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First Trust Enhanced Short Maturity ETF (FTSM)
Holdings of the Fund as of 1/16/2020

Total Number of Holdings (excluding cash): 724

Security Name Identifier Shares / Quantity Market Value Weighting Descending sort
U.S. Treasury Note, 1.50%, due 06/15/2020 912828XU9 40,000,000 $39,981,250.00 0.80%
Towd Point Mortgage Trust Series 2015-5, Class A1B, Variable rate, due 05/25/2055 89171VAK3 32,152,407 $32,247,982.78 0.65%
U.S. Treasury Note, 1.50%, due 11/30/2021 912828YT1 30,000,000 $29,958,398.40 0.60%
U.S. Treasury Note, 1.125%, due 04/30/2020 912828VA5 28,900,000 $28,860,488.21 0.58%
VERIZON COMMUNICATIONS Variable rate, due 03/16/2022 92343VDX9 25,385,000 $25,829,585.02 0.52%
BPCE SA N/C, Variable rate, due 05/31/2022 05578DBD3 25,000,000 $25,320,769.00 0.51%
OSCAR US Funding Trust Series 2016-2A, Class A4, 2.99%, due 12/15/2023 68784UAE2 25,324,580 $25,460,706.81 0.51%
Towd Point Mortgage Trust Series 2015-6, Class A1B, Variable rate, due 04/25/2055 89172RAR6 25,331,451 $25,496,045.00 0.51%
Winwater Mortgage Loan Trust Series 2015-5, Class A5, Variable rate, due 08/20/2045 97654DAE6 25,307,908 $25,608,849.24 0.51%
BROADCOM INC 0%, due 01/21/2020 11135MAM8 25,000,000 $24,993,895.50 0.50%
BROADCOM INC 0%, due 02/06/2020 11135MB62 25,000,000 $24,969,224.25 0.50%
DOW CHEMICAL COMPANY 0%, due 03/30/2020 26055ACW4 25,000,000 $24,900,132.00 0.50%
ENI FINANCE USA INC 0%, due 02/13/2020 26876ABD4 25,000,000 $24,961,613.00 0.50%
MET TOWER GLOBAL FUNDING Variable rate, due 01/17/2023 58989VAA2 25,000,000 $25,047,596.25 0.50%
MORGAN STANLEY Variable rate, due 01/20/2023 6174468K8 25,000,000 $25,000,000.00 0.50%
SEMPRA GLOBAL 0%, due 01/21/2020 81685LAM7 25,000,000 $24,993,769.25 0.50%
TORONTO-DOMINION BANK N/C, Variable rate, due 07/30/2021 89114Q3V8 25,000,000 $25,000,432.50 0.50%
U.S. Treasury Note, Variable rate, due 10/31/2021 912828YN4 25,000,000 $25,057,872.00 0.50%
FHLMC Multifamily Structured Pass Through Certs. Series K715, Class A2, 2.856%, due 01/25/2021 3137BAHA3 24,405,313 $24,523,063.45 0.49%
OSCAR US Funding Trust Series 2019-2A, Class A2, 0%, due 08/10/2022 68784EAB4 24,500,000 $24,567,949.28 0.49%
ROYAL CARIBBEAN CRUISES 0%, due 01/27/2020 78015FAT2 24,600,000 $24,585,951.43 0.49%
FREMF Mortgage Trust Series 2012-K17, Class B, Variable rate, due 12/25/2044 30263SAE7 23,047,000 $23,857,641.35 0.48%
NBCUNIVERSAL ENTERPRISE N/C, Variable rate, due 04/01/2021 63946CAG3 22,810,000 $22,898,050.25 0.46%
TRANSCANADA PIPELINES 0%, due 02/10/2020 89355PBA5 22,500,000 $22,469,427.68 0.45%
CVS HEALTH CORP 2.80%, due 07/20/2020 126650CJ7 21,620,000 $21,703,237.65 0.44%
Mercedes-Benz Auto Lease Trust Series 2019-B, Class A2, 2.05%, due 12/15/2021 58769QAB7 22,000,000 $22,019,879.20 0.44%
ABBVIE INC 2.50%, due 05/14/2020 00287YAT6 20,806,000 $20,834,595.77 0.42%
JACKSON NATL LIFE GLOBAL N/C, Variable rate, due 01/06/2023 46849LTN1 20,600,000 $20,629,995.45 0.41%
ALLERGAN FUNDING SCS 3%, due 03/12/2020 00507UAP6 19,958,000 $19,971,104.22 0.40%
AMERICAN HONDA FINANCE Variable rate, due 05/10/2023 02665WDG3 20,000,000 $20,023,217.40 0.40%
AT&T INC N/C, Variable rate, due 07/15/2021 00206RDV1 19,600,000 $19,805,343.13 0.40%
BROADCOM INC 0%, due 03/05/2020 11135MC53 20,000,000 $19,939,962.40 0.40%
CREDIT AGRICOLE CIB N/C, Variable rate, due 05/03/2021 22533B2G9 20,000,000 $20,038,822.40 0.40%
ENTERGY CORP 0%, due 02/12/2020 29366EBC9 20,000,000 $19,970,880.60 0.40%
FORD MOTOR CREDIT CO 0%, due 04/01/2020 3454G0D13 20,000,000 $19,906,168.00 0.40%
MOTIVA ENTERPRISES LLC 0%, due 03/16/2020 61981FCG4 20,000,000 $19,931,138.60 0.40%
NEW YORK LIFE GLOBAL FDG N/C, Variable rate, due 01/21/2022 64952WDK6 20,000,000 $20,058,933.40 0.40%
PENTAIR FINANCE SARL 0%, due 01/17/2020 70962VAH3 20,000,000 $20,000,000.00 0.40%
PNC BANK NA Variable rate, due 12/09/2022 69353RFR4 20,000,000 $20,070,418.40 0.40%
PUBLIC SVC ENTERPRISE GP 0%, due 01/22/2020 74457LAN6 20,000,000 $19,994,052.40 0.40%
SOCIETE GENERALE NY N/C, Variable rate, due 08/19/2020 83369Y6J0 20,000,000 $20,022,801.80 0.40%
SVENSKA HANDELSBANKEN NY N/C, Variable rate, due 08/28/2020 86959RBU3 20,000,000 $20,017,030.00 0.40%
THE BOEING COMPANY 0%, due 02/26/2020 09702LBS3 20,000,000 $19,951,287.20 0.40%
UNITED TECHNOLOGIES CORP Variable rate, due 08/16/2021 913017CZ0 20,000,000 $20,003,747.40 0.40%
VIACOMCBS 0%, due 02/27/2020 92557KBT5 20,000,000 $19,955,547.20 0.40%
HSBC HOLDINGS PLC N/C, 3.40%, due 03/08/2021 404280AV1 19,000,000 $19,303,677.57 0.39%
HSBC HOLDINGS PLC Variable rate, due 05/18/2021 404280BQ1 19,262,000 $19,289,199.10 0.39%
MITSUBISHI UFJ FIN GRP N/C, Variable rate, due 07/26/2021 606822AX2 19,221,000 $19,323,757.00 0.39%
OSCAR US Funding Trust Series 2018-1A, Class A3, 3.23%, due 05/10/2022 68784CAD4 19,255,000 $19,394,714.28 0.39%
AERCAP IRELAND CAP LTD/A 4.25%, due 07/01/2020 00772BAN1 18,965,000 $19,139,773.47 0.38%
BAT INTL FINANCE PLC 0%, due 02/10/2020 05531MBA5 19,000,000 $18,973,692.04 0.38%
Securitized Term Auto Receivables Trust Series 2017-2A, Class A4, 2.289%, due 03/25/2022 81376NAE5 19,095,000 $19,130,402.13 0.38%
Verizon Owner Trust Series 2018-1A, Class A1A, 2.82%, due 09/20/2022 92349FAA1 18,932,000 $19,060,097.70 0.38%
BANK OF AMERICA CORP Variable rate, due 06/25/2022 06051GHJ1 18,560,000 $18,666,986.34 0.37%
MORGAN STANLEY Variable rate, due 02/10/2021 61744YAM0 18,224,000 $18,231,284.32 0.37%
Avis Budget Rental Car Funding Aesop LLC Series 2015-1A, Class A, 2.50%, due 07/20/2021 05377RBX1 17,800,000 $17,829,067.40 0.36%
BANK OF NOVA SCOTIA N/C, Variable rate, due 04/20/2021 064159LH7 17,867,000 $17,938,437.99 0.36%
BELLSOUTH LLC 4.266%, due 04/26/2020 079860AA0 18,000,000 $18,114,300.00 0.36%
DOMINION ENERGY GAS HLDG N/C, Variable rate, due 06/15/2021 257375AM7 18,010,000 $18,090,054.09 0.36%
VOLKSWAGEN GROUP AMERICA N/C, Variable rate, due 11/13/2020 928668AV4 17,370,000 $17,457,380.30 0.35%
CAPITAL ONE FINANCIAL CORP Variable rate, due 05/12/2020 14040HBQ7 17,000,000 $17,029,577.11 0.34%
REGENCY ENERGY PARTNERS 5.75%, due 09/01/2020 75886AAK4 16,199,000 $16,405,087.08 0.33%
ABN AMRO BANK NV N/C, Variable rate, due 01/19/2021 00084DAR1 16,095,000 $16,136,916.37 0.32%
ALLSTATE CORP N/C, Variable rate, due 03/29/2023 020002BF7 16,056,000 $16,180,445.08 0.32%
MORGAN STANLEY N/C, Variable rate, due 01/20/2022 61746BEE2 15,784,000 $15,933,869.72 0.32%
UBS GROUP FUNDING SWITZE N/C, Variable rate, due 02/01/2022 90351DAG2 15,681,000 $16,059,619.78 0.32%
WEC ENERGY GROUP INC 2.45%, due 06/15/2020 976657AK2 16,000,000 $16,014,563.84 0.32%
AMGEN INC Variable rate, due 05/11/2020 031162CN8 15,500,000 $15,519,960.59 0.31%
BAT CAPITAL CORP N/C, Variable rate, due 08/14/2020 05526DAT2 15,190,000 $15,224,587.33 0.31%
CITIGROUP INC Variable rate, due 04/25/2022 172967LH2 15,338,000 $15,567,511.70 0.31%
FHLMC Multifamily Structured Pass Through Certs. Series K720, Class A1, 2.316%, due 11/25/2021 3137BLUQ9 15,482,545 $15,543,126.97 0.31%
GENERAL MOTORS FINL CO N/C, Variable rate, due 04/13/2020 37045XBU9 15,588,000 $15,616,113.89 0.31%
JPMORGAN CHASE & CO Variable rate, due 03/09/2021 46647PAC0 15,470,000 $15,478,922.17 0.31%
AVIATION CAPITAL GROUP 0%, due 01/23/2020 05369BAP4 15,000,000 $14,994,574.05 0.30%
AVIATION CAPITAL GROUP 0%, due 01/28/2020 05369BAU3 15,000,000 $14,989,666.80 0.30%
BANK OF AMERICA NA Variable rate, due 07/26/2021 06050TMN9 15,000,000 $15,030,334.50 0.30%
BELL CANADA 0%, due 02/03/2020 07787PB31 15,000,000 $14,984,315.10 0.30%
BNP PARIBAS N/C, Variable rate, due 08/07/2021 05581KAE1 15,000,000 $15,040,614.30 0.30%
BOEING COMPANY 0%, due 03/04/2020 09702LC45 15,000,000 $14,958,696.75 0.30%
BRISTOL-MYERS SQUIBB CO 2.875%, due 08/15/2020 110122BC1 15,060,000 $15,140,217.24 0.30%
CATERPILLAR FINL SERVICE N/C, Variable rate, due 05/17/2021 14913Q2X6 15,000,000 $15,058,866.00 0.30%
CIGNA CORP 0%, due 01/30/2020 12553NAW5 14,750,000 $14,738,490.58 0.30%
CITIBANK NA Variable rate, due 05/20/2022 17325FAX6 15,000,000 $15,076,639.80 0.30%
CNPC FINANCE HK LTD 0%, due 01/23/2020 12623KAP2 15,000,000 $14,994,489.15 0.30%
CNPC FINANCE HK LTD 0%, due 02/18/2020 12623KBJ5 15,000,000 $14,968,870.95 0.30%
CNPC FINANCE HK LTD 0%, due 02/24/2020 12623KBQ9 15,000,000 $14,961,134.25 0.30%
COMCAST CORP N/C, Variable rate, due 10/01/2020 20030NCV1 14,980,000 $15,011,464.29 0.30%
DUPONT DE NEMOURS INC 0%, due 01/24/2020 26082MAQ0 15,000,000 $14,994,124.65 0.30%
DUPONT DE NEMOURS INC 0%, due 02/07/2020 26082MB71 15,000,000 $14,981,151.45 0.30%
DUPONT DE NEMOURS INC 0%, due 02/14/2020 26082MBE6 15,000,000 $14,974,868.70 0.30%
DUPONT DE NEMOURS INC 0%, due 03/09/2020 26082MC96 15,000,000 $14,959,479.15 0.30%
ENCANA CORP 0%, due 01/30/2020 29250AAW3 15,000,000 $14,987,518.50 0.30%
ENCANA CORP 0%, due 02/06/2020 29250AB69 15,000,000 $14,982,036.15 0.30%
ENEL FINANCE AMERICA LLC 0%, due 01/22/2020 29279GAN7 15,000,000 $14,995,327.80 0.30%
ENEL FINANCE AMERICA LLC 0%, due 02/20/2020 29279GBL0 15,000,000 $14,970,152.55 0.30%
ENERGY TRANSFER OPER LP 0%, due 01/17/2020 29277EAH7 15,000,000 $15,000,000.00 0.30%
ENTERGY CORP 0%, due 01/17/2020 29366EAH9 15,000,000 $15,000,000.00 0.30%
GENERAL ELECTRIC CO 0%, due 02/11/2020 36960LBB0 15,000,000 $14,978,251.65 0.30%
GENERAL MOTORS CO N/C, Variable rate, due 08/07/2020 37045VAM2 14,742,000 $14,770,905.53 0.30%
GLENCORE FUNDING LLC 0%, due 03/11/2020 37790ACB7 15,000,000 $14,957,006.70 0.30%
GLENCORE FUNDING LLC 0%, due 03/23/2020 37790ACP6 15,000,000 $14,947,744.50 0.30%
JABIL INC 0%, due 01/28/2020 46652LAU1 15,000,000 $14,990,006.55 0.30%
JABIL INC 0%, due 01/29/2020 46652LAV9 15,000,000 $14,989,098.00 0.30%
JABIL INC 0%, due 02/07/2020 46652LB71 15,000,000 $14,979,860.85 0.30%
JOHN DEERE CAPITAL CORP N/C, Variable rate, due 06/13/2022 24422EUZ0 15,000,000 $15,098,760.15 0.30%
Mercedes-Benz Auto Lease Trust Series 2019-B, Class A3, 2.03%, due 10/17/2022 58769QAC5 15,000,000 $15,020,028.00 0.30%
NORDEA BANK ABP NEW YORK N/C, Variable rate, due 11/19/2021 65558TQJ7 15,000,000 $15,028,180.80 0.30%
PUBLIC SVC ENTERPRISE GP 0%, due 01/29/2020 74457LAV8 15,000,000 $14,989,964.25 0.30%
ROYAL CARIBBEAN CRUISES 0%, due 03/04/2020 78015FC45 15,000,000 $14,961,812.55 0.30%
SMITHFIELD FOODS INC 0%, due 01/17/2020 83225LAH1 15,000,000 $15,000,000.00 0.30%
SMITHFIELD FOODS INC 0%, due 02/14/2020 83225LBE7 15,000,000 $14,975,498.55 0.30%
SOUTHERN POWER CO 0%, due 01/28/2020 84364TAU4 15,000,000 $14,989,990.80 0.30%
TELUS CORP 0%, due 01/22/2020 87974PAN3 15,000,000 $14,995,387.05 0.30%
TELUS CORP 0%, due 02/21/2020 87974PBM4 15,000,000 $14,970,887.40 0.30%
Towd Point Mortgage Trust Series 2017-2, Class A1, Variable rate, due 04/25/2057 89173HAA4 14,624,892 $14,750,408.83 0.30%
TOYOTA MOTOR CREDIT CORP N/C, Variable rate, due 10/07/2021 89236TGK5 15,000,000 $15,042,098.10 0.30%
UBS AG LONDON 2.20%, due 06/08/2020 902674XF2 15,000,000 $15,014,610.00 0.30%
WALGREENS BOOTS ALLIANCE 0%, due 02/25/2020 93142WBR3 15,000,000 $14,963,619.90 0.30%
AMERICAN EXPRESS CO Variable rate, due 05/20/2022 025816CE7 14,495,000 $14,608,965.34 0.29%
CANADIAN IMPERIAL BANK N/C, Variable rate, due 03/17/2023 13607GKW3 14,500,000 $14,557,602.70 0.29%
Canadian Pacer Auto Receivable Series 2019-1A, Class A2, 2.78%, due 03/21/2022 13646BAC2 14,226,907 $14,276,391.98 0.29%
Canadian Pacer Auto Receivables Trust Series 2018-1A, Class A3, 3%, due 11/19/2021 136451AD3 14,609,701 $14,658,038.50 0.29%
CONOCOPHILLIPS COMPANY Variable rate, due 05/15/2022 20826FAH9 14,003,000 $14,219,486.51 0.29%
DISCOVER BANK 3.10%, due 06/04/2020 25466AAG6 14,535,000 $14,583,931.92 0.29%
KEYCORP N/C, 2.90%, due 09/15/2020 49326EEF6 14,406,000 $14,498,854.45 0.29%
PROTECTIVE LIFE GLOBAL N/C, Variable rate, due 06/28/2021 74368CAL8 14,300,000 $14,367,955.32 0.29%
FHLMC Multifamily Structured Pass Through Certs. Series K013, Class A2, Variable rate, due 01/25/2021 3137AA4W0 13,725,000 $13,939,875.86 0.28%
JM SMUCKER CO 2.50%, due 03/15/2020 832696AF5 13,800,000 $13,789,280.57 0.28%
MITSUBISHI UFJ FIN GRP N/C, Variable rate, due 07/25/2022 606822AQ7 13,685,000 $13,799,278.51 0.28%
ENBRIDGE US INC 0%, due 01/31/2020 29251UAX6 13,500,000 $13,489,166.39 0.27%
FHLMC Multifamily Structured Pass Through Certs. Series K025, Class A1, 1.875%, due 04/25/2022 3137AYCD1 13,243,736 $13,228,067.68 0.27%
GENERAL ELECTRIC CO N/C, 4.375%, due 09/16/2020 36962G4R2 13,419,000 $13,613,665.80 0.27%
GENERAL MILLS INC N/C, Variable rate, due 04/16/2021 370334CB8 13,477,000 $13,534,377.91 0.27%
MARRIOTT INTERNATIONAL N/C, Variable rate, due 12/01/2020 571903AZ6 13,405,000 $13,443,527.71 0.27%
PENSKE TRUCK LEASING/PTL 3.20%, due 07/15/2020 709599AU8 13,551,000 $13,605,933.58 0.27%
ROYAL BANK OF CANADA N/C, Variable rate, due 04/30/2021 78013XKH0 13,445,000 $13,494,907.30 0.27%
ROYAL CARIBBEAN CRUISES 0%, due 02/04/2020 78015FB46 13,500,000 $13,485,801.78 0.27%
STARBUCKS CORP 0%, due 02/14/2020 8552M2BE2 13,500,000 $13,478,432.00 0.27%
THE WALT DISNEY COMPANY N/C, Variable rate, due 09/01/2022 254687FH4 13,450,000 $13,550,885.36 0.27%
Towd Point Mortgage Trust Series 2016-2, Class A1, Variable rate, due 08/25/2055 89172PAA7 13,475,412 $13,642,412.33 0.27%
CONAGRA BRANDS INC Variable rate, due 10/22/2020 205887BX9 13,000,000 $13,002,747.81 0.26%
ENCANA CORP 0%, due 03/04/2020 29250AC43 13,000,000 $12,962,640.60 0.26%
FLORIDA POWER & LIGHT CO Variable rate, due 05/06/2022 341081FW2 13,000,000 $13,000,865.94 0.26%
FORD MOTOR CREDIT CO 0%, due 04/02/2020 3454G0D21 13,000,000 $12,937,657.85 0.26%
Avis Budget Rental Car Funding Series 2015-2A, Class A, 2.63%, due 12/20/2021 05377RCA0 12,440,000 $12,491,130.89 0.25%
CONSTELLATION BRANDS INC 0%, due 02/28/2020 21037CBU9 12,500,000 $12,471,705.25 0.25%
ENTERPRISE PRODUCTS OPER 5.20%, due 09/01/2020 29379VAP8 11,977,000 $12,216,417.36 0.25%
Towd Point Mortgage Trust Series 2016-5, Class A1, Variable rate, due 10/25/2056 89173CAA5 12,373,990 $12,448,576.28 0.25%
TRANSCANADA PIPELINES 0%, due 01/28/2020 89355PAU2 12,500,000 $12,492,330.00 0.25%
VOLKSWAGEN INTL FIN NV 4%, due 08/12/2020 928670AB4 12,500,000 $12,627,932.38 0.25%
ABBVIE INC N/C, Variable rate, due 11/21/2022 00287YBN8 12,000,000 $12,087,372.36 0.24%
AUST & NZ BANKING GROUP N/C, Variable rate, due 05/17/2021 05252ADC2 12,090,000 $12,141,588.89 0.24%
BOSTON SCIENTIFIC CORP 0%, due 01/17/2020 10114AAH2 12,000,000 $12,000,000.00 0.24%
CRED SUIS GP FUN LTD N/C, 3.125%, due 12/10/2020 225433AK7 12,000,000 $12,130,649.28 0.24%
DANSKE BANK A/S N/C, 2.80%, due 03/10/2021 23636AAE1 11,915,000 $12,012,185.18 0.24%
MYLAN INC 0%, due 01/22/2020 62852LAN2 12,000,000 $11,996,498.16 0.24%
NORTHROP GRUMMAN CORP 2.08%, due 10/15/2020 666807BL5 11,914,000 $11,932,508.04 0.24%
O'REILLY AUTOMOTIVE INC 4.875%, due 01/14/2021 67103HAA5 11,644,000 $11,909,827.86 0.24%
REGIONS BANK Variable rate, due 04/01/2021 759187CC9 12,050,000 $12,068,225.39 0.24%
WELLS FARGO BANK NA Variable rate, due 10/22/2021 94988J5U7 12,087,000 $12,156,621.12 0.24%
BANK OF MONTREAL N/C, Variable rate, due 04/13/2021 06367T4X5 11,526,000 $11,576,469.82 0.23%
DOW CHEMICAL COMPANY 0%, due 03/31/2020 26055ACX2 11,500,000 $11,454,354.89 0.23%
JACKSON NATL LIFE GLOBAL N/C, Variable rate, due 06/11/2021 46849LTA9 11,510,000 $11,568,641.28 0.23%
PENTAIR FINANCE SARL 0%, due 02/03/2020 70962VB33 11,500,000 $11,488,697.92 0.23%
SUNTRUST BANK Variable rate, due 01/29/2021 86787EAU1 11,347,000 $11,348,680.72 0.23%
TYSON FOODS INC N/C, Variable rate, due 06/02/2020 902494BB8 11,484,000 $11,498,428.84 0.23%
UNITED TECHNOLOGIES CORP 4.50%, due 04/15/2020 913017BR9 11,470,000 $11,546,095.42 0.23%
AMERICAN EXPRESS CO Variable rate, due 11/05/2021 025816BZ1 11,000,000 $11,070,757.39 0.22%
AUTONATION INC 0%, due 01/24/2020 05330LAQ6 11,000,000 $10,995,935.94 0.22%
CIGNA CORP Variable rate, due 09/17/2021 125523AB6 11,000,000 $11,000,931.70 0.22%
CITIBANK NA Variable rate, due 02/12/2021 17325FAM0 10,760,000 $10,786,158.00 0.22%
CONSOLIDATED EDISON CO OF NY N/C, Variable rate, due 06/25/2021 209111FR9 11,000,000 $11,048,123.79 0.22%
CREDIT AGRICOLE CIB Variable rate, due 10/03/2021 22533AA98 10,715,000 $10,744,383.74 0.22%
ENI FINANCE USA INC 0%, due 01/23/2020 26876AAP8 11,191,000 $11,187,065.02 0.22%
Ford Credit Auto Lease Trust Series 2019-A, Class A2A, 2.84%, due 09/15/2021 34532FAB8 10,896,295 $10,934,987.59 0.22%
GENERAL ELECTRIC CO 0%, due 03/03/2020 36960LC37 11,000,000 $10,971,303.86 0.22%
KEURIG DR PEPPER INC 0%, due 02/05/2020 49271JB55 11,000,000 $10,987,788.35 0.22%
MITSUBISHI UFJ FIN GRP N/C, Variable rate, due 03/02/2023 606822AS3 10,991,000 $11,032,513.56 0.22%
MORGAN STANLEY N/C, Variable rate, due 04/21/2021 61746BEB8 11,000,000 $11,168,995.97 0.22%
FREMF MORTGAGE TRUST Series 2010-K8, Class B, Variable rate, due 09/25/2043 30261VAA0 10,411,000 $10,493,909.04 0.21%
GOLDMAN SACHS GROUP INC Variable rate, due 11/15/2021 38145GAF7 10,308,000 $10,389,583.70 0.21%
NEW YORK LIFE GLOBAL FDG N/C, Variable rate, due 07/12/2022 64952WDJ9 10,550,000 $10,599,203.72 0.21%
OCCIDENTAL PETROLEUM CORP 2.60%, due 08/13/2021 674599CU7 10,498,000 $10,575,096.37 0.21%
ZIMMER BIOMET HOLDINGS 2.70%, due 04/01/2020 98956PAK8 10,428,000 $10,436,950.04 0.21%
AVIATION CAPITAL GROUP 0%, due 01/31/2020 05369BAX7 10,000,000 $9,991,115.90 0.20%
BARCLAYS BANK PLC NY N/C, Variable rate, due 07/15/2020 06742TQA7 10,000,000 $10,001,677.30 0.20%
BAT INTL FINANCE PLC 0%, due 02/11/2020 05531MBB3 10,000,000 $9,984,689.50 0.20%
BMW US CAPITAL LLC N/C, Variable rate, due 04/12/2021 05565EAV7 10,000,000 $10,028,889.20 0.20%
BP CAPITAL MARKETS PLC N/C, Variable rate, due 11/24/2020 05565QDT2 10,000,000 $10,022,063.70 0.20%
CA IMPERIAL BK OF COMM Variable rate, due 08/27/2020 13608CHS4 10,000,000 $10,000,000.00 0.20%
CATERPILLAR FINL SERVICE N/C, Variable rate, due 09/07/2021 14913Q2P3 9,879,000 $9,902,580.48 0.20%
CNPC FINANCE HK LTD 0%, due 03/25/2020 12623KCR6 10,000,000 $9,957,665.20 0.20%
CNPC FINANCE HK LTD 0%, due 04/01/2020 12623KD12 10,000,000 $9,952,040.40 0.20%
CONSOLIDATED EDISON INC 2%, due 05/15/2021 209115AC8 10,000,000 $10,013,850.80 0.20%
COOPERAT RABOBANK UA/NY N/C, Variable rate, due 01/10/2022 21688AAK8 9,816,000 $9,924,950.83 0.20%
DAIMLER FINANCE NA LLC Variable rate, due 05/04/2020 233851DH4 10,000,000 $10,008,973.60 0.20%
ENBRIDGE US INC 0%, due 02/07/2020 29251UB72 10,000,000 $9,987,900.70 0.20%
ENCANA CORP 0%, due 03/10/2020 29250ACA9 10,000,000 $9,967,899.70 0.20%
ENCANA CORP 0%, due 03/11/2020 29250ACB7 10,000,000 $9,967,748.10 0.20%
ENI FINANCE USA INC 0%, due 01/29/2020 26876AAV5 10,000,000 $9,993,208.80 0.20%
EXXON MOBIL CORPORATION N/C, Variable rate, due 08/16/2022 30231GBA9 10,000,000 $10,067,566.10 0.20%
GENERAL ELECTRIC CO 0%, due 01/23/2020 36960LAP0 10,000,000 $9,996,448.90 0.20%
GENERAL MOTORS FINL CO 0%, due 02/04/2020 37046TB45 10,000,000 $9,990,298.40 0.20%
GLENCORE FUNDING LLC 0%, due 01/24/2020 37790AAQ6 10,000,000 $9,996,059.80 0.20%
GLENCORE FUNDING LLC 0%, due 03/06/2020 37790AC68 10,000,000 $9,973,991.70 0.20%
IBM CORP N/C, Variable rate, due 05/13/2021 459200KD2 10,000,000 $10,045,305.40 0.20%
JP MORGAN CHASE BANK NA N/C, Variable rate, due 04/26/2021 48125LRP9 10,000,000 $10,007,819.40 0.20%
MARRIOTT INTERNATIONAL 0%, due 02/05/2020 57163TB57 10,000,000 $9,989,211.90 0.20%
MCDONALD'S CORP N/C, Variable rate, due 10/28/2021 58013MFG4 10,000,000 $10,036,521.80 0.20%
MCKESSON CORP 0%, due 02/19/2020 58155KBK1 10,000,000 $9,980,258.70 0.20%
MET LIFE GLOB FUNDING I N/C, Variable rate, due 01/08/2021 59217GCM9 10,000,000 $10,016,662.20 0.20%
MPLX LP Variable rate, due 09/09/2022 55336VBH2 10,000,000 $10,043,903.60 0.20%
NATIONAL AUSTRALI BANK LTD Variable rate, due 05/20/2020 63254GLD5 10,000,000 $9,998,977.70 0.20%
PLAINS ALL AMER PIPELINE 0%, due 01/21/2020 72650WAM3 10,000,000 $9,997,777.30 0.20%
SHERWIN-WILLIAMS CO 0%, due 01/29/2020 82434TAV2 10,000,000 $9,993,330.70 0.20%
SUNCOR ENERGY INC 0%, due 03/10/2020 86723ACA8 10,000,000 $9,970,197.60 0.20%
SUNTRUST BANK Variable rate, due 05/17/2022 86787EBD8 10,000,000 $10,066,368.00 0.20%
TELUS CORP 0%, due 02/04/2020 87974PB44 10,000,000 $9,989,754.10 0.20%
TELUS CORP 0%, due 02/05/2020 87974PB51 10,000,000 $9,989,184.90 0.20%
VOLKSWAGEN GROUP AMERICA N/C, Variable rate, due 09/24/2021 928668AW2 10,000,000 $10,086,548.20 0.20%
VW CREDIT INC 0%, due 01/29/2020 91842JAV1 10,000,000 $9,993,305.80 0.20%
WELLS FARGO BANK NA Variable rate, due 05/21/2021 94988J5V5 10,000,000 $10,011,947.50 0.20%
ZOETIS INC 3.45%, due 11/13/2020 98978VAJ2 9,628,000 $9,725,845.90 0.20%
BANK OF MONTREAL N/C, 2.10%, due 06/15/2020 06367TYL8 9,535,000 $9,548,675.00 0.19%
BP CAP MARKETS AMERICA Variable rate, due 09/19/2022 10373QBD1 9,169,000 $9,234,802.89 0.19%
BRISTOL-MYERS SQUIBB CO N/C, Variable rate, due 11/16/2020 110122CE6 9,321,000 $9,335,029.22 0.19%
CHARLES SCHWAB CORP Variable rate, due 05/21/2021 808513AV7 9,480,000 $9,499,890.08 0.19%
CITIZENS BANK NA 2.25%, due 03/02/2020 17401QAG6 9,233,000 $9,234,841.79 0.19%
DOLLAR TREE INC Variable rate, due 04/17/2020 256746AE8 9,421,000 $9,422,060.24 0.19%
FHLMC Multifamily Structured Pass Through Certs. Series K027, Class A1, 1.785%, due 09/25/2022 3137B1UF7 9,323,823 $9,322,842.74 0.19%
Foursight Capital Automobile Receivables Trust Series 2019-1, Class A2, 2.87%, due 03/15/2023 35105RAB6 9,631,136 $9,652,018.01 0.19%
GNMA Series 2015-103, Class AB, 2%, due 01/16/2040 38379MET7 9,413,821 $9,419,328.51 0.19%
MIZUHO FINANCIAL GROUP N/C, Variable rate, due 09/13/2021 60687YAF6 9,200,000 $9,322,790.56 0.19%
SIEMENS FINANCIERINGSMAATSCHAPPIJ Variable rate, due 03/16/2022 82620KAQ6 9,200,000 $9,274,289.36 0.19%
TOYOTA MOTOR CREDIT CORP N/C, 1.80%, due 10/07/2021 89236TGJ8 9,677,000 $9,682,438.76 0.19%
WILLIAMS COMPANIES INC N/C, 5.25%, due 03/15/2020 96950FAD6 9,462,000 $9,506,744.09 0.19%
CITIBANK NA Variable rate, due 07/23/2021 17325FAR9 8,998,000 $9,041,085.40 0.18%
Dell Equipment Finance Trust Series 2019-1, Class A2, 2.78%, due 08/23/2021 24704BAC8 9,000,000 $9,050,279.40 0.18%
EXELON CORP 2.85%, due 06/15/2020 30161NAH4 8,950,000 $8,968,606.16 0.18%
Ford Credit Auto Lease Trust Series 2019-A, Class A3, 2.90%, due 05/15/2022 34532FAD4 9,000,000 $9,095,153.40 0.18%
GM Financial Automobile Leasing Trust Series 2019-2, Class A2A, 3.04%, due 06/21/2021 36257AAB7 9,065,014 $9,088,903.76 0.18%
OCCIDENTAL PETROLEUM CORP N/C, Variable rate, due 02/08/2021 674599CT0 9,080,000 $9,143,619.11 0.18%
ROYAL BANK OF CANADA N/C, Variable rate, due 04/29/2022 78013X6E3 9,000,000 $9,046,429.38 0.18%
SKANDINAVISKA ENSKILDA N/C, Variable rate, due 05/17/2021 83051GAH1 9,000,000 $9,027,270.00 0.18%
VERIZON COMMUNICATIONS N/C, Variable rate, due 05/22/2020 92343VDZ4 9,000,000 $9,016,675.29 0.18%
WASTE MANAGEMENT INC 4.75%, due 06/30/2020 94106LAW9 8,876,000 $8,988,144.53 0.18%
World Omni Automobile Lease Securitization Trust Series 2019-A, Class A2, 2.89%, due 11/15/2021 98162XAB1 8,814,780 $8,860,397.58 0.18%
BB&T CORPORATION Variable rate, due 02/01/2021 05531FBA0 8,661,000 $8,667,718.78 0.17%
CONSTELLATION BRANDS INC 0%, due 02/03/2020 21037CB39 8,600,000 $8,591,816.15 0.17%
FHLMC Multifamily Structured Pass Through Certs. Series K011, Class A2, Variable rate, due 11/25/2020 3137A7NU0 8,165,429 $8,275,168.72 0.17%
FREMF MORTGAGE TRUST Series 2014-K715, Class B, Variable rate, due 02/25/2046 30291XAE2 8,195,000 $8,308,646.62 0.17%
GM Financial Automobile Leasing Trust Series 2018-3, Class B, 3.48%, due 07/20/2022 36256GAF6 8,332,000 $8,438,974.55 0.17%
HP ENTERPRISE CO 3.60%, due 10/15/2020 42824CAG4 8,340,000 $8,416,861.52 0.17%
KINDER MORGAN ENER PART 6.50%, due 04/01/2020 28370TAA7 8,256,000 $8,328,662.71 0.17%
Nissan Auto Lease Trust Series 2018-A, Class A3, 2.05%, due 09/15/2021 65478BAD3 8,500,000 $8,576,114.95 0.17%
OSCAR US Funding Trust Series 2019-1A, Class A2, 3.10%, due 04/11/2022 68784YAB0 8,415,452 $8,462,459.71 0.17%
ROYAL CARIBBEAN CRUISES 0%, due 01/30/2020 78015FAW5 8,250,000 $8,243,714.00 0.17%
SANTANDER UK GROUP HLDGS N/C, 2.875%, due 10/16/2020 80281LAC9 8,512,000 $8,561,386.63 0.17%
STANDARD CHARTERED PLC Variable rate, due 09/10/2022 853254BR0 8,479,000 $8,561,755.04 0.17%
Verizon Owner Trust Series 2017-2A, Class A, 1.92%, due 12/20/2021 92348PAA0 8,581,723 $8,583,081.15 0.17%
WESTPAC BANKING CORP N/C, Variable rate, due 01/25/2021 961214DV2 8,261,000 $8,280,625.57 0.17%
AMERICAN EXPRESS CO Variable rate, due 10/30/2020 025816BQ1 8,111,000 $8,126,247.39 0.16%
AT&T INC N/C, Variable rate, due 06/01/2021 00206RFZ0 7,940,000 $7,993,968.26 0.16%
CNPC FINANCE HK LTD 0%, due 02/20/2020 12623KBL0 8,000,000 $7,982,223.52 0.16%
COMERICA BANK N/C, 2.50%, due 06/02/2020 200339DW6 8,000,000 $8,016,935.60 0.16%
FIFTH THIRD BANK Variable rate, due 07/26/2021 31677QBP3 7,725,000 $7,755,579.79 0.16%
GENERAL MOTORS FINL CO 2.65%, due 04/13/2020 37045XBV7 7,811,000 $7,821,510.64 0.16%
GENERAL MOTORS FINL CO N/C, Variable rate, due 11/06/2021 37045XCN4 8,000,000 $8,039,208.72 0.16%
GNMA Series 2017-17, Class MA, 1.75%, due 08/20/2040 38378DBA2 8,177,403 $8,132,593.79 0.16%
OSCAR US Funding Trust Series 2017-1A, Class A4, 3.30%, due 05/10/2024 687846AE5 7,810,000 $7,906,950.30 0.16%
PNC BANK NA N/C, Variable rate, due 05/19/2020 69353RFD5 7,750,000 $7,761,756.05 0.16%
AVIATION CAPITAL GROUP N/C, Variable rate, due 06/01/2021 05369AAG6 7,365,000 $7,399,239.01 0.15%
BAT CAPITAL CORP Variable rate, due 08/15/2022 05526DAX3 7,452,000 $7,492,587.09 0.15%
CONSTELLATION BRANDS INC Variable rate, due 11/15/2021 21036PBA5 7,689,000 $7,689,975.43 0.15%
GM Financial Automobile Leasing Trust Series 2019-1, Class A2A, 2.91%, due 04/20/2021 36256UAB4 7,456,863 $7,478,697.79 0.15%
GM Financial Automobile Leasing Trust Series 2019-1, Class A3, 2.98%, due 12/20/2021 36256UAD0 7,500,000 $7,573,466.25 0.15%
HARTFORD FINL SVCS GRP 5.50%, due 03/30/2020 416515AZ7 7,306,000 $7,356,788.39 0.15%
Mill City Mortgage Trust Series 2015-2, Class A2, Variable rate, due 09/25/2057 599808AC6 7,587,505 $7,676,108.40 0.15%
MOLEX ELECTRONICS TECH 2.878%, due 04/15/2020 60856BAA2 7,226,000 $7,234,553.06 0.15%
NEXTERA ENERGY CAPITAL N/C, 2.403%, due 09/01/2021 65339KAS9 7,425,000 $7,478,615.18 0.15%
PERNOD RICARD SA 5.75%, due 04/07/2021 714264AA6 7,012,000 $7,326,050.57 0.15%
PHILLIPS 66 N/C, Variable rate, due 02/26/2021 718546AS3 7,419,000 $7,419,407.75 0.15%
RYDER SYSTEM INC 2.875%, due 09/01/2020 78355HKA6 7,438,000 $7,470,520.72 0.15%
SOUTHERN POWER CO 2.375%, due 06/01/2020 843646AL4 7,686,000 $7,695,303.37 0.15%
TRANSCANADA PIPELINES 0%, due 01/27/2020 89355PAT5 7,500,000 $7,495,816.13 0.15%
ABN AMRO BANK NV N/C, Variable rate, due 08/27/2021 00084DAS9 7,158,000 $7,198,843.84 0.14%
BMW Vehicle Lease Trust Series 2018-1, Class A3, 3.26%, due 07/20/2021 05586CAC8 6,695,000 $6,755,226.21 0.14%
CAPITAL ONE NA 2.35%, due 01/31/2020 14042RFH9 7,000,000 $7,000,587.44 0.14%
CIGNA CORP N/C, Variable rate, due 03/17/2020 125523AA8 7,000,000 $7,002,968.84 0.14%
CNPC FINANCE HK LTD 0%, due 03/03/2020 12623KC39 7,000,000 $6,978,955.83 0.14%
COMMONWEALTH BANK AUST N/C, Variable rate, due 03/10/2022 2027A0JL4 7,000,000 $7,071,559.39 0.14%
DUKE ENERGY CORPORATION 0%, due 01/24/2020 26244HAQ6 7,000,000 $6,997,411.05 0.14%
ENCANA CORP 0%, due 03/05/2020 29250AC50 7,000,000 $6,979,454.09 0.14%
ENI FINANCE USA INC 0%, due 01/24/2020 26876AAQ6 7,000,000 $6,997,213.86 0.14%
ENI FINANCE USA INC 0%, due 04/09/2020 26876AD91 6,960,000 $6,927,892.41 0.14%
EOG RESOURCES INC 2.45%, due 04/01/2020 26875PAL5 7,000,000 $7,004,505.90 0.14%
GOLDMAN SACHS GROUP INC Variable rate, due 09/15/2020 38141GVQ4 7,000,000 $7,043,975.12 0.14%
IMPERIAL BRANDS FIN PLC 2.95%, due 07/21/2020 453140AD7 6,910,000 $6,932,953.50 0.14%
Mill City Mortgage Trust Sereis 2017-2, Class A1, Variable rate, due 07/25/2059 59980AAA5 6,995,887 $7,044,770.65 0.14%
OCCIDENTAL PETROLEUM CORP Variable rate, due 08/15/2022 674599CQ6 7,000,000 $7,039,377.17 0.14%
REGIONS BANK Variable rate, due 08/13/2021 759187CE5 7,000,000 $7,011,085.55 0.14%
SUNTRUST BANK Variable rate, due 10/26/2021 86787EAZ0 7,000,000 $7,013,582.94 0.14%
UBS AG LONDON Variable rate, due 06/08/2020 902674XE5 7,000,000 $7,011,413.50 0.14%
UBS AG LONDON Variable rate, due 12/01/2020 902674XJ4 6,800,000 $6,818,278.40 0.14%
VOLKSWAGEN GROUP AMERICA 2.50%, due 09/24/2021 928668AX0 7,000,000 $7,051,866.57 0.14%
WELLS FARGO BANK NA Variable rate, due 05/27/2022 94988J5W3 7,000,000 $7,036,957.76 0.14%
WESTPAC BANKING CORP N/C, Variable rate, due 01/13/2023 961214EK5 7,000,000 $7,007,204.26 0.14%
BANK OF AMERICA CORP Variable rate, due 01/23/2022 06051GGX1 6,239,000 $6,247,602.08 0.13%
BANK OF AMERICA CORP Variable rate, due 07/21/2021 06051GGP8 6,642,000 $6,655,935.05 0.13%
CITIZENS BANK NA N/C, Variable rate, due 05/26/2020 17401QAK7 6,425,000 $6,433,840.35 0.13%
CVS HEALTH CORP 3.35%, due 03/09/2021 126650DC1 6,391,000 $6,492,172.98 0.13%
DUPONT DE NEMOURS INC 0%, due 03/13/2020 26082MCD7 6,500,000 $6,481,089.29 0.13%
ENBRIDGE INC N/C, Variable rate, due 06/15/2020 29250NAP0 6,657,000 $6,669,205.95 0.13%
FREMF MORTGAGE TRUST Series 2011-K10, Class B, Variable rate, due 11/25/2049 30261YAL0 6,160,000 $6,257,053.27 0.13%
GOLDMAN SACHS GROUP INC Variable rate, due 04/23/2020 38148LAB2 6,500,000 $6,511,666.20 0.13%
HUNTINGTON NATIONAL BANK 2.375%, due 03/10/2020 446438RU9 6,710,000 $6,711,748.97 0.13%
OSCAR US Funding Trust Series 2017-2A, Class A3, 2.45%, due 12/10/2021 68784AAD8 6,670,030 $6,679,669.84 0.13%
SANTANDER UK GROUP HLDGS N/C, 3.125%, due 01/08/2021 80281LAD7 6,250,000 $6,312,372.38 0.13%
SHIRE ACQ INV IRELAND DA 2.40%, due 09/23/2021 82481LAB5 6,654,000 $6,692,011.98 0.13%
SPECTRA ENERGY PARTNERS N/C, Variable rate, due 06/05/2020 84756NAJ8 6,355,000 $6,369,288.84 0.13%
TD AMERITRADE HOLDING CO Variable rate, due 11/01/2021 87236YAG3 6,633,000 $6,652,628.71 0.13%
Towd Point Mortgage Trust Series 2016-2, Class A1A, Variable rate, due 08/25/2055 89172PAJ8 6,568,242 $6,630,119.10 0.13%
World Omni Automobile Lease Securitization Trust Series 2018-A, Class A4, 2.94%, due 05/15/2023 98161YAD6 6,405,000 $6,447,489.49 0.13%
AMERICAN EXPRESS CO Variable rate, due 05/17/2021 025816BV0 6,000,000 $6,027,296.10 0.12%
AMERICAN HONDA FINANCE N/C, Variable rate, due 06/16/2020 02665WCG4 6,000,000 $6,006,352.92 0.12%
BARCLAYS PLC N/C, 2.875%, due 06/08/2020 06738EAG0 6,000,000 $6,017,172.00 0.12%
BRISTOL-MYERS SQUIBB CO 2.55%, due 05/14/2021 110122BX5 5,855,000 $5,912,143.80 0.12%
BRISTOL-MYERS SQUIBB CO N/C, Variable rate, due 05/16/2022 110122CF3 6,000,000 $6,026,107.02 0.12%
CATERPILLAR FINL SERVICE N/C, Variable rate, due 03/15/2021 14913Q2H1 6,000,000 $6,010,003.14 0.12%
CRED SUIS GP FUN LTD N/C, 2.75%, due 03/26/2020 225433AD3 6,000,000 $6,009,476.76 0.12%
CVS HEALTH CORP N/C, Variable rate, due 03/09/2021 126650DD9 6,000,000 $6,035,898.84 0.12%
DAIMLER FINANCE NA LLC N/C, Variable rate, due 02/12/2021 233851DA9 5,730,000 $5,741,860.01 0.12%
DANSKE BANK A/S N/C, 2.20%, due 03/02/2020 23636AAK7 6,000,000 $6,000,793.08 0.12%
DNB BANK ASA N/C, Variable rate, due 12/02/2022 23329PAD2 6,000,000 $6,044,327.94 0.12%
DOWDUPONT INC N/C, Variable rate, due 11/15/2020 26078JAG5 5,934,000 $5,965,398.63 0.12%
DUKE ENERGY CORP N/C, Variable rate, due 03/11/2022 26441CBD6 5,900,000 $5,942,454.99 0.12%
GENERAL ELECTRIC CO 0%, due 01/21/2020 36960LAM7 6,000,000 $5,998,496.64 0.12%
GENERAL MOTORS FINL CO 3.20%, due 07/13/2020 37045XAY2 6,000,000 $6,031,135.50 0.12%
GOLDMAN SACHS GROUP INC 2.60%, due 04/23/2020 38148LAA4 6,000,000 $6,007,757.64 0.12%
HSBC HOLDINGS PLC Variable rate, due 09/11/2021 404280BV0 6,000,000 $6,015,267.78 0.12%
Hyundai Auto Lease Securitization Trust Series 2018-A, Class A3, 2.81%, due 04/15/2021 44935AAD7 5,808,635 $5,824,969.60 0.12%
LINCOLN NATIONAL CORP 6.25%, due 02/15/2020 534187AY5 6,000,000 $6,016,273.68 0.12%
LOCKHEED MARTIN CORP 2.50%, due 11/23/2020 539830BF5 6,150,000 $6,185,689.19 0.12%
MORGAN STANLEY N/C, 2.50%, due 04/21/2021 61746BEA0 6,000,000 $6,041,038.38 0.12%
UBS GROUP FUNDING (SWITZERLAND) AG N/C, Variable rate, due 04/14/2021 90351DAE7 6,000,000 $6,114,740.64 0.12%
UNITEDHEALTH GROUP INC N/C, Variable rate, due 06/15/2021 91324PDG4 6,156,000 $6,158,906.49 0.12%
World Omni Auto Receivables Trust Series 2019-A, Class A2, 3.02%, due 04/15/2022 98162YAB9 6,109,217 $6,141,847.88 0.12%
ABBVIE INC 2.15%, due 11/19/2021 00287YBG3 5,400,000 $5,418,602.24 0.11%
BMW FINANCE NV N/C, Variable rate, due 08/12/2022 05600LAD8 5,500,000 $5,545,936.99 0.11%
BOSTON PROPERTIES LP 4.125%, due 05/15/2021 10112RAS3 5,483,000 $5,611,418.71 0.11%
California Republic Auto Receivables Trust Series 2015-3, Class B, 2.70%, due 09/15/2021 13056JAE4 5,349,000 $5,352,630.36 0.11%
CREDIT SUISSE GROUP FUNDING LTD N/C, Variable rate, due 04/16/2021 225433AP6 5,500,000 $5,634,776.68 0.11%
Exeter Automobile Receivables Trust Series 2019-3A, Class A, 2.96%, due 10/17/2022 30167EAA3 5,366,435 $5,378,905.81 0.11%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K007, Class A2, 4.224%, due 03/25/2020 31398QHB6 5,469,775 $5,464,950.33 0.11%
GENERAL ELECTRIC CO N/C, 5.55%, due 05/04/2020 36962G2T0 5,665,000 $5,716,770.91 0.11%
JACKSON NATL LIFE GLOBAL N/C, Variable rate, due 04/27/2020 46849LSZ5 5,490,000 $5,494,940.84 0.11%
Mercedes-Benz Auto Lease Trust Series 2019-A, Class A2, 3.01%, due 02/16/2021 58772TAB6 5,603,982 $5,616,603.48 0.11%
Mill City Mortgage Trust Series 2017-1, Class A1, Variable rate, due 11/25/2058 59981HAA9 5,485,513 $5,516,936.64 0.11%
ABBVIE INC N/C, Variable rate, due 05/21/2021 00287YBT5 5,000,000 $5,006,978.15 0.10%
ABBVIE INC N/C, Variable rate, due 11/19/2021 00287YBJ7 5,000,000 $5,017,569.35 0.10%
ANZ NEW ZEALAND INTL/LDN N/C, 2.75%, due 01/22/2021 00182EBH1 5,000,000 $5,041,056.25 0.10%
BANK OF AMERICA CORP N/C, 2.625%, due 10/19/2020 06051GFT1 5,000,000 $5,029,012.05 0.10%
BANK OF AMERICA CORP N/C, Variable rate, due 04/19/2021 06051GFV6 5,000,000 $5,080,802.50 0.10%
BANK OF NY MELLON CORP Variable rate, due 06/04/2021 06405LAB7 5,000,000 $5,005,355.20 0.10%
BARCLAYS BANK PLC 2.65%, due 01/11/2021 06739FJJ1 5,110,000 $5,145,179.64 0.10%
BAYER US FINANCE II LLC Variable rate, due 06/25/2021 07274NAC7 5,000,000 $5,019,169.60 0.10%
CarMax Auto Owner Trust Series 2019-1, Class A2A, 3%, due 07/15/2022 14315NAH3 4,952,347 $4,976,349.89 0.10%
Carvana Auto Receivables Trust Series 2019-4A, Class A2, 2.20%, due 07/15/2022 14686YAC1 5,000,000 $5,001,535.50 0.10%
CITIGROUP INC Variable rate, due 11/04/2022 17308CC46 5,000,000 $5,017,208.20 0.10%
CITIGROUP INC Variable rate, due 11/04/2022 17308CC38 5,000,000 $5,030,508.75 0.10%
COOPERAT RABOBANK UA/NY N/C, Variable rate, due 04/26/2021 21688AAP7 5,200,000 $5,223,669.27 0.10%
CREDIT SUISSE NEW YORK N/C, 4.375%, due 08/05/2020 22546QAF4 5,000,000 $5,067,394.95 0.10%
DAIMLER FINANCE NA LLC 2.25%, due 03/02/2020 233851BR4 5,000,000 $5,001,964.00 0.10%
DAIMLER FINANCE NA LLC N/C, Variable rate, due 11/05/2021 233851DP6 5,000,000 $5,026,009.10 0.10%
DUKE ENERGY CORP N/C, Variable rate, due 05/14/2021 26441CBA2 5,000,000 $5,023,365.10 0.10%
ENTERPRISE PRODUCTS OPER 5.25%, due 01/31/2020 29379VAF0 5,225,000 $5,229,004.49 0.10%
Ford Credit Auto Lease Trust Series 2018-B, Class A3, 3.19%, due 12/15/2021 34531LAD2 4,780,000 $4,817,998.13 0.10%
GOLDMAN SACHS BANK USA Variable rate, due 05/24/2021 3814267X7 5,194,000 $5,197,657.77 0.10%
GOLDMAN SACHS GROUP INC Variable rate, due 04/26/2022 38141GWD2 5,000,000 $5,054,158.00 0.10%
GTE Auto Receivables Trust Series 2019-1, Class A2, 2.17%, due 12/15/2022 362303AC3 5,000,000 $5,001,085.00 0.10%
JP MORGAN CHASE BANK NA Variable rate, due 02/19/2021 48125LRS3 5,000,000 $5,004,067.50 0.10%
JP MORGAN CHASE BANK NA Variable rate, due 04/26/2021 48125LRN4 5,000,000 $5,015,257.70 0.10%
JPMORGAN CHASE & CO Variable rate, due 06/01/2021 46647PAG1 5,000,000 $5,010,814.90 0.10%
MET LIFE GLOB FUNDING I N/C, Variable rate, due 09/07/2020 59217GCQ0 5,000,000 $5,010,631.15 0.10%
MIZUHO FINANCIAL GROUP N/C, 2.632%, due 04/12/2021 60687YAB5 5,000,000 $5,043,465.80 0.10%
MPLX LP Variable rate, due 09/09/2021 55336VBG4 5,000,000 $5,018,692.30 0.10%
NATIONAL AUSTRALIA BANK N/C, Variable rate, due 12/13/2022 63254WAA8 5,000,000 $5,006,220.30 0.10%
NORDEA BANK ABP N/C, 2.50%, due 09/17/2020 65557CAR4 5,000,000 $5,018,610.10 0.10%
Securitized Term Auto Receivables Trust Series 2019-1A, Class A3, 2.986%, due 02/27/2023 81377DAC0 4,900,000 $4,961,773.32 0.10%
Sierra Receivables Funding Co. LLC Series 2016-3A, Class A, 2.43%, due 10/20/2033 82652YAA2 4,943,473 $4,938,025.46 0.10%
SKANDINAVISKA ENSKILDA N/C, 2.625%, due 11/17/2020 83051GAE8 4,800,000 $4,825,910.40 0.10%
SUMITOMO MITSUI FINL GRP N/C, Variable rate, due 07/14/2021 86562MAG5 5,000,000 $5,066,206.10 0.10%
THE WALT DISNEY COMPANY N/C, Variable rate, due 09/01/2021 254687FG6 5,000,000 $5,016,120.45 0.10%
TORONTO-DOMINION BANK N/C, Variable rate, due 09/17/2020 89114QC63 4,804,000 $4,810,374.33 0.10%
US BANK NA CINCINNATI Variable rate, due 07/24/2020 90331HNW9 5,000,000 $5,004,804.90 0.10%
WELLS FARGO & COMPANY N/C, 3%, due 01/22/2021 94974BFR6 5,000,000 $5,057,370.35 0.10%
WESTPAC BANKING CORP N/C, Variable rate, due 06/28/2022 961214DR1 5,000,000 $5,047,179.70 0.10%
World Omni Automobile Lease Securitization Trust Series 2018-B, Class A2A, 2.96%, due 06/15/2021 98162CAB7 4,821,566 $4,839,120.55 0.10%
AERCAP IRELAND CAP LTD/A 4.625%, due 10/30/2020 00772BAQ4 4,176,000 $4,258,488.41 0.09%
BMW US CAPITAL LLC N/C, Variable rate, due 08/13/2021 05565EBD6 4,400,000 $4,421,501.66 0.09%
DOMINION ENERGY INC 0%, due 01/27/2020 2574P0AT1 4,500,000 $4,497,497.10 0.09%
FHLMC Multifamily Structured Pass Through Certs. Series K716, Class A2, 3.13%, due 06/25/2021 3137BDDC7 4,290,000 $4,335,461.99 0.09%
FREMF Mortgage Trust Series 2010-K7, Class B, Variable rate, due 04/25/2020 30263DAJ9 4,400,000 $4,400,330.44 0.09%
GM Financial Automobile Leasing Trust Series 2018-3, Class A3, 3.18%, due 06/21/2021 36256GAD1 4,393,000 $4,416,347.92 0.09%
LAM RESEARCH CORP 2.75%, due 03/15/2020 512807AM0 4,301,000 $4,303,333.42 0.09%
MARATHON PETROLEUM CORP 3.40%, due 12/15/2020 56585AAL6 4,507,000 $4,556,481.81 0.09%
NEXTERA ENERGY CAPITAL Variable rate, due 02/25/2022 65339KBC3 4,520,000 $4,552,210.16 0.09%
NISSAN MOTOR ACCEPTANCE N/C, Variable rate, due 07/13/2020 654740AY5 4,619,000 $4,622,563.05 0.09%
SUMITOMO MITSUI BANKING N/C, Variable rate, due 01/17/2020 865622CK8 4,475,000 $4,475,000.00 0.09%
Towd Point Mortgage Trust Series 2016-3, Class A1, Variable rate, due 04/25/2056 89172YAA8 4,261,357 $4,273,889.22 0.09%
AIG GLOBAL FUNDING N/C, Variable rate, due 01/22/2021 00138CAJ7 4,100,000 $4,120,337.31 0.08%
AIR LEASE CORP 4.75%, due 03/01/2020 00912XAJ3 3,940,000 $3,951,384.63 0.08%
AMERICAN HONDA FINANCE N/C, Variable rate, due 01/08/2021 02665WCR0 3,800,000 $3,812,390.01 0.08%
BANK OF AMERICA CORP Variable rate, due 07/21/2021 06051GGN3 4,000,000 $4,009,979.36 0.08%
BANK OF MONTREAL N/C, Variable rate, due 06/15/2020 06367TYM6 3,750,000 $3,756,067.65 0.08%
CATERPILLAR FINL SERVICE N/C, Variable rate, due 03/08/2021 14913Q2Z1 3,750,000 $3,760,686.64 0.08%
DOMINION ENERGY GAS HLDG 2.80%, due 11/15/2020 257375AK1 4,103,000 $4,130,148.20 0.08%
EOG RESOURCES INC 4.40%, due 06/01/2020 26875PAE1 4,075,000 $4,111,789.38 0.08%
ERAC USA FINANCE LLC N/C, 5.25%, due 10/01/2020 26884TAA0 3,849,000 $3,938,549.14 0.08%
FREMF MORTGAGE TRUST Series 2011-K14, Class B, Variable rate, due 02/25/2047 30263BAL8 3,822,000 $3,946,498.21 0.08%
GENERAL ELECTRIC CO 0%, due 01/27/2020 36960LAT2 4,000,000 $3,997,633.28 0.08%
GM Financial Automobile Leasing Trust Series 2018-2, Class A3, 3.06%, due 06/21/2021 36255KAD3 4,014,306 $4,026,403.51 0.08%
HP ENTERPRISE CO N/C, Variable rate, due 03/12/2021 42824CBD0 3,905,000 $3,923,610.91 0.08%
Hyundai Auto Lease Securitization Trust Series 2019-A, Class A2, 2.92%, due 07/15/2021 448969AB1 4,064,957 $4,084,881.32 0.08%
JACKSON NATL LIFE GLOBAL N/C, Variable rate, due 10/15/2020 46849LTD3 3,750,000 $3,756,087.04 0.08%
NATIONAL BANK OF CANADA 2.20%, due 11/02/2020 63307A2G9 4,075,000 $4,085,353.19 0.08%
ROPER TECHNOLOGIES INC 3%, due 12/15/2020 776743AA4 3,900,000 $3,933,089.71 0.08%
SKANDINAVISKA ENSKILDA N/C, Variable rate, due 12/12/2022 83051GAL2 4,000,000 $4,018,829.16 0.08%
STANDARD CHARTERED PLC Variable rate, due 01/20/2023 853254BL3 3,765,000 $3,796,947.31 0.08%
SUMITOMO MITSUI FINL GRP N/C, Variable rate, due 01/11/2022 86562MAL4 4,139,000 $4,182,746.75 0.08%
SUMITOMO MITSUI FINL GRP N/C, Variable rate, due 10/19/2021 86562MAJ9 4,000,000 $4,056,377.57 0.08%
TOYOTA MOTOR CREDIT CORP N/C, Variable rate, due 04/13/2021 89236TEV3 4,000,000 $4,008,147.40 0.08%
VERIZON COMMUNICATIONS 4.6%, due 04/01/2021 92343VAX2 3,805,000 $3,928,554.36 0.08%
WELLS FARGO BANK NA Variable rate, due 07/23/2021 94988J5Q6 3,793,000 $3,798,809.74 0.08%
AMERICAN INTL GROUP 3.375%, due 08/15/2020 026874CX3 3,692,000 $3,723,115.62 0.07%
BECTON DICKINSON AND CO 2.404%, due 06/05/2020 075887BR9 3,341,000 $3,345,276.01 0.07%
BMW Vehicle Lease Trust Series 2017-2, Class A3, 2.07%, due 10/20/2020 05584PAD9 3,534,510 $3,539,194.41 0.07%
CAPITAL ONE NA Variable rate, due 08/08/2022 14042RHB0 3,385,000 $3,418,827.66 0.07%
CHEVRON CORP N/C, Variable rate, due 05/16/2021 166764BF6 3,500,000 $3,540,838.74 0.07%
Ford Credit Auto Lease Trust Series 2018-B, Class A2A, 2.93%, due 04/15/2021 34531LAB6 3,520,218 $3,524,879.25 0.07%
GM Financial Automobile Leasing Trust Series 2018-1, Class A3, 2.61%, due 01/20/2021 38014BAD1 3,280,244 $3,283,789.88 0.07%
KEY BANK NA N/C, Variable rate, due 11/22/2021 49327M2R4 3,300,000 $3,338,925.15 0.07%
Mill City Mortgage Trust Series 2016-1, Class A1, Variable rate, due 04/25/2057 59980TAA4 3,532,672 $3,543,842.14 0.07%
OSCAR US Funding Trust Series 2017-2A, Class A4, 2.76%, due 12/10/2024 68784AAE6 3,280,000 $3,309,468.77 0.07%
PHILLIPS 66 Variable rate, due 04/15/2020 718546AP9 3,250,000 $3,251,393.73 0.07%
SANTANDER UK PLC N/C, 2.125%, due 11/03/2020 80283LAP8 3,400,000 $3,405,419.50 0.07%
SVENSKA HANDELSBANKEN AB N/C, Variable rate, due 05/24/2021 86960BAU6 3,500,000 $3,515,643.32 0.07%
WALGREENS BOOTS ALLIANCE 0%, due 02/18/2020 93142WBJ1 3,400,000 $3,394,255.05 0.07%
AMERICAN EXPRESS CO N/C, Variable rate, due 08/03/2023 025816BX6 3,000,000 $3,028,644.51 0.06%
AMERICAN HONDA FINANCE N/C, Variable rate, due 06/11/2021 02665WDA6 3,000,000 $3,010,307.73 0.06%
AmeriCredit Automobile Receivables Trust Series 2015-3, Class D, 3.34%, due 08/08/2021 03065NAG0 2,940,342 $2,942,383.83 0.06%
AUST & NZ BANKING GROUP N/C, Variable rate, due 08/19/2020 05252ACU3 3,000,000 $3,008,230.12 0.06%
AUST & NZ BANKING GROUP Variable rate, due 06/01/2021 05252ACL3 3,000,000 $3,032,658.93 0.06%
BANK OF AMERICA NA Variable rate, due 05/24/2021 06050TML3 3,000,000 $3,003,364.59 0.06%
CAPITAL ONE FINANCIAL CO 3.45%, due 04/30/2021 14040HBY0 2,905,000 $2,957,063.29 0.06%
CAPITAL ONE FINANCIAL CORP Variable rate, due 10/30/2020 14040HBS3 2,870,000 $2,876,808.87 0.06%
CITIBANK NA N/C, Variable rate, due 10/20/2020 17325FAK4 3,000,000 $3,004,361.61 0.06%
CREDIT AGRICOLE LONDON N/C, Variable rate, due 07/01/2021 22532LAS3 3,000,000 $3,040,689.63 0.06%
DNB BANK ASA N/C, 2.125%, due 10/02/2020 23329PAC4 2,770,000 $2,774,917.53 0.06%
DUKE ENERGY FLORIDA LLC N/C, Variable rate, due 11/26/2021 26444HAG6 3,000,000 $3,003,652.35 0.06%
ENTERPRISE PRODUCTS OPER 2.80%, due 02/15/2021 29379VBP7 3,000,000 $3,029,961.03 0.06%
FREDDIE MAC Series 2783, Class YB, 5%, due 04/15/2024 31394X5K8 2,851,341 $2,966,139.26 0.06%
FREDDIE MAC Series 3737, Class DA, 2%, due 12/15/2039 3137GATY3 3,124,842 $3,120,774.56 0.06%
GATX CORP N/C, Variable rate, due 11/05/2021 361448BB8 3,200,000 $3,214,275.36 0.06%
GENERAL MOTORS FINL CO N/C, Variable rate, due 11/06/2020 37045XCC8 3,000,000 $3,002,263.08 0.06%
GM Financial Securitized Term Auto Receivables Tr. Series 2017-1A, Class A3, 1.78%, due 10/18/2021 36254AAD6 3,135,188 $3,134,496.43 0.06%
GNMA Series 2018-89, Class A, 3.50%, due 06/20/2039 38380XKW6 2,822,557 $2,852,605.01 0.06%
HSBC HOLDINGS PLC N/C, 5.10%, due 04/05/2021 404280AK5 3,000,000 $3,113,044.50 0.06%
Hyundai Auto Lease Securitization Trust Series 2018-B, Class A2, 3.08%, due 12/15/2020 44935QAB6 3,221,561 $3,224,673.20 0.06%
ING GROEP NV N/C, Variable rate, due 03/29/2022 456837AJ2 2,980,000 $3,026,668.06 0.06%
JPMORGAN CHASE & CO Variable rate, due 06/18/2022 46647PAT3 3,000,000 $3,015,804.78 0.06%
KINDER MORGAN ENER PART 5.30%, due 09/15/2020 494550BE5 2,795,000 $2,853,007.01 0.06%
NISSAN MOTOR ACCEPTANCE N/C, Variable rate, due 09/28/2022 654740BE8 3,000,000 $2,999,486.58 0.06%
NORDEA BANK AB N/C, Variable rate, due 05/29/2020 65557CAW3 3,000,000 $3,005,540.55 0.06%
PRINCIPAL LFE GLB FND II N/C, 2.20%, due 04/08/2020 74256LAQ2 2,900,000 $2,902,236.86 0.06%
Securitized Term Auto Receivables Trust Series 2018-2A, Class A2A, 3.11%, due 02/25/2021 81378TAB6 2,864,373 $2,867,934.00 0.06%
SUMITOMO MITSUI FINL GRP N/C, Variable rate, due 03/09/2021 86562MAD2 2,712,000 $2,757,222.12 0.06%
Towd Point Mortgage Trust Series 2016-1, Class A1B, Variable rate, due 02/25/2055 89172EAU8 2,837,917 $2,853,291.54 0.06%
Verizon Owner Trust Series 2017-1A, Class A, 2.06%, due 09/20/2021 92348NAA5 3,170,643 $3,171,306.77 0.06%
WELLS FARGO & COMPANY Variable rate, due 02/11/2022 949746SP7 3,000,000 $3,021,931.86 0.06%
ANZ NEW ZEALAND INTL/LDN N/C, Variable rate, due 01/25/2022 00182EBD0 2,500,000 $2,533,466.38 0.05%
California Republic Auto Receivables Trust Series 2016-2, Class A4, 1.83%, due 12/15/2021 13057YAD2 2,247,645 $2,246,527.73 0.05%
CHEVRON CORP N/C, Variable rate, due 03/03/2022 166764BM1 2,235,000 $2,252,060.45 0.05%
CREDIT SUISSE NEW YORK N/C, 2.10%, due 11/12/2021 22550L2A8 2,500,000 $2,510,539.95 0.05%
EXPRESS SCRIPTS HOLDING Variable rate, due 11/30/2020 30219GAS7 2,500,000 $2,500,447.83 0.05%
JP MORGAN CHASE BANK NA Variable rate, due 02/01/2021 48125LRL8 2,562,000 $2,562,556.26 0.05%
JPMORGAN CHASE & CO Variable rate, due 06/18/2022 46647PAS5 2,500,000 $2,550,894.53 0.05%
NATIONSTAR HOME EQUITY LOAN TR Series 2006-B, Class AV4, Variable rate, due 09/25/2036 63860FAD5 2,331,447 $2,322,924.89 0.05%
NISSAN MOTOR ACCEPTANCE N/C, Variable rate, due 09/28/2020 654740BC2 2,700,000 $2,703,078.06 0.05%
OSCAR US Funding Trust Series 2017-1A, Class A3, 2.82%, due 06/10/2021 687846AD7 2,490,553 $2,493,264.87 0.05%
REYNOLDS AMERICAN INC 3.25%, due 06/12/2020 761713BE5 2,373,000 $2,384,531.97 0.05%
Towd Point Mortgage Trust Series 2015-3, Class A1B, Variable rate, due 03/25/2054 89172HAK3 2,319,343 $2,331,636.21 0.05%
ALLERGAN FUNDING SCS N/C, Variable rate, due 03/12/2020 00507UAQ4 2,000,000 $2,002,907.06 0.04%
ANZ NEW ZEALAND INTL/LDN N/C, 2.85%, due 08/06/2020 00182EAX7 2,000,000 $2,010,339.20 0.04%
APPALACHIAN POWER CO 4.60%, due 03/30/2021 037735CR6 2,080,000 $2,128,589.76 0.04%
AT&T INC N/C, Variable rate, due 06/30/2020 00206RCK6 2,000,000 $2,006,850.48 0.04%
BANK OF MONTREAL N/C, Variable rate, due 08/27/2021 06367TJY7 2,000,000 $2,021,003.26 0.04%
BARCLAYS BANK PLC Variable rate, due 01/11/2021 06739FJK8 1,770,000 $1,772,030.33 0.04%
BMW Vehicle Owner Trust Series 2018-A, Class A3, 2.35%, due 04/25/2022 09659QAD9 2,084,668 $2,089,929.74 0.04%
BP CAPITAL MARKETS PLC N/C, Variable rate, due 09/16/2021 05565QDE5 2,000,000 $2,022,680.46 0.04%
Canadian Pacer Auto Receivable Series 2018-2A, Class A2A, 3.237%, due 06/21/2021 13646AAB6 1,861,818 $1,865,541.81 0.04%
Canadian Pacer Auto Receivables Trust Series 2017-1A, Class A4, 2.286%, due 01/19/2022 136452AE9 1,895,000 $1,897,814.46 0.04%
CarMax Auto Owner Trust Series 2017-1, Class A3, 1.98%, due 11/15/2021 14314JAC4 1,939,600 $1,940,393.99 0.04%
CATERPILLAR FINL SERVICE N/C, Variable rate, due 08/26/2020 14913Q2U2 2,000,000 $2,002,694.06 0.04%
CHEVRON PHILLIPS CHEM CO N/C, Variable rate, due 05/01/2020 166754AN1 2,000,000 $2,003,127.94 0.04%
CITIGROUP INC Variable rate, due 12/08/2021 172967LB5 2,000,000 $2,028,680.80 0.04%
CITIZENS BANK NA 2.25%, due 10/30/2020 17401QAN1 2,013,000 $2,017,767.09 0.04%
Countrywide Asset-Backed Certificates Series 2004-SD4, Class M1, Variable rate, due 12/25/2034 126673SE3 2,103,032 $2,112,508.21 0.04%
DAIMLER FINANCE NA LLC N/C, Variable rate, due 02/15/2022 233851DV3 2,000,000 $2,019,070.10 0.04%
ELEMENT RAIL LEASING LLC Series 2014-1A, Class A1, 2.299%, due 04/19/2044 28618WAA2 1,890,230 $1,891,970.41 0.04%
FANNIE MAE Series 2012-103, Class LE, 1.75%, due 05/25/2039 3136A8YT1 2,191,625 $2,186,348.86 0.04%
FANNIE MAE Series 2013-1, Class KC, 2%, due 07/25/2040 3136ABB77 1,877,261 $1,876,702.37 0.04%
FHLMC Multifamily Structured Pass Through Certs. Series K029, Class A1, 2.839%, due 10/25/2022 3137B36H6 2,049,737 $2,074,700.81 0.04%
FREDDIE MAC Series 2723, Class KN, 5%, due 12/15/2023 31394MU65 1,966,713 $2,042,611.36 0.04%
FREDDIE MAC Series 4199, Class YV, 3.50%, due 05/15/2026 3137B2BC3 1,971,143 $2,017,647.05 0.04%
Honda Auto Receivables Owner Trust Series 2018-3, Class A2, 2.67%, due 12/22/2020 43815HAB3 2,015,388 $2,016,565.76 0.04%
HONEYWELL INTERNATIONAL N/C, Variable rate, due 08/08/2022 438516BV7 2,000,000 $2,012,851.26 0.04%
HSBC HOLDINGS PLC N/C, Variable rate, due 03/08/2021 404280AX7 2,000,000 $2,045,901.60 0.04%
KINDER MORGAN ENER PART 6.85% Senior Notes due 02/15/2020 494550BB1 2,000,000 $2,006,045.62 0.04%
MARRIOTT INTERNATIONAL N/C, Variable rate, due 03/08/2021 571900BA6 1,850,000 $1,858,738.66 0.04%
MET LIFE GLOB FUNDING I N/C, Variable rate, due 01/13/2023 59217GEF2 2,000,000 $2,005,658.38 0.04%
NATWEST MARKETS PLC N/C, Variable rate, due 09/29/2022 63906AAB6 2,175,000 $2,208,752.82 0.04%
NEW YORK LIFE GLOBAL FDG N/C, Variable rate, due 01/28/2021 64952WDE0 2,000,000 $2,004,099.46 0.04%
OSCAR US Funding Trust Series 2018-2A, Class A3, 3.39%, due 09/12/2022 68784XAD8 2,115,000 $2,138,797.98 0.04%
PACCAR FINANCIAL CORP N/C, Variable rate, due 05/10/2021 69371RP34 2,000,000 $2,002,921.10 0.04%
ROYAL BANK OF CANADA N/C, Variable rate, due 01/17/2023 78015K7E8 1,875,000 $1,875,447.24 0.04%
Sequoia Mortgage Trust Series 2015-1, Class A6, Variable rate, due 01/25/2045 81745QAF9 1,943,551 $1,942,251.30 0.04%
SUMITOMO MITSUI BANKING N/C, Variable rate, due 10/16/2020 865622CN2 2,000,000 $2,004,128.82 0.04%
Towd Point Mortgage Trust Series 2015-4, Class A1, Variable rate, due 04/25/2055 89171UAA7 1,766,304 $1,780,554.49 0.04%
Towd Point Mortgage Trust Series 2015-4, Class A1B, Variable rate, due 04/25/2055 89171UAU3 1,973,104 $1,977,952.67 0.04%
Toyota Auto Receivables Owner Trust Series 2018-C, Class A2A, 2.99%, due 08/16/2021 89231AAB7 2,202,079 $2,207,791.27 0.04%
US BANK NA CINCINNATI Variable rate, due 04/26/2021 90331HNQ2 2,000,000 $2,005,732.22 0.04%
VULCAN MATERIALS CO N/C, Variable rate, due 06/15/2020 929160AU3 2,000,000 $2,002,141.52 0.04%
California Republic Auto Receivbles Trust Series 2017-1, Class A4, 2.28%, due 06/15/2022 13057DAD8 1,288,806 $1,290,183.76 0.03%
Canadian Pacer Auto Receivable Series 2017-1A, Class A3, 2.05%, due 03/19/2021 136452AD1 1,684,786 $1,685,100.67 0.03%
Chrysler Capital Auto Receivables Trust Series 2016-AA, Class C, 3.25%, due 06/15/2022 17120CAF9 1,427,290 $1,428,593.56 0.03%
CITIZENS BANK NA/RI 2.55%, due 05/13/2021 17401QAE1 1,500,000 $1,511,144.34 0.03%
CREDIT AGRICOLE LONDON N/C, Variable rate, due 06/10/2020 225313AH8 1,400,000 $1,405,862.85 0.03%
CVS HEALTH CORP N/C, Variable rate, due 03/09/2020 126650DB3 1,558,000 $1,559,149.93 0.03%
DAIMLER FINANCE NA LLC N/C, Variable rate, due 05/05/2020 233851CX0 1,500,000 $1,501,989.24 0.03%
Exeter Automobile Receivables Trust Series 2019-1A, Class A, 3.20%, due 04/15/2022 30167DAA5 1,616,209 $1,620,154.07 0.03%
FISERV INC 2.70%, due 06/01/2020 337738AN8 1,700,000 $1,703,317.75 0.03%
GSAA Home Equity Trust Series 2005-MTR1, Class A4, Variable rate, due 10/25/2035 362341UC1 1,260,928 $1,274,269.87 0.03%
HARRIS CORPORATION N/C, Variable rate, due 04/30/2020 413875AU9 1,300,000 $1,300,870.01 0.03%
KINDER MORGAN INC 6.50%, due 09/15/2020 28336LBV0 1,424,000 $1,464,977.64 0.03%
Merrill Lynch Mortgage Investors Trust Series 2005-A6, Class 2A3, Variable rate, due 08/25/2035 59020UZJ7 1,589,906 $1,603,545.78 0.03%
MITSUBISHI UFJ FIN GRP N/C, Variable rate, due 02/22/2022 606822AK0 1,500,000 $1,515,107.55 0.03%
Securitized Term Auto Receivables Trust Series 2017-1A, Class A4, 2.209%, due 06/25/2021 81379JAE1 1,307,091 $1,307,980.78 0.03%
Securitized Term Auto Receivables Trust Series 2017-2A, Class A3, 2.04%, due 04/26/2021 81376NAD7 1,253,576 $1,253,819.97 0.03%
Securitized Term Auto Receivables Trust Series 2018-1A, Class A3, 3.068%, due 01/25/2022 81376QAD0 1,650,000 $1,659,828.06 0.03%
WELLS FARGO & COMPANY N/C, 2.15%, due 01/30/2020 94974BGF1 1,735,000 $1,735,122.77 0.03%
ALLSTATE CORP N/C, Variable rate, due 03/29/2021 020002BE0 1,000,000 $1,003,590.26 0.02%
AUST & NZ BANKING GROUP N/C, Variable rate, due 11/21/2022 05252ADE8 1,000,000 $1,005,040.15 0.02%
Avis Budget Rental Car Funding Series 2014-2A, Class A, 2.50%, due 02/20/2021 05377RBV5 1,000,000 $1,000,157.42 0.02%
BANK OF MONTREAL N/C, Variable rate, due 07/13/2020 06367T7J3 1,222,000 $1,223,804.77 0.02%
BB&T CORPORATION N/C, Variable rate, due 06/15/2020 05531FAW3 1,031,000 $1,033,085.53 0.02%
CarMax Auto Owner Trust Series 2017-3, Class A3, 1.97%, due 04/15/2022 14314WAD3 1,219,563 $1,220,279.55 0.02%
CITIGROUP INC N/C, Variable rate, due 08/02/2021 172967KW0 1,000,000 $1,013,971.26 0.02%
CITIZENS BANK NA Variable rate, due 03/02/2020 17401QAH4 1,000,000 $1,000,467.36 0.02%
COLT Funding LLC Series 2018-1, Class A1, Variable rate, due 02/25/2048 19687UAA1 963,423 $966,542.12 0.02%
CRED SUIS GP FUN LTD N/C, 3.45%, due 04/16/2021 225433AM3 1,125,000 $1,144,447.09 0.02%
DANSKE BANK A/S N/C, Variable rate, due 03/02/2020 23636AAL5 1,200,000 $1,200,447.24 0.02%
DEUTSCHE TELEKOM INT FIN N/C, Variable rate, due 01/17/2020 25156PAX1 1,000,000 $1,000,000.00 0.02%
Fannie Mae FN BM1299, 5%, due 03/01/2027 3140J5NR6 759,365 $804,660.80 0.02%
FANNIE MAE Series 2003-48, Class TC, 5%, due 06/25/2023 31393CMC4 1,081,651 $1,121,935.26 0.02%
Ford Credit Auto Lease Trust Series 2018-A, Class A4, 3.05%, due 08/15/2021 34531JAE5 850,000 $854,700.84 0.02%
GM Financial Automobile Leasing Trust Series 2017-2, Class A4, 2.18%, due 06/21/2021 38013MAE6 956,899 $956,960.45 0.02%
GM Financial Automobile Leasing Trust Series 2017-2, Class B, 2.43%, due 06/21/2021 38013MAF3 1,162,000 $1,162,489.44 0.02%
Hyundai Auto Lease Securitization Trust Series 2018-B, Class A4, 3.20%, due 06/15/2022 44935QAE0 1,100,000 $1,112,188.99 0.02%
NCUA Guaranteed Notes Series 2010-R1, Class 1A, Variable rate, due 10/07/2020 62888VAA6 753,163 $754,537.59 0.02%
New Century Home Equity Loan Trust Series 2005-2, Class M2, Variable rate, due 06/25/2035 64352VKU4 1,050,735 $1,053,646.81 0.02%
Nomura Home Equity Loan Inc Series 2005-HE1, Class M3, Variable rate, due 09/25/2035 65536HBE7 930,868 $934,216.24 0.02%
PIONEER NATURAL RESOURCES 3.45%, due 01/15/2021 723787AL1 1,012,000 $1,024,758.92 0.02%
ROYAL BANK OF CANADA N/C, Variable rate, due 01/25/2021 78013XX29 1,042,000 $1,045,401.72 0.02%
SKANDINAVISKA ENSKILDA N/C, 2.625%, due 03/15/2021 830505AR4 1,000,000 $1,009,012.92 0.02%
SOCIETE GENERALE N/C, Variable rate, due 04/08/2021 83368RAH5 1,000,000 $1,012,773.78 0.02%
Towd Point Mortgage Trust Series 2015-1, Class AES, Variable rate, due 10/25/2053 89171DBF3 1,188,201 $1,197,338.77 0.02%
TYCO ELECTRONICS GROUP S N/C, Variable rate, due 06/05/2020 902133AV9 1,000,000 $1,001,026.98 0.02%
UNITEDHEALTH GROUP INC N/C, Variable rate, due 10/15/2020 91324PDB5 1,000,000 $1,000,294.46 0.02%
Verizon Owner Trust Series 2016-2A, Class A, 1.68%, due 05/20/2021 92348MAA7 754,994 $754,979.12 0.02%
WESTERN MIDSTREAM OPERATING Variable rate, due 01/13/2023 958667AD9 1,000,000 $1,001,068.76 0.02%
BPCE SA N/C, 3.145%, due 07/31/2020 05578AAL2 380,000 $382,457.68 0.01%
BRANCH BANKING & TRUST Variable rate, due 06/01/2020 07330NAS4 260,000 $260,164.40 0.01%
California Republic Auto Receivables Trust Series 2015-3, Class A4, 2.13%, due 05/17/2021 13056JAD6 293,770 $293,769.54 0.01%
California Republic Auto Receivables Trust Series 2016-1, Class A4, 2.24%, due 10/15/2021 13057BAD2 580,660 $580,898.85 0.01%
CarMax Auto Owner Trust 1.39%, due 05/17/2021 14314EAC5 583,124 $583,421.41 0.01%
CarMax Auto Owner Trust Series 2018-4, Class A2A, 3.11%, due 02/15/2022 14315EAB6 371,894 $373,846.82 0.01%
Countrywide Asset-Backed Certificates Series 2005-BC3, Class M3, Variable rate, due 06/25/2035 1266733E0 375,242 $376,600.06 0.01%
CREDIT AGRICOLE LONDON N/C, 2.75%, due 06/10/2020 225313AG0 500,000 $501,512.56 0.01%
DANSKE BANK A/S Variable rate, due 09/20/2022 23636AAU5 500,000 $503,983.26 0.01%
Fannie Mae FN 901931, 6%, due 10/01/2021 31411AA88 351,092 $357,487.27 0.01%
Fannie Mae FN AL5764, 5%, due 09/01/2025 3138ENMN6 278,416 $295,023.15 0.01%
Fannie Mae FN AL6798, 5%, due 09/01/2025 3138EPRU0 303,734 $321,852.06 0.01%
Fannie Mae FN MA1030, 3%, due 04/01/2022 31418AEC8 501,874 $515,387.42 0.01%
FANNIE MAE Series 2006-60, Class DF, Variable rate, due 04/25/2035 31395NTB3 622,297 $622,863.03 0.01%
FANNIE MAE Series 2009-71, Class BA, 4%, due 08/25/2024 31398FAW1 320,856 $322,843.16 0.01%
FANNIE MAE Series 2010-99, Class UK, 3%, due 10/25/2038 31398T4S7 606,019 $606,525.35 0.01%
FANNIE MAE Series 2012-20, Class AB, 2.50%, due 07/25/2039 3136A4GR4 583,387 $584,399.70 0.01%
Fannie Mae Serues 2013-71, Class AC, 2%, due 03/25/2038 3136AE4K0 681,039 $680,008.60 0.01%
Freddie Mac FG G15435, 5%, due 11/01/2024 3128MEHL8 436,381 $462,579.10 0.01%
FREDDIE MAC Series 3925, Class VB, 4%, due 09/15/2031 3137AFGV8 734,722 $737,888.16 0.01%
FREDDIE MAC Series 4001, Class A, 3.50%, due 11/15/2038 3137ALCD9 247,982 $249,870.06 0.01%
FREDDIE MAC Series 4305, Class KN, 2.50%, due 03/15/2038 3137B86L6 261,761 $261,964.51 0.01%
GM Financial Automobile Leasing Trust Series 2017-3, Class B, 2.40%, due 09/20/2021 38013BAF7 500,000 $500,151.10 0.01%
GM Financial Automobile Leasing Trust Series 2018-3, Class A2A, 2.89%, due 09/21/2020 36256GAB5 550,945 $551,002.28 0.01%
GM Financial Automobile Leasing Trust Series 2019-1, Class B, 3.37%, due 12/20/2022 36256UAF5 639,000 $649,718.59 0.01%
MIZUHO FINANCIAL GROUP N/C, Variable rate, due 04/12/2021 60687YAC3 500,000 $507,233.35 0.01%
Nissan Auto Receivables Owner Trust Series 2015-B, Class A4, 1.79%, due 01/17/2022 65475WAE8 298,430 $298,429.54 0.01%
NORDEA BANK ABP N/C, 2.125%, due 05/29/2020 65557CAX1 250,000 $250,274.41 0.01%
OSCAR US Funding Trust Series 2018-1A, Class A2A, 2.91%, due 04/12/2021 68784CAB8 375,488 $375,813.31 0.01%
Sequoia Mortgage Trust Series 2014-3, Class A14, Variable rate, due 10/25/2044 81746CBY7 524,728 $526,028.24 0.01%
SOCIETE GENERALE N/C, 2.625%, due 09/16/2020 83368RAF9 410,000 $411,893.25 0.01%
Towd Point Mortgage Trust Series 2015-2, Class 1A12, Variable rate, due 11/25/2060 89171YAL5 557,368 $559,502.19 0.01%
TOYOTA MOTOR CREDIT CORP N/C, Variable rate, due 04/17/2020 89236TDV4 500,000 $500,265.53 0.01%
World Omni Automobile Lease Securitization Trust Series 2017-A, Class A4, 2.32%, due 08/15/2022 98162KAD5 700,131 $700,131.15 0.01%
World Omni Automobile Lease Securitization Trust Series 2018-A, Class A2, 2.59%, due 08/17/2020 98161YAB0 299,062 $299,061.92 0.01%
Ameriquest Mortgage Securities Inc. Series 2004-R9, Class M2, Variable rate, due 10/25/2034 03072SUP8 33,334 $33,474.25 0.00%
BMW Vehicle Lease Trust Series 2017-2, Class A4, 2.19%, due 03/22/2021 05584PAE7 120,000 $120,062.47 0.00%
Dell Equipment Finance Trust Series 2018-1, Class A2A, 2.97%, due 10/22/2020 24704AAB2 109,273 $109,392.36 0.00%
Exeter Automobile Receivables Trust Series 2018-3A, Class A, 2.90%, due 01/18/2022 30166PAA9 4,286 $4,285.71 0.00%
Exeter Automobile Receivables Trust Series 2018-4A, Class A, 3.05%, due 12/15/2021 30166EAA4 23,695 $23,713.41 0.00%
Fannie Mae FH 745749, 5.50%, due 03/01/2021 31403DQA0 15,767 $15,893.34 0.00%
Fannie Mae FN 255547, 4.50%, due 01/01/2020 31371LZL6 7 $7.36 0.00%
Fannie Mae FN 310097, 5%, due 10/01/2020 31374CNN2 379 $402.04 0.00%
Fannie Mae FN 735512, 6%, due 03/01/2020 31402RDR7 22 $21.71 0.00%
Fannie Mae FN 735646, 4.50%, due 07/01/2020 31402RHX0 2,572 $2,660.93 0.00%
Fannie Mae FN 735920, 4.50%, due 10/01/2020 31402RSH3 2,820 $2,917.67 0.00%
Fannie Mae FN 745238, 6%, due 12/01/2020 31403C4X6 2,386 $2,389.90 0.00%
Fannie Mae FN 745735, 5%, due 03/01/2021 31403DPU7 74,377 $78,808.33 0.00%
Fannie Mae FN 745832, 6%, due 04/01/2021 31403DSV2 206,343 $209,045.94 0.00%
Fannie Mae FN 814708, 6%, due 04/01/2020 31406NDM3 194 $194.62 0.00%
Fannie Mae FN 815098, 6%, due 05/01/2020 31406NRT3 939 $940.78 0.00%
Fannie Mae FN 839226, 4%, due 09/01/2020 31407SLF7 2,427 $2,431.33 0.00%
Fannie Mae FN 844915, 4.50%, due 11/01/2020 31407YVG1 13,095 $13,550.11 0.00%
Fannie Mae FN 847919, 5.50%, due 11/01/2020 31408DAU8 15,450 $15,562.05 0.00%
Fannie Mae FN 888932, 4.50%, due 11/01/2022 31410GSV6 12,676 $13,116.50 0.00%
Fannie Mae FN 889191, 4.50%, due 04/01/2021 31410G2Y8 136 $140.54 0.00%
Fannie Mae FN 889318, 5.50%, due 07/01/2020 31410KAT1 53 $52.99 0.00%
Fannie Mae FN 889531, 4.50%, due 05/01/2022 31410KHG2 2,220 $2,297.30 0.00%
Fannie Mae FN 889847, 4.50%, due 04/01/2021 31410KTC8 1,741 $1,801.21 0.00%
Fannie Mae FN 890403, 6%, due 05/01/2023 31410LGL0 46,146 $46,949.32 0.00%
Fannie Mae FN 898044, 4.50%, due 12/01/2020 31410UWD0 4,482 $4,637.43 0.00%
Fannie Mae FN 962078, 4.50%, due 03/01/2023 31414CJX7 174,603 $182,033.76 0.00%
Fannie Mae FN 995158, 4.50%, due 12/01/2020 31416BQK7 8,272 $8,559.88 0.00%
Fannie Mae FN 995886, 6%, due 04/01/2021 31416CJ72 415 $416.97 0.00%
Fannie Mae FN AD0285, 5%, due 09/01/2022 31418MJ78 133,199 $141,133.69 0.00%
Fannie Mae FN AD0402, 5%, due 02/01/2023 31418MNU2 9,565 $10,134.70 0.00%
Fannie Mae FN AE0126, 5%, due 06/01/2020 31419AD87 12,497 $13,241.31 0.00%
Fannie Mae FN AE0237, 5.50%, due 11/01/2023 31419AHP5 30,300 $30,422.55 0.00%
Fannie Mae FN AE0314, 5%, due 08/01/2021 31419AK48 83,593 $88,573.04 0.00%
Fannie Mae FN AE0792, 5%, due 12/01/2020 31419A3A3 17,708 $18,763.21 0.00%
Fannie Mae FN AE0812, 5%, due 07/01/2025 31419A3W5 87,573 $92,796.26 0.00%
Fannie Mae FN AL5812, 5.50%, due 05/01/2025 3138ENN62 242,931 $247,447.45 0.00%
Fannie Mae FN AL6212, 4.50%, due 01/01/2027 3138EN3W7 110,139 $113,965.49 0.00%
Fannie Mae FN AL6725, 4.50%, due 09/01/2020 3138EPPK4 272 $281.07 0.00%
Fannie Mae FN AL8539, 4.50%, due 01/01/2027 3138ETPZ3 479 $495.65 0.00%
Fannie Mae FN MA0358, 4.50%, due 03/01/2020 31417YMG9 1,066 $1,101.68 0.00%
Fannie Mae FN MA0419, 4.50%, due 05/01/2020 31417YPD3 4,042 $4,182.39 0.00%
Fannie Mae FN MA0772, 4%, due 06/01/2021 31417Y2E6 18,114 $18,913.99 0.00%
FANNIE MAE Series 2008-53, Class CA, 5%, due 07/25/2023 31397LF46 43 $42.91 0.00%
FANNIE MAE Series 2008-59, Class KB, 4.50%, due 07/25/2023 31397LZH5 1,735 $1,741.72 0.00%
FANNIE MAE Series 2009-14, Class EB, 4.50%, due 03/25/2024 31397NHX6 19,267 $19,504.28 0.00%
FANNIE MAE Series 2009-52, Class AJ, 4%, due 07/25/2024 31396QKJ7 7,594 $7,714.90 0.00%
FANNIE MAE Series 2009-96, Class JA, 3.50%, due 10/25/2024 31398FXC0 5,115 $5,115.00 0.00%
FANNIE MAE Series 2010-116, Class AD, 2%, due 08/25/2020 31398NQS6 53 $52.83 0.00%
FANNIE MAE Series 2010-145, Class MA, 2%, due 12/25/2020 31398SUR2 43,252 $43,199.72 0.00%
FANNIE MAE Series 2011-13, Class AD, 2%, due 07/25/2021 31397QFX1 22,758 $22,673.12 0.00%
FANNIE MAE Series 2011-15, Class HT, 5.50%, due 03/25/2026 31397QXH6 11,181 $11,328.96 0.00%
FANNIE MAE Series 2011-3, Class EG, 2%, due 05/25/2020 31397QRV2 177 $176.28 0.00%
FANNIE MAE Series 2011-60, Class UC, 2.50%, due 09/25/2039 31397U2Q1 70,339 $70,733.72 0.00%
FANNIE MAE Series 2011-68, Class AH, 4.50%, due 12/25/2020 31397UYT0 1,018 $1,022.13 0.00%
FANNIE MAE Series 2011-71, Class KC, 1.75%, due 08/25/2021 3136A0PA9 18,433 $18,366.59 0.00%
FANNIE MAE Series 2011-86, Class DC, 2%, due 09/25/2021 3136A0P43 21,533 $21,466.36 0.00%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K716, Class A1, 2.413%, due 01/25/2021 3137BDDB9 84,150 $84,083.60 0.00%
Ford Credit Auto Lease Trust Series 2018-A, Class A2A, 2.81%, due 12/15/2020 34531JAB1 12,946 $12,945.53 0.00%
Freddie Mac FG G11728, 5.50%, due 02/01/2020 31283K4M7 10 $9.82 0.00%
Freddie Mac FG G11777, 5%, due 10/01/2020 31283K6N3 14,937 $15,832.27 0.00%
Freddie Mac FG G11820, 5.50%, due 12/01/2020 31336WAU3 4,215 $4,248.69 0.00%
Freddie Mac FG G11879, 5%, due 10/01/2020 31336WCP2 3,869 $4,100.69 0.00%
Freddie Mac FG G11902, 5%, due 08/01/2020 3128M1AB5 17,640 $18,697.93 0.00%
Freddie Mac FG G11966, 5.50%, due 11/01/2020 3128M1CB3 14,832 $14,894.85 0.00%
Freddie Mac FG G12255, 5.50%, due 07/01/2021 3128M1MC0 2,610 $2,653.77 0.00%
Freddie Mac FG G12673, 5%, due 09/01/2021 3128MBFN2 13,064 $13,847.50 0.00%
Freddie Mac FG G13204, 6%, due 11/01/2022 3128MBX93 27,674 $28,290.57 0.00%
Freddie Mac FG G13235, 4.50%, due 08/01/2020 3128MBY84 5,925 $6,133.03 0.00%
Freddie Mac FG G13761, 5.50%, due 12/01/2020 3128MCMJ1 2,293 $2,301.61 0.00%
Freddie Mac FG G13812, 5%, due 12/01/2020 3128MCN50 25,899 $27,451.93 0.00%
Freddie Mac FG G14030, 4.50%, due 12/01/2020 3128MCVX0 18,910 $19,574.81 0.00%
Freddie Mac FG G14035, 5.50%, due 12/01/2021 3128MCV44 30,374 $30,653.05 0.00%
Freddie Mac FG G14187, 5.50%, due 12/01/2020 3128MC2U8 22,612 $22,673.46 0.00%
Freddie Mac FG G15821, 5%, due 07/01/2025 3128MEVN8 31,779 $33,686.65 0.00%
Freddie Mac FG G15874, 5%, due 06/01/2026 3128MEXB2 183,021 $194,008.48 0.00%
Freddie Mac FG G18056, 5%, due 06/01/2020 3128MMB28 23,022 $24,402.40 0.00%
Freddie Mac FG J02535, 5%, due 09/01/2020 3128PDY87 35,867 $38,017.66 0.00%
Freddie Mac FG P60959, 4.50%, due 09/01/2020 3128CHB46 2,794 $2,797.67 0.00%
FREDDIE MAC Series 2931, Class DE, 4%, due 02/15/2020 31395MZ51 14 $13.63 0.00%
FREDDIE MAC Series 2945, Class HB, 5%, due 03/15/2020 31395PK27 3 $2.79 0.00%
FREDDIE MAC Series 3266, Class D, 5%, due 01/15/2022 31397EHU2 1 $0.87 0.00%
FREDDIE MAC Series 3294, Class DB, 4.50%, due 03/15/2022 31397FS37 1 $1.05 0.00%
FREDDIE MAC Series 3539, Class YA, 4%, due 02/15/2024 31398EJ54 212,274 $213,091.42 0.00%
FREDDIE MAC Series 3705, Class CA, 3%, due 08/15/2020 3137A0VG7 4,082 $4,080.18 0.00%
FREDDIE MAC Series 3755, Class AJ, 2%, due 11/15/2020 3137A2EJ6 14,302 $14,281.11 0.00%
FREDDIE MAC Series 3766, Class HE, 3%, due 11/15/2020 3137A2PF2 15,981 $16,008.47 0.00%
FREDDIE MAC Series 3773, Class GK, 2.50%, due 12/15/2020 3137A3TA7 20,509 $20,512.16 0.00%
FREDDIE MAC Series 3790, Class AP, 4.50%, due 01/15/2037 3137A5B78 141,674 $143,598.50 0.00%
FREDDIE MAC Series 3852, Class CA, 3%, due 10/15/2039 3137AB5K3 15,607 $15,618.71 0.00%
FREDDIE MAC Series 4011, Class KM, 2%, due 03/15/2022 3137AMYK7 80,863 $80,827.49 0.00%
FREDDIE MAC Series 4459, Clas NC, 5%, due 07/15/2025 3137BHU47 2,346 $2,348.11 0.00%
GNMA GN 783524, 5%, due 09/15/2024 36241L4H6 36,624 $37,824.10 0.00%
GNMA Series 2009-10, Class MD, 4.50%, due 12/16/2036 38374TBT0 61,404 $62,133.62 0.00%
GNMA Series 2010-125, Class TE, 3%, due 06/20/2039 38377JE25 42,960 $43,050.66 0.00%
GNMA Series 2010-164, Class LE, 3%, due 10/20/2038 38377N3P7 6,705 $6,711.20 0.00%
GNMA Series 2010-164, Class LH, 3.50%, due 10/20/2038 38377N3R3 31,876 $31,910.51 0.00%
GNMA Series 2010-4, Class JC, 3%, due 08/16/2039 38376T2H4 23,760 $23,801.60 0.00%
GNMA Series 2010-87, Class HE, 3%, due 11/20/2038 38374YS79 48,101 $48,329.51 0.00%
GNMA Series 2011-115, Class PD, 2%, due 10/20/2038 38377XPJ5 6,880 $6,882.41 0.00%
GNMA Series 2011-24, Class NE, 3.50%, due 04/20/2039 38377TU58 5,306 $5,305.75 0.00%
GNMA Series 2011-37, Class PG, 3%, due 05/20/2040 38377QU62 31,554 $31,552.90 0.00%
GNMA Series 2014-28, Class A, 2%, due 01/16/2046 38378NZC0 22,785 $22,658.03 0.00%
MASTR Asset Backed Securities Trust Series 2005-OPT1, Class M2, Variable rate, due 03/25/2035 57643LHQ2 143,793 $144,200.41 0.00%
Nissan Auto Receivables Owner Trust Series 2016-B, Class A3, 1.32%, due 01/15/2021 65478VAD9 193,255 $193,255.38 0.00%
Nissan Auto Receivables Owner Trust Series 2016-C, Class A3, 1.18%, due 01/15/2021 65478WAD7 207,054 $206,937.77 0.00%
Nissan Auto Receivables Owner Trust Series 2017-B, Class A3, 1.75%, due 10/15/2021 65478GAD2 148,878 $148,826.15 0.00%
Structured Asset Investment Loan Trust Series 2004-10, Class A7, Variable rate, due 11/25/2034 86358ENX0 50,032 $50,266.23 0.00%
US Dollar $USD -106,129,220 ($106,129,219.78) -2.13%
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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