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First Trust TCW Unconstrained Plus Bond ETF (UCON)
Holdings of the Fund as of 12/9/2019

Total Number of Holdings (excluding cash): 528

Security Name Identifier Shares / Quantity Market Value Weighting Descending sort
US 5YR NOTE (CBT) Mar20 FVH0 82 $9,731,734.42 4.66%
U.S. Treasury Bill, 0%, due 02/27/2020 912796SD2 5,470,000 $5,451,904.53 2.61%
U.S. Treasury Bill, 0%, due 02/20/2020 912796TG4 5,405,000 $5,388,782.30 2.58%
US Dollar $USD 4,338,123 $4,338,123.06 2.08%
U.S. Treasury Bill, 0%, due 02/13/2020 912796TF6 3,975,000 $3,964,252.32 1.90%
JAPAN TREASURY DISC BILL N/C, 0%, due 01/27/2020 BHPH811 215,000,000 $1,980,798.11 0.95%
GE CAPITAL INTL FUNDING 4.418%, due 11/15/2035 36164QNA2 1,755,000 $1,888,379.61 0.90%
MORGAN STANLEY 3.70%, due 10/23/2024 61761JVL0 1,710,000 $1,814,009.65 0.87%
JPMORGAN CHASE & CO Variable rate, due 07/23/2029 46647PAV8 1,460,000 $1,629,684.31 0.78%
Fannie Mae FN BL1137, 3.73%, due 01/01/2029 3140HSHP9 1,430,000 $1,578,461.79 0.76%
CVS HEALTH CORP 5.05%, due 03/05/2048 126650CZ1 1,165,000 $1,392,898.20 0.67%
FANNIEMAE-ACES Series 2017-M15, Class A1, Variable rate, due 09/25/2027 3136AY6W8 1,345,085 $1,401,103.71 0.67%
CITIGROUP INC 2.90%, due 12/08/2021 172967LC3 1,360,000 $1,380,008.54 0.66%
FHLMC Multifamily Structured P 2.135%, due 07/25/2025 3137FPJ48 1,353,148 $1,349,763.60 0.65%
WELLS FARGO BANK NA Variable rate, due 09/09/2022 94988J6A0 1,345,000 $1,344,400.45 0.64%
Small Business Administration Participation Certs. Series 2008-20H, Class 1, 6.02%, due 08/01/2028 83162CRY1 1,219,065 $1,321,217.98 0.63%
BANK OF AMERICA CORP Variable rate, due 05/17/2022 06051GHH5 1,245,000 $1,269,203.64 0.61%
Fannie Mae FN BL0661, 3.99%, due 11/01/2033 3140HRWX7 1,144,881 $1,274,660.69 0.61%
GSAMP Trust Series 2006-HE4, Class A2, Variable rate, due 06/25/2036 362439AE1 1,300,000 $1,272,939.85 0.61%
FANNIEMAE-ACES Series 2017-M14, Class A1, Variable rate, due 11/25/2027 3136AY2G7 1,210,348 $1,248,829.37 0.60%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series KJ24, Class A1, 2.283%, due 05/25/2026 3137FMD66 1,191,126 $1,209,431.47 0.58%
Fannie Mae FN AM4865, 4.24%, due 12/01/2029 3138L5MP2 1,058,824 $1,199,489.98 0.57%
CIGNA CORP 4.375%, due 10/15/2028 125523AH3 1,045,000 $1,165,009.15 0.56%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series KJ21, Class A1, 3.111%, due 06/25/2025 3137FHCD3 1,113,716 $1,164,346.09 0.56%
Fannie Mae 4.16%, due 07/01/2021 31381RWZ3 1,105,000 $1,138,582.67 0.55%
Fannie Mae FN AN9447, 3.78%, due 07/01/2033 3138LNP96 1,025,000 $1,140,281.73 0.55%
BAYER US FINANCE II LLC 4.375%, due 12/15/2028 07274NAL7 1,000,000 $1,094,869.10 0.52%
GE CAPITAL INTL FUNDING 2.342%, due 11/15/2020 36164QMS4 1,065,000 $1,064,693.65 0.51%
JAPAN TREASURY DISC BILL N/C, 0%, due 01/20/2020 BJ2KRS7 115,000,000 $1,059,468.33 0.51%
SPRINT SPECTRUM / SPEC I 4.738%, due 03/20/2025 85208NAD2 1,005,000 $1,068,762.23 0.51%
.FANNIEMAE-ACES Series 2019-M24, Class A1, 2.379%, due 12/01/2028 3136B7FJ5 1,000,000 $1,017,617.19 0.49%
JAPAN TREASURY DISC BILL N/C, 0%, due 01/14/2020 BK6XNK3 110,000,000 $1,013,382.55 0.49%
WEA FINANCE LLC 3.15%, due 04/05/2022 92928QAC2 1,000,000 $1,018,780.06 0.49%
Citigroup Mortgage Loan Trust Series 2006-HE3, Class A2B, Variable rate, due 12/25/2036 17310VAB6 1,292,847 $1,004,506.57 0.48%
Fannie Mae FN AN9502, 3.96%, due 06/01/2033 3138LNRY9 900,000 $1,007,174.13 0.48%
Credit-Based Asset Servicing and Securitization Series 2006-MH1, Class B1, Variable rate, due 10/25/2036 1248P8AK5 957,000 $989,183.53 0.47%
KRAFT HEINZ FOODS CO 4.875%, due 10/01/2049 50077LAY2 925,000 $978,951.64 0.47%
Small Business Administration Participation Certs. Series 2008-20F, Class 1, 5.68%, due 06/01/2028 83162CRV7 897,889 $975,297.94 0.47%
SUNOCO LOGISTICS PARTNERS 5.40%, due 10/01/2047 86765BAV1 930,000 $981,149.20 0.47%
Fannie Mae FN AN9706, 3.76%, due 07/01/2033 3138LNYC9 860,000 $954,349.41 0.46%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series Q010, Class APT1, Variable rate, due 04/25/2046 3137FMUJ9 930,394 $937,754.72 0.45%
American Home Mortgage Investment Trust Series 2005-4, Class 1A1, Variable rate, due 11/25/2045 02660TGN7 917,336 $914,634.02 0.44%
BANK OF AMERICA CORP Variable rate, due 07/23/2029 06051GHM4 830,000 $925,073.65 0.44%
Structured Adjustable Rate Mortgage Loan Trust Series 2007-4, Class 1A2, Variable rate, due 05/25/2037 86363LAB9 932,562 $908,375.23 0.44%
Ace Securities Corp. Variable rate, due 06/25/2036 00441TAD5 1,107,422 $903,737.02 0.43%
Residential Asset Mortgage Products, Inc. Series 2006-RZ1, Class M3, Variable rate, due 03/25/2036 76112BZ45 900,000 $903,408.75 0.43%
Small Business Administration Participation Certs. Series 2007-20A, Class 1, 5.32%, due 01/01/2027 83162CQU0 821,129 $867,876.03 0.42%
Bombardier Capital Mortgage Securitization Corp. Series 2000-A, Class A5, Variable rate, due 06/15/2030 09774XBT8 2,369,065 $851,358.21 0.41%
FANNIEMAE-ACES Series 2016-M2, Class AL, 3.471%, due 04/25/2036 3136AQ5J5 790,354 $856,281.97 0.41%
FHLMC Multifamily Structured Pass Through Certs. Series K716, Class X3, Variable rate, due 08/25/2042 3137BDDE3 30,235,000 $831,429.24 0.40%
COMCAST CORP 2.35%, due 01/15/2027 20030NBW0 815,000 $814,119.63 0.39%
Fannie Mae FN AM9897, 3.50%, due 09/01/2035 3138LA7K9 749,604 $821,590.72 0.39%
SLM Student Loan Trust Series 2007-7, Class B, Variable rate, due 10/27/2070 78444EAE9 905,000 $822,391.42 0.39%
GOLDMAN SACHS GROUP INC Variable rate, due 05/01/2029 38141GWZ3 715,000 $789,185.25 0.38%
IndyMac INDX Mortgage Loan Trust Series 2006-AR4, Class A1A, Variable rate, due 05/25/2046 45661EAV6 801,030 $790,957.24 0.38%
MASSMUTUAL GLOBAL FUNDING II N/C, 3.40%, due 03/08/2026 57629WCH1 750,000 $793,344.87 0.38%
SLM Student Loan Trust Series 2008-9, Class B, Variable rate, due 10/25/2083 78445JAB3 800,000 $798,940.72 0.38%
HarborView Mortgage Loan Trust Series 2007-7, Class 1A1, Variable rate, due 10/25/2037 411640AA3 812,304 $780,055.14 0.37%
Opteum Mortgage Acceptance Corporation Series 2006-1, Class 1AC1, Variable rate, due 04/25/2036 68383NDW0 792,705 $776,549.72 0.37%
U.S. Treasury Bill, 0%, due 12/26/2019 912796SY6 768,000 $767,501.66 0.37%
Fannie Mae FN BL1414, 3.96%, due 01/01/2034 3140HSSC6 670,000 $751,145.91 0.36%
KRAFT HEINZ FOODS CO 4.375%, due 06/01/2046 50077LAB2 765,000 $752,911.28 0.36%
AT&T INC 4.75%, due 05/15/2046 00206RCQ3 655,000 $738,508.59 0.35%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series Q006, Class APT1, Variable rate, due 07/25/2026 3137FCL51 698,623 $726,912.69 0.35%
FORD MOTOR CREDIT CO LLC N/C, 5.875%, due 08/02/2021 345397VU4 700,000 $732,910.99 0.35%
JPMORGAN CHASE & CO Variable rate, due 12/05/2024 46647PAY2 675,000 $721,247.23 0.35%
REYNOLDS AMERICAN INC 5.85%, due 08/15/2045 761713BB1 645,000 $733,504.88 0.35%
Structured Asset Mortgage Investments Inc. Series 2006-AR8, Class A1A, Variable rate, due 10/25/2036 86361WAA9 774,623 $735,209.98 0.35%
Fannie Mae FN AM8745, 2.81%, due 05/01/2027 3138L9WF5 680,282 $705,028.06 0.34%
GENERAL MILLS INC 4%, due 04/17/2025 370334CF9 650,000 $700,894.62 0.34%
Structured Adjustable Rate Mortgage Loan Trust Series 2006-11, Class 1A1, Variable rate, due 12/25/2036 86362HAA1 713,296 $700,473.97 0.34%
AT&T INC 4.85%, due 03/01/2039 00206RHK1 594,000 $682,689.90 0.33%
BARNABAS HEALTH INC 4%, due 07/01/2028 06769QAA8 635,000 $679,919.30 0.33%
CHARTER COMM OPT LLC/CAP 5.75%, due 04/01/2048 161175BN3 600,000 $697,507.64 0.33%
Fannie Mae FN AN9164, 3.55%, due 05/01/2030 3138LNFE6 625,000 $682,679.77 0.33%
Fannie Mae FN AN9756, 3.94%, due 07/01/2033 3138LNZW4 614,206 $680,678.36 0.33%
SANTANDER UK PLC N/C, 3.40%, due 06/01/2021 80283LAT0 650,000 $662,528.35 0.32%
Soundview Home Equity Loan Trust Series 2005-OPT3, Class M1, Variable rate, due 11/25/2035 83611MGU6 680,000 $675,368.46 0.32%
ANTHEM INC 3.35%, due 12/01/2024 036752AC7 615,000 $641,086.36 0.31%
LOS ANGELES CA DEPT OF WTR & P TAXABLE-BABS-SER C, 6.008%, due 07/01/2039 544525NZ7 500,000 $655,695.00 0.31%
LOS ANGELES CA UNIF SCH DIST GO, TAXABLE-BABS-KRY, 5.75%, due 07/01/2034 544646XZ0 500,000 $645,895.00 0.31%
MASTR Adjustable Rate Mortgages Trust Series 2007-2, Class A1, Variable rate, due 03/25/2047 576429AA2 658,089 $641,379.30 0.31%
NATIONWIDE BLDG SOCIETY Variable rate, due 04/26/2023 63861VAD9 630,000 $645,980.22 0.31%
RAYMOND JAMES FINANCIAL 3.625%, due 09/15/2026 754730AE9 615,000 $653,125.15 0.31%
RELX CAPITAL INC 4%, due 03/18/2029 74949LAC6 600,000 $656,642.83 0.31%
SLM Student Loan Trust Series 2008-5 Class B, Variable rate, due 07/25/2073 78444YAE5 650,000 $644,506.27 0.31%
SOUTHERN CO GAS CAPITAL 5.875%, due 03/15/2041 001192AH6 500,000 $641,304.68 0.31%
Structured Asset Mortgage Investments Inc Series 2006-AR4, Class 3A1, Variable rate, due 06/25/2036 86360QAE5 663,575 $649,586.23 0.31%
AERCAP IRELAND CAP LTD/A 4.50%, due 05/15/2021 00772BAF8 600,000 $619,559.71 0.30%
Bear Stearns Mortgage Funding Series 2006-AR3, Class 1A1, Variable rate, due 10/25/2036 07400HAA1 639,525 $618,225.14 0.30%
ABBVIE INC 4.25%, due 11/21/2049 00287YBS7 565,000 $603,523.67 0.29%
AIR LEASE CORP 3.875%, due 07/03/2023 00912XBC7 570,000 $597,962.67 0.29%
American Home Mortgage Assets Series 2007-1, Class A1, Variable rate, due 02/25/2047 02660BAA0 990,840 $613,895.63 0.29%
AMGEN INC 4.40%, due 05/01/2045 031162BZ2 540,000 $609,226.21 0.29%
ANHEUSER-BUSCH INBEV WOR 4.60%, due 04/15/2048 035240AN0 515,000 $598,811.01 0.29%
FORD MOTOR CREDIT CO LLC N/C, 3.219%, due 01/09/2022 345397XA6 600,000 $602,535.59 0.29%
UNITED AIR 2013-1 A PTT 4.30%, due 08/15/2025 909319AA3 564,486 $608,744.24 0.29%
CITIGROUP INC Variable rate, due 04/23/2029 172967LW9 525,000 $576,900.28 0.28%
GreenPoint Mortgage Funding Trust SEries 2007-AR1, Class 2A1A, Variable rate, due 03/25/2047 39539KAD5 601,008 $591,514.60 0.28%
HEALTHCARE REALTY TRUST 3.75%, due 04/15/2023 421946AH7 575,000 $592,309.97 0.28%
HEALTHCARE TRUST OF AMER 3.70%, due 04/15/2023 42225UAB0 575,000 $594,747.73 0.28%
Novastar Home Equity Loan Series 2007-2, Class A1A, Variable rate, due 09/25/2037 66989EAA3 590,065 $576,963.70 0.28%
Structured Asset Mortgage Invements Inc Series 2006-AR3, Class 12A1, Variable rate, due 05/25/2036 86360KAE8 613,691 $590,880.22 0.28%
Structured Asset Mortgage Investments Inc. Series 2006-AR1, Class 3A1, Variable rate, due 02/25/2036 86359LTG4 628,150 $581,615.89 0.28%
BROADCOM CRP / CAYMN FI 2.375%, due 01/15/2020 11134LAB5 565,000 $565,093.92 0.27%
CAMDEN PROPERTY TRUST 2.95%, due 12/15/2022 133131AT9 550,000 $560,603.41 0.27%
Fannie Mae FN AN9540, 3.75%, due 06/01/2033 3138LNS69 500,000 $554,782.38 0.27%
FHLMC Multifamily Structured Pass Through Certs. Series KJ25, Class A1, 2.149%, due 11/25/2024 3137FNXG0 555,993 $558,382.84 0.27%
GEORGIA-PACIFIC LLC 5.40%, due 11/01/2020 37331NAB7 540,000 $555,632.88 0.27%
GreenPoint Mortgage Funding Trust Series 2005-AR3, Class 1A1, Variable rate, due 08/25/2045 39538RBW8 586,329 $566,235.03 0.27%
AMCOR FINANCE USA INC 4.50%, due 05/15/2028 02343UAE5 490,000 $534,816.46 0.26%
AMERICAN CAMPUS CMNTYS 4.125%, due 07/01/2024 024836AB4 500,000 $533,813.46 0.26%
CUBESMART LP 4.375%, due 02/15/2029 22966RAE6 500,000 $550,265.27 0.26%
Fannie Mae FN BL1132, 3.73%, due 01/01/2029 3140HSHJ3 495,000 $546,390.62 0.26%
Fannie Mae FN BL1416, 3.86%, due 01/01/2029 3140HSSE2 494,278 $544,811.91 0.26%
FANNIE MAE Series 2012-128, Class UA, 2.50%, due 06/25/2042 3136A9VM7 553,236 $542,349.27 0.26%
IndyMac INDX Mortgage Loan Trust Series 2005-16IP, Class A1, Variable rate, due 07/25/2045 45660LUD9 563,899 $533,580.90 0.26%
LLOYDS BANKING GROUP PLC Variable rate, due 11/07/2023 539439AP4 540,000 $546,440.49 0.26%
PENNSYLVANIA ELECTRIC CO 4.15%, due 04/15/2025 708696BX6 500,000 $533,086.08 0.26%
WAMU Mortgage Pass-Through Certificates Series 2006-AR3, Class A1A, Variable rate, due 02/25/2046 92925CDA7 525,085 $537,943.22 0.26%
WELLS FARGO & COMPANY Variable rate, due 05/22/2028 95000U2A0 510,000 $541,397.51 0.26%
ALIMENTATION COUCHE-TARD 3.55%, due 07/26/2027 01626PAH9 510,000 $524,840.33 0.25%
BOSTON SCIENTIFIC CORP 3.45%, due 03/01/2024 101137AV9 500,000 $522,925.32 0.25%
CITIGROUP INC Variable rate, due 04/24/2025 172967MF5 500,000 $518,349.96 0.25%
CYRUSONE LP/CYRUSONE FIN 2.90%, due 11/15/2024 23283PAQ7 515,000 $517,549.25 0.25%
DAIMLER FINANCE NA LLC N/C, Variable rate, due 02/15/2022 233851DV3 520,000 $524,540.36 0.25%
DIGITAL REALTY TRUST LP 3.625%, due 10/01/2022 25389JAK2 500,000 $517,223.32 0.25%
Fannie Mae FN AM2974, 4.10%, due 04/01/2043 3138L3JU0 492,338 $522,232.88 0.25%
FANNIEMAE-ACES Series 2016-M11, Class AL, 2.944%, due 07/25/2039 3136AT5G5 522,413 $529,221.61 0.25%
FRESENIUS MED CARE II 4.125%, due 10/15/2020 35802XAH6 525,000 $530,783.37 0.25%
HUDSON PACIFIC PROPERTIES 3.95%, due 11/01/2027 44409MAA4 500,000 $524,609.25 0.25%
IHS MARKIT LTD 4.75%, due 08/01/2028 44962LAF4 465,000 $518,741.22 0.25%
INTELSAT JACKSON HLDG 8.50%, due 10/15/2024 45824TBA2 625,000 $528,906.25 0.25%
KIMCO REALTY CORP 3.40%, due 11/01/2022 49446RAN9 500,000 $516,119.15 0.25%
NORTHROP GRUMMAN CORP 2.93%, due 01/15/2025 666807BM3 510,000 $524,446.25 0.25%
NXP BV/NXP FUNDING LLC 4.125%, due 06/01/2021 62947QAU2 500,000 $512,283.34 0.25%
U.S. Treasury Bill, 0%, due 02/04/2020 912796WR6 530,000 $528,759.21 0.25%
WASTE MANAGEMENT INC 3.20%, due 06/15/2026 94106LBH1 500,000 $525,178.07 0.25%
WILLIAMS PARTNERS LP 3.75%, due 06/15/2027 96949LAD7 510,000 $524,312.87 0.25%
AVIATION CAPITAL GROUP N/C, Variable rate, due 06/01/2021 05369AAG6 500,000 $501,589.45 0.24%
BANK OF AMERICA CORP Variable rate, due 02/07/2030 06051GHQ5 465,000 $510,316.97 0.24%
Fannie Mae FN BL1052, 3.95%, due 12/01/2028 3140HSE23 450,000 $502,811.26 0.24%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K057, Class X1, Variable rate, due 07/25/2026 3137BRQL2 7,909,962 $509,781.20 0.24%
Freddie Mac FG WA3208, 3.98%, due 04/01/2034 3132WWYE6 443,611 $496,188.62 0.24%
KAZMUNAYGAS NATIONAL CO N/C, 5.375%, due 04/24/2030 Y44709AF3 440,000 $508,679.60 0.24%
SOUTHWESTERN ELEC POWER 4.10%, due 09/15/2028 845437BR2 450,000 $493,807.77 0.24%
TOTAL SYSTEM SERVICES INC 3.80%, due 04/01/2021 891906AD1 500,000 $509,669.13 0.24%
WELLS FARGO & COMPANY N/C, 2.60%, due 07/22/2020 94974BGM6 500,000 $501,971.77 0.24%
ALEXANDRIA REAL ESTATE EQUITIES 3.80%, due 04/15/2026 015271AP4 450,000 $480,749.60 0.23%
Fannie Mae FN BL1154, 3.86%, due 02/01/2029 3140HSH87 424,496 $470,094.66 0.23%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series Q101, Class APT2, Variable rate, due 12/25/2047 3137FMUK6 477,905 $483,145.94 0.23%
GENERAL MOTORS FINL CO 3.55%, due 04/09/2021 37045XCJ3 475,000 $482,783.28 0.23%
Lehman XS Trust Series 2005-5N, Class 3A1A, Variable rate, due 11/25/2035 86359DUR6 470,148 $470,015.58 0.23%
Fannie Mae FN AN9114, 3.58%, due 05/01/2029 3138LNDU2 416,622 $451,264.83 0.22%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K044, Class X1, Variable rate, due 01/25/2025 3137BHCZ8 14,568,133 $451,497.05 0.22%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series Q007, Class APT1, Variable rate, due 10/25/2047 3137FHQB2 445,103 $453,473.20 0.22%
HCA INC 5.25%, due 06/15/2049 404119BZ1 400,000 $452,709.42 0.22%
PETROLEOS MEXICANOS 7.69%, due 01/23/2050 71654QCW0 419,000 $456,850.37 0.22%
STATE OF QATAR 4.50%, due 04/23/2028 BFYY529 400,000 $459,200.00 0.22%
Structured Asset Mortgage Investments Inc Series 2005-AR2, Class 2A1, Variable rate, due 05/25/2045 86359LJA8 466,980 $467,975.68 0.22%
WALGREENS BOOTS ALLIANCE 4.80%, due 11/18/2044 931427AC2 435,000 $451,169.41 0.22%
BCAP LLC Trust Series 2007-AA3, Class 1A1, Variable rate, due 04/25/2037 05530VAA7 450,913 $445,577.60 0.21%
FHLMC Multifamily Structured Pass Through Certs. Series K042, Class X1, Variable rate, due 12/25/2024 3137BFXU0 9,672,633 $433,139.53 0.21%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K714, Class X3, Variable rate, due 01/25/2042 3137B6ZP9 37,598,715 $437,028.66 0.21%
INTL FLAVOR & FRAGRANCES 4.45%, due 09/26/2028 459506AK7 400,000 $438,117.94 0.21%
KILROY REALTY LP 4.375%, due 10/01/2025 49427RAL6 400,000 $431,906.16 0.21%
KINDER MORGAN INC 5.55%, due 06/01/2045 49456BAH4 370,000 $431,992.07 0.21%
MLCC Mortgage Investors Inc Series 2004-E, Class A2B, Variable rate, due 11/25/2029 59020UJR7 435,707 $441,332.29 0.21%
ROCKIES EXPRESS PIPELINE 5.625%, due 04/15/2020 77340RAK3 436,000 $440,562.52 0.21%
SMITHFIELD FOODS INC 5.20%, due 04/01/2029 832248BB3 387,000 $429,134.84 0.21%
US 2YR NOTE (CBT) Mar20 TUH0 2 $430,828.12 0.21%
WRKCO INC 4.65%, due 03/15/2026 92940PAB0 405,000 $443,680.55 0.21%
ALLERGAN FUNDING SCS 4.55%, due 03/15/2035 00507UAT8 390,000 $423,521.35 0.20%
BACARDI LTD 4.70%, due 05/15/2028 067316AF6 390,000 $423,209.14 0.20%
BANK OF NY MELLON CORP Variable rate, due 05/16/2023 06406RAC1 420,000 $425,634.71 0.20%
Citigroup Mortgage Loan Trust Series 2007-WFH3, Class M1, Variable rate, due 06/25/2037 17313CAD1 425,000 $415,458.50 0.20%
CONSTELLATION BRANDS INC 4.25%, due 05/01/2023 21036PAL2 390,000 $415,465.95 0.20%
Credit Suisse Mortgage Trust Series 2010-7R, Class 1A12, 4%, due 01/26/2037 12643RAY4 406,897 $412,229.84 0.20%
KILROY REALTY LP 3.45%, due 12/15/2024 49427RAM4 400,000 $414,516.69 0.20%
MOLSON COORS BREWING CO 2.25%, due 03/15/2020 60871RAP5 420,000 $420,089.77 0.20%
REPUBLIC OF COLOMBIA 3.875%, due 04/25/2027 195325DL6 400,000 $423,739.00 0.20%
SAUDI INTERNATIONAL BOND N/C, 3.625%, due 03/04/2028 BYZFF68 400,000 $422,191.20 0.20%
SPECTRA ENERGY PARTNERS 4.60%, due 06/15/2021 84756NAB5 400,000 $411,683.81 0.20%
THE WALT DISNEY COMPANY 4%, due 10/01/2023 254687CR5 390,000 $416,755.89 0.20%
TRANSCANADA PIPELINES 5.10%, due 03/15/2049 89352HAZ2 350,000 $421,829.71 0.20%
Wells Fargo Mortgage Backed Securities Trust Series 2007-AR5, Class A1, Variable rate, due 10/25/2037 94986DAA0 463,304 $422,892.07 0.20%
BECTON DICKINSON 3.25%, due 11/12/2020 075887AW9 400,000 $404,512.14 0.19%
CAMPBELL SOUP CO 3.30%, due 03/15/2021 134429BD0 390,000 $395,597.41 0.19%
Fannie Mae FN BL0242, 3.82%, due 11/01/2030 3140HRHU0 350,000 $389,402.13 0.19%
FHLMC Multifamily Structured Pass Through Certs. Series K021, Class X3, Variable rate, due 07/25/2040 3137AUPG8 8,139,000 $387,357.80 0.19%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series KJ03, Class A1, 1.669%, due 01/25/2021 3137BMUC8 407,405 $406,225.58 0.19%
GNMA Series 2009-80, Class C, Variable rate, due 04/16/2050 38373M8M5 375,536 $387,275.61 0.19%
GNMA Series 2018-63, Class IO, 4%, due 09/20/2047 38380WUG2 2,609,187 $393,527.30 0.19%
Homebanc Mortgage Trust Series 2005-4, Class A1, Variable rate, due 10/25/2035 43739EBS5 399,286 $405,666.70 0.19%
RECKSON OPERATING PRTSHP 7.75%, due 03/15/2020 75625AAB0 400,000 $405,651.29 0.19%
VODAFONE GROUP PLC 5.25%, due 05/30/2048 92857WBM1 325,000 $390,249.79 0.19%
321 Henderson Receivables LLC Series 2013-2A, Class A, 4.21%, due 03/15/2062 46617JAA4 347,800 $381,694.99 0.18%
AMER AIRLN 14-1 A PTT 3.70%, due 10/01/2026 02377AAA6 363,265 $384,777.79 0.18%
Bear Stearns Mortgage Funding Trust Series 2007-AR1, Class 1A1, Variable rate, due 01/25/2037 07401MAA9 371,900 $365,597.60 0.18%
BECTON DICKINSON AND CO Variable rate, due 12/29/2020 075887CF4 375,000 $375,230.33 0.18%
DELTA AIR LINES 2002-1G1 6.718%, due 01/02/2023 247367AX3 357,028 $376,697.58 0.18%
EQT CORP 3.90%, due 10/01/2027 26884LAF6 435,000 $382,931.65 0.18%
INDONESIA ASAHAN ALUMINIUM N/C, 6.53%, due 11/15/2028 74445PAC6 300,000 $366,020.57 0.18%
JP Morgan Mortgage Acquisition Corp Series 2006-WF1, Class A5, Variable rate, due 07/25/2036 46628SAH6 737,543 $367,440.79 0.18%
PETROLEOS MEXICANOS 6.625%, due 06/15/2035 706451BG5 370,000 $374,970.96 0.18%
QUEST DIAGNOSTICS INC 4.20%, due 06/30/2029 74834LBA7 340,000 $374,051.38 0.18%
RITE AID CORP 6.125%, due 04/01/2023 767754CH5 446,000 $371,295.00 0.18%
Countrywide Alternative Loan Trust Series 2005-16, Class A3, Variable rate, due 06/25/2035 12667GME0 361,292 $348,918.70 0.17%
Countrywide Alternative Loan Trust Series 2007-OA6, Class A1B, Variable rate, due 06/25/2037 02150PAB4 362,630 $347,077.03 0.17%
Fannie Mae FN BL!882, 3.60%, due 03/01/2034 3140HTCU1 326,000 $359,784.40 0.17%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series Q004, Class A2H, Variable rate, due 01/25/2021 3137FARK6 347,461 $350,065.81 0.17%
FORD MOTOR CREDIT CO LLC N/C, 3.20%, due 01/15/2021 345397XQ1 350,000 $351,356.59 0.17%
Countrywide Alternative Loan Trust Series 2006-33CB, Class 2A1, 6%, due 11/25/2036 02148BAC8 398,216 $331,325.97 0.16%
ENCOMPASS HEALTH CORP 4.75%, due 02/01/2030 29261AAB6 320,000 $334,247.20 0.16%
ESSEX PORTFOLIO LP 3.625%, due 08/15/2022 29717PAD9 325,000 $335,766.56 0.16%
FHLMC Multifamily Structured Pass Through Certs. Series KW01, Class X1, Variable rate, due 01/25/2026 3137BPCR8 7,020,811 $334,412.44 0.16%
Freddie Mac FG WA3303, 3.83%, due 05/01/2035 3132WW3M2 296,540 $324,428.81 0.16%
GLOBAL PAYMENTS INC 3.20%, due 08/15/2029 37940XAB8 335,000 $338,890.12 0.16%
INGERSOLL-RAND CO N/C, 9%, due 08/15/2021 456866AG7 300,000 $327,979.15 0.16%
LIBERTY PROPERTY LP 4.125%, due 06/15/2022 53117CAN2 325,000 $339,759.18 0.16%
NATIONWIDE BLDG SOCIETY Variable rate, due 08/01/2024 63861VAC1 325,000 $343,507.73 0.16%
REYNOLDS GRP ISS/REYNOLD 5.75%, due 10/15/2020 761735AP4 329,497 $329,974.42 0.16%
SES GLOBAL AMERICAS HLDG 5.30%, due 03/25/2044 78413KAB8 335,000 $331,634.25 0.16%
SL GREEN OPERATING PARTN 3.25%, due 10/15/2022 78444FAF3 325,000 $331,667.78 0.16%
Structured Asset Mortgage Investments Inc Series 2007-AR1, Class 2A1, Variable rate, due 01/25/2037 86362XAP3 337,066 $327,334.53 0.16%
BOSTON PROPERTIES LP 4.125%, due 05/15/2021 10112RAS3 300,000 $307,213.55 0.15%
CIM Trust Series 2017-7, Class A, Variable rate, due 04/25/2057 12553HAA6 313,719 $316,200.74 0.15%
CIM Trust Series 2018-R6, Class A1, Variable rate, due 09/25/2058 12554EAA2 319,000 $318,022.74 0.15%
CSC HOLDINGS LLC 6.50%, due 02/01/2029 126307AZ0 287,000 $321,813.82 0.15%
DAIMLER FINANCE NA LLC 2.20%, due 10/30/2021 233851CK8 310,000 $310,081.39 0.15%
Fannie Mae FN AM9440, 3.05%, due 07/01/2027 3138LAP29 295,000 $310,588.08 0.15%
GENERAL MOTORS FINL CO 3.20%, due 07/06/2021 37045XBM7 300,000 $303,824.48 0.15%
GOLDMAN SACHS GROUP INC Variable rate, due 10/31/2022 38148YAC2 300,000 $304,063.32 0.15%
HCA INC 4.125%, due 06/15/2029 404119BX6 290,000 $308,379.38 0.15%
IndyMac INDX Mortgage Loan Trust Series 2006-AR21, Class A1, Variable rate, due 08/25/2036 45660HAA6 333,599 $305,938.93 0.15%
KROGER CO 5.40%, due 01/15/2049 501044DM0 249,000 $303,686.82 0.15%
PETROLEOS MEXICANOS 6.75%, due 09/21/2047 71654QCC4 325,000 $322,450.38 0.15%
SPRINT COMMUNICATIONS 7%, due 03/01/2020 852061AQ3 311,000 $314,456.78 0.15%
TENCENT HOLDINGS LTD 3.975%, due 04/11/2029 88032WAN6 300,000 $321,747.71 0.15%
VENTAS REALTY LP 3.75%, due 05/01/2024 92277GAD9 300,000 $315,225.39 0.15%
WALGREENS BOOTS ALLIANCE 3.30%, due 11/18/2021 931427AF5 300,000 $305,831.51 0.15%
WILLIS NORTH AMERICA INC 2.95%, due 09/15/2029 970648AJ0 325,000 $321,713.46 0.15%
BAYER US FINANCE II LLC 4.625%, due 06/25/2038 07274NAN3 265,000 $289,950.46 0.14%
Bear Stearns Mortgage Funding Trust Series 2007-AR3, Class 1A1, Variable rate, due 03/25/2037 07401VAA9 302,112 $293,563.01 0.14%
FHLMC Multifamily Structured Pass Through Certs. Series K736, Class XAM, Variable rate, due 07/25/2026 3137FNX39 2,900,000 $289,927.50 0.14%
Ford Motor Co 0%, due 10/08/2020 3454G0K80 310,000 $302,116.70 0.14%
FORD MOTOR CREDIT CO LLC 3.339%, due 03/28/2022 345397YL1 300,000 $302,016.01 0.14%
FORD MOTOR CREDIT CO LLC N/C, Variable rate, due 10/12/2021 345397ZG1 300,000 $296,832.12 0.14%
LEVEL 3 FINANCING INC 5.375%, due 01/15/2024 527298BK8 289,000 $294,538.70 0.14%
SLM Student Loan Trust Series 2008-2, Class B, Variable rate, due 01/25/2083 784442AD7 300,000 $282,909.99 0.14%
SLM Student Loan Trust Series 2008-3, Class B, Variable rate, due 04/26/2083 78444GAD6 300,000 $286,924.32 0.14%
SLM Student Loan Trust Series 2008-6, Class B, Variable rate, due 07/26/2083 78445CAE2 300,000 $293,906.16 0.14%
TRANSOCEAN POSEIDON LTD 6.875%, due 02/01/2027 89383JAA6 293,000 $301,737.99 0.14%
AMERICAN WATER CAPITAL CORP 3.45%, due 06/01/2029 03040WAU9 250,000 $265,814.29 0.13%
CONAGRA BRANDS INC 4.60%, due 11/01/2025 205887CB6 250,000 $275,046.96 0.13%
FED REPUBLIC OF BRAZIL 4.625%, due 01/13/2028 105756BZ2 250,000 $267,315.00 0.13%
FEDERAL HOME LOAN BANK 4.05%, due 09/21/2033 3130AEY20 275,000 $277,963.47 0.13%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series Q007, Class APT2, Variable rate, due 10/25/2047 3137FHQC0 267,717 $277,871.19 0.13%
GLP CAPITAL LP / FIN II 5.375%, due 04/15/2026 361841AH2 250,000 $276,230.63 0.13%
IHS MARKIT LTD 4.75%, due 02/15/2025 44962LAB3 250,000 $273,290.00 0.13%
NATIONAL RETAIL PROP INC 3.90%, due 06/15/2024 637417AG1 250,000 $265,537.61 0.13%
SANTANDER UK GROUP HLDGS Variable rate, due 11/15/2024 80281LAJ4 250,000 $268,968.61 0.13%
VEREIT OPERATING PARTNERSHIP 4.625%, due 11/01/2025 92340LAD1 250,000 $273,143.10 0.13%
VODAFONE GROUP PLC 4.875%, due 06/19/2049 92857WBS8 228,000 $263,152.94 0.13%
WELLS FARGO & COMPANY 4.15%, due 01/24/2029 95000U2D4 250,000 $279,118.91 0.13%
BAT CAPITAL CORP 4.54%, due 08/15/2047 05526DBF1 250,000 $249,429.74 0.12%
BOSTON PROPERTIES LP 2.75%, due 10/01/2026 10112RAY0 250,000 $252,648.27 0.12%
CAMPBELL SOUP CO Variable rate, due 03/15/2021 134429BC2 250,000 $250,556.66 0.12%
CIM Trust Series 2017-8, Class A1, Variable rate, due 12/25/2065 12553RAA4 255,996 $256,983.87 0.12%
CODELCO INC 3.625%, due 08/01/2027 P3143NAY0 250,000 $260,000.85 0.12%
CONAGRA BRANDS INC N/C, Variable rate, due 10/09/2020 205887BW1 250,000 $250,523.95 0.12%
DIGITAL REALTY TRUST LP 3.95%, due 07/01/2022 25389JAL0 250,000 $260,554.44 0.12%
FANNIEMAE-ACES Series 2016-M4, Class X2, Variable rate, due 01/25/2039 3136ARP44 3,142,893 $249,517.73 0.12%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K035, Class X3, Variable rate, due 12/25/2041 3137B5KY8 4,000,000 $244,763.20 0.12%
GENERAL ELECTRIC CO N/C, 5.875%, due 01/14/2038 36962G3P7 205,000 $250,934.70 0.12%
GENERAL MOTORS FINL CO 4.20%, due 03/01/2021 37045XBF2 250,000 $255,258.40 0.12%
HarborView Mortgage Loan Trust Series 2005-9, Class 2A1A, Variable rate, due 06/20/2035 41161PSK0 255,848 $256,341.44 0.12%
MLCC Mortgage Investors Inc Series 2003-D, Class A, Variable rate, due 08/25/2028 589929V21 252,312 $251,212.79 0.12%
MONG DUONG FIN HLDGS BV 5.125%, due 05/07/2029 N6000DAA1 250,000 $255,632.51 0.12%
MORGAN STANLEY Variable rate, due 07/22/2022 61744YAJ7 250,000 $252,486.70 0.12%
PARK AEROSPACE HOLDINGS 3.625%, due 03/15/2021 70014LAD2 250,000 $253,512.50 0.12%
REPUBLIC OF SOUTH AFRICA 4.875%, due 04/14/2026 836205AT1 250,000 $258,116.50 0.12%
T-MOBILE USA INC 6%, due 04/15/2024 87264AAQ8 238,000 $248,041.22 0.12%
VENTAS REALTY LP 2.65%, due 01/15/2025 92277GAT4 250,000 $251,725.71 0.12%
WELLS FARGO BANK NA Variable rate, due 03/25/2020 94988J5S2 250,000 $250,376.90 0.12%
WELLTOWER INC 3.75%, due 03/15/2023 42217KBA3 250,000 $260,770.24 0.12%
ABBVIE INC 4.875%, due 11/14/2048 00287YBD0 200,000 $234,023.76 0.11%
BACARDI LTD 5.30%, due 05/15/2048 067316AH2 200,000 $226,847.23 0.11%
BERKSHIRE HATHAWAY FIN 4.20%, due 08/15/2048 084664CQ2 205,000 $240,084.07 0.11%
Countrywide Asset-Backed Certificates Series 2006-6, Class 1A1, Variable rate, due 09/25/2036 126670ZH4 231,975 $229,865.35 0.11%
DP WORLD CRESCENT LTD N/C, 4.848%, due 09/26/2028 26139PAB9 200,000 $219,352.20 0.11%
Fannie Mae FN BL1452, 3.90%, due 01/01/2034 3140HSTJ0 200,000 $222,423.26 0.11%
FANNIEMAE-ACES Series 2015- M4, Class X2, Variable rate, due 07/25/2022 3136AMM71 30,336,315 $219,735.03 0.11%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K035, Class X1, Variable rate, due 08/25/2023 3137B5KX0 18,144,956 $223,192.03 0.11%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K093, Class XAM, Variable rate, due 05/25/2029 3137FMCV2 2,330,000 $233,838.80 0.11%
FHLMC Multifamily Structured Pass Through Certs. Series K715, Class X3, Variable rate, due 02/25/2041 3137BAHC9 11,000,000 $234,048.10 0.11%
FHLMC Multifamily Structured Pass Through Certs. Series K736, Class X1, Variable rate, due 07/25/2026 3137FNWZ9 3,299,830 $238,421.30 0.11%
GNMA Series 2003-110, Class S, Variable rate, due 10/20/2033 38374EP35 1,795,105 $228,900.48 0.11%
HOLOGIC INC 4.625%, due 02/01/2028 436440AM3 208,000 $222,153.90 0.11%
JPMORGAN CHASE & CO Variable rate, due 04/23/2029 46647PAR7 200,000 $220,191.87 0.11%
KINGDOM OF BAHRAIN N/C, 7%, due 10/12/2028 BDFD907 200,000 $233,936.00 0.11%
REPUBLICA ORIENT URUGUAY 4.375%, due 01/23/2031 917288BK7 200,000 $223,050.00 0.11%
RUSSIAN FEDERATION N/C, 4.75%, due 05/27/2026 BDF1291 200,000 $222,032.60 0.11%
SHIRE ACQ INV IRELAND DA 2.40%, due 09/23/2021 82481LAB5 225,000 $226,115.26 0.11%
SL GREEN OPERATING PARTN Variable rate, due 08/16/2021 78444FAG1 225,000 $225,030.44 0.11%
SLM Student Loan Trust Series 2008-8, Class B, Variable rate, due 10/25/2075 78445GAE3 220,000 $219,825.89 0.11%
SOUTHERN GAS CORRIDOR N/C, 6.875%, due 03/24/2026 Y8T6JPAA4 200,000 $236,694.20 0.11%
Structured Asset Mortgage Investments Inc Series 2003-AR3, Class A1, Variable rate, due 11/19/2033 86358HUT4 229,697 $227,714.41 0.11%
WAMU MORTGAGE PASS-THROUGH CER Series 2005-AR15, Class A1A1, Variable rate, due 11/25/2045 92922F5T1 235,129 $230,656.40 0.11%
WAMU Mortgage Pass-Through Certificates Series 2004-AR12, Class A2A, Variable rate, due 10/25/2044 92922FZF8 226,443 $226,824.05 0.11%
ARAB REPUBLIC OF EGYPT N/C, 5.577%, due 02/21/2023 03846JW30 200,000 $207,750.00 0.10%
BAE SYSTEMS HOLDINGS INC 2.85%, due 12/15/2020 05523UAM2 200,000 $201,382.40 0.10%
BANK OF AMERICA CORP Variable rate, due 03/05/2029 06051GHG7 200,000 $218,759.03 0.10%
BOSTON PROPERTIES LP 3.40%, due 06/21/2029 10112RBB9 200,000 $209,102.50 0.10%
BROADCOM INC 3.125%, due 04/15/2021 11135FAA9 205,000 $207,254.34 0.10%
C&W SR FINANCING DAC 6.875%, due 09/15/2027 12674TAA4 200,000 $210,964.50 0.10%
CLEAN HARBORS INC 4.875%, due 07/15/2027 184496AN7 200,000 $210,544.50 0.10%
DOMINICAN REPUBLIC 6%, due 07/19/2028 P3579ECB1 200,000 $219,071.50 0.10%
FANNIE MAE Seried 2013-18, Class MI, 3%, due 02/25/2033 3136ACXN6 2,792,934 $200,496.33 0.10%
FHLMC Multifamily Structured Pass Through Certs. Series K054, Class X1, Variable rate, due 01/25/2026 3137BNGU2 3,535,658 $217,794.76 0.10%
FHLMC Multifamily Structured Pass Through Certs. Series K097, Class XAM, Variable rate, due 07/25/2029 3137FNX96 1,750,000 $202,410.08 0.10%
FHLMC Multifamily Structured Pass Through Certs. Series KC07, Class X1, Variable rate, due 09/25/2026 3137FQK93 5,500,000 $217,734.00 0.10%
FHLMC Multifamily Structured Pass Through Certs. Series KS06, Class X, Variable rate, due 08/25/2026 3137BS5P4 3,794,576 $201,417.21 0.10%
FHLMC Multifamily Structured Pass Through Certs. Series KS11, Class XFX, Variable rate, due 06/25/2029 3137FNB25 1,800,000 $218,559.06 0.10%
GLOBAL BANK CORPORATION Variable rate, due 04/16/2029 P47718AE4 200,000 $213,250.00 0.10%
GLP CAPITAL LP / FIN II 5.30%, due 01/15/2029 361841AL3 185,000 $205,187.66 0.10%
GLP CAPITAL LP / FIN II 5.375%, due 11/01/2023 361841AF6 200,000 $218,308.00 0.10%
HCA INC 5%, due 03/15/2024 404119BN8 200,000 $218,136.33 0.10%
LLOYDS BANKING GROUP PLC N/C, 3.90%, due 03/12/2024 53944YAH6 200,000 $210,259.64 0.10%
NATL RETAIL PROPERTIES 3.80%, due 10/15/2022 637417AE6 200,000 $207,605.38 0.10%
OMAN GOV INTERNTL BOND N/C, 5.625%, due 01/17/2028 682051AH0 200,000 $201,393.20 0.10%
PARK AEROSPACE HOLDINGS 5.50%, due 02/15/2024 70014LAB6 185,000 $202,538.67 0.10%
PERUSAHAAN PENERBIT SBSN N/C, 4.15%, due 03/29/2027 71567RAH9 200,000 $213,870.00 0.10%
PETROLEOS DEL PERU SA 4.75%, due 06/19/2032 P7808BAA5 200,000 $216,771.50 0.10%
SES SA 3.60%, due 04/04/2023 78413HAA7 200,000 $202,564.24 0.10%
UNITED MEXICAN STATES 3.75%, due 01/11/2028 91087BAE0 200,000 $208,350.00 0.10%
VIRGIN MEDIA SECURED FIN 5.50%, due 08/15/2026 92769XAM7 200,000 $209,595.50 0.10%
ELANCO ANIMAL HEALTH INC 4.272%, due 08/28/2023 28414HAE3 182,000 $190,203.32 0.09%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K037, Class X3, Variable rate, due 01/25/2042 3137B8G68 2,500,000 $196,112.75 0.09%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K728, Class X3, Variable rate, due 11/25/2045 3137FBTD8 2,230,000 $184,554.35 0.09%
GNMA Series 2014-125, Class IO, Variable rate, due 11/16/2054 38378XLU3 3,321,428 $194,208.85 0.09%
HUDSON PACIFIC PROPERTIES 4.65%, due 04/01/2029 44409MAB2 175,000 $192,996.05 0.09%
IndyMac INDX Mortgage Loan Trust Series 2007-FLX2, Class A1C, Variable rate, due 04/25/2037 45668RAC2 201,175 $191,222.26 0.09%
PERU LNG SRL 5.375%, due 03/22/2030 P7721BAE1 200,000 $195,009.50 0.09%
PROV ST JOSEPH HLTH OBL 2.746%, due 10/01/2026 743756AB4 180,000 $182,778.54 0.09%
TEACHERS INSUR & ANNUITY Variable rate, due 09/15/2054 878091BE6 175,000 $183,525.20 0.09%
ANTERO RESOURCES CORP 5%, due 03/01/2025 03674XAJ5 236,000 $158,120.00 0.08%
Argent Securities Inc. Series 2005-W3, Class M1, Variable rate, due 11/25/2035 040104PC9 160,000 $159,736.54 0.08%
DUKE ENERGY PROGRESS LLC 3.70%, due 09/01/2028 26442UAG9 150,000 $163,860.46 0.08%
Fannie Mae FN BL1163, 4.17%, due 01/01/2034 3140HSJH5 140,000 $160,263.65 0.08%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS Series K045, Class X1, Variable rate, due 01/25/2025 3137BHXK8 8,765,981 $173,678.62 0.08%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS Series KF15, Class A, Variable rate, due 02/25/2023 3137BNMS0 167,620 $167,643.82 0.08%
FHLMC Multifamily Structured Pass Through Certs. Series K031, Class X1, Variable rate, due 04/25/2023 3137B3NY0 25,442,871 $168,999.18 0.08%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K056, Class XAM, Variable rate, due 05/25/2026 3137BQYU5 2,450,000 $169,751.44 0.08%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K734, Class X1, Variable rate, due 02/25/2026 3137FLN59 4,697,662 $164,402.18 0.08%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series KS07, Class X, Variable rate, due 09/25/2025 3137BS6G3 5,000,000 $170,442.00 0.08%
FORD MOTOR CREDIT CO LLC N/C, 2.681%, due 01/09/2020 345397YE7 175,000 $175,059.44 0.08%
FORD MOTOR CREDIT CO LLC N/C, 3.813%, due 10/12/2021 345397ZH9 170,000 $172,539.21 0.08%
GENERAL ELECTRIC CO 2.20%, due 01/09/2020 36962G7M0 175,000 $175,000.00 0.08%
KONINKLIJKE KPN NV 8.375%, due 10/01/2030 780641AH9 125,000 $174,263.20 0.08%
PRICOA GLOBAL FUNDING 1 N/C, 3.45%, due 09/01/2023 741531FA0 150,000 $157,359.55 0.08%
Residential Asset Mortgage Products, Inc. Series 2005-RZ3, Class M3, Variable rate, due 09/25/2035 76112BA42 160,000 $160,574.21 0.08%
Structured Receivables Finance LLC Series 2010-B, Class A, 3.73%, due 08/15/2036 86365LAA9 159,248 $160,597.56 0.08%
US AIRWAYS 2012-1A PTT 5.90%, due 10/01/2024 90345WAA2 146,255 $163,205.66 0.08%
Adjustable Rate Mortgage Trust Series 2005-8, Class 3A21, Variable rate, due 11/25/2035 007036QH2 148,874 $135,949.83 0.07%
AMERICAN CAMPUS CMNTYS 3.35%, due 10/01/2020 024836AC2 150,000 $151,334.06 0.07%
Equifirst Mortgage Loan Trust Series 2005-1, Class M3, Variable rate, due 04/25/2035 29445FCQ9 138,961 $139,251.96 0.07%
Fannie Mae FN BL0530, 4.03%, due 11/01/2033 3140HRSU8 130,000 $148,639.47 0.07%
FARMERS INS EXCH Variable rate, due 11/01/2057 309601AE2 140,000 $146,428.33 0.07%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS Series KJ05, Class A1, 1.418%, due 05/25/2021 3137BPWF2 154,177 $153,938.58 0.07%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K025, Class X3, Variable rate, due 11/25/2040 3137AYCG4 3,100,000 $144,743.96 0.07%
FHLMC MULTIFAMILY STRUCTURED PASS TRHOUGH CERTS. Series K155, Class A3, 3.75%, due 04/25/2033 3137FG6T7 125,000 $140,502.34 0.07%
FRESENIUS US FINANCE II 4.25%, due 02/01/2021 35804GAJ7 150,000 $153,057.33 0.07%
NATIONWIDE BLDG SOCIETY Variable rate, due 03/08/2024 63861VAA5 135,000 $139,336.04 0.07%
PLAINS ALL AMER PIPELINE 4.65%, due 10/15/2025 72650RBJ0 145,000 $154,380.31 0.07%
QWEST CORP N/C, 7.25%, due 09/15/2025 912920AK1 125,000 $142,910.99 0.07%
Residential Asset Securities Corporation Series 2005-KS11, Class M2, Variable rate, due 12/25/2035 76110W7E0 150,000 $150,704.79 0.07%
Residential Asset Securities Corporation Series 2006-KS3, Class M1, Variable rate, due 04/25/2036 76113ABL4 150,000 $150,167.43 0.07%
SIRIUS XM RADIO INC 3.875%, due 08/01/2022 82967NAY4 150,000 $153,373.95 0.07%
TENET HEALTHCARE CORP 4.625%, due 07/15/2024 88033GCS7 150,000 $154,872.00 0.07%
Countrywide Alternative Loan Trust Series 2005-76, Class 1A1, Variable rate, due 01/25/2036 12668BDC4 116,300 $119,122.90 0.06%
EQT MIDSTREAM PARTNERS LP 5.50%, due 07/15/2028 26885BAC4 145,000 $132,056.57 0.06%
Fannie Mae FN 466893, 4.05%, due 01/01/2021 31381PUS5 125,000 $126,601.39 0.06%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K155, Class A1, 3.75%, due 11/25/2029 3137FG6R1 119,266 $128,397.10 0.06%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series W5FX, Class AFX, Variable rate, due 04/25/2028 3137FG6Q3 125,000 $132,058.20 0.06%
First Franklin Mtg Loan Asset Backed Certificates Series 2006-FF11, Class 2A, Variable rate, due 08/25/2036 32028PAE5 138,794 $124,203.46 0.06%
FORD MOTOR CREDIT CO LLC N/C, Variable rate, due 04/05/2021 345397YY3 125,000 $124,125.00 0.06%
GENERAL MILLS INC 4.70%, due 04/17/2048 370334CJ1 105,000 $125,593.79 0.06%
GLP CAPITAL LP / FIN II 4%, due 01/15/2030 361841AP4 115,000 $116,832.24 0.06%
Interest: Pay 9465000 US0003M, Receive 9465000 USD - 04/11/2022 9,465,000 $125,465.90 0.06%
KANSAS CITY POWER & LT 4.20%, due 06/15/2047 485134BQ2 100,000 $116,242.13 0.06%
KRAFT HEINZ FOODS CO 7.125%, due 08/01/2039 42307TAH1 100,000 $128,440.51 0.06%
LLOYDS BANK PLC N/C, 3.30%, due 05/07/2021 53944VAP4 125,000 $127,173.40 0.06%
MGM GROWTH/MGM FINANCE 5.625%, due 05/01/2024 55303XAC9 117,000 $127,822.50 0.06%
OCCIDENTAL PETROLEUM CORP 3.50%, due 08/15/2029 674599CS2 125,000 $126,739.66 0.06%
PERNOD RICARD SA 4.45%, due 01/15/2022 714264AD0 125,000 $130,875.80 0.06%
PIPELINE FUNDING CO LLC 7.50%, due 01/15/2030 724060AA6 93,090 $114,928.76 0.06%
PUGET SOUND ENERGY INC 4.223%, due 06/15/2048 745332CH7 100,000 $116,986.95 0.06%
SILGAN HOLDINGS INC 4.75%, due 03/15/2025 827048AU3 125,000 $128,020.63 0.06%
Soundview Home Equity Loan Trust Series 2007-OPT2, Class 2A4, Variable rate, due 07/25/2037 83613DAE6 138,849 $127,508.14 0.06%
T-MOBILE USA INC 6.50%, due 01/15/2024 87264AAJ4 130,000 $134,226.30 0.06%
TRANSOCEAN PONTUS LTD 6.125%, due 08/01/2025 89382PAA3 119,260 $121,047.71 0.06%
WELLS FARGO & COMPANY 3.069%, due 01/24/2023 949746SK8 125,000 $127,229.65 0.06%
ABBVIE INC 4.50%, due 05/14/2035 00287YAR0 85,000 $94,980.93 0.05%
Asset Backed Funding Certificates Series 2007-NC1, Class A2, Variable rate, due 05/25/2037 00076BAB0 111,142 $109,758.58 0.05%
BAYER US FINANCE II LLC 3.50%, due 06/25/2021 07274NAA1 100,000 $101,777.33 0.05%
BAYER US FINANCE II LLC 4.40%, due 07/15/2044 07274NBF9 100,000 $101,624.16 0.05%
CHURCHILL DOWNS INC 4.75%, due 01/15/2028 171484AE8 95,000 $98,308.14 0.05%
CITIGROUP INC Variable rate, due 07/24/2023 172967LM1 100,000 $101,479.58 0.05%
Credit Suisse Mortgage Trust Series 2014-2R, Class 28A1, Variable rate, due 06/27/2037 12648ELW0 104,466 $104,834.98 0.05%
DSLA Mortgage Loan Trust Series 2004-AR4, Class 2A1, Variable rate, due 01/19/2045 23332UBV5 96,406 $94,098.87 0.05%
DUQUESNE LIGHT HOLDINGS 6.40%, due 09/15/2020 266233AC9 100,000 $103,227.83 0.05%
FAMILY DOLLAR STORES INC 5%, due 02/01/2021 307000AA7 100,000 $103,551.00 0.05%
Fannie Mae FN AN9297, 3.69%, due 05/01/2030 3138LNKK6 100,000 $109,698.69 0.05%
Fannie Mae FN BL0640, 4.095%, due 11/01/2033 3140HRWA7 100,000 $113,554.38 0.05%
FANNIEMAE-ACES Series 2012-M4, Class X1, Variable rate, due 04/25/2022 3136A56Z4 10,374,108 $106,135.42 0.05%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K012, Class X3, Variable rate, due 01/25/2041 3137A8PR3 5,413,749 $99,677.40 0.05%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K022, Class X3, Variable rate, due 08/25/2040 3137AVXQ5 2,500,000 $107,620.75 0.05%
FREDDIE MAC Series 4824, Class ZC, 4%, due 09/15/2048 3137FHC92 93,723 $94,253.49 0.05%
FRESB MULTIFAMILY MORTGAGE PASS-THROUGH CERTS. Series 2016-SB20, Class A5F, Variable rate, due 07/25/2021 30289VAE0 105,340 $105,161.48 0.05%
GENERAL ELECTRIC CO N/C, 4.625%, due 01/07/2021 36962G4Y7 100,000 $102,395.25 0.05%
GreenPoint Mortgage Funding Trust Series 2006-AR1, Class A1A, Variable rate, due 02/25/2036 39538WFH6 105,243 $102,952.75 0.05%
HarborView Mortgage Loan Trust Series 2005-9, Class 2A1C, Variable rate, due 06/20/2035 41161PSM6 102,339 $103,944.10 0.05%
HCA INC 5.25%, due 04/15/2025 404119BQ1 90,000 $100,404.52 0.05%
HUMANA INC 3.125%, due 08/15/2029 444859BK7 105,000 $106,811.34 0.05%
HUMANA INC 3.15%, due 12/01/2022 444859BA9 100,000 $102,404.40 0.05%
HUMANA INC 4.95%, due 10/01/2044 444859BE1 90,000 $106,538.13 0.05%
Impac CMB Trust Series 2005-1, Class 1A1, Variable rate, due 04/25/2035 45254NML8 105,858 $105,046.87 0.05%
J.P. Morgan Alternative Loan Trust Series 2007-S1, Class A2, Variable rate, due 04/25/2047 466275AB0 119,271 $114,460.66 0.05%
MASTR ASSET BACKED SECURITIES Series 2006-HE5, Class A3, Variable rate, due 11/25/2036 576455AC3 159,570 $112,111.04 0.05%
METROPOLITAN EDISON CO 3.50%, due 03/15/2023 591894BY5 100,000 $103,481.26 0.05%
Morgan Stanley ReRemic Trust Series 2014-R8, Class 3B1, Variable rate, due 06/26/2047 61764KAM5 98,803 $98,160.98 0.05%
NBCUNIVERSAL MEDIA LLC 2.875%, due 01/15/2023 63946BAH3 100,000 $102,327.27 0.05%
PNM RESOURCES INC 3.25%, due 03/09/2021 69349HAC1 100,000 $101,238.83 0.05%
RANGE RESOURCES CORP 4.875%, due 05/15/2025 75281AAS8 120,000 $96,900.00 0.05%
ROCKIES EXPRESS PIPELINE 6.875%, due 04/15/2040 77340RAM9 100,000 $103,343.50 0.05%
SABINE PASS LIQUEFACTION 5.625%, due 03/01/2025 785592AM8 100,000 $111,874.29 0.05%
SLM Student Loan Trust Series 2012-7, Class B, Variable rate, due 09/25/2043 78447KAD4 100,000 $96,630.94 0.05%
TITAN ACQ/CO-BORROWER 7.75%, due 04/15/2026 88827AAA1 110,000 $105,030.48 0.05%
VODAFONE GROUP PLC 3.75%, due 01/16/2024 92857WBH2 100,000 $105,425.32 0.05%
WALGREEN CO 3.10%, due 09/15/2022 931422AH2 100,000 $102,080.31 0.05%
WELLCARE HEALTH PLANS 5.25%, due 04/01/2025 94946TAC0 99,000 $103,577.76 0.05%
AIR LEASE CORP 4.75%, due 03/01/2020 00912XAJ3 75,000 $75,432.21 0.04%
ALEXANDRIA REAL ESTATE EQUITIES 3.45%, due 04/30/2025 015271AL3 75,000 $78,752.50 0.04%
ALLIANT ENERGY FINANCE 3.75%, due 06/15/2023 01882YAA4 75,000 $78,424.35 0.04%
AMERICAN CAMPUS CMNTYS 3.75%, due 04/15/2023 024836AA6 75,000 $78,175.93 0.04%
ANTERO RESOURCES CORP 5.125%, due 12/01/2022 03674XAC0 88,000 $74,911.76 0.04%
ANTERO RESOURCES CORP 5.625%, due 06/01/2023 03674XAF3 100,000 $74,738.00 0.04%
Carrington Mortgage Loan Trust Series 2005-NC5, Class M1, Variable rate, due 10/25/2035 144531DN7 75,723 $76,094.37 0.04%
CIGNA CORP 3.05%, due 10/15/2027 125523AY6 75,000 $76,412.38 0.04%
Fannie Mae FN 466551, 3.75%, due 07/01/2021 31381PH43 89,184 $91,051.26 0.04%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series KC04, Class X1, Variable rate, due 12/25/2026 3137FMCG5 1,365,000 $89,584.95 0.04%
FLORIDA POWER & LIGHT CO 3.95%, due 03/01/2048 341081FQ5 75,000 $86,579.63 0.04%
Fremont Home Loan Trust Series 2005-D, Class 2A4, Variable rate, due 11/25/2035 35729PME7 92,344 $92,835.75 0.04%
HCP INC 4%, due 06/01/2025 40414LAN9 75,000 $80,679.05 0.04%
HOME DEPOT INC 3.90%, due 12/06/2028 437076BW1 75,000 $84,507.10 0.04%
KRAFT HEINZ FOODS CO 3%, due 06/01/2026 50077LAD8 80,000 $80,164.36 0.04%
PETROBRAS GLOBAL FINANCE 5.093%, due 01/15/2030 71647NBF5 75,000 $79,533.75 0.04%
REPUBLIC SERVICES INC 3.95%, due 05/15/2028 760759AT7 75,000 $82,875.36 0.04%
STARBUCKS CORP 3.80%, due 08/15/2025 855244AQ2 75,000 $80,557.66 0.04%
Structured Adjustable Rate Mortgage Loan Trust Series 2005-12, Class 3A1, Variable rate, due 06/25/2035 863579SU3 76,487 $76,061.13 0.04%
Structured Asset Mortgage Investments Inc. Series 2006-AR5, Class 1A1, Variable rate, due 05/25/2036 86360JAA9 96,046 $91,815.30 0.04%
TC PIPELINES LP 3.90%, due 05/25/2027 87233QAC2 75,000 $78,052.41 0.04%
T-MOBILE USA INC 4.75%, due 02/01/2028 87264AAV7 74,000 $78,049.65 0.04%
T-MOBILE USA INC 6%, due 03/01/2023 87264AAM7 90,000 $91,912.50 0.04%
TUCSON ELECTRIC POWER CO 5.15%, due 11/15/2021 898813AK6 75,000 $78,642.46 0.04%
UNIV OF CALIFORNIA CA REVENUES 4.601%, due 05/15/2031 91412GTG0 75,000 $86,379.00 0.04%
VENTAS REALTY LP 4%, due 03/01/2028 92277GAM9 75,000 $80,489.05 0.04%
WAMU MORTGAGE PASS-THROUGH CER Series 2005-AR11, Class A1A, Variable rate, due 08/25/2045 92922F2G2 88,239 $88,204.44 0.04%
WAMU Mortgage Pass-Through Certificates Series 2006-AR11, Class 1A, Variable rate, due 09/25/2046 93363TAA0 80,237 $74,659.84 0.04%
AVOLON HOLDINGS FNDG LTD 5.125%, due 10/01/2023 05401AAB7 54,000 $58,261.43 0.03%
BALL CORP 4%, due 11/15/2023 058498AS5 58,000 $61,261.92 0.03%
Banc of America Funding Corporation Series 2005-B, Class 3A3, Variable rate, due 04/20/2035 05946XSC8 63,741 $63,898.22 0.03%
BANK OF AMERICA CORP Variable rate, due 12/20/2023 06051GHC6 65,000 $66,418.85 0.03%
CHENIERE ENERGY PARTNERS 5.25%, due 10/01/2025 16411QAB7 70,000 $72,538.20 0.03%
COMM MORTGAGE TRUST Series 2012-CR4, Class XA, Variable rate, due 10/15/2045 12624QAS2 1,568,264 $58,118.29 0.03%
Conseco Financial Corp Series 1996-7, Class M1, Variable rate, due 09/15/2026 393505PN6 65,878 $69,353.17 0.03%
Fannie Mae FN AN0026, 3.48%, due 11/01/2035 3138LCA47 53,354 $57,825.31 0.03%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K101, Class X3, Variable rate, due 11/25/2044 3137A6BC5 2,000,000 $56,954.40 0.03%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Serkes K011, Class X3, Variable rate, due 12/25/2043 3137A7NX4 3,000,000 $57,025.80 0.03%
First Horizon Alternative Mortgage Securities Series 2004-AA4, Class A1, Variable rate, due 10/25/2034 32051GAA3 69,778 $70,345.48 0.03%
FRESB MULTIFAMILY MORTGAGE PASS-THROUGH CERTS. Series 2016-SB24, Class A5H, Variable rate, due 10/25/2036 30295NAD2 66,354 $66,327.83 0.03%
GRAPHIC PACKAGING INTL 4.875%, due 11/15/2022 38869PAL8 58,000 $61,063.09 0.03%
Interest: Pay 5165000 US0003M, Receive 5165000 USD - 05/08/2022 5,165,000 $71,027.96 0.03%
KRAFT HEINZ FOODS CO 5.20%, due 07/15/2045 50077LAM8 65,000 $69,825.25 0.03%
KRAFT HEINZ FOODS CO N/C, 5%, due 06/04/2042 50076QAE6 55,000 $59,216.02 0.03%
MATTHEWS INTERNATIONAL CORP 5.25%, due 12/01/2025 577128AA9 75,000 $72,656.25 0.03%
NISOURCE INC 3.65%, due 06/15/2023 65473PAF2 70,000 $72,996.18 0.03%
QWEST CORP 6.75%, due 12/01/2021 74913GAX3 54,000 $58,096.19 0.03%
RUBY PIPELINE LLC 6.50%, due 04/01/2022 781172AB7 66,136 $68,398.80 0.03%
SEALED AIR CORP 5.50%, due 09/15/2025 81211KAX8 60,000 $66,277.32 0.03%
SERVICE CORP INTL 4.625%, due 12/15/2027 817565CD4 61,000 $63,734.17 0.03%
SPECTRUM BRANDS INC 6.125%, due 12/15/2024 84762LAS4 60,000 $62,274.90 0.03%
USA COM PART/USA COM FIN 6.875%, due 04/01/2026 91740PAC2 70,000 $71,881.18 0.03%
WAMU Mortgage Pass-Through Certerficates Series 2005-AR8, Class 2A1A, Variable rate, due 07/25/2045 92922FR75 71,260 $70,862.73 0.03%
BERRY GLOBAL INC 4.875%, due 07/15/2026 085770AA3 41,000 $43,024.33 0.02%
Citigroup Mortgage Loan Trust Series 2005-HE4, Class M1, Variable rate, due 10/25/2035 17307GP69 36,822 $37,238.38 0.02%
Fannie Mae FN AN0976, 3.259%, due 02/01/2028 3138LDCN1 44,432 $47,401.46 0.02%
FANNIEMAE-ACES Series 2010-M4, Class A3, 3.819%, due 06/25/2020 31398R7H2 41,914 $42,129.11 0.02%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series KP02, Class A2, Variable rate, due 04/25/2021 3137BKWB2 32,070 $32,070.12 0.02%
HCP INC 4.25%, due 11/15/2023 40414LAJ8 47,000 $50,229.65 0.02%
INGERSOLL-RAND LUX FINAN 3.55%, due 11/01/2024 456873AB4 40,000 $41,931.23 0.02%
INTL LEASE FINANCE CORP N/C, 4.625%, due 04/15/2021 459745GQ2 50,000 $51,583.82 0.02%
Navient Student Loan Trust Series 2014-1, Class A3, Variable rate, due 06/25/2031 63938EAC8 34,495 $33,963.78 0.02%
SBA COMMUNICATIONS CORP 4.875%, due 09/01/2024 78388JAV8 40,000 $41,751.01 0.02%
SUNOCO LOGISTICS PARTNERS 4%, due 10/01/2027 86765BAU3 50,000 $51,139.42 0.02%
TRANSMONTAIGE PARTNERS 6.125%, due 02/15/2026 89376VAA8 54,000 $51,993.76 0.02%
US AIRWAYS 2001-1G PASS 7.076%, due 03/20/2021 90332UAN3 45,698 $47,681.20 0.02%
WPX ENERGY INC 5.75%, due 06/01/2026 98212BAH6 36,000 $37,163.62 0.02%
AERCAP IRELAND CAP/GLOBA 3.95%, due 02/01/2022 00772BAR2 20,000 $20,656.65 0.01%
CENTENNIAL RESOURCE PRODUCTION 5.375%, due 01/15/2026 15138AAA8 15,000 $14,168.63 0.01%
Citigroup Mortgage Loan Trust Series 2007-WHF2, Class A, Variable rate, due 03/25/2037 17312BAD4 27,252 $27,318.08 0.01%
CROWNROCK LP/CROWNROCK F 5.625%, due 10/15/2025 228701AF5 29,000 $28,782.21 0.01%
FANNIEMAE-ACES Series 2016-M11, Class X2, Variable rate, due 07/25/2039 3136AT5H3 546,159 $18,744.19 0.01%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K078, Class XAM, Variable rate, due 06/25/2028 3137FGR72 6,000,000 $31,050.00 0.01%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K720, Class X1, Variable rate, due 08/25/2022 3137BLUS5 1,408,754 $14,940.26 0.01%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series KAIV, Class X2, Variable rate, due 06/25/2041 3137ABFK2 550,000 $27,926.80 0.01%
Fremont Home Loan Trust Series 2005-A, Class M3, Variable rate, due 01/25/2035 35729PHN3 24,818 $24,856.22 0.01%
GNMA Series 2013-125, Class IO, Variable rate, due 10/16/2054 38378KQ69 795,279 $23,324.50 0.01%
INTELSAT JACKSON HLDG 9.75%, due 07/15/2025 45824TAY1 18,000 $15,435.00 0.01%
JP MORGAN CHASE COMMERCIAL MORTGAGE SEC TRUST Series 2010-C1, Class A2, 4.608%, due 06/15/2043 46634NAD8 27,357 $27,373.31 0.01%
Mid-State Trust Series 2010-1, Class A, 3.50%, due 12/15/2045 59560WAA5 28,432 $29,190.98 0.01%
OI EUROPEAN GROUP BV 4%, due 03/15/2023 67777LAC7 18,000 $18,127.53 0.01%
BAUSCH HEALTH COS INC 5.75%, due 08/15/2027 071734AC1 6,000 $6,525.15 0.00%
Fannie Mae FN AD0849, 4.25%, due 02/01/2020 31418M5K4 8,245 $8,243.42 0.00%
Fannie Mae FN AM1691, 3.46%, due 01/01/2043 3138L12Z1 0 ($0.01) 0.00%
FANNIEMAE-ACES Series 2014-M6, Class X2, Variable rate, due 05/25/2021 3136AJ7K6 2,674,076 $6,938.42 0.00%
FANNIEMAE-ACES Series 2016-M2, Class X3, Variable rate, due 04/25/2036 3136AQ5K2 329,984 $9,641.15 0.00%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS Series K007, Class X1, Variable rate, due 04/25/2020 31398QHC4 513,335 $5.13 0.00%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K005, Class AX, Variable rate, due 11/25/2019 31398WD50 0 $0.00 0.00%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K006, Class AX1, Variable rate, due 01/25/2020 31398VJA5 7,667,368 $76.67 0.00%
FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTS. Series K719, Class X1, Variable rate, due 06/25/2022 3137BKVQ0 1,477,931 $3,324.02 0.00%
FREMF MORTGAGE TRUST Series 2013-K713, Class X2A, 0.10%, due 04/25/2046 30261UAE4 8,859,578 $88.60 0.00%
Interest: Pay 2115000 USD, Receive 2115000 US0003M - 05/08/2025 2,115,000 ($74,540.33) -0.04%
Interest: Pay 3895000 USD, Receive 3895000 US0003M - 04/11/2025 3,895,000 ($131,281.43) -0.06%
US ULTRA BOND CBT Mar20 WNH0 -68 ($12,618,250.00) -6.04%
US 10yr Ultra Fut Mar20 UXYH0 -207 ($29,322,843.75) -14.04%
Currency Forward Positions
Trading Currency Ascending sort Local Value Contract Value Market Value Gain/Loss
USD->JPY 01-14-2020 -110,000,000.00 JPY $1,031,357.97 ($1,031,357.97) $0.00
USD->JPY 01-21-2020 -115,000,000.00 JPY $1,075,812.00 ($1,075,812.00) $0.00
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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