 01F022436 13,975,000 $14,202,093.61 0.93%
GNMA TBA, 3%, due 09/01/2049 21H030633 13,850,000 $14,203,283.31 0.93%
U.S. Treasury Inflation Indexed Bond, 1%, due 02/15/2049 912810SG4 11,422,000 $14,083,278.79 0.92%
GNMA G2 MA4382, 3.50%, due 04/20/2047 36179S2P1 11,846,788 $12,360,831.90 0.81%
Fannie Mae FN MA3864, 2.50%, due 12/01/2034 31418DJJ2 11,310,634 $11,502,724.70 0.75%
Fannie Mae FN MA3834, 3%, due 11/01/2049 31418DHL9 10,243,038 $10,476,747.41 0.69%
Fannie Mae FN MA3937, 3%, due 02/01/2050 31418DLT7 9,571,426 $9,796,892.88 0.64%
Freddie Mac FR SD7511, 3.50%, due 01/01/2050 3132DVKY0 8,923,613 $9,438,775.22 0.62%
Freddie Mac FG G67706, 3.50%, due 12/01/2047 3132XCR31 8,774,137 $9,368,532.89 0.61%
Fannie Mae FN MA3960, 3%, due 02/01/2050 31418DMJ8 7,930,000 $8,115,186.20 0.53%
Fannie Mae FN CA1182, 3.50%, due 02/01/2048 3140Q8J48 7,211,770 $7,638,816.06 0.50%
FHLMC Multifamily Structured Pass Through Certs. Series K068, Class A2, 3.244%, due 08/25/2027 3137FBBX3 6,963,000 $7,633,945.63 0.50%
Fannie Mae FN AL8825, 3.50%, due 06/01/2046 3138ETYX8 6,464,453 $6,851,753.52 0.45%
Freddie Mac FG G67717, 4%, due 11/01/2048 3132XCSE6 6,187,208 $6,690,828.54 0.44%
Freddie Mac FG G67718, 4%, due 01/01/2049 3132XCSF3 6,180,318 $6,633,898.71 0.44%
Bear Stearns Mortgage Funding Series 2006-AR5, Class 2A1, Variable rate, due 01/25/2037 07401NAP4 6,830,379 $6,594,928.90 0.43%
CIM Trust Series 2019-R4, Class A1, Variable rate, due 10/25/2059 12556FAA7 6,371,775 $6,412,624.05 0.42%
Freddie Mac FR RE6029, 3%, due 02/01/2050 3133N3VW1 6,365,169 $6,458,911.63 0.42%
U.S. Treasury Inflation Indexed Note, 0.125%, due 10/15/2024 912828YL8 6,195,000 $6,321,400.21 0.41%
IndyMac INDX Mortgage Loan Trust Series 2007-FLX4, Class 2A, Variable rate, due 07/25/2037 456687AD4 6,414,389 $6,032,303.32 0.40%
SLM Student Loan Trust Series 2008-6, Class A4, Variable rate, due 07/25/2023 78445CAD4 5,776,066 $5,731,701.38 0.38%
Ajax Mortgage Loan Trust Series 2019-F, Class A1, Variable rate, due 07/25/2059 00969PAA1 5,626,502 $5,673,414.86 0.37%
FANNIE MAE Series 2019-67, Class FE, Variable rate, due 11/25/2049 3136B64Y6 5,470,740 $5,456,024.86 0.36%
FHLMC Multifamily Structured Pass Through Certs. Series K038, Class A2, 3.389%, due 03/25/2024 3137BBBD1 5,150,000 $5,482,195.60 0.36%
Merrill Lynch Alternative Note Asset Trust Series 2007-OAR3, Class A1, Variable rate, due 07/25/2047 59024JAA4 5,681,318 $5,494,362.79 0.36%
SLM Student Loan Trust Series 2008-2, Class A3, Variable rate, due 04/25/2023 784442AC9 5,650,145 $5,451,231.19 0.36%
Deephaven Residential Mortgage Trust Series 2019-4A, Class A1, Variable rate, due 10/25/2059 24381MAA8 5,267,496 $5,300,156.49 0.35%
Stanwich Mortgage Loan Trust Series 2019-F, Class A1, Variable rate, due 03/15/2049 85501PAA7 5,295,959 $5,314,652.54 0.35%
US 2YR NOTE (CBT) Mar20 TUH0 25 $5,401,367.20 0.35%
Fannie Mae FN MA3846, 3%, due 11/01/2049 31418DHY1 4,896,487 $4,967,364.64 0.33%
IndyMac INDX Mortgage Loan Trust Series 2006-AR6, Class 2A1, Variable rate, due 06/25/2046 456612AC4 5,530,982 $5,013,127.39 0.33%
NATIONWIDE BLDG SOCIETY Variable rate, due 04/26/2023 63861VAD9 4,895,000 $5,051,491.73 0.33%
CIM Trust Series 2019-R1, Class A, Variable rate, due 10/25/2058 12555VAA3 4,836,012 $4,876,564.11 0.32%
Fannie Mae FN AN5942, 3.10%, due 07/01/2032 3138LJS84 4,500,000 $4,926,334.46 0.32%
Freddie Mac FG G08715, 3%, due 07/01/2046 3128MJYM6 4,657,479 $4,809,998.13 0.32%
Freddie Mac FG G67714, 4%, due 07/01/2048 3132XCSB2 4,428,518 $4,794,531.81 0.31%
SLC Student Loan Trust Series 2006-1, Class A6, Variable rate, due 03/15/2055 784427AF3 5,054,000 $4,765,819.90 0.31%
Freddie Mac FR ZT0277, 3.50%, due 10/01/2046 3132ACJW1 4,287,766 $4,527,457.11 0.30%
GNMA Series 2019-119, Class JE, 3%, due 06/01/2049 38381YZE7 4,360,024 $4,436,294.42 0.29%
Goal Capital Funding Trust Series 2007-1, Class A5, Variable rate, due 03/25/2042 38021DAF3 5,100,000 $4,451,102.52 0.29%
Fannie Mae or Freddie Mac TBA, 2.50%, due 10/01/2049 01F022634 4,275,000 $4,297,710.98 0.28%
FannieMae-ACES Series 2018-M14, Class A2. Variable rate, due 08/25/2028 3136B27L0 3,750,000 $4,210,366.13 0.28%
FORD MOTOR CREDIT CO LLC N/C, 3.20%, due 01/15/2021 345397XQ1 4,190,000 $4,226,660.20 0.28%
GNMA G2 MA5976, 3.50%, due 06/20/2049 36179UT93 4,211,518 $4,293,652.69 0.28%
Navient Student Loan Trust Series 2016-5A, Class A, Variable rate, due 06/25/2065 63939QAA4 4,173,427 $4,218,681.65 0.28%
SLM Student Loan Trust Series 2011-2, Class A2, Variable rate, due 10/25/2034 78446JAB2 4,150,000 $4,216,665.60 0.28%
Fannie Mae FN AS3134, 3.50%, due 08/01/2044 3138WCPU1 3,831,509 $4,056,639.51 0.27%
Freddie Mac FR ZT1703, 4%, due 01/01/2049 3132AD3L0 3,790,912 $4,066,985.03 0.27%
Lehman XS Trust Series 2007-16N, Class 2A1, Variable rate, due 09/25/2047 52525BAC6 4,208,594 $4,138,648.99 0.27%
MASTR Asset Backed Securities Series 2006-WMC3, Class A2, Variable rate, due 08/25/2036 55291KAB3 8,565,202 $4,087,913.87 0.27%
REYNOLDS AMERICAN INC 5.85%, due 08/15/2045 761713BB1 3,445,000 $4,160,717.42 0.27%
SLM Student Loan Trust Series 2012-7, Class A3, Variable rate, due 05/26/2026 78447KAC6 4,253,400 $4,123,293.93 0.27%
Credit Suisse Mortgage Trust Series 2019-RPL8, Class A1, Variable rate, due 10/25/2058 12596YAC4 3,882,654 $3,920,997.96 0.26%
Fannie Mae FN AN9924, 3.65%, due 07/01/2030 3138LPA22 3,524,000 $4,012,620.82 0.26%
Fannie Mae FN BL0828, 4.015%, due 12/01/2030 3140HR4N0 3,225,000 $3,754,556.03 0.25%
GENERAL ELECTRIC CO 6.75%, due 03/15/2032 36962GXZ2 2,775,000 $3,739,588.42 0.25%
Navient Student Loan Trust Series 2017-5A, Class A, Variable rate, due 07/26/2066 63940CAA2 3,811,689 $3,773,803.09 0.25%
WELLS FARGO & COMPANY Variable rate, due 02/11/2026 95000U2K8 3,735,000 $3,734,711.06 0.25%
AVOLON HOLDINGS FNDG LTD 5.125%, due 10/01/2023 05401AAB7 3,380,000 $3,665,948.54 0.24%
Freddie Mac FG G08791, 3%, due 12/01/2047 3128MJ2Z2 3,595,701 $3,696,119.49 0.24%
GNMA G2 MA4778, 3.50%, due 10/20/2047 36179TJX4 3,512,097 $3,663,899.51 0.24%
KRAFT HEINZ FOODS CO 4.375%, due 06/01/2046 50077LAB2 3,845,000 $3,686,820.78 0.24%
U.S. Treasury Inflation Indexed Bond, 0.25%, due 02/15/2050 912810SM1 3,639,345 $3,638,159.32 0.24%
BECTON DICKINSON AND CO 3.363%, due 06/06/2024 075887BV0 3,385,000 $3,561,681.90 0.23%
CVS HEALTH CORP 5.05%, due 03/05/2048 126650CZ1 2,810,000 $3,433,571.45 0.23%
CYRUSONE LP/CYRUSONE FIN 2.90%, due 11/15/2024 23283PAQ7 3,425,000 $3,481,392.63 0.23%
Fannie Mae FN BJ2692, 3.50%, due 04/01/2048 3140H37E0 3,347,665 $3,501,078.80 0.23%
FANNIE MAE Series 2012-20, Class ZT, 3.50%, due 03/25/2042 3136A4GN3 3,306,477 $3,528,744.62 0.23%
Freddie Mac FG G67703, 3.50%, due 04/01/2047 3132XCRY3 3,278,232 $3,500,301.16 0.23%
GNMA G2 MA4837, 3.50%, due 11/20/2047 36179TLS2 3,399,424 $3,546,617.41 0.23%
Legacy Mortgage Asset Trust Series 2019-GS1, Class A1, Variable rate, due 01/25/2059 52473VAA8 3,495,365 $3,545,530.86 0.23%
LOS ANGELES CA UNIF SCH DIST GO, TAXABLE-BABS-KRY, 5.75%, due 07/01/2034 544646XZ0 2,585,000 $3,470,982.90 0.23%
Structured Asset Mortgage Investments Series 2007-AR6, Class A1, Variable rate, due 08/25/2047 86364RAA7 3,485,560 $3,451,792.94 0.23%
Bear Stearns Mortgage Funding Series 2006-AR3, Class 1A1, Variable rate, due 10/25/2036 07400HAA1 3,522,483 $3,373,103.18 0.22%
FANNIE MAE Series 2018-43, Class CT, 3%, due 06/25/2048 3136B1Z72 3,328,026 $3,388,228.07 0.22%
Freddie Mac FG G67709, 3.50%, due 03/01/2048 3132XCR64 3,127,941 $3,338,639.51 0.22%
GNMA G2 MA4826, 3%, due 11/20/2047 36179TLR4 3,211,480 $3,316,808.42 0.22%
BAYER US FINANCE II LLC 4.375%, due 12/15/2028 07274NAL7 2,845,000 $3,198,428.75 0.21%
CIM Trust Series 2017-3, Class A1, Variable rate, due 01/25/2057 12552AAA2 3,062,822 $3,145,201.90 0.21%
COMM Mortgage Trust Series 2015-3BP, Class A, 3.178%, due 02/10/2035 12592TAA3 3,000,000 $3,183,329.40 0.21%
Countrywide Alternative Loan Trust Series 2007-13, Class A1, 6%, due 06/25/2047 02150MAA3 3,727,260 $3,179,594.87 0.21%
FANNIE MAE Series 2012-84, Class VZ, 3.50%, due 08/25/2042 3136A7N65 2,932,809 $3,159,064.58 0.21%
FORD MOTOR CREDIT CO LLC N/C, Variable rate, due 04/05/2021 345397YY3 3,135,000 $3,131,400.80 0.21%
Freddie Mac FG G67710, 3.50%, due 03/01/2048 3132XCR72 3,037,885 $3,208,972.49 0.21%
LLOYDS BANKING GROUP PLC Variable rate, due 11/07/2023 539439AP4 3,125,000 $3,191,420.88 0.21%
FORD MOTOR CREDIT CO LLC N/C, 5.596%, due 01/07/2022 345397ZM8 2,916,000 $3,065,867.38 0.20%
GE CAPITAL INTL FUNDING 2.342%, due 11/15/2020 36164QMS4 3,035,000 $3,044,629.33 0.20%
GoldenTree Loan Management US CLO1, Ltd. Series 2017-1A, Class AR, Variable rate, due 04/20/2029 38136FAU7 3,000,000 $3,000,150.00 0.20%
SPRINT SPECTRUM / SPEC I 4.738%, due 03/20/2025 85208NAD2 2,835,000 $3,038,595.53 0.20%
Structured Asset Mortgage Investments Inc. Series 2006-AR1, Class 3A1, Variable rate, due 02/25/2036 86359LTG4 3,304,287 $3,101,995.87 0.20%
CIM Trust Series 2017-6, Class A1, Variable rate, due 06/25/2057 12553GAA8 2,786,606 $2,823,324.36 0.19%
Freddie Mac FG G67707, 3.50%, due 01/01/2048 3132XCR49 2,673,399 $2,877,512.04 0.19%
GNMA G2 MA6080, 3%, due 08/20/2049 36179UXH0 2,911,347 $2,964,519.51 0.19%
GNMA Series 2019-12, Class QA, 3.50%, due 09/20/2048 38381BQQ0 2,852,152 $2,908,465.07 0.19%
SLM Student Loan Trust Series 2008-8, Class A4, Variable rate, due 04/25/2023 78445GAD5 2,843,486 $2,863,640.84 0.19%
BAYER US FINANCE II LLC 4.875%, due 06/25/2048 07274NAQ6 2,190,000 $2,688,786.12 0.18%
Freddie Mac FG G67708, 3.50%, due 03/01/2048 3132XCR56 2,625,572 $2,781,024.42 0.18%
GMAC Mortgage Corporation Loan Trust Series 2006-J1, Class A4, 5.75%, due 04/25/2036 36185MEE8 2,666,860 $2,699,983.56 0.18%
ABBVIE INC 4.25%, due 11/21/2049 00287YBS7 2,325,000 $2,614,063.65 0.17%
American Home Mortgage Investment Trust Series 2005-4, Class 1A1, Variable rate, due 11/25/2045 02660TGN7 2,592,788 $2,562,252.01 0.17%
BROADCOM CRP / CAYMN FI 3%, due 01/15/2022 11134LAD1 2,530,000 $2,576,673.16 0.17%
Freddie Mac FG G08732, 3%, due 11/01/2046 3128MJY61 2,483,972 $2,565,316.12 0.17%
Freddie Mac FG G18622, 2.50%, due 12/01/2031 3128MMVQ3 2,612,418 $2,663,366.61 0.17%
GNMA G2 MA4651, 3%, due 08/20/2047 36179TEY7 2,570,723 $2,660,799.75 0.17%
GNMA G2 MA5136, 3.50%, due 04/20/2048 36179TV51 2,449,174 $2,563,970.97 0.17%
HCA INC 5%, due 03/15/2024 404119BN8 2,315,000 $2,558,649.61 0.17%
IHS MARKIT LTD 3.625%, due 05/01/2024 44962LAH0 2,500,000 $2,635,000.00 0.17%
JP Morgan Mortgage Trust Series 2006-A4, Class 1A1, Variable rate, due 06/25/2036 46628LAA6 2,871,842 $2,608,436.31 0.17%
KRAFT HEINZ FOODS CO 4.875%, due 10/01/2049 50077LAY2 2,530,000 $2,551,918.20 0.17%
New Century Home Equity Loan Trust Series 2005-4, Class M3, Variable rate, due 09/25/2035 64352VMW8 2,600,000 $2,594,009.34 0.17%
PETROLEOS MEXICANOS 6.75%, due 09/21/2047 71654QCC4 2,430,000 $2,525,827.06 0.17%
AT&T INC 4.75%, due 05/15/2046 00206RCQ3 2,150,000 $2,504,431.45 0.16%
BROADCOM CRP / CAYMN FI 3.625%, due 01/15/2024 11134LAF6 2,290,000 $2,398,308.43 0.16%
Fannie Mae FN BM3260, 3.50%, due 01/01/2048 3140J7TS4 2,267,915 $2,394,484.00 0.16%
Fannie Mae FN CA0854, 3.50%, due 12/01/2047 3140Q75Q6 2,362,397 $2,503,047.35 0.16%
Freddie Mac FG G16524, 3.50%, due 05/01/2033 3128MFPH5 2,342,867 $2,462,871.12 0.16%
GNMA G2 MA5399, 4.50%, due 08/20/2048 36179T7L3 2,280,585 $2,416,955.65 0.16%
American Money Management Corp. Series 2016-19A, Class AR, Variable rate, due 10/16/2028 00176PAJ1 2,300,000 $2,300,442.98 0.15%
ANTHEM INC 2.875%, due 09/15/2029 036752AL7 2,300,000 $2,347,946.89 0.15%
CVS HEALTH CORP 5.125%, due 07/20/2045 126650CN8 1,850,000 $2,254,917.18 0.15%
Fannie Mae FN BM!903, 3.50%, due 08/01/2047 3140J6DH7 2,097,857 $2,226,443.69 0.15%
Fannie Mae FN CA1187, 3.50%, due 02/01/2048 3140Q8J97 2,233,208 $2,340,743.62 0.15%
FORD MOTOR CREDIT CO LLC N/C, 3.219%, due 01/09/2022 345397XA6 2,285,000 $2,305,457.15 0.15%
FORD MOTOR CREDIT CO LLC N/C, 3.813%, due 10/12/2021 345397ZH9 2,235,000 $2,276,569.14 0.15%
GENERAL MOTORS FINL CO 4.20%, due 11/06/2021 37045XCP9 2,140,000 $2,218,161.45 0.15%
GLP CAPITAL LP / FIN II 3.35%, due 09/01/2024 361841AN9 2,210,000 $2,297,239.75 0.15%
KRAFT HEINZ FOODS CO 5.20%, due 07/15/2045 50077LAM8 2,160,000 $2,260,704.02 0.15%
Legacy Mortgage Asset Trust Series 2019-GS4, Class A1, Variable rate, due 05/25/2059 52473CAA0 2,314,509 $2,337,494.69 0.15%
.STRU JPM-2598 CO 2.455%, due 04/01/2040 BCCX8DI36 2,120,000 $2,114,700.00 0.14%
ABBVIE INC 4.45%, due 05/14/2046 00287YAW9 1,870,000 $2,144,221.74 0.14%
Deutsche Bank Commercial Mortgage Trust Series 2016-SFC, Class A, 2.833%, due 08/10/2036 23312RAA3 2,050,000 $2,122,037.62 0.14%
Fannie Mae FN AN4954, 3.60%, due 04/01/2027 3138LNQG9 1,960,002 $2,146,927.14 0.14%
Fannie Mae FN MA3057, 3.50%, due 07/01/2047 31418CMF8 1,973,500 $2,063,609.48 0.14%
GENERAL MOTORS FINL CO 3.15%, due 06/30/2022 37045XBY1 2,095,000 $2,136,891.64 0.14%
IndyMac INDX Mortgage Loan Trust Series 2005-AR14, Class 2A1A, Variable rate, due 07/25/2035 45660LRX9 2,141,286 $2,099,802.84 0.14%
INTL FLAVOR & FRAGRANCES 5%, due 09/26/2048 459506AL5 1,744,000 $2,093,341.29 0.14%
MORGAN STANLEY Variable rate, due 01/20/2023 6174468K8 2,145,000 $2,156,369.08 0.14%
Palmer Square Loan Funding Ltd Series 2019-4A, Class A1, Variable rate, due 10/24/2027 69689HAA3 2,093,513 $2,094,385.66 0.14%
PETROLEOS MEXICANOS 7.69%, due 01/23/2050 71654QCW0 1,920,000 $2,148,028.81 0.14%
SANTANDER UK GROUP HLDGS Variable rate, due 11/15/2024 80281LAJ4 1,900,000 $2,072,287.06 0.14%
SLC Student Loan Trust Series 2008-1, Class A4A, Variable rate, due 12/15/2032 78444LAD5 2,129,228 $2,172,411.13 0.14%
VODAFONE GROUP PLC 4.875%, due 06/19/2049 92857WBS8 1,777,000 $2,165,051.52 0.14%
WILLIS NORTH AMERICA INC 2.95%, due 09/15/2029 970648AJ0 2,055,000 $2,105,236.80 0.14%
BAYER US FINANCE II LLC 3.875%, due 12/15/2023 07274NAE3 1,895,000 $2,019,189.37 0.13%
DAIMLER FINANCE NA LLC N/C, Variable rate, due 02/15/2022 233851DV3 1,965,000 $1,990,096.76 0.13%
Fannie Mae FN MA3210, 3.50%, due 12/01/2047 31418CR89 1,822,723 $1,909,158.30 0.13%
FORD MOTOR CREDIT CO LLC N/C, 5.085%, due 01/07/2021 345397ZK2 2,000,000 $2,049,216.88 0.13%
Freddie Mac FG WA3208, 3.98%, due 04/01/2034 3132WWYE6 1,672,799 $1,925,277.98 0.13%
Freddie Mac FR ZT0536, 3.50%, due 03/01/2048 3132ACSZ4 1,815,816 $1,922,333.48 0.13%
GMAC Mortgage Corporation Loan Series 2006-AR1, Class 1A, Variable rate, due 04/19/2036 36185MDN9 2,135,196 $2,013,011.66 0.13%
GNMA G2 MA4963, 4%, due 01/20/2048 36179TQQ1 1,847,774 $1,948,165.59 0.13%
JPMORGAN CHASE & CO Variable rate, due 12/05/2024 46647PAY2 1,890,000 $2,033,396.89 0.13%
LLOYDS BANKING GROUP PLC N/C, 3.90%, due 03/12/2024 53944YAH6 1,870,000 $2,002,342.44 0.13%
Residential Asset Mortgage Products, Inc. Series 2006-RZ1, Class M3, Variable rate, due 03/25/2036 76112BZ45 2,000,000 $2,009,392.60 0.13%
WORLDWIDE PLAZA TRUST Series 2017-WWP, Class A, 3.5263%, due 11/10/2036 98162JAA4 1,880,000 $2,056,666.04 0.13%
ECMC Group Student Loan Trust Series 2017-2A, Class A, Variable rate, due 05/25/2067 26828VAA4 1,822,242 $1,823,635.57 0.12%
Fannie Mae FN AN9186, 3.47%, due 04/01/2027 3138LNF48 1,665,000 $1,808,571.87 0.12%
Fannie Mae FN BM4472, 3.50%, due 07/01/2048 3140J86J7 1,735,946 $1,851,755.78 0.12%
Fannie Mae FN FM1134, 3%, due 04/01/2048 3140X4HL3 1,710,450 $1,764,159.58 0.12%
FHLMC Multifamily Structured Pass Through Certs. Series K157, Class A2, Variable rate, due 05/25/2033 3137FHQ63 1,520,000 $1,778,494.09 0.12%
Freddie Mac FG G60582, 3.50%, due 05/01/2046 31335AUF3 1,705,566 $1,805,875.51 0.12%
Freddie Mac FR ZA4692, 3.50%, due 06/01/2046 31329NF94 1,748,102 $1,846,333.91 0.12%
GENERAL ELECTRIC CO N/C, 5.875%, due 01/14/2038 36962G3P7 1,395,000 $1,813,325.77 0.12%
HCA INC 5.25%, due 06/15/2049 404119BZ1 1,540,000 $1,809,828.85 0.12%
INTELSAT JACKSON HLDG 8.50%, due 10/15/2024 45824TBA2 1,970,000 $1,811,582.45 0.12%
MKT 2020-525M Mortgage Trust Series 2020-525M, Class A, 2.694%, due 02/12/2040 55316PAA5 1,730,000 $1,800,394.57 0.12%
Navient Student Loan Trust Series 2016-2A, Class A3, Variable rate, due 06/25/2065 63940FAC1 1,750,000 $1,797,251.75 0.12%
SANTANDER UK GROUP HLDGS N/C, 2.875%, due 08/05/2021 80281LAE5 1,800,000 $1,825,910.29 0.12%
SUNOCO LOGISTICS PARTNERS 5.40%, due 10/01/2047 86765BAV1 1,606,000 $1,800,600.49 0.12%
ALLERGAN FUNDING SCS 3.80%, due 03/15/2025 00507UAS0 1,550,000 $1,665,628.88 0.11%
Fannie Mae FN AM6501, 3.32%, due 08/01/2026 3138L7GK6 1,600,000 $1,737,768.48 0.11%
Fannie Mae FN MA3239, 4%, due 01/01/2048 31418CS54 1,646,228 $1,740,137.29 0.11%
Freddie Mac FR ZT0531, 3.50%, due 04/01/2047 3132ACSU5 1,607,495 $1,715,509.55 0.11%
GSAA Home Equity Trust Series 2005-6, Class M1, Variable rate, due 06/25/2035 36242D3X9 1,700,000 $1,714,951.16 0.11%
HarborView Mortgage Loan Trust Series 2007-7, Class 1A1, Variable rate, due 10/25/2037 411640AA3 1,781,345 $1,726,172.89 0.11%
AERCAP IRELAND CAP/GLOBA 3.95%, due 02/01/2022 00772BAR2 1,500,000 $1,550,490.96 0.10%
AT&T INC 4.35%, due 06/15/2045 00206RBK7 1,400,000 $1,545,514.57 0.10%
BANC OF AMERICA MERRILL LYNCH LARGE LOAN INC Series 2018-PARK, Class A, Variable rate, due 08/10/2038 05491YAA8 1,265,000 $1,453,664.38 0.10%
Carrington Mortgage Loan Trust Series 2006-OPT1, Class M1, Variable rate, due 02/25/2036 144531FN5 1,470,000 $1,469,924.44 0.10%
Citigroup Mortgage Loan Trust Series 2006-HE2, Class M1, Variable rate, due 08/25/2036 17309LAF2 1,600,000 $1,586,926.24 0.10%
Fannie Mae FN CA1710, 4.50%, due 05/01/2048 3140Q83U7 1,361,819 $1,448,301.64 0.10%
Fannie Mae FN MA2670, 3%, due 07/01/2046 31418B6G6 1,512,456 $1,563,250.03 0.10%
FANNIE MAE Series 2018-86, Class JA, 4%, due 10/01/2047 BCC2I1ZK2 1,394,780 $1,450,880.13 0.10%
Freddie Mac FG G67700, 3.50%, due 08/01/2046 3132XCRV9 1,458,199 $1,554,305.86 0.10%
Freddie Mac FR ZS9844, 3.50%, due 07/01/2046 3132AA5D2 1,418,425 $1,498,132.93 0.10%
GNMA G2 MA4519, 3.50%, due 09/20/2047 36179TG41 1,419,157 $1,488,479.13 0.10%
GNMA G2 MA4652, 3.50%, due 08/20/2047 36179TEZ4 1,414,056 $1,477,685.02 0.10%
HCA INC 4.75%, due 05/01/2023 404121AF2 1,428,000 $1,545,086.81 0.10%
LEVEL 3 FINANCING INC 3.40%, due 03/01/2027 527298BP7 1,480,000 $1,534,316.00 0.10%
Opteum Mortgage Acceptance Corporation Series 2005-5, Class 1A1D, Variable rate, due 12/25/2035 68383NCY7 1,645,238 $1,590,096.57 0.10%
ROCKIES EXPRESS PIPELINE 4.80%, due 05/15/2030 77340RAT4 1,500,000 $1,494,569.18 0.10%
ROCKIES EXPRESS PIPELINE 6.875%, due 04/15/2040 77340RAM9 1,360,000 $1,473,189.54 0.10%
SPRINT SPECTRUM / SPEC I 5.152%, due 03/20/2028 85208NAE0 1,335,000 $1,512,351.41 0.10%
U.S. Treasury Inflation Indexed Note, 0.125%, due 07/15/2024 912828WU0 1,400,000 $1,542,861.99 0.10%
UNITEDHEALTH GROUP INC 3.75%, due 07/15/2025 91324PCP5 1,440,000 $1,576,021.39 0.10%
VODAFONE GROUP PLC 4.25%, due 09/17/2050 92857WBU3 1,375,000 $1,541,252.47 0.10%
WELLS FARGO & COMPANY 3.069%, due 01/24/2023 949746SK8 1,480,000 $1,513,811.16 0.10%
ALIMENTATION COUCHE-TARD 3.80%, due 01/25/2050 01626PAN6 1,385,000 $1,387,235.74 0.09%
AT&T INC 4.55%, due 03/09/2049 00206RDK5 1,200,000 $1,368,921.89 0.09%
Banc of America Merrill Lynch Large Loan Inc. Series 2016-ISQ, Class A, 2.848%, due 08/14/2034 05523GAA9 1,275,000 $1,329,183.68 0.09%
Fannie Mae FN MA3806, 3%, due 11/01/2046 31418CDL5 1,336,721 $1,381,841.05 0.09%
FANNIEMAE-ACES Series 2018-M1, Class A2, Variable rate, due 12/25/2027 3136AY7L1 1,245,000 $1,334,471.93 0.09%
FHLMC Multifamily Structured Pass Through Certs. Series K155, Class A2, 3.75%, due 11/25/2032 3137FG6S9 1,250,000 $1,428,589.38 0.09%
Freddie Mac FG G08750, 3%, due 02/01/2047 3128MJZQ6 1,265,961 $1,306,058.62 0.09%
Freddie Mac FG G60658, 3.50%, due 07/01/2046 31335AWT1 1,300,877 $1,398,495.82 0.09%
Freddie Mac G08788, 3.50%, due 11/01/2047 3128MJ2W9 1,339,608 $1,402,614.71 0.09%
GENERAL ELECTRIC CO N/C, 6.875%, due 01/10/2039 36962G4B7 1,000,000 $1,424,050.74 0.09%
GLP CAPITAL LP / FIN II 5.30%, due 01/15/2029 361841AL3 1,210,000 $1,396,488.22 0.09%
GNMA G2 MA4261, 3%, due 02/20/2047 36179SWW3 1,399,996 $1,447,453.43 0.09%
GNMA G2 MA4962, 3.50%, due 01/20/2048 36179TQP3 1,257,785 $1,307,511.60 0.09%
Homebanc Mortgage Trust Series 2004-2, Class A1, Variable rate, due 12/25/2034 43739EAJ6 1,349,355 $1,377,500.94 0.09%
INDONESIA ASAHAN ALUMINIUM N/C, 6.53%, due 11/15/2028 74445PAC6 1,110,000 $1,383,615.00 0.09%
INTERSTATE POWER & LIGHT 3.25%, due 12/01/2024 461070AL8 1,250,000 $1,318,945.26 0.09%
JP Morgan Mortgage Acquisition Corp Series 2006-WF1, Class A6, Variable rate, due 07/25/2036 46628SAJ2 2,702,814 $1,326,830.36 0.09%
KIMCO REALTY CORP 3.40%, due 11/01/2022 49446RAN9 1,300,000 $1,350,032.41 0.09%
Natixis Commercial Mortgage Securities Series 2020-2PAC, Class A, 2.966%, due 01/15/2025 63875DAA9 1,300,000 $1,350,337.30 0.09%
Residential Asset Securities Corporation Series 2006-KS3, Class M1, Variable rate, due 04/25/2036 76113ABL4 1,445,000 $1,435,061.00 0.09%
SPRINT SPECTRUM / SPEC I 3.36%, due 09/20/2021 85208NAA8 1,419,688 $1,433,529.45 0.09%
STATE OF QATAR 4.50%, due 04/23/2028 BFYY529 1,140,000 $1,326,460.68 0.09%
Structured Asset Securities Corporation Series 2005-NC2, Class M5, Variable rate, due 05/25/2035 86359DCR6 1,350,000 $1,354,614.71 0.09%
TC PIPELINES LP 3.90%, due 05/25/2027 87233QAC2 1,250,000 $1,329,010.02 0.09%
AMER AIRLN 14-1 A PTT 3.70%, due 10/01/2026 02377AAA6 1,089,794 $1,172,297.20 0.08%
AT&T INC 5.25%, due 03/01/2037 00206RDR0 1,000,000 $1,220,033.32 0.08%
BECTON DICKINSON N/C, 6.70%, due 08/01/2028 075887AQ2 1,000,000 $1,261,695.51 0.08%
CALI MORTGAGE TRUST Series 2019-101C, Class A, 3.957%, due 03/10/2039 129890AA7 1,125,000 $1,282,180.28 0.08%
EQT CORP 3.90%, due 10/01/2027 26884LAF6 1,770,000 $1,278,825.00 0.08%
Fannie Mae FN BL3555, 2.99%, due 01/01/2027 3140HU5R3 1,182,452 $1,254,639.10 0.08%
Fannie Mae FN CA2327, 4%, due 09/01/2048 3140Q9SR5 1,155,778 $1,258,030.66 0.08%
Fannie Mae or Freddie Mac TBA, 5%, due 11/01/2048 01F050635 1,075,000 $1,155,692.99 0.08%
FANNIE MAE Series 2018-38, Class PA, 3.50%, due 06/25/2047 3136B1Q80 1,230,686 $1,286,287.04 0.08%
FED REPUBLIC OF BRAZIL 4.625%, due 01/13/2028 105756BZ2 1,100,000 $1,235,311.00 0.08%
FHLMC Multifamily Structured Pass Though Certs. Series K158, Class A2, Variable rate, due 12/25/2030 3137FJY60 1,000,000 $1,159,098.40 0.08%
Freddie Mac FG G08737, 3%, due 12/01/2046 3128MJZB9 1,147,673 $1,185,257.01 0.08%
Freddie Mac FG G08795, 3%, due 01/01/2048 3128MJ3D0 1,229,125 $1,265,632.48 0.08%
Freddie Mac FG G08816, 3.50%, due 06/01/2048 3128MJ4A5 1,228,405 $1,279,371.58 0.08%
Freddie Mac FR ZT0542. 4%, due 07/01/2048 3132ACS76 1,096,744 $1,186,767.76 0.08%
GNMA G2 MA4838, 4%, due 11/20/2047 36179TLT0 1,144,839 $1,204,523.42 0.08%
HEALTHCARE REALTY TRUST 3.75%, due 04/15/2023 421946AH7 1,175,000 $1,223,022.41 0.08%
HUDSON YARDS Series 2019-30HY, Class A, 3.228%, due 06/10/2037 44421GAA1 1,190,000 $1,291,035.64 0.08%
Hudson Yards Series 2019-55HY, Class A, 3.0408%, due 12/10/2041 44421MAA8 1,200,000 $1,280,540.88 0.08%
Impac CMB Trust Series 2005-4, Class 1A1A, Variable rate, due 05/25/2035 45254NPA9 1,172,369 $1,180,262.87 0.08%
JP MORGAN CHASE COMMERCIAL MORTGAGE SEC TRUST Series 2019-OSB, Class A, 3.3973%, due 06/05/2039 46651EAA2 1,110,000 $1,216,887.34 0.08%
LLOYDS BANKING GROUP PLC Variable rate, due 03/17/2023 53944YAK9 1,195,000 $1,215,399.79 0.08%
NXP BV/NXP FUNDING LLC 4.125%, due 06/01/2021 62947QAU2 1,205,000 $1,236,344.00 0.08%
PNM RESOURCES INC 3.25%, due 03/09/2021 69349HAC1 1,150,000 $1,167,090.27 0.08%
REPUBLIC OF SOUTH AFRICA N/C, 4.665%, due 01/17/2024 836205AQ7 1,200,000 $1,265,250.00 0.08%
REYNOLDS AMERICAN INC 5.70%, due 08/15/2035 761713BA3 1,010,000 $1,211,350.26 0.08%
SAUDI INTERNATIONAL BOND N/C, 3.625%, due 03/04/2028 BYZFF68 1,100,000 $1,191,135.00 0.08%
SPECTRA ENERGY PARTNERS 4.60%, due 06/15/2021 84756NAB5 1,200,000 $1,232,943.08 0.08%
AERCAP IRELAND CAP/GLOBA 4.875%, due 01/16/2024 00774MAK1 1,000,000 $1,094,890.90 0.07%
BAYER US FINANCE II LLC 3.375%, due 07/15/2024 07274NAW3 1,045,000 $1,094,707.55 0.07%
BECTON DICKINSON AND CO 2.894%, due 06/06/2022 075887BT5 1,000,000 $1,021,738.18 0.07%
CAMPBELL SOUP CO Variable rate, due 03/15/2021 134429BC2 1,000,000 $1,004,286.46 0.07%
CIGNA CORP 3.875%, due 10/15/2047 125523BJ8 1,030,000 $1,097,982.45 0.07%
CIGNA CORP 4.90%, due 12/15/2048 125523AK6 869,000 $1,082,563.17 0.07%
CITIGROUP INC Variable rate, due 01/24/2023 172967LV1 1,000,000 $1,023,433.46 0.07%
CLECO POWER LLC 6%, due 12/01/2040 185508AG3 750,000 $992,169.33 0.07%
CONTL AIRLINES 2007-1 5.983%, due 04/19/2022 21079NAA9 970,814 $1,022,068.32 0.07%
Countrywide Alternative Loan Trust Series 2005-56, Class 1A1, Variable rate, due 11/25/2035 12668AGN9 1,078,507 $1,118,386.59 0.07%
DIAMOND 1 FIN/DIAMOND 2 4.42%, due 06/15/2021 25272KAD5 1,020,000 $1,049,428.85 0.07%
Fannie Mae FN AS6620, 3.50%, due 02/01/2046 3138WGLA0 938,789 $991,539.54 0.07%
Fannie Mae FN BM4299, 3%, due 03/01/2030 3140J8X57 1,096,876 $1,129,323.97 0.07%
Fannie Mae FN BM4304, 3%, due 02/01/2030 3140J8YA5 1,081,079 $1,113,059.72 0.07%
Fannie Mae FN CA0907, 3.50%, due 12/01/2047 3140Q8AH8 1,071,619 $1,133,609.81 0.07%
Fannie Mae FN CA0996, 3.50%, due 01/01/2048 3140Q8DA0 961,470 $1,018,635.75 0.07%
Fannie Mae FN MA2077, 3.50%, due 11/01/2034 31418BJX5 1,066,872 $1,122,124.34 0.07%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS Series Q006, Class APT2, Variable rate, due 09/25/2026 3137FCL69 1,030,545 $1,090,544.70 0.07%
FORD MOTOR CREDIT CO LLC N/C, 3.157%, due 08/04/2020 345397XK4 1,000,000 $1,004,342.81 0.07%
FORD MOTOR CREDIT CO LLC N/C, 5.875%, due 08/02/2021 345397VU4 1,000,000 $1,046,496.70 0.07%
Freddie Mac FG G07826, 3%, due 10/01/2046 3128MJYY0 1,062,346 $1,097,134.90 0.07%
GENERAL MOTORS FINL CO 3.20%, due 07/06/2021 37045XBM7 997,000 $1,012,840.99 0.07%
GENERAL MOTORS FINL CO 4.375%, due 09/25/2021 37045XAQ9 1,025,000 $1,061,307.56 0.07%
GE-WMC Mortgage Securities LLC Series 2005-1, Class M1, Variable rate, due 10/25/2035 367910AE6 1,086,336 $1,087,715.46 0.07%
GLP CAPITAL LP / FIN II 5.25%, due 06/01/2025 361841AJ8 1,000,000 $1,119,334.40 0.07%
GNMA G2 MA5078, 4%, due 03/20/2048 36179TUB9 1,046,880 $1,101,839.93 0.07%
GNNA G2 MA4588, 4.50%, due 07/20/2047 36179TCZ6 983,251 $1,054,043.53 0.07%
GOLDMAN SACHS GROUP INC Variable rate, due 10/31/2022 38148YAC2 1,000,000 $1,017,316.25 0.07%
HUDSON PACIFIC PROPERTIES 4.65%, due 04/01/2029 44409MAB2 1,000,000 $1,137,467.63 0.07%
KANSAS CITY POWER & LT 3.65%, due 08/15/2025 485134BP4 1,000,000 $1,083,945.33 0.07%
KAZMUNAYGAS NATIONAL CO N/C, 5.375%, due 04/24/2030 Y44709AF3 880,000 $1,047,557.28 0.07%
KILROY REALTY LP 3.45%, due 12/15/2024 49427RAM4 1,000,000 $1,059,886.83 0.07%
KONINKLIJKE KPN NV 8.375%, due 10/01/2030 780641AH9 725,000 $1,035,118.60 0.07%
KRAFT HEINZ FOODS CO 5%, due 07/15/2035 50077LAL0 1,000,000 $1,093,003.78 0.07%
KRAFT HEINZ FOODS CO N/C, 5%, due 06/04/2042 50076QAE6 1,095,000 $1,134,531.94 0.07%
Morgan Stanley Capital Inc Series 2006-NC1, Class M1, Variable rate, due 12/25/2035 61744CYB6 1,000,000 $997,139.20 0.07%
One Bryant Park Trust Series 2019-OBP, Class A, 2.51641%, due 09/13/2049 68236JAA9 985,000 $1,010,922.05 0.07%
PARK AEROSPACE HOLDINGS 5.25%, due 08/15/2022 70014LAA8 1,020,000 $1,084,174.25 0.07%
SES GLOBAL AMERICAS HLDG 5.30%, due 03/25/2044 78413KAB8 1,000,000 $1,103,447.53 0.07%
Structured Asset Investment Loan Trust Series 2004-6, Class A3, Variable rate, due 07/25/2034 86358EJS6 1,016,933 $1,013,040.71 0.07%
TC PIPELINES LP 4.375%, due 03/13/2025 87233QAB4 1,000,000 $1,077,337.15 0.07%
U.S. Treasury Bill, 0%, due 03/19/2020 912796TL3 1,007,000 $1,005,836.92 0.07%
VENTAS REALTY LP 2.65%, due 01/15/2025 92277GAT4 1,000,000 $1,026,576.04 0.07%
WACHOVIA STUDENT LOAN TRUST Series 2006-1, Class A6, Variable rate, due 04/25/2040 92978JAF0 1,104,072 $1,062,215.24 0.07%
WELLS FARGO & COMPANY 3%, due 04/22/2026 949746RW3 1,000,000 $1,045,981.64 0.07%
AMERICAN CAMPUS CMNTYS 4.125%, due 07/01/2024 024836AB4 800,000 $865,884.75 0.06%
AMGEN INC 4.40%, due 05/01/2045 031162BZ2 727,000 $852,327.53 0.06%
ARAB REPUBLIC OF EGYPT N/C, 5.577%, due 02/21/2023 03846JW30 800,000 $846,013.60 0.06%
AVOLON HOLDINGS FNDG LTD 2.875%, due 02/15/2025 05401AAH4 885,000 $888,200.40 0.06%
BAYER US FINANCE II LLC 4.625%, due 06/25/2038 07274NAN3 815,000 $972,276.82 0.06%
BERKSHIRE HATHAWAY FIN 4.20%, due 08/15/2048 084664CQ2 800,000 $985,697.06 0.06%
BROADCOM INC 3.625%, due 10/15/2024 11135FAD3 935,000 $982,423.27 0.06%
CODELCO INC 3.625%, due 08/01/2027 P3143NAY0 900,000 $961,225.67 0.06%
CPT MORTGAGE TRUST Series 2019-CPT, Class A, 2.865%, due 11/13/2039 12654YAA7 840,000 $887,044.79 0.06%
CSC HOLDINGS LLC 6.625%, due 10/15/2025 64072TAC9 850,000 $903,031.50 0.06%
CUBESMART LP 4.375%, due 02/15/2029 22966RAE6 750,000 $851,146.53 0.06%
DC Office Trust 2.965%, due 09/15/2045 23312BAA8 900,000 $954,614.16 0.06%
Dryden Senior Loan Fund Series 2013-26A, Class AR, Variable rate, due 04/15/2029 26250UAQ8 900,000 $900,484.20 0.06%
Fannie Mae FN AM1619, 2.34%, due 12/01/2022 3138L1YR4 872,912 $887,909.54 0.06%
Fannie Mae FN BM2000, 3.50%, due 05/01/2047 3140J6GJ0 931,217 $974,978.55 0.06%
Fannie Mae FN CA1711, 4.50%, due 05/01/2048 3140Q83V5 894,817 $951,651.57 0.06%
Fannie Mae FN MA1373, 3.50%, due 03/01/2043 31418AQ35 910,745 $962,670.80 0.06%
Fannie Mae FN MA3088, 4%, due 08/01/2047 31418CNE0 831,462 $878,253.70 0.06%
Fannie Mae FN MA3276, 3.50%, due 02/01/2048 31418CUA0 893,321 $934,476.44 0.06%
Fannie Mae FN MA3537, 4.50%, due 12/01/2048 31418C4X9 847,998 $900,962.39 0.06%
FANNIE MAE Series 2019-20, Class BA, 3.50%, due 02/25/2048 3136B4MS4 940,607 $975,944.42 0.06%
FARMERS EXCHANGE CAP III Variable rate, due 10/15/2054 30958QAA9 700,000 $842,565.50 0.06%
FONDO MIVIVIENDA SA 3.50%, due 01/31/2023 EJ5310192 840,000 $869,328.60 0.06%
FORD MOTOR CREDIT CO LLC N/C, 2.343%, due 11/02/2020 345397YS6 885,000 $885,274.15 0.06%
Freddie Mac FG G08843, 4.50%, due 10/01/2048 3128MJ5D8 931,088 $990,312.08 0.06%
Freddie Mac FG G16396, 3.50%, due 02/01/2033 3128MFKH0 869,852 $910,605.70 0.06%
Freddie Mac FG G16598, 2.50%, due 12/01/2031 3128MFRT7 946,145 $967,877.33 0.06%
Freddie Mac FG G61556, 3.50%, due 08/01/2048 31335BWR3 824,993 $874,426.44 0.06%
Freddie Mac FG Q50135, 3.50%, due 08/01/2047 3132XSEH9 886,226 $927,933.85 0.06%
Freddie Mac FR ZM0063, 4%, due 08/01/2045 3131XTB82 816,171 $875,545.85 0.06%
GNMA G2 MA4961, 3%, due 01/20/2048 36179TQN8 839,117 $866,256.62 0.06%
GNMA G2 MA5466, 4%, due 09/20/2048 36179UCB6 858,106 $898,772.83 0.06%
GNMA Series 2019-71, Class PT, 3%, due 06/20/2049 38381WDY1 820,595 $838,544.79 0.06%
IHS MARKIT LTD 4.75%, due 02/15/2025 44962LAB3 795,000 $881,472.15 0.06%
IHS MARKIT LTD 5%, due 11/01/2022 44962LAA5 889,000 $951,431.24 0.06%
Long Beach Mortgage Loan Trust Series 2006-1, Class 1A, Variable rate, due 02/25/2036 542514RH9 933,035 $916,501.41 0.06%
METROPOLITAN EDISON CO 4%, due 04/15/2025 591894CB4 830,000 $885,068.94 0.06%
NEXTERA ENERGY CAPITAL Variable rate, due 08/28/2021 65339KBA7 900,000 $900,283.31 0.06%
OMAN GOV INTERNTL BOND N/C, 5.625%, due 01/17/2028 682051AH0 840,000 $890,005.20 0.06%
PARK AEROSPACE HOLDINGS 4.50%, due 03/15/2023 70014LAC4 850,000 $897,161.93 0.06%
PROLOGIS LP 4.375%, due 02/01/2029 74340XBL4 750,000 $880,038.50 0.06%
PUBLIC SERVICE CO OF NEW MEXICO 3.85%, due 08/01/2025 744542AC5 825,000 $878,324.44 0.06%
RUSSIAN FEDERATION N/C, 4.375%, due 03/21/2029 BD4B195 800,000 $910,261.60 0.06%
SLM Student Loan Trust Series 2008-1, Class A4, Variable rate, due 01/25/2022 784439AD3 957,413 $943,665.68 0.06%
SPRINT COMMUNICATIONS 7%, due 03/01/2020 852061AQ3 953,000 $955,087.07 0.06%
Treman Park CLO Ltd Series 2015-1A, Class ARR, Variable rate, due 10/20/2028 89473LAH7 850,000 $850,572.90 0.06%
UNITED MEXICAN STATES 3.25%, due 04/16/2030 91087BAH3 900,000 $930,375.00 0.06%
AERCAP IRELAND CAP LTD/A 5%, due 10/01/2021 00772BAM3 800,000 $837,932.30 0.05%
AIR CANADA 2017-1AA PTT 3.30%, due 01/15/2030 00908PAA5 692,400 $735,845.19 0.05%
AIR LEASE CORP 3.25%, due 03/01/2025 00912XBA1 670,000 $698,301.46 0.05%
AMCOR FINANCE USA INC 4.50%, due 05/15/2028 02343UAE5 650,000 $734,491.58 0.05%
ANHEUSER-BUSCH INBEV WOR 4.75%, due 01/23/2029 035240AQ3 635,000 $745,249.91 0.05%
AT&T INC 4.30%, due 12/15/2042 00206RBH4 640,000 $703,211.36 0.05%
Babson CLO Ltd Series 2016-2A, Class AR, Variable rate, due 07/20/2028 06761CAA7 767,000 $767,495.87 0.05%
Banc of America Funding Corporation Series 2014-R6, Class 2A13, Variable rate, due 07/26/2036 05969KBB8 715,000 $706,469.62 0.05%
BOSTON PROPERTIES LP 3.20%, due 01/15/2025 10112RAZ7 785,000 $829,789.92 0.05%
CCO HLDGS LLC/CAP CORP 5.375%, due 06/01/2029 1248EPCB7 633,000 $688,767.30 0.05%
CHARTER COMM OPT LLC/CAP 4.908%, due 07/23/2025 161175AY0 725,000 $813,209.21 0.05%
CHURCHILL DOWNS INC 4.75%, due 01/15/2028 171484AE8 740,000 $776,378.40 0.05%
DOMINICAN REPUBLIC 6%, due 07/19/2028 P3579ECB1 700,000 $785,125.25 0.05%
DUKE ENERGY PROGRESS LLC 3.25%, due 08/15/2025 26442UAA2 700,000 $748,721.40 0.05%
DUQUESNE LIGHT HOLDINGS 6.40%, due 09/15/2020 266233AC9 750,000 $768,150.20 0.05%
ENTERGY TEXAS INC 3.45%, due 12/01/2027 29365TAF1 750,000 $791,806.76 0.05%
Fannie Mae FN AN7274, 3.10%, due 11/01/2029 3138LLCL7 700,000 $765,138.42 0.05%
Fannie Mae FN MA1146, 4%, due 08/01/2042 31418AHY7 643,987 $690,349.20 0.05%
FARMERS INS EXCH N/C, 8.625%, due 05/01/2024 309601AA0 600,000 $725,106.50 0.05%
Freddie Mac FG G16085, 2.50%, due 02/01/2032 3128ME6W6 816,974 $836,258.48 0.05%
Freddie Mac FG G60080, 3.50%, due 06/01/2045 31335ACR7 764,023 $815,878.98 0.05%
Freddie Mac FG U99114, 3.50%, due 02/01/2044 3132H7DU5 706,601 $747,294.95 0.05%
Freddie Mac FR ZS8602, 3%, due 03/01/2031 3132A9RX7 805,412 $831,793.42 0.05%
GENERAL MOTORS FINL CO 3.45%, due 04/10/2022 37045XAW6 760,000 $779,197.21 0.05%
GNMA G2 MA5597, 5%, due 11/20/2048 36179UGE6 746,670 $800,766.87 0.05%
GNMA G2 MA6030, 3.50%, due 07/20/2049 36179UVX7 770,797 $785,355.54 0.05%
GOLDMAN SACHS GROUP INC Variable rate, due 07/24/2023 38141GWM2 750,000 $768,738.97 0.05%
KINDER MORGAN INC 5.30%, due 12/01/2034 49456BAG6 650,000 $782,654.61 0.05%
KINGDOM OF BAHRAIN N/C, 7%, due 10/12/2028 BDFD907 600,000 $715,791.00 0.05%
Magnetite CLO Ltd Series 2019-21A, Class A, Variable rate, due 04/20/2030 55954PAC8 800,000 $802,024.00 0.05%
Morgan Stanley Mortgage Loan Trust Series 2004-6AR, Class 1M1, Variable rate, due 07/25/2034 61748HBG5 801,310 $815,842.40 0.05%
NATL RETAIL PROPERTIES 3.80%, due 10/15/2022 637417AE6 750,000 $786,519.06 0.05%
PARK AEROSPACE HOLDINGS 5.50%, due 02/15/2024 70014LAB6 750,000 $828,098.92 0.05%
PLAINS ALL AMER PIPELINE 4.50%, due 12/15/2026 72650RBL5 650,000 $707,754.14 0.05%
PNC BANK NA 2.50%, due 01/22/2021 69353RFH6 690,000 $694,738.44 0.05%
REPUBLIC OF COLOMBIA 4.50%, due 01/28/2026 195325CX1 684,000 $758,990.34 0.05%
REPUBLICA ORIENT URUGUAY 4.375%, due 01/23/2031 917288BK7 640,000 $743,520.00 0.05%
SLM Student Loan Trust Series 2012-2, Class A, Variable rate, due 01/25/2029 78446YAA1 806,436 $790,411.55 0.05%
SLM Student Loan Trust Series 2012-3, Class A, Variable rate, due 12/27/2038 78447AAA2 796,996 $795,071.83 0.05%
TCI-Flatiron CLO Ltd Series 2016-1A, Class AR, Variable rate, due 07/17/2028 87230AAE6 700,000 $700,509.60 0.05%
TIME WARNER CABLE LLC 5.50%, due 09/01/2041 88732JBB3 700,000 $824,329.03 0.05%
TRANS-ALLEGHENY INTERSTA 3.85%, due 06/01/2025 893045AE4 700,000 $758,619.79 0.05%
TUCSON ELECTRIC POWER CO 5.15%, due 11/15/2021 898813AK6 750,000 $783,310.49 0.05%
ABBVIE INC 4.875%, due 11/14/2048 00287YBD0 450,000 $554,885.91 0.04%
AT&T INC 5.15%, due 11/15/2046 00206RHA3 500,000 $608,326.98 0.04%
BANCO NACIONAL COM EXT Variable rate, due 08/11/2026 05970AAB8 600,000 $609,964.50 0.04%
BAT CAPITAL CORP 4.54%, due 08/15/2047 05526DBF1 545,000 $574,345.37 0.04%
BAUSCH HEALTH COS INC 7%, due 03/15/2024 91911KAK8 550,000 $572,459.25 0.04%
Bluemountain CLO Ltd Series 2013-2A, Class A1R, Variable rate, due 10/22/2030 09626YAN0 550,000 $550,209.00 0.04%
BX Trust Series 2019-OC11, Class A, 3.202%, due 12/09/2041 05606FAA1 580,000 $624,678.21 0.04%
CC HOLDINGS GS V LLC/CRO 3.849%, due 04/15/2023 14987BAE3 625,000 $661,166.49 0.04%
CONSOLIDATED EDISON CO OF NY 4.50%, due 05/15/2058 209111FQ1 500,000 $637,757.89 0.04%
DP WORLD CRESCENT LTD N/C, 4.848%, due 09/26/2028 26139PAB9 600,000 $658,525.20 0.04%
Dryden Senior Loan Fund Series 2013-28A, Class A1LR, Variable rate, due 08/15/2030 26251BAL0 572,000 $572,087.52 0.04%
ELANCO ANIMAL HEALTH INC 4.272%, due 08/28/2023 28414HAE3 535,000 $574,829.43 0.04%
Fannie Mae FN CA2208, 4.50%, due 08/01/2048 3140Q9N25 587,920 $624,792.20 0.04%
Fannie Mae FN MA3147, 3%, due 10/01/2047 31418CP99 625,071 $642,978.74 0.04%
Fannie Mae FN MA3336, 3.50%, due 04/01/2038 31418CV68 614,454 $643,117.09 0.04%
FANNIE MAE Series 2018-94, Class KD, 3.50%, due 10/01/2048 3136B3WS5 543,706 $560,021.64 0.04%
FANNIE MAE Series 2019-1, Class KP, 3.25%, due 02/25/2049 3136B3A34 607,651 $633,170.75 0.04%
FORD MOTOR CREDIT CO LLC N/C, 4.25%, due 09/20/2022 345397WF6 655,000 $678,076.47 0.04%
Freddie Mac FG G08741, 3%, due 01/01/2047 3128MJZF0 597,638 $617,208.70 0.04%
Freddie Mac FG G08766, 3.50%, due 06/01/2047 3128MJZ86 533,690 $558,873.77 0.04%
Freddie Mac FG G08800, 3.50%, due 02/01/2048 3128MJ3J7 611,402 $641,353.34 0.04%
Freddie Mac FG G08849, 5%, due 11/01/2048 3128MJ5K2 580,089 $624,842.09 0.04%
Freddie Mac FG G16350, 2.50%, due 10/01/2032 3128MFH35 584,113 $598,076.17 0.04%
Freddie Mac FG U90772, 3.50%, due 01/01/2043 3132H32D4 514,824 $544,548.10 0.04%
GNMA G2 MA3521, 3.50%, due 03/20/2046 36179R4E6 586,709 $615,451.14 0.04%
GNMA Series 2018-115, Class DE, 3.50%, due 06/01/2048 38380XR74 584,181 $606,319.65 0.04%
GNMA Series 2018-124, Class NW, 3.50%, due 09/20/2048 38380Y2X2 548,395 $572,507.30 0.04%
HarborView Mortgage Loan Trust Series 2005-10, Class 2A1A, Variable rate, due 11/19/2035 41161PTN3 589,478 $571,808.46 0.04%
HCP INC 3.25%, due 07/15/2026 40414LAQ2 600,000 $636,032.47 0.04%
Interest: Pay 115620000 US0003M, Receive 115620000 USD - 01/23/2023 105,720,000 $603,401.36 0.04%
JPMORGAN CHASE & CO 3.90%, due 07/15/2025 46625HMN7 500,000 $547,555.28 0.04%
NEW JERSEY ST TURNPIKE AUTH TPK REV TAXABLE, 3.729%, due 01/01/2036 646140CK7 500,000 $562,760.00 0.04%
PERU LNG SRL 5.375%, due 03/22/2030 P7721BAE1 600,000 $569,932.50 0.04%
PRICOA GLOBAL FUNDING 1 N/C, 3.45%, due 09/01/2023 741531FA0 620,000 $656,772.16 0.04%
RAYMOND JAMES FINANCIAL 4.95%, due 07/15/2046 754730AF6 450,000 $560,578.69 0.04%
REPUBLIC OF PARAGUAY N/C, 4.625%, due 01/25/2023 P75744AA3 600,000 $638,349.00 0.04%
Saxon Asset Securities Trust Series 2007-2, Class A2C, Variable rate, due 05/25/2047 80556YAD7 767,572 $637,672.91 0.04%
SL GREEN REALTY CORP 4.50%, due 12/01/2022 75625AAD6 550,000 $580,702.91 0.04%
SLM Student Loan Trust Series 2005-9, Class A7A, Variable rate, due 01/25/2041 78442GRA6 627,956 $616,240.56 0.04%
SLM Student Loan Trust Series 2006-8, Class A6, Variable rate, due 01/25/2041 78443HAF0 600,000 $569,524.44 0.04%
SLM Student Loan Trust Series 2008-3, Class B, Variable rate, due 04/26/2083 78444GAD6 700,000 $651,803.11 0.04%
SLM Student Loan Trust Series 2012-7, Class B, Variable rate, due 09/25/2043 78447KAD4 555,000 $556,730.38 0.04%
SOUTHERN CO GAS CAPITAL 5.875%, due 03/15/2041 001192AH6 400,000 $540,534.32 0.04%
Towd Point Mortgage Trust Series 2015-2, Class 1A13, Variable rate, due 11/25/2060 89171YAN1 622,717 $624,934.46 0.04%
TRANSOCEAN POSEIDON LTD 6.875%, due 02/01/2027 89383JAA6 517,000 $546,819.27 0.04%
US AIRWAYS 2012-1A PTT 5.90%, due 10/01/2024 90345WAA2 514,819 $578,597.43 0.04%
WAMU Mortgage Pass-Through Certificates Series 2006-AR4, Class 1A1A, Variable rate, due 05/25/2046 93934FPN6 535,885 $546,055.07 0.04%
WEA FINANCE LLC 3.15%, due 04/05/2022 92928QAC2 550,000 $564,831.03 0.04%
WILLIAMS COMPANIES INC 4.55%, due 06/24/2024 969457BW9 600,000 $655,275.14 0.04%
ABBVIE INC 4.40%, due 11/06/2042 00287YAM1 400,000 $459,488.09 0.03%
AERCAP IRELAND CAP LTD/A 4.50%, due 05/15/2021 00772BAF8 375,000 $386,405.09 0.03%
AIR LEASE CORP 3.50%, due 01/15/2022 00912XBE3 485,000 $499,273.87 0.03%
ANTERO RESOURCES CORP 5%, due 03/01/2025 03674XAJ5 665,000 $403,987.50 0.03%
ARDAGH PKG FIN/HLDGS USA 4.125%, due 08/15/2026 03969AAN0 400,000 $414,749.60 0.03%
Babson CLO Ltd Series 2013-IA, Class AR, Variable rate, due 01/20/2028 06760EAA4 400,000 $400,134.40 0.03%
BACARDI LTD 5.30%, due 05/15/2048 067316AH2 385,000 $488,053.10 0.03%
BAYER US FINANCE II LLC 4.40%, due 07/15/2044 07274NBF9 425,000 $472,911.10 0.03%
BAYER US FINANCE LLC 3.375%, due 10/08/2024 07274EAG8 460,000 $484,714.67 0.03%
BCAP LLC Trust Series 2015-RR5, Class 1A3, Variable rate, due 08/26/2036 05490MAC1 515,969 $513,080.82 0.03%
Credit Suisse Mortgage Trust Series 2010-7R, Class 1A12, 4%, due 01/26/2037 12643RAY4 470,119 $477,699.43 0.03%
Credit Suisse Mortgage Trust Series 2010-8R, Class 10A5, Variable rate, due 04/26/2047 12644KAJ1 509,008 $510,848.39 0.03%
Credit Suisse Mortgage Trust Series 2010-8R, Class 4A5, Variable rate, due 12/26/2035 12644KHH8 502,945 $510,900.79 0.03%
Credit Suisse Mortgage Trust Series 2014-2R, Class 19A1, Variable rate, due 05/27/2036 12648EGA4 402,861 $401,496.22 0.03%
CVS HEALTH CORP 4.30%, due 03/25/2028 126650CX6 400,000 $442,123.10 0.03%
DIGITAL REALTY TRUST LP 3.625%, due 10/01/2022 25389JAK2 500,000 $519,365.14 0.03%
ENCOMPASS HEALTH CORP 4.75%, due 02/01/2030 29261AAB6 418,000 $437,871.72 0.03%
Fannie Mae FN AS9749, 4%, due 06/01/2047 3138WKZP3 382,956 $404,151.72 0.03%
Fannie Mae FN MA3410, 3.50%, due 07/01/2033 31418CYG3 466,549 $487,484.51 0.03%
FORD MOTOR CREDIT CO LLC N/C, Variable rate, due 03/28/2022 345397YJ6 390,000 $388,791.79 0.03%
Freddie Mac FG G08747, 3%, due 02/01/2047 3128MJZM5 386,154 $398,800.57 0.03%
Freddie Mac FG G60440, 3.50%, due 03/01/2046 31335APZ5 499,241 $533,137.84 0.03%
Freddie Mac FR ZT1403, 3.50%, due 11/01/2033 3132ADRY6 367,323 $383,885.86 0.03%
GE CAPITAL INTL FUNDING 4.418%, due 11/15/2035 36164QNA2 375,000 $427,182.83 0.03%
GENERAL ELECTRIC CO N/C, 4.625%, due 01/07/2021 36962G4Y7 460,000 $470,835.13 0.03%
GENERAL ELECTRIC CO N/C, 4.65%, due 10/17/2021 36962G5J9 470,000 $490,338.74 0.03%
GLOBAL BANK CORPORATION Variable rate, due 04/16/2029 P47718AE4 400,000 $443,780.00 0.03%
GLP CAPITAL LP / FIN II 4%, due 01/15/2030 361841AP4 475,000 $505,244.44 0.03%
GNMA G2 MA1157, 3.50%, due 07/20/2043 36179NJA7 416,240 $440,317.91 0.03%
GNMA G2 MA4069, 3.50%, due 11/20/2046 36179SQW0 429,435 $448,125.56 0.03%
GNMA G2 MA4262, 3.50%, due 02/20/2047 36179SWX1 413,516 $430,664.74 0.03%
HCA INC 5.125%, due 06/15/2039 404119BY4 400,000 $467,510.89 0.03%
HCP INC 3.875%, due 08/15/2024 40414LAL3 475,000 $510,339.74 0.03%
HCP INC 4.25%, due 11/15/2023 40414LAJ8 399,000 $428,484.54 0.03%
HESS CORP 5.60%, due 02/15/2041 42809HAD9 400,000 $469,641.38 0.03%
HUMANA INC 3.15%, due 12/01/2022 444859BA9 500,000 $514,852.10 0.03%
HUMANA INC 3.95%, due 08/15/2049 444859BL5 475,000 $519,493.62 0.03%
JP Morgan Mortgage Acquisition Series 2007-CH2, Class MV, Variable rate, due 01/25/2037 46630MAX0 405,000 $395,898.23 0.03%
LG&E AND KU ENERGY LLC 3.75%, due 11/15/2020 50188FAD7 400,000 $403,721.00 0.03%
MINEJESA CAPITAL BV 5.625%, due 08/10/2037 602736AB6 400,000 $449,974.00 0.03%
MORGAN STANLEY Variable rate, due 01/23/2030 6174468G7 425,000 $490,915.12 0.03%
NATIONWIDE MUTUAL INSURANCE Variable rate, due 12/15/2024 638671AJ6 400,000 $400,600.30 0.03%
NEW YORK CITY NY TRANSITIONAL FIN AUTH REV TAXABLE-QUAL SCH CONST BDS, 5.267%, due 05/01/2027 64971MT44 400,000 $481,748.00 0.03%
Opteum Mortgage Acceptance Corporation Series 2006-1, Class 1APT, Variable rate, due 04/25/2036 68383NDT7 538,965 $525,210.91 0.03%
PLAINS ALL AMER PIPELINE 3.55%, due 12/15/2029 72650RBM3 425,000 $429,485.92 0.03%
PNC BANK NA 3.80%, due 07/25/2023 69349LAM0 400,000 $425,011.93 0.03%
REPUBLIC OF TURKEY N/C, 3.25%, due 03/23/2023 900123CA6 400,000 $389,548.80 0.03%
RITE AID CORP 6.125%, due 04/01/2023 767754CH5 488,000 $462,990.00 0.03%
RUBY PIPELINE LLC 6.50%, due 04/01/2022 781172AB7 421,068 $443,070.65 0.03%
SANTANDER UK GROUP HLDGS Variable rate, due 01/05/2024 80281LAH8 500,000 $516,796.75 0.03%
SES SA 3.60%, due 04/04/2023 78413HAA7 500,000 $516,721.20 0.03%
SLC Student Loan Trust Series 2005-2, Class A4, Variable rate, due 12/15/2039 784420AJ0 400,000 $383,326.56 0.03%
SOUTHERN CO GAS CAPITAL 2.45%, due 10/01/2023 8426EPAA6 500,000 $509,670.04 0.03%
SS&C TECHNOLOGIES INC 5.50%, due 09/30/2027 78466CAC0 440,000 $472,725.00 0.03%
SUNOCO LOGISTICS PARTNERS 3.90%, due 07/15/2026 86765BAT6 400,000 $423,227.22 0.03%
VALEANT PHARMACEUTICALS 6.50%, due 03/15/2022 91911KAJ1 522,000 $533,092.50 0.03%
VENTAS REALTY LP 3.85%, due 04/01/2027 92277GAL1 400,000 $434,685.16 0.03%
VIRGIN MEDIA SECURED FIN 5.50%, due 08/15/2026 92769XAM7 400,000 $420,429.00 0.03%
VIRGINIA ELEC & POWER CO 4.60%, due 12/01/2048 927804GA6 355,000 $460,891.02 0.03%
WALGREENS BOOTS ALLIANCE 3.30%, due 11/18/2021 931427AF5 500,000 $511,013.37 0.03%
WASTE PRO USA INC 5.50%, due 02/15/2026 94107JAA1 387,000 $387,898.81 0.03%
WILLIAMS COMPANIES INC 4.50%, due 11/15/2023 96950FAL8 400,000 $433,452.00 0.03%
WRKCO INC 4.90%, due 03/15/2029 92940PAD6 355,000 $415,188.58 0.03%
ZIMMER BIOMET HOLDINGS 2.70%, due 04/01/2020 98956PAK8 525,000 $525,349.00 0.03%
AIR LEASE CORP 2.30%, due 02/01/2025 00914AAF9 360,000 $360,433.85 0.02%
ALABAMA POWER CAP TR V Preferred, Variable rate, due 10/01/2042 01039XAA8 300,000 $300,147.05 0.02%
ALEXANDRIA REAL ESTATE EQUITIES 4.30%, due 01/15/2026 015271AH2 250,000 $278,818.98 0.02%
AMERICAN CAMPUS CMNTYS 3.625%, due 11/15/2027 024836AD0 250,000 $270,558.74 0.02%
ANHEUSER-BUSCH INBEV WOR 4.439%, due 10/06/2048 03523TBT4 200,000 $238,050.91 0.02%
Argent Securities Inc. Series 2005-W2, Class M1, Variable rate, due 10/25/2035 040104ND9 255,000 $254,634.18 0.02%
ASTRAZENECA PLC 3.50%, due 08/17/2023 046353AR9 300,000 $315,973.46 0.02%
AT&T INC 4.80%, due 06/15/2044 00206RCG5 322,000 $373,902.56 0.02%
BACARDI LTD 4.70%, due 05/15/2028 067316AF6 245,000 $278,281.72 0.02%
BANC OF AMERICA MERRILL LYNCH LARGE LOAN INC Series 2015-200P, Class A, 3.218%, due 04/14/2033 05526QAA4 285,000 $302,429.55 0.02%
BANK OF AMERICA CORP Variable rate, due 07/23/2029 06051GHM4 210,000 $238,993.40 0.02%
BANK OF NY MELLON CORP Variable rate, due 05/16/2023 06406RAC1 300,000 $305,738.30 0.02%
BAT CAPITAL CORP 4.39%, due 08/15/2037 05526DBD6 280,000 $297,007.59 0.02%
Bear Stearns Mortgage Funding Trust Series 2007-AR5, Class 1A1G, Variable rate, due 06/25/2047 07400NAB6 323,232 $309,956.11 0.02%
BECTON DICKINSON 3.25%, due 11/12/2020 075887AW9 300,000 $302,779.03 0.02%
BOSTON SCIENTIFIC CORP 3.45%, due 03/01/2024 101137AV9 300,000 $316,794.94 0.02%
Brazos Higher Education Authority, Inc. Series 2011-1, Class A3, Variable rate, due 11/25/2033 10620NCH9 270,000 $272,896.83 0.02%
Brazos Higher Education Authority, Inc. Series 2011-2, Class A3, Variable rate, due 10/27/2036 10620NCL0 300,000 $302,519.22 0.02%
CALIFORNIA ST TAXABLE-BABS-VAR PURP, GO, 7.95%, due 03/01/2036 13063BFV9 300,000 $301,467.00 0.02%
CBS CORP 2.50%, due 02/15/2023 124857AS2 300,000 $305,239.95 0.02%
CLEAN HARBORS INC 5.125%, due 07/15/2029 184496AP2 260,000 $280,890.35 0.02%
COMM MORTGAGE TRUST Series 2012-CR5, Class A3, 2.54%, due 12/10/2045 12623SAD2 225,000 $228,908.79 0.02%
COMM MORTGAGE TRUST Series 2012-CR5, Class A4, 2.771%, due 12/10/2045 12623SAE0 315,000 $322,725.44 0.02%
ECOPETROL SA 5.875%, due 05/28/2045 279158AJ8 200,000 $248,187.00 0.02%
ENERGY TRANSFER OPERATING 5.50%, due 06/01/2027 29278NAN3 198,000 $228,707.93 0.02%
ENERGY TRANSFER OPERATNG 5.15%, due 03/15/2045 29273RBF5 260,000 $279,819.55 0.02%
EQT MIDSTREAM PARTNERS LP 5.50%, due 07/15/2028 26885BAC4 405,000 $369,056.25 0.02%
Fannie Mae FN AS9334, 3%, due 03/01/2032 3138WKLQ6 301,876 $311,959.51 0.02%
Fannie Mae FN BD7071, 4%, due 03/01/2047 3140FE2P8 320,544 $339,828.83 0.02%
Fannie Mae FN MA2145, 4%, due 01/01/2045 31418BL38 281,960 $301,889.17 0.02%
Fannie Mae FN MA3238, 3.50%, due 01/01/2048 31418CS47 230,031 $240,777.38 0.02%
FANNIE MAE Series 2019-52, Class PA, 3%, due 09/25/2049 3136B53X1 336,456 $343,762.29 0.02%
FHLMC MULTIFAMILY STRUCTURED PASS THRU CERTS Series KJ18, Class A1, 2.455%, due 03/25/2022 3137FCWW0 305,547 $307,657.98 0.02%
FORD MOTOR CREDIT CO LLC 3.339%, due 03/28/2022 345397YL1 230,000 $232,748.44 0.02%
FORD MOTOR CREDIT CO LLC N/C, Variable rate, due 10/12/2021 345397ZG1 285,000 $283,853.64 0.02%
Freddie Mac FG G08738, 3.50%, due 12/01/2046 3128MJZC7 344,663 $361,221.63 0.02%
Freddie Mac FG G08748, 3.50%, due 02/01/2047 3128MJZN3 361,310 $379,215.75 0.02%
Freddie Mac FG G08833, 5%, due 07/01/2048 3128MJ4T4 242,388 $261,221.73 0.02%
Freddie Mac FG G18670, 3%, due 12/01/2032 3128MMW82 297,770 $307,687.07 0.02%
Freddie Mac FG G18713, 3.50%, due 11/01/2033 3128MMYK3 356,799 $373,172.43 0.02%
Freddie Mac FG Q44452, 3%, due 11/01/2046 3132WH5N1 332,102 $342,977.61 0.02%
Freddie Mac FN C91981, 3%, due 02/01/2038 3128P8FW6 228,689 $235,581.60 0.02%
FREDDIE MAC Series 4656, Class EZ, 4%, due 02/15/2047 3137BVBM7 248,000 $283,973.89 0.02%
GNMA G2 MA4195, 3%, due 01/20/2047 36179SUU9 251,222 $260,056.12 0.02%
GNMA G2 MA4196, 3.50%, due 01/20/2047 36179SUV7 305,578 $317,300.94 0.02%
GNMA G2 MA5467, 4.50%, due 09/20/2048 36179UCC4 248,643 $263,261.11 0.02%
HUMANA INC 2.90%, due 12/15/2022 444859BJ0 360,000 $369,204.66 0.02%
IHS MARKIT LTD 4.75%, due 08/01/2028 44962LAF4 250,000 $289,040.63 0.02%
Impac CMB Trust Series 2005-2, Class 1A1, Variable rate, due 04/25/2035 45254NMY0 357,996 $352,626.67 0.02%
INTELSAT JACKSON HLDG 9.75%, due 07/15/2025 45824TAY1 390,000 $362,374.36 0.02%
IRVINE CORE OFFICE TRUST Series 2013-IRV, Class A2, Variable rate, due 05/15/2048 46361TAC6 235,000 $244,675.28 0.02%
Lehman XS Trust Series 2006-16N, Class A4A, Variable rate, due 11/25/2046 52522DAM3 366,779 $354,258.31 0.02%
MADISON AVENUE TRUST Series 2015-11MD, Class A, Variable rate, due 09/10/2035 556227AA4 305,000 $330,195.75 0.02%
MATTHEWS INTERNATIONAL CORP 5.25%, due 12/01/2025 577128AA9 240,000 $241,899.60 0.02%
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3, Class A2B, Variable rate, due 06/25/2037 59024VAF6 390,923 $318,376.25 0.02%
MONG DUONG FIN HLDGS BV 5.125%, due 05/07/2029 N6000DAA1 250,000 $260,754.29 0.02%
NATIONWIDE BLDG SOCIETY Variable rate, due 03/08/2024 63861VAA5 360,000 $376,080.26 0.02%
NATIONWIDE BLDG SOCIETY Variable rate, due 08/01/2024 63861VAC1 300,000 $321,190.64 0.02%
Navient Student Loan Trust Series 2014-1, Class A3, Variable rate, due 06/25/2031 63938EAC8 305,796 $301,728.19 0.02%
Navient Student Loan Trust Series 2014-3, Class A, Variable rate, due 03/25/2083 63938JAA1 245,069 $240,628.51 0.02%
Navient Student Loan Trust Series 2017-3A, Class A3, Variable rate, due 07/26/2066 63940JAC3 300,000 $301,142.58 0.02%
Palmer Square Loan Funding Ltd Series 2019-1A, Class A1, Variable rate, due 04/20/2027 69700VAA7 238,367 $238,688.91 0.02%
PETROLEOS MEXICANOS 6.625%, due 06/15/2035 706451BG5 215,000 $228,832.03 0.02%
PIEDMONT OPERATING PARTNERSHIP 3.40%, due 06/01/2023 720198AC4 350,000 $361,292.93 0.02%
PIPELINE FUNDING CO LLC 7.50%, due 01/15/2030 724060AA6 276,390 $347,228.80 0.02%
Residential Asset Mortgage Products, Inc. Series 2006-RZ1, Class M2, Variable rate, due 03/25/2036 76112BZ37 236,241 $237,177.21 0.02%
Residential Asset Securities Corporation Series 2006-EMX3, Class A3, Variable rate, due 04/25/2036 76113ACA7 260,000 $255,268.00 0.02%
REYNOLDS GRP ISS/REYNOLD Variable rate, due 07/15/2021 761735AR0 300,000 $301,050.00 0.02%
ROCKIES EXPRESS PIPELINE 5.625%, due 04/15/2020 77340RAK3 244,000 $244,844.04 0.02%
SABINE PASS LIQUEFACTION 5.625%, due 03/01/2025 785592AM8 325,000 $368,798.76 0.02%
SL GREEN OPERATING PARTN 3.25%, due 10/15/2022 78444FAF3 300,000 $307,932.67 0.02%
SLM Student Loan Trust Series 2005-5, Class A5, Variable rate, due 10/25/2040 78442GPR1 250,000 $242,215.70 0.02%
SLM Student Loan Trust Series 2008-7, Class B, Variable rate, due 07/26/2083 78445FAE5 320,000 $315,723.01 0.02%
SLM Student Loan Trust Series 2011-1, Class A2, Variable rate, due 10/25/2034 83149VAB5 345,000 $348,471.05 0.02%
SLM Student Loan Trust Series 2012-6, Class A3, Variable rate, due 05/26/2026 78447GAC5 302,725 $301,443.64 0.02%
SOUTHWESTERN ELEC POWER 3.55%, due 02/15/2022 845437BM3 300,000 $308,246.90 0.02%
SPECTRUM BRANDS INC 5.75%, due 07/15/2025 84762LAU9 245,000 $255,410.05 0.02%
Structured Asset Investment Loan Trust Series 2005-2, Class M2, Variable rate, due 03/25/2035 86358ERB4 305,617 $307,025.06 0.02%
TEACHERS INSUR & ANNUITY Variable rate, due 09/15/2054 878091BE6 240,000 $255,719.17 0.02%
TRANSOCEAN PHOENIX 2 LTD 7.75%, due 10/15/2024 893828AA1 353,500 $374,856.70 0.02%
UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST Series 2013-C6, Class A3, 2.9707%, due 04/10/2046 90349GBE4 249,678 $257,587.47 0.02%
UNION PACIFIC CORP 3.95%, due 09/10/2028 907818EY0 270,000 $303,658.18 0.02%
VNO MORTGAGE TRUST Series 2012-6AVE, Class A, 2.9956%, due 11/15/2030 91830CAA6 250,000 $257,163.85 0.02%
VODAFONE GROUP PLC 3.75%, due 01/16/2024 92857WBH2 330,000 $352,176.07 0.02%
WAMU MORTGAGE PASS-THROUGH CER Series 2005-AR15, Class A1A1, Variable rate, due 11/25/2045 92922F5T1 258,028 $254,789.04 0.02%
WAMU Mortgage Pass-Through Certificates Series 2006-AR3, Class A1A, Variable rate, due 02/25/2046 92925CDA7 366,463 $378,629.62 0.02%
WELLS FARGO & COMPANY N/C, 3%, due 10/23/2026 949746SH5 250,000 $261,287.89 0.02%
WELLS FARGO & COMPANY Variable rate, due 05/22/2028 95000U2A0 350,000 $378,803.37 0.02%
ALIMENTATION COUCHE-TARD 3.55%, due 07/26/2027 01626PAH9 100,000 $106,717.63 0.01%
AMER AIRLN 15-2 AA PTT 3.60%, due 09/22/2027 02377BAB2 125,135 $135,069.12 0.01%
AMEREN ILLINOIS CO 3.70%, due 12/01/2047 02361DAR1 200,000 $228,181.94 0.01%
AMERICAN TOWER CORP 3%, due 06/15/2023 03027XAQ3 215,000 $222,766.98 0.01%
ANTERO RESOURCES CORP 5.125%, due 12/01/2022 03674XAC0 273,000 $207,283.44 0.01%
ANTHEM INC 3.30%, due 01/15/2023 94973VBA4 150,000 $156,111.58 0.01%
ANTHEM INC 3.65%, due 12/01/2027 036752AB9 120,000 $129,960.50 0.01%
Asset Backed Funding Certificates Series 2006-OPT1, Class A2, Variable rate, due 09/25/2036 00075QAR3 114,785 $113,491.42 0.01%
AT&T INC 4.30%, due 02/15/2030 00206RGQ9 200,000 $226,139.70 0.01%
AVOLON HOLDINGS FNDG LTD 5.25%, due 05/15/2024 05401AAD3 135,000 $147,881.53 0.01%
BANK OF AMERICA CORP Variable rate, due 10/01/2025 06051GGT0 75,000 $78,595.58 0.01%
BANK OF AMERICA CORP Variable rate, due 12/20/2023 06051GHC6 180,000 $185,594.69 0.01%
Bear Stearns Mortgage Funding Trust Series 2006-AR1, Class 1A1, Variable rate, due 07/25/2036 07401LAA1 210,209 $206,813.81 0.01%
BERRY GLOBAL INC 4.875%, due 07/15/2026 085770AA3 76,000 $80,413.62 0.01%
C&W SR FINANCING DAC 6.875%, due 09/15/2027 12674TAA4 200,000 $218,964.50 0.01%
CBS CORP 3.70%, due 06/01/2028 124857AX1 200,000 $214,976.38 0.01%
CENTENE CORP 5.375%, due 08/15/2026 15135BAM3 200,000 $212,750.00 0.01%
CIGNA CORP 3.05%, due 10/15/2027 125523AY6 75,000 $77,791.15 0.01%
COMCAST CORP 3.969%, due 11/01/2047 20030NCC3 100,000 $115,356.95 0.01%
Credit Suisse Mortgage Trust Series 2011-5R, Class 2A1, Variable rate, due 08/27/2046 12645LAH2 92,472 $93,145.12 0.01%
Credit Suisse Mortgage Trust Series 2015-8R, Class 3A1, Variable rate, due 11/25/2037 12650NAN7 104,333 $104,250.20 0.01%
CSC HOLDINGS LLC 5.375%, due 02/01/2028 126307AS6 200,000 $214,484.50 0.01%
CVS HEALTH CORP 3.875%, due 07/20/2025 126650CL2 150,000 $162,176.24 0.01%
Deephaven Residential Mortgage Trust Series 2017-1A, Class A1, Variable rate, due 12/26/2046 24380TAA4 178,209 $178,327.39 0.01%
DELTA AIR LINES 2002-1G1 6.718%, due 01/02/2023 247367AX3 123,284 $132,147.05 0.01%
DUKE ENERGY CAROLINAS 3.70%, due 12/01/2047 26442CAT1 155,000 $175,696.89 0.01%
EFS Volunteer No 3 LLC Series 2012-1, Class A3, Variable rate, due 04/25/2033 26845CAC1 167,819 $167,738.84 0.01%
ENERGY TRANSFER OPERATNG 5.20%, due 02/01/2022 29273RAQ2 145,000 $152,544.16 0.01%
Fannie Mae FN AM5673, 3.65%, due 04/01/2023 3138L6JT6 113,700 $119,626.64 0.01%
Fannie Mae FN AM7122, 3.61%, due 11/01/2034 3138L74G8 116,091 $131,704.90 0.01%
Fannie Mae FN AM7817, 3.31%, due 01/01/2027 3138L8VK7 91,576 $99,232.39 0.01%
Fannie Mae FN AN2786, 2.76%, due 09/01/2036 3138LFCY2 119,216 $126,965.18 0.01%
Fannie Mae FN AN4665, 3.49%, due 02/01/2032 3138LHFF6 200,191 $224,830.05 0.01%
FHLMC MULTIFAMILY STRUCTURED PASS THRU CERTS Series KF16, Class A, Variable rate, due 03/25/2026 3137BPC80 83,586 $83,532.23 0.01%
First Franklin Mtg Loan Asset Backed Certificates Series 2006-FF13, Class A2C, Variable rate, due 10/25/2036 30247DAD3 277,813 $218,155.10 0.01%
FORD MOTOR CREDIT CO LLC N/C, Variable rate, due 08/03/2022 345397YP2 150,000 $148,641.14 0.01%
Freddie Mac FG G07961, 3.50%, due 03/01/2045 3128MAFA2 143,734 $152,402.33 0.01%
Freddie Mac FG G08692, 3%, due 02/01/2046 3128MJXW5 157,751 $162,907.98 0.01%
Freddie Mac FG G08721, 3%, due 09/01/2046 3128MJYT1 91,949 $95,087.67 0.01%
Freddie Mac FG G08844, 5%, due 10/01/2048 3128MJ5E6 200,848 $216,350.88 0.01%
Freddie Mac FG G18691, 3%, due 06/01/2033 3128MMXV0 104,902 $108,383.30 0.01%
GILEAD SCIENCES INC 3.65%, due 03/01/2026 375558BF9 175,000 $189,869.21 0.01%
GLP CAPITAL LP / FIN II 5.375%, due 04/15/2026 361841AH2 140,000 $159,103.00 0.01%
GNMA G2 MA4453, 4.50%, due 05/20/2047 36179S5N3 138,413 $148,499.07 0.01%
GNMA G2 MA4586, 3.50%, due 07/20/2047 36179TCX1 154,602 $161,506.20 0.01%
GNMA G2 MA4722, 5%, due 09/20/2047 36179TG74 148,977 $160,511.56 0.01%
GNMA G2 MA4777, 3%, due 10/20/2047 36179TJW6 132,009 $136,369.31 0.01%
GNMA G2 MA4901, 4%, due 12/20/2047 36179TNS0 193,231 $203,769.74 0.01%
GreenPoint Mortgage Funding Trust Series 2006-AR1, Class A1A, Variable rate, due 02/25/2036 39538WFH6 189,382 $186,304.73 0.01%
IHS MARKIT LTD 4%, due 03/01/2026 44962LAC1 135,000 $146,715.30 0.01%
JOHNSON & JOHNSON 3.625%, due 03/03/2037 478160CF9 75,000 $85,423.10 0.01%
JP Morgan Mortgage Acquisition Corp. Series 2006-ACC1, Class M1, Variable rate, due 05/25/2036 46628RAF2 209,802 $209,165.00 0.01%
KROGER CO 5.40%, due 01/15/2049 501044DM0 97,000 $121,901.98 0.01%
LEVEL 3 FINANCING INC 5.375%, due 01/15/2024 527298BK8 215,000 $219,066.73 0.01%
LIFESTORAGE LP 3.875%, due 12/15/2027 53227JAA2 200,000 $217,141.51 0.01%
MGM GROWTH/MGM FINANCE 4.50%, due 01/15/2028 55303XAF2 80,000 $84,427.80 0.01%
Mid-State Trust Series 11, Class A1, 4.864%, due 07/15/2038 59549WAA1 203,049 $216,219.70 0.01%
Morgan Stanley Mortgage Loan Trust Series 2005-2AR, Class A, Variable rate, due 04/25/2035 61745M4E0 81,608 $81,806.17 0.01%
Morgan Stanley ReRemic Trust Series 2015-R2, Class 1A1, Variable rate, due 12/26/2046 61690HAA7 181,192 $184,763.90 0.01%
MortgageIT Trust Series 2005-5, Class A1, Variable rate, due 12/25/2035 61915RAU0 126,343 $126,995.30 0.01%
NATIONAL RETAIL PROP INC 3.30%, due 04/15/2023 637417AF3 176,000 $182,287.94 0.01%
Navient Student Loan Trust Series 2014-5, Class A, Variable rate, due 03/25/2083 63938WAA2 77,940 $76,265.01 0.01%
Navient Student Loan Trust Series 2014-8, Class A3, Variable rate, due 05/27/2049 63939DAC9 145,374 $142,522.78 0.01%
Navient Student Loan Trust Series 2015-1, Class A2, Variable rate, due 04/25/2040 63939FAB6 205,779 $202,895.96 0.01%
NORTHROP GRUMMAN CORP 2.93%, due 01/15/2025 666807BM3 100,000 $104,791.91 0.01%
NY & PRESBYTERIAN HOSPITAL 3.563%, due 08/01/2036 649322AC8 200,000 $217,646.20 0.01%
PETROBRAS GLOBAL FINANCE 5.093%, due 01/15/2030 71647NBF5 75,000 $84,131.25 0.01%
PLAINS ALL AMER PIPELINE 2.85%, due 01/31/2023 72650RBB7 150,000 $152,551.71 0.01%
PLAINS ALL AMER PIPELINE 3.85%, due 10/15/2023 72650RBD3 200,000 $209,870.96 0.01%
QWEST CORP N/C, 7.25%, due 09/15/2025 912920AK1 185,000 $216,792.82 0.01%
RECKITT BENCKISER TSY N/C, 2.75%, due 06/26/2024 75625QAD1 200,000 $206,296.85 0.01%
REPUBLIC SERVICES INC 2.90%, due 07/01/2026 760759AR1 150,000 $156,932.30 0.01%
Securitized Asset Backed Receivables LLC Trust Series 2006-OP1, Class M2, Variable rate, due 10/25/2035 81375WJG2 208,481 $209,077.39 0.01%
SFAVE COMMERCIAL MORTGAGE SECURITIES TRUST Series 2015-5AVE, Class A1, Variable rate, due 01/05/2043 78413MAA6 150,000 $160,692.21 0.01%
SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE, Class A2B, Variable rate, due 01/05/2043 78413MAE8 125,000 $134,565.33 0.01%
SLC Student Loan Trust Series 2006-2, Class A6, Variable rate, due 09/15/2039 784428AF1 130,000 $123,970.18 0.01%
SLM STUDENT LOAN TRUST Series 2003-10A, Class A3, Variable rate, due 12/15/2027 78442GJG2 161,805 $162,339.77 0.01%
SLM Student Loan Trust Series 2006-2, Class A6, Variable rate, due 01/25/2041 78442GRX6 213,207 $205,662.23 0.01%
SLM Student Loan Trust Series 2008-2, Class B, Variable rate, due 01/25/2083 784442AD7 130,000 $119,452.87 0.01%
SLM Student Loan Trust Series 2013-2, Class A, Variable rate, due 09/25/2043 78446CAA9 151,926 $150,476.12 0.01%
Soundview Home Equity Loan Trust Series 2006-2, Class M1, Variable rate, due 03/25/2036 83611MNH7 85,703 $85,984.36 0.01%
SPIRE INC 3.543%, due 02/27/2024 84857LAA9 200,000 $206,654.62 0.01%
SPRINT CORP 7.875%, due 09/15/2023 85207UAF2 128,000 $147,946.88 0.01%
TC PIPELINES LP 4.65%, due 06/15/2021 87233QAA6 145,000 $149,088.03 0.01%
TELEFLEX INC 4.625%, due 11/15/2027 879369AF3 180,000 $191,358.00 0.01%
TENET HEALTHCARE CORP 4.625%, due 07/15/2024 88033GCS7 101,000 $103,566.92 0.01%
TIME WARNER CABLE LLC 5.875%, due 11/15/2040 88732JAY4 150,000 $182,970.21 0.01%
TRANSOCEAN PONTUS LTD 6.125%, due 08/01/2025 89382PAA3 197,895 $206,303.57 0.01%
U.S. Treasury Bill, 0%, due 05/07/2020 912796TT6 145,000 $144,524.00 0.01%
USA COM PART/USA COM FIN 6.875%, due 04/01/2026 91740PAC2 125,000 $129,415.50 0.01%
VIRGIN MEDIA SECURED FINANCE 5.50%, due 05/15/2029 92769XAP0 200,000 $211,770.00 0.01%
Voya CLO Ltd Series 2014-3A, Class A1R, Variable rate, due 07/25/2026 92912QAG1 180,152 $180,132.43 0.01%
WALGREENS BOOTS ALLIANCE 3.80%, due 11/18/2024 931427AH1 150,000 $159,438.21 0.01%
WAMU Mortgage Pass-Through Certificates Series 2005-AR1, Class A2A1, Variable rate, due 01/25/2045 939336X65 145,241 $144,647.69 0.01%
WELLTOWER INC 4.50%, due 01/15/2024 42217KBC9 75,000 $81,606.04 0.01%
Bear Stearns Alt-A Trust Series 2004-6, Class 1A, Variable rate, due 07/25/2034 07386HJU6 36,642 $36,791.56 0.00%
CANADIAN NATL RESOURCES 3.85%, due 06/01/2027 136385AX9 20,000 $21,575.39 0.00%
CODELCO INC N/C, 4.50%, due 09/16/2025 P3143NAW4 64,000 $71,018.17 0.00%
CSC HOLDINGS LLC 6.50%, due 02/01/2029 126307AZ0 34,000 $38,444.65 0.00%
ENDEAVOR ENERGY RESOURCES 5.75%, due 01/30/2028 29260FAE0 33,000 $34,711.71 0.00%
Fannie Mae FN AN0550, 3.63%, due 02/01/2031 3138LCTG0 42,019 $47,392.79 0.00%
Fannie Mae FN MA2896, 3.50%, due 02/01/2047 31418CGE8 43,751 $45,809.96 0.00%
Freddie Mac FG G08838, 5%, due 09/01/2048 3128MJ4Y3 43,033 $46,354.19 0.00%
GOLDMAN SACHS GROUP INC Variable rate, due 09/29/2025 38141GWQ3 35,000 $36,819.20 0.00%
GRAPHIC PACKAGING INTL 4.875%, due 11/15/2022 38869PAL8 50,000 $52,765.60 0.00%
GULFPORT ENERGY CORP 6.375%, due 05/15/2025 402635AL0 7,000 $3,269.81 0.00%
LAMB WESTON HLD 4.625%, due 11/01/2024 513272AA2 20,000 $21,041.70 0.00%
MGM GROWTH/MGM FINANCE 5.625%, due 05/01/2024 55303XAC9 40,000 $44,033.40 0.00%
NGPL PIPECO LLC 4.375%, due 08/15/2022 62912XAE4 55,000 $57,289.41 0.00%
OI EUROPEAN GROUP BV 4%, due 03/15/2023 67777LAC7 51,000 $51,913.67 0.00%
PLAINS ALL AMER PIPELINE 4.65%, due 10/15/2025 72650RBJ0 50,000 $54,592.08 0.00%
RBSCF TRUST Series 2013-GSP, Class A, Variable rate, due 01/13/2032 74932QAA8 50,000 $53,139.11 0.00%
Residential Asset Securities Corp. Seroes 2006-KS4, Class A4, Variable rate, due 06/25/2036 75406EAD3 37,182 $37,274.64 0.00%
SBA COMMUNICATIONS CORP 4.875%, due 09/01/2024 78388JAV8 22,000 $22,834.13 0.00%
SLM Student Loan Trust Series 2007-6, Class A4, Variable rate, due 10/25/2024 78444CAD5 72,179 $72,257.99 0.00%
SLM Student Loan Trust Series 2007-7, Class B, Variable rate, due 10/27/2070 78444EAE9 80,000 $74,373.85 0.00%
Structured Adjustable Rate Mortgage Loan Trust Variable rate, due 09/25/2034 863579AP3 50,989 $52,235.33 0.00%
TRANSOCEAN PROTEUS LTD 6.25%, due 12/01/2024 893829AA9 17,500 $18,207.26 0.00%
Interest: Pay 47035000 USD, Receive 47035000 US0003M - 01/21/2026 43,005,000 ($679,930.41) -0.04%
US Dollar $USD -45,926,569 ($45,926,569.25) -3.01%
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.


 
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 advisors 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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