|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
MORTGAGE-BACKED SECURITIES – 53.2%
|
||||
|
|
Collateralized Mortgage Obligations – 18.0%
|
|
|
|
|
|
Banc of America Mortgage Trust
|
|
|
|
|
$27,624
|
Series 2002-L, Class 1A1 (a)
|
3.21
%
|
12/01/32
|
$20,933
|
|
|
Citigroup Mortgage Loan Trust
|
|
|
|
|
66,739
|
Series 2005-6, Class A1, US Treasury Yield Curve Rate T
Note Constant Maturity 1 Year + 2.10% (b)
|
7.20
%
|
09/01/35
|
66,091
|
|
9,515
|
Series 2009-10, Class 1A1 (a) (c)
|
5.66
%
|
09/01/33
|
9,358
|
|
|
Connecticut Avenue Securities Trust
|
|
|
|
|
1,000,000
|
Series 2019-R01, Class 2B1, 30 Day Average SOFR + CSA +
4.35% (b) (c)
|
9.81
%
|
07/25/31
|
1,073,460
|
|
|
Countrywide Home Loan Mortgage Pass-Through Trust
|
|
|
|
|
235,533
|
Series 2006-HYB5, Class 3A1A (a)
|
4.97
%
|
09/01/36
|
204,628
|
|
|
GSR Mortgage Loan Trust
|
|
|
|
|
2,081
|
Series 2003-10, Class 1A12 (a)
|
5.70
%
|
10/01/33
|
1,971
|
|
78,500
|
Series 2005-AR1, Class 4A1 (a)
|
3.68
%
|
01/01/35
|
67,187
|
|
|
JP Morgan Mortgage Trust
|
|
|
|
|
26,619
|
Series 2006-A2, Class 5A3 (a)
|
6.13
%
|
11/01/33
|
25,576
|
|
491,639
|
Series 2015-IVR2, Class A5 (a) (c)
|
6.90
%
|
01/01/45
|
488,353
|
|
|
LHOME Mortgage Trust
|
|
|
|
|
1,000,000
|
Series 2023-RTL2, Class M, steps up to 11.00% on
1/25/2026 (c) (d)
|
9.00
%
|
06/25/28
|
928,558
|
|
|
MASTR Alternative Loan Trust
|
|
|
|
|
3,544,968
|
Series 2006-2, Class 2A3, 1 Mo. CME Term SOFR + CSA +
0.35% (b)
|
5.80
%
|
03/25/36
|
375,235
|
|
|
MASTR Asset Securitization Trust
|
|
|
|
|
14,189
|
Series 2003-11, Class 6A16
|
5.25
%
|
12/01/33
|
13,629
|
|
|
NYMT Loan Trust
|
|
|
|
|
1,000,000
|
Series 2024-BPL1, Class A2, steps up to 10.12% on
7/25/2026 (c) (d)
|
8.62
%
|
02/25/29
|
1,000,034
|
|
|
Pretium Mortgage Credit Partners I LLC
|
|
|
|
|
1,000,000
|
Series 2021-NPL2, Class A2, steps up to 7.84% on
6/27/2025 (c) (d)
|
3.84
%
|
06/27/60
|
895,566
|
|
|
PRKCM Trust
|
|
|
|
|
1,000,000
|
Series 2021-AFC1, Class B2 (c)
|
3.95
%
|
08/01/56
|
662,762
|
|
|
Residential Accredit Loans, Inc.
|
|
|
|
|
67,534
|
Series 2006-QO1, Class 2A1, 1 Mo. CME Term SOFR + CSA +
0.54% (b)
|
5.99
%
|
02/25/46
|
38,333
|
|
655,528
|
Series 2006-QS6, Class 1AV, IO (a)
|
0.77
%
|
06/01/36
|
13,674
|
|
|
Residential Asset Securitization Trust
|
|
|
|
|
18,781
|
Series 2004-A3, Class A7
|
5.25
%
|
06/01/34
|
17,145
|
|
|
Roc Mortgage Trust
|
|
|
|
|
1,000,000
|
Series 2021-RTL1, Class M (c)
|
5.68
%
|
08/25/26
|
915,859
|
|
|
Starwood Mortgage Residential Trust
|
|
|
|
|
875,399
|
Series 2022-3, Class A1 (c)
|
4.16
%
|
03/01/67
|
846,667
|
|
|
Structured Asset Securities Corp. Mortgage Pass-Through
Certificates
|
|
|
|
|
6,255
|
Series 2001-SB1, Class A2
|
3.38
%
|
08/01/31
|
6,232
|
|
|
VCAT LLC
|
|
|
|
|
1,000,000
|
Series 2021-NPL5, Class A2, steps up to 7.84% on
8/25/2025 (c) (d)
|
3.84
%
|
08/25/51
|
914,537
|
|
1,000,000
|
Series 2021-NPL6, Class A2, steps up to 7.97% on
9/25/2025 (c) (d)
|
3.97
%
|
09/25/51
|
933,111
|
|
|
Washington Mutual Alternative Mortgage Pass-Through Certificates
|
|
|
|
|
9,902
|
Series 2007-5, Class A11, (1 Mo. CME Term SOFR + CSA) x -6
+ 39.48% (e)
|
6.78
%
|
06/25/37
|
10,779
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
||||
|
|
Collateralized Mortgage Obligations (Continued)
|
|
|
|
|
|
WinWater Mortgage Loan Trust
|
|
|
|
|
$210,850
|
Series 2015-3, Class B1 (a) (c)
|
3.84
%
|
03/01/45
|
$194,495
|
|
|
|
9,724,173
|
||
|
|
Commercial Mortgage-Backed Securities – 35.2%
|
|
|
|
|
|
1211 Avenue of the Americas Trust
|
|
|
|
|
935,000
|
Series 2015-1211, Class C (a) (c)
|
4.28
%
|
08/01/35
|
883,252
|
|
|
Aventura Mall Trust
|
|
|
|
|
1,250,000
|
Series 2018-AVM, Class D (a) (c)
|
4.25
%
|
07/01/40
|
1,093,015
|
|
|
BAMLL Commercial Mortgage Securities Trust
|
|
|
|
|
1,000,000
|
Series 2013-WBRK, Class A (a) (c)
|
3.65
%
|
03/01/37
|
913,179
|
|
|
BANK
|
|
|
|
|
22,262,400
|
Series 2017-BNK7, Class XA, IO (a)
|
0.85
%
|
09/01/60
|
434,126
|
|
2,160,500
|
Series 2020-BNK30, Class E (c)
|
2.50
%
|
12/01/53
|
1,348,433
|
|
|
BBCMS Mortgage Trust
|
|
|
|
|
1,000,000
|
Series 2018-TALL, Class A, 1 Mo. CME Term SOFR + CSA +
0.87% (b) (c)
|
6.25
%
|
03/15/37
|
954,009
|
|
|
Benchmark Mortgage Trust
|
|
|
|
|
21,200,694
|
Series 2018-B5, Class XA, IO (a)
|
0.61
%
|
07/01/51
|
342,247
|
|
1,000,000
|
Series 2020-IG2, Class UBRD (a) (c)
|
3.63
%
|
09/01/48
|
876,622
|
|
|
CCRE Commercial Mortgage Securities L.P.
|
|
|
|
|
7,874,306
|
CFCRE Mortgage Trust Commercial Mortgage Pass-Through
Certificates, Series 2017-C8, Class XA, IO (a)
|
1.64
%
|
06/01/50
|
286,698
|
|
|
CD Mortgage Trust
|
|
|
|
|
8,597,134
|
Series 2018-CD7, Class XA, IO (a)
|
0.80
%
|
08/01/51
|
213,344
|
|
|
Citigroup Commercial Mortgage Trust
|
|
|
|
|
4,155,615
|
Series 2015-GC29, Class XA, IO (a)
|
1.15
%
|
04/01/48
|
35,077
|
|
8,561,280
|
Series 2016-GC37, Class XA, IO (a)
|
1.81
%
|
04/01/49
|
218,934
|
|
5,688,849
|
Series 2016-P4, Class XA, IO (a)
|
2.05
%
|
07/01/49
|
191,081
|
|
|
COMM Mortgage Trust
|
|
|
|
|
122,774,000
|
Series 2014-UBS6, Class XB, IO (a) (c)
|
0.11
%
|
12/01/47
|
42,553
|
|
3,829,000
|
Series 2015-CCRE26, Class XD, IO (a) (c)
|
1.36
%
|
10/01/48
|
67,777
|
|
14,607,535
|
Series 2015-LC21, Class XA, IO (a)
|
0.78
%
|
07/01/48
|
91,090
|
|
|
Credit Suisse Mortgage Trust
|
|
|
|
|
1,000,000
|
Series 2022-CNTR, Class A, 1 Mo. CME Term SOFR + CSA +
3.94%, 4.09% Floor (b) (c)
|
9.28
%
|
01/15/24
|
892,613
|
|
|
CSAIL Commercial Mortgage Trust
|
|
|
|
|
5,872,060
|
Series 2020-C19, Class XA, IO (a)
|
1.22
%
|
03/01/53
|
290,343
|
|
|
FIVE Mortgage Trust
|
|
|
|
|
25,836,206
|
Series 2023-V1, Class XA, IO
|
1.04
%
|
02/01/56
|
602,911
|
|
|
GS Mortgage Securities Corp Trust
|
|
|
|
|
1,000,000
|
Series 2018-3PCK, Class C, 1 Mo. CME Term SOFR + CSA +
3.50% (b) (c)
|
8.95
%
|
09/15/31
|
978,299
|
|
|
GS Mortgage Securities Trust
|
|
|
|
|
823,474
|
Series 2012-GCJ9, Class D (a) (c)
|
4.75
%
|
11/01/45
|
754,108
|
|
|
Houston Galleria Mall Trust
|
|
|
|
|
1,000,000
|
Series 2015-HGLR, Class D (c)
|
3.98
%
|
03/01/37
|
939,877
|
|
|
Hudsons Bay Simon JV Trust
|
|
|
|
|
11
|
Series 2015-HBFL, Class DFL, 1 Mo. CME Term SOFR + CSA +
3.90% (b) (c)
|
9.36
%
|
08/05/34
|
8
|
|
|
JP Morgan Chase Commercial Mortgage Securities Trust
|
|
|
|
|
20,142,183
|
Series 2016-JP4, Class XA, IO (a)
|
0.71
%
|
12/01/49
|
247,225
|
|
969,086
|
Series 2018-PHH, Class A, 1 Mo. CME Term SOFR + CSA +
1.21%, 2.71% Floor (b) (c)
|
6.59
%
|
06/15/35
|
888,927
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
||||
|
|
Commercial Mortgage-Backed Securities (Continued)
|
|
|
|
|
|
LSTAR Commercial Mortgage Trust
|
|
|
|
|
$1,500,000
|
Series 2017-5, Class D (a) (c)
|
4.82
%
|
03/01/50
|
$1,068,202
|
|
23,478,829
|
Series 2017-5, Class X, IO (a) (c)
|
0.98
%
|
03/01/50
|
378,444
|
|
|
LUXE Trust
|
|
|
|
|
1,000,000
|
Series 2021-TRIP, Class F, 1 Mo. CME Term SOFR + CSA +
3.25% (b) (c)
|
8.70
%
|
10/15/38
|
980,769
|
|
|
Morgan Stanley Bank of America Merrill Lynch Trust
|
|
|
|
|
11,238,728
|
Series 2014-C16, Class XA, IO (a)
|
1.01
%
|
06/01/47
|
1,754
|
|
1,845,487
|
Series 2014-C19, Class XA, IO (a)
|
1.10
%
|
12/01/47
|
5,125
|
|
5,632,500
|
Series 2014-C19, Class XE, IO (a) (c)
|
1.33
%
|
12/01/47
|
55,073
|
|
426,498
|
Series 2016-C31, Class XA, IO (a)
|
1.41
%
|
11/01/49
|
11,011
|
|
|
Morgan Stanley Capital I Trust
|
|
|
|
|
2,180,000
|
Series 2016-UBS9, Class XD, IO (a) (c)
|
1.75
%
|
03/01/49
|
63,641
|
|
1,320,000
|
Series 2019-L2, Class C (a)
|
5.14
%
|
03/01/52
|
1,120,751
|
|
|
VMC Finance
|
|
|
|
|
820,463
|
Series 2021-HT1, Class A, 1 Mo. CME Term SOFR + CSA +
1.65% (b) (c)
|
7.10
%
|
01/18/37
|
806,853
|
|
|
Wells Fargo Commercial Mortgage Trust
|
|
|
|
|
1,217,385
|
Series 2015-C26, Class XA, IO (a)
|
1.32
%
|
02/01/48
|
9,293
|
|
1,034,000
|
Series 2016-NXS6, Class C (a)
|
4.54
%
|
11/01/49
|
937,213
|
|
|
|
19,023,877
|
||
|
|
Total Mortgage-Backed Securities
|
28,748,050
|
||
|
|
(Cost $30,831,093)
|
|
|
|
|
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 39.3%
|
||||
|
|
Collateralized Mortgage Obligations – 22.9%
|
|
|
|
|
|
Federal Home Loan Mortgage Corp.
|
|
|
|
|
70
|
Series 2303, Class SW, IO, ECOFIN x -15.87 + 121.11%, Capped
at 10.00% (e)
|
10.00
%
|
03/01/24
|
0
|
|
111,312
|
Series 2439, Class XI, IO, if 1 Mo. LIBOR x -1 + 7.74% is less
than 7.50%, then 6.50%, otherwise 0.00% (e)
|
6.50
%
|
03/01/32
|
14,485
|
|
579,501
|
Series 2975, Class SJ, IO, (30 Day Average SOFR + CSA) x -1 +
6.65% (e)
|
1.19
%
|
05/15/35
|
43,841
|
|
13,793
|
Series 3451, Class SB, IO, (30 Day Average SOFR + CSA) x -1 +
6.03% (e)
|
0.57
%
|
05/15/38
|
1,065
|
|
198,400
|
Series 3471, Class SD, IO, (30 Day Average SOFR + CSA) x -1 +
6.08% (e)
|
0.62
%
|
12/15/36
|
17,105
|
|
8,555
|
Series 4021, Class IP, IO
|
3.00
%
|
03/01/27
|
253
|
|
151,566
|
Series 4057, Class YI, IO
|
3.00
%
|
06/01/27
|
4,825
|
|
300,480
|
Series 4082, Class PI, IO
|
3.00
%
|
06/01/27
|
9,492
|
|
221,734
|
Series 4206, Class IA, IO
|
3.00
%
|
03/01/33
|
16,416
|
|
1,040,240
|
Series 4959, Class JF, 30 Day Average SOFR + CSA + 0.40% (b)
|
5.91
%
|
03/25/50
|
1,008,784
|
|
1,084,509
|
Series 4990, Class AF, 30 Day Average SOFR + CSA +
0.45% (b)
|
5.86
%
|
07/25/50
|
1,048,619
|
|
1,028,322
|
Series 5004, Class FG, 30 Day Average SOFR + CSA +
0.40% (b)
|
5.86
%
|
08/25/50
|
983,809
|
|
|
Federal Home Loan Mortgage Corp. STACR REMIC Trust
|
|
|
|
|
1,000,000
|
Series 2020-DNA1, Class B2, 30 Day Average SOFR + CSA +
5.25% (b) (c)
|
10.71
%
|
01/25/50
|
1,066,260
|
|
1,000,000
|
Series 2020-DNA2, Class B2, 30 Day Average SOFR + CSA +
4.80% (b) (c)
|
10.26
%
|
02/25/50
|
1,064,434
|
|
1,000,000
|
Series 2020-HQA2, Class B2, 30 Day Average SOFR + CSA +
7.60% (b) (c)
|
13.06
%
|
03/25/50
|
1,158,208
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)
|
||||
|
|
Collateralized Mortgage Obligations (Continued)
|
|
|
|
|
|
Federal Home Loan Mortgage Corp. STACR Trust
|
|
|
|
|
$1,000,000
|
Series 2019-DNA3, Class B2, 30 Day Average SOFR + CSA +
8.15% (b) (c)
|
13.61
%
|
07/25/49
|
$1,159,777
|
|
1,000,000
|
Series 2019-DNA4, Class B2, 30 Day Average SOFR + CSA +
6.25% (b) (c)
|
11.71
%
|
10/25/49
|
1,108,316
|
|
|
Federal Home Loan Mortgage Corp. Structured Pass-Through
Certificates
|
|
|
|
|
44,054
|
Series T-56, Class APO, PO
|
(f)
|
05/01/43
|
34,444
|
|
|
Federal Home Loan Mortgage Corp., STRIPS
|
|
|
|
|
13,718
|
Series 177, IO
|
7.00
%
|
07/01/26
|
737
|
|
|
Federal National Mortgage Association
|
|
|
|
|
10,250
|
Series 1996-46, Class ZA
|
7.50
%
|
11/01/26
|
10,297
|
|
1,467
|
Series 1997-85, Class M, IO
|
6.50
%
|
12/01/27
|
5
|
|
15,158
|
Series 2002-80, Class IO, IO
|
6.00
%
|
09/01/32
|
856
|
|
41,067
|
Series 2003-15, Class MS, IO, (30 Day Average SOFR + CSA) x
-1 + 8.00% (e)
|
2.54
%
|
03/25/33
|
4,537
|
|
47,817
|
Series 2003-44, Class IU, IO
|
7.00
%
|
06/01/33
|
6,850
|
|
47,464
|
Series 2005-6, Class SE, IO, (30 Day Average SOFR + CSA) x -1
+ 6.70% (e)
|
1.24
%
|
02/25/35
|
3,939
|
|
26,064
|
Series 2007-100, Class SM, IO, (30 Day Average SOFR + CSA) x
-1 + 6.45% (e)
|
0.99
%
|
10/25/37
|
2,423
|
|
147,444
|
Series 2007-37, Class SB, IO, (30 Day Average SOFR + CSA) x
-1 + 6.75% (e)
|
1.29
%
|
05/25/37
|
15,971
|
|
294,177
|
Series 2008-17, Class BE
|
5.50
%
|
10/01/37
|
293,597
|
|
580,705
|
Series 2010-103, Class ID, IO
|
5.00
%
|
09/01/40
|
91,198
|
|
35,150
|
Series 2010-99, Class SG, (30 Day Average SOFR + CSA) x -5 +
25.00%, 0.00% Floor (b) (e)
|
0.00
%
|
09/01/40
|
35,581
|
|
261,989
|
Series 2011-81, Class PI, IO
|
3.50
%
|
08/01/26
|
5,694
|
|
176,375
|
Series 2012-112, Class BI, IO
|
3.00
%
|
09/01/31
|
2,591
|
|
1,252,827
|
Series 2012-125, Class MI, IO
|
3.50
%
|
11/01/42
|
175,294
|
|
16,897
|
Series 2013-132, Class SW, (30 Day Average SOFR + CSA) x
-2.67 + 10.67%, 0.00% Floor (b) (e)
|
0.00
%
|
01/01/44
|
13,114
|
|
1,521,660
|
Series 2013-32, Class IG, IO
|
3.50
%
|
04/01/33
|
134,779
|
|
1,263,158
|
Series 2015-20, Class ES, IO, (30 Day Average SOFR + CSA) x
-1 + 6.15% (e)
|
0.69
%
|
04/25/45
|
167,328
|
|
61,163
|
Series 2015-76, Class BI, IO
|
4.00
%
|
10/01/39
|
905
|
|
168,142
|
Series 2016-74, Class LI, IO
|
3.50
%
|
09/01/46
|
42,842
|
|
2,314,570
|
Series 2017-109, Class SJ, IO, (30 Day Average SOFR + CSA) x
-1 + 6.20% (e)
|
0.74
%
|
01/25/48
|
292,993
|
|
1,949,631
|
Series 5179, Class GZ
|
2.00
%
|
01/01/52
|
1,059,645
|
|
|
Federal National Mortgage Association, STRIPS
|
|
|
|
|
14,282
|
Series 305, Class 12, IO (g)
|
6.50
%
|
12/01/29
|
1,149
|
|
28,553
|
Series 355, Class 18, IO
|
7.50
%
|
11/01/33
|
3,733
|
|
421,422
|
Series 406, Class 6, IO (g)
|
4.00
%
|
01/01/41
|
68,800
|
|
|
Government National Mortgage Association
|
|
|
|
|
104,507
|
Series 2005-33, Class AY
|
5.50
%
|
04/01/35
|
105,076
|
|
127,400
|
Series 2007-68, Class PI, IO, (1 Mo. CME Term SOFR + CSA) x
-1 + 6.65% (e)
|
1.20
%
|
11/20/37
|
3,917
|
|
100,000
|
Series 2008-2, Class HB
|
5.50
%
|
01/01/38
|
99,764
|
|
107,322
|
Series 2008-73, Class SK, IO, (1 Mo. CME Term SOFR + CSA) x
-1 + 6.74% (e)
|
1.29
%
|
08/20/38
|
5,810
|
|
203,178
|
Series 2013-104, Class YS, IO, (1 Mo. CME Term SOFR + CSA)
x -1 + 6.15% (e)
|
0.70
%
|
07/16/43
|
15,162
|
|
3,470,712
|
Series 2015-158, Class KS, IO, (1 Mo. CME Term SOFR + CSA)
x -1 + 6.25% (e)
|
0.80
%
|
11/20/45
|
439,463
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)
|
||||
|
|
Collateralized Mortgage Obligations (Continued)
|
|
|
|
|
|
Government National Mortgage Association (Continued)
|
|
|
|
|
$76,571
|
Series 2016-139, Class MZ
|
1.50
%
|
07/01/45
|
$58,125
|
|
162,803
|
Series 2017-4, Class CZ
|
3.00
%
|
01/01/47
|
131,591
|
|
133,793
|
Series 2017-H18, Class DZ (g)
|
4.63
%
|
09/01/67
|
126,926
|
|
9,747,450
|
Series 2020-13, Class BT, IO, (1 Mo. CME Term SOFR + CSA) x
-1 + 6.20%, Capped at 0.50% (e)
|
0.50
%
|
11/20/45
|
202,377
|
|
|
|
12,363,202
|
||
|
|
Commercial Mortgage-Backed Securities – 13.1%
|
|
|
|
|
|
Federal Home Loan Mortgage Corp. Multifamily Structured
Pass-Through Certificates
|
|
|
|
|
30,000,000
|
Series K043, Class X3, IO (a)
|
1.69
%
|
02/01/43
|
437,565
|
|
14,500,000
|
Series K071, Class X3, IO (a)
|
2.08
%
|
11/01/45
|
983,727
|
|
4,000,000
|
Series K110, Class X3, IO (a)
|
3.52
%
|
06/01/48
|
664,976
|
|
4,605,411
|
Series K115, Class X3, IO (a)
|
3.06
%
|
09/01/48
|
684,186
|
|
4,326,216
|
Series K118, Class X3, IO (a)
|
2.79
%
|
10/25/48
|
598,453
|
|
1,900,000
|
Series K122, Class X3, IO (a)
|
2.72
%
|
01/01/49
|
262,143
|
|
5,000,000
|
Series K124, Class X3, IO (a)
|
2.71
%
|
02/01/49
|
700,660
|
|
3,343,856
|
Series K128, Class X3, IO (a)
|
2.88
%
|
04/01/31
|
507,193
|
|
1,831,144
|
Series K739, Class X3, IO (a)
|
2.90
%
|
11/25/48
|
153,142
|
|
323,032,160
|
Series KBX1, Class X1, IO (a)
|
0.24
%
|
01/01/26
|
328,072
|
|
4,571,896
|
Series KG06, Class X3, IO (a)
|
2.83
%
|
10/01/31
|
703,789
|
|
|
Federal National Mortgage Association, ACES
|
|
|
|
|
13,100,000
|
Series 2019-M29, Class X4, IO
|
0.70
%
|
03/01/29
|
356,289
|
|
|
Freddie Mac Multiclass Certificates
|
|
|
|
|
5,757,547
|
Series 2021-P011, Class X1, IO (a)
|
1.78
%
|
09/01/45
|
688,472
|
|
|
|
7,068,667
|
||
|
|
Pass-through Security – 3.3%
|
|
|
|
|
|
Fannie Mae or Freddie Mac
|
|
|
|
|
2,000,000
|
Pool TBA (h)
|
3.50
%
|
03/01/54
|
1,821,398
|
|
|
Total U.S. Government Agency Mortgage-Backed Securities
|
21,253,267
|
||
|
|
(Cost $23,822,720)
|
|
|
|
|
ASSET-BACKED SECURITIES – 6.4%
|
||||
|
|
Adams Outdoor Advertising LP
|
|
|
|
|
1,000,000
|
Series 2023-1, Class B (c)
|
8.81
%
|
07/15/53
|
1,030,218
|
|
|
CoreVest American Finance Trust
|
|
|
|
|
8,852,721
|
Series 2021-3, Class XA, IO (a) (c)
|
2.53
%
|
10/01/54
|
456,966
|
|
|
Mid-State Capital Corp. Trust
|
|
|
|
|
107,044
|
Series 2005-1, Class A
|
5.75
%
|
01/01/40
|
105,837
|
|
|
PAGAYA AI Debt Trust
|
|
|
|
|
328,352
|
Series 2022-3, Class A (c)
|
6.06
%
|
03/15/30
|
327,989
|
|
1,000,000
|
Series 2023-7, Class A (c)
|
7.23
%
|
07/15/31
|
1,004,106
|
|
|
Santander Bank Auto Credit-Linked Notes
|
|
|
|
|
500,000
|
Series 2023-B, Class E (c)
|
8.41
%
|
12/15/33
|
503,695
|
|
|
Total Asset-Backed Securities
|
3,428,811
|
||
|
|
(Cost $3,414,971)
|
|
|
|
|
Shares
|
Description
|
Value
|
|
MONEY MARKET FUNDS – 2.7%
|
||
|
1,443,084
|
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.18% (i)
|
$1,443,083
|
|
|
(Cost $1,443,083)
|
|
|
|
Total Investments – 101.6%
|
54,873,211
|
||
|
|
(Cost $59,511,867)
|
|
|
|
|
Number of
Contracts
|
Description
|
Notional
Amount
|
Exercise
Price
|
Expiration
Date
|
Value
|
|
CALL OPTIONS PURCHASED – 0.0%
|
|||||
|
5
|
U.S. Treasury Long Bond Futures Call
|
$611,719
|
$123.00
|
05/24/24
|
15,078
|
|
|
(Premiums paid $17,045)
|
|
|
|
|
|
|
Net Other Assets and Liabilities – (1.6)%
|
(856,498
)
|
|
|
Net Assets – 100.0%
|
$54,031,791
|
|
Futures Contracts
|
Position
|
Number of
Contracts
|
Expiration
Date
|
Notional
Value
|
Unrealized
Appreciation
(Depreciation)/
Value
|
|
10-Year U.S. Treasury Note Futures
|
Long
|
49
|
Mar 2024
|
$5,504,078
|
$108,938
|
|
CME Ultra Long Term U.S. Treasury Bond Futures
|
Long
|
5
|
Mar 2024
|
646,094
|
3,719
|
|
Ultra 10-Year U.S. Treasury Notes
|
Long
|
56
|
Mar 2024
|
6,545,000
|
180,187
|
|
US Treasury 2 Year Note Futures
|
Long
|
14
|
Mar 2024
|
2,879,188
|
6,391
|
|
US Treasury 5 Year Note Futures
|
Long
|
14
|
Mar 2024
|
1,517,469
|
27,234
|
|
US Treasury Bond Futures
|
Long
|
19
|
Mar 2024
|
2,324,531
|
80,562
|
|
|
|
|
|
$19,416,360
|
$407,031
|
|
(a)
|
Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment’s underlying collateral. The
interest rate resets periodically.
|
|
(b)
|
Floating or variable rate security.
|
|
(c)
|
This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under
Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally
to
qualified institutional buyers. Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined
to be liquid by First Trust Advisors L.P., the Fund’s investment advisor. Although market instability can result in periods of
increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions,
which require subjective judgment. At January 31, 2024, securities noted as such amounted to $31,728,383 or 58.7% of net assets.
|
|
(d)
|
Step-up security. A security where the coupon increases or steps up at a predetermined date. Interest rate shown reflects
the rate in
effect at January 31, 2024.
|
|
(e)
|
Inverse floating rate security.
|
|
(f)
|
Zero coupon security.
|
|
(g)
|
Weighted Average Coupon security. Coupon is based on the blended interest rate of the underlying holdings, which may have
different coupons. The coupon may change in any period.
|
|
(h)
|
All or portion of this security is part of a mortgage dollar roll agreement.
|
|
(i)
|
Rate shown reflects yield as of January 31, 2024.
|
|
Abbreviations throughout the Portfolio of Investments:
|
|
|
ACES
|
– Alternative Credit Enhancement Securities
|
|
CME
|
– Chicago Mercantile Exchange
|
|
CSA
|
– Credit Spread Adjustment
|
|
ECOFIN
|
– Enterprise 11th District COFI Institutional Replacement Index
|
|
IO
|
– Interest-Only Security - Principal amount shown represents par value on which interest payments are based.
|
|
LIBOR
|
– London Interbank Offered Rate
|
|
PO
|
– Principal-Only Security
|
|
REMIC
|
– Real Estate Mortgage Investment Conduit
|
|
SOFR
|
– Secured Overnight Financing Rate
|
|
STACR
|
– Structured Agency Credit Risk
|
|
STRIPS
|
– Separate Trading of Registered Interest and Principal of Securities
|
|
TBA
|
– To-Be-Announced Security
|
|
|
Total
Value at
1/31/2024
|
Level 1
Quoted
Prices
|
Level 2
Significant
Observable
Inputs
|
Level 3
Significant
Unobservable
Inputs
|
|
Mortgage-Backed Securities
|
$28,748,050
|
$—
|
$28,748,050
|
$—
|
|
U.S. Government Agency Mortgage-Backed Securities
|
21,253,267
|
—
|
21,253,267
|
—
|
|
Asset-Backed Securities
|
3,428,811
|
—
|
3,428,811
|
—
|
|
Money Market Funds
|
1,443,083
|
1,443,083
|
—
|
—
|
|
Total Investments
|
54,873,211
|
1,443,083
|
53,430,128
|
—
|
|
Purchased Options
|
15,078
|
15,078
|
—
|
—
|
|
Futures Contracts
|
407,031
|
407,031
|
—
|
—
|
|
Total
|
$55,295,320
|
$1,865,192
|
$53,430,128
|
$—
|