A: MAFRX | C: MCFRX | C2: MAUCX | K: MAUKX | Y: MYFRX |
Principal Amount USD ($) | Value | |||||
UNAFFILIATED ISSUERS — 99.1% | ||||||
Senior Secured Floating Rate Loan Interests — 1.9% of Net Assets*(a) | ||||||
Advertising Sales — 0.1% | ||||||
962,500 | Clear Channel Outdoor Holdings, Inc., Term B Loan, 9.145% (Term SOFR + 350 bps), 8/21/26 | $ 954,439 | ||||
1,475,298 | Outfront Media Capital LLC (Outfront Media Capital Corp.), Extended Term Loan, 7.106% (Term SOFR + 175 bps), 11/18/26 | 1,473,914 | ||||
Total Advertising Sales | $2,428,353 | |||||
Advertising Services — 0.0%† | ||||||
735,000 | Dotdash Meredith, Inc., Term B Loan, 9.443% (Term SOFR + 400 bps), 12/1/28 | $ 727,650 | ||||
Total Advertising Services | $727,650 | |||||
Aerospace & Defense — 0.0%† | ||||||
1,401,562 | ADS Tactical, Inc., Initial Term Loan, 11.221% (Term SOFR + 575 bps), 3/19/26 | $ 1,387,547 | ||||
Total Aerospace & Defense | $1,387,547 | |||||
Airlines — 0.0%† | ||||||
1,425,000 | AAdvantage Loyality IP, Ltd. (American Airlines, Inc.), Initial Term Loan, 10.427% (Term SOFR + 475 bps), 4/20/28 | $ 1,467,750 | ||||
Total Airlines | $1,467,750 | |||||
Auto Parts & Equipment — 0.0%† | ||||||
484,503 | IXS Holdings, Inc., Initial Term Loan, 9.851% (Term SOFR + 425 bps), 3/5/27 | $ 418,792 | ||||
Total Auto Parts & Equipment | $418,792 | |||||
Auto-Truck Trailers — 0.0%† | ||||||
1,473,750 | Novae LLC, Tranche B Term Loan, 10.521% (Term SOFR + 500 bps), 12/22/28 | $ 1,430,152 | ||||
Total Auto-Truck Trailers | $1,430,152 | |||||
Batteries/Battery Systems — 0.0%† | ||||||
565,000 | Energizer Holdings, Inc., 2020 Term Loan, 7.721% (Term SOFR + 225 bps), 12/22/27 | $ 565,471 | ||||
Total Batteries/Battery Systems | $565,471 | |||||
Principal Amount USD ($) | Value | |||||
Building & Construction — 0.0%† | ||||||
1,217,421 | Service Logic Acquisition, Inc., First Lien Closing Date Initial Term Loan, 9.645% (Term SOFR + 400 bps), 10/29/27 | $ 1,218,182 | ||||
Total Building & Construction | $1,218,182 | |||||
Building & Construction Products — 0.0%† | ||||||
486,250 | Cornerstone Building Brands, Inc., Tranche B Term Loan, 8.712% (Term SOFR + 325 bps), 4/12/28 | $ 487,238 | ||||
Total Building & Construction Products | $487,238 | |||||
Building Production — 0.0%† | ||||||
498,750 | Koppers, Inc., Term B Loan, 8.96% (Term SOFR + 350 bps), 4/10/30 | $ 501,867 | ||||
505,000(b) | Summit Materials LLC, Incremental Term Loan B, 11/30/28 | 506,894 | ||||
Total Building Production | $1,008,761 | |||||
Cable & Satellite Television — 0.1% | ||||||
2,916,244 | Charter Communications Operating LLC, Term B-2 Loan, 7.133% (Term SOFR + 175 bps), 2/1/27 | $ 2,918,562 | ||||
980,000 | Radiate Holdco LLC, Amendment No. 6 Term B Loan, 8.721% (Term SOFR + 325 bps), 9/25/26 | 791,350 | ||||
1,025,000 | Virgin Media Bristol LLC, Facility Q, 8.726% (Term SOFR + 325 bps), 1/31/29 | 1,024,872 | ||||
Total Cable & Satellite Television | $4,734,784 | |||||
Cellular Telecom — 0.0%† | ||||||
1,221,875 | Xplore Inc., First Lien Refinancing Term Loan, 9.61% (Term SOFR + 400 bps), 10/2/28 | $ 742,670 | ||||
Total Cellular Telecom | $742,670 | |||||
Chemicals-Specialty — 0.1% | ||||||
972,909 | INEOS Quattro Holdings UK Ltd., 2026 Tranche B Dollar Term Loan, 8.22% (Term SOFR + 275 bps), 1/29/26 | $ 975,341 | ||||
1,124,540 | Mativ Holdings, Inc., Term B Loan, 9.22% (Term SOFR + 375 bps), 4/20/28 | 1,120,323 | ||||
399,000 | Olympus Water US Holding Corp., 2023 Incremental Term Loan, 10.348% (Term SOFR + 500 bps), 11/9/28 | 401,826 |
Principal Amount USD ($) | Value | |||||
Chemicals-Specialty — (continued) | ||||||
980,000 | Olympus Water US Holding Corp., Initial Dollar Term Loan, 9.36% (Term SOFR + 375 bps), 11/9/28 | $ 979,448 | ||||
1,719,380 | Tronox Finance LLC, First Lien Refinancing Term Loan, 8.11% (Term SOFR + 250 bps), 3/10/28 | 1,722,247 | ||||
Total Chemicals-Specialty | $5,199,185 | |||||
Commercial Services — 0.1% | ||||||
466,688 | Pre-Paid Legal Services, Inc., First Lien Initial Term Loan, 9.22% (Term SOFR + 375 bps), 12/15/28 | $ 463,771 | ||||
1,744,961 | Trans Union LLC, 2019 Replacement Term B-5 Loan, 7.206% (Term SOFR + 175 bps), 11/16/26 | 1,749,224 | ||||
Total Commercial Services | $2,212,995 | |||||
Computer Data Security — 0.0%† | ||||||
1,225,000 | Magenta Buyer LLC, First Lien Initial Term Loan, 10.645% (Term SOFR + 500 bps), 7/27/28 | $ 861,328 | ||||
685,965 | Precisely Software, Inc., First Lien Third Amendment Term Loan, 9.64% (Term SOFR + 400 bps), 4/24/28 | 681,678 | ||||
Total Computer Data Security | $1,543,006 | |||||
Computer Services — 0.0%† | ||||||
915,900 | MAG DS Corp., Initial Term Loan, 10.948% (Term SOFR + 550 bps), 4/1/27 | $ 842,628 | ||||
Total Computer Services | $842,628 | |||||
Computer Software — 0.0%† | ||||||
491,250 | Cornerstone OnDemand, Inc., First Lien Initial Term Loan, 9.22% (Term SOFR + 375 bps), 10/16/28 | $ 478,048 | ||||
Total Computer Software | $478,048 | |||||
Containers-Paper & Plastic — 0.1% | ||||||
2,570,750 | Berry Global, Inc., Term AA Loan, 7.222% (Term SOFR + 175 bps), 7/1/29 | $ 2,576,308 | ||||
Total Containers-Paper & Plastic | $2,576,308 | |||||
Cruise Lines — 0.0%† | ||||||
1,054,700 | Carnival Corp., Initial Advance, 8.357% (Term SOFR + 300 bps), 8/9/27 | $ 1,058,655 | ||||
Total Cruise Lines | $1,058,655 | |||||
Diagnostic Equipment — 0.0%† | ||||||
1,457,625 | Curia Global, Inc., First Lien 2021 Term Loan, 9.233% (Term SOFR + 375 bps), 8/30/26 | $ 1,315,506 | ||||
Total Diagnostic Equipment | $1,315,506 | |||||
Principal Amount USD ($) | Value | |||||
Direct Marketing — 0.0%† | ||||||
579,812 | Red Ventures LLC (New Imagitas, Inc.), First Lien Term B-4 Loan, 8.345% (Term SOFR + 300 bps), 3/3/30 | $ 579,160 | ||||
Total Direct Marketing | $579,160 | |||||
Disposable Medical Products — 0.1% | ||||||
982,500 | Medline Borrower LP, Initial Dollar Term Loan, 8.471% (Term SOFR + 300 bps), 10/23/28 | $ 987,473 | ||||
900,000 | Sotera Health Holdings LLC, First Lien Refinancing Loan, 8.395% (Term SOFR + 275 bps), 12/11/26 | 900,000 | ||||
Total Disposable Medical Products | $1,887,473 | |||||
Distribution & Wholesale — 0.0%† | ||||||
935,156 | Windsor Holdings III LLC, Dollar Term B Loan, 9.841% (Term SOFR + 450 bps), 8/1/30 | $ 943,005 | ||||
Total Distribution & Wholesale | $943,005 | |||||
E-Commerce — 0.0%† | ||||||
486,250 | CNT Holdings I Corp., First Lien Initial Term Loan, 8.926% (Term SOFR + 350 bps), 11/8/27 | $ 487,668 | ||||
Total E-Commerce | $487,668 | |||||
Electric-Generation — 0.1% | ||||||
885,955 | Eastern Power LLC (Eastern Covert Midco LLC), Term Loan, 9.22% (Term SOFR + 375 bps), 10/2/25 | $ 873,695 | ||||
430,768 | Generation Bridge Northeast LLC, Term Loan B, 9.606% (Term SOFR + 425 bps), 8/22/29 | 433,461 | ||||
547,009 | Vistra Operations Company LLC, 2018 Incremental Term Loan, 7.356% (Term SOFR + 200 bps), 12/20/30 | 547,749 | ||||
Total Electric-Generation | $1,854,905 | |||||
Electric-Integrated — 0.0%† | ||||||
479,452 | Pike Corp., 2028 Initial Term Loan, 8.47% (Term SOFR + 300 bps), 1/21/28 | $ 481,700 | ||||
Total Electric-Integrated | $481,700 | |||||
Entertainment Software — 0.0%† | ||||||
828,750 | Playtika Holding Corp., Term B-1 Loan, 8.22% (Term SOFR + 275 bps), 3/13/28 | $ 829,319 | ||||
Total Entertainment Software | $829,319 | |||||
Principal Amount USD ($) | Value | |||||
Finance-Investment Banker — 0.1% | ||||||
1,446,697 | Citadel Securities LP, 2023 Term Loan, 7.97% (Term SOFR + 250 bps), 7/29/30 | $ 1,451,128 | ||||
923,875 | Hudson River Trading LLC, Term Loan, 8.471% (Term SOFR + 300 bps), 3/20/28 | 922,287 | ||||
Total Finance-Investment Banker | $2,373,415 | |||||
Finance-Leasing Company — 0.1% | ||||||
1,333,535 | Avolon TLB Borrower 1 (US) LLC, Term B-4 Loan, 6.958% (Term SOFR + 150 bps), 2/12/27 | $ 1,336,105 | ||||
1,219,290 | Avolon TLB Borrower 1 (US) LLC, Term B-6 Loan, 7.858% (Term SOFR + 200 bps), 6/22/28 | 1,223,335 | ||||
1,505,988 | Castlelake Aviation One Designated Activity Co., 2023 Incremental Term Loan, 8.135% (Term SOFR + 275 bps), 10/22/27 | 1,510,156 | ||||
Total Finance-Leasing Company | $4,069,596 | |||||
Food-Wholesale & Distributions — 0.0%† | ||||||
744,167 | US Foods, Inc. (aka U.S. Foodservice, Inc.), Incremental B-2019 Term Loan, 7.47% (Term SOFR + 200 bps), 9/13/26 | $ 746,278 | ||||
Total Food-Wholesale & Distributions | $746,278 | |||||
Footwear & Related Apparel — 0.0%† | ||||||
1,230,000 | Crocs, Inc., 2023 Refinancing Term Loan, 8.498% (Term SOFR + 300 bps), 2/20/29 | $ 1,236,748 | ||||
Total Footwear & Related Apparel | $1,236,748 | |||||
Gambling (Non-Hotel) — 0.0%† | ||||||
1,375,000 | Flutter Entertainment Plc, Term B Loan, 7.698% (Term SOFR + 225 bps), 11/25/30 | $ 1,379,870 | ||||
Total Gambling (Non-Hotel) | $1,379,870 | |||||
Independent Power Producer — 0.0%† | ||||||
730,544 | Calpine Construction Finance Company LP, Refinancing Term Loan, 7.606% (Term SOFR + 225 bps), 7/31/30 | $ 731,582 | ||||
455,000 | EFS Cogen Holdings I LLC, Term B Advance, 9.11% (Term SOFR + 350 bps), 10/1/27 | 455,107 | ||||
Total Independent Power Producer | $1,186,689 | |||||
Principal Amount USD ($) | Value | |||||
Internet Content — 0.0%† | ||||||
1,071,059 | MH Sub I LLC (Micro Holding Corp.), 2023 May Incremental First Lien Term Loan, 9.606% (Term SOFR + 425 bps), 5/3/28 | $ 1,054,927 | ||||
Total Internet Content | $1,054,927 | |||||
Internet Security — 0.0%† | ||||||
827,398 | Gen Digital Inc., Initial Tranche B Term Loan, 7.456% (Term SOFR + 200 bps), 9/12/29 | $ 829,245 | ||||
Total Internet Security | $829,245 | |||||
Investment Management & Advisory Services — 0.1% | ||||||
975,000 | Edelman Financial Engines Center LLC, First Lien 2021 Initial Term Loan, 8.971% (Term SOFR + 350 bps), 4/7/28 | $ 976,286 | ||||
491,190 | LHS Borrower LLC, Initial Term Loan, 10.206% (Term SOFR + 475 bps), 2/16/29 | 446,574 | ||||
1,464,150 | Russell Investments US Institutional Holdco, Inc., 2025 Term Loan, 8.956% (Term SOFR + 350 bps), 5/30/25 | 1,374,318 | ||||
743,302 | Victory Capital Holdings, Inc., Tranche B-2 Term Loan, 7.772% (Term SOFR + 225 bps), 7/1/26 | 742,837 | ||||
Total Investment Management & Advisory Services | $3,540,015 | |||||
Lasers-System & Components — 0.1% | ||||||
2,216,629 | Coherent Corp., Initial Term B Loan, 8.22% (Term SOFR + 275 bps), 7/2/29 | $ 2,229,098 | ||||
Total Lasers-Syst/Components | $2,229,098 | |||||
Medical Information Systems — 0.0%† | ||||||
658,586 | athenahealth Group, Inc., Initial Term Loan, 8.606% (Term SOFR + 325 bps), 2/15/29 | $ 657,214 | ||||
Total Medical Information Systems | $657,214 | |||||
Medical Labs & Testing Services — 0.1% | ||||||
1,767,120 | Phoenix Guarantor Inc., First Lien Tranche B-1 Term Loan, 8.72% (Term SOFR + 325 bps), 3/5/26 | $ 1,769,605 | ||||
1,215,625 | Phoenix Guarantor Inc., First Lien Tranche B-3 Term Loan, 8.971% (Term SOFR + 350 bps), 3/5/26 | 1,217,334 | ||||
1,319,625 | U.S. Anesthesia Partners, Inc., First Lien Initial Term Loan, 9.707% (Term SOFR + 425 bps), 10/1/28 | 1,211,227 | ||||
Total Medical Labs & Testing Services | $4,198,166 | |||||
Principal Amount USD ($) | Value | |||||
Medical Products — 0.0%† | ||||||
572,063 | NMN Holdings III Corp., First Lien Closing Date Term Loan, 8.971% (Term SOFR + 350 bps), 11/13/25 | $ 557,761 | ||||
111,010 | NMN Holdings III Corp., First Lien Delayed Draw Term Loan, 8.97% (Term SOFR + 350 bps), 11/13/25 | 108,235 | ||||
Total Medical Products | $665,996 | |||||
Medical-Drugs — 0.0%† | ||||||
800,000 | Padagis LLC, Term B Loan, 10.434% (Term SOFR + 475 bps), 7/6/28 | $ 778,000 | ||||
Total Medical-Drugs | $778,000 | |||||
Medical-Generic Drugs — 0.1% | ||||||
1,750,000 | Perrigo Company Plc, Initial Term B Loan, 7.706% (Term SOFR + 225 bps), 4/20/29 | $ 1,749,454 | ||||
Total Medical-Generic Drugs | $1,749,454 | |||||
Medical-Hospitals — 0.0%† | ||||||
1,277,250 | EyeCare Partners LLC, First Lien Amendment No. 1 Term Loan, 9.395% (Term SOFR + 375 bps), 11/15/28 | $ 641,180 | ||||
979,990 | Knight Health Holdings LLC, Term B Loan, 10.721% (Term SOFR + 525 bps), 12/23/28 | 284,197 | ||||
Total Medical-Hospitals | $925,377 | |||||
Metal Processors & Fabrication — 0.0%† | ||||||
310,231 | WireCo WorldGroup, Inc., 2023 Refinancing Term Loan, 9.108% (Term SOFR + 375 bps), 11/13/28 | $ 311,782 | ||||
Total Metal Processors & Fabrication | $311,782 | |||||
Office Automation & Equipment — 0.0%† | ||||||
1,060,025 | Pitney Bowes, Inc., Refinancing Tranche B Term Loan, 9.47% (Term SOFR + 400 bps), 3/17/28 | $ 1,046,775 | ||||
Total Office Automation & Equipment | $1,046,775 | |||||
Physical Practice Management — 0.0%† | ||||||
864,926 | Team Health Holdings, Inc., Extended Term Loan, 10.633% (Term SOFR + 525 bps), 3/2/27 | $ 663,290 | ||||
Total Physical Practice Management | $663,290 | |||||
Pipelines — 0.0%† | ||||||
743,296 | Buckeye Partners LP, 2023 Tranche B-2 Term Loan, 7.856% (Term SOFR + 250 bps), 11/22/30 | $ 746,252 | ||||
Total Pipelines | $746,252 | |||||
Principal Amount USD ($) | Value | |||||
Property & Casualty Insurance — 0.1% | ||||||
2,628,521 | Asurion LLC, New B-11 Term Loan, 9.706% (Term SOFR + 425 bps), 8/19/28 | $ 2,623,921 | ||||
1,161,423 | Asurion LLC, New B-8 Term Loan, 8.721% (Term SOFR + 325 bps), 12/23/26 | 1,160,800 | ||||
972,500 | Asurion LLC, New B-9 Term Loan, 8.72% (Term SOFR + 325 bps), 7/31/27 | 967,030 | ||||
Total Property & Casualty Insurance | $4,751,751 | |||||
Protection-Safety — 0.0%† | ||||||
500,000 | Prime Security Services Borrower LLC, First Lien 2023 Refinancing Term B-1 Loan, 7.841% (Term SOFR + 250 bps), 10/13/30 | $ 501,805 | ||||
Total Protection-Safety | $501,805 | |||||
Publishing — 0.0%† | ||||||
987,500 | Houghton Mifflin Harcourt Co., First Lien Term B Loan, 10.706% (Term SOFR + 525 bps), 4/9/29 | $ 970,219 | ||||
Total Publishing | $970,219 | |||||
Racetracks — 0.0%† | ||||||
486,250 | Churchill Downs Inc., 2021 Incremental Term B Loan, 7.456% (Term SOFR + 200 bps), 3/17/28 | $ 486,706 | ||||
Total Racetracks | $486,706 | |||||
Recreational Centers — 0.0%† | ||||||
1,220,288 | Fitness International LLC, Term B Loan, 8.706% (Term SOFR + 325 bps), 4/18/25 | $ 1,217,695 | ||||
Total Recreational Centers | $1,217,695 | |||||
REITS-Storage — 0.0%† | ||||||
1,034,000(b) | Iron Mountain Information Management, LLC, Amendment No.1 Incremental Term B Loan, 1/31/31 | $ 1,035,618 | ||||
Total REITS-Storage | $1,035,618 | |||||
Rental Auto & Equipment — 0.1% | ||||||
1,925,609 | Avis Budget Car Rental LLC, New Tranche B Term Loan, 7.22% (Term SOFR + 175 bps), 8/6/27 | $ 1,924,646 | ||||
Total Rental Auto & Equipment | $1,924,646 | |||||
Retail — 0.1% | ||||||
1,134,583 | Highline Aftermarket Acquisition LLC, First Lien Initial Term Loan, 9.956% (Term SOFR + 450 bps), 11/9/27 | $ 1,137,420 | ||||
938,383 | Petco Health & Wellness Co., Inc., First Lien Initial Term Loan, 8.86% (Term SOFR + 325 bps), 3/3/28 | 890,583 |
Principal Amount USD ($) | Value | |||||
Retail — (continued) | ||||||
733,125 | PetSmart LLC, Initial Term Loan, 9.206% (Term SOFR + 375 bps), 2/11/28 | $ 726,160 | ||||
731,724 | RVR Dealership Holdings LLC, Term Loan, 9.206% (Term SOFR + 375 bps), 2/8/28 | 635,685 | ||||
Total Retail | $3,389,848 | |||||
Security Services — 0.1% | ||||||
1,396,500 | Allied Universal Holdco LLC (f/k/a USAGM Holdco LLC), Amendment No. 3 Term Loan, 10.106% (Term SOFR + 475 bps), 5/12/28 | $ 1,399,493 | ||||
1,955,000 | Allied Universal Holdco LLC (f/k/a USAGM Holdco LLC), Initial U.S. Dollar Term Loan, 9.206% (Term SOFR + 375 bps), 5/12/28 | 1,946,752 | ||||
1,500,000 | Garda World Security Corp., Term B-2 Loan, 9.725% (Term SOFR + 425 bps), 10/30/26 | 1,504,570 | ||||
Total Security Services | $4,850,815 | |||||
Telephone-Integrated — 0.1% | ||||||
1,867,211 | Level 3 Financing, Inc., Tranche B 2027 Term Loan, 7.22% (Term SOFR + 175 bps), 3/1/27 | $ 1,775,406 | ||||
Total Telephone-Integrated | $1,775,406 | |||||
Television — 0.1% | ||||||
1,650,000 | Gray Television, Inc., Term E Loan, 7.957% (Term SOFR + 250 bps), 1/2/26 | $ 1,650,688 | ||||
Total Television | $1,650,688 | |||||
Textile-Home Furnishings — 0.0%† | ||||||
884,250 | Runner Buyer, Inc., Initial Term Loan, 11.003% (Term SOFR + 550 bps), 10/20/28 | $ 700,326 | ||||
Total Textile-Home Furnishings | $700,326 | |||||
Transportation - Trucks — 0.0%† | ||||||
1,466,250 | Carriage Purchaser, Inc., Term B Loan, 9.72% (Term SOFR + 425 bps), 10/2/28 | $ 1,455,253 | ||||
Total Transportation - Trucks | $1,455,253 | |||||
Total Senior Secured Floating Rate Loan Interests (Cost $96,874,642) | $94,005,874 | |||||
Asset Backed Securities — 32.0% of Net Assets | ||||||
35,258(a) | 321 Henderson Receivables I LLC, Series 2004-A, Class A1, 5.826% (1 Month Term SOFR + 46 bps), 9/15/45 (144A) | $ 34,985 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
343,407(a) | 321 Henderson Receivables I LLC, Series 2006-2A, Class A1, 5.676% (1 Month Term SOFR + 31 bps), 6/15/41 (144A) | $ 335,892 | ||||
426,957(a) | 321 Henderson Receivables I LLC, Series 2006-3A, Class A1, 5.676% (1 Month Term SOFR + 31 bps), 9/15/41 (144A) | 411,703 | ||||
809,464(a) | 321 Henderson Receivables LLC, Series 2005-1A, Class A1, 5.706% (1 Month Term SOFR + 34 bps), 11/15/40 (144A) | 795,607 | ||||
3,550,000(a) | 522 Funding CLO, Ltd., Series 2020-6A, Class X, 6.774% (3 Month Term SOFR + 136 bps), 10/23/34 (144A) | 3,548,268 | ||||
3,000,000(a) | ABPCI Direct Lending Fund CLO V Ltd., Series 2019-5A, Class CR, 9.877% (3 Month Term SOFR + 446 bps), 4/20/31 (144A) | 2,807,328 | ||||
5,000,000(a) | ABPCI Direct Lending Fund CLO X LP, Series 2020-10A, Class A1A, 7.538% (3 Month Term SOFR + 221 bps), 1/20/32 (144A) | 4,988,500 | ||||
22,220,000(a) | ABPCI Direct Lending Fund IX LLC, Series 2020-9A, Class A1R, 7.049% (3 Month Term SOFR + 166 bps), 11/18/31 (144A) | 22,153,318 | ||||
2,019,361 | ACC Auto Trust, Series 2021-A, Class B, 1.79%, 4/15/27 (144A) | 2,014,483 | ||||
820,607 | ACC Auto Trust, Series 2022-A, Class A, 4.58%, 7/15/26 (144A) | 814,189 | ||||
2,000,000 | ACC Auto Trust, Series 2022-A, Class D, 10.07%, 3/15/29 (144A) | 1,916,165 | ||||
69,912 | ACHV ABS Trust, Series 2023-2PL, Class A, 6.42%, 5/20/30 (144A) | 69,922 | ||||
5,500,000 | ACHV ABS Trust, Series 2023-2PL, Class B, 6.88%, 5/20/30 (144A) | 5,508,493 | ||||
728,199 | ACHV ABS Trust, Series 2023-3PL, Class A, 6.60%, 8/19/30 (144A) | 728,551 | ||||
1,250,000 | ACHV ABS Trust, Series 2023-3PL, Class B, 7.17%, 8/19/30 (144A) | 1,250,336 | ||||
3,379,726 | ACHV ABS Trust, Series 2023-4CP, Class A, 6.81%, 11/25/30 (144A) | 3,383,720 | ||||
1,601,639 | ACM Auto Trust, Series 2023-1A, Class A, 6.61%, 1/22/30 (144A) | 1,600,709 | ||||
7,750,000 | ACM Auto Trust, Series 2023-1A, Class C, 8.59%, 1/22/30 (144A) | 7,714,809 | ||||
7,129,479(a) | ACREC, Ltd., Series 2021-FL1, Class A, 6.623% (1 Month Term SOFR + 126 bps), 10/16/36 (144A) | 6,984,372 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
2,776,204(a) | ACRES Commercial Realty, Ltd., Series 2021-FL1, Class A, 6.676% (1 Month Term SOFR + 131 bps), 6/15/36 (144A) | $ 2,724,604 | ||||
12,900,000(a) | ACRES Commercial Realty, Ltd., Series 2021-FL2, Class A, 6.876% (1 Month Term SOFR + 151 bps), 1/15/37 (144A) | 12,857,662 | ||||
7,370,000 | Affirm Asset Securitization Trust, Series 2023-X1, Class A, 7.11%, 11/15/28 (144A) | 7,389,110 | ||||
2,031,945(a) | Allegro CLO XIII, Ltd., Series 2021-1A, Class X, 6.677% (3 Month Term SOFR + 126 bps), 7/20/34 (144A) | 2,023,509 | ||||
2,050,000(a) | Allegro CLO XIV, Ltd., Series 2021-2A, Class X, 6.655% (3 Month Term SOFR + 126 bps), 10/15/34 (144A) | 2,049,043 | ||||
3,035,000 | American Credit Acceptance Receivables Trust, Series 2020-3, Class E, 3.88%, 8/13/26 (144A) | 3,025,095 | ||||
2,950,000 | American Credit Acceptance Receivables Trust, Series 2021-1, Class F, 4.01%, 11/15/27 (144A) | 2,916,023 | ||||
10,825,000 | American Credit Acceptance Receivables Trust, Series 2021-2, Class F, 3.73%, 1/13/28 (144A) | 10,474,242 | ||||
8,250,000 | American Credit Acceptance Receivables Trust, Series 2022-3, Class C, 4.86%, 10/13/28 (144A) | 8,193,214 | ||||
4,065,867 | American Credit Acceptance Receivables Trust, Series 2023-1, Class A, 5.45%, 9/14/26 (144A) | 4,061,137 | ||||
4,810,000 | American Homes 4 Rent Trust, Series 2014-SFR2, Class D, 5.149%, 10/17/36 (144A) | 4,760,585 | ||||
900,000 | American Homes 4 Rent Trust, Series 2014-SFR3, Class C, 4.596%, 12/17/36 (144A) | 886,492 | ||||
3,552,000 | American Homes 4 Rent Trust, Series 2014-SFR3, Class D, 5.04%, 12/17/36 (144A) | 3,509,893 | ||||
682,000 | American Homes 4 Rent Trust, Series 2015-SFR1, Class E, 5.639%, 4/17/52 (144A) | 677,089 | ||||
5,778,000 | American Homes 4 Rent Trust, Series 2015-SFR1, Class F, 5.885%, 4/17/52 (144A) | 5,742,269 | ||||
1,044,000 | American Homes 4 Rent Trust, Series 2015-SFR2, Class E, 6.07%, 10/17/52 (144A) | 1,043,033 | ||||
4,555,943(a) | Americredit Automobile Receivables Trust, Series 2023-1, Class A2B, 6.068% (SOFR30A + 73 bps), 10/19/26 | 4,557,681 | ||||
8,330(a) | Amortizing Residential Collateral Trust, Series 2002-BC5, Class M1, 6.505% (1 Month Term SOFR + 115 bps), 7/25/32 | 8,412 | ||||
1,750,000 | Amur Equipment Finance Receivables IX LLC, Series 2021-1A, Class D, 2.30%, 11/22/27 (144A) | 1,680,129 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
2,300,000(a) | Antares CLO LTD, Series 2019-2A, Class D, 10.424% (3 Month Term SOFR + 501 bps), 1/23/32 (144A) | $ 2,171,025 | ||||
1,934,950 | Aqua Finance Trust, Series 2019-A, Class A, 3.14%, 7/16/40 (144A) | 1,821,785 | ||||
2,922,294 | Aqua Finance Trust, Series 2020-AA, Class A, 1.90%, 7/17/46 (144A) | 2,717,696 | ||||
4,163,408 | Aqua Finance Trust, Series 2021-A, Class A, 1.54%, 7/17/46 (144A) | 3,719,200 | ||||
1,000,000(a) | Arbor Realty Commercial Real Estate Notes, Ltd., Series 2021-FL3, Class D, 7.676% (1 Month Term SOFR + 231 bps), 8/15/34 (144A) | 939,960 | ||||
2,500,000(a) | Arbor Realty Commercial Real Estate Notes, Ltd., Series 2021-FL4, Class E, 8.876% (1 Month Term SOFR + 351 bps), 11/15/36 (144A) | 2,294,970 | ||||
1,500,000(a) | Arbor Realty Commercial Real Estate Notes, Ltd., Series 2022-FL1, Class E, 9.088% (SOFR30A + 375 bps), 1/15/37 (144A) | 1,418,544 | ||||
4,000,000(a) | Ares LVII CLO, Ltd., Series 2020-57A, Class XR, 6.64% (3 Month Term SOFR + 126 bps), 1/25/35 (144A) | 3,999,800 | ||||
1,000,000(a) | Ares XXXVR CLO, Ltd., Series 2015-35RA, Class C, 7.555% (3 Month Term SOFR + 216 bps), 7/15/30 (144A) | 990,544 | ||||
3,196,821 | Arivo Acceptance Auto Loan Receivables Trust, Series 2022-1A, Class A, 3.93%, 5/15/28 (144A) | 3,138,086 | ||||
615,000 | Arm Master Trust LLC, Series 2023-T1, Class A, 6.562%, 2/17/25 (144A) | 614,709 | ||||
250,000(a) | ASSURANT CLO Ltd., Series 2018-2A, Class D, 8.527% (3 Month Term SOFR + 311 bps), 4/20/31 (144A) | 242,617 | ||||
430,872 | Atalaya Equipment Leasing Trust, Series 2021-1A, Class A2, 1.23%, 5/15/26 (144A) | 426,881 | ||||
13,932,840(a) | AUF Funding LLC, Series 2022-1A, Class A1LN, 7.916% (3 Month Term SOFR + 250 bps), 1/20/31 (144A) | 13,950,520 | ||||
3,250,000 | Auxilior Term Funding LLC, Series 2023-1A, Class A2, 6.18%, 12/15/28 (144A) | 3,261,867 | ||||
1,600,000 | Avid Automobile Receivables Trust, Series 2021-1, Class F, 5.16%, 10/16/28 (144A) | 1,495,767 | ||||
3,241,235 | Avid Automobile Receivables Trust, Series 2023-1, Class A, 6.63%, 7/15/26 (144A) | 3,241,203 | ||||
3,000,000 | Avid Automobile Receivables Trust, Series 2023-1, Class B, 7.12%, 3/15/27 (144A) | 3,017,918 | ||||
5,500,000(c) | B2R Mortgage Trust, Series 2015-2, Class E, 5.809%, 11/15/48 (144A) | 5,379,583 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
5,551,470(a) | Barings Middle Market CLO, Ltd., Series 2018-IA, Class A1, 7.185% (3 Month Term SOFR + 179 bps), 1/15/31 (144A) | $ 5,534,909 | ||||
136,478(a) | Bear Stearns Asset Backed Securities Trust, Series 2001-3, Class A1, 6.37% (1 Month Term SOFR + 101 bps), 10/27/32 | 134,947 | ||||
811,284 | BHG Securitization Trust, Series 2021-B, Class A, 0.90%, 10/17/34 (144A) | 785,538 | ||||
2,204,575 | BHG Securitization Trust, Series 2022-C, Class A, 5.32%, 10/17/35 (144A) | 2,190,137 | ||||
4,940,595 | BHG Securitization Trust, Series 2023-B, Class A, 6.92%, 12/17/36 (144A) | 5,016,156 | ||||
1,317,944(a) | Black Diamond CLO, Ltd., Series 2017-1A, Class A1AR, 6.71% (3 Month Term SOFR + 131 bps), 4/24/29 (144A) | 1,317,225 | ||||
3,063,660 | Blackbird Capital II Aircraft Lease, Ltd., Series 2021-1A, Class A, 2.443%, 7/15/46 (144A) | 2,641,579 | ||||
12,740,000 | Blue Bridge Funding LLC, Series 2023-1A, Class A, 7.37%, 11/15/30 (144A) | 12,765,795 | ||||
858,330 | BOF URSA VI Funding Trust I, Series 2023-CAR1, Class A2, 5.542%, 10/27/31 (144A) | 854,464 | ||||
1,883,350 | BOF URSA VI Funding Trust I, Series 2023-CAR2, Class A2, 5.542%, 10/27/31 (144A) | 1,875,080 | ||||
3,970,070 | BOF VII AL Funding Trust I, Series 2023-CAR3, Class A2, 6.291%, 7/26/32 (144A) | 3,994,641 | ||||
5,500,000(a) | Brightwood Capital MM CLO, Ltd., Series 2020-1A, Class B1R, 9.144% (3 Month Term SOFR + 375 bps), 1/15/31 (144A) | 5,499,527 | ||||
1,500,000(a) | Brightwood Capital MM CLO, Ltd., Series 2020-1A, Class C1R, 10.894% (3 Month Term SOFR + 550 bps), 1/15/31 (144A) | 1,498,550 | ||||
5,900,000(a) | Brightwood Capital MM CLO, Ltd., Series 2020-1A, Class DR, 11.644% (3 Month Term SOFR + 625 bps), 1/15/31 (144A) | 5,745,408 | ||||
3,710,000(a) | Brightwood Capital MM CLO, Ltd., Series 2023-1A, Class X, 7.651% (3 Month Term SOFR + 225 bps), 10/15/35 (144A) | 3,708,067 | ||||
8,254,607(a) | BRSP, Ltd., Series 2021-FL1, Class A, 6.62% (1 Month Term SOFR + 126 bps), 8/19/38 (144A) | 8,027,911 | ||||
2,000,000(a) | BSPRT Issuer, Ltd., Series 2021-FL7, Class D, 8.226% (1 Month Term SOFR + 286 bps), 12/15/38 (144A) | 1,905,519 | ||||
309,627 | BXG Receivables Note Trust, Series 2020-A, Class B, 2.49%, 2/28/36 (144A) | 286,560 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
8,000,000(a) | CAL Receivables LLC, Series 2022-1, Class B, 9.688% (SOFR30A + 435 bps), 10/15/26 (144A) | $ 7,966,618 | ||||
3,680,000(a) | Capital Four US CLO II, Ltd., Series 2022-1A, Class X, 6.654% (3 Month Term SOFR + 130 bps), 1/20/37 (144A) | 3,680,000 | ||||
1,400,000(a) | Carlyle Direct Lending CLO LLC, Series 2015-1A, Class A2R, 7.855% (3 Month Term SOFR + 246 bps), 10/15/31 (144A) | 1,375,517 | ||||
756,543 | CarNow Auto Receivables Trust, Series 2022-1A, Class B, 4.89%, 3/16/26 (144A) | 753,471 | ||||
2,000,000 | CarNow Auto Receivables Trust, Series 2023-1A, Class D, 7.99%, 2/15/28 (144A) | 1,927,870 | ||||
5,708,058 | CarNow Auto Receivables Trust, Series 2023-2A, Class A, 7.38%, 1/15/26 (144A) | 5,714,439 | ||||
8,190,000 | CarNow Auto Receivables Trust, Series 2023-2A, Class B, 8.53%, 1/15/27 (144A) | 8,204,355 | ||||
2,200,541 | Cartiga Asset Finance Trust LLC, Series 2023-1, Class A, 7.00%, 3/15/35 (144A) | 2,192,244 | ||||
1,497,005 | Carvana Auto Receivables Trust, Series 2019-1A, Class E, 5.64%, 1/15/26 (144A) | 1,496,366 | ||||
6,482,725 | Carvana Auto Receivables Trust, Series 2019-2A, Class E, 5.01%, 4/15/26 (144A) | 6,461,184 | ||||
198,068 | Carvana Auto Receivables Trust, Series 2019-4A, Class D, 3.07%, 7/15/25 (144A) | 197,989 | ||||
7,000,000 | Carvana Auto Receivables Trust, Series 2019-4A, Class E, 4.70%, 10/15/26 (144A) | 6,948,310 | ||||
1,096,768 | Carvana Auto Receivables Trust, Series 2020-N1A, Class D, 3.43%, 1/15/26 (144A) | 1,092,653 | ||||
513,985 | Carvana Auto Receivables Trust, Series 2021-N3, Class A1, 0.35%, 6/12/28 | 512,083 | ||||
1,000,000 | Carvana Auto Receivables Trust, Series 2021-P2, Class D, 2.02%, 5/10/28 | 884,439 | ||||
7,834,864 | Carvana Auto Receivables Trust, Series 2023-N1, Class A, 6.36%, 4/12/27 (144A) | 7,852,718 | ||||
2,556,650 | Carvana Auto Receivables Trust, Series 2023-N3, Class A, 6.41%, 9/10/27 (144A) | 2,568,427 | ||||
6,190,322(c) | Cascade Funding Mortgage Trust, Series 2021-HB6, Class A, 0.898%, 6/25/36 (144A) | 5,906,373 | ||||
2(c) | Centex Home Equity Loan Trust, Series 2003-A, Class AF6, 3.654%, 3/25/33 | 2 | ||||
5,192,799(a) | Cerberus Loan Funding XXIV LP, Series 2018-3A, Class A1, 7.055% (3 Month Term SOFR + 166 bps), 7/15/30 (144A) | 5,178,534 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
688,620(a) | Cerberus Loan Funding XXVIII LP, Series 2020-1A, Class A, 7.505% (3 Month Term SOFR + 211 bps), 10/15/31 (144A) | $ 686,514 | ||||
5,459,359(c) | CFMT LLC, Series 2021-HB7, Class A, 1.151%, 10/27/31 (144A) | 5,270,530 | ||||
9,000,000(c) | CFMT LLC, Series 2021-HB7, Class M2, 2.679%, 10/27/31 (144A) | 8,466,926 | ||||
6,450,000(c) | CFMT LLC, Series 2021-HB7, Class M4, 5.072%, 10/27/31 (144A) | 5,973,431 | ||||
5,605,168(c) | CFMT LLC, Series 2023-HB12, Class A, 4.25%, 4/25/33 (144A) | 5,432,324 | ||||
709,319(a) | Chesapeake Funding II LLC, Series 2020-1A, Class A2, 6.103% (SOFR30A + 76 bps), 8/15/32 (144A) | 709,341 | ||||
3,543,730(a) | Chesapeake Funding II LLC, Series 2023-1A, Class A2, 6.588% (SOFR30A + 125 bps), 5/15/35 (144A) | 3,553,085 | ||||
6,197,646(a) | Chesapeake Funding II LLC, Series 2023-2A, Class A2, 6.438% (SOFR30A + 110 bps), 10/15/35 (144A) | 6,202,919 | ||||
1,500,000(a) | Churchill Middle Market CLO III, Ltd., Series 2021-1A, Class C, 8.26% (3 Month Term SOFR + 286 bps), 10/24/33 (144A) | 1,399,074 | ||||
5,000,000(a) | Churchill Middle Market CLO III, Ltd., Series 2021-1A, Class E, 13.82% (3 Month Term SOFR + 842 bps), 10/24/33 (144A) | 4,465,990 | ||||
3,900,000(a) | CIFC Funding, Ltd., Series 2021-7A, Class X, 6.574% (3 Month Term SOFR + 116 bps), 1/23/35 (144A) | 3,897,980 | ||||
4,457,247(a) | College Ave Student Loans LLC, Series 2019-A, Class A1, 6.87% (1 Month Term SOFR + 151 bps), 12/28/48 (144A) | 4,423,800 | ||||
2,022,394 | Commercial Equipment Finance LLC, Series 2021-A, Class A, 2.05%, 2/16/27 (144A) | 1,978,552 | ||||
277,055 | Commonbond Student Loan Trust, Series 2016-B, Class A1, 2.73%, 10/25/40 (144A) | 264,463 | ||||
64,829(a) | Commonbond Student Loan Trust, Series 2016-B, Class A2, 6.92% (1 Month Term SOFR + 156 bps), 10/25/40 (144A) | 64,342 | ||||
743,288(a) | Commonbond Student Loan Trust, Series 2017-AGS, Class A2, 6.32% (1 Month Term SOFR + 96 bps), 5/25/41 (144A) | 730,540 | ||||
993,550(a) | Commonbond Student Loan Trust, Series 2017-BGS, Class A2, 6.12% (1 Month Term SOFR + 76 bps), 9/25/42 (144A) | 968,629 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
70,511 | Commonbond Student Loan Trust, Series 2017-BGS, Class C, 4.44%, 9/25/42 (144A) | $ 59,648 | ||||
679,266(a) | Commonbond Student Loan Trust, Series 2018-AGS, Class A2, 5.97% (1 Month Term SOFR + 61 bps), 2/25/44 (144A) | 663,712 | ||||
1,478,840(a) | Commonbond Student Loan Trust, Series 2018-BGS, Class A2, 6.04% (1 Month Term SOFR + 68 bps), 9/25/45 (144A) | 1,446,547 | ||||
660,641(a) | Commonbond Student Loan Trust, Series 2018-CGS, Class A2, 6.27% (1 Month Term SOFR + 91 bps), 2/25/46 (144A) | 645,698 | ||||
1,132,824(a) | Commonbond Student Loan Trust, Series 2019-AGS, Class A2, 6.37% (1 Month Term SOFR + 101 bps), 1/25/47 (144A) | 1,109,122 | ||||
597,972 | Conn's Receivables Funding LLC, Series 2021-A, Class C, 4.59%, 5/15/26 (144A) | 595,063 | ||||
1,719,731 | Conn's Receivables Funding LLC, Series 2023-A, Class A, 8.01%, 1/17/28 (144A) | 1,723,280 | ||||
2,660,406 | Continental Credit Card ABS LLC, Series 2019-1A, Class B, 4.95%, 8/15/26 (144A) | 2,647,951 | ||||
4,398,000 | Continental Credit Card ABS LLC, Series 2019-1A, Class C, 6.16%, 8/15/26 (144A) | 4,294,413 | ||||
12,426,941 | CP EF Asset Securitization II LLC, Series 2023-1A, Class A, 7.48%, 3/15/32 (144A) | 12,471,130 | ||||
152,901 | Credito Real USA Auto Receivables Trust, Series 2021-1A, Class A, 1.35%, 2/16/27 (144A) | 152,430 | ||||
7,870,000 | Credito Real USA Auto Receivables Trust, Series 2021-1A, Class B, 2.87%, 2/16/27 (144A) | 7,727,504 | ||||
500,000 | Crossroads Asset Trust, Series 2021-A, Class D, 2.52%, 1/20/26 (144A) | 490,665 | ||||
1,440,000(a) | Crown Point CLO IV, Ltd., Series 2018-4A, Class C, 7.577% (3 Month Term SOFR + 216 bps), 4/20/31 (144A) | 1,397,173 | ||||
78 | Delta Funding Home Equity Loan Trust, Series 1997-2, Class A6, 7.04%, 6/25/27 | 36 | ||||
2,500,000 | Dext ABS LLC, Series 2021-1, Class B, 1.76%, 2/15/28 (144A) | 2,350,627 | ||||
1,026,360 | Dext ABS LLC, Series 2023-1, Class A1, 5.68%, 4/15/24 (144A) | 1,026,096 | ||||
2,000,000 | Dext ABS LLC, Series 2023-1, Class A2, 5.99%, 3/15/32 (144A) | 1,986,891 | ||||
12,440,000 | Dext ABS LLC, Series 2023-2, Class A2, 6.56%, 5/15/34 (144A) | 12,499,374 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
1,312,127(a) | Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A1, 5.802% (1 Month Term SOFR + 44 bps), 12/11/34 (144A) | $ 1,310,922 | ||||
14,880,000 | DT Auto Owner Trust, Series 2020-2A, Class E, 7.17%, 6/15/27 (144A) | 14,954,998 | ||||
4,900,000(a) | Ellington CLO III, Ltd., Series 2018-3A, Class B, 7.677% (3 Month Term SOFR + 226 bps), 7/20/30 (144A) | 4,834,796 | ||||
6,500,000(a) | Ellington CLO III, Ltd., Series 2018-3A, Class C, 7.927% (3 Month Term SOFR + 251 bps), 7/20/30 (144A) | 6,394,921 | ||||
180,746(a) | Ellington CLO IV, Ltd., Series 2019-4A, Class AR, 7.235% (3 Month Term SOFR + 184 bps), 4/15/29 (144A) | 180,668 | ||||
7,000,000(a) | Ellington CLO IV, Ltd., Series 2019-4A, Class BR, 7.655% (3 Month Term SOFR + 226 bps), 4/15/29 (144A) | 6,968,171 | ||||
3,362,500(a) | Ellington CLO IV, Ltd., Series 2019-4A, Class CR, 8.405% (3 Month Term SOFR + 301 bps), 4/15/29 (144A) | 3,351,384 | ||||
375,000(a) | Elmwood CLO IV, Ltd., Series 2020-1A, Class X, 6.355% (3 Month Term SOFR + 96 bps), 4/15/33 (144A) | 374,981 | ||||
4,476,059 | Exeter Automobile Receivables Trust, Series 2020-2A, Class D, 4.73%, 4/15/26 (144A) | 4,455,739 | ||||
2,500,000 | Exeter Automobile Receivables Trust, Series 2023-1A, Class A3, 5.58%, 4/15/26 | 2,496,421 | ||||
1,034,844 | Exeter Automobile Receivables Trust, Series 2023-2A, Class A2, 5.87%, 11/17/25 | 1,034,761 | ||||
854,953 | FCI Funding LLC, Series 2021-1A, Class A, 1.13%, 4/15/33 (144A) | 842,989 | ||||
641,215 | FCI Funding LLC, Series 2021-1A, Class B, 1.53%, 4/15/33 (144A) | 631,487 | ||||
5,500,000 | FHF Issuer Trust, Series 2023-2A, Class A2, 6.79%, 10/15/29 (144A) | 5,570,272 | ||||
1,999,858 | FHF Trust, Series 2021-1A, Class A, 1.27%, 3/15/27 (144A) | 1,934,030 | ||||
1,184,554 | FHF Trust, Series 2021-2A, Class A, 0.83%, 12/15/26 (144A) | 1,144,357 | ||||
5,596,142 | FHF Trust, Series 2023-1A, Class A2, 6.57%, 6/15/28 (144A) | 5,577,025 | ||||
3,057,343 | First Investors Auto Owner Trust, Series 2022-2A, Class A, 6.26%, 7/15/27 (144A) | 3,068,391 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
4,674,531 | Flagship Credit Auto Trust, Series 2023-1, Class A2, 5.38%, 12/15/26 (144A) | $ 4,661,871 | ||||
2,269,240(a) | Ford Credit Auto Owner Trust, Series 2023-A, Class A2B, 6.058% (SOFR30A + 72 bps), 3/15/26 | 2,273,522 | ||||
4,100,000(a) | Ford Credit Floorplan Master Owner Trust, Series 2023-1, Class A2, 6.588% (SOFR30A + 125 bps), 5/15/28 (144A) | 4,127,396 | ||||
1,000,000 | Ford Credit Floorplan Master Owner Trust, Series 2023-1, Class B, 5.31%, 5/15/28 (144A) | 988,972 | ||||
5,000,000(a) | Fort Washington CLO, Series 2019-1A, Class AR, 6.807% (3 Month Term SOFR + 139 bps), 10/20/32 (144A) | 4,992,885 | ||||
8,250,000(a) | Fortress Credit Opportunities IX CLO, Ltd., Series 2017-9A, Class A1TR, 7.205% (3 Month Term SOFR + 181 bps), 10/15/33 (144A) | 8,094,083 | ||||
1,677,218(a) | Fortress Credit Opportunities VI CLO, Ltd., Series 2015-6A, Class A1TR, 7.028% (3 Month Term SOFR + 162 bps), 7/10/30 (144A) | 1,670,376 | ||||
9,156,515(a) | Fortress Credit Opportunities XVII CLO, Ltd., Series 2022-17A, Class A, 6.764% (3 Month Term SOFR + 137 bps), 1/15/30 (144A) | 9,126,820 | ||||
7,000,000(a) | Fortress Credit Opportunities XVII CLO, Ltd., Series 2022-17A, Class C, 8.044% (3 Month Term SOFR + 265 bps), 1/15/30 (144A) | 6,798,288 | ||||
3,944,499 | Foundation Finance Trust, Series 2021-1A, Class A, 1.27%, 5/15/41 (144A) | 3,527,258 | ||||
2,288,264 | Foundation Finance Trust, Series 2021-2A, Class A, 2.19%, 1/15/42 (144A) | 2,076,044 | ||||
1,986,949 | Foursight Capital Automobile Receivables Trust, Series 2023-1, Class A2, 5.43%, 10/15/26 (144A) | 1,980,958 | ||||
297,154 | Freed ABS Trust, Series 2021-1CP, Class C, 2.83%, 3/20/28 (144A) | 295,632 | ||||
1,000,000 | Freed ABS Trust, Series 2021-3FP, Class D, 2.37%, 11/20/28 (144A) | 960,440 | ||||
84,815 | Freed ABS Trust, Series 2022-3FP, Class B, 5.79%, 8/20/29 (144A) | 84,743 | ||||
7,690,000(a) | FS Rialto, Series 2021-FL3, Class A, 6.723% (1 Month Term SOFR + 136 bps), 11/16/36 (144A) | 7,584,109 | ||||
12,000,000 | Genesis Sales Finance Master Trust, Series 2021-AA, Class A, 1.20%, 12/21/26 (144A) | 11,478,415 | ||||
1,000,000 | Genesis Sales Finance Master Trust, Series 2021-AA, Class D, 2.09%, 12/21/26 (144A) | 893,356 | ||||
589,061 | GLS Auto Receivables Issuer Trust, Series 2020-2A, Class C, 4.57%, 4/15/26 (144A) | 586,038 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
2,100,000 | GLS Auto Receivables Issuer Trust, Series 2022-3A, Class D, 6.42%, 6/15/28 (144A) | $ 2,102,422 | ||||
6,661,917 | GLS Auto Receivables Issuer Trust, Series 2023-1A, Class A2, 5.98%, 8/17/26 (144A) | 6,661,600 | ||||
2,695,000 | GLS Auto Receivables Issuer Trust, Series 2023-1A, Class D, 7.01%, 1/16/29 (144A) | 2,736,222 | ||||
5,995,800 | GLS Auto Receivables Issuer Trust, Series 2023-2A, Class A2, 5.70%, 1/15/27 (144A) | 5,985,924 | ||||
3,190,000 | GLS Auto Receivables Issuer Trust, Series 2023-4A, Class C, 6.65%, 8/15/29 (144A) | 3,250,614 | ||||
4,839,766 | GLS Auto Select Receivables Trust, Series 2023-1A, Class A2, 6.27%, 8/16/27 (144A) | 4,858,152 | ||||
6,500,000 | GLS Auto Select Receivables Trust, Series 2023-2A, Class A2, 6.37%, 6/15/28 (144A) | 6,555,872 | ||||
5,500,000(a) | GMF Floorplan Owner Revolving Trust, Series 2023-1, Class A2, 6.488% (SOFR30A + 115 bps), 6/15/28 (144A) | 5,539,395 | ||||
500,000(a) | Goldentree Loan Management US CLO 1, Ltd., Series 2017-1A, Class ER2, 12.177% (3 Month Term SOFR + 676 bps), 4/20/34 (144A) | 496,210 | ||||
4,850,984(a) | Golub Capital Partners CLO 24M-R, Ltd., Series 2015-24A, Class AR, 7.254% (3 Month Term SOFR + 186 bps), 11/5/29 (144A) | 4,838,115 | ||||
7,986,389(a) | Golub Capital Partners CLO 25M, Ltd., Series 2015-25A, Class AR, 7.034% (3 Month Term SOFR + 164 bps), 5/5/30 (144A) | 7,965,353 | ||||
6,933,795(a) | Golub Capital Partners CLO 31M, Ltd., Series 2016-31A, Class A1R, 7.074% (3 Month Term SOFR + 168 bps), 8/5/30 (144A) | 6,906,358 | ||||
7,853,106(a) | Golub Capital Partners CLO 34M, Ltd., Series 2017-34A, Class AR, 7.354% (3 Month Term SOFR + 196 bps), 3/14/31 (144A) | 7,829,484 | ||||
3,000,000(a) | Golub Capital Partners CLO 35B, Ltd., Series 2017-35A, Class BR, 7.727% (3 Month Term SOFR + 231 bps), 7/20/29 (144A) | 2,999,967 | ||||
18,370,000(a) | Golub Capital Partners Clo 36m, Ltd., Series 2018-36A, Class B, 7.304% (3 Month Term SOFR + 191 bps), 2/5/31 (144A) | 18,207,168 | ||||
5,000,000(a) | Golub Capital Partners CLO 46M, Ltd., Series 2019-46A, Class A1A, 7.477% (3 Month Term SOFR + 206 bps), 4/20/32 (144A) | 4,998,770 | ||||
10,716,223(a) | Golub Capital Partners TALF LLC, Series 2020-1A, Class A, 7.627% (3 Month Term SOFR + 221 bps), 10/20/29 (144A) | 10,709,675 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
1,405,000(a) | Gracie Point International Funding, Series 2022-1A, Class D, 9.82% (SOFR30A + 450 bps), 4/1/24 (144A) | $ 1,409,064 | ||||
2,317,361(a) | Gracie Point International Funding, Series 2022-2A, Class A, 8.081% (SOFR30A + 275 bps), 7/1/24 (144A) | 2,324,806 | ||||
500,000(a) | Gracie Point International Funding, Series 2022-2A, Class D, 10.831% (SOFR30A + 550 bps), 7/1/24 (144A) | 503,440 | ||||
2,500,000(a) | Gracie Point International Funding, Series 2022-2A, Class E, 12.331% (SOFR30A + 700 bps), 7/1/24 (144A) | 2,510,373 | ||||
2,422,052(a) | Gracie Point International Funding, Series 2022-3A, Class A, 8.581% (SOFR30A + 325 bps), 11/1/24 (144A) | 2,426,448 | ||||
3,000,000(a) | Gracie Point International Funding, Series 2022-3A, Class C, 9.831% (SOFR30A + 450 bps), 11/1/24 (144A) | 3,000,026 | ||||
1,000,000(a) | Gracie Point International Funding, Series 2022-3A, Class D, 11.081% (SOFR30A + 575 bps), 11/1/24 (144A) | 1,000,011 | ||||
15,219,253(a) | Gracie Point International Funding, Series 2023-1A, Class A, 7.174% (SOFR90A + 195 bps), 9/1/26 (144A) | 15,181,807 | ||||
5,163,000(a) | Gracie Point International Funding, Series 2023-1A, Class C, 8.324% (SOFR90A + 310 bps), 9/1/26 (144A) | 5,150,125 | ||||
3,163,000(a) | Gracie Point International Funding, Series 2023-1A, Class D, 9.724% (SOFR90A + 450 bps), 9/1/26 (144A) | 3,155,150 | ||||
8,000,000(a) | Gracie Point International Funding, Series 2023-2A, Class A, 7.596% (SOFR90A + 225 bps), 3/1/27 (144A) | 7,999,326 | ||||
6,750,000 | Granite Park Equipment Leasing LLC, Series 2023-1A, Class A2, 6.51%, 5/20/30 (144A) | 6,804,871 | ||||
2,640,000(a) | Great Lakes CLO VI LLC, Series 2021-6A, Class AX, 6.855% (3 Month Term SOFR + 146 bps), 1/15/34 (144A) | 2,616,330 | ||||
7,267,860(a) | Harvest SBA Loan Trust, Series 2023-1, Class A, 8.707% (SOFR30A + 325 bps), 10/25/50 (144A) | 7,279,164 | ||||
6,410,000 | Hertz Vehicle Financing III LLC, Series 2022-1A, Class B, 2.19%, 6/25/26 (144A) | 6,084,221 | ||||
2,083,158(a) | HGI CRE CLO, Ltd., Series 2021-FL2, Class A, 6.473% (1 Month Term SOFR + 111 bps), 9/17/36 (144A) | 2,035,876 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
5,180,750 | HOA Funding LLC - HOA, Series 2021-1A, Class A2, 4.723%, 8/20/51 (144A) | $ 4,000,352 | ||||
2,050,000 | HOA Funding LLC - HOA, Series 2021-1A, Class B, 7.432%, 8/20/51 (144A) | 1,471,303 | ||||
4,000,000(a) | ICG US CLO, Ltd., Series 2017-1A, Class ERR, 13.012% (3 Month Term SOFR + 762 bps), 7/28/34 (144A) | 3,087,080 | ||||
2,741,276(a) | Invitation Homes Trust, Series 2018-SFR4, Class A, 6.576% (1 Month Term SOFR + 121 bps), 1/17/38 (144A) | 2,739,262 | ||||
2,531,250(a) | Ivy Hill Middle Market Credit Fund IX, Ltd., Series 9A, Class XRR, 6.612% (3 Month Term SOFR + 120 bps), 4/23/34 (144A) | 2,524,800 | ||||
7,000,000(a) | Ivy Hill Middle Market Credit Fund XII, Ltd., Series 12A, Class A1TR, 7.277% (3 Month Term SOFR + 186 bps), 7/20/33 (144A) | 6,917,036 | ||||
9,433,615(a) | JP Morgan Mortgage Trust, Series 2023-HE1, Class A1, 7.088% (SOFR30A + 175 bps), 11/25/53 (144A) | 9,475,023 | ||||
18,354,385(a) | JP Morgan Mortgage Trust, Series 2023-HE2, Class A1, 7.038% (SOFR30A + 170 bps), 3/25/54 (144A) | 18,422,791 | ||||
12,250,000(a) | JP Morgan Mortgage Trust, Series 2023-HE3, Class A1, 6.937% (SOFR30A + 160 bps), 5/25/54 | 12,250,000 | ||||
4,739 | JPMorgan Chase Bank N.A. - CACLN, Series 2020-2, Class B, 0.84%, 2/25/28 (144A) | 4,720 | ||||
1,013,876 | JPMorgan Chase Bank N.A. - CACLN, Series 2021-1, Class B, 0.875%, 9/25/28 (144A) | 995,652 | ||||
232,966 | JPMorgan Chase Bank N.A. - CACLN, Series 2021-1, Class C, 1.024%, 9/25/28 (144A) | 228,910 | ||||
225,306 | JPMorgan Chase Bank N.A. - CACLN, Series 2021-1, Class D, 1.174%, 9/25/28 (144A) | 221,317 | ||||
4,000,000 | JPMorgan Chase Bank N.A. - CACLN, Series 2021-1, Class F, 4.28%, 9/25/28 (144A) | 3,899,753 | ||||
1,404,669 | JPMorgan Chase Bank N.A. - CACLN, Series 2021-2, Class B, 0.889%, 12/26/28 (144A) | 1,373,140 | ||||
126,420 | JPMorgan Chase Bank N.A. - CACLN, Series 2021-2, Class C, 0.969%, 12/26/28 (144A) | 123,579 | ||||
249,719 | JPMorgan Chase Bank N.A. - CACLN, Series 2021-2, Class D, 1.138%, 12/26/28 (144A) | 243,925 | ||||
401,122 | JPMorgan Chase Bank N.A. - CACLN, Series 2021-3, Class B, 0.76%, 2/26/29 (144A) | 387,038 | ||||
10,620,297 | Kubota Credit Owner Trust, Series 2023-1A, Class A2, 5.40%, 2/17/26 (144A) | 10,611,692 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
3,305,767 | LAD Auto Receivables Trust, Series 2023-1A, Class A2, 5.68%, 10/15/26 (144A) | $ 3,301,929 | ||||
1,156,833(a) | Laurel Road Prime Student Loan Trust, Series 2017-C, Class A1, 6.02% (1 Month Term SOFR + 66 bps), 11/25/42 (144A) | 1,152,600 | ||||
25,000(a) | LCM 28, Ltd., Series 28A, Class X, 6.577% (3 Month Term SOFR + 116 bps), 10/20/30 (144A) | 24,999 | ||||
6,459,737(a) | LCM XVIII LP, Series 18A, Class A1R, 6.697% (3 Month Term SOFR + 128 bps), 4/20/31 (144A) | 6,450,822 | ||||
11,050,000 | Lendbuzz Securitization Trust, Series 2023-3A, Class A2, 7.50%, 12/15/28 (144A) | 11,201,663 | ||||
6,475,320 | Lendingpoint Asset Securitization Trust, Series 2022-C, Class A, 6.56%, 2/15/30 (144A) | 6,471,750 | ||||
6,287,587 | LendingPoint Asset Securitization Trust, Series 2020-REV1, Class B, 4.494%, 10/15/28 (144A) | 6,252,268 | ||||
692,505 | LendingPoint Pass-Through Trust, Series 2022-ST1, Class A, 2.50%, 3/15/28 (144A) | 673,613 | ||||
2,508,914 | LFS LLC, Series 2021-A, Class A, 2.46%, 4/15/33 (144A) | 2,425,753 | ||||
6,281,485 | LFS LLC, Series 2023-A, Class A, 7.173%, 7/15/35 (144A) | 6,294,359 | ||||
3,018,794 | Libra Solutions LLC, Series 2022-1A, Class A, 4.75%, 5/15/34 (144A) | 3,009,226 | ||||
7,331,860 | Libra Solutions LLC, Series 2023-1A, Class A, 7.00%, 2/15/35 (144A) | 7,324,200 | ||||
3,503,325 | Libra Solutions LLC, Series 2023-1A, Class B, 10.25%, 2/15/35 (144A) | 3,503,325 | ||||
5,004,718 | Lobel Automobile Receivables Trust, Series 2023-1, Class A, 6.97%, 7/15/26 (144A) | 5,014,101 | ||||
5,487,592 | Lobel Automobile Receivables Trust, Series 2023-2, Class A, 7.59%, 4/16/29 (144A) | 5,523,120 | ||||
1,377,434 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/46 (144A) | 1,187,858 | ||||
3,837,565(a) | Madison Park Funding XXX LTD, Series 2018-30A, Class A, 6.405% (3 Month Term SOFR + 101 bps), 4/15/29 (144A) | 3,823,473 | ||||
4,182,253(a) | Magnetite VII, Ltd., Series 2012-7A, Class A1R2, 6.455% (3 Month Term SOFR + 106 bps), 1/15/28 (144A) | 4,172,349 | ||||
5,000,000(a) | Magnetite XXXV, Ltd., Series 2022-35A, Class XR, 6.578% (3 Month Term SOFR + 120 bps), 10/25/36 (144A) | 4,999,705 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
500,000(a) | Marble Point Clo XXV, Ltd., Series 2022-2A, Class X, 6.903% (3 Month Term SOFR + 155 bps), 10/20/36 (144A) | $ 499,924 | ||||
332,335 | Marlette Funding Trust, Series 2022-2A, Class A, 4.25%, 8/15/32 (144A) | 331,822 | ||||
715,148 | Marlette Funding Trust, Series 2022-3A, Class A, 5.18%, 11/15/32 (144A) | 713,144 | ||||
12,165,469 | Marlette Funding Trust, Series 2023-2A, Class A, 6.04%, 6/15/33 (144A) | 12,147,323 | ||||
3,180,640 | Marlette Funding Trust, Series 2023-3A, Class A, 6.49%, 9/15/33 (144A) | 3,184,013 | ||||
7,441,571(a) | MCF CLO IX, Ltd., Series 2019-1A, Class A1R, 6.903% (3 Month Term SOFR + 150 bps), 7/17/31 (144A) | 7,401,312 | ||||
2,000,000(a) | MCF CLO IX, Ltd., Series 2019-1A, Class A2R, 7.153% (3 Month Term SOFR + 175 bps), 7/17/31 (144A) | 1,942,614 | ||||
6,930,000(a) | MCF CLO IX, Ltd., Series 2019-1A, Class CR, 8.103% (3 Month Term SOFR + 270 bps), 7/17/31 (144A) | 6,702,731 | ||||
2,500,000(a) | MCF CLO VII LLC, Series 2017-3A, Class ER, 14.827% (3 Month Term SOFR + 941 bps), 7/20/33 (144A) | 2,389,223 | ||||
4,401,373(a) | MCF CLO VIII, Ltd., Series 2018-1A, Class A2AR, 8.057% (3 Month Term SOFR + 266 bps), 7/18/30 (144A) | 4,395,876 | ||||
12,000,000 | Merchants Fleet Funding LLC, Series 2023-1A, Class A, 7.21%, 5/20/36 (144A) | 12,125,494 | ||||
10,000,000 | Mercury Financial Credit Card Master Trust, Series 2022-1A, Class A, 2.50%, 9/21/26 (144A) | 9,725,773 | ||||
7,000,000 | Mercury Financial Credit Card Master Trust, Series 2022-1A, Class B, 3.20%, 9/21/26 (144A) | 6,625,903 | ||||
3,000,000 | Mercury Financial Credit Card Master Trust, Series 2022-2A, Class C, 10.83%, 3/22/27 (144A) | 2,967,567 | ||||
12,000,000 | Mercury Financial Credit Card Master Trust, Series 2023-1A, Class A, 8.04%, 9/20/27 (144A) | 12,131,198 | ||||
4,601,848(a) | MF1, Ltd., Series 2020-FL4, Class A, 7.176% (1 Month Term SOFR + 181 bps), 11/15/35 (144A) | 4,602,169 | ||||
9,000,000(a) | MF1, Ltd., Series 2021-FL6, Class E, 8.423% (1 Month Term SOFR + 306 bps), 7/16/36 (144A) | 8,323,371 | ||||
1,525,000(a) | MF1, Ltd., Series 2021-FL7, Class D, 8.023% (1 Month Term SOFR + 266 bps), 10/16/36 (144A) | 1,420,037 | ||||
3,300,000(a) | MF1, Ltd., Series 2021-FL7, Class E, 8.273% (1 Month Term SOFR + 291 bps), 10/16/36 (144A) | 3,003,792 | ||||
8,290,000(a) | MidOcean Credit CLO XI, Ltd., Series 2022-11A, Class A1R, 7.096% (3 Month Term SOFR + 173 bps), 10/18/33 (144A) | 8,285,217 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
9,500,000 | Mission Lane Credit Card Master Trust, Series 2023-A, Class A, 7.23%, 7/17/28 (144A) | $ 9,509,518 | ||||
2,500,000 | Mission Lane Credit Card Master Trust, Series 2023-A, Class C, 10.03%, 7/17/28 (144A) | 2,521,674 | ||||
7,590,000 | Mission Lane Credit Card Master Trust, Series 2023-B, Class A, 7.69%, 11/15/28 (144A) | 7,669,029 | ||||
3,272,242(a) | MJX Venture Management II LLC, Series 2014-18RR, Class A, 6.875% (3 Month USD LIBOR + 122 bps), 10/16/29 (144A) | 3,271,349 | ||||
1,000,000(a) | Monroe Capital MML CLO VII, Ltd., Series 2018-2A, Class C, 8.633% (3 Month Term SOFR + 326 bps), 11/22/30 (144A) | 981,783 | ||||
1,100,000(a) | Monroe Capital MML CLO VII, Ltd., Series 2018-2A, Class D, 9.683% (3 Month Term SOFR + 431 bps), 11/22/30 (144A) | 1,034,481 | ||||
77,682(a) | Morgan Stanley Home Equity Loan Trust, Series 2006-2, Class A4, 6.03% (1 Month Term SOFR + 67 bps), 2/25/36 | 76,645 | ||||
1,000,000(a) | Mountain View CLO XVII, Ltd., Series 2023-1A, Class X, 7.13% (3 Month Term SOFR + 170 bps), 9/14/36 (144A) | 999,510 | ||||
1,557,794 | MVW LLC, Series 2021-1WA, Class A, 1.14%, 1/22/41 (144A) | 1,430,949 | ||||
749,653 | MVW Owner Trust, Series 2019-1A, Class A, 2.89%, 11/20/36 (144A) | 722,284 | ||||
1,155,356(a) | National Collegiate Trust, Series 2007-A, Class A, 5.765% (1 Month USD LIBOR + 30 bps), 5/25/31 (144A) | 1,119,900 | ||||
718,351 | Navient Private Education Refi Loan Trust, Series 2021-CA, Class A, 1.06%, 10/15/69 (144A) | 622,638 | ||||
3,146,371(a) | Navient Student Loan Trust, Series 2021-1A, Class A1B, 6.052% (SOFR30A + 71 bps), 12/26/69 (144A) | 3,092,551 | ||||
3,504,672(a) | Nelnet Student Loan Trust, Series 2005-2, Class A5, 5.714% (SOFR90A + 36 bps), 3/23/37 | 3,440,083 | ||||
820,434 | Nelnet Student Loan Trust, Series 2021-A, Class APT2, 1.36%, 4/20/62 (144A) | 742,771 | ||||
4,192,820(a) | Nelnet Student Loan Trust, Series 2021-DA, Class AFL, 6.162% (1 Month Term SOFR + 80 bps), 4/20/62 (144A) | 4,123,776 | ||||
2,500,000(a) | Neuberger Berman CLO XXI, Ltd., Series 2016-21A, Class XR2, 6.577% (3 Month Term SOFR + 116 bps), 4/20/34 (144A) | 2,498,955 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
5,700,000(a) | Newday Funding Master Issuer Plc, Series 2023-1A, Class A2, 7.072% (SOFR + 175 bps), 11/15/31 (144A) | $ 5,684,473 | ||||
1,507,510(a) | Newtek Small Business Loan Trust, Series 2018-1, Class A, 7.95% (PRIME - 55 bps), 2/25/44 (144A) | 1,494,297 | ||||
1,507,510(a) | Newtek Small Business Loan Trust, Series 2018-1, Class B, 9.25% (PRIME + 75 bps), 2/25/44 (144A) | 1,497,598 | ||||
3,113,369(a) | Newtek Small Business Loan Trust, Series 2019-1, Class A, 7.60% (PRIME - 90 bps), 12/25/44 (144A) | 3,079,385 | ||||
664,185(a) | Newtek Small Business Loan Trust, Series 2019-1, Class B, 8.75% (PRIME + 25 bps), 12/25/44 (144A) | 654,631 | ||||
2,932,210(a) | Newtek Small Business Loan Trust, Series 2021-1, Class A, 8.25% (PRIME - 25 bps), 12/25/48 (144A) | 2,880,809 | ||||
4,062,003(a) | Newtek Small Business Loan Trust, Series 2023-1, Class A, 8.00% (PRIME - 50 bps), 7/25/50 (144A) | 4,045,325 | ||||
151,124 | NMEF Funding LLC, Series 2021-A, Class B, 1.85%, 12/15/27 (144A) | 149,496 | ||||
3,807,000 | NMEF Funding LLC, Series 2021-A, Class D, 5.78%, 12/15/27 (144A) | 3,745,008 | ||||
7,000,000 | NMEF Funding LLC, Series 2023-A, Class A2, 6.57%, 6/17/30 (144A) | 7,068,836 | ||||
85,702(a) | NovaStar Mortgage Funding Trust, Series 2003-1, Class A2, 4.121% (1 Month Term SOFR + 89 bps), 5/25/33 | 82,505 | ||||
1,698,952 | Oasis Securitization Funding LLC, Series 2021-2A, Class A, 2.143%, 10/15/33 (144A) | 1,683,814 | ||||
837,175 | Oasis Securitization Funding LLC, Series 2021-2A, Class B, 5.147%, 10/15/33 (144A) | 827,470 | ||||
1,500,000(a) | Ocean Trails CLO XII, Ltd., Series 2022-12A, Class E, 13.526% (3 Month Term SOFR + 811 bps), 7/20/35 (144A) | 1,420,287 | ||||
1,286,905 | Octane Receivables Trust, Series 2021-1A, Class A, 0.93%, 3/22/27 (144A) | 1,267,526 | ||||
2,750,000 | Octane Receivables Trust, Series 2021-1A, Class C, 2.23%, 11/20/28 (144A) | 2,596,654 | ||||
322,587 | Octane Receivables Trust, Series 2021-2A, Class A, 1.21%, 9/20/28 (144A) | 314,023 | ||||
40,516 | Octane Receivables Trust, Series 2022-1A, Class A2, 4.18%, 3/20/28 (144A) | 40,051 | ||||
2,813,000 | Octane Receivables Trust, Series 2022-1A, Class D, 5.54%, 2/20/29 (144A) | 2,726,087 | ||||
2,924,136 | Octane Receivables Trust, Series 2023-1A, Class A, 5.87%, 5/21/29 (144A) | 2,929,791 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
9,316,023 | Octane Receivables Trust, Series 2023-2A, Class A2, 5.88%, 6/20/31 (144A) | $ 9,333,942 | ||||
8,000,000 | Octane Receivables Trust, Series 2023-3A, Class A2, 6.44%, 3/20/29 (144A) | 8,083,290 | ||||
526,070 | Oportun Funding LLC, Series 2022-1, Class A, 3.25%, 6/15/29 (144A) | 524,165 | ||||
3,313,148 | Oportun Funding XIV LLC, Series 2021-A, Class B, 1.76%, 3/8/28 (144A) | 3,154,991 | ||||
1,656,574 | Oportun Funding XIV LLC, Series 2021-A, Class D, 5.40%, 3/8/28 (144A) | 1,546,222 | ||||
10,000,000 | Oportun Issuance Trust, Series 2021-C, Class A, 2.18%, 10/8/31 (144A) | 9,227,281 | ||||
203,769 | Oscar US Funding X LLC, Series 2019-1A, Class A4, 3.27%, 5/10/26 (144A) | 203,232 | ||||
4,000,000(a) | OSD CLO, Ltd., Series 2021-23A, Class D, 8.614% (3 Month Term SOFR + 321 bps), 4/17/31 (144A) | 3,941,324 | ||||
5,000,000(a) | Owl Rock CLO I LLC, Series 2019-1A, Class B, 8.329% (3 Month Term SOFR + 296 bps), 5/20/31 (144A) | 4,975,000 | ||||
11,000,000(a) | Owl Rock CLO II, Ltd., Series 2019-2A, Class ALR, 7.227% (3 Month Term SOFR + 181 bps), 4/20/33 (144A) | 10,831,953 | ||||
2,600,000(a) | Owl Rock CLO IV, Ltd., Series 2020-4A, Class A1R, 7.229% (3 Month Term SOFR + 186 bps), 8/20/33 (144A) | 2,549,149 | ||||
5,540,000 | Oxford Finance Funding LLC, Series 2022-1A, Class B, 4.096%, 2/15/30 (144A) | 5,203,202 | ||||
46,447 | Pagaya AI Debt Selection Trust, Series 2021-5, Class A, 1.53%, 8/15/29 (144A) | 46,238 | ||||
6,674,142 | Pagaya AI Debt Trust, Series 2022-1, Class A, 2.03%, 10/15/29 (144A) | 6,572,978 | ||||
8,424,157 | Pagaya AI Debt Trust, Series 2022-5, Class A, 8.096%, 6/17/30 (144A) | 8,539,156 | ||||
15,423,861 | Pagaya AI Debt Trust, Series 2023-1, Class A, 7.556%, 7/15/30 (144A) | 15,490,319 | ||||
19,429,877 | Pagaya AI Debt Trust, Series 2023-3, Class A, 7.60%, 12/16/30 (144A) | 19,538,467 | ||||
8,217,166 | Pagaya AI Debt Trust, Series 2023-5, Class A, 7.179%, 4/15/31 (144A) | 8,240,835 | ||||
2,569,834(c) | Pagaya AI Debt Trust, Series 2023-5, Class AB, 7.286%, 4/15/31 (144A) | 2,578,505 | ||||
2,249,981 | Pagaya AI Debt Trust, Series 2023-5, Class B, 7.625%, 4/15/31 (144A) | 2,270,178 | ||||
15,000,000 | Pagaya AI Debt Trust, Series 2023-7, Class B, 7.549%, 7/15/31 (144A) | 15,125,130 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
2,000,000(a) | Palmer Square CLO, Ltd., Series 2020-3A, Class X, 6.575% (3 Month Term SOFR + 120 bps), 11/15/36 (144A) | $ 2,000,000 | ||||
4,000,000(a) | Palmer Square Loan Funding, Ltd., Series 2020-4A, Class C, 9.241% (3 Month Term SOFR + 386 bps), 11/25/28 (144A) | 3,981,524 | ||||
1,250,000(a) | Palmer Square Loan Funding, Ltd., Series 2021-2A, Class D, 10.629% (3 Month Term SOFR + 526 bps), 5/20/29 (144A) | 1,241,034 | ||||
13,583,596(a) | Palmer Square Loan Funding, Ltd., Series 2022-1A, Class A1, 6.444% (3 Month Term SOFR + 105 bps), 4/15/30 (144A) | 13,532,196 | ||||
3,250,000 | Pawneee Equipment Receivables Series LLC, Series 2021-1, Class D, 2.75%, 7/15/27 (144A) | 3,018,942 | ||||
2,349,618 | PEAR LLC, Series 2021-1, Class A, 2.60%, 1/15/34 (144A) | 2,257,481 | ||||
3,000,000 | PEAR LLC, Series 2021-1, Class B, 0.000%, 1/15/34 (144A) | 2,161,140 | ||||
4,971,354 | PEAR LLC, Series 2023-1, Class A, 7.42%, 7/15/35 (144A) | 4,996,450 | ||||
2,500,000 | PFS Financing Corp., Series 2021-A, Class A, 0.71%, 4/15/26 (144A) | 2,461,528 | ||||
5,574,213 | Prestige Auto Receivables Trust, Series 2023-1A, Class A2, 5.88%, 3/16/26 (144A) | 5,570,901 | ||||
3,129,349(a) | Prodigy Finance CMDAC, Series 2021-1A, Class A, 6.72% (1 Month Term SOFR + 136 bps), 7/25/51 (144A) | 3,102,401 | ||||
1,027,474 | Prosper Marketplace Issuance Trust, Series 2023-1A, Class A, 7.06%, 7/16/29 (144A) | 1,032,148 | ||||
4,860,000 | Purchasing Power Funding LLC, Series 2021-A, Class C, 2.53%, 10/15/25 (144A) | 4,851,461 | ||||
2,310,000 | Purchasing Power Funding LLC, Series 2021-A, Class D, 4.37%, 10/15/25 (144A) | 2,274,345 | ||||
10,994,140 | Reach ABS Trust, Series 2023-1A, Class A, 7.05%, 2/18/31 (144A) | 11,024,026 | ||||
568,079 | Reach Financial LLC, Series 2022-1A, Class A, 3.76%, 11/15/29 (144A) | 564,888 | ||||
4,198,982(a) | ReadyCap Lending Small Business Loan Trust, Series 2019-2, Class A, 8.00% (PRIME - 50 bps), 12/27/44 (144A) | 4,135,253 | ||||
11,302,991(a) | ReadyCap Lending Small Business Loan Trust, Series 2023-3, Class A, 8.57% (PRIME + 7 bps), 4/25/48 (144A) | 11,358,885 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
1,807,058(a) | Regatta VI Funding, Ltd., Series 2016-1A, Class XR, 6.477% (3 Month Term SOFR + 106 bps), 4/20/34 (144A) | $ 1,806,373 | ||||
2,647,059(a) | Regatta VII Funding, Ltd., Series 2016-1A, Class X, 6.482% (3 Month Term SOFR + 111 bps), 6/20/34 (144A) | 2,636,415 | ||||
3,250,000(a) | Regatta XXIII Funding, Ltd., Series 2021-4A, Class X, 6.627% (3 Month Term SOFR + 121 bps), 1/20/35 (144A) | 3,249,838 | ||||
835,190 | Republic Finance Issuance Trust, Series 2020-A, Class A, 2.47%, 11/20/30 (144A) | 819,874 | ||||
11,060,000 | Research-Driven Pagaya Motor Asset Trust, Series 2023-4A, Class A, 7.54%, 3/25/32 (144A) | 11,120,757 | ||||
925,205(c) | RMF Buyout Issuance Trust, Series 2021-HB1, Class A, 1.259%, 11/25/31 (144A) | 890,440 | ||||
1,283,733(a) | Rockford Tower CLO, Ltd., Series 2018-1A, Class A, 6.729% (3 Month Term SOFR + 136 bps), 5/20/31 (144A) | 1,283,025 | ||||
7,500,000(a) | Rosy Blue Carat SCS, Series 2018-1, Class A2R, 0.000% (1 Month Term SOFR + 411 bps), 3/15/30 (144A) | 7,605,750 | ||||
10,722,076 | Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class B, 5.281%, 5/15/32 (144A) | 10,630,742 | ||||
3,627,351 | Santander Bank Auto Credit-Linked Notes, Series 2022-B, Class B, 5.721%, 8/16/32 (144A) | 3,614,181 | ||||
2,539,146 | Santander Bank Auto Credit-Linked Notes, Series 2022-B, Class D, 6.793%, 8/16/32 (144A) | 2,537,295 | ||||
915,721 | Santander Bank NA - SBCLN, Series 2021-1A, Class B, 1.833%, 12/15/31 (144A) | 892,124 | ||||
294,879 | Santander Consumer Auto Receivables Trust, Series 2021-BA, Class B, 1.45%, 10/16/28 (144A) | 293,398 | ||||
929,894 | Santander Consumer Auto Receivables Trust, Series 2021-CA, Class C, 2.97%, 6/15/28 (144A) | 903,128 | ||||
2,500,000 | Santander Drive Auto Receivables Trust, Series 2022-2, Class B, 3.44%, 9/15/27 | 2,452,586 | ||||
1,341,363 | Santander Drive Auto Receivables Trust, Series 2022-4, Class A3, 4.14%, 2/16/27 | 1,332,012 | ||||
5,500,000 | Santander Drive Auto Receivables Trust, Series 2023-5, Class A2, 6.31%, 7/15/27 | 5,520,329 | ||||
359,104 | SCF Equipment Leasing LLC, Series 2021-1A, Class A3, 0.83%, 8/21/28 (144A) | 353,860 | ||||
354,535 | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class A, 0.99%, 11/20/37 (144A) | 334,077 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
1,600,000(a) | Silver Rock CLO II, Ltd., Series 2021-2A, Class X, 6.727% (3 Month Term SOFR + 131 bps), 1/20/35 (144A) | $ 1,599,442 | ||||
3,453,239(a) | SLM Private Credit Student Loan Trust, Series 2007-A, Class A4A, 5.886% (3 Month Term SOFR + 50 bps), 12/16/41 | 3,354,303 | ||||
2,348,015(a) | SMB Private Education Loan Trust, Series 2018-B, Class A2B, 6.196% (1 Month Term SOFR + 83 bps), 1/15/37 (144A) | 2,324,161 | ||||
5,082,636(a) | SMB Private Education Loan Trust, Series 2023-B, Class A1B, 7.138% (SOFR30A + 180 bps), 10/16/56 (144A) | 5,145,716 | ||||
6,957,851(a) | SMB Private Education Loan Trust, Series 2023-C, Class A1B, 6.888% (SOFR30A + 155 bps), 11/15/52 (144A) | 6,962,817 | ||||
524,600 | SoFi Consumer Loan Program Trust, Series 2023-1S, Class A, 5.81%, 5/15/31 (144A) | 524,254 | ||||
3,000,000(a) | Sound Point CLO XVI, Ltd., Series 2017-2A, Class D, 9.24% (3 Month Term SOFR + 386 bps), 7/25/30 (144A) | 2,932,446 | ||||
1,724,772 | SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.97%, 9/25/37 (144A) | 1,591,010 | ||||
4,739,695(a) | STAR Trust, Series 2021-SFR2, Class A, 6.426% (1 Month Term SOFR + 106 bps), 1/17/24 (144A) | 4,714,976 | ||||
6,250,000(a) | STAR Trust, Series 2021-SFR2, Class E, 7.476% (1 Month Term SOFR + 211 bps), 1/17/24 (144A) | 5,928,896 | ||||
1,947,784 | Stonepeak ABS, Series 2021-1A, Class AA, 2.301%, 2/28/33 (144A) | 1,807,165 | ||||
8,983,838(a) | STWD, Ltd., Series 2021-FL2, Class A, 6.673% (1 Month Term SOFR + 131 bps), 4/18/38 (144A) | 8,781,356 | ||||
6,000,000(a) | STWD, Ltd., Series 2021-SIF1, Class A, 7.155% (3 Month Term SOFR + 176 bps), 4/15/32 (144A) | 5,980,932 | ||||
3,320,000(a) | STWD, Ltd., Series 2021-SIF1, Class C, 8.005% (3 Month Term SOFR + 261 bps), 4/15/32 (144A) | 3,284,237 | ||||
12,000,000(a) | STWD, Ltd., Series 2021-SIF2A, Class A1, 6.944% (3 Month Term SOFR + 155 bps), 1/15/33 (144A) | 11,959,684 | ||||
6,000,000(a) | STWD, Ltd., Series 2021-SIF2A, Class D, 9.244% (3 Month Term SOFR + 385 bps), 1/15/33 (144A) | 5,990,481 | ||||
1,908,573(a) | Symphony CLO XIX, Ltd., Series 2018-19A, Class A, 6.615% (3 Month Term SOFR + 122 bps), 4/16/31 (144A) | 1,905,723 | ||||
43,147 | Theorem Funding Trust, Series 2022-1A, Class A, 1.85%, 2/15/28 (144A) | 43,070 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
2,750,000(a) | THL Credit Wind River CLO, Ltd., Series 2019-1A, Class XR, 6.627% (3 Month Term SOFR + 121 bps), 7/20/34 (144A) | $ 2,748,757 | ||||
2,750,000 | Tidewater Auto Receivables Trust, Series 2020-AA, Class E, 3.35%, 7/17/28 (144A) | 2,641,708 | ||||
751,378(a) | Towd Point Asset Trust, Series 2018-SL1, Class A, 6.07% (1 Month Term SOFR + 71 bps), 1/25/46 (144A) | 749,989 | ||||
11,000,000(a) | Towd Point Asset Trust, Series 2018-SL1, Class B, 6.52% (1 Month Term SOFR + 116 bps), 1/25/46 (144A) | 10,808,274 | ||||
11,500,000(a) | Trafigura Securitisation Finance Plc, Series 2021-1A, Class A1, 6.006% (1 Month Term SOFR + 64 bps), 1/15/25 (144A) | 11,384,828 | ||||
2,280,000 | Trafigura Securitisation Finance Plc, Series 2021-1A, Class A2, 1.08%, 1/15/25 (144A) | 2,193,782 | ||||
2,000,000 | Trafigura Securitisation Finance Plc, Series 2021-1A, Class B, 1.78%, 1/15/25 (144A) | 1,873,614 | ||||
3,250,000 | Tricolor Auto Securitization Trust, Series 2021-1A, Class E, 3.23%, 9/15/26 (144A) | 3,208,998 | ||||
5,000,000 | Tricolor Auto Securitization Trust, Series 2022-1A, Class E, 7.79%, 8/16/27 (144A) | 4,830,976 | ||||
3,519,167 | Tricolor Auto Securitization Trust, Series 2023-1A, Class A, 6.48%, 8/17/26 (144A) | 3,516,576 | ||||
3,795,000(a) | Trinitas CLO XI, Ltd., Series 2019-11A, Class X, 6.585% (3 Month Term SOFR + 119 bps), 7/15/34 (144A) | 3,772,909 | ||||
861,033 | TVEST LLC, Series 2021-A, Class A, 2.35%, 9/15/33 (144A) | 853,549 | ||||
4,700,000 | United Auto Credit Securitization Trust, Series 2021-1, Class F, 4.30%, 9/10/27 (144A) | 4,568,863 | ||||
2,373,170 | United Auto Credit Securitization Trust, Series 2022-2, Class B, 5.41%, 12/10/25 (144A) | 2,370,024 | ||||
368,964 | United Auto Credit Securitization Trust, Series 2023-1, Class A, 5.57%, 7/10/25 (144A) | 368,753 | ||||
15,200 | Upstart Pass-Through Trust, Series 2020-ST2, Class A, 3.50%, 3/20/28 (144A) | 15,062 | ||||
365,531 | Upstart Pass-Through Trust, Series 2021-ST4, Class A, 2.00%, 7/20/27 (144A) | 348,515 | ||||
1,508,882 | Upstart Pass-Through Trust, Series 2021-ST5, Class A, 2.00%, 7/20/27 (144A) | 1,461,510 | ||||
2,582,478 | Upstart Pass-Through Trust, Series 2022-ST2, Class A, 3.80%, 4/20/30 (144A) | 2,512,914 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
633,726 | Upstart Securitization Trust, Series 2021-5, Class A, 1.31%, 11/20/31 (144A) | $ 629,247 | ||||
1,750,000 | US Bank NA, Series 2023-1, Class B, 6.789%, 8/25/32 (144A) | 1,757,303 | ||||
4,900,000 | Verdant Receivables LLC, Series 2023-1A, Class A2, 6.24%, 1/13/31 (144A) | 4,922,343 | ||||
2,000,000 | Veros Auto Receivables Trust, Series 2021-1, Class C, 3.64%, 8/15/28 (144A) | 1,917,608 | ||||
9,600,000 | Veros Auto Receivables Trust, Series 2022-1, Class C, 5.03%, 8/16/27 (144A) | 9,383,836 | ||||
3,955,136 | Veros Auto Receivables Trust, Series 2023-1, Class A, 7.12%, 11/15/28 (144A) | 3,970,360 | ||||
3,000,000 | Veros Auto Receivables Trust, Series 2023-1, Class C, 8.32%, 11/15/28 (144A) | 2,992,263 | ||||
1,432,982 | VFI ABS LLC, Series 2022-1A, Class A, 2.23%, 3/24/28 (144A) | 1,406,880 | ||||
11,761,471 | VFI ABS LLC, Series 2023-1A, Class A, 7.27%, 3/26/29 (144A) | 11,833,899 | ||||
2,199,591(a) | Voya CLO, Ltd., Series 2018-1A, Class A1, 6.608% (3 Month Term SOFR + 121 bps), 4/19/31 (144A) | 2,193,925 | ||||
328,012 | Westgate Resorts LLC, Series 2020-1A, Class A, 2.713%, 3/20/34 (144A) | 323,885 | ||||
393,614 | Westgate Resorts LLC, Series 2020-1A, Class C, 6.213%, 3/20/34 (144A) | 390,258 | ||||
3,428,126 | Westgate Resorts LLC, Series 2022-1A, Class C, 2.488%, 8/20/36 (144A) | 3,259,106 | ||||
4,400,687 | Westgate Resorts LLC, Series 2023-1A, Class C, 7.49%, 12/20/37 (144A) | 4,381,536 | ||||
5,186,296(a) | Westlake Automobile Receivables Trust, Series 2023-1A, Class A2B, 6.188% (SOFR30A + 85 bps), 6/15/26 (144A) | 5,189,875 | ||||
6,817,960(a) | Westlake Automobile Receivables Trust, Series 2023-2A, Class A2B, 6.088% (SOFR30A + 75 bps), 7/15/26 (144A) | 6,821,577 | ||||
6,583,458 | Willis Engine Structured Trust VI, Series 2021-A, Class B, 5.438%, 5/15/46 (144A) | 5,053,173 | ||||
4,150(a) | Wilshire Mortgage Loan Trust, Series 1997-2, Class A6, 5.75% (1 Month Term SOFR + 39 bps), 5/25/28 | 4,136 | ||||
5,000,000(a) | Woodmont Trust, Series 2020-7A, Class A1A, 7.555% (3 Month Term SOFR + 216 bps), 1/15/32 (144A) | 4,985,125 | ||||
10,888,035(a) | Woodmont Trust, Series 2023-12A, Class A1A, 7.878% (3 Month Term SOFR + 250 bps), 7/25/31 (144A) | 10,874,490 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
3,797,529(a) | World Omni Select Auto Trust, Series 2023-A, Class A2B, 6.188% (SOFR30A + 85 bps), 3/15/27 | $ 3,800,866 | ||||
6,500,000(a) | Z Capital Credit Partners CLO, Ltd., Series 2019-1A, Class BR, 7.655% (3 Month Term SOFR + 226 bps), 7/16/31 (144A) | 6,467,162 | ||||
6,000,000(a) | Z Capital Credit Partners CLO, Ltd., Series 2019-1A, Class DR, 10.655% (3 Month Term SOFR + 526 bps), 7/16/31 (144A) | 5,794,788 | ||||
Total Asset Backed Securities (Cost $1,637,109,817) | $1,620,383,736 | |||||
Collateralized Mortgage Obligations—9.5% of Net Assets | ||||||
24,643(c) | Bear Stearns Mortgage Securities, Inc., Series 1997-6, Class 3B1, 4.844%, 6/25/30 | $ 24,547 | ||||
2,836,025(a) | Bellemeade Re, Ltd., Series 2019-1A, Class M2, 8.17% (1 Month Term SOFR + 281 bps), 3/25/29 (144A) | 2,854,721 | ||||
2,800,000(a) | Bellemeade Re, Ltd., Series 2019-3A, Class B1, 7.97% (1 Month Term SOFR + 261 bps), 7/25/29 (144A) | 2,809,668 | ||||
6,613,208(a) | Bellemeade Re, Ltd., Series 2021-3A, Class A2, 6.337% (SOFR30A + 100 bps), 9/25/31 (144A) | 6,565,811 | ||||
15,000,000(a) | Bellemeade Re, Ltd., Series 2021-3A, Class M1C, 6.887% (SOFR30A + 155 bps), 9/25/31 (144A) | 14,846,822 | ||||
15,964,000(a) | Bellemeade Re, Ltd., Series 2022-1, Class M1C, 9.037% (SOFR30A + 370 bps), 1/26/32 (144A) | 16,173,117 | ||||
466,287(c) | BRAVO Residential Funding Trust, Series 2021-NQM2, Class A2, 1.28%, 3/25/60 (144A) | 430,079 | ||||
32,273(c) | Cascade Funding Mortgage Trust, Series 2019-RM3, Class A, 2.80%, 6/25/69 (144A) | 31,452 | ||||
2,112,093(c) | CFMT LLC, Series 2022-HB8, Class A, 3.75%, 4/25/25 (144A) | 2,071,414 | ||||
8,000,000(c) | CFMT LLC, Series 2022-HB8, Class M3, 3.75%, 4/25/25 (144A) | 6,944,400 | ||||
7,345,382(a) | Chase Mortgage Finance Corp., Series 2021-CL1, Class M1, 6.537% (SOFR30A + 120 bps), 2/25/50 (144A) | 7,093,113 | ||||
1,901,158(a) | Chase Mortgage Finance Corp., Series 2021-CL1, Class M2, 6.687% (SOFR30A + 135 bps), 2/25/50 (144A) | 1,815,828 | ||||
1,094,606(a) | Chase Mortgage Finance Corp., Series 2021-CL1, Class M3, 6.887% (SOFR30A + 155 bps), 2/25/50 (144A) | 1,013,697 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
10,579,662(a) | Connecticut Avenue Securities Trust, Series 2019-HRP1, Class M2, 7.602% (SOFR30A + 226 bps), 11/25/39 (144A) | $ 10,671,339 | ||||
498,860(a) | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M1, 6.187% (SOFR30A + 85 bps), 12/25/41 (144A) | 497,215 | ||||
9,029,682(a) | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M1, 6.337% (SOFR30A + 100 bps), 12/25/41 (144A) | 9,005,969 | ||||
2,515,000(a) | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M2, 7.237% (SOFR30A + 190 bps), 12/25/41 (144A) | 2,518,925 | ||||
5,191,638(a) | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M1, 6.537% (SOFR30A + 120 bps), 1/25/42 (144A) | 5,174,194 | ||||
9,190,000(a) | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2, 8.337% (SOFR30A + 300 bps), 1/25/42 (144A) | 9,313,246 | ||||
6,868,130(a) | Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M1, 7.337% (SOFR30A + 200 bps), 3/25/42 (144A) | 6,932,930 | ||||
2,645,654(a) | Connecticut Avenue Securities Trust, Series 2022-R09, Class 2M1, 7.837% (SOFR30A + 250 bps), 9/25/42 (144A) | 2,691,660 | ||||
8,346,987(a) | Connecticut Avenue Securities Trust, Series 2023-R01, Class 1M1, 7.737% (SOFR30A + 240 bps), 12/25/42 (144A) | 8,507,248 | ||||
4,119,252(a) | Connecticut Avenue Securities Trust, Series 2023-R02, Class 1M1, 7.637% (SOFR30A + 230 bps), 1/25/43 (144A) | 4,217,042 | ||||
3,271,531(a) | Connecticut Avenue Securities Trust, Series 2023-R03, Class 2M1, 7.837% (SOFR30A + 250 bps), 4/25/43 (144A) | 3,322,861 | ||||
5,023,957(a) | Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M1, 7.037% (SOFR30A + 170 bps), 7/25/43 (144A) | 5,044,603 | ||||
771,838(a) | Eagle Re, Ltd., Series 2020-1, Class M1B, 6.92% (1 Month Term SOFR + 156 bps), 1/25/30 (144A) | 771,601 | ||||
3,360,000(a) | Eagle Re, Ltd., Series 2021-2, Class M1C, 8.787% (SOFR30A + 345 bps), 4/25/34 (144A) | 3,434,486 | ||||
6,860,000(a) | Eagle Re, Ltd., Series 2023-1, Class M1A, 7.337% (SOFR30A + 200 bps), 9/26/33 (144A) | 6,874,108 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
6,770,000(a) | Eagle Re, Ltd., Series 2023-1, Class M1B, 9.287% (SOFR30A + 395 bps), 9/26/33 (144A) | $ 6,802,220 | ||||
7,265,334(a) | Fannie Mae Connecticut Avenue Securities, Series 2017-C04, Class 2M2C, 8.302% (SOFR30A + 296 bps), 11/25/29 | 7,515,833 | ||||
2,597,000(a) | Fannie Mae Connecticut Avenue Securities, Series 2017-C06, Class 2M2C, 8.252% (SOFR30A + 291 bps), 2/25/30 | 2,680,528 | ||||
1,263,613(a) | Fannie Mae Connecticut Avenue Securities, Series 2018-C01, Class 1EB1, 5.902% (SOFR30A + 56 bps), 7/25/30 | 1,264,503 | ||||
2,932,475(a) | Fannie Mae Connecticut Avenue Securities, Series 2018-C04, Class 2M2, 8.002% (SOFR30A + 266 bps), 12/25/30 | 3,011,396 | ||||
887,247(a) | Fannie Mae Trust, Series 2003-W6, Class F, 5.802% (SOFR30A + 46 bps), 9/25/42 | 885,531 | ||||
310,548(a) | Fannie Mae Trust, Series 2005-W3, Class 2AF, 5.672% (SOFR30A + 33 bps), 3/25/45 | 307,456 | ||||
26,813(c) | Fannie Mae Trust, Series 2005-W3, Class 3A, 4.17%, 4/25/45 | 25,775 | ||||
30,759(c) | Fannie Mae Trust, Series 2005-W4, Class 3A, 3.937%, 6/25/45 | 29,929 | ||||
283,229(a) | Fannie Mae Whole Loan, Series 2007-W1, Class 1AF1, 5.712% (SOFR30A + 37 bps), 11/25/46 | 280,341 | ||||
2,869(a) | Federal Home Loan Mortgage Corp. REMICs, Series 1695, Class EG, 6.503% (SOFR30A + 116 bps), 3/15/24 | 2,871 | ||||
59,176(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2106, Class F, 5.903% (SOFR30A + 56 bps), 12/15/28 | 59,058 | ||||
32,064(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2122, Class FD, 5.803% (SOFR30A + 46 bps), 2/15/29 | 31,951 | ||||
5,650(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2156, Class FQ, 5.803% (SOFR30A + 46 bps), 5/15/29 | 5,647 | ||||
52,637(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2186, Class FY, 6.053% (SOFR30A + 71 bps), 4/15/28 | 52,747 | ||||
17,004(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2368, Class AF, 6.403% (SOFR30A + 106 bps), 10/15/31 | 17,189 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
18,371(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2377, Class FE, 6.053% (SOFR30A + 71 bps), 11/15/31 | $ 18,381 | ||||
46,635(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2411, Class FR, 6.053% (SOFR30A + 71 bps), 6/15/31 | 46,664 | ||||
41,734(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2432, Class FH, 6.153% (SOFR30A + 81 bps), 3/15/32 | 42,000 | ||||
109,123(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2439, Class F, 6.453% (SOFR30A + 111 bps), 3/15/32 | 110,748 | ||||
147,410(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2470, Class AF, 6.453% (SOFR30A + 111 bps), 3/15/32 | 149,543 | ||||
92,196(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2471, Class FD, 6.453% (SOFR30A + 111 bps), 3/15/32 | 93,569 | ||||
29,069(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2498, Class FQ, 6.053% (SOFR30A + 71 bps), 9/15/32 | 29,079 | ||||
28,451(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2543, Class EF, 5.803% (SOFR30A + 46 bps), 12/15/32 | 28,316 | ||||
166,039(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2551, Class FD, 5.853% (SOFR30A + 51 bps), 1/15/33 | 165,918 | ||||
102,594(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2567, Class FJ, 5.853% (SOFR30A + 51 bps), 2/15/33 | 102,320 | ||||
45,146(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2577, Class FA, 6.003% (SOFR30A + 66 bps), 2/15/33 | 45,101 | ||||
3,795(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2585, Class FD, 5.953% (SOFR30A + 61 bps), 12/15/32 | 3,785 | ||||
54,107(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2614, Class FV, 6.945% (SOFR30A + 161 bps), 5/15/33 | 54,534 | ||||
79,308(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2631, Class FC, 5.853% (SOFR30A + 51 bps), 6/15/33 | 79,232 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
40,011(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2711, Class FA, 6.453% (SOFR30A + 111 bps), 11/15/33 | $ 40,750 | ||||
50,786(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2916, Class NF, 5.703% (SOFR30A + 36 bps), 1/15/35 | 50,415 | ||||
180,077(a) | Federal Home Loan Mortgage Corp. REMICs, Series 2976, Class LF, 5.793% (SOFR30A + 45 bps), 5/15/35 | 177,893 | ||||
35,551(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3012, Class FE, 5.703% (SOFR30A + 36 bps), 8/15/35 | 35,418 | ||||
42,395(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3042, Class PF, 5.703% (SOFR30A + 36 bps), 8/15/35 | 42,146 | ||||
33,435(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3067, Class FA, 5.803% (SOFR30A + 46 bps), 11/15/35 | 33,011 | ||||
22,175(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3102, Class FG, 5.753% (SOFR30A + 41 bps), 1/15/36 | 21,961 | ||||
68,506(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3117, Class EF, 5.803% (SOFR30A + 46 bps), 2/15/36 | 67,947 | ||||
139,798(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3117, Class FE, 5.753% (SOFR30A + 41 bps), 2/15/36 | 138,066 | ||||
68,983(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3122, Class FP, 5.753% (SOFR30A + 41 bps), 3/15/36 | 68,494 | ||||
42,061(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3147, Class PF, 5.753% (SOFR30A + 41 bps), 4/15/36 | 41,761 | ||||
122,256(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3173, Class FC, 5.873% (SOFR30A + 53 bps), 6/15/36 | 120,411 | ||||
282,896(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3175, Class FE, 5.763% (SOFR30A + 42 bps), 6/15/36 | 279,471 | ||||
163,041(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3181, Class HF, 5.953% (SOFR30A + 61 bps), 7/15/36 | 161,645 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
14,707(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3191, Class FE, 5.853% (SOFR30A + 51 bps), 7/15/36 | $ 14,601 | ||||
122,711(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3221, Class FW, 5.873% (SOFR30A + 53 bps), 9/15/36 | 121,224 | ||||
40,981(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3222, Class FN, 5.853% (SOFR30A + 51 bps), 9/15/36 | 40,470 | ||||
135,400(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3239, Class EF, 5.803% (SOFR30A + 46 bps), 11/15/36 | 133,362 | ||||
65,525(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3239, Class FB, 5.803% (SOFR30A + 46 bps), 11/15/36 | 64,575 | ||||
108,204(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3247, Class FA, 5.703% (SOFR30A + 36 bps), 8/15/36 | 105,710 | ||||
172,372(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3266, Class F, 5.753% (SOFR30A + 41 bps), 1/15/37 | 168,357 | ||||
91,686(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3307, Class FT, 5.693% (SOFR30A + 35 bps), 7/15/34 | 90,166 | ||||
8,327(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3315, Class F, 5.793% (SOFR30A + 45 bps), 5/15/37 | 8,162 | ||||
254,126(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3373, Class FB, 6.033% (SOFR30A + 69 bps), 10/15/37 | 252,451 | ||||
29,717(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3376, Class FM, 6.073% (SOFR30A + 73 bps), 10/15/37 | 29,569 | ||||
89,925(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3560, Class FA, 6.50% (SOFR30A + 136 bps), 5/15/37 | 89,993 | ||||
155,526(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3610, Class FA, 6.153% (SOFR30A + 81 bps), 12/15/39 | 155,524 | ||||
46,437(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3708, Class PF, 5.803% (SOFR30A + 46 bps), 7/15/40 | 46,244 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
13,805(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3867, Class FD, 5.803% (SOFR30A + 46 bps), 5/15/41 | $ 13,681 | ||||
12,381(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3914, Class LF, 5.653% (SOFR30A + 31 bps), 8/15/26 | 12,360 | ||||
5,005(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3970, Class GF, 5.753% (SOFR30A + 41 bps), 9/15/26 | 5,005 | ||||
17,108(a) | Federal Home Loan Mortgage Corp. REMICs, Series 3982, Class FL, 6.003% (SOFR30A + 66 bps), 12/15/39 | 17,099 | ||||
26,624(a) | Federal Home Loan Mortgage Corp. REMICs, Series 4056, Class QF, 5.803% (SOFR30A + 46 bps), 12/15/41 | 26,405 | ||||
1,947(a) | Federal National Mortgage Association REMICs, Series 1994-40, Class FC, 5.952% (SOFR30A + 61 bps), 3/25/24 | 1,947 | ||||
3,685(a) | Federal National Mortgage Association REMICs, Series 1997-46, Class FA, 5.953% (SOFR30A + 61 bps), 7/18/27 | 3,658 | ||||
1,715(a) | Federal National Mortgage Association REMICs, Series 1998-21, Class F, 4.858% (1 Year CMT Index + 35 bps), 3/25/28 | 1,708 | ||||
19,944(a) | Federal National Mortgage Association REMICs, Series 2000-47, Class FD, 6.002% (SOFR30A + 66 bps), 12/25/30 | 19,932 | ||||
70,698(a) | Federal National Mortgage Association REMICs, Series 2001-35, Class F, 6.052% (SOFR30A + 71 bps), 7/25/31 | 70,736 | ||||
25,111(a) | Federal National Mortgage Association REMICs, Series 2001-37, Class F, 5.952% (SOFR30A + 61 bps), 8/25/31 | 25,081 | ||||
146,099(a) | Federal National Mortgage Association REMICs, Series 2001-50, Class FQ, 6.052% (SOFR30A + 71 bps), 11/25/31 | 146,177 | ||||
64,284(a) | Federal National Mortgage Association REMICs, Series 2001-65, Class F, 6.052% (SOFR30A + 71 bps), 11/25/31 | 64,487 | ||||
42,008(a) | Federal National Mortgage Association REMICs, Series 2001-69, Class FA, 6.052% (SOFR30A + 71 bps), 7/25/31 | 42,029 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
78,207(a) | Federal National Mortgage Association REMICs, Series 2001-72, Class FB, 6.352% (SOFR30A + 101 bps), 12/25/31 | $ 78,924 | ||||
28,376(a) | Federal National Mortgage Association REMICs, Series 2001-81, Class FL, 6.103% (SOFR30A + 76 bps), 1/18/32 | 28,430 | ||||
53,847(a) | Federal National Mortgage Association REMICs, Series 2002-1, Class FC, 6.152% (SOFR30A + 81 bps), 1/25/32 | 54,177 | ||||
124,693(a) | Federal National Mortgage Association REMICs, Series 2002-13, Class FD, 6.352% (SOFR30A + 101 bps), 3/25/32 | 125,594 | ||||
82,436(a) | Federal National Mortgage Association REMICs, Series 2002-34, Class FA, 5.953% (SOFR30A + 61 bps), 5/18/32 | 82,516 | ||||
85,427(a) | Federal National Mortgage Association REMICs, Series 2002-56, Class FN, 6.452% (SOFR30A + 111 bps), 7/25/32 | 86,702 | ||||
29,664(a) | Federal National Mortgage Association REMICs, Series 2002-58, Class FD, 6.052% (SOFR30A + 71 bps), 8/25/32 | 29,761 | ||||
57,692(a) | Federal National Mortgage Association REMICs, Series 2002-77, Class F, 6.052% (SOFR30A + 71 bps), 12/25/32 | 58,001 | ||||
39,864(a) | Federal National Mortgage Association REMICs, Series 2002-82, Class FB, 5.952% (SOFR30A + 61 bps), 12/25/32 | 39,874 | ||||
52,536(a) | Federal National Mortgage Association REMICs, Series 2002-90, Class FH, 5.952% (SOFR30A + 61 bps), 9/25/32 | 52,405 | ||||
29,238(a) | Federal National Mortgage Association REMICs, Series 2002-92, Class FB, 6.102% (SOFR30A + 76 bps), 4/25/30 | 29,364 | ||||
55,742(a) | Federal National Mortgage Association REMICs, Series 2002-93, Class FH, 5.952% (SOFR30A + 61 bps), 1/25/33 | 55,865 | ||||
96,534(a) | Federal National Mortgage Association REMICs, Series 2003-107, Class FD, 5.952% (SOFR30A + 61 bps), 11/25/33 | 96,743 | ||||
144,606(a) | Federal National Mortgage Association REMICs, Series 2003-31, Class FM, 5.952% (SOFR30A + 61 bps), 4/25/33 | 144,922 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
58,908(a) | Federal National Mortgage Association REMICs, Series 2003-42, Class JF, 5.952% (SOFR30A + 61 bps), 5/25/33 | $ 58,795 | ||||
45,501(a) | Federal National Mortgage Association REMICs, Series 2003-7, Class FA, 6.202% (SOFR30A + 86 bps), 2/25/33 | 45,864 | ||||
65,444(a) | Federal National Mortgage Association REMICs, Series 2003-8, Class FJ, 5.802% (SOFR30A + 46 bps), 2/25/33 | 65,379 | ||||
99,019(a) | Federal National Mortgage Association REMICs, Series 2004-52, Class FW, 5.852% (SOFR30A + 51 bps), 7/25/34 | 98,740 | ||||
26,002(a) | Federal National Mortgage Association REMICs, Series 2004-54, Class FN, 5.902% (SOFR30A + 56 bps), 7/25/34 | 25,972 | ||||
33,570(a) | Federal National Mortgage Association REMICs, Series 2004-79, Class FM, 5.752% (SOFR30A + 41 bps), 11/25/24 | 33,542 | ||||
93,834(a) | Federal National Mortgage Association REMICs, Series 2005-83, Class KT, 5.752% (SOFR30A + 41 bps), 10/25/35 | 92,832 | ||||
103,740(a) | Federal National Mortgage Association REMICs, Series 2005-83, Class LF, 5.762% (SOFR30A + 42 bps), 2/25/35 | 103,295 | ||||
58,811(a) | Federal National Mortgage Association REMICs, Series 2006-104, Class GF, 5.772% (SOFR30A + 43 bps), 11/25/36 | 58,106 | ||||
19,436(a) | Federal National Mortgage Association REMICs, Series 2006-11, Class FB, 5.752% (SOFR30A + 41 bps), 3/25/36 | 19,199 | ||||
29,526(a) | Federal National Mortgage Association REMICs, Series 2006-115, Class BF, 5.692% (SOFR30A + 35 bps), 12/25/36 | 29,123 | ||||
64,870(a) | Federal National Mortgage Association REMICs, Series 2006-34, Class FA, 5.762% (SOFR30A + 42 bps), 5/25/36 | 64,012 | ||||
110,515(a) | Federal National Mortgage Association REMICs, Series 2006-42, Class CF, 5.902% (SOFR30A + 56 bps), 6/25/36 | 109,725 | ||||
43,873(a) | Federal National Mortgage Association REMICs, Series 2006-56, Class FC, 5.742% (SOFR30A + 40 bps), 7/25/36 | 43,607 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
11,206(a) | Federal National Mortgage Association REMICs, Series 2006-70, Class BF, 6.002% (SOFR30A + 66 bps), 8/25/36 | $ 11,076 | ||||
21,785(a) | Federal National Mortgage Association REMICs, Series 2006-82, Class F, 6.022% (SOFR30A + 68 bps), 9/25/36 | 21,653 | ||||
21,264(a) | Federal National Mortgage Association REMICs, Series 2007-100, Class YF, 6.002% (SOFR30A + 66 bps), 10/25/37 | 21,085 | ||||
32,434(a) | Federal National Mortgage Association REMICs, Series 2007-103, Class AF, 6.452% (SOFR30A + 111 bps), 3/25/37 | 32,970 | ||||
32,439(a) | Federal National Mortgage Association REMICs, Series 2007-110, Class FA, 6.072% (SOFR30A + 73 bps), 12/25/37 | 32,200 | ||||
39,718(a) | Federal National Mortgage Association REMICs, Series 2007-13, Class FA, 5.702% (SOFR30A + 36 bps), 3/25/37 | 38,665 | ||||
67,159(a) | Federal National Mortgage Association REMICs, Series 2007-2, Class FT, 5.702% (SOFR30A + 36 bps), 2/25/37 | 65,551 | ||||
32,077(a) | Federal National Mortgage Association REMICs, Series 2007-41, Class FA, 5.852% (SOFR30A + 51 bps), 5/25/37 | 31,612 | ||||
134,076(a) | Federal National Mortgage Association REMICs, Series 2007-50, Class FN, 5.692% (SOFR30A + 35 bps), 6/25/37 | 131,984 | ||||
12,074(a) | Federal National Mortgage Association REMICs, Series 2007-57, Class FA, 5.682% (SOFR30A + 34 bps), 6/25/37 | 11,930 | ||||
36,826(a) | Federal National Mortgage Association REMICs, Series 2007-58, Class FA, 5.702% (SOFR30A + 36 bps), 6/25/37 | 36,052 | ||||
25,468(a) | Federal National Mortgage Association REMICs, Series 2007-66, Class FB, 5.852% (SOFR30A + 51 bps), 7/25/37 | 25,393 | ||||
82,880(a) | Federal National Mortgage Association REMICs, Series 2007-7, Class FJ, 5.652% (SOFR30A + 31 bps), 2/25/37 | 81,543 | ||||
119,601(a) | Federal National Mortgage Association REMICs, Series 2007-85, Class FG, 5.952% (SOFR30A + 61 bps), 9/25/37 | 115,941 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
164,238(a) | Federal National Mortgage Association REMICs, Series 2007-91, Class FB, 6.052% (SOFR30A + 71 bps), 10/25/37 | $ 163,295 | ||||
52,949(a) | Federal National Mortgage Association REMICs, Series 2007-92, Class OF, 6.022% (SOFR30A + 68 bps), 9/25/37 | 52,771 | ||||
30,572(a) | Federal National Mortgage Association REMICs, Series 2007-93, Class FD, 6.002% (SOFR30A + 66 bps), 9/25/37 | 30,271 | ||||
15,491(a) | Federal National Mortgage Association REMICs, Series 2007-98, Class FD, 5.902% (SOFR30A + 56 bps), 6/25/37 | 15,304 | ||||
17,541(a) | Federal National Mortgage Association REMICs, Series 2008-6, Class FA, 6.152% (SOFR30A + 81 bps), 2/25/38 | 17,496 | ||||
89,472(a) | Federal National Mortgage Association REMICs, Series 2008-88, Class FA, 6.672% (SOFR30A + 133 bps), 10/25/38 | 91,291 | ||||
46,773(a) | Federal National Mortgage Association REMICs, Series 2009-113, Class FB, 6.002% (SOFR30A + 66 bps), 1/25/40 | 46,425 | ||||
22,879(a) | Federal National Mortgage Association REMICs, Series 2010-43, Class FD, 6.052% (SOFR30A + 71 bps), 5/25/40 | 22,719 | ||||
86,130(a) | Federal National Mortgage Association REMICs, Series 2010-43, Class IF, 5.952% (SOFR30A + 61 bps), 5/25/40 | 85,461 | ||||
83,505(a) | Federal National Mortgage Association REMICs, Series 2012-40, Class PF, 5.952% (SOFR30A + 61 bps), 4/25/42 | 82,369 | ||||
664,786(a) | Freddie Mac STACR REMIC Trust, Series 2021-DNA3, Class M1, 6.087% (SOFR30A + 75 bps), 10/25/33 (144A) | 662,880 | ||||
5,154,422(a) | Freddie Mac STACR REMIC Trust, Series 2021-DNA5, Class M2, 6.987% (SOFR30A + 165 bps), 1/25/34 (144A) | 5,175,995 | ||||
3,508,931(a) | Freddie Mac STACR REMIC Trust, Series 2021-DNA6, Class M1, 6.137% (SOFR30A + 80 bps), 10/25/41 (144A) | 3,495,874 | ||||
3,250,000(a) | Freddie Mac STACR REMIC Trust, Series 2021-DNA6, Class M2, 6.837% (SOFR30A + 150 bps), 10/25/41 (144A) | 3,221,564 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
2,695,444(a) | Freddie Mac STACR REMIC Trust, Series 2021-DNA7, Class M1, 6.187% (SOFR30A + 85 bps), 11/25/41 (144A) | $ 2,680,348 | ||||
6,190,000(a) | Freddie Mac STACR REMIC Trust, Series 2021-DNA7, Class M2, 7.137% (SOFR30A + 180 bps), 11/25/41 (144A) | 6,112,322 | ||||
6,686,861(a) | Freddie Mac STACR REMIC Trust, Series 2021-HQA1, Class M2, 7.587% (SOFR30A + 225 bps), 8/25/33 (144A) | 6,667,735 | ||||
4,700,000(a) | Freddie Mac STACR REMIC Trust, Series 2021-HQA3, Class M2, 7.437% (SOFR30A + 210 bps), 9/25/41 (144A) | 4,636,750 | ||||
8,668,955(a) | Freddie Mac STACR REMIC Trust, Series 2021-HQA4, Class M1, 6.287% (SOFR30A + 95 bps), 12/25/41 (144A) | 8,560,866 | ||||
18,900,000(a) | Freddie Mac STACR REMIC Trust, Series 2022-DNA1, Class M2, 7.837% (SOFR30A + 250 bps), 1/25/42 (144A) | 18,865,001 | ||||
2,031,040(a) | Freddie Mac STACR REMIC Trust, Series 2022-DNA6, Class M1A, 7.487% (SOFR30A + 215 bps), 9/25/42 (144A) | 2,049,761 | ||||
4,336,353(a) | Freddie Mac STACR REMIC Trust, Series 2022-HQA1, Class M1A, 7.437% (SOFR30A + 210 bps), 3/25/42 (144A) | 4,369,833 | ||||
2,693,822(a) | Freddie Mac STACR REMIC Trust, Series 2022-HQA3, Class M1A, 7.637% (SOFR30A + 230 bps), 8/25/42 (144A) | 2,738,735 | ||||
9,047,894(a) | Freddie Mac STACR REMIC Trust, Series 2023-DNA1, Class M1A, 7.437% (SOFR30A + 210 bps), 3/25/43 (144A) | 9,191,277 | ||||
2,604,820(a) | Freddie Mac STACR REMIC Trust, Series 2023-HQA1, Class M1A, 7.337% (SOFR30A + 200 bps), 5/25/43 (144A) | 2,629,840 | ||||
151,991(a) | Freddie Mac STACR Trust, Series 2019-FTR2, Class M1, 6.402% (SOFR30A + 106 bps), 11/25/48 (144A) | 151,408 | ||||
63,474(a) | Freddie Mac STRIPS, Series 237, Class F14, 5.853% (SOFR30A + 51 bps), 5/15/36 | 62,738 | ||||
59,848(a) | Freddie Mac STRIPS, Series 239, Class F29, 5.703% (SOFR30A + 36 bps), 8/15/36 | 59,231 | ||||
258,725(a) | Freddie Mac STRIPS, Series 239, Class F30, 5.753% (SOFR30A + 41 bps), 8/15/36 | 256,579 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
73,945(a) | Freddie Mac STRIPS, Series 244, Class F22, 5.803% (SOFR30A + 46 bps), 12/15/36 | $ 73,261 | ||||
4,845,000(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-HQA2, Class M2B, 8.102% (SOFR30A + 276 bps), 12/25/29 | 4,973,070 | ||||
500,000(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-HRP1, Class B1, 10.052% (SOFR30A + 471 bps), 12/25/42 | 552,257 | ||||
2,947,884(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-HRP1, Class M2, 7.902% (SOFR30A + 256 bps), 12/25/42 | 2,987,285 | ||||
455,619(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-HRP1, Class M2D, 6.702% (SOFR30A + 136 bps), 12/25/42 | 456,989 | ||||
3,188,669(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2021-DNA2, Class M2, 7.637% (SOFR30A + 230 bps), 8/25/33 (144A) | 3,218,621 | ||||
5,954,929(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2023-HQA2, Class M1A, 7.337% (SOFR30A + 200 bps), 6/25/43 (144A) | 6,006,296 | ||||
13,665(a) | Government National Mortgage Association, Series 2003-7, Class FB, 5.673% (1 Month Term SOFR + 31 bps), 1/16/33 | 13,661 | ||||
199,072(a) | Government National Mortgage Association, Series 2005-16, Class FA, 5.722% (1 Month Term SOFR + 36 bps), 2/20/35 | 197,391 | ||||
207,178(a) | Government National Mortgage Association, Series 2005-3, Class FC, 5.723% (1 Month Term SOFR + 36 bps), 1/16/35 | 205,928 | ||||
69,989(a) | Government National Mortgage Association, Series 2008-69, Class FA, 5.972% (1 Month Term SOFR + 61 bps), 8/20/38 | 70,102 | ||||
67,866(a) | Government National Mortgage Association, Series 2009-66, Class UF, 6.473% (1 Month Term SOFR + 111 bps), 8/16/39 | 68,719 | ||||
48,917(a) | Government National Mortgage Association, Series 2009-92, Class FJ, 6.153% (1 Month Term SOFR + 79 bps), 10/16/39 | 49,044 | ||||
5,347,200(a) | Home Re, Ltd., Series 2019-1, Class M1, 7.102% (SOFR30A + 176 bps), 5/25/29 (144A) | 5,348,020 | ||||
7,360,000(a) | Home Re, Ltd., Series 2021-1, Class M2, 8.302% (SOFR30A + 296 bps), 7/25/33 (144A) | 7,401,065 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
2,131,038(a) | Home Re, Ltd., Series 2022-1, Class M1A, 8.187% (SOFR30A + 285 bps), 10/25/34 (144A) | $ 2,146,252 | ||||
5,750,000(a) | Home Re, Ltd., Series 2023-1, Class M1A, 7.471% (SOFR30A + 215 bps), 10/25/33 (144A) | 5,752,388 | ||||
4,000,000 | IMS Ecuadorian Mortgage Trust, Series 2021-1, Class GA, 3.40%, 8/18/43 (144A) | 3,680,000 | ||||
1,867,435(c) | JP Morgan Mortgage Trust, Series 2014-IVR3, Class B4, 5.272%, 9/25/44 (144A) | 1,788,435 | ||||
7,417,593(a) | JP Morgan Mortgage Trust, Series 2018-7FRB, Class A2, 6.22% (1 Month Term SOFR + 86 bps), 4/25/46 (144A) | 7,110,971 | ||||
1,215,625(a) | JP Morgan Mortgage Trust, Series 2018-7FRB, Class A3, 6.22% (1 Month Term SOFR + 86 bps), 4/25/46 (144A) | 1,161,367 | ||||
7,231,209(c) | JP Morgan Mortgage Trust, Series 2018-7FRB, Class B1, 6.755%, 4/25/46 (144A) | 6,741,674 | ||||
6,839,448(c) | JP Morgan Mortgage Trust, Series 2018-7FRB, Class B2, 6.755%, 4/25/46 (144A) | 6,353,603 | ||||
730,896(a) | JP Morgan Seasoned Mortgage Trust, Series 2014-1, Class AM, 5.97% (1 Month Term SOFR + 61 bps), 5/25/33 (144A) | 702,180 | ||||
2,631,996(c) | JP Morgan Seasoned Mortgage Trust, Series 2014-1, Class B1, 5.983%, 5/25/33 (144A) | 2,535,854 | ||||
2,453,438(c) | JP Morgan Seasoned Mortgage Trust, Series 2014-1, Class B2, 5.983%, 5/25/33 (144A) | 2,359,245 | ||||
1,891,385(c) | JP Morgan Seasoned Mortgage Trust, Series 2014-1, Class B3, 5.983%, 5/25/33 (144A) | 1,805,879 | ||||
108,077(c) | JP Morgan Trust, Series 2015-1, Class 1A14, 6.752%, 12/25/44 (144A) | 104,659 | ||||
3,002,280(a) | JPMorgan Chase Bank N.A. - CHASE, Series 2019-CL1, Class M1, 6.82% (1 Month Term SOFR + 146 bps), 4/25/47 (144A) | 2,960,334 | ||||
7,308,027(a) | LSTAR Securities Investment, Ltd., Series 2021-1, Class A, 8.257% (1 Month Term SOFR + 291 bps), 2/1/26 (144A) | 7,323,448 | ||||
3,671(c) | Merrill Lynch Mortgage Investors Trust, Series 2003-G, Class A3, 7.625%, 1/25/29 | 3,556 | ||||
316,812(a) | Merrill Lynch Mortgage Investors Trust, Series 2003-H, Class A1, 6.11% (1 Month Term SOFR + 75 bps), 1/25/29 | 279,958 | ||||
110,863(a) | Merrill Lynch Mortgage Investors Trust Series MLCC, Series 2004-B, Class A2, 6.345% (6 Month Term SOFR + 97 bps), 5/25/29 | 105,082 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
9,174(a) | Merrill Lynch Mortgage Investors Trust Series MLCC, Series 2004-C, Class A2B, 6.642% (6 Month Term SOFR + 143 bps), 7/25/29 | $ 8,980 | ||||
53,044(c) | Merrill Lynch Mortgage Investors Trust Series MLCC, Series 2004-D, Class A3, 7.329%, 9/25/29 | 50,273 | ||||
2,564,000(c) | Morgan Stanley Residential Mortgage Loan Trust, Series 2014-1A, Class B4, 6.893%, 6/25/44 (144A) | 2,394,600 | ||||
14,300,000(a) | NewRez Warehouse Securitization Trust, Series 2021-1, Class A, 6.22% (1 Month Term SOFR + 86 bps), 5/25/55 (144A) | 14,278,471 | ||||
6,911,667(a) | NewRez Warehouse Securitization Trust, Series 2021-1, Class E, 8.72% (1 Month Term SOFR + 336 bps), 5/25/55 (144A) | 6,910,514 | ||||
4,970,000(a) | Oaktown Re III, Ltd., Series 2019-1A, Class B1A, 8.952% (SOFR30A + 361 bps), 7/25/29 (144A) | 5,021,417 | ||||
1,631,000(a) | Oaktown Re III, Ltd., Series 2019-1A, Class B1B, 9.802% (SOFR30A + 446 bps), 7/25/29 (144A) | 1,653,350 | ||||
4,437,416(a) | Oaktown Re III, Ltd., Series 2019-1A, Class M1B, 7.402% (SOFR30A + 206 bps), 7/25/29 (144A) | 4,446,811 | ||||
3,095,130(a) | Oaktown Re VI, Ltd., Series 2021-1A, Class M1B, 7.387% (SOFR30A + 205 bps), 10/25/33 (144A) | 3,101,420 | ||||
3,500,000(a) | Oaktown Re VII, Ltd., Series 2021-2, Class M1B, 8.237% (SOFR30A + 290 bps), 4/25/34 (144A) | 3,543,798 | ||||
400,151(a) | Pepper Residential Securities Trust No. 25, Series 25A, Class A1U, 6.399% (1 Month Term SOFR + 104 bps), 3/12/61 (144A) | 400,179 | ||||
10,538,038(a) | PNMAC GMSR Issuer Trust, Series 2018-GT2, Class A, 8.857% (1 Month Term SOFR + 351 bps), 8/25/25 (144A) | 10,541,126 | ||||
15,516,000(a) | Radnor Re, Ltd., Series 2021-1, Class M1C, 8.037% (SOFR30A + 270 bps), 12/27/33 (144A) | 15,664,274 | ||||
1,790,000(a) | Radnor Re, Ltd., Series 2021-1, Class M2, 8.487% (SOFR30A + 315 bps), 12/27/33 (144A) | 1,805,023 | ||||
12,590,000(a) | Radnor Re, Ltd., Series 2021-2, Class M1B, 9.037% (SOFR30A + 370 bps), 11/25/31 (144A) | 12,885,050 | ||||
9,050,000(a) | Radnor Re, Ltd., Series 2023-1, Class M1A, 8.037% (SOFR30A + 270 bps), 7/25/33 (144A) | 9,107,619 | ||||
920,045(a) | Radnor RE, Ltd., Series 2022-1, Class M1A, 9.087% (SOFR30A + 375 bps), 9/25/32 (144A) | 929,785 | ||||
937,657(a) | RESI Finance LP, Series 2003-CB1, Class B3, 6.922% (1 Month Term SOFR + 156 bps), 6/10/35 (144A) | 773,333 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
512,596(a) | RESIMAC Premier, Series 2020-1A, Class A1A, 6.524% (1 Month Term SOFR + 116 bps), 2/7/52 (144A) | $ 512,692 | ||||
3,512,557(c) | Seasoned Credit Risk Transfer Trust, Series 2018-1, Class M, 4.75%, 5/25/57 | 3,254,963 | ||||
2,855,000(c) | Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M, 4.75%, 10/25/58 | 2,620,113 | ||||
6,742,677(a) | STACR Trust, Series 2018-HRP1, Class B1, 9.202% (SOFR30A + 386 bps), 4/25/43 (144A) | 6,946,783 | ||||
2,841,804(a) | Towd Point Mortgage Trust, Series 2017-5, Class A1, 5.755% (1 Month Term SOFR + 71 bps), 2/25/57 (144A) | 2,870,068 | ||||
1,268,791(a) | Towd Point Mortgage Trust, Series 2019-HY1, Class A1, 6.47% (1 Month Term SOFR + 111 bps), 10/25/48 (144A) | 1,278,799 | ||||
5,225,471 | Towd Point Mortgage Trust, Series 2020-4, Class XA, 3.25%, 10/25/60 (144A) | 4,877,816 | ||||
2,461,979(a) | Triangle Re, Ltd., Series 2021-1, Class M2, 9.37% (1 Month Term SOFR + 401 bps), 8/25/33 (144A) | 2,473,065 | ||||
821,054(a) | Triangle Re, Ltd., Series 2021-2, Class M1B, 8.07% (1 Month Term SOFR + 271 bps), 10/25/33 (144A) | 822,595 | ||||
7,880,000(a) | Triangle Re, Ltd., Series 2021-3, Class M1B, 8.237% (SOFR30A + 290 bps), 2/25/34 (144A) | 7,919,979 | ||||
14,860,000(a) | Triangle Re, Ltd., Series 2023-1, Class M1A, 8.721% (SOFR30A + 340 bps), 11/25/33 (144A) | 14,859,847 | ||||
Total Collateralized Mortgage Obligations (Cost $481,230,881) | $479,798,963 | |||||
Commercial Mortgage-Backed Securities—4.7% of Net Assets | ||||||
8,000,000(a) | BAMLL Commercial Mortgage Securities Trust, Series 2019-RLJ, Class C, 7.009% (1 Month Term SOFR + 165 bps), 4/15/36 (144A) | $ 7,952,130 | ||||
2,341,002(a) | BDS, Series 2021-FL8, Class A, 6.393% (1 Month Term SOFR + 103 bps), 1/18/36 (144A) | 2,312,659 | ||||
3,500,000(a) | BDS, Ltd., Series 2020-FL5, Class C, 7.523% (1 Month Term SOFR + 216 bps), 2/16/37 (144A) | 3,431,921 | ||||
12,000,000(a) | BX Commercial Mortgage Trust, Series 2021-CIP, Class B, 6.747% (1 Month Term SOFR + 139 bps), 12/15/38 (144A) | 11,743,965 |
Principal Amount USD ($) | Value | |||||
Commercial Mortgage-Backed Securities—(continued) | ||||||
3,909,651(a) | BX Commercial Mortgage Trust, Series 2021-XL2, Class D, 6.873% (1 Month Term SOFR + 151 bps), 10/15/38 (144A) | $ 3,806,580 | ||||
9,300,000(a) | BX Trust, Series 2019-ATL, Class B, 6.863% (1 Month Term SOFR + 150 bps), 10/15/36 (144A) | 9,028,153 | ||||
8,000,000(a) | BXP Trust, Series 2017-CQHP, Class B, 6.509% (1 Month Term SOFR + 115 bps), 11/15/34 (144A) | 7,013,846 | ||||
2,171,167(a) | CG-CCRE Commercial Mortgage Trust, Series 2014-FL1, Class B, 6.626% (1 Month Term SOFR + 126 bps), 6/15/31 (144A) | 2,169,862 | ||||
1,100,609(a) | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class A, 7.33% (1 Month Term SOFR + 197 bps), 11/15/31 (144A) | 1,062,532 | ||||
6,000,000(a) | CLNY Trust, Series 2019-IKPR, Class B, 6.953% (1 Month Term SOFR + 159 bps), 11/15/38 (144A) | 5,716,870 | ||||
9,975,183(a) | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class E, 7.559% (1 Month Term SOFR + 220 bps), 5/15/36 (144A) | 9,904,073 | ||||
756,309(a) | Freddie Mac Multifamily Structured Credit Risk, Series 2021-MN1, Class M1, 7.337% (SOFR30A + 200 bps), 1/25/51 (144A) | 733,776 | ||||
8,000,000(a) | Great Wolf Trust, Series 2019-WOLF, Class D, 7.609% (1 Month Term SOFR + 205 bps), 12/15/36 (144A) | 7,924,053 | ||||
2,978,409(a) | GS Mortgage Securities Corp. Trust, Series 2018-HART, Class A, 6.513% (1 Month Term SOFR + 114 bps), 10/15/31 (144A) | 2,711,814 | ||||
9,729,000(a) | GS Mortgage Securities Corp. Trust, Series 2018-HART, Class B, 6.723% (1 Month Term SOFR + 135 bps), 10/15/31 (144A) | 8,762,720 | ||||
8,720,000(a) | GS Mortgage Securities Corp. Trust, Series 2018-TWR, Class A, 6.559% (1 Month Term SOFR + 120 bps), 7/15/31 (144A) | 7,194,219 | ||||
5,500,000(a) | GS Mortgage Securities Corp. Trust, Series 2019-70P, Class D, 7.476% (1 Month Term SOFR + 211 bps), 10/15/36 (144A) | 5,074,226 | ||||
7,400,000(a) | GS Mortgage Securities Corp. Trust, Series 2019-SMP, Class D, 7.676% (1 Month Term SOFR + 231 bps), 8/15/32 (144A) | 7,097,722 | ||||
10,000,000(a) | GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class A, 6.734% (1 Month Term SOFR + 121 bps), 12/15/36 (144A) | 9,866,935 |
Principal Amount USD ($) | Value | |||||
Commercial Mortgage-Backed Securities—(continued) | ||||||
5,000,000(a) | GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class E, 8.134% (1 Month Term SOFR + 261 bps), 12/15/36 (144A) | $ 4,792,306 | ||||
1,100,000(a) | GS Mortgage Securities Corp. Trust, Series 2021-IP, Class E, 9.026% (1 Month Term SOFR + 366 bps), 10/15/36 (144A) | 987,359 | ||||
7,656,826(a) | HPLY Trust, Series 2019-HIT, Class C, 7.075% (1 Month Term SOFR + 171 bps), 11/15/36 (144A) | 7,540,234 | ||||
4,000,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class CFL, 7.485% (1 Month Term SOFR + 214 bps), 7/5/33 (144A) | 3,307,172 | ||||
3,600,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class C, 7.576% (1 Month Term SOFR + 221 bps), 9/15/29 (144A) | 2,755,446 | ||||
5,700,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP, Class E, 7.569% (1 Month Term SOFR + 221 bps), 7/15/36 (144A) | 5,492,283 | ||||
6,735,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class A, 7.096% (1 Month Term SOFR + 173 bps), 10/15/33 (144A) | 6,364,575 | ||||
3,055,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C29, Class A4, 3.611%, 5/15/48 | 2,943,281 | ||||
3,510,446(a) | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class A, 6.326% (1 Month Term SOFR + 96 bps), 7/15/36 (144A) | 3,489,482 | ||||
8,500,000(a) | Morgan Stanley Capital I Trust, Series 2017-ASHF, Class B, 6.909% (1 Month Term SOFR + 155 bps), 11/15/34 (144A) | 8,377,765 | ||||
7,980,000(a) | Morgan Stanley Capital I Trust, Series 2018-BOP, Class B, 6.659% (1 Month Term SOFR + 130 bps), 8/15/33 (144A) | 5,406,353 | ||||
6,300,000(a) | Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, Class B, 7.241% (1 Month Term SOFR + 188 bps), 7/15/36 (144A) | 5,344,362 | ||||
3,008,478(a) | Ready Capital Mortgage Financing LLC, Series 2021-FL6, Class A, 6.42% (1 Month Term SOFR + 106 bps), 7/25/36 (144A) | 2,967,285 | ||||
2,175,000(a) | Ready Capital Mortgage Financing LLC, Series 2021-FL6, Class D, 7.87% (1 Month Term SOFR + 251 bps), 7/25/36 (144A) | 2,047,481 | ||||
1,519,000(a) | Ready Capital Mortgage Financing LLC, Series 2021-FL6, Class E, 8.37% (1 Month Term SOFR + 301 bps), 7/25/36 (144A) | 1,423,533 |
Principal Amount USD ($) | Value | |||||
Commercial Mortgage-Backed Securities—(continued) | ||||||
4,825,000(a) | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class D, 8.42% (1 Month Term SOFR + 306 bps), 11/25/36 (144A) | $ 4,579,836 | ||||
12,898,400(a) | TRTX Issuer, Ltd., Series 2019-FL3, Class C, 7.576% (1 Month Term SOFR + 221 bps), 10/15/34 (144A) | 12,387,607 | ||||
2,458,732(c) | Velocity Commercial Capital Loan Trust, Series 2023-1, Class A, 6.47%, 1/25/53 (144A) | 2,447,976 | ||||
12,800,000(a) | Wells Fargo Commercial Mortgage Trust, Series 2017-SMP, Class C, 6.734% (1 Month Term SOFR + 137 bps), 12/15/34 (144A) | 11,027,633 | ||||
11,316,024(a) | XCALI Mortgage Trust, Series 2019-1, Class A, 9.207% (1 Month Term SOFR + 386 bps), 11/6/23 (144A) | 11,215,487 | ||||
2,713,120(a) | XCALI Mortgage Trust, Series 2020-1, Class A, 7.857% (1 Month Term SOFR + 251 bps), 2/6/24 (144A) | 2,703,622 | ||||
13,048,418(a) | XCALI Mortgage Trust, Series 2020-2, Class A, 7.457% (1 Month USD LIBOR + 200 bps), 3/15/24 (144A) | 12,948,737 | ||||
1,639,376(a) | XCALI Mortgage Trust, Series 2020-5, Class A, 8.713% (1 Month Term SOFR + 337 bps), 10/15/23 (144A) | 1,632,968 | ||||
Total Commercial Mortgage-Backed Securities (Cost $250,622,569) | $235,690,839 | |||||
Corporate Bonds — 30.6% of Net Assets | ||||||
Auto Manufacturers — 3.6% | ||||||
10,596,000(a) | American Honda Finance Corp., 6.154% (SOFR + 78 bps), 4/23/25 | $ 10,621,274 | ||||
18,480,000(a) | American Honda Finance Corp., 6.285% (SOFR + 92 bps), 1/12/26 | 18,579,523 | ||||
12,030,000(a) | BMW US Capital LLC, 5.771% (SOFR + 38 bps), 8/12/24 (144A) | 12,041,077 | ||||
20,000,000(a) | Daimler Trucks Finance North America LLC, 6.36% (SOFR + 100 bps), 4/5/24 (144A) | 20,020,420 | ||||
18,670,000(a) | General Motors Financial Co., Inc., 5.986% (SOFR + 62 bps), 10/15/24 | 18,638,078 | ||||
6,360,000(a) | General Motors Financial Co., Inc., 6.169% (SOFR + 76 bps), 3/8/24 | 6,360,290 | ||||
6,215,000(a) | General Motors Financial Co., Inc., 6.66% (SOFR + 130 bps), 4/7/25 | 6,224,771 | ||||
5,520,000 | Hyundai Capital America, 5.80%, 6/26/25 (144A) | 5,549,389 |
Principal Amount USD ($) | Value | |||||
Auto Manufacturers — (continued) | ||||||
9,500,000 | Hyundai Capital America, 6.00%, 7/11/25 (144A) | $ 9,572,354 | ||||
6,990,000(a) | Hyundai Capital America, 6.706% (SOFR + 132 bps), 11/3/25 (144A) | 7,002,099 | ||||
7,247,000(a) | Mercedes-Benz Finance North America LLC, 6.352% (SOFR + 93 bps), 3/30/25 (144A) | 7,292,984 | ||||
11,000,000(a) | Nissan Motor Acceptance Co. LLC, 6.282% (3 Month Term SOFR + 90 bps), 3/8/24 (144A) | 10,994,912 | ||||
9,255,000(a) | Toyota Motor Credit Corp., 5.925% (SOFR + 56 bps), 1/10/25 | 9,255,926 | ||||
21,650,000(a) | Toyota Motor Credit Corp., 6.06% (SOFR + 65 bps), 9/11/25 | 21,686,309 | ||||
19,820,000(a) | Volkswagen Group of America Finance LLC, 6.341% (SOFR + 93 bps), 9/12/25 (144A) | 19,862,963 | ||||
Total Auto Manufacturers | $183,702,369 | |||||
Banks — 20.7% | ||||||
17,800,000(a) | ABN AMRO Bank NV, 7.196% (SOFR + 178 bps), 9/18/27 (144A) | $ 17,855,903 | ||||
10,000,000(a) | ANZ New Zealand Int'l, Ltd., 5.996% (SOFR + 60 bps), 2/18/25 (144A) | 9,998,122 | ||||
13,530,000(a) | Australia & New Zealand Banking Group, Ltd., 6.067% (SOFR + 64 bps), 10/3/25 (144A) | 13,538,893 | ||||
8,730,000(a) | Australia & New Zealand Banking Group, Ltd., 6.176% (SOFR + 75 bps), 7/3/25 (144A) | 8,752,174 | ||||
12,400,000(a) | Banco Santander SA, 6.637% (SOFR + 124 bps), 5/24/24 | 12,439,236 | ||||
3,643,000(a) | Bank of America Corp., 6.049% (SOFR + 66 bps), 2/4/25 | 3,639,970 | ||||
5,000,000(a) | Bank of America Corp., 6.067% (SOFR + 69 bps), 4/22/25 | 4,998,614 | ||||
2,811,000(a) | Bank of America Corp., 6.343% (SOFR + 97 bps), 7/22/27 | 2,794,478 | ||||
13,300,000(a) | Bank of America Corp., 6.767% (SOFR + 135 bps), 9/15/27 | 13,373,669 | ||||
15,450,000(a) | Bank of America NA, 6.416% (SOFR + 102 bps), 8/18/26 | 15,511,214 | ||||
8,100,000(a) | Bank of Montreal, 6.035% (SOFR + 62 bps), 9/15/26 | 8,006,582 | ||||
7,500,000(a) | Bank of Montreal, 6.738% (SOFR + 133 bps), 6/5/26 | 7,561,113 | ||||
9,910,000(c) | Bank of New York Mellon, 5.148% (SOFR + 107 bps), 5/22/26 | 9,907,529 | ||||
2,500,000 | Bank of New York Mellon Corp., 0.50%, 4/26/24 | 2,460,159 | ||||
15,100,000(a) | Bank of Nova Scotia, 6.501% (SOFR + 109 bps), 6/12/25 | 15,126,110 |
Principal Amount USD ($) | Value | |||||
Banks — (continued) | ||||||
13,630,000(a) | Banque Federative du Credit Mutuel S.A., 6.767% (SOFR + 140 bps), 7/13/26 (144A) | $ 13,717,424 | ||||
13,700,000 | Banque Federative du Credit Mutuel SA, 0.65%, 2/27/24 (144A) | 13,594,658 | ||||
6,500,000(a) | Banque Federative du Credit Mutuel SA, 5.796% (SOFR + 41 bps), 2/4/25 (144A) | 6,467,391 | ||||
10,669,000(c) | Barclays Plc, 3.932% (3 Month USD LIBOR + 161 bps), 5/7/25 | 10,594,923 | ||||
12,316,000(a) | Barclays Plc, 7.293% (SOFR + 188 bps), 9/13/27 | 12,355,994 | ||||
4,355,000 | BNP Paribas S.A., 3.375%, 1/9/25 (144A) | 4,263,363 | ||||
12,519,000 | BNP Paribas S.A., 3.80%, 1/10/24 (144A) | 12,513,500 | ||||
13,260,000(a) | BPCE S.A., 7.352% (SOFR + 198 bps), 10/19/27 (144A) | 13,354,643 | ||||
5,970,000 | Canadian Imperial Bank of Commerce, 5.144%, 4/28/25 | 5,969,871 | ||||
9,239,000(a) | Citibank NA, 6.231% (SOFR + 81 bps), 9/29/25 | 9,251,103 | ||||
12,450,000(a) | Citibank NA, 6.468% (SOFR + 106 bps), 12/4/26 | 12,475,205 | ||||
11,083,000(a) | Citigroup, Inc., 6.072% (SOFR + 69 bps), 1/25/26 | 11,017,060 | ||||
3,760,000(a) | Citigroup, Inc., 6.183% (SOFR + 77 bps), 6/9/27 | 3,714,579 | ||||
12,550,000(a) | Citigroup, Inc., 6.774% (SOFR + 137 bps), 5/24/25 | 12,580,821 | ||||
15,000,000(a) | Cooperatieve Rabobank UA, 5.745% (SOFR + 38 bps), 1/10/25 | 14,976,135 | ||||
15,790,000(a) | Cooperatieve Rabobank UA, 6.26% (SOFR + 90 bps), 10/5/26 | 15,790,221 | ||||
10,000,000(a) | Credit Suisse AG, 5.775% (SOFR + 39 bps), 2/2/24 | 9,996,300 | ||||
17,960,000(a) | DNB Bank ASA, 6.256% (SOFR + 83 bps), 3/28/25 (144A) | 17,970,992 | ||||
7,000,000(a) | Federation des Caisses Desjardins du Quebec, 5.827% (SOFR + 43 bps), 5/21/24 (144A) | 6,997,309 | ||||
13,880,000(a) | Goldman Sachs Group, Inc., 5.863% (SOFR + 49 bps), 10/21/24 | 13,859,611 | ||||
20,725,000(a) | Goldman Sachs Group, Inc., 5.91% (SOFR + 50 bps), 9/10/24 | 20,698,581 | ||||
1,576,000(a) | Goldman Sachs Group, Inc., 6.20% (SOFR + 79 bps), 12/9/26 | 1,559,980 | ||||
7,084,000(a) | Goldman Sachs Group, Inc., 6.22% (SOFR + 81 bps), 3/9/27 | 6,978,304 | ||||
7,750,000(a) | HSBC Holdings Plc, 6.838% (SOFR + 143 bps), 3/10/26 | 7,776,069 | ||||
8,700,000(a) | HSBC Holdings Plc, 6.96% (SOFR + 157 bps), 8/14/27 | 8,743,488 | ||||
11,000,000 | HSBC USA, Inc., 5.625%, 3/17/25 | 11,052,012 |
Principal Amount USD ($) | Value | |||||
Banks — (continued) | ||||||
15,270,000(a) | Huntington National Bank, 6.585% (SOFR + 119 bps), 5/16/25 | $ 15,026,323 | ||||
8,309,000(a) | ING Groep NV, 6.432% (SOFR + 101 bps), 4/1/27 | 8,195,336 | ||||
19,850,000(a) | ING Groep NV, 6.968% (SOFR + 156 bps), 9/11/27 | 19,934,000 | ||||
10,300,000(a) | ING Groep NV, 7.066% (SOFR + 164 bps), 3/28/26 | 10,364,659 | ||||
4,000,000(a) | JPMorgan Chase & Co., 5.942% (SOFR + 54 bps), 6/1/25 | 3,986,423 | ||||
5,922,000(a) | JPMorgan Chase & Co., 6.01% (SOFR + 60 bps), 12/10/25 | 5,911,998 | ||||
14,000,000(a) | JPMorgan Chase & Co., 6.186% (SOFR + 77 bps), 9/22/27 | 13,875,261 | ||||
7,000,000(a) | JPMorgan Chase & Co., 6.384% (SOFR + 97 bps), 6/14/25 | 7,010,514 | ||||
8,667,000(a) | JPMorgan Chase & Co., 6.699% (SOFR + 132 bps), 4/26/26 | 8,708,389 | ||||
10,000,000(a) | JPMorgan Chase Bank NA, 6.409% (SOFR + 100 bps), 12/8/26 | 10,037,700 | ||||
2,280,000(a) | KeyBank NA, 5.734% (SOFR + 32 bps), 6/14/24 | 2,261,377 | ||||
6,200,000(c) | KeyBank NA/Cleveland OH, 5.734% (SOFR + 32 bps), 6/14/24 | 6,131,176 | ||||
12,000,000(a) | Lloyds Banking Group Plc, 6.945% (SOFR + 156 bps), 8/7/27 | 12,017,088 | ||||
7,140,000(a) | Macquarie Bank, Ltd., 6.73% (SOFR + 131 bps), 3/21/25 (144A) | 7,191,299 | ||||
17,816,000(a) | Macquarie Group, Ltd., 6.076% (SOFR + 71 bps), 10/14/25 (144A) | 17,698,111 | ||||
6,925,000(a) | Mitsubishi UFJ Financial Group, Inc., 6.334% (SOFR + 94 bps), 2/20/26 | 6,925,884 | ||||
9,512,000(a) | Mitsubishi UFJ Financial Group, Inc., 6.805% (SOFR + 144 bps), 4/17/26 | 9,571,481 | ||||
16,600,000(a) | Mitsubishi UFJ Financial Group, Inc., 7.021% (SOFR + 165 bps), 7/18/25 | 16,666,134 | ||||
7,700,000 | Mizuho Bank, Ltd., 3.60%, 9/25/24 (144A) | 7,600,901 | ||||
16,000,000(a) | Mizuho Financial Group, Inc., 6.356% (SOFR + 96 bps), 5/22/26 | 15,989,902 | ||||
7,055,000(a) | Morgan Stanley, 6.004% (SOFR + 63 bps), 1/24/25 | 7,044,566 | ||||
16,703,000(a) | Morgan Stanley, 6.35% (SOFR + 95 bps), 2/18/26 | 16,706,508 | ||||
5,700,000(a) | Morgan Stanley, 6.532% (SOFR + 117 bps), 4/17/25 | 5,706,163 | ||||
17,540,000(a) | Morgan Stanley Bank NA, 6.545% (SOFR + 117 bps), 10/30/26 | 17,690,616 | ||||
15,000,000(a) | National Bank of Canada, 5.876% (SOFR + 49 bps), 8/6/24 | 14,999,714 |
Principal Amount USD ($) | Value | |||||
Banks — (continued) | ||||||
6,400,000 | National Securities Clearing Corp., 5.15%, 5/30/25 (144A) | $ 6,431,995 | ||||
4,200,000(a) | NatWest Markets Plc, 5.921% (SOFR + 53 bps), 8/12/24 (144A) | 4,199,019 | ||||
17,240,000(a) | NatWest Markets Plc, 6.871% (SOFR + 145 bps), 3/22/25 (144A) | 17,352,926 | ||||
17,200,000(a) | Royal Bank of Canada, 5.672% (SOFR + 30 bps), 1/19/24 | 17,200,000 | ||||
4,620,000(a) | Royal Bank of Canada, 5.95% (SOFR + 57 bps), 4/27/26 | 4,569,114 | ||||
4,800,000(a) | Royal Bank of Canada, 5.975% (SOFR + 59 bps), 11/2/26 | 4,742,838 | ||||
7,600,000(a) | Royal Bank of Canada, 6.206% (SOFR + 84 bps), 4/14/25 | 7,610,326 | ||||
17,880,000 | Santander Holdings USA, Inc., 3.50%, 6/7/24 | 17,689,348 | ||||
17,000,000(a) | Societe Generale S.A., 6.423% (SOFR + 105 bps), 1/21/26 (144A) | 16,887,574 | ||||
8,880,000(a) | Standard Chartered Plc, 6.331% (SOFR + 93 bps), 11/23/25 (144A) | 8,834,340 | ||||
23,250,000(a) | Standard Chartered Plc, 7.166% (SOFR + 174 bps), 3/30/26 (144A) | 23,358,593 | ||||
17,300,000(c) | State Street Corp., 5.104% (SOFR + 113 bps), 5/18/26 | 17,317,764 | ||||
8,910,000(a) | Sumitomo Mitsui Financial Group, Inc., 6.666% (SOFR + 130 bps), 7/13/26 | 8,964,099 | ||||
15,085,000(a) | Sumitomo Mitsui Financial Group, Inc., 6.795% (SOFR + 143 bps), 1/13/26 | 15,200,322 | ||||
12,700,000(a) | Sumitomo Mitsui Trust Bank, Ltd., 5.854% (SOFR + 44 bps), 9/16/24 (144A) | 12,689,516 | ||||
18,540,000(a) | Sumitomo Mitsui Trust Bank, Ltd., 6.528% (SOFR + 112 bps), 3/9/26 (144A) | 18,635,974 | ||||
3,835,000(a) | Sumitomo Mitsui Trust Bank, Ltd., 6.56% (SOFR + 115 bps), 9/14/26 (144A) | 3,860,986 | ||||
8,500,000(a) | Swedbank AB, 6.269% (SOFR + 91 bps), 4/4/25 (144A) | 8,506,035 | ||||
8,840,000(a) | Swedbank AB, 6.795% (SOFR + 138 bps), 6/15/26 (144A) | 8,953,506 | ||||
11,667,000(a) | Toronto-Dominion Bank, 6.00% (SOFR + 59 bps), 9/10/26 | 11,538,938 | ||||
10,780,000(a) | Toronto-Dominion Bank, 6.447% (SOFR + 108 bps), 7/17/26 | 10,800,564 | ||||
9,000,000(a) | Truist Bank, 5.567% (SOFR + 20 bps), 1/17/24 | 8,998,560 | ||||
4,000,000 | Truist Financial Corp., 2.50%, 8/1/24 | 3,924,365 |
Principal Amount USD ($) | Value | |||||
Banks — (continued) | ||||||
10,150,000 | U.S. Bancorp., 2.40%, 7/30/24 | $ 9,974,541 | ||||
7,500,000(a) | UBS AG, 5.84% (SOFR + 45 bps), 8/9/24 (144A) | 7,512,496 | ||||
18,700,000(a) | UBS AG, 6.34% (SOFR + 93 bps), 9/11/25 | 18,746,361 | ||||
14,110,000(a) | UBS Group AG, 6.971% (SOFR + 158 bps), 5/12/26 (144A) | 14,175,516 | ||||
4,400,000 | US Bank NA, 2.80%, 1/27/25 | 4,281,807 | ||||
19,340,000(a) | Wells Fargo & Co., 6.698% (SOFR + 132 bps), 4/25/26 | 19,480,757 | ||||
12,760,000(a) | Wells Fargo Bank NA, 6.449% (SOFR + 106 bps), 8/7/26 | 12,836,305 | ||||
10,000,000(a) | Wells Fargo Bank NA, 6.48% (SOFR + 107 bps), 12/11/26 | 10,057,200 | ||||
Total Banks | $1,046,816,511 | |||||
Building Materials — 0.2% | ||||||
8,120,000 | Carrier Global Corp., 5.80%, 11/30/25 (144A) | $ 8,228,025 | ||||
Total Building Materials | $8,228,025 | |||||
Diversified Financial Services — 1.7% | ||||||
14,000,000 | Ally Financial, Inc., 3.875%, 5/21/24 | $ 13,878,955 | ||||
12,400,000 | Ally Financial, Inc., 4.625%, 3/30/25 | 12,234,773 | ||||
5,600,000 | American Express Co., 3.375%, 5/3/24 | 5,557,045 | ||||
17,600,000(a) | American Express Co., 6.35% (SOFR + 97 bps), 7/28/27 | 17,617,170 | ||||
11,800,000(a) | American Express Co., 6.731% (SOFR + 135 bps), 10/30/26 | 11,863,060 | ||||
750,000 | Avolon Holdings Funding, Ltd., 3.95%, 7/1/24 (144A) | 739,918 | ||||
1,000,000 | Avolon Holdings Funding, Ltd., 5.25%, 5/15/24 (144A) | 994,523 | ||||
15,250,000(a) | Capital One Financial Corp., 6.742% (SOFR + 135 bps), 5/9/25 | 15,241,028 | ||||
3,350,000 | Charles Schwab Corp., 4.20%, 3/24/25 | 3,310,935 | ||||
6,646,000(a) | Charles Schwab Corp., 6.458% (SOFR + 105 bps), 3/3/27 | 6,574,908 | ||||
Total Diversified Financial Services | $88,012,315 | |||||
Electric — 1.0% | ||||||
3,800,000(a) | CenterPoint Energy, Inc., 6.042% (SOFR + 65 bps), 5/13/24 | $ 3,800,038 | ||||
8,660,000 | EDP Finance BV, 3.625%, 7/15/24 (144A) | 8,553,434 | ||||
11,657,000 | Eversource Energy, 4.20%, 6/27/24 | 11,567,276 | ||||
9,090,000 | NextEra Energy Capital Holdings, Inc., 5.749%, 9/1/25 | 9,175,998 |
Principal Amount USD ($) | Value | |||||
Electric — (continued) | ||||||
4,485,000 | NextEra Energy Capital Holdings, Inc., 6.051%, 3/1/25 | $ 4,524,944 | ||||
13,575,000(a) | NextEra Energy Capital Holdings, Inc., 6.44% (SOFR + 102 bps), 3/21/24 | 13,580,159 | ||||
Total Electric | $51,201,849 | |||||
Healthcare-Services — 0.4% | ||||||
8,304,000 | Aetna, Inc., 3.50%, 11/15/24 | $ 8,164,741 | ||||
14,044,000 | HCA, Inc., 5.00%, 3/15/24 | 14,018,393 | ||||
Total Healthcare-Services | $22,183,134 | |||||
Insurance — 1.3% | ||||||
13,700,000(a) | Athene Global Funding, 5.956% (SOFR + 56 bps), 8/19/24 (144A) | $ 13,645,624 | ||||
14,499,000 | Brown & Brown, Inc., 4.20%, 9/15/24 | 14,341,865 | ||||
3,200,000 | Chubb INA Holdings, Inc., 3.15%, 3/15/25 | 3,129,199 | ||||
6,250,000(a) | Metropolitan Life Global Funding I, 6.33% (SOFR + 91 bps), 3/21/25 (144A) | 6,282,875 | ||||
5,400,000(a) | Principal Life Global Funding II, 5.781% (SOFR + 38 bps), 8/23/24 (144A) | 5,397,736 | ||||
6,500,000(a) | Principal Life Global Funding II, 5.816% (SOFR + 45 bps), 4/12/24 (144A) | 6,497,140 | ||||
9,030,000(a) | Protective Life Global Funding, 6.406% (SOFR + 98 bps), 3/28/25 (144A) | 9,063,050 | ||||
8,115,000(a) | Protective Life Global Funding, 6.461% (SOFR + 105 bps), 12/11/24 (144A) | 8,148,921 | ||||
Total Insurance | $66,506,410 | |||||
Machinery-Diversified — 0.2% | ||||||
8,820,000 | John Deere Capital Corp., 5.30%, 9/8/25 | $ 8,933,842 | ||||
Total Machinery-Diversified | $8,933,842 | |||||
Pipelines — 0.8% | ||||||
2,500,000 | Energy Transfer LP, 4.50%, 4/15/24 | $ 2,490,639 | ||||
16,600,000 | Kinder Morgan Energy Partners LP, 4.25%, 9/1/24 | 16,445,802 | ||||
7,553,000 | Sabine Pass Liquefaction LLC, 5.625%, 3/1/25 | 7,567,453 | ||||
15,000,000 | Williams Cos, Inc., 4.30%, 3/4/24 | 14,962,387 | ||||
Total Pipelines | $41,466,281 | |||||
Retail — 0.2% | ||||||
10,000,000 | Home Depot, Inc., 5.125%, 4/30/25 | $ 10,048,562 | ||||
Total Retail | $10,048,562 | |||||
Principal Amount USD ($) | Value | |||||
Semiconductors — 0.3% | ||||||
9,147,000 | Broadcom Corp./Broadcom Cayman Finance, Ltd., 3.625%, 1/15/24 | $ 9,138,558 | ||||
4,010,000 | Microchip Technology, Inc., 0.983%, 9/1/24 | 3,885,317 | ||||
Total Semiconductors | $13,023,875 | |||||
Telecommunications — 0.1% | ||||||
2,162,000 | T-Mobile USA, Inc., 3.50%, 4/15/25 | $ 2,116,300 | ||||
Total Telecommunications | $2,116,300 | |||||
Trucking & Leasing — 0.1% | ||||||
5,645,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 5.75%, 5/24/26 (144A) | $ 5,689,699 | ||||
Total Trucking & Leasing | $5,689,699 | |||||
Total Corporate Bonds (Cost $1,545,212,485) | $1,547,929,172 | |||||
Insurance-Linked Securities — 1.9%# of Net Assets | ||||||
Event Linked Bonds — 1.6% | ||||||
Earthquakes – California — 0.0%† | ||||||
2,000,000(a) | Phoenician Re, 8.266%, (3 Month U.S. Treasury Bill + 290 bps), 12/14/24 (144A) | $ 1,971,000 | ||||
Earthquakes – Mexico — 0.0%† | ||||||
500,000(a) | International Bank for Reconstruction & Development, 9.061%, (3 Month Term SOFR + 376 bps), 3/13/24 (144A) | $ 499,000 | ||||
Earthquakes – U.S. — 0.0%† | ||||||
1,000,000(a) | Torrey Pines Re Pte, 9.55%, (3 Month U.S. Treasury Bill + 418 bps), 6/7/24 (144A) | $ 989,400 | ||||
Earthquakes – U.S. & Canada — 0.1% | ||||||
2,500,000(a) | Acorn Re, 7.87%, (3 Month U.S. Treasury Bill + 250 bps), 11/7/24 (144A) | $ 2,453,250 | ||||
Flood – U.S. — 0.0%† | ||||||
1,500,000(a) | FloodSmart Re, 17.197%, (3 Month U.S. Treasury Bill + 1,183 bps), 2/25/25 (144A) | $ 1,459,050 | ||||
Multiperil – U.S. — 0.7% | ||||||
1,500,000(a) | Bonanza Re, 10.237%, (3 Month U.S. Treasury Bill + 487 bps), 2/20/24 (144A) | $ 1,488,750 | ||||
125,000(a) | Caelus Re V, 5.468%, (1 Month U.S. Treasury Bill + 10 bps), 6/5/24 (144A) | 100,000 | ||||
750,000(a) | Caelus Re V, 5.468%, (3 Month U.S. Treasury Bill + 10 bps), 6/9/25 (144A) | 75 |
Principal Amount USD ($) | Value | |||||
Multiperil – U.S. — (continued) | ||||||
500,000(a) | Caelus Re V, 5.868%, (3 Month U.S. Treasury Bill + 50 bps), 6/9/25 (144A) | $ 350,000 | ||||
750,000(a) | Caelus Re VI, 10.467%, (3 Month U.S. Treasury Bill + 510 bps), 6/7/24 (144A) | 747,375 | ||||
4,500,000(a) | Easton Re Pte, 9.871%, (3 Month U.S. Treasury Bill + 453 bps), 1/8/24 (144A) | 4,486,500 | ||||
2,000,000(a) | Four Lakes Re, 9.637%, (3 Month U.S. Treasury Bill + 427 bps), 1/7/25 (144A) | 1,942,600 | ||||
1,750,000(a) | Four Lakes Re, 12.667%, (3 Month U.S. Treasury Bill + 730 bps), 1/5/24 (144A) | 1,744,750 | ||||
500,000(a) | Herbie Re, 12.098%, (3 Month U.S. Treasury Bill + 673 bps), 1/8/25 (144A) | 496,800 | ||||
5,000,000(a) | Matterhorn Re, 10.674%, (SOFR + 525 bps), 3/24/25 (144A) | 4,875,000 | ||||
2,000,000(a) | Matterhorn Re, 13.174%, (SOFR + 775 bps), 3/24/25 (144A) | 1,968,000 | ||||
5,000,000(a) | Residential Re, 10.648%, (3 Month U.S. Treasury Bill + 528 bps), 12/6/25 (144A) | 4,708,000 | ||||
1,500,000(a) | Residential Re, 11.377%, (3 Month U.S. Treasury Bill + 601 bps), 12/6/24 (144A) | 1,482,750 | ||||
2,750,000(a) | Sanders Re II, 8.418%, (3 Month U.S. Treasury Bill + 305 bps), 4/7/25 (144A) | 2,627,075 | ||||
3,000,000(a) | Sanders Re II, 8.657%, (3 Month U.S. Treasury Bill + 329 bps), 4/7/25 (144A) | 2,895,900 | ||||
3,000,000(a) | Sanders Re III, 8.978%, (3 Month U.S. Treasury Bill + 361 bps), 4/7/26 (144A) | 2,841,600 | ||||
1,000,000(a) | Sussex Re, 13.75%, (3 Month U.S. Treasury Bill + 838 bps), 1/8/25 (144A) | 984,200 | ||||
$33,739,375 | ||||||
Multiperil – U.S. & Canada — 0.1% | ||||||
250,000(a) | Matterhorn Re, 11.159%, (SOFR + 575 bps), 12/8/25 (144A) | $ 230,300 | ||||
1,000,000(a) | Mona Lisa Re, 12.367%, (3 Month U.S. Treasury Bill + 700 bps), 7/8/25 (144A) | 990,000 | ||||
4,000,000(a) | Mystic Re IV, 11.498%, (3 Month U.S. Treasury Bill + 613 bps), 1/8/25 (144A) | 3,859,200 | ||||
$5,079,500 | ||||||
Multiperil – U.S. Regional — 0.1% | ||||||
1,000,000(a) | Kilimanjaro III Re, 5.25%, (3 Month U.S. Treasury Bill + 525 bps), 6/25/25 (144A) | $ 1,001,000 |
Principal Amount USD ($) | Value | |||||
Multiperil – U.S. Regional — (continued) | ||||||
3,500,000(a) | Long Point Re IV, 9.618%, (3 Month U.S. Treasury Bill + 425 bps), 6/1/26 (144A) | $ 3,454,850 | ||||
400,000(a) | Matterhorn Re, 10.37%, (3 Month U.S. Treasury Bill + 500 bps), 1/8/27 (144A) | 140,000 | ||||
$4,595,850 | ||||||
Multiperil – Worldwide — 0.0%† | ||||||
500,000(a) | International Bank for Reconstruction & Development, 12.061%, (3 Month Term SOFR + 676 bps), 3/13/24 (144A) | $ 225,000 | ||||
1,500,000(a) | Northshore Re II, 11.117%, (3 Month U.S. Treasury Bill + 575 bps), 1/8/24 (144A) | 1,495,500 | ||||
$1,720,500 | ||||||
Pandemic – U.S — 0.1% | ||||||
3,000,000(a) | Vitality Re XI, 6.868%, (3 Month U.S. Treasury Bill + 150 bps), 1/9/24 (144A) | $ 2,991,000 | ||||
1,250,000(a) | Vitality Re XI, 7.17%, (3 Month U.S. Treasury Bill + 180 bps), 1/9/24 (144A) | 1,246,250 | ||||
$4,237,250 | ||||||
Windstorm – Florida — 0.2% | ||||||
4,750,000(a) | Everglades Re II, 11.972%, (1 Month U.S. Treasury Bill + 661 bps), 5/14/24 (144A) | $ 4,785,625 | ||||
500,000(a) | Everglades Re II, 12.995%, (1 Month U.S. Treasury Bill + 763 bps), 5/14/24 (144A) | 505,750 | ||||
2,000,000(a) | Integrity Re, 12.44%, (3 Month U.S. Treasury Bill + 707 bps), 6/6/25 (144A) | 1,916,800 | ||||
2,200,000(a) | Merna Re II, 10.878%, (3 Month U.S. Treasury Bill + 551 bps), 7/8/24 (144A) | 2,171,400 | ||||
$9,379,575 | ||||||
Windstorm – Mexico — 0.1% | ||||||
4,000,000(a) | International Bank for Reconstruction & Development, 9.737%, (SOFR + 440 bps), 12/29/23 (144A) | $ 4,000,000 | ||||
Windstorm – North Carolina — 0.1% | ||||||
3,000,000(a) | Cape Lookout Re, 10.715%, (3 Month U.S. Treasury Bill + 535 bps), 3/28/25 (144A) | $ 2,963,100 | ||||
Windstorm – Texas — 0.0%† | ||||||
2,000,000(a) | Alamo Re, 12.548%, (3 Month U.S. Treasury Bill + 718 bps), 6/7/24 (144A) | $ 2,024,000 |
Principal Amount USD ($) | Value | ||||||
Windstorm – U.S. — 0.0%† | |||||||
2,000,000(a) | Bonanza Re, 10.278%, (3 Month U.S. Treasury Bill + 491 bps), 12/23/24 (144A) | $ 1,874,800 | |||||
250,000(a) | Bonanza Re, 11.15%, (3 Month U.S. Treasury Bill + 578 bps), 3/16/25 (144A) | 236,375 | |||||
$2,111,175 | |||||||
Windstorm – U.S. Multistate — 0.0%† | |||||||
1,500,000(a) | Gateway Re, 5.37%, (3 Month U.S. Treasury Bill + 0 bps), 1/9/24 (144A) | $ 1,494,750 | |||||
Windstorm – U.S. Regional — 0.1% | |||||||
2,500,000(a) | Citrus Re, 10.607%, (3 Month U.S. Treasury Bill + 524 bps), 6/7/25 (144A) | $ 2,499,750 | |||||
1,000,000(a) | Commonwealth Re, 8.906%, (3 Month U.S. Treasury Bill + 354 bps), 7/8/25 (144A) | 994,300 | |||||
$3,494,050 | |||||||
Total Event Linked Bonds | $82,210,825 | ||||||
Face Amount USD ($) | ||||||
Collateralized Reinsurance — 0.1% | ||||||
Earthquakes – California — 0.1% | ||||||
2,980,000(d)(e)+ | Adare Re 2022-2, 9/30/28 | $ 3,000,488 | ||||
Multiperil – U.S. — 0.0%† | ||||||
2,088,182(d)(e)+ | Ballybunion Re 2022, 12/31/27 | $ 39,572 | ||||
1,053,082(d)(e)+ | Ballybunion Re 2022-2, 5/31/28 | 1,069,415 | ||||
$1,108,987 | ||||||
Multiperil – Worldwide — 0.0%† | ||||||
1,000,000(d)(e)+ | Cypress Re 2017, 1/31/24 | $ 100 | ||||
223,000(e)+ | Limestone Re 2019-2B, 12/31/24 (144A) | 398 | ||||
2,500,000(d)(e)+ | Resilience Re, 5/1/24 | — | ||||
$498 | ||||||
Windstorm – Florida — 0.0%† | ||||||
2,000,000(d)(e)+ | Formby Re 2018, 2/29/24 | $ — | ||||
800,000(d)(e)+ | Portrush Re 2017, 6/15/24 | 80 | ||||
$80 | ||||||
Face Amount USD ($) | Value | |||||
Windstorm – U.S. Regional — 0.0%† | ||||||
1,500,000(d)(e)+ | Oakmont Re 2022, 4/1/28 | $ 471,758 | ||||
Total Collateralized Reinsurance | $4,581,811 | |||||
Reinsurance Sidecars — 0.2% | ||||||
Multiperil – U.S. — 0.0%† | ||||||
2,000,000(d)(f)+ | Harambee Re 2018, 12/31/24 | $ — | ||||
4,000,000(f)+ | Harambee Re 2019, 12/31/24 | 6,000 | ||||
$6,000 | ||||||
Multiperil – Worldwide — 0.2% | ||||||
4,000,000(d)(f)+ | Alturas Re 2021-3, 7/31/25 | $ 208,000 | ||||
421,041(d)(f)+ | Alturas Re 2022-2, 12/31/27 | 109,050 | ||||
3,658,035(d)(e)+ | Berwick Re 2019-1, 12/31/24 | 438,964 | ||||
4,500,000(d)(e)+ | Berwick Re 2022, 12/31/27 | 86,757 | ||||
3,000,000(d)(e)+ | Gleneagles Re 2022, 12/31/27 | 1,425,900 | ||||
2,118,314(d)(e)+ | Gullane Re 2018, 12/31/24 | 100,036 | ||||
2,744,544(d)(f)+ | Lorenz Re 2019, 6/30/24 | 26,348 | ||||
3,000,000(e)+ | Merion Re 2018-2, 12/31/24 | 149,952 | ||||
4,000,000(d)(e)+ | Merion Re 2022-2, 12/31/27 | 3,792,446 | ||||
4,000,000(e)+ | Pangaea Re 2021-3, 7/1/25 | 97,497 | ||||
4,000,000(d)(e)+ | RosaPenna Re 2021, 7/31/25 | 160,000 | ||||
3,500,000(d)(e)+ | RosaPenna Re 2022, 6/30/28 | 3,365,619 | ||||
800,000(d)(e)+ | Sector Re V, 3/1/24 (144A) | 421,326 | ||||
1,861(d)(e)+ | Sector Re V, 3/1/24 (144A) | 45,877 | ||||
160,000(d)(e)+ | Sector Re V, 12/1/24 (144A) | 287,885 | ||||
50,000(a)(e)+ | Sector Re V, 12/1/26 (144A) | 173,313 | ||||
3,000,000(d)(f)+ | Thopas Re 2019, 12/31/24 | 41,400 | ||||
3,500,000(f)+ | Thopas Re 2022, 12/31/27 | 28,350 | ||||
4,000,000(f)+ | Torricelli Re 2021, 7/31/25 | 100,000 | ||||
4,000,000(f)+ | Torricelli Re 2022, 6/30/28 | 89,600 | ||||
750,000(d)(f)+ | Viribus Re 2018, 12/31/24 | — | ||||
2,500,000(d)(f)+ | Viribus Re 2019, 12/31/24 | 7,750 | ||||
809,418(d)(e)+ | Woburn Re 2019, 12/31/24 | 135,513 | ||||
$11,291,583 | ||||||
Total Reinsurance Sidecars | $11,297,583 | |||||
Total Insurance-Linked Securities (Cost $100,734,589) | $98,090,219 | |||||
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — 3.5% of Net Assets | ||||||
1,158(a) | Federal Home Loan Mortgage Corp., 6.250%, (1 year Refinitiv USD IBOR Consumer Cash Fallbacks + 200 bps), 11/1/33 | $ 1,157 | ||||
2,091,871 | Federal National Mortgage Association, 3.000%, 3/1/47 | 1,913,496 | ||||
4,893(a) | Federal National Mortgage Association, 4.295%, (1 Year CMT Index + 217 bps), 2/1/34 | 4,846 | ||||
3,227(a) | Federal National Mortgage Association, 4.902%, (1 year Refinitiv USD IBOR Consumer Cash Fallbacks + 167 bps), 1/1/48 | 3,217 | ||||
23,000,000 | Federal National Mortgage Association, 5.500%, 1/1/39 (TBA) | 23,326,133 | ||||
15,000,000 | Federal National Mortgage Association, 6.000%, 1/1/54 (TBA) | 15,229,688 | ||||
3,529(a) | Federal National Mortgage Association, 6.188%, (1 Year CMT Index + 210 bps), 9/1/32 | 3,513 | ||||
1,277(a) | Federal National Mortgage Association, 6.230%, (1 Year CMT Index + 211 bps), 10/1/32 | 1,261 | ||||
32,000,000 | Federal National Mortgage Association, 6.500%, 1/1/54 (TBA) | 32,791,250 | ||||
30,000,000(g) | U.S. Treasury Bills, 1/9/24 | 29,969,409 | ||||
75,000,000(g) | U.S. Treasury Bills, 1/16/24 | 74,846,656 | ||||
Total U.S. Government and Agency Obligations (Cost $177,675,600) | $178,090,626 | |||||
SHORT TERM INVESTMENTS — 15.0% of Net Assets | ||||||
Repurchase Agreements — 6.2% | ||||||
150,000,000 | Bank of America, 5.34%, dated 12/29/23, to be purchased on 1/2/24 for $150,089,000, collateralized by the following: $3,020,978 Federal Home Loan Mortgage Corporation, 5.498%-6.314%, 6/1/53-12/1/53, $9,103,709 Federal National Mortgage Association, 3.75%-5.805%, 7/1/33-9/1/45, $140,875,313 Government National Mortgage Association, 1.5%-7.0%, 1/20/29-11/20/63 | $ 150,000,000 |
Principal Amount USD ($) | Value | |||||
Repurchase Agreements — (continued) | ||||||
51,120,000 | Scotia Capital Inc., 5.34%, dated 12/29/23, to be purchased on 1/2/24 for $51,150,331, collateralized by the following: $366,997 Federal Home Loan Mortgage Corporation, 4.0%-5.0%, 8/1/48-2/1/53, $4,819 Federal National Mortgage Association, 2.0%-7.0%, 1/1/51-6/1/53, $51,801,576 U.S. Treasury Bill, 6/27/24 | $ 51,120,000 | ||||
45,190,000 | RBC Dominion Securities Inc., 5.33%, dated 12/29/23, to be purchased on 1/2/24 for $45,216,763, collateralized by the following: $29,516,720 U.S. Treasury Bill, 1/2/24-6/13/24, $15,986,597 U.S. Treasury Floating Rate Note, 5.368%-5.531%, 7/31/24-1/31/25, $617,789 U.S. Treasury Note, 3.125%, 8/31/27 | 45,190,000 | ||||
32,600,000 | Toronto-Dominion Bank, 5.34%, dated 12/29/23, to be purchased on 1/2/24 for $32,619,343, collateralized by $33,252,001 Government National Mortgage Association, 6.0%-7.5%, 3/20/53-12/20/53 | 32,600,000 | ||||
32,600,000 | Toronto-Dominion Bank, 5.32%, dated 12/29/23, to be purchased on 1/2/24 for $32,619,270, collateralized by $33,252,051 U.S. Treasury Note, 0.25%-2.375%, 6/30/24-3/31/29 | 32,600,000 | ||||
$311,510,000 | ||||||
Commercial Paper — 5.6% of Net Assets | ||||||
10,000,000(h) | AutoZone, Inc., 5.408%, 1/5/24 | $ 9,989,442 | ||||
15,000,000(h) | AutoZone, Inc., 5.430%, 1/8/24 | 14,977,283 | ||||
5,700,000(h) | CenterPoint Energy, Inc., 5.383%, 1/2/24 | 5,696,589 | ||||
15,000,000(h) | Consolidated Edison, Inc., 5.462%, 1/2/24 | 14,990,957 | ||||
25,000,000(h) | Duke Energy Corp., 5.313%, 1/2/24 | 24,984,929 | ||||
16,200,000(h) | Energy Transfer Operating LP, 5.754%, 1/2/24 | 16,189,696 | ||||
25,000,000(h) | Enterprise Products Operating LLC, 5.403%, 1/2/24 | 24,984,650 | ||||
2,400,000(h) | ERAC USA Finance LLC, 5.559%, 1/5/24 | 2,397,466 | ||||
14,000,000(h) | Eversource Energy, 5.487%, 1/3/24 | 13,989,453 | ||||
25,000,000(h) | Exelon Corp., 5.541%, 1/3/24 | 24,981,156 | ||||
25,000,000(h) | Humana, Inc., 5.610%, 1/3/24 | 24,980,506 | ||||
17,400,000(h) | Kinder Morgan, Inc., 5.560%, 1/2/24 | 17,388,933 | ||||
20,000,000(h) | Medtronic Global Holdings, 5.390%, 1/2/24 | 19,987,952 | ||||
15,000,000(h) | Protective Life Corp., 5.559%, 1/2/24 | 14,990,643 | ||||
25,000,000(h) | Prudential Funding LLC, 5.315%, 1/3/24 | 24,981,150 | ||||
4,600,000(h) | Realty Income Corp., 5.453%, 1/2/24 | 4,597,148 |
Principal Amount USD ($) | Value | |||||
Commercial Paper — (continued) | ||||||
14,000,000(h) | WEC Energy Group, Inc., 5.512%, 1/3/24 | $ 13,989,447 | ||||
3,500,000(h) | WEC Energy Group, Inc., 5.510%, 1/8/24 | 3,494,699 | ||||
7,000,000(h) | Wisconsin Electric Power Co., 5.424%, 1/3/24 | 6,994,726 | ||||
Total Commercial Paper (Cost $284,717,636) | $284,586,825 | |||||
Shares | ||||||
Open-End Fund — 3.2% | ||||||
161,041,019(i) | Dreyfus Government Cash Management, Institutional Shares, 5.25% | $ 161,041,019 | ||||
$161,041,019 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost $757,268,655) | $757,137,844 | |||||
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS — 99.1% (Cost $5,046,729,238) | $5,011,127,273 | |||||
OTHER ASSETS AND LIABILITIES — 0.9% | $46,842,222 | |||||
net assets — 100.0% | $5,057,969,495 | |||||
(TBA) | “To Be Announced” Securities. |
bps | Basis Points. |
CMT | Constant Maturity Treasury Index. |
IBOR | Interbank Offered Rate. |
LIBOR | London Interbank Offered Rate. |
PRIME | U.S. Federal Funds Rate. |
REMICs | Real Estate Mortgage Investment Conduits. |
SOFR | Secured Overnight Financing Rate. |
SOFR30A | Secured Overnight Financing Rate 30 Day Average. |
STRIPS | Separate Trading of Registered Interest and Principal of Securities. |
(144A) | The resale of such security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers. At December 31, 2023, the value of these securities amounted to $2,820,704,114, or 55.8% of net assets. |
(a) | Floating rate note. Coupon rate, reference index and spread shown at December 31, 2023. |
(b) | This term loan will settle after December 31, 2023, at which time the interest rate will be determined. |
(c) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at December 31, 2023. |
(d) | Non-income producing security. |
(e) | Issued as participation notes. |
(f) | Issued as preference shares. |
(g) | Security issued with a zero coupon. Income is recognized through accretion of discount. |
(h) | Rate shown represents yield-to-maturity. |
(i) | Rate periodically changes. Rate disclosed is the 7-day yield at December 31, 2023. |
* | Senior secured floating rate loan interests in which the Fund invests generally pay interest at rates that are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR or SOFR, (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at December 31, 2023. |
+ | Security is valued using significant unobservable inputs (Level 3). |
† | Amount rounds to less than 0.1%. |
# | Securities are restricted as to resale. |
Restricted Securities | Acquisition date | Cost | Value |
Acorn Re | 10/25/2021 | $2,500,000 | $2,453,250 |
Adare Re 2022-2 | 10/20/2022 | 2,671,747 | 3,000,488 |
Alamo Re | 11/16/2023 | 2,024,500 | 2,024,000 |
Alturas Re 2021-3 | 7/1/2021 | 482,532 | 208,000 |
Alturas Re 2022-2 | 1/6/2022 | 93,527 | 109,050 |
Ballybunion Re 2022 | 3/9/2022 | 3,338 | 39,572 |
Ballybunion Re 2022-2 | 8/9/2022 | 1,053,082 | 1,069,415 |
Berwick Re 2019-1 | 12/31/2018 | 437,104 | 438,964 |
Berwick Re 2022 | 12/28/2021 | 80,457 | 86,757 |
Bonanza Re | 2/13/2020 | 1,500,000 | 1,488,750 |
Bonanza Re | 12/15/2020 | 2,000,000 | 1,874,800 |
Bonanza Re | 3/11/2022 | 250,000 | 236,375 |
Caelus Re V | 4/27/2017 | 125,000 | 100,000 |
Caelus Re V | 5/4/2018 | 500,000 | 350,000 |
Caelus Re V | 5/4/2018 | 750,000 | 75 |
Restricted Securities | Acquisition date | Cost | Value |
Caelus Re VI | 2/20/2020 | $750,000 | $747,375 |
Cape Lookout Re | 3/16/2022 | 3,000,000 | 2,963,100 |
Citrus Re | 4/11/2022 | 2,500,000 | 2,499,750 |
Commonwealth Re | 6/15/2022 | 1,000,000 | 994,300 |
Cypress Re 2017 | 1/24/2017 | 3,361 | 100 |
Easton Re Pte | 12/15/2020 | 4,500,000 | 4,486,500 |
Everglades Re II | 11/21/2023 | 4,785,625 | 4,785,625 |
Everglades Re II | 11/21/2023 | 506,000 | 505,750 |
FloodSmart Re | 2/14/2022 | 1,500,000 | 1,459,050 |
Formby Re 2018 | 7/9/2018 | 6,214 | — |
Four Lakes Re | 11/5/2020 | 1,750,000 | 1,744,750 |
Four Lakes Re | 12/15/2021 | 2,000,000 | 1,942,600 |
Gateway Re | 11/9/2023 | 1,498,701 | 1,494,750 |
Gleneagles Re 2022 | 1/18/2022 | 1,332,285 | 1,425,900 |
Gullane Re 2018 | 3/26/2018 | — | 100,036 |
Harambee Re 2018 | 12/19/2017 | 42,461 | — |
Harambee Re 2019 | 12/20/2018 | — | 6,000 |
Herbie Re | 10/19/2020 | 500,000 | 496,800 |
Integrity Re | 5/9/2022 | 2,000,000 | 1,916,800 |
International Bank for Reconstruction & Development | 2/28/2020 | 500,000 | 499,000 |
International Bank for Reconstruction & Development | 2/28/2020 | 500,000 | 225,000 |
International Bank for Reconstruction & Development | 7/19/2021 | 4,000,000 | 4,000,000 |
Kilimanjaro III Re | 6/15/2022 | 1,000,000 | 1,001,000 |
Limestone Re 2019-2B | 6/20/2018 | 1,771 | 398 |
Long Point Re IV | 5/13/2022 | 3,500,000 | 3,454,850 |
Lorenz Re 2019 | 6/26/2019 | 449,766 | 26,348 |
Matterhorn Re | 6/5/2020 | 399,948 | 140,000 |
Matterhorn Re | 12/15/2021 | 250,000 | 230,300 |
Matterhorn Re | 3/10/2022 | 5,000,000 | 4,875,000 |
Matterhorn Re | 3/10/2022 | 2,000,000 | 1,968,000 |
Merion Re 2018-2 | 12/28/2017 | — | 149,952 |
Merion Re 2022-2 | 2/22/2022 | 4,000,000 | 3,792,446 |
Merna Re II | 6/8/2021 | 2,200,000 | 2,171,400 |
Mona Lisa Re | 6/22/2021 | 1,000,000 | 990,000 |
Mystic Re IV | 6/9/2021 | 4,000,000 | 3,859,200 |
Northshore Re II | 12/2/2020 | 1,500,000 | 1,495,500 |
Oakmont Re 2022 | 5/4/2022 | 345,066 | 471,758 |
Pangaea Re 2021-3 | 6/17/2021 | — | 97,497 |
Phoenician Re | 12/1/2021 | 2,000,000 | 1,971,000 |
Portrush Re 2017 | 6/12/2017 | 613,588 | 80 |
Residential Re | 10/30/2020 | 1,500,000 | 1,482,750 |
Residential Re | 10/28/2021 | 5,000,000 | 4,708,000 |
Restricted Securities | Acquisition date | Cost | Value |
Resilience Re | 2/8/2017 | $1,209 | $— |
RosaPenna Re 2021 | 7/16/2021 | — | 160,000 |
RosaPenna Re 2022 | 9/6/2022 | 3,153,869 | 3,365,619 |
Sanders Re II | 5/24/2021 | 3,000,000 | 2,895,900 |
Sanders Re II | 11/23/2021 | 2,752,500 | 2,627,075 |
Sanders Re III | 3/22/2022 | 3,000,000 | 2,841,600 |
Sector Re V | 4/23/2019 | 542,490 | 421,326 |
Sector Re V | 5/1/2019 | 1,861 | 45,877 |
Sector Re V | 1/1/2020 | 3,266 | 287,885 |
Sector Re V | 12/6/2021 | — | 173,313 |
Sussex Re | 12/7/2020 | 1,000,000 | 984,200 |
Thopas Re 2019 | 12/21/2018 | — | 41,400 |
Thopas Re 2022 | 2/7/2022 | — | 28,350 |
Torrey Pines Re Pte | 3/12/2021 | 1,000,000 | 989,400 |
Torricelli Re 2021 | 7/1/2021 | — | 100,000 |
Torricelli Re 2022 | 7/26/2022 | — | 89,600 |
Viribus Re 2018 | 12/22/2017 | 15,839 | — |
Viribus Re 2019 | 12/27/2018 | — | 7,750 |
Vitality Re XI | 1/23/2020 | 3,000,000 | 2,991,000 |
Vitality Re XI | 1/23/2020 | 1,249,925 | 1,246,250 |
Woburn Re 2019 | 1/30/2019 | 107,557 | 135,513 |
Total Restricted Securities | $98,090,219 | ||
% of Net assets | 1.9% |
Level 1 | – | unadjusted quoted prices in active markets for identical securities. |
Level 2 | – | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
Level 3 | – | significant unobservable inputs (including the Adviser's own assumptions in determining fair value of investments). |
Level 1 | Level 2 | Level 3 | Total | |
Senior Secured Floating Rate Loan Interests | $— | $94,005,874 | $— | $94,005,874 |
Asset Backed Securities | — | 1,620,383,736 | — | 1,620,383,736 |
Collateralized Mortgage Obligations | — | 479,798,963 | — | 479,798,963 |
Commercial Mortgage-Backed Securities | — | 235,690,839 | — | 235,690,839 |
Corporate Bonds | — | 1,547,929,172 | — | 1,547,929,172 |
Insurance-Linked Securities | ||||
Collateralized Reinsurance | ||||
Earthquakes – California | — | — | 3,000,488 | 3,000,488 |
Multiperil – U.S. | — | — | 1,108,987 | 1,108,987 |
Multiperil – Worldwide | — | — | 498 | 498 |
Windstorm – Florida | — | — | 80 | 80 |
Windstorm – U.S. Regional | — | — | 471,758 | 471,758 |
Reinsurance Sidecars | ||||
Multiperil – U.S. | — | — | 6,000 | 6,000 |
Multiperil – Worldwide | — | — | 11,291,583 | 11,291,583 |
All Other Insurance-Linked Securities | — | 82,210,825 | — | 82,210,825 |
U.S. Government and Agency Obligations | — | 178,090,626 | — | 178,090,626 |
Repurchase Agreements | — | 311,510,000 | — | 311,510,000 |
Commercial Paper | — | 284,586,825 | — | 284,586,825 |
Open-End Fund | 161,041,019 | — | — | 161,041,019 |
Total Investments in Securities | $161,041,019 | $4,834,206,860 | $15,879,394 | $5,011,127,273 |