|
|
 |
|
Holdings of the Fund as of 1/24/2020
Total Number of Holdings (excluding cash): 534
| US 5YR NOTE (CBT) Mar20 |
FVH0 |
115 |
$13,739,804.75 |
6.10% |
| U.S. Treasury Bill, 0%, due 02/20/2020 |
912796TG4 |
6,610,000 |
$6,603,456.10 |
2.93% |
| U.S. Treasury Bill, 0%, due 02/27/2020 |
912796SD2 |
5,470,000 |
$5,462,934.57 |
2.42% |
| U.S. Treasury Bill, 0%, due 02/13/2020 |
912796TF6 |
5,370,000 |
$5,366,291.32 |
2.38% |
| US Dollar |
$USD |
3,553,287 |
$3,553,287.39 |
1.58% |
| U.S. Treasury Bill, 0%, due 02/04/2020 |
912796WR6 |
3,545,000 |
$3,543,847.88 |
1.57% |
| U.S. Treasury Bill, 0%, due 02/11/2020 |
912796WS4 |
3,395,000 |
$3,392,920.56 |
1.51% |
| U.S. Treasury Bill, 0%, due 07/16/2020 |
912796SZ3 |
3,100,000 |
$3,078,041.33 |
1.37% |
| JAPAN TREASURY DISC BILL N/C, 0%, due 01/27/2020 |
BHPH811 |
215,000,000 |
$1,967,438.97 |
0.87% |
| MORGAN STANLEY 3.70%, due 10/23/2024 |
61761JVL0 |
1,710,000 |
$1,830,966.64 |
0.81% |
| Conseco Financial Corp Series 1999-3, Class A8, Variable rate, due 02/01/2031 |
393505X80 |
1,656,307 |
$1,634,336.04 |
0.73% |
| JPMORGAN CHASE & CO Variable rate, due 07/23/2029 |
46647PAV8 |
1,460,000 |
$1,646,392.88 |
0.73% |
| Fannie Mae FN BL1857, 3.53%, due 04/01/2029 |
3140HTB32 |
1,350,000 |
$1,492,926.32 |
0.66% |
| FANNIEMAE-ACES Series 2017-M15, Class A1, Variable rate, due 09/25/2027 |
3136AY6W8 |
1,330,719 |
$1,390,790.42 |
0.62% |
| CITIGROUP INC 2.90%, due 12/08/2021 |
172967LC3 |
1,360,000 |
$1,383,936.52 |
0.61% |
| FHLMC Multifamily Structured P 2.135%, due 07/25/2025 |
3137FPJ48 |
1,350,992 |
$1,361,018.36 |
0.60% |
| WELLS FARGO BANK NA Variable rate, due 09/09/2022 |
94988J6A0 |
1,345,000 |
$1,348,995.70 |
0.60% |
| Fannie Mae FN BL0661, 3.99%, due 11/01/2033 |
3140HRWX7 |
1,143,379 |
$1,319,298.56 |
0.59% |
| Small Business Administration Participation Certs. Series 2008-20H, Class 1, 6.02%, due 08/01/2028 |
83162CRY1 |
1,219,065 |
$1,324,567.85 |
0.59% |
| GE CAPITAL INTL FUNDING 4.418%, due 11/15/2035 |
36164QNA2 |
1,190,000 |
$1,307,423.56 |
0.58% |
| BANK OF AMERICA CORP Variable rate, due 05/17/2022 |
06051GHH5 |
1,245,000 |
$1,271,051.99 |
0.56% |
| FANNIEMAE-ACES Series 2017-M14, Class A1, Variable rate, due 11/25/2027 |
3136AY2G7 |
1,205,160 |
$1,250,969.56 |
0.56% |
| GSAMP Trust Series 2006-HE4, Class A2, Variable rate, due 06/25/2036 |
362439AE1 |
1,300,000 |
$1,270,118.85 |
0.56% |
| FannieMae-Aces Series 2020-M1, Class A1, 2.151%, due 07/25/2029 |
3136B75L1 |
1,225,000 |
$1,231,125.00 |
0.55% |
| Fannie Mae FN AM4865, 4.24%, due 12/01/2029 |
3138L5MP2 |
1,057,829 |
$1,209,717.80 |
0.54% |
| Fannie Mae FN AN9447, 3.78%, due 07/01/2033 |
3138LNP96 |
1,025,000 |
$1,174,112.24 |
0.52% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series KJ21, Class A1, 3.111%, due 06/25/2025 |
3137FHCD3 |
1,108,086 |
$1,164,387.70 |
0.52% |
| U.S. Treasury Bill, 0%, due 02/18/2020 |
912796WT2 |
1,180,000 |
$1,178,932.76 |
0.52% |
| Bear Stearns Mortgage Funding Trust Series 2006-AR1, Class 1A1, Variable rate, due 07/25/2036 |
07401LAA1 |
1,168,548 |
$1,145,148.70 |
0.51% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series KJ24, Class A1, 2.283%, due 05/25/2026 |
3137FMD66 |
1,124,729 |
$1,150,281.28 |
0.51% |
| Novastar Home Equity Loan Series 2007-2, Class A1A, Variable rate, due 09/25/2037 |
66989EAA3 |
1,182,850 |
$1,159,601.67 |
0.51% |
| BAYER US FINANCE II LLC 4.375%, due 12/15/2028 |
07274NAL7 |
1,000,000 |
$1,122,588.68 |
0.50% |
| Fannie Mae 4.16%, due 07/01/2021 |
31381RWZ3 |
1,105,000 |
$1,136,396.25 |
0.50% |
| Fannie Mae FN AN5942, 3.10%, due 07/01/2032 |
3138LJS84 |
1,050,000 |
$1,130,149.73 |
0.50% |
| Fannie Mae FN AN9502, 3.96%, due 06/01/2033 |
3138LNRY9 |
900,000 |
$1,047,774.11 |
0.47% |
| GE CAPITAL INTL FUNDING 2.342%, due 11/15/2020 |
36164QMS4 |
1,065,000 |
$1,067,896.83 |
0.47% |
| SPRINT SPECTRUM / SPEC I 4.738%, due 03/20/2025 |
85208NAD2 |
1,005,000 |
$1,066,842.68 |
0.47% |
| WEA FINANCE LLC 3.15%, due 04/05/2022 |
92928QAC2 |
1,000,000 |
$1,025,721.06 |
0.46% |
| CVS HEALTH CORP 5.05%, due 03/05/2048 |
126650CZ1 |
830,000 |
$1,008,478.70 |
0.45% |
| FANNIEMAE-ACES Series 2019-M24, Class A1, 2.379%, due 03/25/2029 |
3136B7FJ5 |
999,277 |
$1,021,664.64 |
0.45% |
| KRAFT HEINZ FOODS CO 4.875%, due 10/01/2049 |
50077LAY2 |
925,000 |
$1,003,158.23 |
0.45% |
| Citigroup Mortgage Loan Trust Series 2006-HE3, Class A2B, Variable rate, due 12/25/2036 |
17310VAB6 |
1,290,794 |
$1,001,839.74 |
0.44% |
| Credit-Based Asset Servicing and Securitization Series 2006-MH1, Class B1, Variable rate, due 10/25/2036 |
1248P8AK5 |
957,000 |
$994,574.69 |
0.44% |
| Fannie Mae FN AN9706, 3.76%, due 07/01/2033 |
3138LNYC9 |
860,000 |
$982,540.22 |
0.44% |
| SUNOCO LOGISTICS PARTNERS 5.40%, due 10/01/2047 |
86765BAV1 |
930,000 |
$998,161.90 |
0.44% |
| Fannie Mae FN BL0878, 3.94%, due 06/01/2029 |
3140HR6Q1 |
855,000 |
$970,605.47 |
0.43% |
| Small Business Administration Participation Certs. Series 2008-20F, Class 1, 5.68%, due 06/01/2028 |
83162CRV7 |
897,889 |
$977,894.91 |
0.43% |
| BANK OF AMERICA CORP Variable rate, due 07/23/2029 |
06051GHM4 |
830,000 |
$940,928.11 |
0.42% |
| Fannie Mae FN AN5096, 3.32%, due 04/01/2032 |
3138LHUW2 |
866,743 |
$949,425.23 |
0.42% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series Q010, Class APT1, Variable rate, due 04/25/2046 |
3137FMUJ9 |
915,244 |
$922,892.40 |
0.41% |
| Ace Securities Corp. Variable rate, due 06/25/2036 |
00441TAD5 |
1,094,807 |
$896,253.05 |
0.40% |
| American Home Mortgage Investment Trust Series 2005-4, Class 1A1, Variable rate, due 11/25/2045 |
02660TGN7 |
897,964 |
$899,320.10 |
0.40% |
| CIGNA CORP 4.375%, due 10/15/2028 |
125523AH3 |
795,000 |
$896,144.62 |
0.40% |
| Residential Asset Mortgage Products, Inc. Series 2006-RZ1, Class M3, Variable rate, due 03/25/2036 |
76112BZ45 |
900,000 |
$903,166.20 |
0.40% |
| Structured Adjustable Rate Mortgage Loan Trust Series 2007-4, Class 1A2, Variable rate, due 05/25/2037 |
86363LAB9 |
925,178 |
$905,414.54 |
0.40% |
| Bombardier Capital Mortgage Securitization Corp. Series 2000-A, Class A5, Variable rate, due 06/15/2030 |
09774XBT8 |
2,369,065 |
$851,551.53 |
0.38% |
| Fannie Mae FN AM9897, 3.50%, due 09/01/2035 |
3138LA7K9 |
748,541 |
$831,262.48 |
0.37% |
| SLM Student Loan Trust Series 2007-7, Class B, Variable rate, due 10/27/2070 |
78444EAE9 |
905,000 |
$840,772.06 |
0.37% |
| GOLDMAN SACHS GROUP INC Variable rate, due 05/01/2029 |
38141GWZ3 |
715,000 |
$802,049.47 |
0.36% |
| MASSMUTUAL GLOBAL FUNDING II N/C, 3.40%, due 03/08/2026 |
57629WCH1 |
750,000 |
$799,955.84 |
0.36% |
| Fannie Mae FN BL1414, 3.96%, due 01/01/2034 |
3140HSSC6 |
670,000 |
$781,438.92 |
0.35% |
| FANNIEMAE-ACES Series 2016-M2, Class AL, 3.471%, due 04/25/2036 |
3136AQ5J5 |
722,077 |
$794,367.88 |
0.35% |
| IndyMac INDX Mortgage Loan Trust Series 2006-AR4, Class A1A, Variable rate, due 05/25/2046 |
45661EAV6 |
789,617 |
$782,783.34 |
0.35% |
| KRAFT HEINZ FOODS CO 4.375%, due 06/01/2046 |
50077LAB2 |
765,000 |
$783,521.72 |
0.35% |
| SLM Student Loan Trust Series 2008-9, Class B, Variable rate, due 10/25/2083 |
78445JAB3 |
800,000 |
$799,046.72 |
0.35% |
| Small Business Administration Participation Certs. Series 2007-20A, Class 1, 5.32%, due 01/01/2027 |
83162CQU0 |
737,575 |
$784,709.19 |
0.35% |
| AT&T INC 4.75%, due 05/15/2046 |
00206RCQ3 |
655,000 |
$768,569.21 |
0.34% |
| FHLMC Multifamily Structured Pass Through Certs. Series K716, Class X3, Variable rate, due 08/25/2042 |
3137BDDE3 |
30,235,000 |
$768,667.43 |
0.34% |
| HarborView Mortgage Loan Trust Series 2007-7, Class 1A1, Variable rate, due 10/25/2037 |
411640AA3 |
804,704 |
$775,543.57 |
0.34% |
| Opteum Mortgage Acceptance Corporation Series 2006-1, Class 1AC1, Variable rate, due 04/25/2036 |
68383NDW0 |
777,231 |
$765,313.02 |
0.34% |
| REYNOLDS AMERICAN INC 5.85%, due 08/15/2045 |
761713BB1 |
645,000 |
$776,843.59 |
0.34% |
| U.S. Treasury Bill, 0%, due 03/19/2020 |
912796TL3 |
768,000 |
$766,337.11 |
0.34% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K057, Class X1, Variable rate, due 07/25/2026 |
3137BRQL2 |
11,363,941 |
$740,715.29 |
0.33% |
| FORD MOTOR CREDIT CO LLC N/C, 5.875%, due 08/02/2021 |
345397VU4 |
700,000 |
$733,966.91 |
0.33% |
| CHARTER COMM OPT LLC/CAP 5.75%, due 04/01/2048 |
161175BN3 |
600,000 |
$722,157.79 |
0.32% |
| Fannie Mae FN AM8745, 2.81%, due 05/01/2027 |
3138L9WF5 |
679,248 |
$715,509.84 |
0.32% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series Q006, Class APT1, Variable rate, due 07/25/2026 |
3137FCL51 |
697,238 |
$730,067.73 |
0.32% |
| Structured Asset Mortgage Investments Inc. Series 2006-AR8, Class A1A, Variable rate, due 10/25/2036 |
86361WAA9 |
763,912 |
$728,629.56 |
0.32% |
| AT&T INC 4.85%, due 03/01/2039 |
00206RHK1 |
594,000 |
$706,335.30 |
0.31% |
| Fannie Mae FN AN9164, 3.55%, due 05/01/2030 |
3138LNFE6 |
625,000 |
$695,281.40 |
0.31% |
| Fannie Mae FN AN9756, 3.94%, due 07/01/2033 |
3138LNZW4 |
613,531 |
$704,649.95 |
0.31% |
| GENERAL MILLS INC 4%, due 04/17/2025 |
370334CF9 |
650,000 |
$707,616.75 |
0.31% |
| Structured Adjustable Rate Mortgage Loan Trust Series 2006-11, Class 1A1, Variable rate, due 12/25/2036 |
86362HAA1 |
703,279 |
$694,225.35 |
0.31% |
| BARNABAS HEALTH INC 4%, due 07/01/2028 |
06769QAA8 |
635,000 |
$685,903.15 |
0.30% |
| Fannie Mae FN BL0651, 3.95%, due 06/01/2029 |
3140HRWM1 |
600,000 |
$681,636.20 |
0.30% |
| RELX CAPITAL INC 4%, due 03/18/2029 |
74949LAC6 |
600,000 |
$668,684.67 |
0.30% |
| Soundview Home Equity Loan Trust Series 2005-OPT3, Class M1, Variable rate, due 11/25/2035 |
83611MGU6 |
680,000 |
$674,402.65 |
0.30% |
| ANTHEM INC 3.35%, due 12/01/2024 |
036752AC7 |
615,000 |
$647,890.01 |
0.29% |
| LOS ANGELES CA DEPT OF WTR & P TAXABLE-BABS-SER C, 6.008%, due 07/01/2039 |
544525NZ7 |
500,000 |
$661,145.00 |
0.29% |
| LOS ANGELES CA UNIF SCH DIST GO, TAXABLE-BABS-KRY, 5.75%, due 07/01/2034 |
544646XZ0 |
500,000 |
$664,550.00 |
0.29% |
| NATIONWIDE BLDG SOCIETY Variable rate, due 04/26/2023 |
63861VAD9 |
630,000 |
$650,412.80 |
0.29% |
| RAYMOND JAMES FINANCIAL 3.625%, due 09/15/2026 |
754730AE9 |
615,000 |
$661,006.18 |
0.29% |
| SANTANDER UK PLC N/C, 3.40%, due 06/01/2021 |
80283LAT0 |
650,000 |
$663,919.05 |
0.29% |
| SLM Student Loan Trust Series 2008-5 Class B, Variable rate, due 07/25/2073 |
78444YAE5 |
650,000 |
$644,876.90 |
0.29% |
| SOUTHERN CO GAS CAPITAL 5.875%, due 03/15/2041 |
001192AH6 |
500,000 |
$658,737.86 |
0.29% |
| Structured Asset Mortgage Investments Inc Series 2006-AR4, Class 3A1, Variable rate, due 06/25/2036 |
86360QAE5 |
660,212 |
$648,841.04 |
0.29% |
| MASTR Adjustable Rate Mortgages Trust Series 2007-2, Class A1, Variable rate, due 03/25/2047 |
576429AA2 |
638,770 |
$625,103.82 |
0.28% |
| AERCAP IRELAND CAP LTD/A 4.50%, due 05/15/2021 |
00772BAF8 |
600,000 |
$618,790.27 |
0.27% |
| AIR LEASE CORP 3.875%, due 07/03/2023 |
00912XBC7 |
570,000 |
$601,983.99 |
0.27% |
| American Home Mortgage Assets Series 2007-1, Class A1, Variable rate, due 02/25/2047 |
02660BAA0 |
980,773 |
$603,432.76 |
0.27% |
| Bear Stearns Mortgage Funding Series 2006-AR3, Class 1A1, Variable rate, due 10/25/2036 |
07400HAA1 |
633,081 |
$614,543.59 |
0.27% |
| FORD MOTOR CREDIT CO LLC N/C, 3.219%, due 01/09/2022 |
345397XA6 |
600,000 |
$607,042.93 |
0.27% |
| HCA INC 5.25%, due 06/15/2049 |
404119BZ1 |
535,000 |
$613,245.96 |
0.27% |
| HEALTHCARE TRUST OF AMER 3.70%, due 04/15/2023 |
42225UAB0 |
575,000 |
$597,086.08 |
0.27% |
| UNITED AIR 2013-1 A PTT 4.30%, due 08/15/2025 |
909319AA3 |
564,486 |
$612,569.98 |
0.27% |
| CITIGROUP INC Variable rate, due 04/23/2029 |
172967LW9 |
525,000 |
$583,429.48 |
0.26% |
| GreenPoint Mortgage Funding Trust SEries 2007-AR1, Class 2A1A, Variable rate, due 03/25/2047 |
39539KAD5 |
598,682 |
$591,834.22 |
0.26% |
| HEALTHCARE REALTY TRUST 3.75%, due 04/15/2023 |
421946AH7 |
575,000 |
$596,231.52 |
0.26% |
| Structured Asset Mortgage Invements Inc Series 2006-AR3, Class 12A1, Variable rate, due 05/25/2036 |
86360KAE8 |
603,184 |
$586,031.58 |
0.26% |
| Structured Asset Mortgage Investments Inc. Series 2006-AR1, Class 3A1, Variable rate, due 02/25/2036 |
86359LTG4 |
624,623 |
$582,091.12 |
0.26% |
| CAMDEN PROPERTY TRUST 2.95%, due 12/15/2022 |
133131AT9 |
550,000 |
$563,680.32 |
0.25% |
| CUBESMART LP 4.375%, due 02/15/2029 |
22966RAE6 |
500,000 |
$560,133.97 |
0.25% |
| Fannie Mae FN AN9540, 3.75%, due 06/01/2033 |
3138LNS69 |
500,000 |
$571,343.97 |
0.25% |
| Fannie Mae FN BL1132, 3.73%, due 01/01/2029 |
3140HSHJ3 |
495,000 |
$555,527.38 |
0.25% |
| Fannie Mae FN BL1416, 3.86%, due 01/01/2029 |
3140HSSE2 |
493,793 |
$552,675.57 |
0.25% |
| Fannie Mae Series 2011-130, Class NW, Variable rate, due 12/25/2041 |
3136A2D26 |
532,547 |
$554,031.58 |
0.25% |
| FHLMC Multifamily Structured Pass Through Certs. Series KJ25, Class A1, 2.149%, due 11/25/2024 |
3137FNXG0 |
554,289 |
$560,352.81 |
0.25% |
| GEORGIA-PACIFIC LLC 5.40%, due 11/01/2020 |
37331NAB7 |
540,000 |
$554,124.29 |
0.25% |
| GreenPoint Mortgage Funding Trust Series 2005-AR3, Class 1A1, Variable rate, due 08/25/2045 |
39538RBW8 |
578,173 |
$560,060.56 |
0.25% |
| INTELSAT JACKSON HLDG 8.50%, due 10/15/2024 |
45824TBA2 |
625,000 |
$558,334.38 |
0.25% |
| ALIMENTATION COUCHE-TARD 3.55%, due 07/26/2027 |
01626PAH9 |
510,000 |
$540,604.62 |
0.24% |
| AMCOR FINANCE USA INC 4.50%, due 05/15/2028 |
02343UAE5 |
490,000 |
$546,563.79 |
0.24% |
| AMERICAN CAMPUS CMNTYS 4.125%, due 07/01/2024 |
024836AB4 |
500,000 |
$538,500.67 |
0.24% |
| FANNIE MAE Series 2012-128, Class UA, 2.50%, due 06/25/2042 |
3136A9VM7 |
549,682 |
$549,351.07 |
0.24% |
| FRESENIUS MED CARE II 4.125%, due 10/15/2020 |
35802XAH6 |
525,000 |
$529,778.12 |
0.24% |
| HUDSON PACIFIC PROPERTIES 3.95%, due 11/01/2027 |
44409MAA4 |
500,000 |
$534,946.20 |
0.24% |
| LLOYDS BANKING GROUP PLC Variable rate, due 11/07/2023 |
539439AP4 |
540,000 |
$549,700.98 |
0.24% |
| NORTHROP GRUMMAN CORP 2.93%, due 01/15/2025 |
666807BM3 |
510,000 |
$531,925.45 |
0.24% |
| PENNSYLVANIA ELECTRIC CO 4.15%, due 04/15/2025 |
708696BX6 |
500,000 |
$536,684.60 |
0.24% |
| WAMU Mortgage Pass-Through Certificates Series 2006-AR3, Class A1A, Variable rate, due 02/25/2046 |
92925CDA7 |
522,066 |
$536,931.50 |
0.24% |
| WASTE MANAGEMENT INC 3.20%, due 06/15/2026 |
94106LBH1 |
500,000 |
$531,716.51 |
0.24% |
| WELLS FARGO & COMPANY Variable rate, due 05/22/2028 |
95000U2A0 |
510,000 |
$549,830.41 |
0.24% |
| WILLIAMS PARTNERS LP 3.75%, due 06/15/2027 |
96949LAD7 |
510,000 |
$536,323.34 |
0.24% |
| BANK OF AMERICA CORP Variable rate, due 02/07/2030 |
06051GHQ5 |
465,000 |
$519,618.26 |
0.23% |
| BOSTON SCIENTIFIC CORP 3.45%, due 03/01/2024 |
101137AV9 |
500,000 |
$526,050.17 |
0.23% |
| CITIGROUP INC Variable rate, due 04/24/2025 |
172967MF5 |
500,000 |
$523,952.86 |
0.23% |
| CYRUSONE LP/CYRUSONE FIN 2.90%, due 11/15/2024 |
23283PAQ7 |
515,000 |
$522,500.98 |
0.23% |
| DAIMLER FINANCE NA LLC N/C, Variable rate, due 02/15/2022 |
233851DV3 |
520,000 |
$525,431.09 |
0.23% |
| DIGITAL REALTY TRUST LP 3.625%, due 10/01/2022 |
25389JAK2 |
500,000 |
$517,929.01 |
0.23% |
| Fannie Mae FN AM2974, 4.10%, due 04/01/2043 |
3138L3JU0 |
491,474 |
$528,479.83 |
0.23% |
| Fannie Mae FN BL1052, 3.95%, due 12/01/2028 |
3140HSE23 |
450,000 |
$508,251.53 |
0.23% |
| FANNIEMAE-ACES Series 2016-M11, Class AL, 2.944%, due 07/25/2039 |
3136AT5G5 |
496,302 |
$510,283.88 |
0.23% |
| IHS MARKIT LTD 4.75%, due 08/01/2028 |
44962LAF4 |
465,000 |
$528,413.22 |
0.23% |
| IndyMac INDX Mortgage Loan Trust Series 2005-16IP, Class A1, Variable rate, due 07/25/2045 |
45660LUD9 |
550,653 |
$523,423.32 |
0.23% |
| KAZMUNAYGAS NATIONAL CO N/C, 5.375%, due 04/24/2030 |
Y44709AF3 |
440,000 |
$518,100.00 |
0.23% |
| KIMCO REALTY CORP 3.40%, due 11/01/2022 |
49446RAN9 |
500,000 |
$518,449.06 |
0.23% |
| NXP BV/NXP FUNDING LLC 4.125%, due 06/01/2021 |
62947QAU2 |
500,000 |
$513,088.73 |
0.23% |
| TOTAL SYSTEM SERVICES INC 3.80%, due 04/01/2021 |
891906AD1 |
500,000 |
$509,929.04 |
0.23% |
| ALEXANDRIA REAL ESTATE EQUITIES 3.80%, due 04/15/2026 |
015271AP4 |
450,000 |
$488,311.22 |
0.22% |
| AVIATION CAPITAL GROUP N/C, Variable rate, due 06/01/2021 |
05369AAG6 |
500,000 |
$502,894.29 |
0.22% |
| Fannie Mae FN BL1301, 3.69%, due 01/01/2029 |
3140HSNT4 |
450,000 |
$503,549.74 |
0.22% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series Q101, Class APT2, Variable rate, due 12/25/2047 |
3137FMUK6 |
477,502 |
$484,697.12 |
0.22% |
| Freddie Mac FG WA3208, 3.98%, due 04/01/2034 |
3132WWYE6 |
443,206 |
$501,768.53 |
0.22% |
| SOUTHWESTERN ELEC POWER 4.10%, due 09/15/2028 |
845437BR2 |
450,000 |
$499,140.21 |
0.22% |
| WELLS FARGO & COMPANY N/C, 2.60%, due 07/22/2020 |
94974BGM6 |
500,000 |
$501,948.42 |
0.22% |
| GENERAL MOTORS FINL CO 3.55%, due 04/09/2021 |
37045XCJ3 |
475,000 |
$483,661.78 |
0.21% |
| ALLERGAN FUNDING SCS 4.55%, due 03/15/2035 |
00507UAT8 |
390,000 |
$442,357.62 |
0.20% |
| BCAP LLC Trust Series 2007-AA3, Class 1A1, Variable rate, due 04/25/2037 |
05530VAA7 |
445,375 |
$441,795.21 |
0.20% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K044, Class X1, Variable rate, due 01/25/2025 |
3137BHCZ8 |
14,555,139 |
$439,572.47 |
0.20% |
| INTL FLAVOR & FRAGRANCES 4.45%, due 09/26/2028 |
459506AK7 |
400,000 |
$445,453.38 |
0.20% |
| KINDER MORGAN INC 5.55%, due 06/01/2045 |
49456BAH4 |
370,000 |
$440,934.46 |
0.20% |
| Lehman XS Trust Series 2005-5N, Class 3A1A, Variable rate, due 11/25/2035 |
86359DUR6 |
459,051 |
$459,948.03 |
0.20% |
| PETROLEOS MEXICANOS 7.69%, due 01/23/2050 |
71654QCW0 |
419,000 |
$460,160.46 |
0.20% |
| ROCKIES EXPRESS PIPELINE 5.625%, due 04/15/2020 |
77340RAK3 |
436,000 |
$439,472.52 |
0.20% |
| STATE OF QATAR 4.50%, due 04/23/2028 |
BFYY529 |
400,000 |
$458,673.60 |
0.20% |
| Structured Asset Mortgage Investments Inc Series 2005-AR2, Class 2A1, Variable rate, due 05/25/2045 |
86359LJA8 |
452,698 |
$455,159.04 |
0.20% |
| WALGREENS BOOTS ALLIANCE 4.80%, due 11/18/2044 |
931427AC2 |
435,000 |
$458,082.43 |
0.20% |
| WRKCO INC 4.65%, due 03/15/2026 |
92940PAB0 |
405,000 |
$453,934.89 |
0.20% |
| ABBVIE INC 4.25%, due 11/21/2049 |
00287YBS7 |
400,000 |
$426,432.83 |
0.19% |
| BACARDI LTD 4.70%, due 05/15/2028 |
067316AF6 |
390,000 |
$436,705.14 |
0.19% |
| BANK OF NY MELLON CORP Variable rate, due 05/16/2023 |
06406RAC1 |
420,000 |
$427,906.93 |
0.19% |
| CONSTELLATION BRANDS INC 4.25%, due 05/01/2023 |
21036PAL2 |
390,000 |
$416,845.56 |
0.19% |
| FHLMC Multifamily Structured Pass Through Certs. Series K042, Class X1, Variable rate, due 12/25/2024 |
3137BFXU0 |
9,658,838 |
$422,724.83 |
0.19% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series Q007, Class APT1, Variable rate, due 10/25/2047 |
3137FHQB2 |
428,635 |
$437,347.12 |
0.19% |
| KILROY REALTY LP 3.45%, due 12/15/2024 |
49427RAM4 |
400,000 |
$420,794.68 |
0.19% |
| KILROY REALTY LP 4.375%, due 10/01/2025 |
49427RAL6 |
400,000 |
$438,532.88 |
0.19% |
| MLCC Mortgage Investors Inc Series 2004-E, Class A2B, Variable rate, due 11/25/2029 |
59020UJR7 |
425,233 |
$432,258.87 |
0.19% |
| MOLSON COORS BREWING CO 2.25%, due 03/15/2020 |
60871RAP5 |
420,000 |
$420,000.39 |
0.19% |
| REPUBLIC OF COLOMBIA 3.875%, due 04/25/2027 |
195325DL6 |
400,000 |
$426,939.00 |
0.19% |
| SAUDI INTERNATIONAL BOND N/C, 3.625%, due 03/04/2028 |
BYZFF68 |
400,000 |
$425,968.00 |
0.19% |
| SMITHFIELD FOODS INC 5.20%, due 04/01/2029 |
832248BB3 |
387,000 |
$437,426.66 |
0.19% |
| THE WALT DISNEY COMPANY 4%, due 10/01/2023 |
254687CR5 |
390,000 |
$421,057.40 |
0.19% |
| Wells Fargo Mortgage Backed Securities Trust Series 2007-AR5, Class A1, Variable rate, due 10/25/2037 |
94986DAA0 |
461,890 |
$420,136.84 |
0.19% |
| BECTON DICKINSON 3.25%, due 11/12/2020 |
075887AW9 |
400,000 |
$404,000.08 |
0.18% |
| CAMPBELL SOUP CO 3.30%, due 03/15/2021 |
134429BD0 |
390,000 |
$396,330.87 |
0.18% |
| Citigroup Mortgage Loan Trust Series 2007-WFH3, Class M1, Variable rate, due 06/25/2037 |
17313CAD1 |
425,000 |
$414,830.26 |
0.18% |
| Credit Suisse Mortgage Trust Series 2010-7R, Class 1A12, 4%, due 01/26/2037 |
12643RAY4 |
400,514 |
$406,883.33 |
0.18% |
| Fannie Mae FN BL0242, 3.82%, due 11/01/2030 |
3140HRHU0 |
350,000 |
$396,698.28 |
0.18% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series KJ03, Class A1, 1.669%, due 01/25/2021 |
3137BMUC8 |
406,035 |
$405,264.09 |
0.18% |
| Homebanc Mortgage Trust Series 2005-4, Class A1, Variable rate, due 10/25/2035 |
43739EBS5 |
391,187 |
$398,225.43 |
0.18% |
| RECKSON OPERATING PRTSHP 7.75%, due 03/15/2020 |
75625AAB0 |
400,000 |
$402,971.95 |
0.18% |
| RITE AID CORP 6.125%, due 04/01/2023 |
767754CH5 |
446,000 |
$406,975.00 |
0.18% |
| SPECTRA ENERGY PARTNERS 4.60%, due 06/15/2021 |
84756NAB5 |
400,000 |
$412,080.69 |
0.18% |
| 321 Henderson Receivables LLC Series 2013-2A, Class A, 4.21%, due 03/15/2062 |
46617JAA4 |
340,381 |
$377,323.96 |
0.17% |
| AMER AIRLN 14-1 A PTT 3.70%, due 10/01/2026 |
02377AAA6 |
363,265 |
$389,034.89 |
0.17% |
| BECTON DICKINSON AND CO Variable rate, due 12/29/2020 |
075887CF4 |
375,000 |
$375,200.38 |
0.17% |
| Fannie Mae FN AM9830, 3.19%, due 09/01/2027 |
3138LA4Q9 |
354,349 |
$380,709.07 |
0.17% |
| GNMA Series 2009-80, Class C, Variable rate, due 04/16/2050 |
38373M8M5 |
366,928 |
$378,258.32 |
0.17% |
| PETROLEOS MEXICANOS 6.625%, due 06/15/2035 |
706451BG5 |
370,000 |
$387,369.66 |
0.17% |
| QUEST DIAGNOSTICS INC 4.20%, due 06/30/2029 |
74834LBA7 |
340,000 |
$381,017.39 |
0.17% |
| Bear Stearns Mortgage Funding Trust Series 2007-AR1, Class 1A1, Variable rate, due 01/25/2037 |
07401MAA9 |
371,291 |
$366,497.32 |
0.16% |
| EQT CORP 3.90%, due 10/01/2027 |
26884LAF6 |
435,000 |
$352,555.30 |
0.16% |
| Fannie Mae FN BL!882, 3.60%, due 03/01/2034 |
3140HTCU1 |
326,000 |
$368,208.97 |
0.16% |
| FHLMC Multifamily Structured Pass Through Certs. Series K021, Class X3, Variable rate, due 07/25/2040 |
3137AUPG8 |
8,139,000 |
$369,732.79 |
0.16% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K714, Class X3, Variable rate, due 01/25/2042 |
3137B6ZP9 |
37,598,715 |
$349,728.21 |
0.16% |
| FORD MOTOR CREDIT CO LLC N/C, 3.20%, due 01/15/2021 |
345397XQ1 |
350,000 |
$352,967.26 |
0.16% |
| GNMA Series 2018-63, Class IO, 4%, due 09/20/2047 |
38380WUG2 |
2,521,295 |
$370,233.23 |
0.16% |
| INDONESIA ASAHAN ALUMINIUM N/C, 6.53%, due 11/15/2028 |
74445PAC6 |
300,000 |
$367,969.73 |
0.16% |
| JP Morgan Mortgage Acquisition Corp Series 2006-WF1, Class A5, Variable rate, due 07/25/2036 |
46628SAH6 |
732,884 |
$360,140.51 |
0.16% |
| Countrywide Alternative Loan Trust Series 2005-16, Class A3, Variable rate, due 06/25/2035 |
12667GME0 |
353,463 |
$342,107.97 |
0.15% |
| Countrywide Alternative Loan Trust Series 2007-OA6, Class A1B, Variable rate, due 06/25/2037 |
02150PAB4 |
360,132 |
$346,876.06 |
0.15% |
| DELTA AIR LINES 2002-1G1 6.718%, due 01/02/2023 |
247367AX3 |
318,073 |
$339,644.46 |
0.15% |
| ENCOMPASS HEALTH CORP 4.75%, due 02/01/2030 |
29261AAB6 |
320,000 |
$333,296.00 |
0.15% |
| ESSEX PORTFOLIO LP 3.625%, due 08/15/2022 |
29717PAD9 |
325,000 |
$337,288.59 |
0.15% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series Q004, Class A2H, Variable rate, due 01/25/2021 |
3137FARK6 |
334,736 |
$337,240.13 |
0.15% |
| Freddie Mac FG WA3303, 3.83%, due 05/01/2035 |
3132WW3M2 |
296,328 |
$329,738.41 |
0.15% |
| GLOBAL PAYMENTS INC 3.20%, due 08/15/2029 |
37940XAB8 |
335,000 |
$348,818.44 |
0.15% |
| INGERSOLL-RAND CO N/C, 9%, due 08/15/2021 |
456866AG7 |
300,000 |
$327,220.22 |
0.15% |
| LIBERTY PROPERTY LP 4.125%, due 06/15/2022 |
53117CAN2 |
325,000 |
$340,444.89 |
0.15% |
| NATIONWIDE BLDG SOCIETY Variable rate, due 08/01/2024 |
63861VAC1 |
325,000 |
$347,024.76 |
0.15% |
| PETROLEOS MEXICANOS 6.75%, due 09/21/2047 |
71654QCC4 |
325,000 |
$331,121.37 |
0.15% |
| REYNOLDS GRP ISS/REYNOLD 5.75%, due 10/15/2020 |
761735AP4 |
329,497 |
$330,369.81 |
0.15% |
| SES GLOBAL AMERICAS HLDG 5.30%, due 03/25/2044 |
78413KAB8 |
335,000 |
$349,076.64 |
0.15% |
| SL GREEN OPERATING PARTN 3.25%, due 10/15/2022 |
78444FAF3 |
325,000 |
$333,732.48 |
0.15% |
| TENCENT HOLDINGS LTD 3.975%, due 04/11/2029 |
88032WAN6 |
300,000 |
$330,605.37 |
0.15% |
| WILLIS NORTH AMERICA INC 2.95%, due 09/15/2029 |
970648AJ0 |
325,000 |
$327,283.21 |
0.15% |
| BAYER US FINANCE II LLC 4.625%, due 06/25/2038 |
07274NAN3 |
265,000 |
$305,787.90 |
0.14% |
| BOSTON PROPERTIES LP 4.125%, due 05/15/2021 |
10112RAS3 |
300,000 |
$307,205.26 |
0.14% |
| CIM Trust Series 2017-7, Class A, Variable rate, due 04/25/2057 |
12553HAA6 |
306,287 |
$309,885.31 |
0.14% |
| CIM Trust Series 2018-R6, Class A1, Variable rate, due 09/25/2058 |
12554EAA2 |
315,209 |
$314,600.57 |
0.14% |
| Countrywide Alternative Loan Trust Series 2006-33CB, Class 2A1, 6%, due 11/25/2036 |
02148BAC8 |
390,591 |
$326,446.46 |
0.14% |
| CSC HOLDINGS LLC 6.50%, due 02/01/2029 |
126307AZ0 |
287,000 |
$322,339.75 |
0.14% |
| DAIMLER FINANCE NA LLC 2.20%, due 10/30/2021 |
233851CK8 |
310,000 |
$310,867.29 |
0.14% |
| Fannie Mae FN AM9440, 3.05%, due 07/01/2027 |
3138LAP29 |
295,000 |
$315,470.04 |
0.14% |
| FHLMC Multifamily Structured Pass Through Certs. Series KW01, Class X1, Variable rate, due 01/25/2026 |
3137BPCR8 |
6,966,882 |
$325,161.10 |
0.14% |
| GENERAL MOTORS FINL CO 3.20%, due 07/06/2021 |
37045XBM7 |
300,000 |
$304,438.51 |
0.14% |
| GOLDMAN SACHS GROUP INC Variable rate, due 10/31/2022 |
38148YAC2 |
300,000 |
$304,530.26 |
0.14% |
| KROGER CO 5.40%, due 01/15/2049 |
501044DM0 |
249,000 |
$310,512.12 |
0.14% |
| SPRINT COMMUNICATIONS 7%, due 03/01/2020 |
852061AQ3 |
311,000 |
$312,455.48 |
0.14% |
| Structured Asset Mortgage Investments Inc Series 2007-AR1, Class 2A1, Variable rate, due 01/25/2037 |
86362XAP3 |
333,809 |
$325,253.14 |
0.14% |
| TRANSOCEAN POSEIDON LTD 6.875%, due 02/01/2027 |
89383JAA6 |
293,000 |
$310,161.74 |
0.14% |
| VENTAS REALTY LP 3.75%, due 05/01/2024 |
92277GAD9 |
300,000 |
$317,610.76 |
0.14% |
| VODAFONE GROUP PLC 5.25%, due 05/30/2048 |
92857WBM1 |
250,000 |
$310,532.36 |
0.14% |
| WALGREENS BOOTS ALLIANCE 3.30%, due 11/18/2021 |
931427AF5 |
300,000 |
$305,965.74 |
0.14% |
| Bear Stearns Mortgage Funding Trust Series 2007-AR3, Class 1A1, Variable rate, due 03/25/2037 |
07401VAA9 |
299,673 |
$292,527.95 |
0.13% |
| BROADCOM CRP / CAYMN FI 3.625%, due 01/15/2024 |
11134LAF6 |
280,000 |
$292,595.66 |
0.13% |
| FHLMC Multifamily Structured Pass Through Certs. Series K736, Class XAM, Variable rate, due 07/25/2026 |
3137FNX39 |
2,900,000 |
$285,983.50 |
0.13% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series KIR1, Class X, Variable rate, due 03/25/2026 |
3137BP7A1 |
5,161,979 |
$289,015.57 |
0.13% |
| Ford Motor Co 0%, due 10/08/2020 |
3454G0K80 |
310,000 |
$303,753.50 |
0.13% |
| FORD MOTOR CREDIT 0%, due 01/08/2021 |
3454G0N87 |
295,000 |
$286,884.55 |
0.13% |
| FORD MOTOR CREDIT CO LLC 3.339%, due 03/28/2022 |
345397YL1 |
300,000 |
$303,661.89 |
0.13% |
| FORD MOTOR CREDIT CO LLC N/C, Variable rate, due 10/12/2021 |
345397ZG1 |
300,000 |
$298,243.52 |
0.13% |
| GLP CAPITAL LP / FIN II 5.375%, due 04/15/2026 |
361841AH2 |
250,000 |
$282,762.50 |
0.13% |
| IndyMac INDX Mortgage Loan Trust Series 2006-AR21, Class A1, Variable rate, due 08/25/2036 |
45660HAA6 |
326,561 |
$301,160.92 |
0.13% |
| LEVEL 3 FINANCING INC 5.375%, due 01/15/2024 |
527298BK8 |
289,000 |
$294,437.55 |
0.13% |
| PARK AEROSPACE HOLDINGS 5.50%, due 02/15/2024 |
70014LAB6 |
255,000 |
$282,820.50 |
0.13% |
| SLM Student Loan Trust Series 2008-2, Class B, Variable rate, due 01/25/2083 |
784442AD7 |
300,000 |
$287,444.70 |
0.13% |
| SLM Student Loan Trust Series 2008-3, Class B, Variable rate, due 04/26/2083 |
78444GAD6 |
300,000 |
$289,277.58 |
0.13% |
| SLM Student Loan Trust Series 2008-6, Class B, Variable rate, due 07/26/2083 |
78445CAE2 |
300,000 |
$293,954.01 |
0.13% |
| WELLS FARGO & COMPANY 4.15%, due 01/24/2029 |
95000U2D4 |
250,000 |
$283,082.19 |
0.13% |
| AMERICAN WATER CAPITAL CORP 3.45%, due 06/01/2029 |
03040WAU9 |
250,000 |
$268,966.71 |
0.12% |
| CODELCO INC 3.625%, due 08/01/2027 |
P3143NAY0 |
250,000 |
$263,033.94 |
0.12% |
| CONAGRA BRANDS INC 4.60%, due 11/01/2025 |
205887CB6 |
250,000 |
$280,052.59 |
0.12% |
| DIGITAL REALTY TRUST LP 3.95%, due 07/01/2022 |
25389JAL0 |
250,000 |
$260,950.03 |
0.12% |
| FED REPUBLIC OF BRAZIL 4.625%, due 01/13/2028 |
105756BZ2 |
250,000 |
$273,065.00 |
0.12% |
| FEDERAL HOME LOAN BANK 4.05%, due 09/21/2033 |
3130AEY20 |
275,000 |
$278,421.79 |
0.12% |
| FHLMC Multifamily Structured Pass Through Certs. Series K056, Class X1, Variable rate, due 05/25/2026 |
3137BQYV3 |
3,900,909 |
$262,241.33 |
0.12% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series Q007, Class APT2, Variable rate, due 10/25/2047 |
3137FHQC0 |
267,408 |
$279,020.01 |
0.12% |
| GNMA Series 2003-110, Class S, Variable rate, due 10/20/2033 |
38374EP35 |
1,756,319 |
$269,752.57 |
0.12% |
| IHS MARKIT LTD 4.75%, due 02/15/2025 |
44962LAB3 |
250,000 |
$275,612.50 |
0.12% |
| NATIONAL RETAIL PROP INC 3.90%, due 06/15/2024 |
637417AG1 |
250,000 |
$266,527.55 |
0.12% |
| REPUBLIC OF SOUTH AFRICA 4.875%, due 04/14/2026 |
836205AT1 |
250,000 |
$261,282.25 |
0.12% |
| SANTANDER UK GROUP HLDGS Variable rate, due 11/15/2024 |
80281LAJ4 |
250,000 |
$271,120.88 |
0.12% |
| VEREIT OPERATING PARTNERSHIP 4.625%, due 11/01/2025 |
92340LAD1 |
250,000 |
$276,884.40 |
0.12% |
| VODAFONE GROUP PLC 4.875%, due 06/19/2049 |
92857WBS8 |
228,000 |
$272,776.49 |
0.12% |
| WELLTOWER INC 3.75%, due 03/15/2023 |
42217KBA3 |
250,000 |
$262,242.44 |
0.12% |
| BACARDI LTD 5.30%, due 05/15/2048 |
067316AH2 |
200,000 |
$244,464.14 |
0.11% |
| BAT CAPITAL CORP 4.54%, due 08/15/2047 |
05526DBF1 |
250,000 |
$257,748.65 |
0.11% |
| BERKSHIRE HATHAWAY FIN 4.20%, due 08/15/2048 |
084664CQ2 |
205,000 |
$249,394.41 |
0.11% |
| BOSTON PROPERTIES LP 2.75%, due 10/01/2026 |
10112RAY0 |
250,000 |
$256,890.36 |
0.11% |
| CAMPBELL SOUP CO Variable rate, due 03/15/2021 |
134429BC2 |
250,000 |
$250,834.62 |
0.11% |
| CIM Trust Series 2017-8, Class A1, Variable rate, due 12/25/2065 |
12553RAA4 |
250,369 |
$251,735.65 |
0.11% |
| CONAGRA BRANDS INC N/C, Variable rate, due 10/09/2020 |
205887BW1 |
250,000 |
$250,407.85 |
0.11% |
| FANNIEMAE-ACES Series 2016-M4, Class X2, Variable rate, due 01/25/2039 |
3136ARP44 |
3,127,744 |
$241,552.89 |
0.11% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K035, Class X3, Variable rate, due 12/25/2041 |
3137B5KY8 |
4,000,000 |
$240,120.80 |
0.11% |
| GENERAL ELECTRIC CO N/C, 5.875%, due 01/14/2038 |
36962G3P7 |
205,000 |
$258,652.78 |
0.11% |
| GENERAL MOTORS FINL CO 4.20%, due 03/01/2021 |
37045XBF2 |
250,000 |
$255,258.58 |
0.11% |
| HarborView Mortgage Loan Trust Series 2005-9, Class 2A1A, Variable rate, due 06/20/2035 |
41161PSK0 |
249,329 |
$250,585.07 |
0.11% |
| MLCC Mortgage Investors Inc Series 2003-D, Class A, Variable rate, due 08/25/2028 |
589929V21 |
250,098 |
$250,218.76 |
0.11% |
| MONG DUONG FIN HLDGS BV 5.125%, due 05/07/2029 |
N6000DAA1 |
250,000 |
$258,930.56 |
0.11% |
| MORGAN STANLEY Variable rate, due 07/22/2022 |
61744YAJ7 |
250,000 |
$252,577.24 |
0.11% |
| PARK AEROSPACE HOLDINGS 3.625%, due 03/15/2021 |
70014LAD2 |
250,000 |
$253,797.16 |
0.11% |
| SOUTHERN GAS CORRIDOR N/C, 6.875%, due 03/24/2026 |
Y8T6JPAA4 |
200,000 |
$237,961.24 |
0.11% |
| T-MOBILE USA INC 6%, due 04/15/2024 |
87264AAQ8 |
238,000 |
$246,327.62 |
0.11% |
| VENTAS REALTY LP 2.65%, due 01/15/2025 |
92277GAT4 |
250,000 |
$254,738.42 |
0.11% |
| WELLS FARGO BANK NA Variable rate, due 03/25/2020 |
94988J5S2 |
250,000 |
$250,048.19 |
0.11% |
| ABBVIE INC 4.875%, due 11/14/2048 |
00287YBD0 |
200,000 |
$231,919.46 |
0.10% |
| AMGEN INC 4.40%, due 05/01/2045 |
031162BZ2 |
190,000 |
$221,501.20 |
0.10% |
| BANK OF AMERICA CORP Variable rate, due 03/05/2029 |
06051GHG7 |
200,000 |
$221,806.86 |
0.10% |
| BROADCOM INC 3.625%, due 10/15/2024 |
11135FAD3 |
205,000 |
$214,775.24 |
0.10% |
| C&W SR FINANCING DAC 6.875%, due 09/15/2027 |
12674TAA4 |
200,000 |
$216,035.50 |
0.10% |
| Countrywide Asset-Backed Certificates Series 2006-6, Class 1A1, Variable rate, due 09/25/2036 |
126670ZH4 |
230,563 |
$228,583.00 |
0.10% |
| DOMINICAN REPUBLIC 6%, due 07/19/2028 |
P3579ECB1 |
200,000 |
$221,571.50 |
0.10% |
| DP WORLD CRESCENT LTD N/C, 4.848%, due 09/26/2028 |
26139PAB9 |
200,000 |
$220,602.40 |
0.10% |
| Fannie Mae FN BL1452, 3.90%, due 01/01/2034 |
3140HSTJ0 |
200,000 |
$231,211.44 |
0.10% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K035, Class X1, Variable rate, due 08/25/2023 |
3137B5KX0 |
18,109,166 |
$214,441.50 |
0.10% |
| FHLMC Multifamily Structured Pass Through Certs. Series K060, Class X3, Variable rate, due 12/25/2044 |
3137BTAF8 |
1,900,000 |
$214,499.36 |
0.10% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K093, Class XAM, Variable rate, due 05/25/2029 |
3137FMCV2 |
2,330,000 |
$232,370.90 |
0.10% |
| FHLMC Multifamily Structured Pass Through Certs. Series K736, Class X1, Variable rate, due 07/25/2026 |
3137FNWZ9 |
3,299,741 |
$234,640.62 |
0.10% |
| FHLMC Multifamily Structured Pass Through Certs. Series KC07, Class X1, Variable rate, due 09/25/2026 |
3137FQK93 |
5,500,000 |
$215,333.80 |
0.10% |
| FHLMC Multifamily Structured Pass Through Certs. Series KS11, Class XFX, Variable rate, due 06/25/2029 |
3137FNB25 |
1,800,000 |
$217,229.76 |
0.10% |
| GLOBAL BANK CORPORATION Variable rate, due 04/16/2029 |
P47718AE4 |
200,000 |
$217,050.00 |
0.10% |
| GLP CAPITAL LP / FIN II 5.375%, due 11/01/2023 |
361841AF6 |
200,000 |
$219,914.00 |
0.10% |
| HCA INC 5%, due 03/15/2024 |
404119BN8 |
200,000 |
$220,663.99 |
0.10% |
| HOLOGIC INC 4.625%, due 02/01/2028 |
436440AM3 |
208,000 |
$220,556.43 |
0.10% |
| JPMORGAN CHASE & CO Variable rate, due 04/23/2029 |
46647PAR7 |
200,000 |
$222,071.86 |
0.10% |
| KINGDOM OF BAHRAIN N/C, 7%, due 10/12/2028 |
BDFD907 |
200,000 |
$235,638.00 |
0.10% |
| One Market Plaza Trust Series 2017-1MKT, Class A, 3.6139%, due 02/10/2032 |
68245HAA2 |
215,000 |
$221,940.52 |
0.10% |
| PERUSAHAAN PENERBIT SBSN N/C, 4.15%, due 03/29/2027 |
71567RAH9 |
200,000 |
$216,900.00 |
0.10% |
| PETROLEOS DEL PERU SA 4.75%, due 06/19/2032 |
P7808BAA5 |
200,000 |
$221,569.50 |
0.10% |
| REPUBLICA ORIENT URUGUAY 4.375%, due 01/23/2031 |
917288BK7 |
200,000 |
$225,550.00 |
0.10% |
| RUSSIAN FEDERATION N/C, 4.75%, due 05/27/2026 |
BDF1291 |
200,000 |
$224,573.40 |
0.10% |
| SHIRE ACQ INV IRELAND DA 2.40%, due 09/23/2021 |
82481LAB5 |
225,000 |
$226,662.44 |
0.10% |
| SL GREEN OPERATING PARTN Variable rate, due 08/16/2021 |
78444FAG1 |
225,000 |
$225,057.39 |
0.10% |
| SLM Student Loan Trust Series 2008-8, Class B, Variable rate, due 10/25/2075 |
78445GAE3 |
220,000 |
$219,923.31 |
0.10% |
| Structured Asset Mortgage Investments Inc Series 2003-AR3, Class A1, Variable rate, due 11/19/2033 |
86358HUT4 |
215,577 |
$214,433.69 |
0.10% |
| WAMU MORTGAGE PASS-THROUGH CER Series 2005-AR15, Class A1A1, Variable rate, due 11/25/2045 |
92922F5T1 |
228,663 |
$225,040.11 |
0.10% |
| WAMU Mortgage Pass-Through Certificates Series 2004-AR12, Class A2A, Variable rate, due 10/25/2044 |
92922FZF8 |
218,715 |
$219,641.51 |
0.10% |
| ARAB REPUBLIC OF EGYPT N/C, 5.577%, due 02/21/2023 |
03846JW30 |
200,000 |
$210,500.00 |
0.09% |
| BAE SYSTEMS HOLDINGS INC 2.85%, due 12/15/2020 |
05523UAM2 |
200,000 |
$201,374.19 |
0.09% |
| BOSTON PROPERTIES LP 3.40%, due 06/21/2029 |
10112RBB9 |
200,000 |
$213,587.89 |
0.09% |
| BROADCOM INC 3.125%, due 04/15/2021 |
11135FAA9 |
205,000 |
$207,720.26 |
0.09% |
| CLEAN HARBORS INC 4.875%, due 07/15/2027 |
184496AN7 |
200,000 |
$209,130.00 |
0.09% |
| ELANCO ANIMAL HEALTH INC 4.272%, due 08/28/2023 |
28414HAE3 |
182,000 |
$192,665.38 |
0.09% |
| FANNIE MAE Seried 2013-18, Class MI, 3%, due 02/25/2033 |
3136ACXN6 |
2,718,477 |
$191,832.85 |
0.09% |
| FANNIEMAE-ACES Series 2015- M4, Class X2, Variable rate, due 07/25/2022 |
3136AMM71 |
29,754,925 |
$206,052.86 |
0.09% |
| FHLMC Multifamily Structured Pass Through Certs. Series K054, Class X1, Variable rate, due 01/25/2026 |
3137BNGU2 |
3,533,022 |
$214,024.49 |
0.09% |
| FHLMC Multifamily Structured Pass Through Certs. Series K715, Class X3, Variable rate, due 02/25/2041 |
3137BAHC9 |
11,000,000 |
$206,474.40 |
0.09% |
| FHLMC Multifamily Structured Pass Through Certs. Series KS05, Class X, Variable rate, due 01/25/2023 |
3137BQTR8 |
10,103,263 |
$196,003.29 |
0.09% |
| FHLMC Multifamily Structured Pass Through Certs. Series KS06, Class X, Variable rate, due 08/25/2026 |
3137BS5P4 |
3,790,812 |
$198,035.45 |
0.09% |
| GLP CAPITAL LP / FIN II 5.30%, due 01/15/2029 |
361841AL3 |
185,000 |
$211,812.51 |
0.09% |
| HUDSON PACIFIC PROPERTIES 4.65%, due 04/01/2029 |
44409MAB2 |
175,000 |
$197,098.31 |
0.09% |
| IndyMac INDX Mortgage Loan Trust Series 2007-FLX2, Class A1C, Variable rate, due 04/25/2037 |
45668RAC2 |
201,175 |
$192,211.80 |
0.09% |
| LLOYDS BANKING GROUP PLC N/C, 3.90%, due 03/12/2024 |
53944YAH6 |
200,000 |
$212,372.29 |
0.09% |
| NATL RETAIL PROPERTIES 3.80%, due 10/15/2022 |
637417AE6 |
200,000 |
$208,414.50 |
0.09% |
| OMAN GOV INTERNTL BOND N/C, 5.625%, due 01/17/2028 |
682051AH0 |
200,000 |
$207,175.40 |
0.09% |
| PERU LNG SRL 5.375%, due 03/22/2030 |
P7721BAE1 |
200,000 |
$196,969.50 |
0.09% |
| SES SA 3.60%, due 04/04/2023 |
78413HAA7 |
200,000 |
$206,253.54 |
0.09% |
| UNITED MEXICAN STATES 3.25%, due 04/16/2030 |
91087BAH3 |
200,000 |
$201,150.00 |
0.09% |
| VIRGIN MEDIA SECURED FIN 5.50%, due 08/15/2026 |
92769XAM7 |
200,000 |
$210,464.50 |
0.09% |
| AVOLON HOLDINGS FNDG LTD 2.875%, due 02/15/2025 |
05401AAH4 |
185,000 |
$185,775.15 |
0.08% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS Series K045, Class X1, Variable rate, due 01/25/2025 |
3137BHXK8 |
8,759,019 |
$169,068.33 |
0.08% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K037, Class X3, Variable rate, due 01/25/2042 |
3137B8G68 |
2,500,000 |
$190,780.75 |
0.08% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K728, Class X3, Variable rate, due 11/25/2045 |
3137FBTD8 |
2,230,000 |
$180,537.90 |
0.08% |
| FHLMC Multifamily Structured Pass Through Certs. Series K737, Class X1, Variable rate, due 10/25/2026 |
3137FQXL2 |
4,650,000 |
$173,538.00 |
0.08% |
| FHLMC Multifamily Structured Pass Through Certs. Series K737, Class XAM, Variable rate, due 10/25/2026 |
3137FQXN8 |
2,750,000 |
$173,844.00 |
0.08% |
| FORD MOTOR CREDIT CO LLC N/C, 3.813%, due 10/12/2021 |
345397ZH9 |
170,000 |
$173,279.67 |
0.08% |
| GNMA Series 2014-125, Class IO, Variable rate, due 11/16/2054 |
38378XLU3 |
3,262,105 |
$188,972.10 |
0.08% |
| KONINKLIJKE KPN NV 8.375%, due 10/01/2030 |
780641AH9 |
125,000 |
$176,600.37 |
0.08% |
| PROV ST JOSEPH HLTH OBL 2.746%, due 10/01/2026 |
743756AB4 |
180,000 |
$189,989.82 |
0.08% |
| TEACHERS INSUR & ANNUITY Variable rate, due 09/15/2054 |
878091BE6 |
175,000 |
$183,683.14 |
0.08% |
| AMERICAN CAMPUS CMNTYS 3.35%, due 10/01/2020 |
024836AC2 |
150,000 |
$151,290.13 |
0.07% |
| ANTERO RESOURCES CORP 5%, due 03/01/2025 |
03674XAJ5 |
236,000 |
$157,530.00 |
0.07% |
| Argent Securities Inc. Series 2005-W3, Class M1, Variable rate, due 11/25/2035 |
040104PC9 |
160,000 |
$159,279.62 |
0.07% |
| DUKE ENERGY PROGRESS LLC 3.70%, due 09/01/2028 |
26442UAG9 |
150,000 |
$166,142.85 |
0.07% |
| Fannie Mae FN BL0530, 4.03%, due 11/01/2033 |
3140HRSU8 |
130,000 |
$150,672.21 |
0.07% |
| Fannie Mae FN BL1163, 4.17%, due 01/01/2034 |
3140HSJH5 |
140,000 |
$164,078.33 |
0.07% |
| FARMERS INS EXCH Variable rate, due 11/01/2057 |
309601AE2 |
140,000 |
$147,660.98 |
0.07% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS Series KF15, Class A, Variable rate, due 02/25/2023 |
3137BNMS0 |
157,978 |
$158,045.30 |
0.07% |
| FHLMC Multifamily Structured Pass Through Certs. Series K031, Class X1, Variable rate, due 04/25/2023 |
3137B3NY0 |
25,378,291 |
$161,365.32 |
0.07% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K734, Class X1, Variable rate, due 02/25/2026 |
3137FLN59 |
4,697,267 |
$161,409.84 |
0.07% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series KS07, Class X, Variable rate, due 09/25/2025 |
3137BS6G3 |
5,000,000 |
$167,500.50 |
0.07% |
| FRESENIUS US FINANCE II 4.25%, due 02/01/2021 |
35804GAJ7 |
150,000 |
$153,026.41 |
0.07% |
| PLAINS ALL AMER PIPELINE 4.65%, due 10/15/2025 |
72650RBJ0 |
145,000 |
$157,846.03 |
0.07% |
| PRICOA GLOBAL FUNDING 1 N/C, 3.45%, due 09/01/2023 |
741531FA0 |
150,000 |
$158,508.54 |
0.07% |
| Residential Asset Mortgage Products, Inc. Series 2005-RZ3, Class M3, Variable rate, due 09/25/2035 |
76112BA42 |
160,000 |
$160,541.57 |
0.07% |
| Residential Asset Securities Corporation Series 2005-KS11, Class M2, Variable rate, due 12/25/2035 |
76110W7E0 |
150,000 |
$150,665.93 |
0.07% |
| Residential Asset Securities Corporation Series 2006-KS3, Class M1, Variable rate, due 04/25/2036 |
76113ABL4 |
150,000 |
$148,746.23 |
0.07% |
| SIRIUS XM RADIO INC 3.875%, due 08/01/2022 |
82967NAY4 |
150,000 |
$152,623.95 |
0.07% |
| Structured Receivables Finance LLC Series 2010-B, Class A, 3.73%, due 08/15/2036 |
86365LAA9 |
154,771 |
$156,531.36 |
0.07% |
| TENET HEALTHCARE CORP 4.625%, due 07/15/2024 |
88033GCS7 |
150,000 |
$153,642.75 |
0.07% |
| US AIRWAYS 2012-1A PTT 5.90%, due 10/01/2024 |
90345WAA2 |
146,255 |
$163,880.63 |
0.07% |
| Adjustable Rate Mortgage Trust Series 2005-8, Class 3A21, Variable rate, due 11/25/2035 |
007036QH2 |
148,491 |
$135,947.69 |
0.06% |
| EQT MIDSTREAM PARTNERS LP 5.50%, due 07/15/2028 |
26885BAC4 |
145,000 |
$133,961.86 |
0.06% |
| Equifirst Mortgage Loan Trust Series 2005-1, Class M3, Variable rate, due 04/25/2035 |
29445FCQ9 |
138,867 |
$139,162.89 |
0.06% |
| Fannie Mae FN 466893, 4.05%, due 01/01/2021 |
31381PUS5 |
125,000 |
$126,287.13 |
0.06% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K025, Class X3, Variable rate, due 11/25/2040 |
3137AYCG4 |
3,100,000 |
$138,087.64 |
0.06% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K155, Class A1, 3.75%, due 11/25/2029 |
3137FG6R1 |
118,902 |
$129,238.20 |
0.06% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series W5FX, Class AFX, Variable rate, due 04/25/2028 |
3137FG6Q3 |
125,000 |
$133,756.84 |
0.06% |
| FHLMC MULTIFAMILY STRUCTURED PASS TRHOUGH CERTS. Series K155, Class A3, 3.75%, due 04/25/2033 |
3137FG6T7 |
125,000 |
$142,996.38 |
0.06% |
| FORD MOTOR CREDIT CO LLC N/C, Variable rate, due 04/05/2021 |
345397YY3 |
125,000 |
$124,678.38 |
0.06% |
| GENERAL MILLS INC 4.70%, due 04/17/2048 |
370334CJ1 |
105,000 |
$129,111.69 |
0.06% |
| KRAFT HEINZ FOODS CO 7.125%, due 08/01/2039 |
42307TAH1 |
100,000 |
$133,654.67 |
0.06% |
| LLOYDS BANK PLC N/C, 3.30%, due 05/07/2021 |
53944VAP4 |
125,000 |
$127,486.39 |
0.06% |
| MGM GROWTH/MGM FINANCE 5.625%, due 05/01/2024 |
55303XAC9 |
117,000 |
$127,920.20 |
0.06% |
| NATIONWIDE BLDG SOCIETY Variable rate, due 03/08/2024 |
63861VAA5 |
135,000 |
$140,344.88 |
0.06% |
| PERNOD RICARD SA 4.45%, due 01/15/2022 |
714264AD0 |
125,000 |
$130,984.09 |
0.06% |
| QWEST CORP N/C, 7.25%, due 09/15/2025 |
912920AK1 |
125,000 |
$145,162.73 |
0.06% |
| Soundview Home Equity Loan Trust Series 2007-OPT2, Class 2A4, Variable rate, due 07/25/2037 |
83613DAE6 |
137,702 |
$125,924.57 |
0.06% |
| T-MOBILE USA INC 6.50%, due 01/15/2024 |
87264AAJ4 |
130,000 |
$133,898.70 |
0.06% |
| WELLS FARGO & COMPANY 3.069%, due 01/24/2023 |
949746SK8 |
125,000 |
$127,731.18 |
0.06% |
| Asset Backed Funding Certificates Series 2007-NC1, Class A2, Variable rate, due 05/25/2037 |
00076BAB0 |
110,035 |
$108,609.06 |
0.05% |
| BAYER US FINANCE II LLC 3.50%, due 06/25/2021 |
07274NAA1 |
100,000 |
$101,999.88 |
0.05% |
| BAYER US FINANCE II LLC 4.40%, due 07/15/2044 |
07274NBF9 |
100,000 |
$107,303.86 |
0.05% |
| CITIGROUP INC Variable rate, due 07/24/2023 |
172967LM1 |
100,000 |
$101,908.37 |
0.05% |
| Countrywide Alternative Loan Trust Series 2005-76, Class 1A1, Variable rate, due 01/25/2036 |
12668BDC4 |
116,300 |
$119,662.82 |
0.05% |
| Credit Suisse Mortgage Trust Series 2014-2R, Class 28A1, Variable rate, due 06/27/2037 |
12648ELW0 |
102,128 |
$103,030.19 |
0.05% |
| DUQUESNE LIGHT HOLDINGS 6.40%, due 09/15/2020 |
266233AC9 |
100,000 |
$102,709.71 |
0.05% |
| FAMILY DOLLAR STORES INC 5%, due 02/01/2021 |
307000AA7 |
100,000 |
$102,540.00 |
0.05% |
| Fannie Mae FN AN9297, 3.69%, due 05/01/2030 |
3138LNKK6 |
100,000 |
$112,848.76 |
0.05% |
| Fannie Mae FN BL0640, 4.095%, due 11/01/2033 |
3140HRWA7 |
100,000 |
$118,069.55 |
0.05% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K022, Class X3, Variable rate, due 08/25/2040 |
3137AVXQ5 |
2,500,000 |
$102,223.75 |
0.05% |
| First Franklin Mtg Loan Asset Backed Certificates Series 2006-FF11, Class 2A, Variable rate, due 08/25/2036 |
32028PAE5 |
137,811 |
$123,287.10 |
0.05% |
| Freddie Mac Multiclass Certificates Series 2019-P002, Class X, Variable rate, due 07/25/2033 |
3137FQKX0 |
995,000 |
$108,958.47 |
0.05% |
| FRESB MULTIFAMILY MORTGAGE PASS-THROUGH CERTS. Series 2016-SB20, Class A5F, Variable rate, due 07/25/2021 |
30289VAE0 |
105,157 |
$105,129.55 |
0.05% |
| GENERAL ELECTRIC CO N/C, 4.625%, due 01/07/2021 |
36962G4Y7 |
100,000 |
$102,395.37 |
0.05% |
| GLP CAPITAL LP / FIN II 4%, due 01/15/2030 |
361841AP4 |
115,000 |
$121,866.94 |
0.05% |
| GreenPoint Mortgage Funding Trust Series 2006-AR1, Class A1A, Variable rate, due 02/25/2036 |
39538WFH6 |
104,882 |
$102,880.03 |
0.05% |
| HarborView Mortgage Loan Trust Series 2005-9, Class 2A1C, Variable rate, due 06/20/2035 |
41161PSM6 |
99,732 |
$101,662.56 |
0.05% |
| HCA INC 5.25%, due 04/15/2025 |
404119BQ1 |
90,000 |
$101,908.27 |
0.05% |
| HUMANA INC 3.125%, due 08/15/2029 |
444859BK7 |
105,000 |
$109,131.02 |
0.05% |
| HUMANA INC 3.15%, due 12/01/2022 |
444859BA9 |
100,000 |
$102,801.29 |
0.05% |
| HUMANA INC 4.95%, due 10/01/2044 |
444859BE1 |
90,000 |
$111,511.49 |
0.05% |
| Impac CMB Trust Series 2005-1, Class 1A1, Variable rate, due 04/25/2035 |
45254NML8 |
103,117 |
$102,845.73 |
0.05% |
| J.P. Morgan Alternative Loan Trust Series 2007-S1, Class A2, Variable rate, due 04/25/2047 |
466275AB0 |
117,614 |
$113,532.84 |
0.05% |
| KANSAS CITY POWER & LT 4.20%, due 06/15/2047 |
485134BQ2 |
100,000 |
$120,245.67 |
0.05% |
| MASTR ASSET BACKED SECURITIES Series 2006-HE5, Class A3, Variable rate, due 11/25/2036 |
576455AC3 |
158,732 |
$111,629.49 |
0.05% |
| METROPOLITAN EDISON CO 3.50%, due 03/15/2023 |
591894BY5 |
100,000 |
$104,093.69 |
0.05% |
| NBCUNIVERSAL MEDIA LLC 2.875%, due 01/15/2023 |
63946BAH3 |
100,000 |
$103,216.59 |
0.05% |
| PARK AEROSPACE HOLDINGS 5.25%, due 08/15/2022 |
70014LAA8 |
100,000 |
$106,768.80 |
0.05% |
| PIPELINE FUNDING CO LLC 7.50%, due 01/15/2030 |
724060AA6 |
92,130 |
$114,799.19 |
0.05% |
| PNM RESOURCES INC 3.25%, due 03/09/2021 |
69349HAC1 |
100,000 |
$101,417.46 |
0.05% |
| PUGET SOUND ENERGY INC 4.223%, due 06/15/2048 |
745332CH7 |
100,000 |
$120,870.08 |
0.05% |
| ROCKIES EXPRESS PIPELINE 6.875%, due 04/15/2040 |
77340RAM9 |
100,000 |
$107,655.50 |
0.05% |
| SABINE PASS LIQUEFACTION 5.625%, due 03/01/2025 |
785592AM8 |
100,000 |
$113,432.21 |
0.05% |
| TITAN ACQ/CO-BORROWER 7.75%, due 04/15/2026 |
88827AAA1 |
110,000 |
$107,987.28 |
0.05% |
| TRANSOCEAN PONTUS LTD 6.125%, due 08/01/2025 |
89382PAA3 |
119,260 |
$123,444.82 |
0.05% |
| VODAFONE GROUP PLC 3.75%, due 01/16/2024 |
92857WBH2 |
100,000 |
$106,543.80 |
0.05% |
| WALGREEN CO 3.10%, due 09/15/2022 |
931422AH2 |
100,000 |
$102,451.03 |
0.05% |
| WELLCARE HEALTH PLANS 5.25%, due 04/01/2025 |
94946TAC0 |
99,000 |
$103,082.76 |
0.05% |
| ABBVIE INC 4.50%, due 05/14/2035 |
00287YAR0 |
85,000 |
$98,276.02 |
0.04% |
| ALEXANDRIA REAL ESTATE EQUITIES 3.45%, due 04/30/2025 |
015271AL3 |
75,000 |
$79,707.61 |
0.04% |
| ALLIANT ENERGY FINANCE 3.75%, due 06/15/2023 |
01882YAA4 |
75,000 |
$78,926.48 |
0.04% |
| CHURCHILL DOWNS INC 4.75%, due 01/15/2028 |
171484AE8 |
95,000 |
$99,213.25 |
0.04% |
| DSLA Mortgage Loan Trust Series 2004-AR4, Class 2A1, Variable rate, due 01/19/2045 |
23332UBV5 |
92,146 |
$83,914.74 |
0.04% |
| Fannie Mae FN 466551, 3.75%, due 07/01/2021 |
31381PH43 |
89,000 |
$90,701.08 |
0.04% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K012, Class X3, Variable rate, due 01/25/2041 |
3137A8PR3 |
5,413,749 |
$84,408.47 |
0.04% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series KC04, Class X1, Variable rate, due 12/25/2026 |
3137FMCG5 |
1,365,000 |
$87,950.23 |
0.04% |
| FLORIDA POWER & LIGHT CO 3.95%, due 03/01/2048 |
341081FQ5 |
75,000 |
$89,436.60 |
0.04% |
| Fremont Home Loan Trust Series 2005-D, Class 2A4, Variable rate, due 11/25/2035 |
35729PME7 |
90,750 |
$91,234.10 |
0.04% |
| GFL ENVIRONMENTAL INC 5.125%, due 12/15/2026 |
36168QAF1 |
80,000 |
$83,776.00 |
0.04% |
| HCP INC 4%, due 06/01/2025 |
40414LAN9 |
75,000 |
$81,457.81 |
0.04% |
| HOME DEPOT INC 3.90%, due 12/06/2028 |
437076BW1 |
75,000 |
$85,184.28 |
0.04% |
| Morgan Stanley ReRemic Trust Series 2014-R8, Class 3B1, Variable rate, due 06/26/2047 |
61764KAM5 |
97,096 |
$96,583.05 |
0.04% |
| PARK AEROSPACE HOLDINGS 4.50%, due 03/15/2023 |
70014LAC4 |
90,000 |
$95,430.15 |
0.04% |
| PETROBRAS GLOBAL FINANCE 5.093%, due 01/15/2030 |
71647NBF5 |
75,000 |
$82,031.25 |
0.04% |
| RANGE RESOURCES CORP 4.875%, due 05/15/2025 |
75281AAS8 |
120,000 |
$96,450.00 |
0.04% |
| REPUBLIC SERVICES INC 3.95%, due 05/15/2028 |
760759AT7 |
75,000 |
$84,114.74 |
0.04% |
| SLM Student Loan Trust Series 2012-7, Class B, Variable rate, due 09/25/2043 |
78447KAD4 |
100,000 |
$96,624.54 |
0.04% |
| STARBUCKS CORP 3.80%, due 08/15/2025 |
855244AQ2 |
75,000 |
$81,628.81 |
0.04% |
| Structured Asset Mortgage Investments Inc. Series 2006-AR5, Class 1A1, Variable rate, due 05/25/2036 |
86360JAA9 |
93,285 |
$89,543.01 |
0.04% |
| T-MOBILE USA INC 6%, due 03/01/2023 |
87264AAM7 |
90,000 |
$91,885.95 |
0.04% |
| UNIV OF CALIFORNIA CA REVENUES 4.601%, due 05/15/2031 |
91412GTG0 |
75,000 |
$87,458.25 |
0.04% |
| VENTAS REALTY LP 4%, due 03/01/2028 |
92277GAM9 |
75,000 |
$81,519.11 |
0.04% |
| VODAFONE GROUP PLC 4.25%, due 09/17/2050 |
92857WBU3 |
80,000 |
$87,317.03 |
0.04% |
| WAMU MORTGAGE PASS-THROUGH CER Series 2005-AR11, Class A1A, Variable rate, due 08/25/2045 |
92922F2G2 |
85,729 |
$86,038.91 |
0.04% |
| AIR LEASE CORP 4.75%, due 03/01/2020 |
00912XAJ3 |
75,000 |
$75,180.62 |
0.03% |
| AMERICAN CAMPUS CMNTYS 3.75%, due 04/15/2023 |
024836AA6 |
75,000 |
$78,854.81 |
0.03% |
| ANTERO RESOURCES CORP 5.125%, due 12/01/2022 |
03674XAC0 |
88,000 |
$76,386.64 |
0.03% |
| ANTERO RESOURCES CORP 5.625%, due 06/01/2023 |
03674XAF3 |
100,000 |
$71,750.00 |
0.03% |
| AVOLON HOLDINGS FNDG LTD 5.125%, due 10/01/2023 |
05401AAB7 |
54,000 |
$58,709.09 |
0.03% |
| BALL CORP 4%, due 11/15/2023 |
058498AS5 |
58,000 |
$61,275.26 |
0.03% |
| BANK OF AMERICA CORP Variable rate, due 12/20/2023 |
06051GHC6 |
65,000 |
$66,753.43 |
0.03% |
| Carrington Mortgage Loan Trust Series 2005-NC5, Class M1, Variable rate, due 10/25/2035 |
144531DN7 |
73,401 |
$73,753.68 |
0.03% |
| CHENIERE ENERGY PARTNERS 5.25%, due 10/01/2025 |
16411QAB7 |
70,000 |
$72,188.20 |
0.03% |
| CIGNA CORP 3.05%, due 10/15/2027 |
125523AY6 |
75,000 |
$77,250.33 |
0.03% |
| Conseco Financial Corp Series 1996-7, Class M1, Variable rate, due 09/15/2026 |
393505PN6 |
60,291 |
$63,361.35 |
0.03% |
| Fannie Mae FN AN0026, 3.48%, due 11/01/2035 |
3138LCA47 |
53,289 |
$59,005.59 |
0.03% |
| First Horizon Alternative Mortgage Securities Series 2004-AA4, Class A1, Variable rate, due 10/25/2034 |
32051GAA3 |
69,256 |
$70,034.95 |
0.03% |
| FREDDIE MAC Series 4824, Class ZC, 4%, due 09/15/2048 |
3137FHC92 |
62,261 |
$62,431.55 |
0.03% |
| FRESB MULTIFAMILY MORTGAGE PASS-THROUGH CERTS. Series 2016-SB24, Class A5H, Variable rate, due 10/25/2036 |
30295NAD2 |
57,908 |
$57,863.34 |
0.03% |
| GRAPHIC PACKAGING INTL 4.875%, due 11/15/2022 |
38869PAL8 |
58,000 |
$61,208.09 |
0.03% |
| KRAFT HEINZ FOODS CO 5.20%, due 07/15/2045 |
50077LAM8 |
65,000 |
$72,938.61 |
0.03% |
| KRAFT HEINZ FOODS CO N/C, 5%, due 06/04/2042 |
50076QAE6 |
55,000 |
$61,228.21 |
0.03% |
| MATTHEWS INTERNATIONAL CORP 5.25%, due 12/01/2025 |
577128AA9 |
75,000 |
$75,593.63 |
0.03% |
| NISOURCE INC 3.65%, due 06/15/2023 |
65473PAF2 |
70,000 |
$73,646.24 |
0.03% |
| QWEST CORP 6.75%, due 12/01/2021 |
74913GAX3 |
54,000 |
$58,071.35 |
0.03% |
| RUBY PIPELINE LLC 6.50%, due 04/01/2022 |
781172AB7 |
66,136 |
$69,196.02 |
0.03% |
| SEALED AIR CORP 5.50%, due 09/15/2025 |
81211KAX8 |
60,000 |
$65,975.11 |
0.03% |
| SERVICE CORP INTL 4.625%, due 12/15/2027 |
817565CD4 |
61,000 |
$64,344.17 |
0.03% |
| SPECTRUM BRANDS INC 6.125%, due 12/15/2024 |
84762LAS4 |
60,000 |
$62,294.70 |
0.03% |
| SPRINT CORP 7.625%, due 02/15/2025 |
85207UAJ4 |
61,000 |
$64,641.70 |
0.03% |
| Structured Adjustable Rate Mortgage Loan Trust Series 2005-12, Class 3A1, Variable rate, due 06/25/2035 |
863579SU3 |
76,218 |
$77,397.50 |
0.03% |
| TC PIPELINES LP 3.90%, due 05/25/2027 |
87233QAC2 |
75,000 |
$78,740.66 |
0.03% |
| T-MOBILE USA INC 4.75%, due 02/01/2028 |
87264AAV7 |
74,000 |
$78,767.82 |
0.03% |
| TUCSON ELECTRIC POWER CO 5.15%, due 11/15/2021 |
898813AK6 |
75,000 |
$78,471.55 |
0.03% |
| USA COM PART/USA COM FIN 6.875%, due 04/01/2026 |
91740PAC2 |
70,000 |
$74,593.68 |
0.03% |
| WAMU Mortgage Pass-Through Certerficates Series 2005-AR8, Class 2A1A, Variable rate, due 07/25/2045 |
92922FR75 |
69,906 |
$69,675.26 |
0.03% |
| WAMU Mortgage Pass-Through Certificates Series 2006-AR11, Class 1A, Variable rate, due 09/25/2046 |
93363TAA0 |
78,280 |
$73,063.52 |
0.03% |
| BERRY GLOBAL INC 4.875%, due 07/15/2026 |
085770AA3 |
41,000 |
$42,614.33 |
0.02% |
| Citigroup Mortgage Loan Trust Series 2005-HE4, Class M1, Variable rate, due 10/25/2035 |
17307GP69 |
35,229 |
$35,633.84 |
0.02% |
| COMM MORTGAGE TRUST Series 2012-CR4, Class XA, Variable rate, due 10/15/2045 |
12624QAS2 |
1,562,482 |
$55,315.61 |
0.02% |
| Fannie Mae FN AN0976, 3.259%, due 02/01/2028 |
3138LDCN1 |
44,378 |
$48,146.44 |
0.02% |
| FANNIEMAE-ACES Series 2010-M4, Class A3, 3.819%, due 06/25/2020 |
31398R7H2 |
35,606 |
$35,715.40 |
0.02% |
| FANNIEMAE-ACES Series 2012-M4, Class X1, Variable rate, due 04/25/2022 |
3136A56Z4 |
6,396,402 |
$55,868.73 |
0.02% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K101, Class X3, Variable rate, due 11/25/2044 |
3137A6BC5 |
2,000,000 |
$45,337.80 |
0.02% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Serkes K011, Class X3, Variable rate, due 12/25/2043 |
3137A7NX4 |
3,000,000 |
$47,344.50 |
0.02% |
| HCP INC 4.25%, due 11/15/2023 |
40414LAJ8 |
47,000 |
$50,462.40 |
0.02% |
| INGERSOLL-RAND LUX FINAN 3.55%, due 11/01/2024 |
456873AB4 |
40,000 |
$42,356.49 |
0.02% |
| INTL LEASE FINANCE CORP N/C, 4.625%, due 04/15/2021 |
459745GQ2 |
50,000 |
$51,501.73 |
0.02% |
| KRAFT HEINZ FOODS CO 5%, due 07/15/2035 |
50077LAL0 |
40,000 |
$45,455.81 |
0.02% |
| SBA COMMUNICATIONS CORP 4.875%, due 09/01/2024 |
78388JAV8 |
40,000 |
$41,388.91 |
0.02% |
| SPRINT CORP 7.875%, due 09/15/2023 |
85207UAF2 |
40,000 |
$43,183.40 |
0.02% |
| SUNOCO LOGISTICS PARTNERS 4%, due 10/01/2027 |
86765BAU3 |
50,000 |
$52,311.58 |
0.02% |
| TRANSMONTAIGE PARTNERS 6.125%, due 02/15/2026 |
89376VAA8 |
54,000 |
$53,546.26 |
0.02% |
| US AIRWAYS 2001-1G PASS 7.076%, due 03/20/2021 |
90332UAN3 |
45,698 |
$47,444.17 |
0.02% |
| AERCAP IRELAND CAP/GLOBA 3.95%, due 02/01/2022 |
00772BAR2 |
20,000 |
$20,701.72 |
0.01% |
| Banc of America Funding Corporation Series 2005-B, Class 3A3, Variable rate, due 04/20/2035 |
05946XSC8 |
23,207 |
$23,265.96 |
0.01% |
| Citigroup Mortgage Loan Trust Series 2007-WHF2, Class A, Variable rate, due 03/25/2037 |
17312BAD4 |
21,625 |
$21,677.56 |
0.01% |
| FANNIEMAE-ACES Series 2016-M11, Class X2, Variable rate, due 07/25/2039 |
3136AT5H3 |
518,862 |
$16,582.82 |
0.01% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K720, Class X1, Variable rate, due 08/25/2022 |
3137BLUS5 |
1,406,479 |
$13,973.65 |
0.01% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series KAIV, Class X2, Variable rate, due 06/25/2041 |
3137ABFK2 |
550,000 |
$21,567.15 |
0.01% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series KP02, Class A2, Variable rate, due 04/25/2021 |
3137BKWB2 |
12,967 |
$12,966.84 |
0.01% |
| Fremont Home Loan Trust Series 2005-A, Class M3, Variable rate, due 01/25/2035 |
35729PHN3 |
24,536 |
$24,566.94 |
0.01% |
| GNMA Series 2013-125, Class IO, Variable rate, due 10/16/2054 |
38378KQ69 |
792,213 |
$23,032.71 |
0.01% |
| INTELSAT JACKSON HLDG 9.75%, due 07/15/2025 |
45824TAY1 |
18,000 |
$16,462.53 |
0.01% |
| Interest: Pay 115620000 US0003M, Receive 115620000 USD - 01/23/2023 |
|
9,900,000 |
$28,294.17 |
0.01% |
| Interest: Pay 7405000 US0003M, Receive 7405000 USD - 01/21/2026 |
|
7,405,000 |
$20,190.52 |
0.01% |
| Mid-State Trust Series 2010-1, Class A, 3.50%, due 12/15/2045 |
59560WAA5 |
26,602 |
$27,294.48 |
0.01% |
| Navient Student Loan Trust Series 2014-1, Class A3, Variable rate, due 06/25/2031 |
63938EAC8 |
34,055 |
$33,547.55 |
0.01% |
| OI EUROPEAN GROUP BV 4%, due 03/15/2023 |
67777LAC7 |
18,000 |
$18,457.47 |
0.01% |
| BAUSCH HEALTH COS INC 5.75%, due 08/15/2027 |
071734AC1 |
6,000 |
$6,506.10 |
0.00% |
| FANNIEMAE-ACES Series 2014-M6, Class X2, Variable rate, due 05/25/2021 |
3136AJ7K6 |
2,523,083 |
$5,835.39 |
0.00% |
| FANNIEMAE-ACES Series 2016-M2, Class X3, Variable rate, due 04/25/2036 |
3136AQ5K2 |
301,477 |
$8,283.99 |
0.00% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS Series K007, Class X1, Variable rate, due 04/25/2020 |
31398QHC4 |
455,894 |
$4.56 |
0.00% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K006, Class AX1, Variable rate, due 01/25/2020 |
31398VJA5 |
3,258,503 |
$32.59 |
0.00% |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K719, Class X1, Variable rate, due 06/25/2022 |
3137BKVQ0 |
1,401,485 |
$2,409.15 |
0.00% |
| FREMF MORTGAGE TRUST Series 2013-K713, Class X2A, 0.10%, due 04/25/2046 |
30261UAE4 |
5,610,838 |
$56.11 |
0.00% |
| Interest: Pay 3010000 USD, Receive 3010000 US0003M - 01/21/2026 |
|
3,010,000 |
($24,095.87) |
-0.01% |
| Interest: Pay 47035000 USD, Receive 47035000 US0003M - 01/21/2026 |
|
4,030,000 |
($33,796.52) |
-0.02% |
| US ULTRA BOND CBT Mar20 |
WNH0 |
-58 |
($11,003,687.50) |
-4.88% |
| US 10yr Ultra Fut Mar20 |
UXYH0 |
-226 |
($32,459,250.00) |
-14.41% |
Holdings are subject to change.
The holdings information set forth above for the date indicated reflects creation and redemption transactions from the prior business day and may differ from the holdings information currently available from the Fund's custodian and accounting agent. With respect to the market value of the Fund's holdings set forth above, the pricing sources are generally third party vendors. The Fund ultimately relies on pricing information provided by the Fund's accounting agent.
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The information presented is not intended to constitute an investment recommendation for, or advice to, any specific person. By providing this information, First Trust is not undertaking to give advice in any fiduciary capacity within the meaning of ERISA, the Internal Revenue Code or any other regulatory framework. Financial 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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