NPORT-EX 2 sempermbs-nport.htm NPORT-EX
SEMPER MBS TOTAL RETURN FUND
            
 Schedule of Investments - August 31, 2020 (Unaudited)  

          
             
   
Principal Amount/Shares
    
Value
  
COMMERCIAL MORTGAGE-BACKED SECURITIES - AGENCY - 0.0%
            
Fannie Mae-Aces
            
Series 2010-M6, Class SA, 6.215% (1 Month LIBOR USD + 6.390%), 9/25/20 (g)(h)
  
$
22,150
    
$
199
  
Series 2006-M1, Class IO, 0.071%, 3/25/36 (a)(g)
    
2,257,762
      
1,119
  
GNMA REMIC Trust
                
Series 2012-25, Class IO, 0.304%, 8/16/52 (a)(g)
    
1,961,062
      
21,668
  
Series 2013-173, Class AC, 2.725%, 10/16/53 (a)
    
10,620
      
11,046
  
Government National Mortgage Association
                
Series 2002-28, Class IO, 0.577%, 1/16/42 (a)(g)
    
18,580
      
0
  
Series 2005-23, Class IO, 0.004%, 6/17/45 (a)(g)
    
341,257
      
35
  
Series 2006-68, Class IO, 0.448%, 5/16/46 (a)(g)
    
353,771
      
3,849
  
Total Commercial Mortgage-Backed Securities - Agency (cost $170,265)
            
37,916
  
                 
COMMERCIAL MORTGAGE-BACKED SECURITIES - NON-AGENCY - 6.3%
                
Bayview Commercial Asset Trust
                
Series 2004-3, Class B2, 5.200% (1 Month LIBOR USD + 5.025%), 1/25/35 (c)(h)
    
55,166
      
57,143
  
Series 2006-2A, Class M1, 0.485% (1 Month LIBOR USD + 0.310%), 7/25/36 (c)(h)
    
1,006,382
      
879,965
  
Series 2006-2A, Class M3, 0.525% (1 Month LIBOR USD + 0.350%), 7/25/36 (c)(h)
    
1,454,762
      
1,101,339
  
Series 2006-3A, Class M1, 0.515% (1 Month LIBOR USD + 0.340%), 10/25/36 (c)(h)
    
1,400,434
      
1,231,751
  
Series 2007-2A, Class A1, 0.445% (1 Month LIBOR USD + 0.270%), 7/25/37 (c)(h)
    
1,989,074
      
1,862,477
  
Series 2007-6A, Class A3A, 1.425% (1 Month LIBOR USD + 1.250%), 12/25/37 (c)(h)
    
1,512,224
      
1,525,168
  
BX Commercial Mortgage Trust
                
Series 2019-XL, Class F, 2.162% (1 Month LIBOR USD + 2.000%), 10/15/36 (c)(h)
    
2,847,893
      
2,752,147
  
Series 2019-XL, Class G, 2.462% (1 Month LIBOR USD + 2.300%), 10/15/36 (c)(h)
    
1,423,947
      
1,405,483
  
Series 2019-XL, Class J, 2.812% (1 Month LIBOR USD + 2.650%), 10/15/36 (c)(h)
    
2,135,920
      
2,112,898
  
BX Trust
                
Series 2020-BXLP, Class G, 2.662% (1 Month LIBOR USD + 2.500%), 12/15/36 (c)(h)
    
7,338,283
      
7,224,585
  
CNL Commercial Mortgage Loan Trust
                
Series 2003-1A, Class A1, 0.662% (1 Month LIBOR USD + 0.500%), 5/15/31 (c)(h)
    
325,623
      
295,690
  
FREMF Mortgage Trust
                
Series 2018-K731, Class C, 4.063%, 2/25/25 (a)(c)
    
1,223,000
      
1,266,601
  
Series 2019-KF58, Class B, 2.305% (1 Month LIBOR USD + 2.150%), 1/25/26 (c)(h)
    
1,039,173
      
989,568
  
Series 2019-KF64, Class B, 2.455% (1 Month LIBOR USD + 2.300%), 6/25/26 (c)(h)
    
3,235,054
      
3,089,515
  
Series 2019-KF68, Class B, 2.355% (1 Month LIBOR USD + 2.200%), 7/25/26 (c)(h)
    
2,315,513
      
2,201,852
  
GMAC Commercial Mortgage Asset Corp.
                
Series 2005-DRUM, Class AIO, 0.171%, 5/10/50 (a)(c)(g)
    
142,925,158
      
1,961,316
  
Series 2012-BLIS, Class IO, 0.576%, 7/10/50 (c)(g)
    
28,407,441
      
1,269,710
  
Lehman Brothers Small Balance Commercial Mortgage Trust
                
Series 2006-3A, Class M2, 0.565% (1 Month LIBOR USD + 0.390%), 12/25/36 (c)(h)
    
3,722,000
      
3,400,847
  
Series 2007-1A, Class M1, 0.675% (1 Month LIBOR USD + 0.500%), 3/25/37 (c)(h)
    
5,881,000
      
5,237,729
  
Multi-family Connecticut Avenue Securities Trust
                
Series 2019-01, Class M10, 3.425% (1 Month LIBOR USD + 3.250%), 10/15/49 (c)(h)
    
28,052,000
      
26,347,056
  
Series 2020-01, Class M7, 2.125% (1 Month LIBOR USD + 1.950%), 3/25/50 (c)(h)
    
4,988,605
      
4,864,312
  
Series 2020-01, Class M10, 3.925% (1 Month LIBOR USD + 3.750%), 3/25/50 (c)(h)
    
4,835,000
      
4,471,921
  
Velocity Commercial Capital Loan Trust
                
Series 2017-2, Class M4, 5.000%, 11/25/47 (a)(c)
    
682,504
      
580,410
  
Series 2017-2, Class M5, 6.420%, 11/25/47 (a)(c)
    
595,750
      
496,396
  
Series 2018-1, Class M5, 6.260%, 4/25/48 (c)
    
465,737
      
440,479
  
Series 2018-2, Class M3, 4.720%, 10/26/48 (a)(c)
    
469,292
      
450,938
  
Series 2019-1, Class M5, 5.700%, 3/25/49 (a)(c)
    
745,709
      
379,534
  
Total Commercial Mortgage-Backed Securities - Non-Agency (cost $81,915,973)
            
77,896,830
  
                 
RESIDENTIAL MORTGAGE-BACKED SECURITIES - AGENCY - 10.4%
                
Fannie Mae Connecticut Avenue Securities
                
Series 2019-R03, Class 1M2, 2.325% (1 Month LIBOR USD + 2.150%), 9/25/31 (c)(h)
    
3,524,247
      
3,532,581
  
Series 2019-R06, Class 2B1, 3.925% (1 Month LIBOR USD + 3.750%), 9/25/39 (c)(h)
    
14,000,000
      
11,620,686
  
Series 2019-R07, Class 1B1, 3.575% (1 Month LIBOR USD + 3.400%), 10/25/39 (c)(h)
    
2,000,000
      
1,660,641
  
Series 2020-R01, Class 1M2, 2.225% (1 Month LIBOR USD + 2.050%), 1/25/40 (c)(h)
    
583,800
      
561,615
  
Series 2020-R02, Class 2B1, 3.175% (1 Month LIBOR USD + 3.000%), 1/25/40 (c)(h)
    
22,666,000
      
16,446,962
  
Series 2020-R01, Class 1B1, 3.425% (1 Month LIBOR USD + 3.250%), 1/25/40 (c)(h)
    
13,315,000
      
9,572,474
  
FNMA Grantor Trust
                
Series 2003-T2, Class A1, 0.467% (1 Month LIBOR USD + 0.140%), 3/25/33 (h)
    
45,337
      
44,550
  
Series 2004-T3, Class 2A, 3.908%, 8/25/43 (a)
    
48,767
      
50,941
  
FNMA Pool
                
5.500%, 5/1/36, #871313
    
2,078
      
2,132
  
5.000%, 8/1/37, #888534
    
12,581
      
14,123
  
FNMA REMIC Trust
                
Series 2007-30, Class ZM, 4.250%, 4/25/37
    
54,772
      
68,474
  
Series 2007-W8, Class 1A5, 6.432%, 9/25/37 (a)
    
10,861
      
12,926
  
Freddie Mac Structured Agency Credit Risk
                
Series 2017-SPI1, Class M2, 3.984%, 9/25/47 (a)(c)
    
926,844
      
919,757
  
Series 2019-FTR3, Class B2, 4.972% (1 Month LIBOR USD + 4.800%), 9/25/47 (c)(h)
    
3,900,000
      
2,604,544
  
Series 2019-FTR4, Class B2, 5.175% (1 Month LIBOR USD + 5.000%), 11/25/47 (c)(h)
    
5,550,000
      
3,754,919
  
Series 2018-SPI1, Class M2, 3.722%, 2/25/48 (a)(c)
    
1,195,000
      
1,168,761
  
Series 2018-SPI2, Class M2, 3.811%, 5/25/48 (a)(c)
    
5,213,371
      
5,142,265
  
Series 2018-SPI3, Class M2, 4.140%, 8/25/48 (a)(c)
    
788,372
      
779,922
  
Series 2018-SPI4, Class M2B, 4.473%, 11/25/48 (a)(c)
    
5,321,388
      
5,084,072
  
Series 2019-DNA1, Class M2, 2.825% (1 Month LIBOR USD + 2.650%), 1/25/49 (c)(h)
    
2,660,082
      
2,630,114
  
Series 2019-DNA3, Class M2, 2.225% (1 Month LIBOR USD + 2.050%), 7/25/49 (c)(h)
    
2,602,537
      
2,507,710
  
Series 2019-DNA4, Class M2, 2.125% (1 Month LIBOR USD + 1.950%), 10/25/49 (c)(h)
    
2,939,267
      
2,901,552
  
Series 2019-DNA4, Class B2, 6.425% (1 Month LIBOR USD + 6.250%), 10/25/49 (c)(h)
    
6,115,000
      
4,750,345
  
Freddie Mac Structured Agency Credit Risk REMIC Trust
                
Series 2019-HQA4, Class M2, 2.225% (1 Month LIBOR USD + 2.050%), 11/25/49 (c)(h)
    
470,414
      
466,225
  
Series 2019-HQA4, Class B2, 6.775% (1 Month LIBOR USD + 6.600%), 11/25/49 (c)(h)
    
5,500,000
      
3,311,467
  
Series 2020-DNA1, Class M2, 1.875% (1 Month LIBOR USD + 1.700%), 1/25/50 (c)(h)
    
4,500,000
      
4,377,975
  
Series 2020-HQA1, Class B2, 5.275% (1 Month LIBOR USD + 5.100%), 1/25/50 (c)(h)
    
9,300,000
      
4,733,318
  
Series 2020-DNA1, Class B2, 5.425% (1 Month LIBOR USD + 5.250%), 1/25/50 (c)(h)
    
7,188,000
      
4,147,842
  
Series 2020-DNA2, Class B1, 2.675% (1 Month LIBOR USD + 2.500%), 2/25/50 (c)(h)
    
9,114,000
      
7,908,067
  
Series 2020-DNA2, Class B2, 4.975% (1 Month LIBOR USD + 4.800%), 2/25/50 (c)(h)
    
11,890,000
      
6,307,406
  
Series 2020-HQA2, Class B2, 7.775% (1 Month LIBOR USD + 7.600%), 3/25/50 (c)(h)
    
15,000,000
      
7,902,407
  
Series 2020-DNA3, Class M2, 3.175% (1 Month LIBOR USD + 3.000%), 6/25/50 (c)(h)
    
7,000,000
      
7,019,337
  
Series 2020-DNA3, Class B1, 5.275% (1 Month LIBOR USD + 5.100%), 6/25/50 (c)(h)
    
2,150,000
      
2,140,719
  
Series 2020-HQA3, Class M2, 3.775% (1 Month LIBOR USD + 3.600%), 7/25/50 (c)(h)
    
2,000,000
      
2,014,299
  
Freddie Mac Whole Loan Securities Trust
                
Series 2017-SC01, Class M2, 3.591%, 12/25/46 (a)(c)
    
595,000
      
525,688
  
Series 2017-SC02, Class M2, 3.818%, 5/25/47 (a)(c)
    
1,411,000
      
1,369,690
  
GNMA II Pool
                
5.000%, 6/20/40, #745378
    
62,628
      
68,003
  
Total Residential Mortgage-Backed Securities - Agency (cost $168,005,093)
            
128,124,509
  
                 
RESIDENTIAL MORTGAGE-BACKED SECURITIES - NON-AGENCY - 81.4%
                
Accredited Mortgage Loan Trust
                
Series 2006-1, Class M1, 0.667% (1 Month LIBOR USD + 0.330%), 4/25/36 (h)
    
2,414,000
      
2,234,749
  
ACE Securities Corp. Home Equity Loan Trust
                
Series 2006-HE4, Class A1, 0.315% (1 Month LIBOR USD + 0.140%), 10/25/36 (h)
    
949,519
      
596,813
  
AFC Home Equity Loan Trust
                
Series 1997-3, Class 1A4, 7.470%, 9/27/27 (k)
    
107,366
      
108,729
  
American Home Mortgage Assets Trust
                
Series 2006-6, Class A1A, 0.365% (1 Month LIBOR USD + 0.190%), 12/25/46 (h)
    
10,860,515
      
8,827,643
  
Amresco Residential Securities Corp. Trust
                
Series 1998-1, Class M1F, 6.483%, 1/25/28 (a)
    
54,257
      
56,127
  
AMSR Trust
                
Series 2020-SFR1, Class G, 4.311%, 4/17/37 (c)
    
8,103,000
      
7,995,181
  
Series 2020-SFR2, Class G, 4.000%, 7/17/37 (c)
    
625,000
      
613,113
  
Series 2020-SFR2, Class E2, 4.277%, 7/17/37 (c)
    
250,000
      
262,151
  
Series 2020-SFR2, Class F, 5.245%, 7/17/37 (c)
    
625,000
      
647,366
  
Series 2019-SFR1, Class G, 4.857%, 1/19/39 (a)(c)
    
2,502,000
      
2,351,805
  
Series 2019-SFR1, Class H, 6.040%, 1/19/39 (a)(c)
    
1,220,000
      
1,106,541
  
Angel Oak Mortgage Trust  LLC
                
Series 2019-1, Class B1, 5.400%, 11/25/48 (a)(c)
    
7,500,000
      
7,798,124
  
Series 2019-2, Class B1, 5.016%, 3/25/49 (a)(c)
    
2,500,000
      
2,485,788
  
Asset Backed Securities Corp. Home Equity Loan Trust
                
Series 1999-LB1, Class A1F, 7.110%, 6/21/29
    
812,043
      
837,491
  
Asset Backed Securities Corp. Long Beach Home Equity Loan Trust
                
Series 2000-LB1, Class AF5, 7.364%, 9/21/30 (k)
    
582,183
      
597,882
  
Banc of America Funding Corp.
                
Series 2006-D, Class 5A2, 3.565%, 5/20/36 (a)
    
12,388
      
10,948
  
Series 2008-R4, Class 1A4, 0.622% (1 Month LIBOR USD + 0.450%), 7/25/37 (c)(h)
    
2,050,582
      
1,148,263
  
Series 2007-5, Class 7A2, 45.138% (1 Month LIBOR USD + 46.150%), 7/25/47 (h)(j)
    
134,143
      
303,693
  
Bear Stearns ALT-A Trust
                
Series 2005-8, Class 11A1, 0.715% (1 Month LIBOR USD + 0.540%), 10/25/35 (h)
    
4,420,835
      
4,006,282
  
Series 2005-9, Class 11A1, 0.695% (1 Month LIBOR USD + 0.520%), 11/25/35 (h)
    
7,323,647
      
8,571,052
  
Series 2006-3, Class 1A1, 0.555% (1 Month LIBOR USD + 0.380%), 5/25/36 (h)
    
1,325,511
      
1,485,287
  
Bear Stearns Asset Backed Securities I Trust
                
Series 2006-IM1, Class A3, 0.455% (1 Month LIBOR USD + 0.280%), 4/25/36 (h)
    
9,817,512
      
10,922,460
  
Series 2006-IM1, Class A6, 0.495% (1 Month LIBOR USD + 0.320%), 4/25/36 (h)
    
9,703,312
      
10,589,403
  
Bear Stearns Mortgage Securities, Inc.
                
Series 1997-6, Class 1A, 6.296%, 3/25/31 (a)
    
116,677
      
116,677
  
BRAVO Residential Funding Trust
                
Series 2019-NQM2, Class B2, 4.797%, 11/25/59 (a)(c)
    
1,350,000
      
1,205,097
  
Carrington Mortgage Loan Trust
                
Series 2006-FRE2, Class A3, 0.335% (1 Month LIBOR USD + 0.160%), 10/25/36 (h)
    
2,056,723
      
1,694,059
  
Chase Mortgage Finance Corp.
                
Series 2020-CL1, Class M4, 4.525% (1 Month LIBOR USD + 4.350%), 10/25/57 (c)(h)
    
588,739
      
599,124
  
Citigroup Mortgage Loan Trust
                
Series 2004-HYB4, Class WA, 3.865%, 12/25/34 (a)
    
14,932
      
14,892
  
Series 2013-2, Class 4A2, 0.922%, 8/25/35 (a)(c)
    
5,794,910
      
4,087,959
  
Series 2009-6, Class 16A2, 6.000%, 3/25/36 (a)(c)
    
1,287,910
      
1,183,886
  
Series 2007-AMC1, Class A1, 0.335% (1 Month LIBOR USD + 0.160%), 12/25/36 (c)(h)
    
2,360,575
      
1,559,181
  
Series 2007-AMC3, Class A2D, 0.525% (1 Month LIBOR USD + 0.350%), 3/25/37 (h)
    
151,588
      
131,872
  
Series 2007-WFH2, Class M3, 0.645% (1 Month LIBOR USD + 0.470%), 3/25/37 (h)
    
9,500,000
      
8,469,374
  
Series 2007-AHL3, Class A3A, 0.235% (1 Month LIBOR USD + 0.060%), 7/25/45 (h)
    
578,424
      
446,982
  
CitiMortgage Alternative Loan Trust
                
Series 2007-A7, Class 2A1, 0.575% (1 Month LIBOR USD + 0.400%), 7/25/37 (h)
    
260,642
      
189,729
  
COLT Mortgage Loan Trust
                
Series 2020-3, Class M1, 3.359%, 4/27/65 (a)(c)
    
2,150,000
      
2,157,232
  
Conseco Finance Home Loan Trust
                
Series 2000-E, Class B1, 10.260%, 8/15/31 (a)
    
276,744
      
250,549
  
CoreVest American Finance Trust
                
Series 2017-2, Class M, 5.622%, 12/25/27 (c)
    
9,000,000
      
8,953,940
  
Series 2019-1, Class E, 5.489%, 3/15/52 (c)
    
242,500
      
279,648
  
Series 2019-3, Class E, 4.898%, 10/15/52 (a)(c)
    
1,650,000
      
1,459,472
  
Countrywide Alternative Loan Trust
                
Series 2004-15, Class 2A2, 2.738%, 9/25/34 (a)
    
362,957
      
355,357
  
Series 2005-J10, Class 1A9, 0.875% (1 Month LIBOR USD + 0.700%), 10/25/35 (h)
    
809,823
      
595,401
  
Series 2005-54CB, Class 1A8, 5.500%, 11/25/35
    
415,493
      
296,870
  
Series 2006-4CB, Class 2A3, 5.500%, 4/25/36
    
6,658
      
6,411
  
Series 2006-OA3, Class 1A1, 0.375% (1 Month LIBOR USD + 0.200%), 5/25/36 (h)
    
10,997
      
9,442
  
Series 2006-18CB, Class A1, 0.645% (1 Month LIBOR USD + 0.470%), 7/25/36 (h)
    
8,375,122
      
3,883,402
  
Series 2006-45T1, Class 1A2, 0.725% (1 Month LIBOR USD + 0.550%), 2/25/37 (h)
    
8,832,950
      
2,036,944
  
Series 2007-16CB, Class 1A2, 0.575% (1 Month LIBOR USD + 0.400%), 8/25/37 (h)
    
944,893
      
717,482
  
Series 2006-OA9, Class 1A1, 0.358% (1 Month LIBOR USD + 0.200%), 7/20/46 (h)
    
36,230
      
26,576
  
Countrywide Asset-Backed Certificates
                
Series 2006-21, Class 1A, 0.315% (1 Month LIBOR USD + 0.140%), 5/25/35 (h)
    
300,501
      
285,450
  
Series 2006-24, Class 2A3, 0.325% (1 Month LIBOR USD + 0.150%), 6/25/47 (h)
    
32,894
      
30,501
  
Series 2007-12, Class 2A3, 0.975% (1 Month LIBOR USD + 0.800%), 8/25/47 (h)
    
337,101
      
325,229
  
Countrywide Home Loans
                
Series 2003-56, Class 9A1, 3.500%, 12/25/33 (a)
    
17,168
      
16,524
  
Series 2007-11, Class A1, 6.000%, 8/25/37
    
4,554,716
      
3,374,080
  
Credit Suisse First Boston Mortgage Securities Corp.
                
Series 2003-1, Class DB1, 6.725%, 2/25/33 (a)
    
47,703
      
48,811
  
Series 2003-AR18, Class 4M3, 3.075% (1 Month LIBOR USD + 2.900%), 7/25/33 (h)
    
226,815
      
222,914
  
Credit Suisse Mortgage Trust
                
Series 2015-1R, Class 6A2, 0.483% (1 Month LIBOR USD + 0.280%), 5/27/37 (c)(h)
    
2,700,165
      
2,010,216
  
Series 2010-6R, Class 2A6B, 6.250%, 7/26/37 (c)
    
24,870,902
      
27,432,267
  
Series 2019-AFC1, Class B2, 5.542%, 7/25/49 (a)(c)
    
2,366,448
      
2,005,965
  
Series 2020-AFC1, Class B1, 3.445%, 2/25/50 (a)(c)
    
4,228,000
      
3,655,753
  
Series 2020-AFC1, Class B2, 4.416%, 2/25/50 (a)(c)
    
5,459,650
      
4,759,547
  
Series 2019-NQM1, Class B2, 5.250%, 10/25/59 (a)(c)
    
7,247,550
      
6,398,599
  
Deephaven Residential Mortgage Trust
                
Series 2017-1A, Class B1, 6.250%, 12/26/46 (a)(c)
    
8,500,000
      
8,618,566
  
Series 2017-3A, Class B1, 4.814%, 10/25/47 (a)(c)
    
3,500,000
      
3,516,281
  
Series 2018-2A, Class B1, 4.776%, 4/25/58 (a)(c)
    
1,500,000
      
1,496,035
  
Series 2018-3A, Class B1, 5.007%, 8/25/58(b) (a)(c)
    
6,151,000
      
6,264,999
  
Series 2019-1A, Class B1, 5.252%, 1/25/59 (a)(c)
    
5,250,000
      
5,277,268
  
Series 2019-3A, Class B1, 4.258%, 7/25/59 (a)(c)
    
1,500,000
      
1,475,468
  
Series 2020-1, Class B2, 4.539%, 1/25/60 (a)(c)
    
2,667,000
      
2,472,101
  
Series 2020-2, Class M1, 4.112%, 5/25/65 (a)(c)
    
1,187,000
      
1,240,288
  
Fieldstone Mortgage Investment Trust
                
Series 2007-1, Class 2A2, 0.445% (1 Month LIBOR USD + 0.270%), 4/25/47 (h)
    
3,839,785
      
3,193,604
  
First Franklin Mortgage Loan Trust
                
Series 2006-FF11, Class 2A3, 0.325% (1 Month LIBOR USD + 0.150%), 8/25/36 (h)
    
8,755,572
      
7,667,377
  
First Horizon Alternative Mortgage Securities Trust
                
Series 2005-FA6, Class A8, 0.675% (1 Month LIBOR USD + 0.500%), 9/25/35 (h)
    
619,525
      
362,949
  
First Horizon Mortgage Pass-Through Trust
                
Series 2006-AR2, Class 1A1, 3.750%, 7/25/36 (a)
    
54,917
      
49,444
  
FirstKey Homes Trust
                
Series 2020-SFR1, Class E, 2.791%, 9/17/25 (c)
    
1,000,000
      
998,977
  
Series 2020-SFR1, Class F1, 3.638%, 9/17/25 (c)
    
1,000,000
      
999,084
  
Series 2020-SFR1, Class G, 4.781%, 9/17/25 (c)
    
1,000,000
      
999,473
  
GMACM Mortgage Loan Trust
                
Series 2003-GH2, Class A4, 5.500%, 10/25/33 (k)
    
163,979
      
168,413
  
GreenPoint Mortgage Funding Trust
                
Series 2005-AR4, Class 4A1A, 0.795% (1 Month LIBOR USD + 0.620%), 10/25/45 (h)
    
21,891,064
      
19,722,745
  
GS Mortgage-Backed Securities Trust
                
Series 2019-SL1, Class M2, 3.625%, 1/25/59 (a)(c)
    
20,939,000
      
21,602,255
  
GSAA Home Equity Trust
                
Series 2006-5, Class 2A1, 0.245% (1 Month LIBOR USD + 0.070%), 3/25/36 (h)
    
31,357
      
14,758
  
Homeward Opportunities Fund Trust
                
Series 2018-1, Class B1, 5.295%, 6/25/48 (a)(c)
    
1,250,000
      
1,238,810
  
Series 2019-1, Class B1, 4.800%, 1/25/59 (a)(c)
    
2,000,000
      
2,003,366
  
IndyMac Residential Asset-Backed Trust
                
Series 2007-A, Class 2A2, 0.365% (1 Month LIBOR USD + 0.190%), 4/25/37 (h)
    
331,161
      
240,259
  
Invitation Homes Trust
                
Series 2018-SFR2, Class F, 2.600% (1 Month LIBOR USD + 2.250%), 6/17/37 (c)(h)
    
3,624,592
      
3,580,209
  
JP Morgan Mortgage Trust
                
Series 2006-S4, Class A8, 0.555% (1 Month LIBOR USD + 0.380%), 1/25/37 (h)
    
6,639,110
      
2,052,905
  
Series 2014-IVR6, Class B4, 2.527%, 7/25/44 (a)(c)
    
500,500
      
501,323
  
Series 2014-IVR3, Class B4, 2.991%, 9/25/44 (a)(c)
    
2,282,244
      
2,130,538
  
Series 2015-5, Class B4, 2.652%, 5/25/45 (a)(c)
    
2,500,000
      
2,501,021
  
Series 2018-7FRB, Class B3, 2.230%, 4/25/46 (a)(c)
    
1,064,600
      
982,962
  
Series 2017-2, Class AX3, 0.500%, 5/25/47 (a)(c)(g)
    
14,430,859
      
163,532
  
Series 2017-3, Class 1AX1, 0.400%, 8/25/47 (a)(c)(g)
    
82,773,016
      
531,825
  
Series 2018-1, Class AX1, 0.230%, 6/25/48 (a)(c)(g)
    
220,883,100
      
954,259
  
Series 2018-3, Class AX1, 0.251%, 9/25/48 (a)(c)(g)
    
45,475,968
      
171,299
  
Series 2018-4, Class AX1, 0.255%, 10/25/48 (a)(c)(g)
    
48,904,504
      
184,869
  
Series 2017-5, Class B3, 3.130%, 10/26/48 (a)(c)
    
3,666,549
      
3,351,056
  
Series 2017-5, Class B4, 3.130%, 10/26/48 (a)(c)
    
4,256,679
      
3,997,283
  
Series 2017-6, Class AX1, 0.312%, 12/25/48 (a)(c)(g)
    
88,282,631
      
764,046
  
Series 2018-6, Class 1AX1, 0.486%, 12/25/48 (a)(c)(g)
    
32,127,254
      
280,415
  
Series 2018-8, Class AX1, 0.191%, 1/25/49 (a)(c)(g)
    
37,990,895
      
106,371
  
Series 2019-1, Class AX1, 0.215%, 5/25/49 (a)(c)(g)
    
78,770,379
      
220,140
  
Series 2019-3, Class B6, 3.598%, 9/25/49 (a)(c)
    
1,898,715
      
1,027,738
  
Series 2019-3, Class B4, 4.777%, 9/25/49 (a)(c)
    
3,212,425
      
3,205,993
  
Series 2019-3, Class B5, 4.777%, 9/25/49 (a)(c)
    
775,000
      
594,518
  
Series 2019-5, Class B6, 3.342%, 11/25/49 (a)(c)
    
3,976,409
      
2,122,897
  
Series 2019-5, Class B4, 4.489%, 11/25/49 (a)(c)
    
4,357,248
      
4,356,842
  
Series 2019-5, Class B5, 4.489%, 11/25/49 (a)(c)
    
1,245,068
      
960,793
  
Series 2019-6, Class AX1, 0.257%, 12/25/49 (a)(c)(g)
    
77,779,072
      
263,788
  
Series 2020-2, Class B3A, 3.665%, 7/25/50 (a)(c)
    
8,903,014
      
9,128,630
  
Series 2020-2, Class B4, 3.865%, 7/25/50 (a)(c)
    
5,031,708
      
4,800,769
  
Series 2020-2, Class B5, 3.865%, 7/25/50 (a)(c)
    
2,323,074
      
1,864,137
  
Series 2020-2, Class B6Z, 5.278%, 7/25/50 (a)(c)
    
4,219,536
      
2,724,198
  
Lehman Mortgage Trust
                
Series 2005-2, Class 2A1, 0.855% (1 Month LIBOR USD + 0.680%), 12/25/35 (h)
    
1,773,606
      
1,190,408
  
Series 2008-4, Class A1, 0.555% (1 Month LIBOR USD + 0.380%), 1/25/37 (h)
    
38,816,740
      
12,284,869
  
Series 2006-9, Class 1A5, 0.775% (1 Month LIBOR USD + 0.600%), 1/25/37 (h)
    
4,783,736
      
2,984,540
  
Lehman XS Trust
                
Series 2007-6, Class 3A1, 0.335% (1 Month LIBOR USD + 0.160%), 5/25/37 (h)
    
1,475,315
      
1,456,068
  
Series 2007-6, Class 3A2, 4.615%, 5/25/37 (l)
    
4,266,164
      
4,274,136
  
Series 2007-6, Class 3A5, 4.615%, 5/25/37 (l)
    
112,584
      
110,771
  
Long Beach Mortgage Loan Trust
                
Series 2006-8, Class 1A, 0.325% (1 Month LIBOR USD + 0.150%), 9/25/36 (h)
    
3,679,711
      
2,670,679
  
LSTAR Securities Investment Ltd.
                
Series 2019-3, Class A2, 2.656% (1 Month LIBOR USD + 2.500%), 4/1/24 (c)(h)(k)
    
5,945,000
      
5,845,688
  
Series 2019-4, Class A2, 2.656% (1 Month LIBOR USD + 2.500%), 5/1/24 (c)(h)(k)
    
13,200,000
      
13,370,543
  
Series 2019-5, Class A2, 2.655% (1 Month LIBOR USD + 2.500%), 11/1/24 (c)(h)(k)
    
32,436,050
      
31,546,897
  
LSTAR Securities Investment Trust
                
Series 2019-1, Class A2, 2.755% (1 Month LIBOR USD + 2.600%), 3/1/24 (c)(h)(k)
    
17,000,000
      
16,495,473
  
Series 2019-2, Class A2, 2.655% (1 Month LIBOR USD + 2.500%), 4/1/24 (c)(h)(k)
    
12,300,000
      
8,698,759
  
MASTR Asset Backed Securities Trust
                
Series 2003-WMC2, Class M5, 4.210% (1 Month LIBOR USD + 6.000%), 8/25/33 (h)
    
218,383
      
213,757
  
Series 2005-WF1, Class M7, 1.900% (1 Month LIBOR USD + 1.725%), 6/25/35 (h)
    
917,217
      
915,687
  
Series 2006-HE2, Class A3, 0.325% (1 Month LIBOR USD + 0.150%), 6/25/36 (h)
    
7,358,891
      
4,107,675
  
Series 2006-NC2, Class A5, 0.415% (1 Month LIBOR USD + 0.240%), 8/25/36 (h)
    
1,871,763
      
1,038,776
  
MASTR Reperforming Loan Trust
                
Series 2006-2, Class 1A1, 4.344%, 5/25/36 (a)(c)
    
8,142,137
      
7,741,709
  
Merrill Lynch Mortgage Investors Trust
                
Series 2005-AR1, Class M2, 1.180% (1 Month LIBOR USD + 1.005%), 6/25/36 (h)
    
2,546,386
      
2,326,252
  
Mill City Mortgage Loan Trust
                
Series 2019-1, Class B1, 3.500%, 10/25/69 (a)(c)
    
2,245,863
      
2,104,188
  
Morgan Stanley ABS Capital I Inc. Trust
                
Series 2007-NC1, Class A2B, 0.275% (1 Month LIBOR USD + 0.100%), 11/25/36 (h)
    
3,015,984
      
1,829,360
  
New Century Home Equity Loan Trust
                
Series 2006-2, Class A2C, 0.425% (1 Month LIBOR USD + 0.250%), 8/25/36 (h)
    
8,092,000
      
6,967,156
  
New Residential Mortgage LLC
                
Series 2018-FNT1, Class E, 4.890%, 5/25/23 (c)
    
901,682
      
872,527
  
Series 2018-FNT2, Class E, 5.120%, 7/25/54 (c)
    
2,644,673
      
2,495,625
  
New Residential Mortgage Loan Trust
                
Series 2014-1A, Class B1IO, 1.055%, 1/25/54 (a)(c)(g)
    
336,635
      
9,389
  
Series 2017-5A, Class B3, 3.480%, 6/25/57 (a)(c)
    
1,802,016
      
1,697,373
  
Nomura Asset Acceptance Corp. Alternative Loan Trust
                
Series 2005-AP3, Class A3, 5.318%, 8/25/35 (a)
    
359,507
      
221,246
  
Oaktown Re III Ltd.
                
Series 2019-1A, Class M2, 2.725% (1 Month LIBOR USD + 2.550%), 7/25/29 (c)(h)
    
1,750,000
      
1,648,651
  
Option One Mortgage Loan Trust
                
Series 2007-HL1, Class 2A2, 0.425% (1 Month LIBOR USD + 0.250%), 2/25/38 (h)
    
511,235
      
445,053
  
Preston Ridge Partners Mortgage Trust
                
Series 2018-1A, Class A1, 3.750%, 4/25/23 (a)(c)(k)
    
50,606
      
51,097
  
Series 2018-1A, Class A2, 5.000%, 4/25/23 (a)(c)(k)
    
1,000,000
      
971,596
  
Series 2019-3A, Class A2, 4.458%, 7/25/24 (c)(k)
    
10,000,000
      
9,788,733
  
Series 2019-GS1, Class A1, 3.500%, 10/25/24 (a)(c)(k)
    
2,184,537
      
2,179,278
  
Series 2019-GS1, Class A2, 4.750%, 10/25/24 (a)(c)(k)
    
549,630
      
529,112
  
Pretium Mortgage Credit Partners I, LLC
                
Series 2019-NPL3, Class A2, 4.581%, 7/27/59 (c)(k)
    
4,000,000
      
3,891,806
  
Series 2020-CFL1, Class A2, 4.213%, 2/27/60 (c)(k)
    
7,198,769
      
6,858,001
  
Progress Residential Trust
                
Series 2019-SFR1, Class G, 5.309%, 8/17/35 (c)
    
3,985,000
      
3,951,964
  
Series 2018-SFR3, Class G, 5.618%, 10/17/35 (c)
    
6,000,000
      
6,097,073
  
Series 2019-SFR2, Class G, 5.085%, 5/17/36 (c)
    
2,937,000
      
2,962,302
  
Series 2019-SFR3, Class G, 4.116%, 9/17/36 (c)
    
3,200,000
      
3,199,598
  
Series 2019-SFR4, Class G, 3.927%, 10/17/36 (c)
    
4,750,000
      
4,625,044
  
Series 2020-SFR1, Class G, 4.028%, 4/17/37 (c)
    
5,400,000
      
5,268,608
  
Series 2020-SFR1, Class H, 5.268%, 4/17/37 (c)
    
4,050,000
      
3,892,129
  
RAAC Series Trust
                
Series 2004-SP1, Class AI3, 6.118%, 3/25/34 (l)
    
8,156
      
8,305
  
RALI Series Trust
                
Series 2006-QS6, Class 1AV, 0.761%, 6/25/36 (a)(g)
    
8,442,224
      
194,487
  
Series 2006-QS6, Class 1A11, 0.875% (1 Month LIBOR USD + 0.700%), 6/25/36 (h)
    
3,727,222
      
2,895,194
  
Series 2007-QS1, Class 1A5, 0.725% (1 Month LIBOR USD + 0.550%), 1/25/37 (h)
    
6,213,337
      
4,412,817
  
RAMP Series Trust
                
Series 2005-EFC6, Class M4, 1.060% (1 Month LIBOR USD + 0.885%), 11/25/35 (h)
    
3,000,000
      
2,497,185
  
Series 2007-RS1, Class A3, 0.345% (1 Month LIBOR USD + 0.170%), 2/25/37 (h)
    
12,452,196
      
6,836,052
  
Series 2007-RS1, Class A4, 0.455% (1 Month LIBOR USD + 0.280%), 2/25/37 (h)
    
10,547,597
      
1,619,922
  
RBSSP Resecuritization Trust
                
Series 2009-7, Class 9A3, 5.000%, 9/26/36 (a)(c)
    
1,325,172
      
1,136,449
  
Series 2009-7, Class 6A2, 6.500%, 10/26/36 (a)(c)
    
634,388
      
555,110
  
RCO V Mortgage LLC
                
Series 2018-2, Class A2, 5.926%, 10/25/23 (c)(k)
    
1,292,000
      
1,293,363
  
Reperforming Loan REMIC Trust
                
Series 2005-R1, Class 1AF1, 0.535% (1 Month LIBOR USD + 0.360%), 3/25/35 (c)(h)
    
2,837,885
      
2,609,692
  
Series 2006-R1, Class AF1, 0.515% (1 Month LIBOR USD + 0.340%), 1/25/36 (c)(h)
    
3,657,575
      
3,497,716
  
Residential Accredit Loans, Inc. Series Trust
                
Series 2005-QS13, Class 2A1, 0.875% (1 Month LIBOR USD + 0.700%), 9/25/35 (h)
    
4,986,018
      
4,084,291
  
Series 2006-QS6, Class 1A9, 0.775% (1 Month LIBOR USD + 0.600%), 6/25/36 (h)
    
4,559,982
      
3,516,045
  
Series 2008-QR1, Class 2A1, 0.675% (1 Month LIBOR USD + 0.500%), 9/25/36 (h)
    
2,539,275
      
1,982,056
  
Series 2006-QS18, Class 1A1, 0.775% (1 Month LIBOR USD + 0.600%), 12/25/36 (h)
    
4,522,562
      
3,593,971
  
Residential Funding Securities Corp.
                
Series 2002-RP1, Class A1, 1.035% (1 Month LIBOR USD + 0.860%), 3/25/33 (c)(h)
    
699,328
      
584,611
  
Residential Mortgage Loan Trust
                
Series 2020-1, Class B2, 4.665%, 2/25/24 (a)(c)
    
2,129,000
      
1,975,248
  
Seasoned Credit Risk Transfer Trust
                
Series 2018-1, Class BX, 1.511%, 5/25/57 (a)
    
3,904,990
      
1,750,211
  
Series 2018-1, Class M, 4.750%, 5/25/57 (a)
    
6,225,000
      
6,678,273
  
Series 2018-2, Class XSIO, 0.065%, 11/25/57 (a)(g)
    
591,075,536
      
1,900,367
  
Series 2018-2, Class BX, 1.649%, 11/25/57 (a)
    
8,168,294
      
3,405,648
  
Series 2018-2, Class M, 4.750%, 11/25/57
    
7,475,000
      
7,396,819
  
Series 2019-2, Class M, 4.750%, 8/25/58 (a)(c)
    
2,000,000
      
1,903,048
  
Series 2020-1, Class BXS, 3.117%, 8/25/59 (a)(c)
    
7,496,128
      
3,939,062
  
Sequoia Mortgage Trust
                
Series 2016-1, Class AIO1, 0.293%, 6/25/46 (a)(c)(g)
    
71,469,819
      
410,244
  
Series 2017-1, Class AIO3, 0.500%, 2/25/47 (a)(c)(g)
    
11,819,383
      
141,627
  
Series 2018-7, Class AIO1, 0.219%, 9/25/48 (a)(c)(g)
    
91,436,792
      
220,079
  
Series 2019-3, Class B3, 4.088%, 9/25/49 (a)(c)
    
2,967,737
      
3,074,623
  
Series 2019-4, Class B3, 3.793%, 11/25/49 (a)(c)
    
1,762,560
      
1,800,121
  
Shellpoint Co-Originator Trust
                
Series 2017-1, Class AX1, 0.147%, 4/25/47 (a)(c)(g)
    
147,320,714
      
507,859
  
Sofi Mortgage Trust
                
Series 2016-1, Class B2, 3.147%, 11/25/46 (a)(c)
    
1,476,902
      
1,445,223
  
Soundview Home Loan Trust
                
Series 2006-WF1, Class A4, 0.455% (1 Month LIBOR USD + 0.280%), 10/25/36 (h)
    
1,277,051
      
1,248,315
  
Structured Adjustable Rate Mortgage Loan Trust
                
Series 2005-21, Class 3A1, 3.566%, 11/25/35 (a)
    
54,452
      
49,273
  
Structured Asset Investment Loan Trust
                
Series 2003-BC9, Class M1, 1.225% (1 Month LIBOR USD + 1.050%), 8/25/33 (h)
    
543,013
      
530,336
  
Terwin Mortgage Trust
                
Series 2004-4SL, Class B3, 8.000%, 3/25/34 (a)(c)
    
150,613
      
140,254
  
Towd Point Asset Funding, LLC
                
Series 2019-HE1, Class M2, 1.925% (1 Month LIBOR USD + 1.750%), 4/25/48 (c)(h)
    
4,461,000
      
4,333,362
  
Towd Point Mortgage Trust
                
Series 2019-HY1, Class B1, 2.325% (1 Month LIBOR USD + 2.150%), 10/25/48 (c)(h)
    
3,350,000
      
3,226,968
  
Series 2019-HY1, Class B2, 2.325% (1 Month LIBOR USD + 2.150%), 10/25/48 (c)(h)
    
11,339,000
      
9,857,646
  
Series 2019-HY1, Class B3, 2.325% (1 Month LIBOR USD + 2.150%), 10/25/48 (c)(h)
    
6,170,000
      
4,767,080
  
Series 2019-HY1, Class B4, 2.325% (1 Month LIBOR USD + 2.150%), 10/25/48 (c)(h)
    
6,170,000
      
5,246,717
  
Series 2019-HY1, Class XA, 5.000%, 10/25/48 (a)(c)
    
4,327,435
      
4,322,294
  
Series 2015-3, Class B3, 4.230%, 3/25/54 (a)(c)
    
2,000,000
      
2,003,733
  
Series 2016-1, Class B3, 4.035%, 2/25/55 (a)(c)
    
2,000,000
      
2,027,649
  
Series 2015-5, Class B3, 4.023%, 5/25/55 (a)(c)
    
2,000,000
      
1,923,566
  
Series 2016-2, Class B3, 3.499%, 8/25/55 (a)(c)
    
4,000,000
      
3,889,616
  
Series 2016-3, Class B3, 4.096%, 4/25/56 (a)(c)
    
5,000,000
      
5,071,232
  
Series 2016-5, Class B3, 3.726%, 10/25/56 (a)(c)
    
11,671,000
      
10,925,620
  
Series 2017-1, Class B3, 3.906%, 10/25/56 (a)(c)
    
8,750,000
      
8,116,564
  
Series 2017-5, Class B2, 2.275% (1 Month LIBOR USD + 2.100%), 2/25/57 (c)(h)
    
6,641,000
      
6,123,876
  
Series 2017-5, Class B3, 2.675% (1 Month LIBOR USD + 2.500%), 2/25/57 (c)(h)
    
5,415,000
      
4,945,889
  
Series 2017-2, Class B3, 4.189%, 4/25/57 (a)(c)
    
5,000,000
      
5,069,487
  
Series 2017-3, Class B3, 3.965%, 7/25/57 (a)(c)
    
8,750,000
      
8,286,394
  
Series 2019-1, Class B2, 3.880%, 3/25/58 (a)(c)
    
4,000,000
      
3,967,640
  
Series 2018-6, Class B2, 3.895%, 3/25/58 (a)(c)
    
2,750,000
      
2,555,156
  
Series 2019-HY2, Class M2, 2.075% (1 Month LIBOR USD + 1.900%), 5/25/58 (c)(h)
    
6,851,000
      
6,288,234
  
Series 2019-HY2, Class B1, 2.425% (1 Month LIBOR USD + 2.250%), 5/25/58 (c)(h)
    
9,851,000
      
8,840,256
  
Series 2019-HY2, Class B2, 2.425% (1 Month LIBOR USD + 2.250%), 5/25/58 (c)(h)
    
8,639,000
      
7,196,860
  
Series 2019-HY2, Class B3, 2.425% (1 Month LIBOR USD + 2.250%), 5/25/58 (c)(h)
    
2,294,000
      
1,809,752
  
Series 2019-HY2, Class B4, 2.425% (1 Month LIBOR USD + 2.250%), 5/25/58 (c)(h)
    
1,836,000
      
1,354,822
  
Series 2018-3, Class B1, 3.854%, 5/25/58 (a)(c)
    
9,000,000
      
8,796,571
  
Series 2018-3, Class B2, 3.854%, 5/25/58 (a)(c)
    
1,750,000
      
1,569,635
  
Series 2018-4, Class B2, 3.307%, 6/25/58 (a)(c)
    
1,750,000
      
1,483,669
  
Series 2018-5, Class B1, 3.491%, 7/25/58 (a)(c)
    
9,000,000
      
8,629,304
  
Series 2018-5, Class B2, 3.492%, 7/25/58 (a)(c)
    
1,750,000
      
1,526,016
  
Series 2018-SJ1, Class M1, 4.500%, 10/25/58 (a)(c)
    
4,810,500
      
4,986,189
  
Series 2018-SJ1, Class M2, 4.750%, 10/25/58 (a)(c)
    
10,000,000
      
10,411,556
  
Series 2018-SJ1, Class B1, 5.250%, 10/25/58 (a)(c)
    
10,000,000
      
10,395,581
  
Series 2019-SJ1, Class M1, 4.400%, 11/25/58 (a)(c)
    
5,606,000
      
5,811,504
  
Series 2019-SJ2, Class M2, 4.750%, 11/25/58 (a)(c)
    
12,000,000
      
12,576,158
  
Series 2019-SJ1, Class M2, 4.750%, 11/25/58 (a)(c)
    
10,438,000
      
10,882,415
  
Series 2019-SJ1, Class A2, 5.000%, 11/25/58 (a)(c)
    
11,023,879
      
10,855,027
  
Series 2019-SJ2, Class B1, 5.000%, 11/25/58 (a)(c)
    
13,052,000
      
13,594,241
  
Series 2019-SJ2, Class XA, 5.000%, 11/25/58 (a)(c)
    
20,597,904
      
21,432,521
  
Series 2019-HY3, Class M1, 1.675% (1 Month LIBOR USD + 1.500%), 10/25/59 (c)(h)
    
9,495,000
      
9,186,832
  
Series 2019-HY3, Class M2, 1.875% (1 Month LIBOR USD + 1.700%), 10/25/59 (c)(h)
    
10,115,000
      
9,346,373
  
Series 2019-HY3, Class B1, 2.175% (1 Month LIBOR USD + 2.000%), 10/25/59 (c)(h)
    
5,514,000
      
4,870,951
  
Series 2019-HY3, Class B2, 2.175% (1 Month LIBOR USD + 2.000%), 10/25/59 (c)(h)
    
4,130,000
      
3,465,307
  
Series 2019-HY3, Class B3, 2.175% (1 Month LIBOR USD + 2.000%), 10/25/59 (c)(h)
    
1,106,000
      
1,020,863
  
Series 2019-HY3, Class B4, 2.175% (1 Month LIBOR USD + 2.000%), 10/25/59 (c)(h)
    
1,105,000
      
999,090
  
Series 2015-2, Class 1B3, 3.628%, 11/25/60 (a)(c)
    
2,000,000
      
1,960,046
  
Tricon American Homes Trust
                
Series 2017-SFR1, Class F, 5.151%, 9/17/34 (c)
    
5,000,000
      
5,130,828
  
Series 2017-SFR2, Class F, 5.104%, 1/17/36 (c)
    
5,147,000
      
5,366,920
  
Series 2020-SFR1, Class E, 3.544%, 7/17/38 (c)
    
1,250,000
      
1,309,652
  
Series 2020-SFR1, Class F, 4.882%, 7/17/38 (c)
    
4,000,000
      
4,260,417
  
Vericrest Opportunity Loan Trust
                
Series 2019-NPL2, Class A2, 6.292%, 2/25/49 (c)(k)
    
1,500,000
      
1,385,273
  
Series 2019-NPL4, Class A1A, 3.352%, 8/25/49 (c)(k)
    
2,169,472
      
2,174,254
  
Series 2019-NPL4, Class A1B, 4.150%, 8/25/49 (c)(k)
    
4,000,000
      
3,970,096
  
Series 2019-NPL4, Class A2, 5.438%, 8/25/49 (c)(k)
    
2,000,000
      
1,967,910
  
Series 2019-NPL5, Class A2, 5.194%, 9/25/49 (c)(k)
    
1,800,000
      
1,765,998
  
Series 2020-NPL2, Class A1B, 3.672%, 2/25/50 (c)(k)
    
18,000,000
      
17,889,444
  
Series 2020-NPL2, Class A2, 4.336%, 2/25/50 (c)(k)
    
12,000,000
      
11,476,512
  
Series 2020-NPL5, Class A1B, 3.475%, 3/25/50 (c)(k)
    
1,375,000
      
1,367,081
  
Series 2020-NPL5, Class A2, 3.967%, 3/25/50 (c)(k)
    
3,745,000
      
3,474,270
  
Series 2020-NPL6, Class A1A, 3.967%, 4/25/50 (c)(k)
    
2,557,496
      
2,573,913
  
Verus Securitization Trust
                
Series 2019-1, Class M1, 4.461%, 2/25/59 (a)(c)
    
2,664,000
      
2,760,214
  
Series 2019-1, Class B1, 5.311%, 2/25/59 (a)(c)
    
214,000
      
196,090
  
Series 2019-INV2, Class B1, 4.452%, 7/25/59 (a)(c)
    
500,000
      
492,682
  
Series 2019-INV3, Class B2, 4.791%, 11/25/59 (a)(c)
    
650,000
      
594,532
  
Series 2020-1, Class B1, 3.624%, 1/25/60 (a)(c)
    
1,700,000
      
1,627,471
  
VOLT LXXX LLC
                
Series 2019-NPL6, Class A1A, 3.228%, 10/25/49 (c)(k)
    
1,797,280
      
1,795,071
  
VOLT LXXXIII LLC
                
Series 2019-NPL9, Class A2, 4.949%, 11/26/49 (c)(k)
    
4,500,000
      
4,328,977
  
VOLT LXXXIV LLC
                
Series 2019-NPL10, Class A2, 4.704%, 12/27/49 (c)(k)
    
4,500,000
      
4,484,402
  
VOLT LXXXV LLC
                
Series 2020-NPL1, Class A2, 4.458%, 1/25/50 (c)(k)
    
9,150,000
      
8,536,240
  
VOLT LXXXVII LLC
                
Series 2020-NPL3, Class A2, 4.336%, 2/25/50 (c)(k)
    
22,969,000
      
21,997,099
  
VOLT LXXXVIII LLC
                
Series 2020-NPL4, Class A1, 2.981%, 3/25/50 (c)(k)
    
1,871,280
      
1,867,511
  
Series 2020-NPL4, Class A2, 4.090%, 3/25/50 (c)(k)
    
2,308,000
      
2,198,998
  
WaMu Asset-Backed Certificates WaMu Series Trust
                
Series 2007-HE2, Class 2A1, 0.275% (1 Month LIBOR USD + 0.100%), 2/25/37 (h)
    
21,410,690
      
8,158,904
  
WaMu Mortgage Pass-Through Certificates
                
Series 2006-AR18, Class 1A1, 3.082%, 1/25/37 (a)
    
1,287,157
      
1,191,832
  
Series 2005-AR1, Class B1, 1.000% (1 Month LIBOR USD + 0.825%), 1/25/45 (h)
    
7,145,916
      
6,810,224
  
Series 2005-AR6, Class B1, 1.075% (1 Month LIBOR USD + 0.900%), 4/25/45 (h)
    
4,257,456
      
3,116,685
  
Series 2005-AR13, Class B1, 0.775% (1 Month LIBOR USD + 0.600%), 10/25/45 (h)
    
7,974,983
      
5,670,571
  
Series 2005-AR17, Class A1B3, 0.525% (1 Month LIBOR USD + 0.350%), 12/25/45 (h)
    
2,001,414
      
1,877,878
  
Series 2005-AR17, Class A1B2, 0.585% (1 Month LIBOR USD + 0.410%), 12/25/45 (h)
    
607,792
      
573,972
  
Series 2006-AR5, Class A1A, 2.161% (12 Month US Treasury Average + 0.990%), 6/25/46 (h)
    
1,369,465
      
1,312,064
  
Washington Mutual Mortgage Pass-Through Certificates
                
Series 2007-4, Class 1A5, 7.000%, 6/25/37
    
6,053,269
      
3,856,629
  
Washington Mutual Mortgage Pass-Through Certificates Series Trust
                
Series 2006-AR9, Class 2A, 2.011% (12 Month US Treasury Average + 0.840%), 11/25/46 (h)
    
4,043,309
      
3,330,964
  
Series 2007-OA1, Class A1, 1.881% (12 Month US Treasury Average + 0.710%), 12/25/46 (h)
    
3,800,182
      
3,401,662
  
Wells Fargo Mortgage Backed Securities
                
Series 2018-1, Class AIO1, 0.188%, 7/25/47 (a)(c)(g)
    
98,969,997
      
609,616
  
Total Residential Mortgage-Backed Securities - Non-Agency (cost $1,100,221,911)
            
1,008,513,791
  
                 
PRIVATE PLACEMENT PARTICIPATION AGREEMENTS - 0.5%
                
BasePoint - BP SLL Trust, Series SPL-III
                
  10.500%, 12/31/20 (d)(e)
    
5,706,805
      
5,706,805
  
CCTC Acquisition Partners LLC, Convertible Promissory Note
                
12.000%, 2/8/21 (e)(f)(i)
    
749,058
      
0
  
Total Private Placement Participation Agreements (cost $6,455,863)
            
5,706,805
  
                 
MONEY MARKET FUND - 1.4%
                
First American Government Obligations Fund - Class Z, 0.056% (b)
    
17,431,788
      
17,431,788
  
Total Money Market Fund (cost $17,431,788)
            
17,431,788
  
                 
Total Investments (cost $1,374,200,893) - 100.0%
            
1,237,711,639
  
Other Assets less Liabilities - 0.0%
            
560,868
  
TOTAL NET ASSETS - 100.0%
          
$
1,238,272,507
  
 
(a)
  
Variable rate security. The coupon is based on an underlying pool of loans and represents the rate in
   
effect as of  August 31, 2020.
(b)
  
Rate shown is the 7-day annualized yield as of  August 31, 2020.
(c)
  
Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and
   
may be sold only to dealers in the program or other “qualified institutional buyers.” As of
   
August 31, 2020, the value of these investments was $971,170,055 or 78.4% of total net assets.
(d)
  
Security is restricted. The Fund cannot sell or otherwise transfer this agreement without prior written
   
approval of Basepoint – BP SLL Trust, Series SPL-III. As of August 31, 2020, the value of this
   
investment was $5,706,805 or 0.5% of total net assets. The security was acquired from June 2018
   
to January 2020 at a cost of $5,706,805.
(e)
  
Security valued at fair value using methods determined in good faith by or at the direction of the
   
Board of Trustees of Advisors Series Trust. Value determined using significant unobservable inputs.
   
As of August 31, 2020, the total value of fair valued securities was $5,706,805 or 0.5% of total
   
net assets.
(f)
  
Non-income producing.
(g)
  
Interest only security.
(h)
  
Variable or floating rate security based on a reference index and spread. The rate reported is the rate
   
in effect as of  August 31, 2020.
(i)
  
Security is restricted. The Fund cannot sell or otherwise transfer this agreement without prior written
   
approval of CCTC Acquisition Partners LLC. As of  August 31, 2020, the value of this investment was
   
$0 or 0.0% of total net assets. The security was acquired in February 2018 at a cost of $749,058.
(j)
  
Inverse floating rate security whose interest rate moves in the opposite direction of reference interest
   
rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may
   
also be subject to a cap or floor.
(k)
  
Step-up bond. The interest rate will step up if the issuer does not redeem the bond by an expected
   
redemption date. The interest rate shown is the rate in effect as of  August 31, 2020.
(l)
  
Step-up bond. The interest rate may step up conditioned upon the aggregate remaining principal
   
balance of the underlying mortgage loans being reduced below a targeted percentage of the aggregate
   
original principal balance of the mortgage loans. The interest rate shown is the rate in effect as of
   
August 31, 2020.
   
FNMA – Federal National Mortgage Association
   
FREMF – Freddie Mac K Series
   
GNMA – Government National Mortgage Association
   
LIBOR – London Interbank Offered Rate
   
REMIC – Real Estate Mortgage Investment Conduit
Semper MBS Total Return Fund
                
Summary of Fair Value Disclosure at August 31, 2020 (Unaudited)
            
                   
The Fund utilizes various methods to measure the fair value of its investments on a recurring basis. Accounting principles generally accepted in the United
States of America ("U.S. GAAP") establish a hierarchy that prioritizes inputs to valuation methods.  The three levels of inputs are:
  
                   
Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

    
Level 2 - Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may
include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves,
default rates and similar data.

                
Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund's own assumptions
about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
                   
The following is a summary of the inputs used to value the Fund's investments as of August 31, 2020:
        

   
Level 1
    
Level 2
    
Level 3
    
Total
  
Fixed Income
                        
Commercial Mortgage-Backed Securities - Agency
  
$
-
    
$
37,916
    
$
-
    
$
37,916
  
Commercial Mortgage-Backed Securities - Non-Agency
    
-
      
77,896,830
      
-
      
77,896,830
  
Residential Mortgage-Backed Securities - Agency
    
-
      
128,124,509
      
-
      
128,124,509
  
Residential Mortgage-Backed Securities - Non-Agency
    
-
      
1,008,513,791
      
-
      
1,008,513,791
  
Total Fixed Income
    
-
      
1,214,573,046
      
-
      
1,214,573,046
  
Private Placement Participation Agreements
    
-
      
-
      
5,706,805
      
5,706,805
  
Money Market Fund
    
17,431,788
      
-
      
-
      
17,431,788
  
Total Investments
  
$
17,431,788
    
$
1,214,573,046
    
$
5,706,805
    
$
1,237,711,639
  

Refer to the Fund's schedule of investments for additional information.
            
                   
The following is a reconciliation of the Fund’s level 3 investments for which significant unobservable inputs were used in determining value.

         
Investments in Securites, at Value
  
               

 
   
Residential MBS-
    
Residential
MBS-
    
Private
Placement
Participation
  
   
Agency
    
Non-Agency
    
Agreements
  
Balance as of November 30, 2019
  
$
9,186,667
    
$
31,733,679
    
$
6,905,525
  
Accrued discounts/premiums
    
(30,957
)
    
170,718
      
-
  
Realized gain/(loss)
    
(1,477,082
)
    
(1,339
)
    
-
  
Change in unrealized appreciation/(depreciation)
    
1,700
      
(92,734
)
    
(828,308
)
Purchases
    
7,425,730
      
7,804,465
      
201,816
  
Sales
    
(15,106,058
)
    
(240,017
)
    
(572,228
)
Transfers in and/or out of Level 3
    
-
      
(39,374,772
)
    
-
  
Balance as of August 31, 2020
  
$
-
    
$
-
    
$
5,706,805
  

The change in unrealized appreciation/(depreciation) for level 3 securities still held in the Fund at August 31, 2020
    
and still classified as level 3 was $(828,308).
              
                   
The following is a summary of quantitative information about level 3 valued instruments:
        


     
Value at 8/31/20
  
Valuation
Technique(s)
  
 Unobservable
Input
  
Input/Range
                   
Private Placement Participation
  
 $             5,706,805
  
Market
  
Prior/Recent
  
$100
Agreements
        
Transaction
  
Transaction
    
           Method        

Significant changes in the market broker quotes would have resulted in direct and proportional changes in the fair value of the security.