As of 9/21/2017
% of Net Assets Market Value Security Type Description Identifier Underlying Identifier Coupon Rate Maturity Date Par Value/Quantity Security Price Currency S&P Rating Moody's Rating Fitch Rating
47.51% $-5550.00 Future FIN FUT EURO$ CME (WHT) 03/19/18 EDH8 -- $0.00 3/20/2018 222 $98.40 USD NR NR NR
23.73% $-2775.00 Future FIN FUT EURO$ CME (WHT) 06/18/18 EDM8 -- $0.00 6/19/2018 111 $98.32 USD NR NR NR
22.80% $105726.56 Interest Rate Swap - Receiver IRS USD 2.00000 12/20/17-2Y CME -- -- $2.00 12/20/2019 26,100,000 $0.39 USD NR NR NR
17.86% $20535625.00 Government U S TREASURY NOTE 912828XV7 -- $1.25 6/30/2019 20,600,000 $99.67 USD GOVT GOVT GOVT
4.32% $4970019.55 Government U S TREASURY NOTE 912828T42 -- $0.75 9/30/2018 5,000,000 $99.40 USD GOVT GOVT GOVT
2.52% $2901240.07 Government U S TREASURY INFLATE PROT BD 912828Q60 -- $0.13 4/15/2021 2,892,568 $100.28 USD GOVT GOVT GOVT
1.81% $2086380.88 Mortgage Pass Thru FNMA PASS THRU MTG JUMB #AC4532 31417QBA1 -- $5.00 1/1/2034 1,956,371 $106.65 USD GOVT GOVT GOVT
1.73% $1986796.88 Government U S TREASURY NOTE 912828T83 -- $0.75 10/31/2018 2,000,000 $99.34 USD GOVT GOVT GOVT
1.55% $1785757.05 Government U S TREASURY INFLATE PROT BD 912828K33 -- $0.13 4/15/2020 1,777,401 $100.45 USD GOVT GOVT GOVT
1.50% $1721918.19 Mortgage Pass Thru FNMA PASS THRU MTG IO #AD0893 31418M7F3 -- $6.00 1/1/2039 1,617,966 $106.42 USD GOVT GOVT GOVT
1.23% $1409880.80 Government U S TREASURY INFLATE PROT BD 912828X39 -- $0.13 4/15/2022 1,409,352 $100.02 USD GOVT GOVT GOVT
0.98% $1126950.00 Financials WELLS FARGO & CO JR SUBORD K PFD -- -- $0.00 -- 1,100,000 $102.45 USD BBB Baa2 NR
0.97% $1111939.35 Corporate MCCORMICK & CO SR UNSEC 579780AM9 -- $3.15 8/15/2024 1,100,000 $101.05 USD BBB Baa2 NR
0.97% $1114750.05 Corporate QVC INC 747262AQ6 -- $3.13 4/1/2019 1,100,000 $101.33 USD BBB- Ba2 BBB-
0.97% $1118436.00 Corporate UBS AG COCO SUB CH0214139930 -- $4.75 5/22/2023 1,100,000 $101.68 USD BBB+ NR BBB+
0.96% $1102475.00 Corporate ALLEGION US HOLDING CO SR UNSEC 01748NAD6 -- $3.20 10/1/2024 1,100,000 $100.23 USD BBB Baa3 BBB-
0.96% $1098372.00 Corporate AT&T INC SR UNSEC 00206REJ7 -- $2.20 2/14/2023 1,100,000 $99.85 USD BBB+ Baa1 A-
0.96% $1105753.08 Corporate KANSAS CITY SOUTHERN SR UNSEC 485170AV6 -- $3.00 5/15/2023 1,100,000 $100.50 USD BBB- Baa3 BBB
0.96% $1100000.00 Collateralized Mtge Obligation VOLT 2017-NPL9 A1 144A 92872FAA6 -- $0.00 9/25/2047 1,100,000 $100.00 USD NR NR NR
0.93% $1071125.00 Corporate SPRINGLEAF FINANCE CORP SR UNSEC 85172FAJ8 -- $8.25 12/15/2020 950,000 $112.75 USD B B2 B-
0.89% $1022709.20 Corporate HEATHROW FUNDING LTD SR SEC 144A 05607MAA5 -- $4.88 7/15/2023 950,000 $107.65 USD A- NR A-
0.88% $1017308.93 Corporate BP CAPITAL MARKETS PLC SR UNSEC 05565QDE5 -- $2.19 9/16/2021 1,000,000 $101.73 USD A- A1 A
0.88% $1012118.36 Corporate GOLDMAN SACHS GROUP INC SR UNSEC 38147QDN3 -- $2.90 7/15/2020 1,000,000 $101.21 USD BBB+ A3 NR
0.88% $1012033.29 Corporate KINDER MORGAN FINANCE CO GTD 144A 49456AAA1 -- $6.00 1/15/2018 1,000,000 $101.20 USD BBB- Baa3 BBB-
0.87% $1001301.60 Corporate BANK OF AMERICA CORP SR UNSEC 06051GGN3 -- $1.97 7/21/2021 1,000,000 $100.13 USD BBB+ Baa1 A
0.87% $999500.00 Corporate CITIGROUP INC SR UNSEC 172967LN9 -- $2.26 7/24/2023 1,000,000 $99.95 USD BBB+ Baa1 A
0.87% $1003036.44 Corporate ICICI BANK LTD/DUBAI 45112FAE6 -- $4.80 5/22/2019 965,000 $103.94 USD BBB- Baa3 BBB-
0.87% $994500.00 Corporate NAVIENT CORP 78442FEJ3 -- $8.00 3/25/2020 900,000 $110.50 USD B+ Ba3 BB
0.87% $1000390.52 Corporate VOLKSWAGEN GROUP AMERICA SR UNSEC 144A 928668AG7 -- $1.76 11/20/2017 1,000,000 $100.04 USD BBB+ A3 NR
0.87% $1003548.70 Corporate WESTERN GAS PARTNERS LP SR UNSEC 958254AC8 -- $2.60 8/15/2018 1,000,000 $100.35 USD BBB- Ba1 BBB-
0.84% $968517.58 Corporate FIRSTENERGY CORP SR UNSEC 337932AG2 -- $2.85 7/15/2022 970,000 $99.83 USD BB+ Baa3 BBB-
0.83% $948906.47 Asset Backed Securities NAVSL 2015-AA A2B 144A 63939EAC7 -- $2.43 12/15/2028 934,495 $101.54 USD NR Aaa AAA
0.78% $899929.80 Corporate QNB FINANCE LTD BK GTD ETMN REGS XS0854469599 -- $2.13 2/14/2018 900,000 $99.99 USD A Aa3 A+
0.75% $858088.86 Collateralized Mtge Obligation NMRR 2012-2R 2A1 144A WM37 WC4.4819 65539XAC4 -- $3.10 4/26/2037 844,742 $101.58 USD NR NR NR
0.75% $866149.58 Corporate WESTJET AIRLINES LTD SR UNSEC 144A 960410AC2 -- $3.50 6/16/2021 850,000 $101.89 USD BBB- Baa2 NR
0.74% $852226.32 Collateralized Mtge Obligation WAMU 2004-AR8 A2 1MLIB+40BP 92922FUN6 -- $1.63 6/25/2044 865,763 $98.44 USD BBB+ Ba2 NR
0.72% $822561.60 Agency Debenture EXPORT-IMPORT BK INDIA XS1050464996 -- $3.88 10/2/2019 800,000 $102.82 USD GOVT GOVT GOVT
0.72% $824103.71 Collateralized Mtge Obligation RAMP 2003-RS8 MII1 1MLIB +109.5BP 760985ZN4 -- $2.33 9/25/2033 836,905 $98.47 USD CCC Ba1 NR
0.71% $817200.00 Corporate CROWN CASTLE TOWERS LLC SEC 144A 22822RBB5 -- $3.22 5/15/2042 800,000 $102.15 USD NR A2 A
0.70% $804573.87 Corporate ATHENE GLOBAL FUNDING SEC 144A 04685A2F7 -- $2.53 7/1/2022 800,000 $100.57 USD A- NR A-
0.70% $804980.04 Corporate ROYAL BK SCOTLND GRP PLC SRUNSEC 780097BF7 -- $2.79 5/15/2023 800,000 $100.62 USD BBB- Baa3 BBB+
0.70% $804528.00 Corporate SANTANDER UK GROUP HLDGS SR UNSEC 80281LAE5 -- $2.88 8/5/2021 800,000 $100.57 USD BBB Baa1 A
0.69% $787738.78 Corporate HYUNDAI CAPITAL AMERICA 44891AAJ6 -- $1.75 9/27/2019 800,000 $98.46 USD A- Baa1 NR
0.68% $782494.40 Corporate GOODMAN US FIN ONE LLC**DUTCH AUCTION** 38239LAA4 -- $6.38 4/15/2021 700,000 $111.77 USD BBB+ Baa1 NR
0.64% $740014.20 Corporate REYNOLDS AMERICAN INC SR UNSEC 761713BF2 -- $4.00 6/12/2022 700,000 $105.70 USD BBB+ Baa2 BBB
0.63% $720313.52 Corporate PIONEER NATURAL RESOURCE 723787AF4 -- $6.88 5/1/2018 700,000 $102.90 USD BBB Baa2 BBB
0.63% $724710.00 Corporate ZF FRIEDRICHSHAFEN SR UNSEC 144A 98877DAA3 -- $4.00 4/29/2020 700,000 $103.53 USD BB+ Ba1 NR
0.62% $714476.49 Corporate DELPHI AUTOMOTIVE PLC SR UNSEC 24713GAA0 -- $3.15 11/19/2020 700,000 $102.06 USD BBB Baa2 BBB
0.62% $710911.38 Corporate IMPERIAL BRANDS FINANCE 453140AD7 -- $2.95 7/21/2020 700,000 $101.55 USD BBB Baa3 BBB
0.62% $710384.19 Corporate MIZUHO FINANCIAL GROUP SR UNSEC 60687YAF6 -- $2.46 9/13/2021 700,000 $101.48 USD A- A1 NR
0.62% $710271.27 Asset Backed Securities SLMA 2008-9 A 3MLIB+150 78445JAA5 -- $2.81 4/25/2023 693,240 $102.46 USD AA+ Baa3 B
0.61% $705663.00 Corporate BARCLAYS BANK PLC SUB NT REGS XS0334249223 -- $6.05 12/4/2017 700,000 $100.81 USD BBB- Baa3 A-
0.61% $701659.00 Collateralized Mtge Obligation BX 2017-APPL A 1MLIB+88BP 144A 12433PAE6 -- $2.11 7/15/2034 700,000 $100.24 USD AAA NR NR
0.61% $701430.84 Collateralized Loan Obligation CIFC 2013-3A A1AR 1MLIB+102BP 144A 12549CAN6 -- $2.33 10/24/2025 700,000 $100.20 USD AAA Aaa NR
0.61% $699302.10 Corporate CNOOC FINANCE 2013 LTD GLBL SR UNSEC 12625GAB0 -- $1.75 5/9/2018 700,000 $99.90 USD A+ A1 NR
0.61% $699873.22 Corporate CNPC GENERAL CAPITAL USG22004AD07 -- $1.95 4/16/2018 700,000 $99.98 USD A+ A2 A+
0.61% $700969.83 Corporate LEASEPLAN CORPORATION NV SR UNSEC 144A 52206AAB6 -- $2.50 5/16/2018 700,000 $100.14 USD BBB- Baa1 BBB+
0.61% $704250.54 Corporate SOUTHERN CO SR UNSEC 842587CU9 -- $2.95 7/1/2023 700,000 $100.53 USD BBB+ Baa2 A-
0.61% $700361.49 Corporate SUMITOMO MITSUI TR BK LT SR UNSEC 144A 86563VAH2 -- $2.05 3/6/2019 700,000 $100.05 USD A A1 NR
0.60% $689334.21 Corporate TEVA PHARMACEUTICALS NE SR UNSEC 88167AAB7 -- $1.70 7/19/2019 700,000 $98.47 USD BBB- Baa3 BBB-
0.59% $679768.78 Collateralized Mtge Obligation SASC 2006-EQ1A A1 1MLIB+13.50BP 144A 86360RAA1 -- $1.37 7/25/2036 696,256 $97.63 USD CCC Baa1 NR
0.58% $668150.28 Collateralized Mtge Obligation CCMFC 2004-4A A1 1MLIB+23BP 144A 16678RCC9 -- $1.46 10/25/2035 684,358 $97.63 USD A+ B1 NR
0.56% $638020.62 Corporate AERCAP IRELAND CAP LTD/A SR UNSEC 00772BAQ4 -- $4.63 10/30/2020 600,000 $106.32 USD BBB- Baa3 BBB-
0.56% $644238.64 Asset Backed Securities SLMA 2008-2 A3 784442AC9 -- $2.06 4/25/2023 644,844 $99.91 USD AA+ Baa3 B
0.55% $628646.03 Asset Backed Securities SLMA 2008-5 A4 3MLIB+170 78444YAD7 -- $3.01 7/25/2023 609,930 $103.07 USD AA+ Baa3 B
0.54% $621305.74 Corporate HSBC HOLDINGS PLC SR UNSEC 404280AZ2 -- $2.98 5/25/2021 600,000 $103.55 USD A A1 AA-
0.54% $619500.00 Corporate TELECOM ITALIA CAPITAL GLBL CO GTD 87927VAU2 -- $7.00 6/4/2018 600,000 $103.25 USD BB+ Ba1 BBB-
0.53% $609000.00 Corporate ALLY FINANCIAL INC SR UNSEC 02005NAT7 -- $3.50 1/27/2019 600,000 $101.50 USD BB+ Ba3 BB+
0.53% $613774.03 Corporate ARROW ELECTRONICS INC SR UNSEC 042735BD1 -- $3.50 4/1/2022 600,000 $102.28 USD BBB- Baa3 BBB-
0.53% $607500.00 Corporate DISH DBS CORP SR UNSEC 25470XAP0 -- $4.25 4/1/2018 600,000 $101.25 USD B+ Ba3 BB-
0.53% $607200.00 Corporate PEMEX 71654QBQ4 -- $3.13 1/23/2019 600,000 $101.20 USD BBB+ Baa3 BBB+
0.52% $603040.38 Corporate ABBVIE INC SR UNSEC 00287YAX7 -- $2.85 5/14/2023 600,000 $100.49 USD A- Baa2 NR
0.52% $601515.36 Collateralized Loan Obligation APID 2013-16A A1R 3MLIB+98BP 144A 03764UAN3 -- $2.29 1/19/2025 600,000 $100.25 USD AAA Aaa NR
0.52% $-1641.60 Credit Default Swap EXELON GENERATION COMPANY LLC SNR S* -- -- $1.00 12/20/2021 -600,000 $0.30 USD BBB Baa2 BBB
0.52% $594018.26 Commercial Paper FORD MOTOR CREDIT CO 4(2) DISC NT* 3454G1DC7 -- $0.00 4/12/2018 600,000 $99.00 USD A2 (Short Term) P2 (Short Term) F2 (Short Term)
0.52% $595606.98 Corporate SMBC AVIATION CAPITAL FI SR UNSEC 144A 78448TAA0 -- $2.65 7/15/2021 600,000 $99.25 USD BBB+ NR A-
0.51% $591641.26 Corporate AMERICAN TOWER CORP SR UNSEC 03027XAL4 -- $2.25 1/15/2022 600,000 $98.59 USD BBB- Baa3 BBB
0.51% $583753.45 Collateralized Mtge Obligation SABR 2005-OP1 M2 1MLIB+45BP 81375WCT1 -- $1.91 1/25/2035 592,262 $98.56 USD BB- B1 CCC
0.49% $562562.63 Corporate DUQUESNE LIGHT HOLDINGS SR NT 144A 266233AD7 -- $5.90 12/1/2021 500,000 $112.49 USD BBB- Baa3 NR
0.49% $561335.44 Corporate SABINE PASS LIQUEFACTION 785592AH9 -- $6.25 3/15/2022 500,000 $112.25 USD BBB- Baa3 BBB-
0.48% $546625.69 Corporate DELL INTL LLC / EMC 144A 25272KAG8 -- $5.45 6/15/2023 500,000 $109.30 USD BBB- Baa3 BBB-
0.48% $555221.97 Mortgage Pass Thru GN II PASS THRU PRJ LOAN #5164M 36202FWZ5 -- $5.50 8/20/2041 524,073 $105.94 USD GOVT GOVT GOVT
0.48% $546460.32 Corporate NATIONAL FUEL GAS CO SR UNSECURED 636180BJ9 -- $8.75 5/1/2019 500,000 $109.29 USD BBB Baa3 BBB
0.47% $539181.51 Corporate CONTINENTAL AIR EETC 2009-2 21079UAA3 -- $7.25 5/10/2021 488,146 $110.46 USD A- A3 NR
0.47% $539331.65 Corporate HARTFORD FINL SVCS GRP SR UNSECURED 416515AZ7 -- $5.50 3/30/2020 500,000 $107.86 USD BBB+ Baa2 NR
0.47% $541371.69 Corporate SABINE PASS LIQUEFACTION 785592AE6 -- $5.63 2/1/2021 500,000 $108.26 USD BBB- Baa3 BBB-
0.47% $541045.30 Corporate SKY PLC CO GTD 144A 111013AH1 -- $9.50 11/15/2018 500,000 $108.20 USD BBB Baa2 BBB-
0.47% $543845.53 Corporate TIME WARNER CABLE INC GLBL CO GTD 88732JAP3 -- $8.75 2/14/2019 500,000 $108.77 USD BBB- Ba1 BBB-
0.46% $526074.23 Corporate CRED SUIS GP FUN LTD SR UNSEC 225433AP6 -- $3.59 4/16/2021 500,000 $105.21 USD BBB+ NR A-
0.46% $527223.27 Corporate FLEXTRONICS INTL LTD SR UNSEC 33938EAQ0 -- $4.63 2/15/2020 500,000 $105.43 USD BBB- Baa3 BBB-
0.45% $522079.50 Corporate ENERGY TRANSFER PARTNERS SR UNSEC 29273RAX7 -- $4.15 10/1/2020 500,000 $104.40 USD BBB- Baa3 BBB-
0.44% $505000.00 Corporate ALLY FINANCIAL INC SRUNSEC 02005NBB5 -- $3.60 5/21/2018 500,000 $100.93 USD BB+ NR BB+
0.44% $504872.49 Corporate AVIATION CAPITAL GROUP SR UNSEC 144A 05367AAE3 -- $4.63 1/31/2018 500,000 $100.97 USD A- NR BBB
0.44% $504149.00 Corporate BG ENERGY CAPITAL PLC SUB CO GTD XS0798324306 -- $6.50 11/30/2072 500,000 $100.83 USD BBB+ NR A-
0.44% $502200.00 Agency Debenture CENTRAL NIPPON EXPRESSWY XS1572613989 -- $2.13 3/3/2022 500,000 $100.44 USD GOVT GOVT GOVT
0.44% $503085.00 Agency Debenture CENTRAL NIPPON EXPRESSWY XS1484434086 -- $2.17 9/14/2021 500,000 $100.62 USD GOVT GOVT GOVT
0.44% $501816.13 Collateralized Loan Obligation GALXY 2013-16A A2R 3MLIB+113BP 144A 36320CAP5 -- $2.44 11/16/2025 500,000 $100.36 USD AAA Aaa NR
0.44% $505761.15 Corporate HUMANA INC SR UNSEC 444859BC5 -- $2.63 10/1/2019 500,000 $101.24 USD BBB+ Baa3 BBB
0.44% $501747.52 Collateralized Loan Obligation JMP 2014-1A AR 3MLIB+124BP 144A 46642WAL0 -- $2.54 10/17/2025 500,000 $100.35 USD NR Aaa AAA
0.44% $503700.00 Municipal Bond KANSAS ST DEV FIN AUT 485429Y24 -- $2.26 4/15/2019 500,000 $100.74 USD A+ Aa3 NR
0.44% $502841.50 Corporate MITSUBISHI UFJ LEASE&FIN SR UNSEC XS1089791781 -- $2.09 7/23/2019 500,000 $100.57 USD A A3 NR
0.44% $500815.50 Corporate ORIX CORP SR UNSEC XS1389922250 -- $2.65 4/13/2021 500,000 $100.16 USD A- NR A-
0.44% $501962.40 Corporate ORIX CORP SR UNSEC 686330AH4 -- $2.90 7/18/2022 500,000 $100.37 USD A- NR A-
0.44% $504076.55 Corporate SKY PLC SR UNSEC 144A 111013AM0 -- $2.63 9/16/2019 500,000 $100.81 USD BBB Baa2 BBB-
0.43% $496958.50 Government ARGENT LETRAS DEL TESORO ARARGE5203N8 -- $0.00 12/15/2017 500,000 $99.39 USD GOVT GOVT GOVT
0.43% $498261.83 Collateralized Mtge Obligation BOMFT 2017-RPL1 A1 144A 073255AA9 -- $3.10 7/28/2032 498,350 $99.98 USD NR NR NR
0.43% $494081.34 Mortgage Pass Thru FNMA PASS THRU MTG IO #256372 31371MW94 -- $6.50 7/1/2036 445,401 $110.92 USD GOVT GOVT GOVT
0.43% $498155.66 Collateralized Mtge Obligation GSR 2003-9 A2 12MLIB+175BP 36228FWS1 -- $3.48 8/25/2033 496,060 $100.42 USD A+ NR BBB
0.42% $488053.82 Mortgage Pass Thru GNMA II MULTPL SGL 30YR #AJ6274C 36183B6K9 -- $3.50 9/20/2044 469,146 $104.01 USD GOVT GOVT GOVT
0.41% $476799.75 Corporate BARCLAYS PLC SUB 06738EAA3 -- $8.25 -- 450,000 $105.96 USD B+ NR BB+
0.40% $455330.25 Corporate BOC AVIATION LIMITED 09681MAA6 -- $3.00 3/30/2020 450,000 $101.18 USD A- NR A-
0.39% $448611.89 Corporate CANTOR FITZGERALD LP SR UNSEC 144A 138616AC1 -- $6.50 6/17/2022 400,000 $112.13 USD BBB- NR BBB-
0.38% $431264.38 Corporate FIVE CORNERS FUNDING TRS UNSEC 144A 33829TAA4 -- $4.42 11/15/2023 400,000 $107.79 USD A Baa1 NR
0.38% $435199.51 Asset Backed Securities SOFI 2016-F A2 144A 78471AAB9 -- $3.02 2/25/2040 432,026 $100.72 USD NR A2 NR
0.37% $422289.00 Municipal Bond CA EARTHQUAKE AUTH 13017HAE6 -- $2.81 7/1/2019 420,000 $100.55 USD NR A3 A
0.36% $412575.21 Corporate AMERICAN TOWER CORP SR UNSEC 03027XAE0 -- $3.45 9/15/2021 400,000 $103.13 USD BBB- Baa3 BBB
0.36% $408822.80 Corporate BOC AVIATION LIMITED XS1065044312 -- $3.88 5/9/2019 400,000 $102.21 USD A- NR A-
0.36% $419247.40 Corporate DELL INTL LLC / EMC 144A 25272KAD5 -- $4.42 6/15/2021 400,000 $104.86 USD BBB- Baa3 BBB-
0.36% $410469.69 Corporate DELTA AIR LINES INC SR UNSEC 247361ZJ0 -- $3.63 3/15/2022 400,000 $102.60 USD BB+ Baa3 BBB-
0.36% $410491.70 Corporate MIZUHO FINANCIAL GROUP SR UNSEC 144A 60687YAC3 -- $2.78 4/12/2021 400,000 $102.62 USD A- A1 NR
0.35% $405568.54 Corporate AP MOELLER-MAERSK A/S UNSEC 144A 00203QAC1 -- $2.88 9/28/2020 400,000 $101.38 USD BBB Baa2 NR
0.35% $401228.70 Corporate AVIATION CAPITAL GROUP SR UNSEC 144A 05367AAJ2 -- $2.88 1/20/2022 400,000 $100.29 USD A- NR BBB
0.35% $400286.18 Corporate BAT CAPITAL CORP SR UNSEC 144A 05526DAW5 -- $2.20 8/15/2022 400,000 $100.07 USD BBB+ Baa2 BBB
0.35% $400511.12 Collateralized Loan Obligation CGMS 2014-5A A1R 1MLIB+114BP 144A 14311AAJ1 -- $2.44 10/16/2025 400,000 $100.13 USD NR Aaa AAA
0.35% $407916.59 Corporate D.R. HORTON INC SR UNSEC 23331ABJ7 -- $3.75 3/1/2019 400,000 $101.97 USD BBB- Baa3 BBB-
0.35% $401282.74 Collateralized Loan Obligation FIG 2013-2A A1R 3MLIB+125BP 144A 31683VAL4 -- $2.58 6/20/2027 400,000 $100.32 USD AAA NR NR
0.35% $403677.08 Corporate GEORGIA-PACIFIC LLC SR UNSEC 144A 37331NAF8 -- $2.54 11/15/2019 400,000 $100.91 USD A+ A3 NR
0.35% $400645.70 Corporate KRAFT HEINZ FOODS CO SR UNSEC 50077LAQ9 -- $2.13 8/10/2022 400,000 $100.16 USD BBB- Baa3 BBB-
0.35% $400192.59 Collateralized Loan Obligation REGT5 2014-1A A1AR WM22 WC4.7882 144A 75887HAQ5 -- $2.47 10/25/2026 400,000 $100.05 USD NR Aaa AAA
0.35% $397071.32 Corporate SMBC AVIATION CAPITAL FI SR UNSEC REGS USG82296AA50 -- $2.65 7/15/2021 400,000 $99.25 USD BBB+ NR A-
0.35% $397949.11 Corporate TEVA PHARMACEUTICALS NE SR UNSEC 88167AAA9 -- $1.40 7/20/2018 400,000 $99.48 USD BBB- Baa3 BBB-
0.35% $400013.38 Collateralized Loan Obligation WITEH 2014-9A AR 3MLIB+116BP 144A 965249AF2 -- $2.46 7/17/2026 400,000 $100.00 USD NR Aaa AAA
0.35% $400942.39 Collateralized Loan Obligation WOODS 2013-10A A1R 3MLIB+108BP 144A 66859LAU0 -- $2.39 11/4/2025 400,000 $100.24 USD AAA Aaa NR
0.34% $395938.56 Collateralized Mtge Obligation VOLT 2017-NPL5 A1 144A 91832JAA9 -- $3.38 5/28/2047 392,555 $100.86 USD NR NR NR
0.32% $367253.81 Collateralized Mtge Obligation VOLT 2017-NPL2 A1 144A 91831PAA6 -- $3.50 3/25/2047 364,243 $100.82 USD NR NR NR
0.31% $352496.86 Mortgage Pass Thru GNMA II MULTPL SGL 30YR #734402C 3620AM3K6 -- $4.50 4/20/2041 330,320 $106.70 USD GOVT GOVT GOVT
0.31% $355250.00 Corporate NABORS INDUSTRIES INC GLBL CO GTD 629568AQ9 -- $6.15 2/15/2018 350,000 $101.80 USD BBB- Ba3 BB+
0.30% $347983.99 Collateralized Loan Obligation ATCLO 2012-2A AR 3MLIB+123BP 144A 04941DAJ4 -- $2.54 1/30/2024 346,138 $100.53 USD AAA Aaa NR
0.30% $346521.53 Mortgage Pass Thru GNMA II MULTPL SGL 30YR #770947C 36176NHY0 -- $4.50 7/20/2041 323,989 $106.94 USD GOVT GOVT GOVT
0.29% $328495.42 Corporate DISH DBS CORP 25470XAB1 -- $7.88 9/1/2019 300,000 $109.50 USD B+ Ba3 BB-
0.29% $331760.74 Corporate GOODMAN FUNDING PTY LTD CO GTD 144A 38239FAA7 -- $6.38 11/12/2020 300,000 $110.57 USD BBB+ Baa1 NR
0.28% $323243.17 Corporate ASCIANO FINANCE CO GTD 144A 04363UAB2 -- $4.63 9/23/2020 311,000 $103.92 USD BBB- Baa3 NR
0.28% $316512.93 Corporate CHARTER COMM OPT LLC/CAP 161175BB9 -- $4.46 7/23/2022 300,000 $105.49 USD BBB- Ba1 BBB-
0.28% $321321.85 Mortgage Pass Thru GNMA II MULTPL SGL 30YR #688058C 36296DMF2 -- $4.50 8/20/2038 305,609 $105.13 USD GOVT GOVT GOVT
0.28% $326250.00 Corporate MGM RESORTS INTL GLBL SR UNSEC 552953BW0 -- $8.63 2/1/2019 300,000 $108.75 USD BB- Ba3 BB
0.28% $317040.30 Corporate PETRONAS CAPITAL LTD 144A CO GTD 716743AD1 -- $5.25 8/12/2019 300,000 $105.68 USD A- A1 A-
0.28% $325386.98 Collateralized Mtge Obligation USROF 2016-3II A 144A 90354CAA4 -- $3.60 10/27/2036 323,461 $100.60 USD NR NR NR
0.27% $307072.50 Corporate E.ON INTL FINANCE BV NT 144A 268789AA2 -- $5.80 4/30/2018 300,000 $102.36 USD BBB Baa2 A-
0.27% $310575.85 Corporate ENERGY TRANSFER PARTNERS SR UNSEC 29273RAH2 -- $6.70 7/1/2018 300,000 $103.52 USD BBB- Baa3 BBB-
0.27% $308774.52 Collateralized Mtge Obligation JPMCC 2017-JP7 A3 465968AC9 -- $3.38 9/15/2050 300,000 $102.89 USD NR Aaa AAA
0.27% $311250.00 Corporate NAVIENT CORP 78442FER5 -- $5.50 1/15/2019 300,000 $103.75 USD B+ Ba3 BB
0.27% $312645.00 Corporate ONEOK INC SR UNSEC 682680AQ6 -- $4.25 2/1/2022 300,000 $104.22 USD BBB Baa3 NR
0.27% $310500.00 Corporate SCHAEFFLER FINANCE BV 144A 806261AM5 -- $4.75 5/15/2023 300,000 $103.50 USD BB+ Baa3 BBB-
0.27% $311880.92 Corporate WOOLWORTHS LIMITED SR UNSECURED 144A 980888AD3 -- $4.00 9/22/2020 300,000 $103.95 USD BBB Baa2 NR
0.26% $302427.06 Corporate BARCLAYS BANK PLC SUB 144A 06739GAE9 -- $6.05 12/4/2017 300,000 $100.81 USD BBB- Baa3 A-
0.26% $300322.50 Corporate BARCLAYS PLC SR UNSEC 06738EAF2 -- $2.00 3/16/2018 300,000 $100.11 USD BBB Baa2 A
0.26% $301593.92 Collateralized Loan Obligation BLUEM 2015-1A A1R 3MLIB+133BP 144A 09627XAU5 -- $2.63 4/13/2027 300,000 $100.53 USD AAA Aaa NR
0.26% $300608.76 Collateralized Loan Obligation CECLO 2013-19A A1A 1MLIB+133BP 144A 12518XAA5 -- $2.64 10/29/2025 300,000 $100.20 USD AAA Aaa NR
0.26% $301843.02 Collateralized Loan Obligation CGMS 2014-3A A1AR 3MLIB+115BP 144A 14308LAQ6 -- $2.47 7/27/2026 300,000 $100.61 USD NR Aaa AAA
0.26% $294798.14 Mortgage Pass Thru GNMA PASS THRU SGL 30YR #799863X 36177U5Z3 -- $3.75 4/15/2042 280,314 $105.14 USD GOVT GOVT GOVT
0.26% $303043.58 Corporate HP ENTERPRISE CO SR UNSEC 42824CAU3 -- $2.85 10/5/2018 300,000 $101.01 USD BBB Baa2 BBB+
0.26% $301036.81 Corporate RELIANCE STAND LIFE II SEC 144A 75951AAD0 -- $2.15 10/15/2018 300,000 $100.34 USD A A2 NR
0.26% $301814.30 Corporate S&P GLOBAL INC SR UNSEC 78409VAH7 -- $2.50 8/15/2018 300,000 $100.60 USD NR Baa1 BBB+
0.26% $297594.49 Corporate SHIRE ACQ INV IRELAND DA SR UNSEC 82481LAC3 -- $2.88 9/23/2023 300,000 $99.18 USD BBB- Baa3 NR
0.26% $300651.45 Corporate WELLTOWER INC SR UNSEC 42217KAZ9 -- $2.25 3/15/2018 300,000 $100.22 USD BBB+ Baa1 BBB+
0.26% $301819.09 Collateralized Loan Obligation WINDR 2013-2A A2A 3MLIB+144BP 144A 88432AAN0 -- $2.74 1/18/2026 300,000 $100.61 USD AAA Aaa NR
0.25% $289476.68 Collateralized Mtge Obligation FFML 2004-FF1 M1 1MLIB+50BP 32027NGC9 -- $1.98 11/25/2034 294,337 $98.35 USD AA Baa2 B
0.25% $291352.34 Mortgage Pass Thru FHLMC GOLD IO #H0-9098 3128UNDB5 -- $6.50 10/1/2037 268,097 $108.66 USD GOVT GOVT GOVT
0.25% $286371.62 Collateralized Mtge Obligation IMM 2004-10 1A1 1MLIB+64BP 45254NLJ4 -- $1.87 3/25/2035 292,678 $97.85 USD B Ba3 NR
0.24% $279443.07 Mortgage Pass Thru GN II PASS THRU PRJ LOAN #4241M 36202EWA3 -- $7.00 9/20/2038 259,189 $107.81 USD GOVT GOVT GOVT
0.24% $281347.21 Mortgage Pass Thru GNMA II MULTPL SGL 30YR #627122C 36291FVP0 -- $5.50 3/20/2034 260,222 $108.11 USD GOVT GOVT GOVT
0.23% $263715.41 Corporate BGC PARTNERS INC SR UNSEC 05541TAH4 -- $5.13 5/27/2021 250,000 $105.47 USD BBB- NR BBB-
0.23% $260094.26 Corporate CRED SUIS GP FUN LTD SR UNSEC 225433AH4 -- $3.80 9/15/2022 250,000 $104.02 USD BBB+ Baa2 A-
0.23% $259787.65 Mortgage Pass Thru GNMA II MULTPL SGL 30YR #737583C 3620ARM81 -- $4.00 11/20/2040 246,378 $105.43 USD GOVT GOVT GOVT
0.22% $248069.24 Asset Backed Securities CSMC 2017-1A A US12651LAA89 -- $4.50 3/25/2021 247,564 $100.20 USD NR NR NR
0.22% $257754.22 Collateralized Loan Obligation DRSLF 2012-25A AR 3MLIB+120BP 26250JAG5 -- $2.50 1/15/2025 256,420 $100.52 USD AAA Aaa NR
0.22% $252206.68 Corporate GENERAL MOTORS FINL CO SR UNSEC 37045XAJ5 -- $3.25 5/15/2018 250,000 $100.88 USD BBB Baa3 BBB
0.22% $251761.53 Mortgage Pass Thru GNMA II MULTPL SGL 30YR #AV9440C 36195LPZ9 -- $3.00 11/20/2046 247,610 $101.66 USD GOVT GOVT GOVT
0.22% $251372.50 Corporate SK BROADBAND CO LTD SR UNSEC REGS XS0985940864 -- $2.88 10/29/2018 250,000 $100.55 USD A- NR A-
0.22% $252605.14 Corporate SYNCHRONY FINANCIAL SR UNSEC 87165BAF0 -- $2.54 2/3/2020 250,000 $101.04 USD BBB- NR BBB-
0.21% $238266.50 Mortgage Pass Thru GNMA II MULTPL SGL 30YR #734320C 3620AMYR7 -- $4.50 4/20/2041 223,473 $106.61 USD GOVT GOVT GOVT
0.21% $237957.01 Mortgage Pass Thru GNMA PASS THRU SGL 30YR #AA0060X 36177WB58 -- $3.70 4/15/2042 227,328 $104.65 USD GOVT GOVT GOVT
0.20% $233017.49 Mortgage Pass Thru FNMA PASS THRU MTG IO #256890 31371NKB0 -- $6.00 9/1/2037 219,382 $106.21 USD GOVT GOVT GOVT
0.20% $225147.56 Mortgage Pass Thru GNMA II MULTPL SGL 30YR #AA0711C 36177WYG9 -- $3.74 7/20/2042 216,481 $103.99 USD GOVT GOVT GOVT
0.20% $234060.20 Corporate ILFC SR UNSECURED 459745GF6 -- $8.25 12/15/2020 200,000 $117.02 USD BBB- Baa3 BBB-
0.20% $227276.99 Corporate WEA FINANCE LLC/WESTFIEL UNSEC 144A 92890HAB8 -- $2.70 9/17/2019 225,000 $101.00 USD BBB+ A3 NR
0.19% $215058.70 Corporate BOC AVIATION LIMITED XS0838771466 -- $2.88 10/10/2017 215,000 $100.03 USD A- NR A-
0.19% $223564.87 Mortgage Pass Thru FNMA PASS THRU MTG IO #995092 31416BNH7 -- $6.50 12/1/2037 197,093 $113.42 USD GOVT GOVT GOVT
0.19% $214250.00 Corporate NAVIENT CORP SR UNSEC 63938CAD0 -- $6.63 7/26/2021 200,000 $107.13 USD B+ Ba3 BB
0.19% $215258.13 Corporate REGENCY ENERGY PARTNERS GLBL SR UNSEC 75886AAK4 -- $5.75 9/1/2020 200,000 $107.62 USD BBB- Baa3 BBB-
0.19% $221023.84 Collateralized Mtge Obligation TMST 2005-1 A3 WM35 WC5.0402 ARM 885220HB2 -- $3.06 4/25/2045 219,838 $100.54 USD A+ NR NR
0.19% $220730.27 Corporate WEYERHAEUSER CO SR UNSEC 962166BV5 -- $7.38 10/1/2019 200,000 $110.36 USD BBB Baa2 NR
0.18% $203788.51 Collateralized Mtge Obligation CFAB 2003-5 2A2 1MLIB+30 161546GR1 -- $1.83 7/25/2033 209,779 $97.14 USD AAA Baa1 BBB
0.18% $201769.80 Corporate CHUGOKU ELECTRIC POWER SEC XS1569934414 -- $2.70 3/16/2020 200,000 $100.88 USD NR A3 NR
0.18% $204500.00 Corporate CIT GROUP INC SR UNSEC 125581GS1 -- $3.88 2/19/2019 200,000 $102.25 USD BB+ Ba2 BB+
0.18% $201879.85 Collateralized Mtge Obligation CSH 2016-1A A 1MLIB+150BP 144A 19626MAA3 -- $2.74 7/17/2033 199,032 $101.43 USD NR Aaa NR
0.18% $204222.20 Corporate FOREST LABORATORIES INC SR UNSEC 144A 345838AC0 -- $4.38 2/1/2019 199,000 $102.62 USD BBB Baa3 BBB-
0.18% $210748.18 Mortgage Pass Thru GN II PASS THRU PRJ LOAN #MA1006M 36179NDK1 -- $4.00 5/20/2043 203,487 $103.55 USD GOVT GOVT GOVT
0.18% $207948.68 Corporate HSBC HOLDINGS PLC SR UNSEC 404280BA6 -- $3.60 5/25/2023 200,000 $103.95 USD A A1 AA-
0.18% $203990.93 Corporate MORGAN STANLEY SR UNSEC 61746BEC6 -- $2.71 10/24/2023 200,000 $102.00 USD BBB+ A3 A
0.18% $211354.77 Corporate WOODSIDE FINANCE LTD CO GTD 144A 980236AL7 -- $4.60 5/10/2021 200,000 $105.66 USD BBB+ Baa1 BBB+
0.17% $199934.80 Government ARGENT LETRAS DEL TESORO ARARGE5203P3 -- $0.00 9/29/2017 200,000 $99.97 USD GOVT GOVT GOVT
0.17% $200143.56 Certificate of Deposit BARCLAYS BANK PLC NY SR UNSEC YCD US06742TBC99 -- $1.94 9/4/2018 200,000 $100.07 USD A- A1 A
0.17% $190811.57 Mortgage Pass Thru FHLMC GOLD IO #H1-9005 3128NAAE8 -- $5.50 1/1/2037 182,975 $104.27 USD GOVT GOVT GOVT
0.17% $198859.92 Mortgage Pass Thru GNMA II MULTPL SGL 30YR #773563C 36176RFC1 -- $4.50 7/20/2041 186,356 $106.70 USD GOVT GOVT GOVT
0.17% $200463.34 Corporate KINDER MORGAN INC SR UNSEC 49456BAN1 -- $2.59 1/15/2023 200,000 $100.23 USD BBB- Baa3 BBB-
0.17% $197722.80 Corporate MITSUBISHI UFJ LEASE&FIN SR UNSEC EMTN XS1485531492 -- $2.25 9/7/2021 200,000 $98.86 USD A A3 NR
0.17% $194907.88 Corporate RECKSON OPERATING PRTSHP SR UNSECURED 75625AAC8 -- $5.00 8/15/2018 191,000 $102.04 USD BBB- Baa3 BBB-
0.17% $200959.89 Corporate SANTANDER HOLDINGS USA SR UNSEC 80282KAD8 -- $2.65 4/17/2020 200,000 $100.47 USD BBB+ Baa3 NR
0.17% $200403.32 Corporate SMBC AVIATION CAPITAL FI SR UNSEC 144A 78448TAB8 -- $3.00 7/15/2022 200,000 $100.18 USD BBB+ NR A-
0.17% $200539.32 Corporate WOODSIDE FINANCE LTD SR UNSEC 144A 980236AN3 -- $3.70 9/15/2026 200,000 $100.24 USD BBB+ Baa1 NR
0.15% $168461.12 Mortgage Pass Thru FHLMC GOLD IO #H0-1774 3128MT6K9 -- $6.50 9/1/2037 153,053 $110.05 USD GOVT GOVT GOVT
0.15% $167463.91 Mortgage Pass Thru FHLMC GOLD IO #H0-2128 3128MULH6 -- $7.00 12/1/2037 157,826 $106.10 USD GOVT GOVT GOVT
0.14% $165413.24 Mortgage Pass Thru GNMA II MULTPL SGL 30YR #799902C 36177VAC6 -- $3.74 3/20/2042 158,948 $104.05 USD GOVT GOVT GOVT
0.13% $155184.16 Mortgage Pass Thru FHLMC GOLD IO #H0-9070 3128UNCF7 -- $6.50 9/1/2037 140,669 $110.31 USD GOVT GOVT GOVT
0.12% $133590.56 Asset Backed Securities DRUGB 2014-1 A1 3MLIB+285BP 144A 26223UAC3 -- $4.15 7/15/2023 132,254 $101.01 USD BBB NR NR
0.12% $141548.86 Mortgage Pass Thru GNMA II MULTPL SGL 30YR #758659C 36230TTQ5 -- $4.50 3/20/2041 132,760 $106.61 USD GOVT GOVT GOVT
0.12% $140082.32 Corporate LATAM AIR 2015-1 PTT A SEC 51817TAB8 -- $4.20 8/15/2029 136,853 $102.36 USD BBB+ Baa1 NR
0.11% $125551.69 Mortgage Pass Thru FNMA PASS THRU MTG IO #256434 31371MY76 -- $6.50 9/1/2036 119,573 $104.99 USD GOVT GOVT GOVT
0.11% $125312.08 Mortgage Pass Thru GN II PASS THRU PRJ LOAN #MA1084M 36179NFZ6 -- $4.00 6/20/2043 121,038 $103.52 USD GOVT GOVT GOVT
0.11% $131217.26 Mortgage Pass Thru GNMA II MULTPL SGL 30YR #723581C 3620A92N0 -- $5.50 4/20/2035 120,584 $108.82 USD GOVT GOVT GOVT
0.10% $117910.38 Mortgage Pass Thru FNMA PASS THRU FHA/VA #AB6113 31417CYK5 -- $4.00 8/1/2042 113,187 $104.16 USD GOVT GOVT GOVT
0.10% $113305.25 Mortgage Pass Thru GN II PASS THRU PRJ LOAN #4262M 36202EWX3 -- $7.00 10/20/2038 105,751 $107.14 USD GOVT GOVT GOVT
0.09% $101444.66 Corporate ASCIANO FINANCE CO GTD 144A 04363UAC0 -- $5.00 4/7/2018 100,000 $101.44 USD BBB- Baa3 NR
0.09% $107618.71 Mortgage Pass Thru FNMA PASS THRU MTG IO #952320 31413QPD4 -- $6.50 10/1/2037 97,514 $110.35 USD GOVT GOVT GOVT
0.09% $100250.00 Corporate GENERAL ELECTRIC CO SUB 36962G3M4 -- $6.38 11/15/2067 100,000 $100.25 USD A A2 A+
0.09% $100022.47 Corporate HP ENTERPRISE CO SR UNSEC 42824CAS8 -- $2.45 10/5/2017 100,000 $100.02 USD BBB Baa2 BBB+
0.09% $102521.34 Corporate KLA-TENCOR CORP SR UNSEC 482480AC4 -- $3.38 11/1/2019 100,000 $102.51 USD BBB Baa2 BBB-
0.09% $104000.00 Corporate SPRINGLEAF FINANCE CORP SR UNSEC 85172FAG4 -- $5.25 12/15/2019 100,000 $104.00 USD B B2 B-
0.09% $101064.13 Corporate WOODSIDE FINANCE LTD SR UNSEC 144A 980236AM5 -- $3.65 3/5/2025 100,000 $101.04 USD BBB+ Baa1 NR
0.08% $91332.75 Mortgage Pass Thru FHLMC GOLD IO #H0-3231 3128MVSU8 -- $7.00 10/1/2037 87,824 $103.99 USD GOVT GOVT GOVT
0.08% $87789.63 Mortgage Pass Thru FNMA PASS THRU MTG IO #256496 31371M3D7 -- $6.50 10/1/2036 83,729 $104.84 USD GOVT GOVT GOVT
0.08% $87366.34 Mortgage Pass Thru GNMA II MULTPL SGL 30YR #737157C 3620AQ5S8 -- $5.50 4/20/2036 80,192 $108.95 USD GOVT GOVT GOVT
0.08% $90722.94 Asset Backed Securities NAVSL 2016-5A A 1MLIB+125BP 144A 63939QAA4 -- $2.48 6/25/2065 88,834 $102.13 USD NR Aaa AAA
0.07% $77672.91 Asset Backed Securities EGLE 2014-1A A1 144A 26971HAA0 -- $2.57 12/15/2039 78,125 $99.42 USD A NR NR
0.07% $83999.21 Mortgage Pass Thru FNMA PASS THRU 30YR #MA0565 31417YTX5 -- $5.50 9/1/2040 74,542 $112.69 USD GOVT GOVT GOVT
0.07% $77548.71 Mortgage Pass Thru GN II PASS THRU PRJ LOAN #4165M 36202ETW9 -- $6.50 6/20/2038 72,919 $106.34 USD GOVT GOVT GOVT
0.07% $78195.91 Mortgage Pass Thru GN II PASS THRU PRJ LOAN #5073M 36202FT63 -- $5.50 5/20/2041 73,806 $105.95 USD GOVT GOVT GOVT
0.07% $80148.69 Collateralized Mtge Obligation MARM 2004-13 2A2 WM33 WC3.2251 ARM 576433WE2 -- $3.18 4/21/2034 78,337 $102.31 USD AA+ Baa1 NR
0.07% $74746.48 Collateralized Mtge Obligation VOLT 2015-NP14 A1 92871KAA6 -- $4.38 11/27/2045 74,299 $100.60 USD NR NR NR
0.06% $73416.86 Mortgage Pass Thru FHLMC GOLD 15YR #J1-2670 3128PR6F1 -- $4.50 7/1/2020 71,737 $102.33 USD GOVT GOVT GOVT
0.06% $65404.68 Mortgage Pass Thru FNMA PASS THRU MTG IO #256809 31371NGS8 -- $6.00 7/1/2037 62,244 $105.07 USD GOVT GOVT GOVT
0.06% $73960.18 Mortgage Pass Thru FNMA PRE-PAY PENALTY #847106 31408CDK9 -- $5.50 10/1/2035 69,619 $106.23 USD GOVT GOVT GOVT
0.06% $68009.09 Mortgage Pass Thru GN II PASS THRU PRJ LOAN #4492M 36202E7D5 -- $6.50 7/20/2039 62,002 $109.68 USD GOVT GOVT GOVT
0.06% $71149.67 Mortgage Pass Thru GNMA II MULTPL SGL 30YR #AH5878C 36182NQ71 -- $3.75 3/20/2044 67,466 $105.44 USD GOVT GOVT GOVT
0.05% $61753.36 Mortgage Pass Thru FHLMC GOLD IO #H0-9069 3128UNCE0 -- $6.50 9/1/2037 55,712 $110.83 USD GOVT GOVT GOVT
0.05% $55875.09 Mortgage Pass Thru FHLMC GOLD IO #H0-9152 3128UNEZ1 -- $6.50 2/1/2038 51,341 $108.82 USD GOVT GOVT GOVT
0.05% $58169.52 Mortgage Pass Thru GNMA II MULTPL SGL 30YR #513283C 36211HFY2 -- $6.00 9/20/2029 52,181 $111.44 USD GOVT GOVT GOVT
0.04% $47458.36 Collateralized Mtge Obligation AMSI 2003-9 AV1 1MLIB+38BP 03072SJQ9 -- $1.99 9/25/2033 48,846 $97.16 USD AA+ A2 A
0.04% $42551.41 Collateralized Mtge Obligation BSABS 2001-3-A2 1MOLIB+40 07384YBM7 -- $2.03 10/27/2032 44,092 $96.51 USD AAA Baa2 NR
0.04% $50699.06 Mortgage Pass Thru FHLMC GOLD IO #H0-3252 3128MVTH6 -- $6.50 10/1/2037 47,784 $106.09 USD GOVT GOVT GOVT
0.04% $41326.27 Mortgage Pass Thru FHLMC GOLD IO #H0-9117 3128UNDW9 -- $6.50 11/1/2037 36,609 $112.87 USD GOVT GOVT GOVT
0.04% $43288.87 Mortgage Pass Thru FNMA PASS THRU FHA/VA #931884 31412QJ59 -- $4.00 9/1/2039 41,553 $104.16 USD GOVT GOVT GOVT
0.04% $43844.21 Mortgage Pass Thru GNMA II MULTPL SGL 30YR #518967C 36211PQU0 -- $6.00 9/20/2029 39,342 $111.40 USD GOVT GOVT GOVT
0.04% $45432.17 Collateralized Mtge Obligation GSR 2005-AR6 1A4 WM33 WC4.2777 ARM 362341RW1 -- $3.29 9/25/2035 44,058 $103.12 USD AA- NR BBB
0.04% $43532.58 Corporate MASCO CORP SR UNSECURED 574599BG0 -- $7.13 3/15/2020 39,000 $111.62 USD BBB Ba1 BBB-
0.03% $32478.36 Mortgage Pass Thru FHLMC GOLD 15YR GNT #G1-8009 3128MMAK9 -- $5.00 9/1/2019 31,443 $103.29 USD GOVT GOVT GOVT
0.03% $39403.28 Mortgage Pass Thru FHLMC GOLD 30YR #L0-0007 3128DFAG3 -- $5.50 3/1/2035 35,230 $111.85 USD GOVT GOVT GOVT
0.03% $37810.62 Mortgage Pass Thru FHLMC GOLD 30YR #N3-0441 31281AP22 -- $6.00 2/1/2028 36,239 $104.30 USD GOVT GOVT GOVT
0.03% $31655.87 Mortgage Pass Thru FHLMC GOLD IO #H0-0962 3128MTB72 -- $6.50 7/1/2037 29,717 $106.52 USD GOVT GOVT GOVT
0.03% $28941.87 Mortgage Pass Thru FHLMC GOLD IO #H0-9022 3128UNAX0 -- $5.50 2/1/2037 27,366 $105.75 USD GOVT GOVT GOVT
0.03% $39627.09 Mortgage Pass Thru GN II PASS THRU PRJ LOAN #4312M 36202EYH6 -- $7.00 12/20/2038 37,509 $105.64 USD GOVT GOVT GOVT
0.03% $33628.17 Collateralized Mtge Obligation WAMU 2005-AR2 2A1A 1MLIB+31 92922FD21 -- $1.54 1/25/2045 34,350 $97.90 USD AA+ Baa3 NR
0.02% $26658.93 Mortgage Pass Thru FNMA PASS THRU MTG IO #256973 31371NMW2 -- $6.50 11/1/2037 24,007 $111.03 USD GOVT GOVT GOVT
0.02% $18260.11 Mortgage Pass Thru FNMA PASS THRU MTG IO #889154 31410GZT3 -- $5.00 2/1/2038 17,448 $104.65 USD GOVT GOVT GOVT
0.02% $27677.91 Mortgage Pass Thru GN II PASS THRU PRJ LOAN #4537M 36202FBE5 -- $7.00 6/20/2039 27,418 $100.95 USD GOVT GOVT GOVT
0.02% $27550.20 Collateralized Mtge Obligation SAMI 2002-AR3-A1 1MOLIB+33 86358HNX3 -- $1.90 9/19/2032 28,122 $97.97 USD AA+ Ba3 NR
0.01% $16713.94 Mortgage Pass Thru FHLMC GOLD 15YR #J0-7160 3128PJ5V5 -- $4.50 3/1/2018 16,331 $102.33 USD GOVT GOVT GOVT
0.01% $9629.42 Mortgage Pass Thru FHLMC GOLD 15YR #J2-2451 31307AWL2 -- $2.00 2/1/2028 9,748 $98.76 USD GOVT GOVT GOVT
0.01% $8910.19 Mortgage Pass Thru FHLMC GOLD 15YR GNT #G1-3649 3128MCH24 -- $5.00 8/1/2019 8,683 $102.61 USD GOVT GOVT GOVT
0.01% $6082.19 Mortgage Pass Thru FHLMC GOLD 15YR GNT #G1-5159 3128MD5U3 -- $5.00 1/1/2024 5,927 $102.62 USD GOVT GOVT GOVT
0.01% $6356.76 Mortgage Pass Thru FHLMC GOLD IO #H0-1033 3128MTEE4 -- $6.50 7/1/2037 5,842 $108.80 USD GOVT GOVT GOVT
0.01% $15916.51 Mortgage Pass Thru FHLMC GOLD IO #H0-1085 3128MTF29 -- $6.50 7/1/2037 14,981 $106.24 USD GOVT GOVT GOVT
0.01% $10598.35 Mortgage Pass Thru FHLMC GOLD IO #H0-3161 3128MVQN6 -- $6.50 8/1/2037 10,238 $103.51 USD GOVT GOVT GOVT
0.01% $6005.92 Mortgage Pass Thru FHLMC PASS THRU 30YR #53-1636 31347NY91 -- $10.50 2/1/2019 5,928 $101.31 USD GOVT GOVT GOVT
0.01% $13034.53 Mortgage Pass Thru FHLMC PASS THRU 30YR #55-4921 31290KPE3 -- $10.50 10/1/2020 12,865 $101.32 USD GOVT GOVT GOVT
0.01% $11630.65 Mortgage Pass Thru FNMA PASS THRU 15YR #254761 31371K5W7 -- $5.50 6/1/2018 11,556 $100.65 USD GOVT GOVT GOVT
0.01% $14878.48 Mortgage Pass Thru FNMA PASS THRU MTG IO #256471 31371M2C0 -- $6.50 10/1/2036 13,297 $111.88 USD GOVT GOVT GOVT
0.01% $16202.62 Mortgage Pass Thru FNMA PASS THRU MTG IO #888372 31410F6H3 -- $6.50 4/1/2037 14,361 $112.81 USD GOVT GOVT GOVT
0.01% $8865.45 Mortgage Pass Thru FNMA PASS THRU MTG IO #944066 31413FJK9 -- $6.50 7/1/2037 8,095 $109.51 USD GOVT GOVT GOVT
0.01% $12462.10 Collateralized Mtge Obligation GNR 2009-66 UF 1MLIB+100BP 38376FRF1 -- $2.23 8/16/2039 12,178 $102.33 USD AA+ Aaa AAA
0.01% $7752.41 Collateralized Mtge Obligation JPMRR 2009-7 14A1 WM37 WC6.365 ARM 144A 46633PBA9 -- $3.02 7/27/2037 7,742 $100.14 USD NR NR AAA
0.01% $12987.35 Collateralized Mtge Obligation SAMI 2004-AR3 1A2 AFC 1MLIB+29 86359LBY4 -- $1.82 7/19/2034 12,973 $100.11 USD AA+ A3 NR
0.01% $5963.66 Collateralized Mtge Obligation SEMT 2003-2 A1 1MLIBOR + 33BP 81743PAP1 -- $1.90 6/20/2033 5,921 $100.72 USD AA Ba1 NR
0.01% $12889.53 Collateralized Mtge Obligation SEMT 4 A STEP 1MOLIB+36 AMBAC 81743TAA6 -- $1.95 11/22/2024 12,927 $99.71 USD AA+ Aa3 NR
0.01% $6283.18 Collateralized Mtge Obligation WFMBS 2005-AR11 1A1 WM33 WC4.8745 ARM 94982RAA3 -- $3.18 6/25/2035 6,220 $101.01 USD BB+ Ba3 NR
0.00% $2584.05 Collateralized Mtge Obligation BSARM 2002-11 1A1 WM31 WC6.2 07384MSH6 -- $2.98 2/25/2033 2,569 $100.59 USD NR NR NR
0.00% $40.78 Mortgage Pass Thru FHLMC GOLD 15YR #E0-1323 31294KPG4 -- $4.50 3/1/2018 40 $102.33 USD GOVT GOVT GOVT
0.00% $5269.93 Mortgage Pass Thru FHLMC GOLD 15YR #E0-4367 31294NZ85 -- $2.00 4/1/2028 5,334 $98.78 USD GOVT GOVT GOVT
0.00% $255.18 Mortgage Pass Thru FHLMC GOLD 15YR #E9-3560 3128GX5V4 -- $5.00 12/1/2017 249 $102.61 USD GOVT GOVT GOVT
0.00% $2795.28 Mortgage Pass Thru FHLMC GOLD 15YR #E9-4195 3128GYUU6 -- $5.00 2/1/2018 2,724 $102.61 USD GOVT GOVT GOVT
0.00% $1646.51 Mortgage Pass Thru FHLMC GOLD 15YR #E9-6202 3128H33K5 -- $5.00 5/1/2018 1,605 $102.61 USD GOVT GOVT GOVT
0.00% $1623.55 Mortgage Pass Thru FHLMC GOLD 15YR GNT #G1-2033 3128M1EE5 -- $4.50 12/1/2019 1,581 $102.72 USD GOVT GOVT GOVT
0.00% $5270.70 Mortgage Pass Thru FHLMC GOLD IO #H0-0259 3128MSJC5 -- $5.50 4/1/2035 4,979 $105.85 USD GOVT GOVT GOVT
0.00% $24.03 Mortgage Pass Thru FHLMC PASS THRU 30YR #30-6642 31345JLX3 -- $10.50 2/1/2019 24 $99.84 USD GOVT GOVT GOVT
0.00% $2972.88 Mortgage Pass Thru FHLMC PASS THRU 30YR #30-8666 31345LTX0 -- $11.00 11/1/2018 2,957 $100.53 USD GOVT GOVT GOVT
0.00% $341.38 Mortgage Pass Thru FHLMC PASS THRU 30YR #36-0016 313401YU9 -- $10.50 11/1/2017 341 $100.20 USD GOVT GOVT GOVT
0.00% $450.45 Mortgage Pass Thru FHLMC PASS THRU 30YR #36-0059 313401K42 -- $10.50 4/1/2019 441 $102.24 USD GOVT GOVT GOVT
0.00% $2720.60 Mortgage Pass Thru FHLMC PASS THRU 30YR #36-0061 313401K67 -- $10.50 5/1/2019 2,599 $104.66 USD GOVT GOVT GOVT
0.00% $50.81 Mortgage Pass Thru FHLMC PASS THRU 30YR #36-0065 313401P96 -- $10.50 7/1/2019 50 $101.42 USD GOVT GOVT GOVT
0.00% $725.85 Mortgage Pass Thru FHLMC PASS THRU 30YR #53-1016 31347NDV5 -- $10.50 8/1/2019 717 $101.30 USD GOVT GOVT GOVT
0.00% $322.07 Mortgage Pass Thru FHLMC PASS THRU 30YR #53-4209 31347RVA2 -- $10.50 5/1/2019 321 $100.48 USD GOVT GOVT GOVT
0.00% $2086.47 Mortgage Pass Thru FHLMC PASS THRU 30YR #53-5718 31347TK77 -- $11.00 6/1/2019 2,075 $100.56 USD GOVT GOVT GOVT
0.00% $108.77 Mortgage Pass Thru FHLMC PASS THRU 30YR #53-8342 31347WHT6 -- $11.00 1/1/2020 107 $101.27 USD GOVT GOVT GOVT
0.00% $5747.05 Mortgage Pass Thru FHLMC PASS THRU 30YR #54-5187 31354BXQ0 -- $10.50 12/1/2019 5,717 $100.53 USD GOVT GOVT GOVT
0.00% $301.77 Mortgage Pass Thru FHLMC PASS THRU 30YR #54-5402 31354CAB6 -- $11.00 11/1/2019 300 $100.56 USD GOVT GOVT GOVT
0.00% $4734.19 Mortgage Pass Thru FHLMC PASS THRU 30YR #54-6130 31354CY38 -- $11.00 5/1/2020 4,658 $101.63 USD GOVT GOVT GOVT
0.00% $507.39 Mortgage Pass Thru FHLMC PASS THRU 30YR #54-9859 31354G5U1 -- $11.00 9/1/2020 501 $101.23 USD GOVT GOVT GOVT
0.00% $4047.66 Mortgage Pass Thru FHLMC PASS THRU 30YR #55-4922 31290KPF0 -- $10.50 12/1/2020 3,994 $101.34 USD GOVT GOVT GOVT
0.00% $571.39 Mortgage Pass Thru FHLMC PASS THRU 30YR #55-5056 31290KTM1 -- $11.00 9/1/2020 564 $101.24 USD GOVT GOVT GOVT
0.00% $85.87 Mortgage Pass Thru FHLMC PASS THRU 30YR #55-5120 31290KVM8 -- $11.00 10/1/2020 85 $101.24 USD GOVT GOVT GOVT
0.00% $3.14 Mortgage Pass Thru FHLMC PASS THRU 30YR #55-5136 31290KV55 -- $11.00 1/1/2021 3 $101.33 USD GOVT GOVT GOVT
0.00% $8.53 Mortgage Pass Thru FHLMC PASS THRU 30YR #55-5167 31290KW47 -- $11.00 9/1/2020 8 $101.21 USD GOVT GOVT GOVT
0.00% $4835.50 Mortgage Pass Thru FHLMC PASS THRU 30YR #55-5212 31290KYH6 -- $11.00 5/1/2020 4,815 $100.42 USD GOVT GOVT GOVT
0.00% $0.71 Mortgage Pass Thru FHLMC PASS THRU 30YR #55-5230 31290KY37 -- $10.50 8/1/2019 1 $101.22 USD GOVT GOVT GOVT
0.00% $1330.07 Mortgage Pass Thru FHLMC PASS THRU 30YR #55-5237 31290KZA0 -- $11.00 9/1/2020 1,314 $101.23 USD GOVT GOVT GOVT
0.00% $23.61 Mortgage Pass Thru FHLMC PASS THRU 30YR #55-5322 31290K4F3 -- $10.50 5/1/2020 23 $101.28 USD GOVT GOVT GOVT
0.00% $4609.99 Mortgage Pass Thru FNMA PASS THRU MTG IO #256526 31371M4K0 -- $6.00 12/1/2036 4,360 $105.73 USD GOVT GOVT GOVT
0.00% $3478.01 Mortgage Pass Thru FNMA PASS THRU MTG IO #256860 31371NJD8 -- $6.50 8/1/2037 3,127 $111.22 USD GOVT GOVT GOVT
0.00% $206.62 Mortgage Pass Thru FNMA PASS THRU MTG IO #899432 31410WHH4 -- $6.00 5/1/2037 198 $104.13 USD GOVT GOVT GOVT
0.00% $4331.43 Mortgage Pass Thru FNMA PASS THRU MTG IO #933032 31412SA96 -- $6.00 10/1/2037 3,995 $108.42 USD GOVT GOVT GOVT
0.00% $5229.47 Collateralized Mtge Obligation WAMU 2003-AR5 A7 ARM WM33 WC 4.9155 929227R65 -- $3.06 6/25/2033 5,126 $102.02 USD A+ Baa1 AA
-2.51% $-188964.90 Credit Default Swap CDX HY28 5Y -- -- $5.00 6/20/2022 2,700,000 $-7.16 USD NR NR NR
-2.97% $-32710.13 Currency CANADIAN DOLLAR CAD/USD -- $0.00 10/3/2017 -4,220,000 $1.23 CAD NR NR NR
-2.98% $17750.06 Currency AUSTRALIAN DOLLARS AUD/USD -- $0.00 10/3/2017 -4,318,000 $1.26 AUD NR NR NR
-4.04% -- Future FIN FUT US 10YR CBT 12/19/17 TYZ7 -- $6.00 12/20/2017 -37 $125.63 USD NR NR NR
-4.88% $812.50 Future FIN FUT US 2YR CBT 12/29/17 TUZ7 -- $6.00 12/30/2017 -26 $107.88 USD NR NR NR
-5.01% $-306.19 Future FIN FUT US 5YR CBT 12/29/17 FVZ7 -- $6.00 12/30/2017 -49 $117.62 USD NR NR NR
-9.49% $-111492.78 Interest Rate Swap - Payer IRS USD 2.25000 12/20/17-5Y CME -- -- $2.25 12/20/2022 -10,800,000 $1.00 USD NR NR NR
-19.82% $-484690.50 Credit Default Swap CDX IG26 5Y -- -- $1.00 6/20/2021 22,300,000 $-2.19 USD NR NR NR
-23.67% $4162.50 Future FIN FUT EURO$ CME (RED) 06/17/19 EDM9 -- $0.00 6/18/2019 -111 $98.07 USD NR NR NR
-47.37% $8325.00 Future FIN FUT EURO$ CME (RED) 03/18/19 EDH9 -- $0.00 3/19/2019 -222 $98.11 USD NR NR NR
4.11% -- Other net assets (liabilities)1 -- -- -- -- -- -- Not Rated Not Rated Not Rated
1 Includes, but is not limited to, unsettled activity from creation/redemption transactions and portfolio security trades and accrued interest. It does not include the accrual of annual fund operating expenses after expense reimbursements.

The adjusted shares outstanding is 1,140,000. This includes any changes in shares outstanding due to creations or redemptions on the previous business day.

Legend:
% of Net Assets: Exposure in percentage terms relative to the net assets of the Fund for each position. For non-derivative holdings, market value of the Fund's holdings. For derivative positions excluding options, notional exposure of the position. For options, daily gain or loss of the position.
$ Market Value: For non-derivative holdings, market value of the Fund's positions in U.S. dollars. For derivative positions, daily gain or loss of the position or change in variation margin.
Description: Summary description of the position. For cleared swaps and listed options, this will include exchange or clearing information. For options, this includes the strike price. For total return swaps, this includes the initial levels for total return swaps. For credit default swaps, interest rate swaps and swaptions, this includes information on the underlying exposure such as tenor or currency.
Identifier: Unique identifier for the position which may be a CUSIP, ISIN, Sedol, exchange ticker, Markit RED code, or currency pair. Please note that certain positions such as OTC derivatives and some forwards may not have an identifier.
Underlying Identifier: Information on the underlying security or index referenced in a derivative contract.
Coupon Rate: Coupon rate of position. For credit default swaps or interest rate swaps, this is the rate for the fixed leg of the swap.
Maturity Date: Maturity date or expirary of the position.
Par Value/Quantity: For bonds this provides par value. For options and futures, this provides number of contracts. For credit default swaps, interest rate swaps and swaptions, this provides the amount of exposure. For total return swaps, this provides the number of units of the swap, which can be multiplied by the initial level or price to determine the amount of exposure.
Security Price: The price of the position as of the previous close. For credit default swaps, this price is the points up-front, priced in percentage of par. For options and futures, this is the price per contract. For currency pairs, this is the exchange rate. For total return swaps, this is the price or index level of the underlying security or index. For interest rate swaps and swaptions, this is the premium, quoted in percentage terms of the amount of exposure.
Currency: The currency of the position. Please note that Par Value is provided in the specified currency.
Credit quality: Ratings for each issue are obtained using ratings from Standard & Poor's (S&P), Moody's Investors Service, Fitch Ratings or other rating services. In the fund holdings, the credit rating for other net assets (liabilities) appears as "NL", not rated securities are indicated as "NR" and U.S. Treasury, U.S. Agency, U.S. Agency mortgage-backed securities and other Sovereign (foreign or domestic) securities appear under "GOVT". The credit quality of a particular security or group of securities does not ensure the stability or safety of the overall portfolio.