NPORT-EX 2 dft.htm

 

DoubleLine Total Return Bond Fund   (Unaudited)
     
Schedule of Investments   December 31, 2024

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 ASSET BACKED OBLIGATIONS - 5.6%             
     Affirm, Inc.             
 26,635,000   Series 2023-B-A   6.82%(a)  09/15/2028   27,014,607 
     Aligned Data Centers Issuer LLC             
 12,950,000   Series 2021-1A-A2   1.94%(a)  08/15/2046   12,315,343 
 11,550,000   Series 2021-1A-B   2.48%(a)  08/15/2046   10,966,680 
     American Credit Acceptance Receivables Trust             
 2,800,000   Series 2024-4-C   4.91%(a)  08/12/2031   2,788,237 
     Apollo Aviation Securitization Equity Trust             
 3,596,243   Series 2018-1A-B   5.44%(a)  01/16/2038   1,032,899 
 8,747,090   Series 2020-1A-A   3.35%(a)  01/16/2040   8,428,433 
 11,881,781   Series 2024-1A-A1   6.26%(a)  05/16/2049   12,006,695 
 34,374,866   Series 2024-1A-B   6.90%(a)  05/16/2049   34,954,323 
 56,921,635   Series 2024-2A-A   5.93%(a)  09/16/2049   56,732,142 
 8,700,401   Series 2024-2A-B   6.61%(a)  09/16/2049   8,628,379 
     Blue Stream Communications LLC             
 21,500,000   Series 2024-1A-A2   5.41%(a)  11/20/2054   21,557,233 
     Bojangles Issuer LLC             
 18,000,000   Series 2024-1A-A2   6.58%(a)  11/20/2054   17,803,958 
     Bridgecrest Lending Auto Securitization Trust             
 19,700,000   Series 2024-4-C   4.83%  08/15/2030   19,620,075 
     CAI International, Inc.             
 11,116,138   Series 2020-1A-A   2.22%(a)  09/25/2045   10,323,683 
     Cajun Global LLC             
 9,700,000   Series 2021-1-A2   3.93%(a)  11/20/2051   9,263,919 
     Carbon Level Mitigation Trust             
 18,081,552   Series 2021-3-CERT   1.79%(a)(b)  09/08/2051   11,381,650 
 27,790,307   Series 2022-3-CERT   0.23%(a)  11/21/2052   15,049,535 
     Carvana Auto Receivables Trust             
 10,770,000   Series 2024-P3-B   4.53%  11/11/2030   10,516,815 
     Castlelake Aircraft Securitization Trust             
 5,759,220   Series 2017-1R-A   2.74%(a)  08/15/2041   5,449,720 
     Cloud Capital Holdco LP             
 27,250,000   Series 2024-2A-A2   5.92%(a)  11/22/2049   27,115,824 
     Coinstar Funding LLC             
 11,835,375   Series 2017-1A-A2   5.22%(a)  04/25/2047   10,659,200 
     Cologix Data Centers US Issuer LLC             
 950,000   Series 2021-1A-A2   3.30%(a)  12/26/2051   902,515 
     Commonbond Student Loan Trust             
 1,395,234   Series 2016-A-A1   3.32%(a)  05/25/2040   1,342,941 
     Compass Datacenters LLC             
 10,680,000   Series 2024-1A-A1   5.25%(a)  02/25/2049   10,634,328 
     Container Leasing International LLC             
 4,266,771   Series 2020-1A-A   2.08%(a)  09/18/2045   3,916,135 
     Cyrusone Holdco LLC             
 18,200,000   Series 2023-1A-A2   4.30%(a)  04/20/2048   17,523,737 
     DataBank Issuer             
 39,300,000   Series 2021-1A-A2   2.06%(a)  02/27/2051   37,841,573 
 31,000,000   Series 2021-2A-A2   2.40%(a)  10/25/2051   29,330,368 
 3,350,000   Series 2021-2A-B   2.79%(a)  10/25/2051   3,054,434 
     DB Master Finance Parent LLC             
 27,887,500   Series 2021-1A-A23   2.79%(a)  11/20/2051   23,595,377 
     Diamond Issuer             
 6,000,000   Series 2021-1A-B   2.70%(a)  11/20/2051   5,467,583 
     DigitalBridge Group, Inc.             
 6,300,000   Series 2023-1A-B   5.75%(a)  09/15/2048   6,171,864 
     Diversified Energy Co. PLC             
 11,292,350   Series 2024-1A-A1   7.08%(a)  05/30/2044   11,437,095 
     Dividend Solar Loans LLC             
 13,758,298   Series 2019-1-A   3.67%(a)  08/22/2039   12,170,260 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
    ECAF Ltd.           
 22,573,103   Series 2015-1A-A2   4.95%(a)  06/15/2040   17,141,134 
     Falcon Aerospace Ltd.             
 548,664   Series 2017-1-A   4.58%(a)  02/15/2042   552,440 
     Falko Regional Aircraft Ltd.             
 27,992,850   Series 2021-1A-A   5.75%  04/15/2041   27,242,110 
     FWEA             
 19,732,907   Series 2024-1-A   7.15%(c)  08/25/2044   19,786,186 
     GAIA Aviation Ltd.             
 8,866,369   Series 2019-1-A   3.97%(a)(d)  12/15/2044   8,539,235 
     Global Sea Containers Two SRL             
 17,544,561   Series 2020-1A-A   2.17%(a)  10/17/2040   16,535,829 
     GoodLeap Home Improvement Solutions Trust             
 19,021,184   Series 2024-1A-A   5.35%(a)  10/20/2046   18,962,690 
     GreenSky Home Improvement Issuer Trust             
 10,000,000   Series 2024-2-A3   5.15%(a)  10/27/2059   9,934,221 
     Helios Issuer LLC             
 11,897,112   Series 2018-1A-A   4.87%(a)  07/20/2048   10,846,652 
 10,560,617   Series 2019-AA-A   3.75%(a)  06/20/2046   9,461,826 
 27,679,239   Series 2020-2A-A   2.73%(a)  11/01/2055   21,888,942 
 11,724,250   Series 2021-C-B   2.33%(a)  10/20/2048   9,201,290 
     HERO Funding Trust             
 1,669,048   Series 2016-3A-A2   3.91%(a)  09/20/2042   1,532,428 
 4,435,942   Series 2016-4A-A2   4.29%(a)  09/20/2047   4,097,816 
     Horizon Aircraft Finance Ltd.             
 10,084,732   Series 2019-1-A   3.72%(a)  07/15/2039   9,619,755 
 25,131,875   Series 2024-1-A   5.38%(a)  09/15/2049   24,464,875 
     ITE Rail Fund Levered LP             
 11,469,723   Series 2024-1A-A   4.99%(a)  09/28/2054   11,082,021 
     Jack in the Box, Inc.             
 36,575,000   Series 2019-1A-A23   4.97%(a)  08/25/2049   34,719,503 
     Jersey Mike’s Funding             
 4,565,500   Series 2019-1A-A2   4.43%(a)  02/15/2050   4,512,423 
 14,000,000   Series 2024-1A-A2   5.64%(a)  02/15/2055   13,892,256 
     Jimmy Johns LLC             
 20,210,000   Series 2017-1A-A2II   4.85%(a)  07/30/2047   19,822,813 
     JOL Air Ltd.             
 7,193,975   Series 2019-1-A   3.97%(a)  04/15/2044   7,112,525 
     Labrador Aviation Finance Ltd.             
 44,909,897   Series 2016-1A-A1   4.30%(a)  01/15/2042   43,618,648 
     Loanpal Solar Loan Ltd.             
 1,328,037   Series 2021-1GS-B   2.84%(a)  01/20/2048   1,047,845 
     Luminace Issuer LLC             
 14,000,832   Series 2024-1-A   5.87%(a)  10/30/2031   13,728,404 
     Lunar Aircraft Ltd.             
 8,494,613   Series 2020-1A-A   3.38%(a)  02/15/2045   8,206,170 
     Lunar Structured Aircraft Portfolio Notes             
 981,560   Series 2021-1-B   3.43%(a)  10/15/2046   895,281 
     Mariner Finance Issuance Trust             
 35,000,000   Series 2024-BA-A   4.91%(a)  11/20/2038   34,500,399 
     Marlette Funding Trust             
 7,700,000   Series 2024-1A-B   6.07%(a)  07/17/2034   7,789,502 
     Mosaic Solar Loans LLC             
 10,206,505   Series 2017-2A-A   3.82%(a)  06/22/2043   9,552,339 
 6,321,602   Series 2018-1A-A   4.01%(a)  06/22/2043   5,897,451 
 8,175,165   Series 2018-2GS-A   4.20%(a)  02/22/2044   7,634,063 
 1,320,026   Series 2019-1A-A   4.37%(a)  12/21/2043   1,246,015 
     Navient Student Loan Trust             
 15,336,818   Series 2017-A-B   3.91%(a)  12/16/2058   15,137,368 
 11,000,000   Series 2018-BA-B   4.13%(a)  12/15/2059   10,514,823 
     Navigator Aircraft ABS Ltd.             
 10,224,202   Series 2021-1-B   3.57%(a)(d)  11/15/2046   9,434,546 
     NBC Funding LLC             
 16,608,375   Series 2024-1A-A2   6.75%(a)  07/30/2054   16,889,892 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
    Neighborly Issuer           
 14,233,750   Series 2021-1A-A2   3.58%(a)  04/30/2051   13,137,257 
     NP Railcar Holdings LLC             
 2,556,432   Series 2021-1A-A1   2.23%(a)  03/19/2051   2,421,025 
     Pagaya AI Debt Selection Trust             
 611,230   Series 2023-6-A   7.13%(a)  06/16/2031   611,615 
     Pioneer Aircraft Finance Ltd.             
 26,068,801   Series 2019-1-A   3.97%(a)  06/15/2044   25,090,074 
     Primrose Holdings, Inc.             
 12,464,375   Series 2019-1A-A2   4.48%(a)  07/30/2049   12,253,308 
     Project Silver             
 24,267,891   Series 2019-1-A   3.97%(a)  07/15/2044   22,824,655 
     Purewest Funding LLC             
 14,177,417   Series 2021-1-A1   4.09%(a)  12/22/2036   13,935,655 
     Raptor Aircraft Finance             
 12,627,457   Series 2019-1-A   4.21%(a)  08/23/2044   11,233,449 
     Renew             
 6,091,723   Series 2017-2A-A   3.22%(a)  09/22/2053   5,409,315 
     Research-Driven Pagaya Motor Asset Trust             
 15,635,629   Series 2021-2A-A   2.65%(a)  03/25/2030   15,264,899 
     Sapphire Aviation Finance Ltd.             
 29,325,683   Series 2020-1A-A   3.23%(a)  03/15/2040   27,701,949 
 7,372,895   Series 2020-1A-B   4.34%(a)  03/15/2040   6,267,949 
     SEB Funding LLC             
 17,705,625   Series 2021-1A-A2   4.97%(a)  01/30/2052   17,281,931 
     ServiceMaster Funding LLC             
 3,922,477   Series 2020-1-A2II   3.34%(a)  01/30/2051   3,335,825 
     SFS Auto Receivables Securitization Trust             
 11,300,000   Series 2024-3A-A4   4.60%(a)  11/20/2031   11,262,221 
     Shenton Aircraft Investment Ltd.             
 16,116,660   Series 2015-1A-A   4.75%(a)  10/15/2042   15,157,542 
     Sierra Timeshare Conduit Receivables Funding LLC             
 1,069,907   Series 2021-2A-C   1.95%(a)  09/20/2038   1,029,215 
 1,283,888   Series 2021-2A-D   3.23%(a)  09/20/2038   1,230,357 
     SLM Student Loan Trust             
 3,755,423   Series 2006-A-A5 (3 mo. Term SOFR + 0.55%, 0.00% Floor)   4.91%  06/15/2039   3,606,830 
 2,872,265   Series 2006-B-A5 (3 mo. Term SOFR + 0.53%, 0.00% Floor)   4.89%  12/15/2039   2,798,566 
     SOFI Alternative Trust             
 2,583,088   Series 2021-1-PT2   9.72%(a)(b)  05/25/2030   2,563,681 
 10,066,865   Series 2021-2-A   1.25%(a)  08/15/2030   9,916,114 
 500,000   Series 2021-2-R1   0.00%(a)(c)(e)  08/15/2030   2,089,678 
 12,455,216   Series 2021-3-A   1.50%(a)  11/15/2030   12,271,215 
 950,000   Series 2021-3-R1   0.00%(a)(c)(e)  11/15/2030   4,192,816 
     SoFi Professional Loan Program LLC             
 10,769,645   Series 2017-E-B   3.49%(a)  11/26/2040   10,573,855 
 13,000,000   Series 2017-E-C   4.16%(a)  11/26/2040   12,256,087 
 12,800,000   Series 2018-A-B   3.61%(a)  02/25/2042   11,942,737 
 18,000,000   Series 2018-B-BFX   3.83%(a)  08/25/2047   16,860,305 
     Sprite/KY             
 15,361,265   Series 2021-1-A   3.75%(a)  11/15/2046   14,737,828 
     Stack Infrastructure Issuer LLC             
 5,750,000   Series 2020-1A-A2   1.89%(a)  08/25/2045   5,633,443 
     Start/Bermuda             
 11,320,469   Series 2018-1-A   4.09%(a)  05/15/2043   11,227,483 
     Stonepeak ABS             
 2,239,156   Series 2021-1A-A   2.68%(a)  02/28/2033   2,132,223 
 4,368,227   Series 2021-1A-B   3.82%(a)  02/28/2033   4,118,980 
     Subway Funding LLC             
 19,850,000   Series 2024-1A-A23   6.51%(a)  07/30/2054   20,428,044 
 6,260,000   Series 2024-3A-A23   5.91%(a)  07/30/2054   6,136,139 
     Sunbird Engine Finance             
 30,501,113   Series 2020-1A-A   3.67%(a)  02/15/2045   29,211,312 
     Switch ABS Issuer LLC             
 27,500,000   Series 2024-2A-A2   5.44%(a)  06/25/2054   27,451,787 
 8,500,000   Series 2024-2A-B   6.20%(a)  06/25/2054   8,519,037 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Taco Bell Corp.             
 7,417,875   Series 2021-1A-A23   2.54%(a)  08/25/2051   6,154,555 
 5,207,250   Series 2021-1A-A2I   1.95%(a)  08/25/2051   4,868,595 
     TAL Advantage LLC             
 11,075,000   Series 2020-1A-A   2.05%(a)  09/20/2045   10,301,899 
 2,353,438   Series 2020-1A-B   3.29%(a)  09/20/2045   2,206,756 
     Tesla Sustainable Energy Trust             
 10,010,000   Series 2024-1A-A3   5.29%(a)  06/20/2050   9,916,782 
     Textainer Ltd.             
 6,814,636   Series 2020-1A-A   2.73%(a)  08/21/2045   6,492,550 
 2,060,411   Series 2020-2A-B   3.34%(a)  09/20/2045   1,930,044 
     Upgrade Master Credit Pass-Thru Trust             
 88,949   Series 2021-PT1-A   11.54%(a)(b)  08/15/2027   32,276 
     Upgrade Master Pass-Thru Trust             
 911,373   Series 2021-PT1-A   15.78%(a)(b)  04/15/2027   824,673 
 982,170   Series 2021-PT3-A   16.43%(a)(b)  07/15/2027   910,505 
 596,398   Series 2021-PT4-A   11.79%(a)(b)  08/15/2027   549,623 
 1,537,103   Series 2021-PT5-A   22.52%(a)(b)  10/15/2027   1,333,064 
     Upstart Pass-Through Trust Series             
 667,420   Series 2020-ST5-A   3.00%(a)  12/20/2026   663,198 
 849,176   Series 2021-ST1-A   2.75%(a)  02/20/2027   840,621 
     Upstart Securitization Trust             
 4,099,302   Series 2021-3-C   3.28%(a)  07/20/2031   4,036,572 
 13,588,958   Series 2024-1-A   5.33%(a)  11/20/2034   13,608,478 
     Vantage Data Centers Holding LLC             
 32,425,000   Series 2020-2A-A2   1.99%(a)  09/15/2045   29,616,609 
     Vault DI Issuer LLC             
 54,400,000   Series 2021-1A-A2   2.80%(a)  07/15/2046   51,402,718 
     Vivant Solar Financing V Parent LLC             
 15,844,605   Series 2018-1A-A   4.73%(a)  04/30/2048   14,852,554 
     VR Funding LLC             
 13,348,635   Series 2020-1A-A   2.79%(a)  11/15/2050   12,245,708 
     Waterfall Commercial Mortgage Trust             
 4,700,176   Series 2015-SBC5-A   4.10%(a)(b)  01/14/2026   4,608,961 
     Wendy’s SPV Guarantor LLC             
 18,688,781   Series 2019-1A-A2II   4.08%(a)  06/15/2049   17,678,437 
     Westlake Automobile Receivables Trust             
 15,000,000   Series 2024-3A-C   4.92%(a)  11/15/2029   14,968,567 
     Willis Lease Finance Corp.             
 39,923,845   Series 2020-A-A   3.23%(a)  03/15/2045   37,613,253 
     Wingstop, Inc.             
 10,342,500   Series 2020-1A-A2   2.84%(a)  12/05/2050   9,684,627 
     Zephyrus Capital Aviation Partners             
 1,936,733   Series 2018-1-A   4.61%(a)  10/15/2038   1,875,828 
     Total Asset Backed Obligations (Cost $1,751,714,142)           1,667,373,130 
                   
 COLLATERALIZED LOAN OBLIGATIONS - 5.0%            
     37 Capital CLO             
 8,500,000   Series 2023-2A-B (3 mo. Term SOFR + 2.75%, 2.75% Floor)   7.41%(a)  01/15/2034   8,500,425 
     Allegro CLO Ltd.             
 30,000,000   Series 2024-2A-A1 (3 mo. Term SOFR + 1.50%, 1.50% Floor)   6.78%(a)  07/24/2037   30,250,782 
     Apidos CLO             
 25,000,000   Series 2024-48A-A1 (3 mo. Term SOFR + 1.44%, 1.44% Floor)   6.76%(a)  07/25/2037   25,083,863 
     ARES CLO             
 7,000,000   Series 2017-44A-A3R1 (3 mo. Term SOFR + 1.91%, 1.65% Floor)   6.57%(a)  04/15/2034   7,031,963 
     Bain Capital Credit CLO             
 20,000,000   Series 2022-6A-A1R (3 mo. Term SOFR + 1.37%, 1.37% Floor)   5.89%(a)  01/22/2038   20,172,410 
 15,000,000   Series 2024-6A-A1 (3 mo. Term SOFR + 1.33%, 1.33% Floor)   5.65%(a)  01/21/2038   15,000,000 
     Battalion CLO Ltd.             
 3,000,000   Series 2017-11A-BR (3 mo. Term SOFR + 1.98%, 1.72% Floor)   6.62%(a)  04/24/2034   3,013,501 
 1,000,000   Series 2021-19A-B (3 mo. Term SOFR + 1.86%, 1.60% Floor)   6.52%(a)  04/15/2034   1,002,098 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Birch Grove CLO             
 13,500,000   Series 2023-5A-A1R (3 mo. Term SOFR + 1.41%, 1.41% Floor)   6.03%(a)  10/20/2037   13,556,600 
     BlueMountain CLO Ltd.             
 5,000,000   Series 2018-2A-B (3 mo. Term SOFR + 1.96%, 1.70% Floor)   6.49%(a)  08/15/2031   5,015,324 
     Bridge Street CLO Ltd.             
 166,500,000   Series 2020-1A-A1R (3 mo. Term SOFR + 1.55%, 1.55% Floor)   6.17%(a)  07/20/2037   168,049,466 
 39,500,000   Series 2024-1A-A (3 mo. Term SOFR + 1.60%, 1.60% Floor)   6.22%(a)  04/20/2037   39,835,094 
     Canyon Capital CLO Ltd.             
 20,000,000   Series 2019-2A-BR (3 mo. Term SOFR + 1.96%, 1.70% Floor)   6.62%(a)  10/15/2034   20,110,062 
 2,500,000   Series 2021-2A-B1 (3 mo. Term SOFR + 2.01%, 2.01% Floor)   6.67%(a)  04/15/2034   2,513,201 
     Capital Four US CLO Ltd.             
 16,500,000   Series 2021-1A-A (3 mo. Term SOFR + 1.47%, 1.21% Floor)   6.10%(a)  01/18/2035   16,509,174 
 18,000,000   Series 2022-1A-BR (3 mo. Term SOFR + 2.65%, 2.65% Floor)   7.27%(a)  01/20/2037   18,292,604 
     Carlyle Global Market Strategies             
 28,080,000   Series 2017-2A-AR2 (3 mo. Term SOFR + 1.49%, 1.49% Floor)   6.11%(a)  07/20/2037   28,205,602 
 25,000,000   Series 2022-2A-A1R (3 mo. Term SOFR + 1.36%, 1.36% Floor)   5.92%(a)  01/20/2038   25,141,525 
     CarVal CLO             
 5,000,000   Series 2024-1A-B (3 mo. Term SOFR + 2.10%, 2.10% Floor)   6.72%(a)  04/20/2037   5,077,446 
 25,000,000   Series 2024-2A-A (3 mo. Term SOFR + 1.46%, 1.46% Floor)   6.75%(a)  07/20/2037   25,102,218 
     CBAM Ltd.             
 18,000,000   Series 2017-1A-AR2 (3 mo. Term SOFR + 1.39%, 1.39% Floor)   5.77%(a)  01/20/2038   18,000,000 
 11,000,000   Series 2017-2A-BR (3 mo. Term SOFR + 2.11%, 1.85% Floor)   6.76%(a)  07/17/2034   11,057,232 
     Cedar Funding Ltd.             
 39,100,000   Series 2018-9A-AR (3 mo. Term SOFR + 1.42%, 1.42% Floor)   6.04%(a)  07/20/2037   39,225,624 
 2,000,000   Series 2022-15A-B (3 mo. Term SOFR + 1.80%, 1.80% Floor)   6.42%(a)  04/20/2035   2,008,349 
     CIFC Funding Ltd.             
 11,500,000   Series 2022-3A-B (3 mo. Term SOFR + 2.00%, 2.00% Floor)   6.62%(a)  04/21/2035   11,596,383 
     Crown City CLO             
 2,750,000   Series 2021-1A-A2 (3 mo. Term SOFR + 1.98%, 1.72% Floor)   6.60%(a)  07/20/2034   2,755,606 
 17,500,000   Series 2023-5A-A1R (3 mo. Term SOFR + 1.60%, 1.60% Floor)   6.22%(a)  04/20/2037   17,578,753 
 90,000,000   Series 2024-6A-A1 (3 mo. Term SOFR + 1.50%, 1.50% Floor)   6.82%(a)  07/15/2037   90,409,536 
     Dryden Senior Loan Fund             
 3,500,000   Series 2017-53A-B (3 mo. Term SOFR + 1.66%, 0.00% Floor)   6.32%(a)  01/15/2031   3,504,465 
     Empower CLO Ltd.             
 40,500,000   Series 2022-1A-A1R (3 mo. Term SOFR + 1.39%, 1.39% Floor)   6.01%(a)  10/20/2037   40,710,555 
 9,000,000   Series 2023-3A-B (3 mo. Term SOFR + 2.55%, 2.55% Floor)   7.17%(a)  01/20/2037   9,074,725 
 19,000,000   Series 2024-2A-A1 (3 mo. Term SOFR + 1.52%, 1.52% Floor)   6.85%(a)  07/15/2037   19,171,232 
     Franklin Park Place CLO LLC             
 18,000,000   Series 2022-1A-A (3 mo. Term SOFR + 1.40%, 1.40% Floor)   6.06%(a)  04/14/2035   18,028,553 
     Generate CLO Ltd.             
 5,800,000   Series 3A-B2R (3 mo. Term SOFR + 2.60%, 2.60% Floor)   7.22%(a)  10/20/2036   5,876,539 
     Halcyon Loan Advisors Funding Ltd.             
 2,158,798   Series 2014-2A-D (3 mo. Term SOFR + 5.26%, 0.00% Floor)   9.88%(a)  04/28/2025   437,157 
     Halsey Point CLO Ltd.             
 10,000,000   Series 2020-2A-AR (3 mo. Term SOFR + 1.52%, 1.52% Floor)   6.82%(a)  07/20/2037   10,088,650 
     Harbourview CLO VII LLC             
 8,575,526   Series 7RA-A1 (3 mo. Term SOFR + 1.39%, 1.13% Floor)   6.02%(a)  07/18/2031   8,594,145 
     Harvest US CLO             
 20,000,000   Series 2023-1A-B (3 mo. Term SOFR + 2.60%, 2.60% Floor)   7.26%(a)  01/15/2037   20,275,128 
     Jackson Financial, Inc.             
 9,500,000   Series 2022-6RA-BR (3 mo. Term SOFR + 2.75%, 2.75% Floor)   7.37%(a)  01/20/2037   9,655,701 
     Jamestown CLO Ltd.             
 6,000,000   Series 2018-11A-A2 (3 mo. Term SOFR + 1.96%, 0.00% Floor)   6.62%(a)  07/14/2031   6,008,660 
     Katayma CLO Ltd.             
 25,000,000   Series 2024-2A-A1 (3 mo. Term SOFR + 1.65%, 1.65% Floor)   6.27%(a)  04/20/2037   25,113,205 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     LCM LP             
 8,136,565   Series 17A-A2RR (3 mo. Term SOFR + 1.41%, 1.15% Floor)   6.07%(a)  10/15/2031   8,204,459 
     Magnetite CLO Ltd.             
 23,500,000   Series 2024-40A-A1 (3 mo. Term SOFR + 1.45%, 1.45% Floor)   6.78%(a)  07/15/2037   23,589,340 
     Marble Point CLO             
 5,000,000   Series 2020-1A-AR (3 mo. Term SOFR + 1.44%, 1.44% Floor)   6.06%(a)  07/20/2037   5,017,506 
 58,000,000   Series 2021-2A-A (3 mo. Term SOFR + 1.46%, 1.20% Floor)   6.09%(a)  07/25/2034   58,118,134 
 50,000,000   Series 2021-4A-A1 (3 mo. Term SOFR + 1.47%, 1.21% Floor)   6.10%(a)  01/22/2035   50,010,665 
 20,000,000   Series 2022-2A-A1R (3 mo. Term SOFR + 1.93%, 1.93% Floor)   6.55%(a)  10/20/2036   20,120,520 
 11,400,000   Series 2022-2A-BR (3 mo. Term SOFR + 2.85%, 2.85% Floor)   7.47%(a)  10/20/2036   11,575,771 
     Menlo CLO Ltd.             
 10,000,000   Series 2024-1A-A1 (3 mo. Term SOFR + 1.42%, 1.42% Floor)   5.75%(a)  01/20/2038   10,053,810 
     MidOcean Credit CLO             
 20,944,670   Series 2018-9A-A1 (3 mo. Term SOFR + 1.41%, 1.15% Floor)   6.03%(a)  07/20/2031   20,958,856 
     MP CLO Ltd.             
 7,890,464   Series 2013-1A-AR (3 mo. Term SOFR + 1.51%, 0.00% Floor)   6.13%(a)  10/20/2030   7,898,523 
     Nassau Global Credit LLC             
 13,196,809   Series 2018-IA-A (3 mo. Term SOFR + 1.41%, 0.00% Floor)   6.07%(a)  07/15/2031   13,211,122 
     OCP CLO Ltd.             
 23,500,000   Series 2017-13A-AR2 (3 mo. Term SOFR + 1.34%, 1.34% Floor)   5.90%(a)  11/26/2037   23,617,061 
 5,000,000   Series 2020-18A-A1R2 (3 mo. Term SOFR + 1.37%, 1.37% Floor)   6.60%(a)  07/20/2037   5,032,385 
     Octagon Investment Partners Ltd.             
 1,500,000   Series 2019-1A-BR (3 mo. Term SOFR + 1.85%, 1.85% Floor)   6.51%(a)  04/15/2035   1,503,533 
     Park Blue CLO Ltd.             
 7,400,000   Series 2023-4A-B (3 mo. Term SOFR + 2.70%, 2.70% Floor)   7.33%(a)  01/25/2037   7,510,737 
     Rockford Tower CLO Ltd.             
 2,525,000   Series 2018-2A-B (3 mo. Term SOFR + 2.06%, 1.80% Floor)   6.68%(a)  10/20/2031   2,527,518 
 15,000,000   Series 2022-3A-AR (3 mo. Term SOFR + 1.44%, 1.44% Floor)   6.06%(a)  07/20/2037   15,119,394 
 10,000,000   Series 2024-1A-A1 (3 mo. Term SOFR + 1.61%, 1.61% Floor)   6.23%(a)  04/20/2037   10,095,548 
     Sound Point CLO Ltd.             
 17,775,305   Series 2013-3RA-A (3 mo. Term SOFR + 1.41%, 1.15% Floor)   6.04%(a)  04/18/2031   17,812,537 
 18,000,000   Series 2018-2A-C (3 mo. Term SOFR + 2.21%, 0.00% Floor)   6.83%(a)  07/26/2031   18,029,392 
 25,407,296   Series 2018-3A-A1AR (3 mo. Term SOFR + 1.30%, 1.30% Floor)   5.92%(a)  10/26/2031   25,438,161 
 25,250,000   Series 2020-2A-AR (3 mo. Term SOFR + 1.44%, 1.18% Floor)   6.07%(a)  10/25/2034   25,300,126 
 15,150,000   Series 2021-1A-A (3 mo. Term SOFR + 1.33%, 1.33% Floor)   5.96%(a)  04/25/2034   15,179,206 
 10,000,000   Series 2024-38A-A1 (3 mo. Term SOFR + 1.60%, 1.60% Floor)   6.12%(a)  02/20/2037   10,061,594 
 20,000,000   Series 2024-39A-A1 (3 mo. Term SOFR + 1.54%, 1.54% Floor)   6.85%(a)  07/20/2037   20,090,914 
 11,750,000   Series 2024-40A-A1 (3 mo. Term SOFR + 1.39%, 1.39% Floor)   5.98%(a)  10/20/2037   11,776,803 
     Steele Creek CLO Ltd.             
 19,848,120   Series 2016-1A-AR (3 mo. Term SOFR + 1.38%, 1.12% Floor)   5.74%(a)  06/15/2031   19,853,812 
 10,000,000   Series 2019-1A-BR (3 mo. Term SOFR + 2.06%, 1.80% Floor)   6.72%(a)  04/15/2032   10,032,948 
     Trimaran CAVU LLC             
 20,000,000   Series 2021-3A-A (3 mo. Term SOFR + 1.47%, 1.21% Floor)   6.10%(a)  01/18/2035   20,040,834 
     Unity-Peace Park CLO Ltd.             
 15,000,000   Series 2022-1A-B (3 mo. Term SOFR + 2.00%, 2.00% Floor)   6.62%(a)  04/20/2035   15,108,378 
     Vibrant Clo X Ltd.             
 60,500,000   Series 2018-10RA-A1 (3 mo. Term SOFR + 1.70%, 1.70% Floor)   6.32%(a)  04/20/2036   61,073,631 
     Warwick Capital CLO Ltd.             
 18,500,000   Series 2024-3A-A1 (3 mo. Term SOFR + 1.65%, 1.65% Floor)   6.27%(a)  04/20/2037   18,675,254 
 20,000,000   Series 2024-4A-A1 (3 mo. Term SOFR + 1.40%, 1.40% Floor)   6.59%(a)  07/20/2037   20,154,422 
     Wellfleet CLO Ltd.             
 36,000,000   Series 2022-1A-A1RN (3 mo. Term SOFR + 1.42%, 1.42% Floor)   6.08%(a)  07/15/2037   36,043,250 
     Wind River CLO Ltd.             
 4,000,000   Series 2013-2A-CR (3 mo. Term SOFR + 2.26%, 0.00% Floor)   6.89%(a)  10/18/2030   4,006,176 
 5,548,745   Series 2014-2A-AR (3 mo. Term SOFR + 1.40%, 1.14% Floor)   6.06%(a)  01/15/2031   5,558,242 
     Total Collateralized Loan Obligations (Cost $1,487,420,988)     1,495,034,118 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS - 7.8%          
     20 Times Square Trust             
 7,949,000   Series 2018-20TS-F   3.10%(a)(b)  05/15/2035   6,353,827 
 5,856,000   Series 2018-20TS-G   3.10%(a)(b)  05/15/2035   4,569,578 
     280 Park Avenue Mortgage Trust             
 23,770,000   Series 2017-280P-A (1 mo. Term SOFR + 1.18%, 1.13% Floor)   5.66%(a)  09/15/2034   23,607,292 
     Arbor Multifamily Mortgage Securities Trust             
 21,947,000   Series 2021-MF3-XB   0.49%(a)(b)(f)  10/15/2054   650,955 
     Arbor Realty Trust, Inc.             
 125,450,902   Series 2020-MF1-XA   0.94%(a)(b)(f)  05/15/2053   4,886,112 
 6,300,000   Series 2021-FL1-B (1 mo. Term SOFR + 1.61%, 1.50% Floor)   6.01%(a)  12/15/2035   6,273,080 
 2,904,292   Series 2021-FL4-A (1 mo. Term SOFR + 1.46%, 1.46% Floor)   5.86%(a)  11/15/2036   2,914,875 
 13,075,183   Series 2022-FL1-A (30 day avg SOFR US + 1.45%, 1.45% Floor)   6.05%(a)  01/15/2037   13,092,050 
     AREIT Ltd.             
 11,250,000   Series 2024-CRE9-A (1 mo. Term SOFR + 1.69%, 1.69% Floor)   6.08%(a)  05/17/2041   11,295,810 
     Ares Commercial Real Estate Corp.             
 2,010,000   Series 2021-FL4-B (1 mo. Term SOFR + 1.51%, 1.40% Floor)   5.89%(a)  12/18/2037   1,960,246 
     Banc of America Merrill Lynch Commercial Mortgage, Inc.             
 41,267,640   Series 2015-UBS7-XA   0.73%(b)(f)  09/15/2048   89,576 
 2,121,000   Series 2016-UB10-C   4.82%(b)  07/15/2049   2,041,867 
     Banc of America Re-Remic Trust             
 1,020,000   Series 2015-200P-C   3.60%(a)(b)  04/14/2033   1,009,552 
 25,435,000   Series 2020-BOC-D   3.18%(a)(b)  01/15/2032   15,495,806 
 7,505,000   Series 2020-BOC-E   3.18%(a)(b)  01/15/2032   3,416,509 
     BANK             
 3,554,000   Series 2017-BNK4-C   4.37%(b)  05/15/2050   3,032,830 
 31,387,556   Series 2017-BNK4-XA   1.33%(b)(f)  05/15/2050   762,391 
 4,916,000   Series 2017-BNK5-B   3.90%(b)  06/15/2060   4,683,686 
 65,643,181   Series 2017-BNK5-XA   0.94%(b)(f)  06/15/2060   1,229,884 
 140,865,563   Series 2018-BN10-XA   0.69%(b)(f)  02/15/2061   2,527,424 
 31,334,000   Series 2018-BN10-XD   1.72%(a)(b)(f)  02/15/2061   1,494,212 
 2,290,000   Series 2019-BN16-B   4.44%(b)  02/15/2052   2,129,529 
 86,196,510   Series 2019-BN16-XA   0.93%(b)(f)  02/15/2052   2,687,435 
 13,119,665   Series 2019-BN16-XD   1.82%(a)(b)(f)  02/15/2052   842,318 
 11,541,000   Series 2019-BN17-XD   1.59%(a)(b)(f)  04/15/2052   660,241 
 43,097,000   Series 2019-BN19-AS   3.45%  08/15/2061   38,314,233 
 17,013,666   Series 2019-BN19-XD   1.03%(a)(b)(f)  08/15/2061   690,564 
 1,099,000   Series 2019-BN20-AS   3.24%(b)  09/15/2062   955,983 
 5,000,000   Series 2019-BN21-C   3.52%(b)  10/17/2052   4,128,771 
 18,082,333   Series 2019-BN22-XD   0.96%(a)(b)(f)  11/15/2062   739,043 
 26,932,000   Series 2019-BN24-XD   1.02%(a)(b)(f)  11/15/2062   1,187,233 
 4,270,000   Series 2020-BN27-A5   2.14%  04/15/2063   3,613,887 
 62,007,000   Series 2020-BN30-XB   0.72%(b)(f)  12/15/2053   2,192,710 
 44,619,398   Series 2021-BN32-XA   0.77%(b)(f)  04/15/2054   1,537,138 
 112,743,000   Series 2021-BN35-XB   0.59%(b)(f)  06/15/2064   3,862,113 
 10,388,000   Series 2021-BN38-XD   0.72%(a)(b)(f)  12/15/2064   433,936 
 7,663,000   Series 2022-BNK40-XD   0.89%(a)(b)(f)  03/15/2064   400,923 
     BANK5 Trust             
 2,467,000   Series 2024-5YR10-AS   5.64%  10/15/2057   2,494,209 
 8,169,000   Series 2024-5YR10-B   6.14%(b)  10/15/2057   8,245,666 
 1,667,000   Series 2024-5YR10-C   5.74%(b)  10/15/2057   1,641,543 
 122,674,491   Series 2024-5YR6-XA   0.74%(a)(b)(f)  05/15/2057   3,481,208 
 85,183,496   Series 2024-5YR8-XA   0.90%(b)(f)  08/15/2057   3,050,029 
     BBCMS Trust             
 45,454,000   Series 2018-CBM-A (1 mo. Term SOFR + 1.30%, 1.25% Floor)   5.70%(a)  07/15/2037   45,055,291 
 13,455,000   Series 2018-CBM-E (1 mo. Term SOFR + 3.85%, 3.55% Floor)   8.25%(a)  07/15/2037   11,332,423 
 5,775,000   Series 2018-TALL-F (1 mo. Term SOFR + 3.43%, 3.39% Floor)   7.83%(a)  03/15/2037   4,129,395 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 11,799,000   Series 2020-C6-F5TB   3.69%(a)(b)  02/15/2053   8,880,607 
 12,497,250   Series 2020-C6-F5TC   3.69%(a)(b)  02/15/2053   8,836,061 
 92,240,340   Series 2020-C6-XA   1.04%(b)(f)  02/15/2053   3,660,410 
 7,424,000   Series 2020-C6-XD   1.20%(a)(b)(f)  02/15/2053   397,906 
 1,437,000   Series 2020-C7-AS   2.44%  04/15/2053   1,233,069 
 1,619,000   Series 2021-C11-ASB   2.11%  09/15/2054   1,465,720 
 34,040,000   Series 2021-C11-XB   0.96%(b)(f)  09/15/2054   1,891,545 
 133,844,657   Series 2021-C9-XA   1.59%(b)(f)  02/15/2054   9,744,400 
 68,467,000   Series 2021-C9-XB   0.99%(b)(f)  02/15/2054   3,519,820 
 12,893,000   Series 2024-5C29-A3   5.21%  09/15/2057   12,946,864 
 130,000,000   Series 2024-5C31-XA   1.06%(b)(f)  12/15/2057   5,954,325 
     BDS Ltd.             
 6,000,000   Series 2024-FL13-A (1 mo. Term SOFR + 1.58%, 1.58% Floor)   5.94%(a)  09/19/2039   6,035,844 
     Benchmark Mortgage Trust             
 34,728,841   Series 2018-B7-XA   0.41%(b)(f)  05/15/2053   419,333 
 27,407,693   Series 2018-B8-XA   0.62%(b)(f)  01/15/2052   529,210 
 12,985,000   Series 2019-B10-XD   1.88%(a)(b)(f)  03/15/2062   907,890 
 13,924,000   Series 2019-B11-XD   1.46%(a)(b)(f)  05/15/2052   748,934 
 13,870,000   Series 2019-B12-XD   1.15%(a)(b)(f)  08/15/2052   588,304 
 14,907,500   Series 2019-B14-XD   1.26%(a)(b)(f)  12/15/2062   816,974 
 24,552,000   Series 2019-B15-XD   0.97%(a)(b)(f)  12/15/2072   999,117 
 75,235,350   Series 2019-B9-XA   1.01%(b)(f)  03/15/2052   2,552,600 
 73,617,181   Series 2020-B16-XA   0.92%(b)(f)  02/15/2053   2,618,195 
 70,119,046   Series 2020-B17-XA   1.41%(b)(f)  03/15/2053   3,074,692 
 12,580,000   Series 2020-B17-XD   1.41%(a)(b)(f)  03/15/2053   737,370 
 13,462,000   Series 2020-B18-AGND   3.74%(a)  07/15/2053   13,176,311 
 2,432,000   Series 2020-B18-AGNE   3.76%(a)  07/15/2053   2,341,556 
 87,830,447   Series 2020-B18-XA   1.78%(b)(f)  07/15/2053   4,611,002 
 233,548,448   Series 2020-B19-XA   1.76%(b)(f)  09/15/2053   12,280,865 
 70,425,753   Series 2020-B22-XA   1.51%(b)(f)  01/15/2054   4,980,199 
 275,367,278   Series 2020-IG1-XA   0.51%(b)(f)  09/15/2043   5,447,866 
 231,495,799   Series 2021-B24-XA   1.14%(b)(f)  03/15/2054   10,704,134 
 120,037,975   Series 2021-B28-XA   1.26%(b)(f)  08/15/2054   6,916,996 
 59,609,000   Series 2021-B28-XB   0.95%(b)(f)  08/15/2054   3,246,956 
 66,420,000   Series 2021-B29-XB   0.70%(b)(f)  09/15/2054   2,671,253 
 362,465,508   Series 2021-B30-XA   0.80%(b)(f)  11/15/2054   15,622,626 
 15,995,000   Series 2021-B31-XD   1.14%(a)(b)(f)  12/15/2054   1,080,461 
 13,067,000   Series 2022-B32-XD   1.52%(a)(b)(f)  01/15/2055   1,051,799 
 10,959,500   Series 2022-B33-XD   1.61%(a)(b)(f)  03/15/2055   999,356 
 7,270,000   Series 2022-B34-XD   1.83%(a)(b)(f)  04/15/2055   780,352 
 37,520,000   Series 2024-V10-A3   5.28%  09/15/2057   37,679,055 
 168,345,000   Series 2024-V11-XA   0.56%(b)(f)  11/15/2057   4,205,679 
 76,882,000   Series 2024-V12-XA   0.85%(b)(f)  12/15/2057   2,859,857 
 6,966,000   Series 2024-V8-A2   5.71%  07/15/2057   7,134,873 
 136,449,784   Series 2024-V8-XA   0.79%(a)(b)(f)  07/15/2057   4,231,553 
 21,999,000   Series 2024-V9-A3   5.60%  08/15/2057   22,381,413 
     BHMS Mortgage Trust             
 14,537,000   Series 2018-ATLS-A (1 mo. Term SOFR + 1.55%, 1.50% Floor)   5.94%(a)  07/15/2035   14,522,286 
     BMO Mortgage Trust             
 20,804,000   Series 2024-5C6-A3   5.32%  09/15/2057   20,884,824 
 17,982,000   Series 2024-5C7-AS   5.89%(b)  11/15/2057   18,280,915 
 111,942,362   Series 2024-5C7-XA   0.93%(a)(b)(f)  11/15/2057   4,387,245 
 113,600,000   Series 2024-5C8-XA   1.02%(b)(f)  12/15/2057   4,992,220 
     BPR Trust             
 10,166,000   Series 2021-TY-A (1 mo. Term SOFR + 1.16%, 1.05% Floor)   5.56%(a)  09/15/2038   10,134,342 
     Braemar Hotels & Resorts Trust             
 598,840   Series 2018-PRME-A (1 mo. Term SOFR + 0.99%, 0.95% Floor)   5.39%(a)  06/15/2035   596,935 
     BSPRT Co.-Issuer LLC             
 3,708,624   Series 2021-FL6-A (1 mo. Term SOFR + 1.21%, 1.10% Floor)   5.61%(a)  03/15/2036   3,705,264 
 15,000,000   Series 2023-FL10-C (1 mo. Term SOFR + 3.97%, 3.97% Floor)   8.37%(a)  09/15/2035   15,165,030 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     BX Trust             
 3,177,000   Series 2018-GW-D (1 mo. Term SOFR + 2.07%, 1.77% Floor)   6.47%(a)  05/15/2035   3,178,151 
 169,239,000   Series 2019-OC11-E   3.94%(a)(b)  12/09/2041   150,995,611 
 326,679,000   Series 2019-OC11-XB   0.18%(a)(b)(f)  12/09/2041   3,261,726 
 8,811,010   Series 2021-21M-A (1 mo. Term SOFR + 0.84%, 0.73% Floor)   5.24%(a)  10/15/2036   8,765,794 
 1,069,000   Series 2021-ARIA-C (1 mo. Term SOFR + 1.76%, 1.65% Floor)   6.16%(a)  10/15/2036   1,066,853 
 2,746,474   Series 2021-RISE-B (1 mo. Term SOFR + 1.36%, 1.25% Floor)   5.76%(a)  11/15/2036   2,734,716 
 1,939,344   Series 2021-SOAR-C (1 mo. Term SOFR + 1.21%, 1.10% Floor)   5.61%(a)  06/15/2038   1,936,610 
 3,450,000   Series 2021-VIEW-F (1 mo. Term SOFR + 4.04%, 3.93% Floor)   8.44%(a)  06/15/2036   3,254,366 
 56,505,000   Series 2021-VOLT-E (1 mo. Term SOFR + 2.11%, 2.00% Floor)   6.51%(a)  09/15/2036   56,414,343 
 4,296,509   Series 2021-XL2-A (1 mo. Term SOFR + 0.80%, 0.69% Floor)   5.20%(a)  10/15/2038   4,293,581 
 3,514,700   Series 2021-XL2-E (1 mo. Term SOFR + 1.96%, 1.85% Floor)   6.36%(a)  10/15/2038   3,510,475 
 1,650,876   Series 2022-PSB-A (1 mo. Term SOFR + 2.45%, 2.45% Floor)   6.85%(a)  08/15/2039   1,660,663 
 24,170,000   Series 2024-AIRC-A (1 mo. Term SOFR + 1.69%, 1.69% Floor)   6.09%(a)  08/15/2039   24,373,748 
 18,250,000   Series 2024-GPA3-A (1 mo. Term SOFR + 1.29%, 1.29% Floor)   5.80%(a)  12/15/2039   18,280,952 
 5,650,000   Series 2024-GPA3-C (1 mo. Term SOFR + 1.89%, 1.89% Floor)   6.40%(a)  12/15/2039   5,657,907 
 2,549,000   Series 2024-VLT4-A (1 mo. Term SOFR + 1.49%, 1.49% Floor)   5.89%(a)  07/15/2029   2,562,838 
     BXP Trust             
 9,818,000   Series 2017-GM-B   3.42%(a)(b)  06/13/2039   9,325,997 
     Cantor Commercial Real Estate Lending LP             
 10,105,250   Series 2019-CF2-XD   1.43%(a)(b)(f)  11/15/2052   576,325 
 11,514,000   Series 2019-CF3-XD   1.09%(a)(b)(f)  01/15/2053   533,836 
     Century Plaza Towers             
 5,000,000   Series 2019-CPT-A   2.87%(a)  11/13/2039   4,388,516 
     CFCRE Commercial Mortgage Trust             
 7,155,000   Series 2016-C4-C   4.83%(b)  05/10/2058   6,916,118 
 64,728,289   Series 2016-C4-XA   1.56%(b)(f)  05/10/2058   818,670 
 5,000,000   Series 2016-C6-C   4.17%(b)  11/10/2049   4,466,725 
     Citigroup Commercial Mortgage Trust             
 9,847,654   Series 2015-GC27-C   4.39%(b)  02/10/2048   9,777,451 
 3,685,000   Series 2015-GC27-D   4.39%(a)(b)  02/10/2048   3,517,321 
 14,310,000   Series 2015-GC33-C   4.57%(b)  09/10/2058   12,028,882 
 147,793,239   Series 2015-GC33-XA   0.86%(b)(f)  09/10/2058   429,251 
 91,710,883   Series 2016-C1-XA   1.81%(b)(f)  05/10/2049   1,513,991 
 186,714,285   Series 2016-GC36-XA   1.20%(b)(f)  02/10/2049   1,508,278 
 31,845,748   Series 2016-GC37-XA   1.64%(b)(f)  04/10/2049   368,879 
 87,785,765   Series 2016-P3-XA   1.65%(b)(f)  04/15/2049   868,377 
 51,755,763   Series 2016-P4-XA   1.89%(b)(f)  07/10/2049   978,531 
 82,785,417   Series 2016-P5-XA   1.37%(b)(f)  10/10/2049   1,302,769 
 217,604,795   Series 2017-B1-XA   0.72%(b)(f)  08/15/2050   3,317,059 
 36,838,371   Series 2017-P7-XA   1.08%(b)(f)  04/14/2050   664,874 
 15,766,000   Series 2019-C7-XD   1.20%(a)(b)(f)  12/15/2072   815,952 
 13,007,000   Series 2019-GC41-XD   0.84%(a)(b)(f)  08/10/2056   424,530 
 11,280,000   Series 2019-GC43-XD   0.60%(a)(b)(f)  11/10/2052   308,501 
 3,625,000   Series 2020-420K-D   3.31%(a)(b)  11/10/2042   3,124,470 
 7,800,000   Series 2020-420K-E   3.31%(a)(b)  11/10/2042   6,541,065 
 23,804,000   Series 2020-555-E   3.50%(a)(b)  12/10/2041   18,996,835 
 2,853,000   Series 2020-GC46-B   3.15%(b)  02/15/2053   2,369,871 
 21,133,200   Series 2020-GC46-XD   1.06%(a)(b)(f)  02/15/2053   1,020,636 
 16,920,000   Series 2022-GC48-XD   2.37%(a)(b)(f)  06/15/2055   2,521,720 
     Citigroup/Deutsche Bank Commercial Mortgage Trust             
 5,161,000   Series 2016-C1-B   4.20%(b)  05/10/2049   4,826,394 
 101,113,987   Series 2016-C1-XA   1.36%(b)(f)  05/10/2049   939,025 
 68,852,441   Series 2017-CD4-XA   1.22%(b)(f)  05/10/2050   1,484,672 
 5,723,000   Series 2017-CD6-B   3.91%(b)  11/13/2050   5,296,682 
 5,175,000   Series 2017-CD6-C   4.27%(b)  11/13/2050   4,711,348 
 37,520,097   Series 2017-CD6-XA   0.89%(b)(f)  11/13/2050   687,620 
 58,702,814   Series 2020-C9-XA   1.70%(b)(f)  09/15/2053   2,655,287 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Commercial Mortgage Pass Through Certificates             
 13,118,101   Series 2013-CR12-XA   0.58%(b)(f)  10/10/2046   131 
 199,786   Series 2013-CR13-C   4.94%(b)  11/10/2046   186,060 
 4,345,000   Series 2014-CR16-C   4.78%(b)  04/10/2047   4,082,479 
 12,950,156   Series 2014-CR20-C   4.65%(b)  11/10/2047   12,256,639 
 4,954,775   Series 2014-UBS3-XA   0.44%(b)(f)  06/10/2047   50 
 91,084,501   Series 2015-CR22-XA   0.74%(b)(f)  03/10/2048   911 
 5,360,000   Series 2015-CR23-C   4.33%(b)  05/10/2048   5,081,018 
 71,379,876   Series 2015-CR26-XA   0.89%(b)(f)  10/10/2048   136,371 
 17,822,000   Series 2015-DC1-C   4.27%(b)  02/10/2048   15,850,022 
 135,390,962   Series 2015-DC1-XA   0.84%(b)(f)  02/10/2048   1,354 
 4,296,879   Series 2015-PC1-A5   3.90%  07/10/2050   4,282,592 
 1,403,000   Series 2016-DC2-C   4.66%(b)  02/10/2049   1,357,442 
 15,800,000   Series 2018-COR3-XD   1.75%(a)(b)(f)  05/10/2051   777,373 
 18,570,000   Series 2018-HCLV-A (1 mo. Term SOFR + 1.30%, 1.00% Floor)   5.69%(a)  09/15/2033   17,072,140 
     Computershare Corporate Trust             
 3,906,364   Series 2014-LC18-B   3.96%  12/15/2047   3,864,713 
 11,460,000   Series 2015-C26-C   4.07%(b)  02/15/2048   11,390,669 
 38,598,747   Series 2015-C26-XA   0.94%(b)(f)  02/15/2048   386 
 3,187,500   Series 2015-C27-C   3.89%  02/15/2048   2,815,591 
 97,364,452   Series 2015-C27-XA   0.73%(b)(f)  02/15/2048   21,732 
 9,701,000   Series 2015-C31-C   4.59%(b)  11/15/2048   9,299,741 
 112,092,244   Series 2015-C31-XA   0.94%(b)(f)  11/15/2048   410,908 
 111,301,486   Series 2015-LC20-XA   1.35%(b)(f)  04/15/2050   21,158 
 3,000,000   Series 2015-LC22-C   4.54%(b)  09/15/2058   2,783,626 
 8,438,000   Series 2015-NXS2-C   4.27%(b)  07/15/2058   7,202,052 
 78,395,672   Series 2015-P2-XA   0.91%(b)(f)  12/15/2048   408,034 
 10,085,000   Series 2016-C32-C   4.73%(b)  01/15/2059   9,521,617 
 4,250,000   Series 2016-C34-B   4.09%  06/15/2049   4,071,339 
 5,888,000   Series 2016-C34-C   5.05%(b)  06/15/2049   5,556,337 
 5,890,000   Series 2016-LC24-C   4.43%(b)  10/15/2049   5,073,068 
 96,053,115   Series 2016-NXS6-XA   1.59%(b)(f)  11/15/2049   1,514,825 
 178,320,333   Series 2017-C39-XA   1.07%(b)(f)  09/15/2050   3,846,370 
 1,904,000   Series 2017-C42-C   4.30%(b)  12/15/2050   1,639,475 
 47,133,755   Series 2017-C42-XA   0.86%(b)(f)  12/15/2050   979,029 
 1,758,000   Series 2017-RC1-C   4.59%  01/15/2060   1,647,837 
 133,551,986   Series 2018-C43-XA   0.57%(b)(f)  03/15/2051   2,092,973 
 4,335,668   Series 2019-C49-XD   2.13%(a)(b)(f)  03/15/2052   329,365 
 58,986,231   Series 2019-C50-XA   1.40%(b)(f)  05/15/2052   2,649,897 
 3,193,000   Series 2019-C51-B   3.84%(b)  06/15/2052   2,710,413 
 42,674,235   Series 2019-C51-XA   1.26%(b)(f)  06/15/2052   1,962,925 
 24,972,000   Series 2019-C52-AS   3.14%  08/15/2052   22,310,347 
 69,507,793   Series 2019-C52-XA   1.56%(b)(f)  08/15/2052   3,827,280 
 5,000,000   Series 2019-C53-C   3.58%(b)  10/15/2052   4,296,887 
 8,777,333   Series 2019-C53-XD   1.48%(a)(b)(f)  10/15/2052   537,263 
 131,852,048   Series 2019-C54-XA   0.84%(b)(f)  12/15/2052   4,584,443 
 6,363,333   Series 2019-C54-XD   1.39%(a)(b)(f)  12/15/2052   373,978 
 28,088,000   Series 2020-C55-AS   2.94%  02/15/2053   24,632,833 
 52,886,315   Series 2020-C55-XB   0.81%(b)(f)  02/15/2053   1,878,823 
 142,029,787   Series 2020-C56-XA   1.33%(b)(f)  06/15/2053   7,032,861 
 163,481,410   Series 2021-C61-XA   1.34%(b)(f)  11/15/2054   10,122,507 
 9,132,000   Series 2021-C61-XD   1.40%(a)(b)(f)  11/15/2054   728,363 
     Credit Suisse Mortgage Capital Certificates             
 147,561,481   Series 2014-USA-X1   0.54%(a)(b)(f)  09/15/2037   1,476 
 3,799,000   Series 2017-CALI-E   3.78%(a)(b)  11/10/2032   758,100 
 6,050,000   Series 2017-CALI-F   3.78%(a)(b)  11/10/2032   762,618 
 4,847,000   Series 2017-TIME-A   3.65%(a)  11/13/2039   4,252,628 
 16,472,519   Series 2020-NET-A   2.26%(a)  08/15/2037   16,059,087 
 87,329,677   Series 2020-NET-X   1.14%(a)(b)(f)  08/15/2037   560,002 
 5,780,759   Series 2021-B33-A1   3.05%(a)  10/10/2043   5,370,443 
 18,815,500   Series 2021-B33-A2   3.17%(a)  10/10/2043   15,983,636 
 108,548,934   Series 2021-B33-X   0.50%(a)(b)(f)  10/10/2043   2,684,925 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     CSAIL Commercial Mortgage Trust             
 13,360,000   Series 2015-C2-AS   3.85%(b)  06/15/2057   12,955,089 
 9,205,000   Series 2015-C3-B   4.11%(b)  08/15/2048   8,393,291 
 2,299,000   Series 2015-C4-C   4.55%(b)  11/15/2048   2,250,764 
 259,213,422   Series 2015-C4-XA   0.79%(b)(f)  11/15/2048   696,740 
 9,425,000   Series 2016-C5-C   4.63%(b)  11/15/2048   8,968,969 
 34,455,582   Series 2016-C6-XA   1.85%(b)(f)  01/15/2049   473,406 
 11,020,000   Series 2016-C7-B   4.32%(b)  11/15/2049   10,400,765 
 127,637,218   Series 2017-C8-XA   1.06%(b)(f)  06/15/2050   2,496,750 
 4,399,000   Series 2017-CX10-B   3.89%(b)  11/15/2050   3,944,850 
 66,195,482   Series 2017-CX10-XA   0.84%(b)(f)  11/15/2050   1,120,359 
 1,886,000   Series 2018-C14-C   4.88%(b)  11/15/2051   1,673,606 
 15,894,000   Series 2019-C16-B   3.88%  06/15/2052   14,372,615 
 24,254,709   Series 2019-C17-XA   1.32%(b)(f)  09/15/2052   1,152,858 
 7,924,000   Series 2019-C18-B   3.59%  12/15/2052   7,021,465 
 218,449,321   Series 2019-C18-XA   1.00%(b)(f)  12/15/2052   7,961,320 
 194,148,096   Series 2020-C19-XA   1.09%(b)(f)  03/15/2053   8,462,042 
 81,465,000   Series 2020-C19-XB   0.08%(b)(f)  03/15/2053   361,134 
     CSWF             
 878,416   Series 2018-TOP-G (1 mo. Term SOFR + 3.50%, 3.45% Floor)   7.89%(a)  08/15/2035   849,315 
     DOLP Trust             
 11,475,000   Series 2021-NYC-F   3.70%(a)(b)  05/10/2041   7,584,391 
     Extended Stay America Trust             
 7,614,436   Series 2021-ESH-A (1 mo. Term SOFR + 1.19%, 1.08% Floor)   5.59%(a)  07/15/2038   7,624,433 
     Franklin BSP Realty Trust, Inc.             
 18,614,252   Series 2022-FL8-A (30 day avg SOFR US + 1.50%, 1.50% Floor)   6.10%(a)  02/15/2037   18,582,387 
     Granite Point Mortgage Trust, Inc.             
 11,341,919   Series 2021-FL4-A (1 mo. Term SOFR + 1.46%, 1.35% Floor)   5.82%(a)  12/15/2036   11,225,415 
     Great Wolf Trust             
 15,000,000   Series 2024-WLF2-A (1 mo. Term SOFR + 1.69%)   6.09%(a)  05/15/2041   15,079,247 
     Greystone Commercial Real Estate Notes             
 4,157,022   Series 2021-FL3-A (1 mo. Term SOFR + 1.13%, 1.02% Floor)   5.53%(a)  07/15/2039   4,157,716 
 6,250,000   Series 2021-FL3-B (1 mo. Term SOFR + 1.76%, 1.65% Floor)   6.16%(a)  07/15/2039   6,229,819 
     GS Mortgage Securities Corp. II             
 4,000,000   Series 2015-GC28-C   4.34%(b)  02/10/2048   3,959,931 
 4,983,314   Series 2015-GC28-XA   0.68%(b)(f)  02/10/2048   50 
 184,595,912   Series 2015-GC32-XA   0.68%(b)(f)  07/10/2048   234,991 
 139,497,320   Series 2015-GC34-XA   1.19%(b)(f)  10/10/2048   639,246 
 62,177,036   Series 2015-GS1-XA   0.75%(b)(f)  11/10/2048   235,054 
 39,117,431   Series 2016-GS2-XA   1.72%(b)(f)  05/10/2049   533,507 
 250,347,863   Series 2016-GS3-XA   1.18%(b)(f)  10/10/2049   3,448,717 
 46,776,525   Series 2016-GS4-XA   0.56%(b)(f)  11/10/2049   351,867 
 178,367,579   Series 2017-GS7-XA   1.07%(b)(f)  08/10/2050   3,705,693 
 98,700,000   Series 2017-GS7-XB   0.33%(b)(f)  08/10/2050   791,732 
 3,443,000   Series 2018-GS10-WLSA   4.90%(a)(b)  03/10/2033   830,730 
 6,834,000   Series 2018-GS10-WLSB   4.90%(a)(b)  03/10/2033   680,125 
 9,287,000   Series 2018-GS10-WLSC   4.90%(a)(b)  03/10/2033   875,492 
 8,990,000   Series 2018-GS10-WLSD   4.90%(a)(b)  03/10/2033   800,296 
 11,236,750   Series 2018-GS10-WLSE   4.90%(a)(b)  03/10/2033   911,813 
 189,901,445   Series 2018-GS9-XA   0.41%(b)(f)  03/10/2051   2,139,297 
 12,875,000   Series 2018-LUAU-A (1 mo. Term SOFR + 1.30%, 1.25% Floor)   5.69%(a)  11/15/2032   12,854,960 
 15,571,000   Series 2018-TWR-A (1 mo. Term SOFR + 1.20%, 0.90% Floor)   5.60%(a)  07/15/2031   13,090,306 
 3,897,000   Series 2018-TWR-D (1 mo. Term SOFR + 1.90%, 1.60% Floor)   6.30%(a)  07/15/2031   982,044 
 11,950,000   Series 2018-TWR-E (1 mo. Term SOFR + 2.40%, 2.10% Floor)   6.80%(a)  07/15/2031   1,821,897 
 11,242,000   Series 2018-TWR-F (1 mo. Term SOFR + 3.10%, 2.80% Floor)   7.50%(a)  07/15/2031   945,626 
 4,648,000   Series 2018-TWR-G (1 mo. Term SOFR + 4.22%, 3.93% Floor)   8.62%(a)  07/15/2031   69,302 
 51,875,665   Series 2019-GC38-XA   1.01%(b)(f)  02/10/2052   1,833,359 
 13,121,197   Series 2019-GC39-XA   1.09%(b)(f)  05/10/2052   529,461 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 21,600,000   Series 2019-GSA1-XD   1.00%(a)(b)(f)  11/10/2052   931,977 
 178,408,669   Series 2020-GC45-XA   0.65%(b)(f)  02/13/2053   4,396,436 
 25,009,000   Series 2020-GC45-XD   0.68%(a)(b)(f)  02/13/2053   745,863 
 54,978,255   Series 2020-GSA2-XA   1.70%(a)(b)(f)  12/12/2053   3,991,009 
 7,561,000   Series 2020-UPTN-D   3.25%(a)(b)  02/10/2037   7,542,021 
 3,280,000   Series 2021-ARDN-E (1 mo. Term SOFR + 3.46%, 3.35% Floor)   7.86%(a)  11/15/2036   3,253,130 
 16,787,000   Series 2021-ARDN-G (1 mo. Term SOFR + 5.11%, 5.00% Floor)   9.51%(a)  11/15/2036   16,676,960 
     Hilton USA Trust             
 5,692,000   Series 2016-SFP-A   2.83%(a)  11/05/2035   4,448,298 
     JP Morgan Chase Commercial Mortgage Securities             
 402,616   Series 2007-CB20-X1   0.00%(a)(b)(f)  02/12/2051   1 
 4,557,470   Series 2013-LC11-AS   3.22%  04/15/2046   4,177,592 
 1,691,222   Series 2014-C20-B   4.40%(b)  07/15/2047   1,655,277 
 47,197,802   Series 2015-JP1-XA   0.88%(b)(f)  01/15/2049   231,113 
 1,725,000   Series 2017-JP5-C   3.74%(b)  03/15/2050   1,467,592 
 9,343,000   Series 2018-MINN-E (1 mo. Term SOFR + 2.80%, 3.50% Floor)   7.19%(a)  11/15/2035   7,256,091 
 18,869,000   Series 2019-COR4-XD   2.02%(a)(b)(f)  03/10/2052   1,345,192 
 85,796,991   Series 2019-COR5-XA   1.45%(b)(f)  06/13/2052   4,008,864 
 8,500,000   Series 2019-COR5-XD   1.76%(a)(b)(f)  06/13/2052   572,749 
 29,530,000   Series 2020-NNN-EFX   3.97%(a)  01/16/2037   11,665,531 
     JPMBB Commercial Mortgage Securities Trust             
 3,469,579   Series 2014-C21-C   4.56%(b)  08/15/2047   3,422,746 
 37,312,274   Series 2014-C25-XA   0.54%(b)(f)  11/15/2047   373 
 24,081,948   Series 2014-C26-XA   0.57%(b)(f)  01/15/2048   241 
 8,236,400   Series 2015-C27-C   4.29%(b)  02/15/2048   5,337,293 
 10,425,000   Series 2015-C27-D   3.79%(a)(b)  02/15/2048   2,692,918 
 10,663,088   Series 2015-C28-C   4.07%(b)  10/15/2048   10,012,125 
 21,225,602   Series 2015-C28-XA   0.78%(b)(f)  10/15/2048   4,578 
 26,286,573   Series 2015-C29-XA   0.52%(b)(f)  05/15/2048   18,040 
 115,409,416   Series 2015-C30-XA   0.41%(b)(f)  07/15/2048   90,435 
 51,084,182   Series 2015-C32-XA   1.09%(b)(f)  11/15/2048   132,584 
 7,394,000   Series 2016-C1-C   4.70%(b)  03/17/2049   6,850,472 
 16,559,433   Series 2016-C1-XA   1.15%(b)(f)  03/17/2049   156,778 
     JPMDB Commercial Mortgage Securities Trust             
 101,820,299   Series 2016-C2-XA   1.47%(b)(f)  06/15/2049   1,288,770 
 134,064,600   Series 2017-C5-XA   0.87%(b)(f)  03/15/2050   1,639,168 
 162,533,127   Series 2017-C7-XA   0.83%(b)(f)  10/15/2050   2,922,849 
 13,604,000   Series 2019-COR6-AS   3.41%(b)  11/13/2052   11,523,754 
 273,749,247   Series 2020-COR7-XA   1.63%(b)(f)  05/13/2053   14,911,642 
     KREF             
 16,029,802   Series 2021-FL2-A (1 mo. Term SOFR + 1.18%, 1.07% Floor)   5.57%(a)  02/15/2039   16,008,723 
     Ladder Capital Commercial Mortgage Securities LLC             
 7,386,665   Series 2021-FL3-A (1 mo. Term SOFR + 1.56%, 1.56% Floor)   5.96%(a)  11/15/2038   7,406,609 
     LoanCore             
 10,585,185   Series 2022-CRE7-A (30 day avg SOFR US + 1.55%, 1.55% Floor)   6.15%(a)  01/17/2037   10,606,503 
     LSTAR Commercial Mortgage Trust             
 127,020   Series 2015-3-D   3.40%(a)(b)  04/20/2048   126,098 
 15,043,739   Series 2017-5-X   0.84%(a)(b)(f)  03/10/2050   197,071 
     Lument Finance Trust, Inc.             
 10,800,000   Series 2021-FL1-B (1 mo. Term SOFR + 1.86%, 1.86% Floor)   6.26%(a)  06/15/2039   10,681,880 
     M360 LLC             
 10,491,461   Series 2021-CRE3-A (1 mo. Term SOFR + 1.61%, 1.50% Floor)   5.97%(a)  11/22/2038   10,484,830 
 7,162,000   Series 2021-CRE3-B (1 mo. Term SOFR + 2.36%, 2.25% Floor)   6.72%(a)  11/22/2038   7,114,294 
     Manhattan West             
 5,731,000   Series 2020-1MW-C   2.33%(a)(b)  09/10/2039   5,223,913 
     MF1 Multifamily Housing Mortgage Loan Trust             
 1,112,211   Series 2021-FL5-A (1 mo. Term SOFR + 0.96%, 0.96% Floor)   5.35%(a)  07/15/2036   1,114,777 
 10,000,000   Series 2021-FL5-AS (1 mo. Term SOFR + 1.31%, 1.31% Floor)   5.70%(a)  07/15/2036   9,999,700 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 10,762,426   Series 2022-FL8-A (1 mo. Term SOFR + 1.35%, 1.35% Floor)   5.72%(a)  02/19/2037   10,773,818 
 8,203,161   Series 2022-FL9-A (1 mo. Term SOFR + 2.15%, 2.15% Floor)   6.52%(a)  06/19/2037   8,218,255 
 17,500,000   Series 2023-FL12-A (1 mo. Term SOFR + 2.07%, 2.07% Floor)   6.43%(a)  10/19/2038   17,587,465 
 10,660,000   Series 2024-FL15-A (1 mo. Term SOFR + 1.69%, 1.69% Floor)   6.06%(a)  08/18/2041   10,699,218 
     MFT Trust             
 9,417,000   Series 2020-ABC-A   3.36%(a)  02/10/2042   6,440,429 
 4,317,000   Series 2020-ABC-B   3.48%(a)(b)  02/10/2042   2,722,011 
     MHC Commercial Mortgage Trust             
 1,285,878   Series 2021-MHC-A (1 mo. Term SOFR + 0.92%, 0.80% Floor)   5.31%(a)  04/15/2038   1,285,460 
     Morgan Stanley ABS Capital I, Inc.             
 4,353,603   Series 2021-ILP-A (1 mo. Term SOFR + 0.89%, 0.78% Floor)   5.29%(a)  11/15/2036   4,342,903 
 17,326,703   Series 2021-ILP-D (1 mo. Term SOFR + 1.69%, 1.58% Floor)   6.09%(a)  11/15/2036   17,261,243 
 16,967,285   Series 2024-NSTB-A   3.90%(a)(b)  09/24/2057   16,390,116 
     Morgan Stanley Bank of America Merrill Lynch Trust             
 10,102,345   Series 2012-CKSV-CK   4.16%(a)(b)  10/15/2030   6,460,022 
 6,693,500   Series 2014-C19-C   4.00%  12/15/2047   6,405,068 
 5,457,500   Series 2015-C20-C   4.42%(b)  02/15/2048   5,371,470 
 3,146,915   Series 2015-C20-XA   0.89%(b)(f)  02/15/2048   31 
 10,286,000   Series 2015-C27-C   4.48%(b)  12/15/2047   9,947,509 
 126,068,718   Series 2016-C28-XA   1.14%(b)(f)  01/15/2049   998,628 
 7,564,000   Series 2016-C31-C   4.26%(b)  11/15/2049   6,394,830 
 37,246,370   Series 2017-C33-XA   1.23%(b)(f)  05/15/2050   738,417 
     Morgan Stanley Capital I, Inc.             
 549,976   Series 2006-HQ10-X1   0.62%(a)(b)(f)  11/12/2041   6 
 7,137,000   Series 2015-UBS8-B   4.32%(b)  12/15/2048   6,717,952 
 21,980,416   Series 2015-UBS8-XA   0.84%(b)(f)  12/15/2048   112,887 
 128,667,479   Series 2017-H1-XA   1.30%(b)(f)  06/15/2050   2,562,310 
 4,661,000   Series 2017-HR2-C   4.32%(b)  12/15/2050   4,342,943 
 8,000,000   Series 2018-MP-E   4.28%(a)(b)  07/11/2040   5,275,298 
 9,386,700   Series 2019-H6-XD   1.57%(a)(b)(f)  06/15/2052   553,331 
 5,305,000   Series 2019-H7-AS   3.52%  07/15/2052   4,871,426 
 74,218,052   Series 2019-L2-XA   1.00%(b)(f)  03/15/2052   2,540,373 
 3,845,000   Series 2019-L3-AS   3.49%  11/15/2052   3,495,345 
 146,795,469   Series 2019-L3-XA   0.61%(b)(f)  11/15/2052   3,648,631 
 15,090,000   Series 2019-L3-XD   1.15%(a)(b)(f)  11/15/2052   732,274 
 3,355,000   Series 2019-NUGS-D (1 mo. Term SOFR + 1.91%, 3.30% Floor)   6.31%(a)  12/15/2036   344,502 
 6,002,000   Series 2019-PLND-E (1 mo. Term SOFR + 2.26%, 2.15% Floor)   6.66%(a)  05/15/2036   126,496 
 2,200,000   Series 2020-HR8-B   2.70%  07/15/2053   1,812,824 
 24,004,000   Series 2020-L4-B   3.08%  02/15/2053   20,867,251 
 284,495,883   Series 2020-L4-XA   1.07%(b)(f)  02/15/2053   12,907,664 
 13,625,665   Series 2020-L4-XD   1.17%(a)(b)(f)  02/15/2053   701,700 
 10,779,000   Series 2021-L6-C   3.46%(b)  06/15/2054   8,595,756 
     MRCD Mortgage Trust             
 7,794,000   Series 2019-PARK-F   2.72%(a)  12/15/2036   4,788,634 
 32,926,000   Series 2019-PARK-G   2.72%(a)  12/15/2036   17,891,988 
     Multifamily Tax-Exempt Mortgage-backed Securities M-TEMS             
 62,152,962   Series 2021-2   0.83%(b)(f)  03/25/2035   2,658,904 
     Natixis Commercial Mortgage Securities Trust             
 13,188,800   Series 2020-2PAC-D   3.75%(a)  12/15/2038   10,884,781 
     NYT Mortgage Trust             
 25,000,000   Series 2019-NYT-D (1 mo. Term SOFR + 2.30%, 2.00% Floor)   6.70%(a)  12/15/2035   22,723,203 
     OPG Trust             
 9,356,100   Series 2021-PORT-D (1 mo. Term SOFR + 1.25%, 1.13% Floor)   5.64%(a)  10/15/2036   9,315,352 
     ROCK Trust             
 46,015,000   Series 2024-CNTR-A   5.39%(a)  11/13/2041   45,939,140 
     SLG Office Trust             
 37,079,000   Series 2021-OVA-F   2.85%(a)  07/15/2041   28,988,514 
     SMR Mortgage Trust             
 4,131,535   Series 2022-IND-G (1 mo. Term SOFR + 7.50%, 7.50% Floor)   11.90%(a)  02/15/2039   3,632,909 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Soho Trust             
 2,985,000   Series 2021-SOHO-B   2.70%(a)(b)  08/10/2038   2,139,864 
     SREIT Trust             
 47,000,000   Series 2021-IND-G (1 mo. Term SOFR + 3.38%, 3.27% Floor)   7.78%(a)  10/15/2038   46,316,559 
 5,071,373   Series 2021-MFP-E (1 mo. Term SOFR + 2.14%, 2.03% Floor)   6.54%(a)  11/15/2038   5,069,886 
 1,690,000   Series 2021-MFP2-A (1 mo. Term SOFR + 0.94%, 0.82% Floor)   5.33%(a)  11/15/2036   1,686,578 
     Starwood Property Mortgage Trust             
 12,263,639   Series 2021-FL2-A (1 mo. Term SOFR + 1.31%, 1.20% Floor)   5.69%(a)  04/18/2038   12,221,550 
     TCO Commercial Mortgage Trust             
 2,490,000   Series 2024-DPM-C (1 mo. Term SOFR + 1.99%, 1.99% Floor)   6.49%(a)  12/15/2039   2,496,511 
     TPG Real Estate Finance Issuer Ltd.             
 8,856,108   Series 2021-FL4-A (1 mo. Term SOFR + 1.31%, 1.20% Floor)   5.70%(a)  03/15/2038   8,853,965 
 24,463,816   Series 2022-FL5-A (1 mo. Term SOFR + 1.65%, 1.65% Floor)   6.03%(a)  02/15/2039   24,424,063 
     UBS Commercial Mortgage Trust             
 8,000,000   Series 2017-C1-C   4.44%  06/15/2050   7,071,997 
 72,012,614   Series 2017-C1-XA   1.47%(b)(f)  06/15/2050   1,873,430 
 1,124,000   Series 2017-C2-C   4.30%(b)  08/15/2050   1,023,471 
 6,857,000   Series 2017-C3-B   4.09%(b)  08/15/2050   6,422,160 
 10,083,107   Series 2017-C3-XA   1.10%(b)(f)  08/15/2050   195,204 
 3,561,000   Series 2017-C4-B   4.24%(b)  10/15/2050   3,321,152 
 2,886,000   Series 2017-C6-C   4.71%(b)  12/15/2050   2,533,358 
 544,000   Series 2017-C7-A4   3.68%  12/15/2050   523,297 
 1,020,000   Series 2018-C11-B   4.71%(b)  06/15/2051   935,748 
 37,623,726   Series 2018-C9-XA   0.91%(b)(f)  03/15/2051   894,263 
 8,350,000   Series 2019-C17-AS   3.20%  10/15/2052   7,413,157 
 12,767,000   Series 2019-C17-XD   1.75%(a)(b)(f)  10/15/2052   914,895 
 14,858,000   Series 2019-C18-AS   3.38%(b)  12/15/2052   13,349,999 
 9,705,000   Series 2019-C18-B   3.68%(b)  12/15/2052   8,339,511 
 11,574,000   Series 2019-C18-XD   1.43%(a)(b)(f)  12/15/2052   702,896 
     UBS-Barclays Commercial Mortgage Trust             
 6,117,000   Series 2019-C3-XD   1.77%(a)(b)(f)  05/15/2052   409,978 
 165,903,407   Series 2019-C4-XA   1.52%(b)(f)  08/15/2052   9,045,634 
 13,091,000   Series 2019-C4-XD   1.13%(a)(b)(f)  08/15/2052   588,832 
 65,638,119   Series 2019-C5-XA   0.85%(b)(f)  11/15/2052   1,912,747 
 14,866,000   Series 2019-C5-XD   1.32%(a)(b)(f)  11/15/2052   799,574 
     VEGAS Trust             
 66,928,000   Series 2024-TI-A   5.52%(a)  11/10/2039   67,147,684 
     VMC Finance LLC             
 9,000,000   Series 2022-FL5-AS (30 day avg SOFR US + 2.40%, 2.40% Floor)   7.00%(a)  02/18/2039   9,062,109 
     Wells Fargo Commercial Mortgage Trust             
 118,612,209   Series 2024-5C1-XA   1.03%(b)(f)  07/15/2057   4,832,546 
     WF-RBS Commercial Mortgage Trust             
 10,000,000   Series 2014-C21-B   4.21%(b)  08/15/2047   9,568,963 
 3,147,000   Series 2014-C21-C   4.23%(b)  08/15/2047   2,903,907 
     Total Non-Agency Commercial Mortgage Backed Obligations (Cost $3,141,795,463)     2,327,161,627 
                   
 NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS - 24.5%        
     Accredited Mortgage Loan Trust             
 12,875,000   Series 2006-1-M2 (1 mo. Term SOFR + 0.45%, 0.34% Floor)   1.61%  04/25/2036   9,751,203 
     ACE Securities Corp.             
 1,498,181   Series 2007-ASP1-A2C (1 mo. Term SOFR + 0.63%, 0.52% Floor)   4.97%  03/25/2037   601,385 
 9,626,506   Series 2007-HE1-A2B (1 mo. Term SOFR + 0.35%, 0.24% Floor)   4.69%  01/25/2037   5,731,617 
 2,243,202   Series 2007-HE1-A2C (1 mo. Term SOFR + 0.45%, 0.34% Floor)   4.79%  01/25/2037   1,335,572 
 2,103,002   Series 2007-HE1-A2D (1 mo. Term SOFR + 0.61%, 0.50% Floor)   4.95%  01/25/2037   1,252,051 
 69,091,806   Series 2007-WM1-A1A (1 mo. Term SOFR + 0.39%, 0.28% Floor)   4.73%  11/25/2036   19,755,959 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 3,802,045   Series 2007-WM1-A2A (1 mo. Term SOFR + 0.25%, 0.14% Floor)   4.59%  11/25/2036   1,524,177 
 4,110,305   Series 2007-WM1-A2D (1 mo. Term SOFR + 0.55%, 0.44% Floor)   4.89%  11/25/2036   1,648,598 
 2,634,537   Series 2007-WM2-A2C (1 mo. Term SOFR + 0.39%, 0.28% Floor)   4.73%  02/25/2037   1,075,996 
 2,309,595   Series 2007-WM2-A2D (1 mo. Term SOFR + 0.48%, 0.37% Floor)   4.82%  02/25/2037   943,254 
     Adjustable Rate Mortgage Trust             
 2,530,058   Series 2004-4-CB1 (1 mo. Term SOFR + 1.26%, 1.15% Floor, 10.00% Cap)   5.60%  03/25/2035   2,124,445 
 16,993,868   Series 2005-11-4A1   5.45%(b)  02/25/2036   8,847,048 
 1,265,918   Series 2005-4-2A1   6.70%(b)  08/25/2035   1,171,365 
 94,768   Series 2005-7-3A1   5.22%(b)  10/25/2035   90,454 
 3,615,368   Series 2005-8-3A21   5.18%(b)  11/25/2035   2,531,305 
 10,424,134   Series 2006-1-2A1   5.54%(b)  03/25/2036   5,195,925 
 9,899,843   Series 2006-2-5A1   5.27%(b)  05/25/2036   1,940,210 
 4,126,526   Series 2007-1-3A1   5.00%(b)  03/25/2037   3,744,339 
 856,412   Series 2007-3-1A1   5.40%(a)(b)  11/25/2037   815,580 
     Aegis Asset Backed Securities Trust             
 800,034   Series 2004-1-M2 (1 mo. Term SOFR + 2.14%, 2.03% Floor)   6.48%  04/25/2034   768,867 
 617,792   Series 2004-2-M2 (1 mo. Term SOFR + 2.06%, 1.95% Floor)   6.40%  06/25/2034   594,883 
 3,384,833   Series 2004-6-M2 (1 mo. Term SOFR + 1.11%, 1.00% Floor, 15.00% Cap)   5.45%  03/25/2035   3,192,316 
 8,674,257   Series 2006-1-A2 (1 mo. Term SOFR + 0.28%, 0.17% Floor, 12.00% Cap)   4.62%  01/25/2037   6,399,698 
     AlphaFlow Transitional Mortgage Trust             
 3,858,471   Series 2021-WL1-A1   3.28%(a)(d)  01/25/2026   3,769,766 
     American Home Mortgage Assets LLC             
 2,668,255   Series 2006-2-2A1 (1 mo. Term SOFR + 0.49%, 0.38% Floor)   4.83%  09/25/2046   2,404,596 
     American Home Mortgage Investment Trust             
 2,546,231   Series 2005-4-3A1 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 11.00% Cap)   5.05%  11/25/2045   1,730,551 
 11,708,211   Series 2005-4-5A (6 mo. Term SOFR + 2.18%, 1.75% Floor, 11.00% Cap)   6.60%  11/25/2045   4,416,755 
 2,146,383   Series 2006-2-3A4   7.10%(d)  06/25/2036   306,288 
 7,248,123   Series 2007-A-13A1   6.60%(a)(d)  01/25/2037   1,022,190 
     Ameriquest Mortgage Securities, Inc.             
 2,621,203   Series 2004-FR1-M1   3.78%(d)  05/25/2034   2,593,750 
     Amortizing Residential Collateral Trust             
 4,523,420   Series 2002-BC7-M1 (1 mo. Term SOFR + 1.31%, 1.20% Floor)   5.65%  10/25/2032   3,414,728 
     AMSR Trust             
 41,588,000   Series 2019-SFR1-E   3.47%(a)  01/19/2039   40,054,875 
 30,156,000   Series 2020-SFR4-G1   4.00%(a)  11/17/2037   29,630,761 
 10,000,000   Series 2020-SFR5-F   2.69%(a)  11/17/2037   9,740,259 
 6,500,000   Series 2021-SFR3-E1   2.33%(a)  10/17/2038   6,141,431 
 11,000,000   Series 2021-SFR3-E2   2.43%(a)  10/17/2038   10,359,468 
 18,500,000   Series 2021-SFR3-F   3.23%(a)  10/17/2038   17,415,217 
 6,500,000   Series 2021-SFR4-D   2.77%(a)  12/17/2038   6,158,626 
 10,500,000   Series 2021-SFR4-E1   2.97%(a)  12/17/2038   9,950,432 
     Angel Oak Mortgage Trust LLC             
 114,313   Series 2019-2-M1   4.07%(a)(b)  03/25/2049   114,025 
 9,121,000   Series 2021-7-M1   3.26%(a)(b)  10/25/2066   6,348,372 
     Argent Securities, Inc. Asset-Backed Pass-Through Certificates             
 9,652,851   Series 2004-W11-M6 (1 mo. Term SOFR + 1.99%, 1.88% Floor)   6.33%  11/25/2034   8,281,635 
 99,941,406   Series 2006-M3-A1 (1 mo. Term SOFR + 0.29%, 0.18% Floor)   4.63%  10/25/2036   54,426,940 
 11,284,423   Series 2006-W5-A1A (1 mo. Term SOFR + 0.41%, 0.30% Floor)   4.75%  06/25/2036   7,291,043 
     Asset Backed Funding Certificates             
 80,864,430   Series 2007-WMC1-A1A (1 mo. Term SOFR + 1.36%, 1.25% Floor)   5.70%  06/25/2037   57,666,803 
     Asset Backed Securities Corp. Home Equity             
 1,267,409   Series 2004-HE3-M2 (1 mo. Term SOFR + 1.79%, 1.68% Floor)   6.13%  06/25/2034   1,213,415 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 17,324,500   Series 2006-HE7-A1 (1 mo. Term SOFR + 0.38%, 0.27% Floor)   3.64%  11/25/2036   15,653,318 
     Banc of America Alternative Loan Trust             
 413,255   Series 2005-10-4A1   5.75%  11/25/2035   297,894 
 1,654,257   Series 2005-11-2CB1   6.00%  12/25/2035   1,534,350 
 1,138,921   Series 2006-2-1CB1   6.00%  03/25/2036   1,021,097 
 1,541,044   Series 2006-2-3CB1   6.50%  03/25/2036   1,369,911 
 411,687   Series 2006-5-CB14 (1 mo. Term SOFR + 1.21%, 6.00% Floor, 6.00% Cap)   6.00%  06/25/2046   349,215 
 967,840   Series 2006-6-CB3   6.00%  07/25/2046   816,454 
 7,774,189   Series 2006-7-A4   6.50%(d)  10/25/2036   2,190,796 
 1,294,625   Series 2006-8-1A1 (-1 x 1 mo. Term SOFR + 6.39%, 0.00% Floor, 6.50% Cap)   2.05%(f)(g)  11/25/2036   93,957 
 461,397   Series 2006-8-1A2 (1 mo. Term SOFR + 0.56%, 0.45% Floor, 7.00% Cap)   4.90%  11/25/2036   359,139 
 2,095,431   Series 2006-9-1CB1   6.00%  01/25/2037   1,817,181 
 366,823   Series 2007-2-2A1   6.00%  06/25/2037   305,406 
     Banc of America Funding Corp.             
 2,228,346   Series 2006-2-3A1   6.00%  03/25/2036   1,856,024 
 60,940   Series 2006-2-4A1 (-3 x 1 mo. Term SOFR + 22.46%, 0.00% Floor, 22.80% Cap)   9.44%(g)  03/25/2036   55,306 
 78,433   Series 2006-2-6A2   5.50%  03/25/2036   75,917 
 256,799   Series 2006-3-1A1   6.00%  03/25/2036   211,080 
 153,991   Series 2006-3-6A1   6.38%(b)  03/25/2036   155,194 
 1,206,862   Series 2006-6-1A7   6.25%  08/25/2036   1,012,649 
 437,538   Series 2006-7-T2A5   6.54%(d)  10/25/2036   376,039 
 2,062,255   Series 2006-7-T2A8   6.41%(d)  10/25/2036   1,772,409 
 520,074   Series 2006-8T2-A8   6.60%(d)  10/25/2036   445,298 
 223,213   Series 2006-B-7A1   4.29%(b)  03/20/2036   189,313 
 3,845,552   Series 2006-D-6A1   3.96%(b)  05/20/2036   3,171,823 
 100,196   Series 2006-H-3A1   5.02%(b)  09/20/2046   81,768 
 43,696,806   Series 2006-H-5A1 (1 mo. Term SOFR + 0.47%, 0.36% Floor, 10.50% Cap)   4.84%  10/20/2036   13,370,030 
 424,540   Series 2007-1-TA10   6.34%(d)  01/25/2037   386,007 
 589,401   Series 2007-3-TA1B   5.83%(b)  04/25/2037   495,380 
 1,090,359   Series 2007-5-1A1   5.50%  07/25/2037   862,043 
 617,020   Series 2009-R14A-3A (-2 x 1 mo. Term SOFR + 16.30%, 5.50% Floor, 16.57% Cap)   0.06%(a)  06/26/2035   551,689 
 848,861   Series 2009-R15A-4A2   5.75%(a)(b)  12/26/2036   724,925 
 524,841   Series 2010-R1-3A (-2 x 1 mo. Term SOFR + 14.10%, 6.00% Floor, 14.28% Cap)   7.00%(a)  07/26/2036   490,837 
 4,735,187   Series 2014-R6-3A2   4.97%(a)(b)(h)  10/26/2036   4,230,286 
 10,958,978   Series 2014-R8-A2 (1 mo. Term SOFR + 0.35%, 0.24% Floor)   4.69%(a)  06/26/2036   8,629,855 
 17,965,131   Series 2015-R2-4A2 (1 mo. Term SOFR + 0.28%, 0.17% Floor)   1.79%(a)  09/29/2036   14,748,047 
     Banc of America Mortgage Securities, Inc.             
 904,366   Series 2006-1-A9   6.00%  05/25/2036   755,641 
 137,803   Series 2007-1-2A5   5.75%  01/25/2037   116,389 
 3,032,671   Series 2007-3-2A8   7.00%  09/25/2037   2,520,427 
     BankUnited Trust             
 4,840,163   Series 2005-1-2A1   4.53%(b)  09/25/2045   4,326,088 
     Barclays PLC             
 6,284,003   Series 2010-RR6-7A10   6.00%(a)(b)  02/26/2037   2,430,646 
     Bayview Commercial Asset Trust             
 608,208   Series 2007-3-A2 (1 mo. Term SOFR + 0.55%, 0.00% Floor)   4.89%(a)  07/25/2037   569,008 
     Bayview Financial Acquisition Trust             
 2,229,608   Series 2006-C-2A4 (1 mo. Term SOFR + 0.53%, 0.00% Floor)   4.88%  11/28/2036   2,033,736 
     BCAP LLC Trust             
 18,507,697   Series 2007-AA2-11A (1 mo. Term SOFR + 0.49%, 0.38% Floor)   4.83%(a)  05/25/2047   18,719,580 
 1,944,387   Series 2007-AA2-2A7   6.00%  04/25/2037   870,270 
 2,105,017   Series 2007-AA2-2A8   5.75%  04/25/2037   878,609 
 10,166,328   Series 2008-RR3-A1B   6.70%(a)(b)  10/25/2036   3,091,266 
 1,449,403   Series 2009-RR13-18A2   5.75%(a)(b)  07/26/2037   699,158 
 2,526,364   Series 2009-RR4-4A2   5.75%(a)(b)  02/26/2036   1,107,249 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Bear Stearns Adjustable Rate Mortgage Trust             
 209,388   Series 2005-12-13A1   4.97%(b)  02/25/2036   145,994 
 1,894,520   Series 2006-4-4A1   4.98%(b)  10/25/2046   1,611,248 
 2,525,558   Series 2007-1-2A1   5.70%(b)  02/25/2047   2,174,976 
 714,609   Series 2007-1-3A1   4.47%(b)  02/25/2047   686,508 
 8,365,438   Series 2007-2-2A1 (12 mo. Term SOFR + 2.59%, 1.88% Floor, 11.15% Cap)   6.37%  12/25/2046   6,838,643 
     Bear Stearns Alt-A Trust             
 186,021   Series 2004-11-2A3   5.91%(b)  11/25/2034   186,199 
 9,480,974   Series 2006-3-21A1   4.69%(b)  05/25/2036   6,800,909 
 3,562,388   Series 2006-5-1A1 (1 mo. Term SOFR + 0.45%, 0.34% Floor, 11.50% Cap)   4.79%  08/25/2036   3,254,789 
 5,561,578   Series 2006-6-2A1   4.41%(b)  11/25/2036   2,333,532 
 2,855,465   Series 2006-8-2A1   4.83%(b)  08/25/2046   1,961,643 
 4,601,610   Series 2007-1-1A1 (1 mo. Term SOFR + 0.43%, 0.32% Floor, 11.50% Cap)   4.77%  01/25/2047   3,767,462 
     Bear Stearns Asset Backed Securities Trust             
 2,252,896   Series 2004-AC4-A2   5.50%(d)  08/25/2034   2,205,394 
 4,991,833   Series 2005-AC2-1A   5.75%(d)  04/25/2035   4,211,256 
 1,681,663   Series 2005-AC2-2A1   5.75%(d)  04/25/2035   1,568,205 
 19,344,781   Series 2005-AC6-22A   5.13%(b)  09/25/2035   15,429,823 
 4,579,323   Series 2005-AC7-A4   6.00%(d)  10/25/2035   2,837,592 
 5,826,614   Series 2006-AC1-1A1   6.25%(d)  02/25/2036   2,669,095 
 743,521   Series 2006-AC5-A1   6.75%(d)  12/25/2036   745,744 
 19,736,201   Series 2007-HE4-2A (1 mo. Term SOFR + 0.33%, 0.22% Floor)   4.67%  05/25/2037   17,950,562 
 11,235,959   Series 2007-HE6-2A (1 mo. Term SOFR + 1.16%, 1.05% Floor)   5.50%  08/25/2037   9,843,524 
 922,587   Series 2007-SD1-1A2A   6.00%  10/25/2036   312,589 
 1,323,155   Series 2007-SD1-1A3A   6.50%  10/25/2036   480,378 
 1,187,116   Series 2007-SD1-23A1   5.84%(b)  10/25/2036   605,220 
     Bear Stearns Mortgage Funding Trust             
 5,667,231   Series 2006-AR3-2A1 (1 mo. Term SOFR + 0.51%, 0.40% Floor, 10.50% Cap)   4.85%  11/25/2036   5,058,740 
 2,484,166   Series 2006-AR4-A2 (1 mo. Term SOFR + 0.47%, 0.36% Floor, 10.50% Cap)   4.81%  12/25/2037   2,377,525 
 5,494,695   Series 2007-AR3-22A1 (1 mo. Term SOFR + 0.43%, 0.32% Floor, 10.50% Cap)   4.77%  04/25/2037   5,166,875 
     BNC Mortgage Loan Trust             
 4,597,288   Series 2006-2-A4 (1 mo. Term SOFR + 0.43%, 0.32% Floor)   4.77%  11/25/2036   4,443,353 
 4,020,162   Series 2007-1-A4 (1 mo. Term SOFR + 0.27%, 0.16% Floor)   4.61%  03/25/2037   3,872,472 
 4,917,238   Series 2007-4-A4 (1 mo. Term SOFR + 1.61%, 1.50% Floor)   5.95%  11/25/2037   4,094,682 
     BNP Paribas Mortgage Securities LLC             
 23,502,859   Series 2009-1-B1   6.00%(a)  08/27/2037   10,814,044 
     CAFL Issuer LLC             
 49,471,967   Series 2021-RTL1-A1   2.24%(a)(d)  03/28/2029   49,098,162 
 6,295,086   Series 2021-RTL1-A2   3.10%(a)(d)  03/28/2029   6,243,883 
     Carrington Mortgage Loan Trust             
 3,783,802   Series 2006-FRE2-A2 (1 mo. Term SOFR + 0.23%, 0.12% Floor, 12.50% Cap)   4.57%  10/25/2036   3,007,416 
 18,245,020   Series 2006-FRE2-A3 (1 mo. Term SOFR + 0.27%, 0.16% Floor, 12.50% Cap)   4.61%  10/25/2036   14,502,857 
 5,615,679   Series 2006-FRE2-A4 (1 mo. Term SOFR + 0.36%, 0.25% Floor, 12.50% Cap)   4.70%  10/25/2036   4,464,448 
 3,262,254   Series 2006-NC3-A3 (1 mo. Term SOFR + 0.26%, 0.15% Floor, 12.50% Cap)   4.60%  08/25/2036   3,154,185 
 26,923,867   Series 2006-NC4-A3 (1 mo. Term SOFR + 0.27%, 0.16% Floor, 12.50% Cap)   4.61%  10/25/2036   26,338,202 
 21,174,916   Series 2006-NC5-A3 (1 mo. Term SOFR + 0.26%, 0.15% Floor, 14.50% Cap)   4.60%  01/25/2037   18,594,793 
 9,466,858   Series 2007-RFC1-A3 (1 mo. Term SOFR + 0.25%, 0.14% Floor, 14.50% Cap)   4.59%  12/25/2036   9,222,488 
     Cascade MH Asset Trust             
 14,337,875   Series 2019-MH1-A   4.00%(a)(b)  11/25/2044   13,443,942 
     Centex Home Equity             
 2,750,000   Series 2004-A-AF5   5.43%(d)  01/25/2034   2,671,229 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Chase Mortgage Finance Corp.             
 2,151,698   Series 2005-A1-2A4   5.02%(b)  12/25/2035   2,022,396 
 7,048,617   Series 2006-S1-A5   6.50%  05/25/2036   3,226,662 
 6,582,926   Series 2006-S2-1A9   6.25%  10/25/2036   2,548,064 
 4,617,013   Series 2006-S3-1A2   6.00%  11/25/2036   1,815,284 
 13,246,483   Series 2006-S4-A8   6.00%  12/25/2036   5,632,776 
 3,920,266   Series 2007-S1-A7   6.00%  02/25/2037   1,493,506 
 2,265,773   Series 2007-S3-1A5   6.00%  05/25/2037   989,289 
 1,049,516   Series 2007-S3-2A1   5.50%  05/25/2037   10 
 2,182,593   Series 2007-S5-1A18   6.00%  07/25/2037   964,244 
     Chaseflex Trust             
 900,819   Series 2005-1-3A1   6.00%  02/25/2035   759,702 
 76,880   Series 2006-1-A5   6.16%(b)  06/25/2036   71,928 
 1,961,397   Series 2006-2-A2B (1 mo. Term SOFR + 0.31%, 0.20% Floor, 11.50% Cap)   4.15%  09/25/2036   1,631,335 
 3,197,222   Series 2007-1-1A1   6.50%  02/25/2037   1,101,923 
 4,483,581   Series 2007-M1-2F4   4.27%(d)  08/25/2037   3,483,758 
 4,663,323   Series 2007-M1-2F5   4.27%(d)  08/25/2037   3,623,031 
     Citigroup Financial Products, Inc.             
 1,394,289   Series 2007-AMC3-A2D (1 mo. Term SOFR + 0.46%, 0.35% Floor)   4.80%  03/25/2037   1,171,123 
     Citigroup Mortgage Loan Trust, Inc.             
 362,703   Series 2005-9-21A1   5.50%  11/25/2035   328,822 
 849,376   Series 2006-4-2A1A   6.00%  12/25/2035   822,090 
 4,074,434   Series 2006-AR3-1A1A   5.76%(b)  06/25/2036   3,824,062 
 2,109,189   Series 2006-FX1-A6   7.35%(d)  10/25/2036   1,189,980 
 8,351,893   Series 2006-WF1-A2D   4.52%(d)  03/25/2036   3,912,859 
 8,567,208   Series 2006-WF2-A2D   4.27%(d)  05/25/2036   3,085,912 
 1,460,329   Series 2007-10-1A1A   5.16%(b)  04/25/2037   1,348,402 
 512,196   Series 2007-12-2A1   6.50%(a)(b)  10/25/2036   263,969 
 14,044,235   Series 2007-9-1A1   5.75%(a)  04/25/2047   7,720,581 
 608,195   Series 2007-9-2A2   6.50%(a)(b)  05/25/2037   540,017 
 34,953,430   Series 2007-AMC2-A1 (1 mo. Term SOFR + 0.39%, 0.28% Floor)   4.73%(a)  01/25/2037   32,593,913 
 1,777,576   Series 2007-AR8-1A1A   4.04%(b)  08/25/2047   1,551,938 
 3,344,936   Series 2007-OPX1-A2 (1 mo. Term SOFR + 0.51%, 0.40% Floor)   4.85%  01/25/2037   1,407,537 
 3,292,513   Series 2007-OPX1-A3A   7.47%(d)  01/25/2037   1,374,842 
 7,257,884   Series 2007-OPX1-A5A   7.26%(d)  01/25/2037   3,031,906 
 2,610,367   Series 2010-7-9A4   6.00%(a)(b)  10/25/2037   2,267,513 
 12,169,832   Series 2010-8-7A4   6.00%(a)(b)  06/25/2037   11,055,050 
 2,275,204   Series 2014-8-3A2   6.00%(a)(b)  03/25/2037   1,980,542 
 96,759,090   Series 2019-A-PT1   3.92%(a)  10/25/2058   80,437,767 
 150,036,059   Series 2019-D-PT1   3.53%(a)(b)  04/25/2064   125,283,860 
 185,061,590   Series 2020-RP1-A1   1.50%(a)(b)  08/25/2064   161,714,923 
 26,293,400   Series 2020-RP1-M1   2.00%(a)(b)  08/25/2064   19,531,955 
 22,116,950   Series 2020-RP1-M2   2.50%(a)(b)  08/25/2064   16,274,523 
 18,676,200   Series 2020-RP1-M3   2.75%(a)(b)  08/25/2064   13,334,196 
 48,970,180   Series 2020-RP1-PT5   6.76%(a)(b)  08/25/2064   40,488,153 
 11,729,124   Series 2021-JL1-A   2.75%(a)(b)  02/27/2062   11,263,721 
 238,139,992   Series 2021-RP2-A1   1.75%(a)(b)  03/25/2065   210,625,560 
 34,186,100   Series 2021-RP2-M1   3.25%(a)(b)  03/25/2065   28,627,515 
 28,635,750   Series 2021-RP2-M2   3.40%(a)(b)  03/25/2065   23,053,978 
 26,589,300   Series 2021-RP2-M3   3.40%(a)(b)  03/25/2065   20,470,772 
 78,011,306   Series 2021-RP2-PT1   5.69%(a)(b)  03/25/2065   64,210,716 
     Citimortgage Alternative Loan Trust             
 1,302,209   Series 2006-A1-1A5   5.50%  04/25/2036   1,184,920 
 1,547,712   Series 2006-A2-A2   6.00%  05/25/2036   1,413,995 
 1,559,054   Series 2006-A3-1A13   6.00%  07/25/2036   1,408,537 
 1,242,358   Series 2006-A4-1A8   6.00%  09/25/2036   1,117,148 
 1,229,440   Series 2006-A5-3A3Pool 2006-A5   6.00%  10/25/2036   974,949 
 3,687,696   Series 2006-A6-1A2 (1 mo. LIBOR US + 0.50%, 6.00% Floor, 6.00% Cap)   6.00%(i)  11/25/2036   3,282,427 
 1,888,997   Series 2007-A1-1A5   6.00%  01/25/2037   1,647,506 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 921,011   Series 2007-A1-1A7   6.00%  01/25/2037   803,268 
 2,497,454   Series 2007-A1-1A8 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 6.00% Cap)   5.05%  01/25/2037   2,049,549 
 2,356,626   Series 2007-A1-1A9 (-1 x 1 mo. Term SOFR + 5.29%, 0.00% Floor, 5.40% Cap)   0.95%(f)(g)  01/25/2037   111,785 
 1,994,510   Series 2007-A3-1A1   6.00%(j)  03/25/2037   1,695,337 
 4,590,007   Series 2007-A3-1A3 (-1 x 1 mo. Term SOFR + 5.29%, 0.00% Floor, 5.40% Cap)   0.95%(f)(g)  03/25/2037   215,917 
 1,798,725   Series 2007-A3-1A4   5.75%  03/25/2037   1,596,959 
 3,154,490   Series 2007-A4-1A3 (1 mo. Term SOFR + 0.44%, 0.33% Floor, 7.00% Cap)   4.78%  04/25/2037   2,607,197 
 3,154,490   Series 2007-A4-1A4 (-1 x 1 mo. Term SOFR + 6.56%, 0.00% Floor, 6.67% Cap)   2.22%(f)(g)  04/25/2037   290,145 
 3,340,767   Series 2007-A4-1A5   5.75%  04/25/2037   2,932,062 
 425,545   Series 2007-A5-1A11   6.00%  05/25/2037   391,117 
 5,610,501   Series 2007-A5-1A8   6.00%  05/25/2037   5,156,608 
 184,235   Series 2007-A8-A1   6.00%  10/25/2037   164,063 
     CitiMortgage, Inc.             
 1,550,014   Series 2005-1-1A4   5.50%  02/25/2035   1,473,372 
     Colony American Finance Ltd.             
 9,000,000   Series 2020-3-D   2.95%(a)(b)  08/15/2053   7,314,244 
     COLT Funding LLC             
 14,812,000   Series 2021-5-M1   3.26%(a)(b)  11/26/2066   10,783,573 
 4,294,000   Series 2021-HX1-B1   3.11%(a)(b)  10/25/2066   3,119,820 
 4,130,000   Series 2021-HX1-B2   3.86%(a)(b)  10/25/2066   3,136,505 
 6,000,000   Series 2021-HX1-M1   2.36%(a)(b)  10/25/2066   4,242,782 
 10,100,709   Series 2022-4-A1   4.30%(a)(b)  03/25/2067   9,793,257 
     Countrywide Alternative Loan Trust             
 22,413,580   Series 2004-36CB-1A1   6.00%  02/25/2035   15,851,411 
 4,729,735   Series 2005-13CB-A1 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 5.50% Cap)   4.95%  05/25/2035   3,849,064 
 2,160,354   Series 2005-13CB-A3   5.50%  05/25/2035   1,836,626 
 2,104,629   Series 2005-20CB-2A1 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 5.50% Cap)   4.95%  07/25/2035   1,270,076 
 4,296,951   Series 2005-20CB-2A2 (-1 x 1 mo. Term SOFR + 4.89%, 0.00% Floor, 5.00% Cap)   0.55%(f)(g)  07/25/2035   156,034 
 1,249,093   Series 2005-26CB-A11 (-2 x 1 mo. Term SOFR + 12.84%, 0.00% Floor, 13.05% Cap)   4.98%(g)  07/25/2035   807,961 
 1,683,006   Series 2005-28CB-1A2 (1 mo. Term SOFR + 0.86%, 0.75% Floor, 5.50% Cap)   5.20%  08/25/2035   1,356,118 
 907,284   Series 2005-28CB-3A6   6.00%  08/25/2035   361,048 
 4,846,086   Series 2005-32T1-A9   5.50%  08/25/2035   2,632,333 
 1,890,603   Series 2005-46CB-A14   5.50%  10/25/2035   1,316,990 
 957,815   Series 2005-46CB-A20   5.50%  10/25/2035   667,212 
 3,556,499   Series 2005-48T1-A2   5.50%  11/25/2035   1,980,451 
 1,212,346   Series 2005-54CB-3A4   5.50%  11/25/2035   651,958 
 26,903,448   Series 2005-55CB-1A1   5.50%  11/25/2035   17,601,035 
 10,526,334   Series 2005-57CB-1A1   5.50%  12/25/2035   7,529,989 
 297,949   Series 2005-60T1-A7 (-7 x 1 mo. Term SOFR + 35.09%, 0.00% Floor, 35.93% Cap)   3.28%(g)  12/25/2035   128,048 
 277,874   Series 2005-64CB-1A14   5.50%  12/25/2035   242,097 
 4,032,996   Series 2005-64CB-1A4   5.50%  12/25/2035   3,513,734 
 853,231   Series 2005-73CB-1A5 (1 mo. Term SOFR + 0.91%, 0.80% Floor, 5.50% Cap)   5.25%  01/25/2036   786,391 
 2,146,552   Series 2005-73CB-1A6 (-1 x 1 mo. Term SOFR + 4.59%, 0.00% Floor, 4.70% Cap)   0.25%(f)(g)  01/25/2036   50,204 
 29,545,642   Series 2005-77T1-1A1   6.00%  02/25/2036   14,352,785 
 402,269   Series 2005-79CB-A5   5.50%  01/25/2036   222,377 
 16,678,970   Series 2005-80CB-4A1   6.00%  02/25/2036   7,812,243 
 18,744,222   Series 2005-85CB-1A1   6.00%  02/25/2036   7,606,291 
 1,062,756   Series 2005-85CB-2A6 (-4 x 1 mo. Term SOFR + 21.21%, 0.00% Floor, 21.63% Cap)   5.30%(g)  02/25/2036   745,680 
 801,739   Series 2005-86CB-A5   5.50%  02/25/2036   463,622 
 2,995,733   Series 2005-J1-5A3   5.50%  02/25/2035   2,837,080 
 12,782   Series 2005-J1-7A1   5.50%  12/25/2025   10,320 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 1,066,613   Series 2005-J10-1A11   5.50%  10/25/2035   708,565 
 242,736   Series 2005-J10-1A13 (1 mo. Term SOFR + 0.81%, 0.70% Floor, 5.50% Cap)   5.15%  10/25/2035   148,128 
 113,708   Series 2005-J10-1A15   5.50%  10/25/2035   75,538 
 346,220   Series 2005-J11-1A3   5.50%  11/25/2035   189,155 
 325,559   Series 2005-J13-2A5 (1 mo. Term SOFR + 0.59%, 0.48% Floor, 5.50% Cap)   4.93%  11/25/2035   205,685 
 651,118   Series 2005-J13-2A6 (-1 x 1 mo. Term SOFR + 4.91%, 0.00% Floor, 5.02% Cap)   0.57%(f)(g)  11/25/2035   24,168 
 402,393   Series 2005-J2-1A5 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 5.50% Cap)   4.95%  04/25/2035   311,302 
 1,238,133   Series 2005-J2-1A6 (-1 x 1 mo. Term SOFR + 4.89%, 0.00% Floor, 5.00% Cap)   0.55%(f)(g)  04/25/2035   35,517 
 2,573,606   Series 2005-J3-2A8 (1 mo. Term SOFR + 0.41%, 0.30% Floor, 5.50% Cap)   4.75%  05/25/2035   1,973,313 
 2,573,606   Series 2005-J3-2A9 (-1 x 1 mo. Term SOFR + 5.09%, 0.00% Floor, 5.20% Cap)   0.75%(f)(g)  05/25/2035   102,677 
 2,462,817   Series 2006-12CB-A3 (1 mo. Term SOFR + 5.75%, 5.75% Floor)   5.75%  05/25/2036   1,190,493 
 3,035,359   Series 2006-12CB-A8   6.00%  05/25/2036   1,524,767 
 27,092,011   Series 2006-15CB-A1   6.50%  06/25/2036   12,376,842 
 2,528,960   Series 2006-16CB-A7   6.00%  06/25/2036   1,324,774 
 667,026   Series 2006-18CB-A12 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 6.00% Cap)   5.05%  07/25/2036   277,373 
 667,026   Series 2006-18CB-A13 (-1 x 1 mo. Term SOFR + 5.39%, 0.00% Floor, 5.50% Cap)   1.05%(f)(g)  07/25/2036   43,707 
 3,253,488   Series 2006-19CB-A12 (1 mo. Term SOFR + 0.51%, 0.40% Floor, 6.00% Cap)   4.85%  08/25/2036   1,441,749 
 4,411,925   Series 2006-19CB-A13 (-1 x 1 mo. Term SOFR + 5.49%, 0.00% Floor, 5.60% Cap)   1.15%(f)(g)  08/25/2036   355,022 
 679,108   Series 2006-19CB-A15Pool 2006-1   6.00%  08/25/2036   389,075 
 4,100,448   Series 2006-23CB-2A3   6.50%  08/25/2036   1,259,882 
 1,216,050   Series 2006-24CB-A11   5.75%  08/25/2036   612,406 
 3,559,230   Series 2006-24CB-A14 (-1 x 1 mo. Term SOFR + 7.04%, 0.00% Floor, 7.15% Cap)   2.70%(f)(g)  08/25/2036   530,760 
 2,854,039   Series 2006-24CB-A22   6.00%  08/25/2036   1,487,054 
 3,063,241   Series 2006-24CB-A5 (1 mo. Term SOFR + 0.71%, 0.06% Floor, 6.00% Cap)   5.05%  08/25/2036   1,288,566 
 1,411,487   Series 2006-26CB-A17   6.25%  09/25/2036   683,612 
 1,811,764   Series 2006-26CB-A9   6.50%  09/25/2036   909,219 
 2,381,720   Series 2006-29T1-1A2   6.25%  10/25/2036   1,261,442 
 358,674   Series 2006-29T1-2A12 (-7 x 1 mo. Term SOFR + 45.41%, 0.00% Floor, 46.15% Cap)   17.20%(g)  10/25/2036   426,645 
 219,695   Series 2006-29T1-2A23 (-4 x 1 mo. Term SOFR + 32.87%, 0.00% Floor, 33.37% Cap)   14.07%(g)  10/25/2036   210,717 
 1,856,150   Series 2006-2CB-A9   6.00%  03/25/2036   875,288 
 2,357,438   Series 2006-30T1-1A2   6.25%  11/25/2036   1,732,372 
 1,966,063   Series 2006-32CB-A1 (1 mo. Term SOFR + 0.78%, 0.67% Floor, 6.00% Cap)   5.12%  11/25/2036   896,312 
 3,279,393   Series 2006-32CB-A2 (-1 x 1 mo. Term SOFR + 5.22%, 0.00% Floor, 5.33% Cap)   0.88%(f)(g)  11/25/2036   198,994 
 7,380,826   Series 2006-36T2-2A1   6.25%  12/25/2036   3,077,658 
 595,763   Series 2006-36T2-2A4   6.25%  12/25/2036   248,422 
 712,194   Series 2006-39CB-1A10   6.00%  01/25/2037   583,689 
 13,161,767   Series 2006-39CB-2A2 (-1 x 1 mo. Term SOFR + 6.44%, 0.00% Floor, 6.55% Cap)   2.10%(f)(g)  01/25/2037   640,679 
 4,482,203   Series 2006-39CB-2A4 (1 mo. Term SOFR + 0.56%, 0.45% Floor, 7.00% Cap)   4.90%  01/25/2037   526,670 
 1,051,733   Series 2006-40T1-1A11   6.00%  01/25/2037   620,225 
 1,790,150   Series 2006-40T1-1A4 (-1 x 1 mo. Term SOFR + 5.34%, 0.00% Floor, 5.45% Cap)   1.00%(f)(g)  01/25/2037   114,287 
 2,679,900   Series 2006-41CB-1A10   6.00%  01/25/2037   1,364,730 
 6,554,157   Series 2006-41CB-1A15 (-1 x 1 mo. Term SOFR + 5.29%, 0.00% Floor, 5.40% Cap)   0.95%(f)(g)  01/25/2037   505,972 
 6,554,157   Series 2006-41CB-1A2 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 6.00% Cap)   5.05%  01/25/2037   2,530,116 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 2,821,993   Series 2006-41CB-1A9   6.00%  01/25/2037   1,437,090 
 3,451,960   Series 2006-42-1A1 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 6.00% Cap)   5.05%  01/25/2047   1,467,546 
 3,451,960   Series 2006-42-1A2 (-1 x 1 mo. Term SOFR + 5.29%, 0.00% Floor, 5.40% Cap)   0.95%(f)(g)  01/25/2047   264,686 
 2,298,826   Series 2006-42-1A3   6.00%  01/25/2047   1,197,456 
 2,575,965   Series 2006-43CB-1A12   5.75%  02/25/2037   1,306,893 
 8,912,465   Series 2006-43CB-1A6   6.00%  02/25/2037   4,695,846 
 9,705,176   Series 2006-45T1-1A1 (1 mo. Term SOFR + 0.61%, 6.00% Floor, 6.00% Cap)   6.00%  02/25/2037   3,546,648 
 3,130,702   Series 2006-45T1-1A4 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 6.00% Cap)   5.05%  02/25/2037   865,210 
 3,130,702   Series 2006-45T1-1A5 (-1 x 1 mo. Term SOFR + 5.29%, 0.00% Floor, 5.40% Cap)   0.95%(f)(g)  02/25/2037   183,518 
 1,334,041   Series 2006-45T1-2A2   6.00%  02/25/2037   713,833 
 5,251,329   Series 2006-4CB-1A1   6.00%  04/25/2036   2,507,227 
 550,943   Series 2006-6CB-1A4Pool 0066CB   5.50%  05/25/2036   444,848 
 3,996,724   Series 2006-7CB-1A14   6.00%  05/25/2036   2,078,851 
 6,969,565   Series 2006-7CB-1A16   6.00%  05/25/2036   3,625,142 
 2,135,475   Series 2006-7CB-1A6   6.00%  05/25/2036   1,125,317 
 2,162,833   Series 2006-7CB-1A9   6.00%  05/25/2036   1,124,974 
 800,679   Series 2006-9T1-A11   6.00%  05/25/2036   313,982 
 1,667,968   Series 2006-J1-1A10   5.50%  02/25/2036   1,122,925 
 3,384,243   Series 2006-J1-1A3   5.50%  02/25/2036   2,278,372 
 766,981   Series 2006-J4-2A2   6.00%  07/25/2036   445,828 
 1,017,205   Series 2006-J7-1A1   6.25%  11/25/2036   478,839 
 26,111,075   Series 2006-OA21-A1 (1 mo. Term SOFR + 0.30%, 0.19% Floor)   4.67%  03/20/2047   21,826,574 
 2,216,879   Series 2006-OA7-1A2 (12 Month US Treasury Average + 0.94%, 0.94% Floor)   5.77%  06/25/2046   2,101,010 
 588,707   Series 2007-11T1-A24 (-6 x 1 mo. Term SOFR + 39.21%, 0.00% Floor, 39.90% Cap)   13.18%(g)  05/25/2037   475,546 
 9,070,064   Series 2007-12T1-A11   6.00%  06/25/2037   4,110,774 
 8,259,837   Series 2007-15CB-A1   6.00%  07/25/2037   4,835,803 
 4,927,215   Series 2007-15CB-A2   5.75%  07/25/2037   2,775,646 
 5,910,873   Series 2007-15CB-A5   5.75%  07/25/2037   3,329,769 
 7,218,417   Series 2007-16CB-2A1 (1 mo. Term SOFR + 0.56%, 0.45% Floor, 7.00% Cap)   4.90%  08/25/2037   2,410,957 
 2,090,273   Series 2007-16CB-2A2 (-8 x 1 mo. Term SOFR + 53.63%, 0.00% Floor, 54.58% Cap)   17.47%(g)  08/25/2037   2,441,083 
 2,389,616   Series 2007-16CB-4A7   6.00%  08/25/2037   1,744,167 
 4,646,008   Series 2007-17CB-1A10 (-5 x 1 mo. Term SOFR + 29.37%, 0.00% Floor, 29.90% Cap)   9.42%(g)  08/25/2037   3,560,940 
 685,057   Series 2007-18CB-2A25   6.00%  08/25/2037   400,425 
 591,026   Series 2007-19-1A10 (-6 x 1 mo. Term SOFR + 38.31%, 0.00% Floor, 39.00% Cap)   12.28%(g)  08/25/2037   531,228 
 10,592,933   Series 2007-19-1A34   6.00%  08/25/2037   5,078,556 
 8,686,823   Series 2007-19-1A4   6.00%  08/25/2037   4,164,712 
 26,893,045   Series 2007-19-2A1   6.50%  08/25/2037   11,475,601 
 2,653,146   Series 2007-21CB-2A2 (-4 x 1 mo. Term SOFR + 27.94%, 0.00% Floor, 28.40% Cap)   10.59%(g)  09/25/2037   2,020,078 
 17,437,273   Series 2007-22-2A16   6.50%  09/25/2037   6,391,807 
 6,687,301   Series 2007-23CB-A3 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 7.00% Cap)   4.95%  09/25/2037   2,432,074 
 9,490,667   Series 2007-23CB-A4 (-1 x 1 mo. Term SOFR + 6.39%, 0.00% Floor, 6.50% Cap)   2.05%(f)(g)  09/25/2037   1,127,562 
 958,154   Series 2007-24-A2 (-6 x 1 mo. Term SOFR + 41.01%, 0.00% Floor, 41.70% Cap)   14.98%(g)  10/25/2037   732,778 
 1,915,902   Series 2007-24-A3 (-1 x 1 mo. Term SOFR + 6.84%, 0.00% Floor, 6.95% Cap)   2.50%(f)(g)  10/25/2037   239,838 
 3,143,042   Series 2007-24-A4 (1 mo. Term SOFR + 0.81%, 0.70% Floor, 7.00% Cap)   5.15%  10/25/2037   694,042 
 4,157,118   Series 2007-24-A6 (1 mo. Term SOFR + 1.11%, 1.00% Floor, 7.00% Cap)   5.45%  10/25/2037   982,870 
 3,041,760   Series 2007-2CB-1A4 (1 mo. Term SOFR + 1.11%, 5.75% Floor, 100.00% Cap)   5.75%  03/25/2037   1,586,227 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 3,408,353   Series 2007-5CB-1A18 (-1 x 1 mo. Term SOFR + 5.54%, 0.00% Floor, 5.65% Cap)   1.20%(f)(g)  04/25/2037   296,486 
 3,408,353   Series 2007-5CB-1A23 (1 mo. Term SOFR + 0.66%, 0.55% Floor, 6.00% Cap)   5.00%  04/25/2037   1,414,191 
 13,575,400   Series 2007-5CB-1A31   5.50%  04/25/2037   6,732,405 
 5,692,530   Series 2007-5CB-2A1   6.00%  04/25/2037   2,539,368 
 4,555,348   Series 2007-6-A1   5.75%  04/25/2047   2,384,529 
 4,994,975   Series 2007-6-A4   5.75%  04/25/2047   2,614,655 
 1,309,692   Series 2007-7T2-A8   6.00%  04/25/2037   588,458 
 227,575   Series 2007-8CB-A12 (-6 x 1 mo. Term SOFR + 39.51%, 0.00% Floor, 40.20% Cap)   13.48%(g)  05/25/2037   213,163 
 242,932   Series 2007-8CB-A8 (-6 x 1 mo. Term SOFR + 39.39%, 0.00% Floor, 40.08% Cap)   13.36%(g)  05/25/2037   226,003 
 386,026   Series 2007-9T1-1A4 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 6.00% Cap)   4.95%  05/25/2037   140,078 
 386,026   Series 2007-9T1-1A5 (-1 x 1 mo. Term SOFR + 5.39%, 0.00% Floor, 5.50% Cap)   1.05%(f)(g)  05/25/2037   26,998 
 1,423,360   Series 2007-9T1-2A1   6.00%  05/25/2037   628,877 
 16,715,802   Series 2007-HY2-1A   4.96%(b)  03/25/2047   15,688,469 
 13,421,029   Series 2007-HY4-4A1   4.45%(b)  06/25/2037   12,483,085 
     Countrywide Asset-Backed Certificates             
 17,544,000   Series 2005-11-MF1   5.35%(b)  02/25/2036   14,546,253 
 17,538,039   Series 2006-25-1A (1 mo. Term SOFR + 0.39%, 0.28% Floor)   4.73%  06/25/2047   16,272,092 
 4,881,881   Series 2006-26-1A (1 mo. Term SOFR + 0.25%, 0.14% Floor)   4.59%  06/25/2037   4,568,231 
 21,233,999   Series 2007-4-A5   4.39%(d)  04/25/2047   15,327,650 
 9,197,702   Series 2007-BC1-1A (1 mo. Term SOFR + 0.39%, 0.28% Floor)   4.73%  05/25/2037   8,528,716 
     Countrywide Home Loan Mortgage Pass Through Trust             
 345,985   Series 2003-60-4A1   6.21%(b)  02/25/2034   338,830 
 595,725   Series 2004-R2-1AF1 (1 mo. Term SOFR + 0.53%, 0.42% Floor, 9.50% Cap)   5.09%(a)  11/25/2034   563,167 
 579,639   Series 2004-R2-1AS   1.38%(a)(b)(f)  11/25/2034   24,987 
 11,329,220   Series 2005-17-2A1   5.50%  09/25/2035   5,197,411 
 2,190,930   Series 2005-18-A1   5.50%  10/25/2035   1,130,019 
 1,795,591   Series 2005-20-A5   5.50%  10/25/2035   1,066,107 
 1,314,878   Series 2005-20-A8   5.25%  10/25/2035   776,944 
 5,790,278   Series 2005-23-A1   5.50%  11/25/2035   3,108,787 
 1,308,279   Series 2005-24-A8   5.50%  11/25/2035   684,339 
 1,899,035   Series 2005-26-1A12   5.50%  11/25/2035   1,127,031 
 428,027   Series 2005-27-2A1   5.50%  12/25/2035   176,758 
 737,277   Series 2005-28-A7   5.25%  11/01/2035   376,503 
 5,797,488   Series 2005-HYB1-4A1   4.93%(b)  03/25/2035   5,408,775 
 44,415   Series 2005-HYB8-1A1   5.86%(b)  12/20/2035   43,826 
 5,741,600   Series 2005-HYB8-4A1   4.65%(b)  12/20/2035   4,949,829 
 548,788   Series 2005-J3-2A4   4.50%  09/25/2035   472,219 
 639,457   Series 2005-J4-A5   5.50%  11/25/2035   519,710 
 183,730   Series 2005-R1-1AF1 (1 mo. Term SOFR + 0.47%, 0.36% Floor, 9.50% Cap)   4.81%(a)  03/25/2035   176,351 
 183,021   Series 2005-R1-1AS   1.48%(a)(b)(f)  03/25/2035   7,299 
 6,356,008   Series 2006-1-A2   6.00%  03/25/2036   3,261,362 
 4,174,649   Series 2006-14-A5   6.25%  09/25/2036   1,642,783 
 2,977,863   Series 2006-16-2A1   6.50%  11/25/2036   930,466 
 1,268,359   Series 2006-20-1A21   6.00%  02/25/2037   580,336 
 14,979,720   Series 2006-8-1A3   6.00%  05/25/2036   9,117,950 
 171,150   Series 2006-J3-A4   5.50%  05/25/2036   168,532 
 3,810,123   Series 2007-10-A7   6.00%  07/25/2037   1,689,543 
 13,069,441   Series 2007-11-A1   6.00%  08/25/2037   5,424,753 
 6,297,454   Series 2007-12-A9   5.75%  08/25/2037   3,154,864 
 2,833,995   Series 2007-13-A1   6.00%  08/25/2037   1,333,884 
 4,643,656   Series 2007-13-A10   6.00%  08/25/2037   2,185,643 
 3,138,723   Series 2007-15-1A1   6.25%  09/25/2037   1,875,956 
 438,408   Series 2007-15-1A16   6.25%  09/25/2037   262,028 
 1,262,978   Series 2007-15-1A2   6.25%  09/25/2037   754,526 
 1,542,336   Series 2007-15-1A29   6.25%  09/25/2037   921,786 
 2,432,809   Series 2007-17-1A2   6.00%  10/25/2037   1,658,740 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 317,561   Series 2007-18-1A1   6.00%  11/25/2037   138,054 
 1,314,480   Series 2007-2-A2   6.00%  03/25/2037   536,797 
 36,149,164   Series 2007-21-1A1   6.25%  02/25/2038   16,765,028 
 3,495,655   Series 2007-3-A1   6.00%  04/25/2037   1,669,032 
 1,346,300   Series 2007-3-A12   6.00%  04/25/2037   642,803 
 3,109,120   Series 2007-4-1A39   6.00%  05/25/2037   1,346,562 
 1,090,570   Series 2007-5-A2   5.75%  05/25/2037   524,176 
 4,217,923   Series 2007-7-A1   6.00%  06/25/2037   2,090,873 
 1,895,591   Series 2007-7-A11   5.50%  06/25/2037   865,500 
 1,264,389   Series 2007-7-A2   5.75%  06/25/2037   602,037 
 4,271,410   Series 2007-8-1A4   6.00%  01/25/2038   1,822,793 
 2,241,620   Series 2007-8-1A5   5.44%  01/25/2038   888,497 
 3,633,181   Series 2007-8-1A8   6.00%  01/25/2038   1,550,434 
 5,204,570   Series 2007-8-1A9 (1 mo. Term SOFR + 6.00%, 4.00% Floor, 6.00% Cap)   6.00%  01/25/2038   2,193,421 
 5,111,749   Series 2007-9-A1   5.75%  07/25/2037   2,432,163 
 672,746   Series 2007-9-A11   5.75%  07/25/2037   320,092 
 2,932,338   Series 2007-HY1-1A1   4.45%(b)  04/25/2037   2,698,176 
 7,702,386   Series 2007-HYB1-2A1   4.04%(b)  03/25/2037   6,262,396 
 15,165,216   Series 2007-J1-2A1   6.00%  02/25/2037   5,712,068 
 390,587   Series 2007-J3-A1 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 6.00% Cap)   4.95%  07/25/2037   126,536 
 1,952,936   Series 2007-J3-A2 (-1 x 1 mo. Term SOFR + 5.39%, 0.00% Floor, 5.50% Cap)   1.05%(f)(g)  07/25/2037   138,682 
     Credit Suisse First Boston Mortgage Securities Corp.             
 1,655,188   Series 2005-10-5A4   5.50%  11/25/2035   1,189,452 
 348,468   Series 2005-10-5A5   5.50%  11/25/2035   250,457 
     Credit Suisse Management LLC             
 3,589,532   Series 2005-11-2A1   6.00%  12/25/2035   2,442,062 
 4,805,259   Series 2005-12-5A1   5.25%  01/25/2036   4,123,436 
 9,680,346   Series 2005-12-7A1   7.00%  01/25/2036   1,723,101 
 2,301,691   Series 2005-8-3A10   5.50%  09/25/2035   1,848,446 
 3,360,747   Series 2005-8-7A1   7.00%  09/25/2035   1,403,844 
     Credit Suisse Mortgage Capital Certificates             
 760,993   Series 2005-1R-2A5   5.75%(a)  12/26/2035   520,734 
 11,358,075   Series 2006-1-2A1   6.00%  02/25/2036   3,099,813 
 2,243,027   Series 2006-2-5A1 (1 mo. Term SOFR + 0.81%, 0.70% Floor, 6.00% Cap)   5.15%  03/25/2036   712,922 
 12,537,491   Series 2006-2-5A2 (-1 x 1 mo. Term SOFR + 5.19%, 0.00% Floor, 5.30% Cap)   0.85%(f)(g)  03/25/2036   727,828 
 2,611,542   Series 2006-2-5A3   6.25%  03/25/2036   1,063,336 
 7,067,877   Series 2006-2-5A4   6.00%  03/25/2036   2,767,173 
 1,035,931   Series 2006-3-4A3   5.50%  04/25/2036   727,844 
 626,247   Series 2006-3-4A4   5.50%  04/25/2036   440,000 
 2,392,458   Series 2006-4-1A8 (1 mo. Term SOFR + 1.11%, 6.00% Floor, 6.00% Cap)   6.00%  05/25/2036   1,270,571 
 20,338,667   Series 2006-4-4A1   7.00%  05/25/2036   5,280,473 
 7,094,686   Series 2006-4-6A1   6.00%  05/25/2036   2,471,047 
 6,597,154   Series 2006-6-1A4   6.00%  07/25/2036   3,176,551 
 10,035,754   Series 2006-6-3A1   7.00%  07/25/2036   2,178,175 
 109,972   Series 2006-7-3A11   6.00%  08/25/2036   38,996 
 1,457,171   Series 2006-7-7A5   6.00%  08/25/2036   1,098,075 
 1,722,252   Series 2006-9-2A1   5.50%  11/25/2036   1,477,598 
 7,566,686   Series 2006-9-3A1   6.00%  11/25/2036   6,490,810 
 3,059,190   Series 2006-9-4A1   6.00%  11/25/2036   1,828,297 
 1,339,926   Series 2006-9-6A14   6.00%  11/25/2036   954,820 
 217,689   Series 2006-9-6A15 (-6 x 1 mo. Term SOFR + 39.21%, 0.00% Floor, 39.90% Cap)   11.69%(g)  11/25/2036   228,561 
 8,115,622   Series 2007-1-1A4   6.13%(b)  02/25/2037   1,934,432 
 5,497,936   Series 2007-1-3A1   6.00%  02/25/2025   678,212 
 21,913   Series 2007-2-2A1   5.00%  03/25/2037   16,015 
 2,045,085   Series 2007-5-2A5   5.00%  08/25/2037   1,748,127 
 20,056,745   Series 2007-5-3A19   6.00%  08/25/2037   14,886,243 
 8,824,794   Series 2007-5-3A9   6.00%  08/25/2037   6,543,869 
 2,061,511   Series 2008-2R-1A1   6.00%(a)  07/25/2037   1,732,447 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 8,274,932   Series 2009-11R-4A1   7.00%(a)(b)  09/26/2037   2,183,777 
 5,753,537   Series 2009-12R-5A1   6.00%(a)  06/27/2036   2,845,368 
 1,259,269   Series 2010-13R-1A2   5.50%(a)(b)  12/26/2035   1,081,826 
 15,155,820   Series 2010-17R-6A1   4.00%(a)(b)  06/26/2037   14,564,027 
 5,565,508   Series 2010-4R-3A17   6.00%(a)(b)  06/26/2037   4,943,156 
 2,747,827   Series 2010-4R-8A17   6.00%(a)(b)  06/26/2037   2,440,557 
 8,266,545   Series 2010-7R-1A17   6.00%(a)(b)  01/26/2037   4,540,459 
 6,592,177   Series 2012-10R-4A2   4.78%(a)(b)  08/26/2046   4,486,007 
 7,817,498   Series 2013-9R-A1   3.00%(a)(b)  05/27/2043   6,953,663 
 64,145,090   Series 2017-RPL2-PT   0.00%(a)(b)  02/25/2056   47,583,899 
 162,150,718   Series 2019-RPL6-PT1   4.21%(a)(b)  11/25/2058   137,118,376 
 4,227,000   Series 2020-AFC1-B1   3.45%(a)(b)  02/25/2050   3,102,848 
 160,828,148   Series 2020-RPL1-PT1   3.32%(a)(b)  10/25/2069   124,607,993 
 8,608,131   Series 2021-JR1-A1   5.47%(a)(b)  09/27/2066   8,586,684 
 7,469,850   Series 2021-NQM1-B1   2.83%(a)(b)  05/25/2065   5,103,455 
 6,225,825   Series 2021-NQM5-M1   2.17%(a)(b)  05/25/2066   3,861,708 
 3,180,040   Series 2021-NQM6-B1   3.29%(a)(b)  07/25/2066   2,165,362 
 7,445,317   Series 2021-NQM6-M1   2.58%(a)(b)  07/25/2066   5,174,183 
 25,148,075   Series 2021-RPL9-A1   3.66%(a)(b)  02/25/2061   25,087,724 
     Credit-Based Asset Servicing and Securitization LLC             
 7,201,934   Series 2006-CB4-AV3 (1 mo. Term SOFR + 0.41%, 0.30% Floor)   2.95%  05/25/2036   4,774,052 
     CSAB Mortgage Backed Trust             
 3,809,214   Series 2006-3-A4B   6.61%(d)  11/25/2036   528,059 
 2,169,923   Series 2006-4-A6A   6.18%(d)  12/25/2036   354,431 
 7,862,359   Series 2007-1-1A1A   5.90%(b)  05/25/2037   1,713,341 
     CSMCM Trust             
 6,858,943   Series 2019-RPL6-CERT   0.00%(a)(b)  11/25/2058   5,429,085 
 8,441,001   Series 2020-RPL1-CERT   3.23%(a)(b)  01/25/2046   6,382,144 
     DB US Financial Markets Holding Corp.             
 3,438,570   Series 2014-RS1-3A2 (1 mo. Term SOFR + 0.51%, 0.40% Floor, 7.00% Cap)   5.25%(a)  10/27/2036   2,617,116 
     Deutsche ALT-A Securities, Inc.             
 6,746,253   Series 2005-4-A5   5.50%(b)  09/25/2035   5,882,197 
 165,443   Series 2005-5-1A6 (-7 x 1 mo. Term SOFR + 35.09%, 0.00% Floor, 35.93% Cap)   3.28%(g)  11/25/2035   257,328 
 454,962   Series 2005-5-2A1 (1 mo. Term SOFR + 0.31%, 0.20% Floor, 5.50% Cap)   4.65%  11/25/2035   172,732 
 1,373,125   Series 2005-5-2A2 (-1 x 1 mo. Term SOFR + 5.19%, 0.00% Floor, 5.30% Cap)   0.85%(f)(g)  11/25/2035   53,337 
 4,387,896   Series 2005-6-2A1   5.50%  12/25/2035   3,636,487 
 2,669,582   Series 2006-AB1-A1C   5.67%(b)  02/25/2036   2,355,954 
 359,009   Series 2006-AB2-A2   4.72%(b)  06/25/2036   320,044 
 621,347   Series 2006-AB4-A1A   6.01%(b)  10/25/2036   525,307 
 8,676,589   Series 2006-AB4-A2   5.65%(b)  10/25/2036   7,337,838 
 618,102   Series 2006-AB4-A3   5.90%(b)  10/25/2036   522,615 
 899,608   Series 2006-AB4-A3A1   5.90%(b)  10/25/2036   759,865 
 1,774,087   Series 2006-AB4-A6A1   6.37%(d)  10/25/2036   1,497,240 
 11,531,788   Series 2007-2-2A1 (1 mo. Term SOFR + 0.41%, 0.30% Floor)   4.75%  09/25/2047   9,711,979 
 14,474,509   Series 2007-OA3-A2 (1 mo. Term SOFR + 0.61%, 0.50% Floor)   4.95%  07/25/2047   11,874,549 
     Deutsche Mortgage Securities, Inc.             
 3,751,733   Series 2006-PR1-3A1 (-1 x 1 mo. Term SOFR + 11.96%, 12.12% Cap)   5.81%(a)  04/15/2036   3,377,422 
 742,968   Series 2006-PR1-4AI1 (-1 x 1 mo. Term SOFR + 11.95%, 12.11% Cap)   5.79%(a)  04/15/2036   671,106 
 1,211,374   Series 2006-PR1-4AI2 (-2 x 1 mo. Term SOFR + 14.39%, 14.61% Cap)   5.99%(a)  04/15/2036   1,085,908 
 246,677   Series 2006-PR1-5AI1 (-3 x 1 mo. Term SOFR + 19.01%, 19.35% Cap)   5.82%(a)  04/15/2036   212,581 
 2,172,859   Series 2006-PR1-5AI3 (-1 x 1 mo. Term SOFR + 12.41%, 12.57% Cap)   6.25%(a)  04/15/2036   1,856,856 
 35,998,158   Series 2006-PR1-5AI4 (-1 x 1 mo. Term SOFR + 11.96%, 12.12% Cap)   5.81%(a)  04/15/2036   30,720,576 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Equifirst Loan Securitization Trust             
 8,224,858   Series 2007-1-A2B (1 mo. Term SOFR + 0.30%, 0.19% Floor)   4.64%  04/25/2037   7,502,615 
     FBR Securitization Trust             
 22,750,000   Series 2005-2-M4 (1 mo. Term SOFR + 1.04%, 0.93% Floor, 14.00% Cap)   5.38%  09/25/2035   19,865,914 
 5,500,000   Series 2005-5-M3 (1 mo. Term SOFR + 0.85%, 0.74% Floor, 14.00% Cap)   5.19%  11/25/2035   5,098,607 
     Fieldstone Mortgage Investment Corp.             
 2,956,398   Series 2007-1-2A2 (1 mo. Term SOFR + 0.38%, 0.27% Floor, 12.25% Cap)   5.24%  04/25/2047   2,164,096 
     Figure line of credit trust             
 13,514,666   Series 2020-1-A   4.04%(a)(b)  09/25/2049   12,924,760 
     First Franklin Mortgage Loan Asset Backed Certificates             
 7,487,697   Series 2006-FF8-M1 (1 mo. Term SOFR + 0.49%, 0.38% Floor)   4.83%  07/25/2036   6,371,075 
 4,000,000   Series 2006-FF9-2A4 (1 mo. Term SOFR + 0.61%, 0.50% Floor)   4.95%  06/25/2036   3,570,481 
 16,841,469   Series 2007-FF2-A1 (1 mo. Term SOFR + 0.39%, 0.28% Floor)   4.73%  03/25/2037   8,615,277 
 20,169,104   Series 2007-FF2-A2C (1 mo. Term SOFR + 0.41%, 0.30% Floor)   4.75%  03/25/2037   9,545,579 
     First Horizon Alternative Mortgage Securities             
 2,748,766   Series 2005-AA4-1A1   5.05%(b)  05/25/2035   1,300,156 
 3,239,122   Series 2005-FA8-1A4   5.50%  11/25/2035   1,521,898 
 241,577   Series 2005-FA8-2A1   5.00%  02/25/2037   236,781 
 902,427   Series 2006-AA3-A1   5.28%(b)  06/25/2036   724,385 
 1,794,132   Series 2006-FA1-1A12   6.00%  04/25/2036   776,203 
 6,020,432   Series 2006-FA1-1A3   5.75%  04/25/2036   2,498,740 
 1,204,759   Series 2006-FA2-1A5   6.00%  05/25/2036   487,629 
 1,884,944   Series 2006-FA8-1A5   6.00%  02/25/2037   719,680 
 2,616,252   Series 2006-RE1-A1   5.50%(b)  05/25/2035   1,689,710 
 10,468,916   Series 2007-FA3-A3   6.00%  06/25/2037   3,471,184 
 538,679   Series 2007-FA3-A4   6.00%  06/25/2037   178,610 
 595,343   Series 2007-FA4-1A13   6.25%  08/25/2037   222,878 
 1,837,869   Series 2007-FA4-1A4   6.25%  08/25/2037   688,041 
 1,044,940   Series 2007-FA4-1A5   6.25%  08/25/2037   391,193 
     First Horizon Asset Securities, Inc.             
 863,886   Series 2006-1-1A2   6.00%  05/25/2036   315,379 
 1,532,436   Series 2007-4-1A1   6.00%  08/25/2037   553,567 
     FirstKey Homes Trust             
 9,000,000   Series 2020-SFR1-E   2.79%(a)  08/17/2037   8,819,516 
 18,000,000   Series 2020-SFR2-D   1.97%(a)  10/19/2037   17,484,269 
 26,225,000   Series 2020-SFR2-E   2.67%(a)  10/19/2037   25,580,193 
 16,350,000   Series 2021-SFR1-E1   2.39%(a)  08/17/2038   15,560,651 
 11,500,000   Series 2021-SFR1-E2   2.49%(a)  08/17/2038   10,912,363 
 8,000,000   Series 2021-SFR2-D   2.06%(a)  09/17/2038   7,552,409 
 8,000,000   Series 2021-SFR2-E1   2.26%(a)  09/17/2038   7,562,065 
 8,000,000   Series 2021-SFR2-E2   2.36%(a)  09/17/2038   7,548,212 
 34,891,000   Series 2021-SFR3-B   2.44%(a)  12/17/2038   33,090,052 
 29,584,000   Series 2021-SFR3-C   2.54%(a)  12/17/2038   27,982,908 
 22,626,000   Series 2021-SFR3-D   2.79%(a)  12/17/2038   21,305,230 
 45,314,000   Series 2021-SFR3-E1   2.99%(a)  12/17/2038   42,532,550 
 25,293,000   Series 2021-SFR3-E2   3.08%(a)  12/17/2038   23,742,526 
 10,174,000   Series 2021-SFR3-F1   3.58%(a)  12/17/2038   9,572,410 
     Freddie Mac Structured Agency Credit Risk Debt Notes             
 75,600,000   Series 2022-DNA3-M1B (30 day avg SOFR US + 2.90%, 0.00% Floor)   7.47%(a)  04/25/2042   78,367,278 
 3,306,615   Series 2024-DNA3-M1 (30 day avg SOFR US + 1.00%, 0.00% Floor)   5.57%(a)  10/25/2044   3,308,161 
 30,387,552   Series 2024-HQA2-M1 (30 day avg SOFR US + 1.20%, 0.00% Floor)   5.77%(a)  08/25/2044   30,432,477 
 23,000,000   Series 2024-HQA2-M2 (30 day avg SOFR US + 1.80%, 0.00% Floor)   6.37%(a)  08/25/2044   23,305,231 
     Freedom Mortgage Parent LLC             
 62,350,000   Series 2020-GT1-A   4.45%(a)(b)  01/25/2026   59,879,518 
 72,500,000   Series 2021-GT1-A   3.62%(a)(b)  07/25/2026   66,960,333 
 64,820,000   Series 2021-GT2-A   3.85%(a)(b)  10/25/2026   60,135,472 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Fremont Home Loan Trust             
 107,545,349   Series 2006-D-1A1 (1 mo. Term SOFR + 0.25%, 0.14% Floor)   4.59%  11/25/2036   62,421,213 
     FRTKL             
 7,750,000   Series 2021-SFR1-E1   2.37%(a)  09/17/2038   7,286,145 
 6,650,000   Series 2021-SFR1-E2   2.52%(a)  09/17/2038   6,247,819 
     GCAT             
 2,751,000   Series 2019-NQM3-M1   3.45%(a)(b)  11/25/2059   2,431,681 
 7,096,000   Series 2021-NQM2-M1   2.54%(a)(b)  05/25/2066   4,988,989 
 8,405,000   Series 2021-NQM6-B1   4.42%(a)(b)  08/25/2066   6,335,413 
     GE-WMC Mortgage Securities LLC             
 30,733,678   Series 2006-1-A2B (1 mo. Term SOFR + 0.41%, 0.30% Floor)   4.75%  08/25/2036   13,010,012 
     GMAC Mortgage Corp. Loan Trust             
 1,482,286   Series 2005-AR5-3A1   4.84%(b)  09/19/2035   1,186,806 
     Greenpoint Mortgage Funding Trust             
 20,724,759   Series 2005-AR3-2A1 (1 mo. Term SOFR + 0.63%, 0.52% Floor, 10.50% Cap)   4.97%  08/25/2045   7,340,355 
 15,119,338   Series 2007-AR2-1A3 (1 mo. Term SOFR + 0.59%, 0.48% Floor)   4.93%  04/25/2047   12,839,000 
     GS Mortgage Securities Corp.             
 880,417   Series 2008-2R-1A1   4.48%(a)(b)  09/25/2036   282,824 
 15,718,993   Series 2014-3R-2B (1 mo. Term SOFR + 0.29%, 0.18% Floor)   4.88%(a)  09/26/2036   8,295,285 
     GS Mortgage-Backed Securities Trust             
 89,310,277   Series 2020-RPL2-A1   1.75%(a)(b)  05/25/2060   79,338,757 
 12,540,000   Series 2020-RPL2-M1   2.25%(a)(b)  05/25/2060   9,805,629 
 10,237,000   Series 2020-RPL2-M2   2.75%(a)(b)  05/25/2060   8,007,453 
 9,341,000   Series 2020-RPL2-M3   3.00%(a)(b)  05/25/2060   7,122,038 
 31,719,511   Series 2020-RPL2-PT4   6.21%(a)(j)  05/25/2060   27,191,551 
     GSAA Trust             
 101,322   Series 2005-12-AF3   5.07%(b)  09/25/2035   64,676 
 7,588,275   Series 2006-10-AF3   5.98%(b)  06/25/2036   1,853,822 
 5,431,059   Series 2006-10-AF4   6.80%(d)  06/25/2036   1,323,142 
 10,248,769   Series 2006-15-AF4   6.46%(d)  09/25/2036   2,611,397 
 1,602,732   Series 2006-18-AF3A   5.77%(b)  11/25/2036   469,687 
 3,777,106   Series 2006-18-AF6   6.18%(d)  11/25/2036   909,197 
 7,076,079   Series 2006-19-A1 (1 mo. Term SOFR + 0.29%, 0.18% Floor)   4.63%  12/25/2036   1,879,217 
 3,344,568   Series 2007-10-A1A   6.00%  11/25/2037   1,852,091 
 2,474,529   Series 2007-10-A2A   6.50%  11/25/2037   910,832 
 5,751,438   Series 2007-7-A5 (1 mo. Term SOFR + 0.67%, 0.56% Floor)   5.01%  07/25/2037   2,962,280 
     GSAMP Trust             
 14,625,130   Series 2006-HE6-A3 (1 mo. Term SOFR + 0.41%, 0.30% Floor)   4.75%  08/25/2036   11,698,365 
 6,084,941   Series 2007-H1-A2B (1 mo. Term SOFR + 0.51%, 0.40% Floor)   4.85%  01/25/2047   3,107,918 
     GSMPS Mortgage Loan Trust             
 5,623,310   Series 2005-RP2-1AF (1 mo. Term SOFR + 0.46%, 0.35% Floor)   4.80%(a)  03/25/2035   5,228,413 
 5,623,310   Series 2005-RP2-1AS   0.00%(a)(b)(f)  03/25/2035   18,935 
 3,713,185   Series 2005-RP3-1AF (1 mo. Term SOFR + 0.46%, 0.35% Floor, 9.50% Cap)   4.80%(a)  09/25/2035   3,175,575 
 3,713,185   Series 2005-RP3-1AS   0.00%(a)(b)(f)  09/25/2035   4,516 
 13,785,318   Series 2006-RP1-1AF1 (1 mo. Term SOFR + 0.46%, 0.35% Floor, 9.15% Cap)   4.80%(a)  01/25/2036   11,117,676 
 13,785,318   Series 2006-RP1-1AS   0.00%(a)(b)(f)  01/25/2036   50 
     GSR Mortgage Loan Trust             
 673,345   Series 2005-1F-1A2   5.50%  02/25/2035   630,653 
 1,117,588   Series 2005-1F-3A3   6.00%  01/25/2035   990,515 
 163,247   Series 2005-6F-3A5   6.00%  07/25/2035   153,871 
 1,755,412   Series 2005-6F-3A9 (-1 x 1 mo. Term SOFR + 6.79%, 0.00% Floor, 6.90% Cap)   2.45%(f)(g)  07/25/2035   133,207 
 91,410   Series 2005-6F-4A1 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 6.00% Cap)   4.95%  07/25/2035   89,418 
 93,511   Series 2005-7F-3A1 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 6.00% Cap)   4.95%  09/25/2035   92,898 
 6,913,228   Series 2005-8F-3A5   6.00%  11/25/2035   2,391,068 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 1,642,943   Series 2005-8F-4A1   6.00%  11/25/2035   618,434 
 121,030   Series 2006-1F-1A2   5.50%  02/25/2036   247,391 
 289,195   Series 2006-2F-2A3   5.75%  02/25/2036   245,132 
 1,505,345   Series 2006-2F-3A3   6.00%  02/25/2036   667,841 
 1,807,916   Series 2006-2F-3A6   6.00%  02/25/2036   802,077 
 16,358,200   Series 2006-5F-3A1   6.50%  06/25/2036   6,714,820 
 4,124,350   Series 2006-6F-2A3   6.00%  07/25/2036   2,397,426 
 9,487,445   Series 2006-9F-4A1   6.50%  10/25/2036   3,711,272 
 28,008,092   Series 2006-OA1-3A1 (Enterprise 11th District COFI Replacement Index + 1.50%, 1.50% Floor)   4.61%  08/25/2046   5,041,434 
 90,362   Series 2007-1F-2A2   5.50%  01/25/2037   299,837 
 377,743   Series 2007-4F-1A1   5.00%  07/25/2037   664,726 
 11,524,892   Series 2007-4F-3A11   6.00%  07/25/2037   7,400,726 
 38,703,853   Series 2007-OA1-1A1 (1 mo. Term SOFR + 0.34%, 0.23% Floor)   4.68%  05/25/2037   18,272,344 
     Harborview Mortgage Loan Trust             
 29,537   Series 2005-14-3A1A   7.71%(b)  12/19/2035   28,983 
 5,131,879   Series 2005-2-1A (1 mo. Term SOFR + 0.63%, 0.52% Floor)   5.00%  05/19/2035   1,537,487 
 21,180,406   Series 2005-8-1A1A (1 mo. Term SOFR + 0.73%, 0.62% Floor, 11.00% Cap)   5.10%  09/19/2035   9,893,465 
 39,817,606   Series 2005-8-2A1A (12 Month US Treasury Average + 1.55%, 1.55% Floor)   6.38%  09/19/2035   16,377,662 
 3,125,618   Series 2006-10-2A1A (1 mo. Term SOFR + 0.47%, 0.36% Floor)   5.08%  11/19/2036   2,662,844 
 3,445,973   Series 2006-11-A1A (1 mo. Term SOFR + 0.45%, 0.34% Floor)   4.82%  12/19/2036   3,059,882 
 27,902,009   Series 2006-14-1A1A (1 mo. Term SOFR + 0.47%, 0.36% Floor)   4.84%  01/25/2047   25,313,305 
 5,133,400   Series 2006-4-1A2A (1 mo. Term SOFR + 0.49%, 0.38% Floor)   4.86%  05/19/2046   2,612,926 
 52,405,671   Series 2006-8-1A1 (1 mo. Term SOFR + 0.51%, 0.00% Floor)   5.11%  07/21/2036   25,091,851 
 5,736,982   Series 2006-BU1-1A1A (1 mo. Term SOFR + 0.53%, 0.42% Floor, 10.50% Cap)   4.90%  02/19/2046   5,193,747 
 12,123,948   Series 2007-7-1A1 (1 mo. Term SOFR + 2.11%, 0.00% Floor, 10.50% Cap)   6.45%  10/25/2037   9,467,641 
     Home Equity Asset Trust             
 264,980   Series 2003-3-M1 (1 mo. Term SOFR + 1.40%, 1.29% Floor)   5.74%  08/25/2033   257,865 
     Home Partners of America Trust             
 3,658,824   Series 2019-2-C   3.02%(a)  10/19/2039   3,423,817 
 3,892,366   Series 2019-2-D   3.12%(a)  10/19/2039   3,638,344 
 7,326,807   Series 2019-2-E   3.32%(a)  10/19/2039   6,869,939 
     Homebanc Mortgage Trust             
 292,886   Series 2005-1-M2 (1 mo. Term SOFR + 0.85%, 0.74% Floor, 11.50% Cap)   5.19%  03/25/2035   254,212 
 10,350,000   Series 2005-3-M5 (1 mo. Term SOFR + 1.96%, 1.85% Floor, 11.50% Cap)   6.30%  07/25/2035   9,236,257 
     Homeward Opportunities Fund I Trust             
 28,994,000   Series 2020-2-B2   5.72%(a)(b)  05/25/2065   29,554,292 
     HSBC Asset Loan Obligation             
 17,921,277   Series 2007-2-3A6   6.00%  09/25/2037   5,612,673 
 13,353,484   Series 2007-WF1-A3   4.49%(d)  12/25/2036   4,406,901 
     HSI Asset Securitization Corp.             
 27,262,911   Series 2006-HE1-1A1 (1 mo. Term SOFR + 0.39%, 0.28% Floor)   4.73%  10/25/2036   7,589,160 
 12,718,194   Series 2007-NC1-A2 (1 mo. Term SOFR + 0.39%, 0.28% Floor)   4.73%  04/25/2037   8,164,944 
 55,137,445   Series 2007-NC1-A3 (1 mo. Term SOFR + 0.47%, 0.36% Floor)   4.81%  04/25/2037   36,733,635 
     Impac CMB Trust             
 43,936   Series 2002-9F-A1   5.22%(d)  12/25/2032   43,688 
     Impac Secured Assets CMN Owner Trust             
 8,957,793   Series 2007-3-A1B (1 mo. Term SOFR + 0.59%, 0.48% Floor, 11.50% Cap)   4.93%  09/25/2037   7,607,319 
     Imperial Fund Mortgage Trust             
 22,668,730   Series 2021-NQM4-A1   2.09%(a)(b)  01/25/2057   19,260,844 
 11,735,607   Series 2021-NQM4-A2   2.30%(a)(b)  01/25/2057   9,977,755 
 8,943,937   Series 2021-NQM4-A3   2.45%(a)(b)  01/25/2057   7,596,272 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Indymac IMJA Mortgage Loan Trust             
 3,097,574   Series 2007-A1-A1   6.00%  08/25/2037   1,179,022 
 2,267,666   Series 2007-A1-A7   6.00%  08/25/2037   863,136 
 6,850,853   Series 2007-A2-1A1   6.00%  10/25/2037   2,897,487 
 10,752,631   Series 2007-A2-2A3   6.50%  10/25/2037   5,097,543 
 18,346,781   Series 2007-A2-3A1   7.00%  10/25/2037   4,321,102 
 15,468,631   Series 2007-A3-A1   6.25%  11/25/2037   6,386,919 
 12,717,020   Series 2007-A4-A1   6.25%  02/25/2038   3,979,148 
     Indymac IMSC Mortgage Loan Trust             
 28,737,418   Series 2007-F1-2A1   6.50%  06/25/2037   6,788,761 
 257,184   Series 2007-F2-1A2   6.00%  07/25/2037   179,438 
 25,253,567   Series 2007-F2-2A1   6.50%  07/25/2037   9,038,567 
 2,740,258   Series 2007-HOA1-A11 (1 mo. Term SOFR + 0.47%, 0.36% Floor)   4.81%  07/25/2047   1,789,989 
     Indymac INDA Mortgage Loan Trust             
 708,615   Series 2006-AR2-1A1   4.95%(b)  09/25/2036   457,981 
 531,732   Series 2006-AR2-4A1   4.64%(b)  09/25/2036   482,693 
 7,222,715   Series 2006-AR3-1A1   4.37%(b)  12/25/2036   5,627,409 
 2,342,863   Series 2007-AR1-3A1   3.04%(b)  03/25/2037   1,936,304 
 1,878,231   Series 2007-AR3-3A1   4.27%(b)  07/25/2037   1,631,270 
     Indymac Index Mortgage Loan Trust             
 4,832,824   Series 2005-AR15-A1   4.25%(b)  09/25/2035   3,929,994 
 2,149,445   Series 2006-AR7-3A1   4.02%(b)  05/25/2036   1,867,770 
 1,641,811   Series 2007-AR13-2A1   5.85%(b)  07/25/2037   1,399,624 
 4,266,736   Series 2007-AR21-8A1   5.00%(b)  09/25/2037   4,121,226 
     Indymac Residential Asset Backed Trust             
 11,989,545   Series 2006-B-2A4 (1 mo. Term SOFR + 0.67%, 0.56% Floor)   5.01%  06/25/2036   10,731,752 
 8,528,139   Series 2006-D-2A4 (1 mo. Term SOFR + 0.35%, 0.24% Floor)   4.69%  11/25/2036   6,754,591 
 7,506,957   Series 2007-B-1A1 (1 mo. Term SOFR + 0.30%, 0.19% Floor)   4.64%  07/25/2037   2,979,417 
 7,506,957   Series 2007-B-1A2 (1 mo. Term SOFR + 0.30%, 0.19% Floor)   4.64%  07/25/2037   2,979,417 
     Invitation Homes Trust             
 33,442,000   Series 2024-SFR1-C   4.25%(a)  09/17/2041   31,226,280 
     JP Morgan Alternative Loan Trust             
 4,692,469   Series 2005-S1-2A11   6.00%  12/25/2035   3,100,641 
 1,504,305   Series 2005-S1-2A9   6.00%  12/25/2035   993,999 
 2,632,838   Series 2006-A2-1A1 (1 mo. Term SOFR + 0.47%, 0.36% Floor, 11.50% Cap)   4.81%  05/25/2036   2,112,291 
 2,027,209   Series 2006-S1-1A8   5.75%  03/25/2036   1,002,343 
     JP Morgan Mortgage Acquisition Corp.             
 2,179,200   Series 2005-WMC1-M4 (1 mo. Term SOFR + 1.01%, 0.90% Floor)   5.35%  09/25/2035   1,909,557 
 5,157,275   Series 2006-CH2-AF3   5.46%(d)  09/25/2029   3,027,606 
 8,662,831   Series 2006-HE3-A1 (1 mo. Term SOFR + 0.39%, 0.28% Floor)   4.07%  11/25/2036   7,942,440 
 21,678,675   Series 2006-RM1-A3 (1 mo. Term SOFR + 0.35%, 0.24% Floor)   4.69%  08/25/2036   9,487,141 
 20,036,398   Series 2006-RM1-A4 (1 mo. Term SOFR + 0.47%, 0.36% Floor)   4.81%  08/25/2036   8,784,662 
 2,818,494   Series 2006-WF1-A5   6.91%(d)  07/25/2036   760,872 
 3,927,831   Series 2006-WMC4-A1A (1 mo. Term SOFR + 0.37%, 0.26% Floor)   4.71%  12/25/2036   2,418,699 
 35,550,679   Series 2006-WMC4-A1B (1 mo. Term SOFR + 0.57%, 0.46% Floor)   4.91%  12/25/2036   4,577,150 
 9,690,000   Series 2007-CH3-M2 (1 mo. Term SOFR + 0.43%, 0.32% Floor)   4.77%  03/25/2037   8,685,913 
     JP Morgan Mortgage Trust             
 60,916   Series 2005-A6-5A1   6.77%(b)  08/25/2035   61,499 
 3,028,562   Series 2005-S1-1A2   6.50%  01/25/2035   3,063,413 
 320,613   Series 2005-S2-2A13   5.50%  09/25/2035   236,132 
 895,770   Series 2006-S2-3A3   6.00%  07/25/2036   273,750 
 3,329,918   Series 2006-S2-3A5   6.25%  07/25/2036   1,058,413 
 1,785,900   Series 2006-S3-1A2   6.00%  08/25/2036   519,791 
 7,073,757   Series 2006-S3-1A21 (1 mo. Term SOFR + 0.49%, 0.38% Floor, 7.50% Cap)   4.83%  08/25/2036   1,496,422 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 7,073,757   Series 2006-S3-1A22 (-1 x 1 mo. Term SOFR + 7.01%, 0.00% Floor, 7.12% Cap)   2.67%(f)(g)  08/25/2036   876,849 
 832,183   Series 2006-S3-1A9   6.00%  08/25/2036   242,209 
 5,652,494   Series 2006-S4-A3   6.00%  01/25/2037   2,090,880 
 2,354,219   Series 2006-S4-A5   6.00%  01/25/2037   874,334 
 5,572,886   Series 2006-S4-A8 (1 mo. Term SOFR + 0.49%, 0.38% Floor, 7.00% Cap)   4.83%  01/25/2037   1,491,650 
 5,572,886   Series 2006-S4-A9 (-1 x 1 mo. Term SOFR + 6.51%, 0.00% Floor, 6.62% Cap)   2.17%(f)(g)  01/25/2037   710,949 
 583,189   Series 2007-A2-2A1   5.67%(b)  04/25/2037   434,868 
 2,026,281   Series 2007-A3-3A2M   5.00%(b)  05/25/2037   1,791,175 
 6,138,167   Series 2007-S1-2A6   6.00%  03/25/2037   2,338,527 
 1,719,539   Series 2007-S3-1A1   5.50%  08/25/2037   711,461 
 3,867,737   Series 2007-S3-1A35   6.00%  08/25/2037   1,747,442 
 1,691,976   Series 2007-S3-1A64   7.50%  08/25/2037   564,045 
 650,854   Series 2007-S3-1A9   6.00%  08/25/2037   292,781 
 3,566,238   Series 2007-S3-1A96   6.00%  08/25/2037   1,604,934 
 4,065,259   Series 2007-S3-1A97   6.00%  08/25/2037   1,829,612 
 25,000,000   Series 2024-NQM1-A1   5.59%(a)(d)  02/25/2064   25,211,600 
     JP Morgan Reremic             
 4,663,574   Series 2009-4-3A2   6.00%(a)(b)  02/26/2037   2,140,443 
 16,321,722   Series 2009-7-7A1   7.00%(a)(b)  09/27/2037   7,380,036 
 7,595,780   Series 2010-1-1A4   6.00%(a)  02/26/2037   3,353,033 
 5,127,055   Series 2010-1-2A11   7.00%(a)(b)  01/26/2037   2,289,762 
     Legacy Mortgage Asset Trust             
 109,922,722   Series 2019-RPL3-PT1   0.00%(a)  06/25/2058   91,359,160 
 24,390,735   Series 2021-GS4-A2   6.55%(a)(d)  11/25/2060   24,411,047 
     Lehman Brothers Holdings, Inc.             
 17,673,510   Series 2007-1-1A1 (1 mo. Term SOFR + 0.32%, 0.21% Floor)   4.66%(a)  06/25/2037   12,643,431 
 5,448,736   Series 2007-1-2A4 (1 mo. Term SOFR + 0.41%, 0.30% Floor)   4.75%(a)  06/25/2037   3,593,448 
     Lehman Mortgage Trust             
 1,429,506   Series 2005-2-3A5   5.50%  12/25/2035   762,308 
 986,239   Series 2005-2-5A5   5.75%  12/25/2035   615,893 
 1,635,639   Series 2005-3-2A1   6.00%  01/25/2036   1,316,793 
 139,150   Series 2005-3-2A3   5.50%  01/25/2036   106,427 
 747,538   Series 2005-3-2A7   6.00%  01/25/2036   601,766 
 908,469   Series 2006-1-1A1 (1 mo. Term SOFR + 0.86%, 0.75% Floor, 5.50% Cap)   5.20%  02/25/2036   377,212 
 2,725,406   Series 2006-1-1A2 (-1 x 1 mo. Term SOFR + 4.64%, 0.00% Floor, 4.75% Cap)   0.30%(f)(g)  02/25/2036   95,646 
 1,911,997   Series 2006-1-3A1 (1 mo. Term SOFR + 0.86%, 0.75% Floor, 5.50% Cap)   5.20%  02/25/2036   1,245,960 
 1,911,997   Series 2006-1-3A2 (-1 x 1 mo. Term SOFR + 4.64%, 0.00% Floor, 4.75% Cap)   0.30%(f)(g)  02/25/2036   58,865 
 1,231,884   Series 2006-1-3A4   5.50%  02/25/2036   882,010 
 1,410,499   Series 2006-4-1A3 (-1 x 1 mo. Term SOFR + 5.29%, 0.00% Floor, 5.40% Cap)   0.95%(f)(g)  08/25/2036   86,353 
 896,483   Series 2006-4-1A4   6.00%  08/25/2036   678,503 
 5,465,483   Series 2006-5-2A1 (1 mo. Term SOFR + 0.46%, 0.35% Floor, 7.50% Cap)   4.80%  09/25/2036   730,267 
 11,384,542   Series 2006-5-2A2Pool 2006-5 (-1 x 1 mo. Term SOFR + 7.04%, 0.00% Floor, 7.15% Cap)   2.70%(f)(g)  09/25/2036   941,839 
 5,489,380   Series 2006-6-3A9   5.50%  10/25/2036   3,601,267 
 133,104   Series 2006-6-4A5   6.00%  12/25/2036   126,210 
 2,763,992   Series 2006-7-2A2 (1 mo. Term SOFR + 0.56%, 0.45% Floor, 7.00% Cap)   4.90%  11/25/2036   647,232 
 10,216,131   Series 2006-7-2A5 (-1 x 1 mo. Term SOFR + 6.44%, 6.55% Cap)   2.10%(f)(g)  11/25/2036   873,272 
 1,632,770   Series 2006-9-1A19 (-5 x 1 mo. Term SOFR + 30.16%, 0.00% Floor, 30.68% Cap)   10.20%(g)  01/25/2037   1,308,157 
 1,772,064   Series 2006-9-1A5 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 5.75% Cap)   5.05%  01/25/2037   922,598 
 5,299,592   Series 2006-9-1A6 (-1 x 1 mo. Term SOFR + 5.04%, 0.00% Floor, 5.15% Cap)   0.70%(f)(g)  01/25/2037   259,171 
 3,427,711   Series 2006-9-2A1 (1 mo. Term SOFR + 0.49%, 0.38% Floor, 7.00% Cap)   4.83%  01/25/2037   684,970 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 6,168,123   Series 2006-9-2A2 (-1 x 1 mo. Term SOFR + 6.51%, 0.00% Floor, 6.62% Cap)   2.17%(f)(g)  01/25/2037   454,407 
 1,355,876   Series 2007-2-1A1   5.75%  02/25/2037   894,383 
 2,368,051   Series 2007-4-2A11 (1 mo. Term SOFR + 0.44%, 0.33% Floor, 7.00% Cap)   4.78%  05/25/2037   733,475 
 10,879,468   Series 2007-4-2A8 (-1 x 1 mo. Term SOFR + 6.56%, 0.00% Floor, 6.67% Cap)   2.22%(f)(g)  05/25/2037   851,447 
 744,018   Series 2007-4-2A9 (1 mo. Term SOFR + 0.44%, 0.33% Floor, 7.00% Cap)   4.78%  05/25/2037   185,952 
 556,437   Series 2007-5-4A3 (-6 x 1 mo. Term SOFR + 39.39%, 0.00% Floor, 40.08% Cap)   13.36%(g)  08/25/2036   590,437 
 598,601   Series 2007-5-7A3   7.50%  10/25/2036   204,281 
 42,889   Series 2007-6-1A8   6.00%  07/25/2037   38,114 
 5,740,532   Series 2007-9-2A2   6.50%  10/25/2037   1,424,389 
 3,186,506   Series 2008-2-1A6   6.00%  03/25/2038   927,366 
     Lehman XS Trust             
 4,125,389   Series 2005-2-2A3B   5.94%(d)  08/25/2035   3,623,197 
 6,500,869   Series 2005-9N-2A1 (12 Month US Treasury Average + 1.06%, 1.06% Floor)   5.89%  02/25/2036   5,599,029 
 4,769,178   Series 2006-3-A3 (1 mo. Term SOFR + 0.71%, 0.60% Floor)   5.05%  03/25/2036   4,773,242 
 6,062,477   Series 2006-5-1A1A (1 mo. Term SOFR + 0.53%, 0.42% Floor)   4.87%  04/25/2036   5,055,196 
 25,198   Series 2006-5-2A4A   6.39%(d)  04/25/2036   30,057 
 7,394,976   Series 2006-GP3-1A1 (1 mo. Term SOFR + 0.51%, 0.40% Floor)   4.85%  06/25/2046   6,566,990 
 3,737,195   Series 2007-1-2A1   7.00%(b)  02/25/2037   3,641,492 
 8,895,381   Series 2007-12N-1A3A (1 mo. Term SOFR + 0.51%, 0.40% Floor)   4.85%  07/25/2047   8,356,708 
 8,562,144   Series 2007-15N-4A1 (1 mo. Term SOFR + 1.01%, 0.90% Floor)   5.60%  08/25/2047   6,987,580 
     Long Beach Mortgage Loan Trust             
 12,976,991   Series 2006-2-2A4 (1 mo. Term SOFR + 0.69%, 0.58% Floor)   5.03%  03/25/2046   4,593,315 
 46,287,201   Series 2006-3-2A3 (1 mo. Term SOFR + 0.47%, 0.36% Floor)   4.81%  05/25/2046   14,009,673 
 4,718,444   Series 2006-3-2A4 (1 mo. Term SOFR + 0.65%, 0.54% Floor)   4.99%  05/25/2046   1,427,885 
 14,736,405   Series 2006-5-2A4 (1 mo. Term SOFR + 0.59%, 0.48% Floor)   4.93%  06/25/2036   6,945,001 
 23,587,481   Series 2006-6-1A (1 mo. Term SOFR + 0.40%, 0.29% Floor)   4.74%  07/25/2036   16,148,412 
 11,643,671   Series 2006-WL1-M2 (1 mo. Term SOFR + 0.79%, 0.68% Floor)   5.13%  01/25/2046   11,122,782 
     Luminent Mortgage Trust             
 1,231,535   Series 2005-1-A1 (1 mo. Term SOFR + 0.63%, 0.52% Floor, 11.50% Cap)   4.97%  11/25/2035   1,170,252 
     Master Resecuritization Trust             
 12,339,461   Series 2008-1-A1   6.00%(a)(b)  09/27/2037   8,090,984 
 5,970,077   Series 2008-4-A1   6.00%(a)(b)  06/27/2036   4,750,317 
     Mastr Adjustable Rate Mortgages Trust             
 2,143,663   Series 2005-2-2A1   4.11%(b)  03/25/2035   1,854,385 
 689,283   Series 2005-6-5A1   3.50%(b)  07/25/2035   608,980 
 4,685,873   Series 2007-1-2A1   5.10%(b)  11/25/2036   2,472,816 
     MASTR Alternative Loans Trust             
 6,640,958   Series 2004-9-M2   6.26%(d)  08/25/2034   5,493,533 
 1,111,612   Series 2005-2-3A1   6.00%  03/25/2035   843,893 
 35,643   Series 2005-5-2A3   5.50%  07/25/2025   33,561 
 6,550,367   Series 2005-5-3A1   5.75%  08/25/2035   3,058,053 
 1,391,930   Series 2005-6-1A5   5.50%  12/25/2035   905,709 
 1,026,916   Series 2006-3-1A2   6.25%  07/25/2036   518,402 
 640,762   Series 2007-1-1A5   5.75%  10/25/2036   603,508 
 3,703,659   Series 2007-1-2A7   6.00%  10/25/2036   1,013,373 
     Mastr Asset Backed Securities Trust             
 1,721,970   Series 2003-OPT1-M3 (1 mo. Term SOFR + 4.24%, 4.13% Floor)   8.58%  12/25/2032   1,645,505 
 5,650,184   Series 2006-AM2-A3 (1 mo. Term SOFR + 0.45%, 0.34% Floor)   4.79%  06/25/2036   5,111,670 
 6,482,925   Series 2007-HE1-A3 (1 mo. Term SOFR + 0.32%, 0.21% Floor)   4.87%  05/25/2037   6,252,349 
 12,756,982   Series 2007-WMC1-A1 (1 mo. Term SOFR + 0.40%, 0.29% Floor)   4.74%  01/25/2037   3,332,792 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     MASTR Asset Securitization Trust             
 1,294,919   Series 2006-1-1A4   5.75%  05/25/2036   757,494 
 1,029,681   Series 2006-2-1A11 (1 mo. Term SOFR + 6.00%, 6.00% Floor)   6.00%  06/25/2036   594,527 
 2,322,136   Series 2007-1-1A3   6.25%  11/25/2037   887,825 
     Mastr Seasoned Securities Trust             
 1,065,105   Series 2005-2-1A4   6.00%  10/25/2032   1,044,197 
 414,340   Series 2005-2-2A1 (1 mo. Term SOFR + 0.51%, 0.40% Floor, 7.50% Cap)   4.85%  10/25/2032   383,407 
     Merrill Lynch Alternative Note Asset             
 19,116,118   Series 2007-A3-A2A (1 mo. Term SOFR + 0.33%, 0.22% Floor)   4.67%  04/25/2037   6,724,626 
 9,803,110   Series 2007-A3-A2B (1 mo. Term SOFR + 0.53%, 0.42% Floor)   4.87%  04/25/2037   3,446,523 
 13,587,226   Series 2007-A3-A2C (1 mo. Term SOFR + 0.75%, 0.64% Floor)   5.09%  04/25/2037   4,781,731 
 12,735,243   Series 2007-F1-2A4 (1 mo. Term SOFR + 0.43%, 0.32% Floor, 7.00% Cap)   4.77%  03/25/2037   3,137,731 
 12,735,243   Series 2007-F1-2A5 (-1 x 1 mo. Term SOFR + 6.57%, 0.00% Floor, 6.68% Cap)   2.23%(f)(g)  03/25/2037   1,473,708 
 27,670,877   Series 2007-OAR5-1A1   3.83%(b)  10/25/2047   7,810,811 
     Merrill Lynch First Franklin Mortgage Loan Trust             
 1,988,352   Series 2007-H1-1A2 (1 mo. Term SOFR + 3.61%, 3.50% Floor)   7.95%  10/25/2037   1,847,088 
     Merrill Lynch Mortgage Investors, Inc.             
 15,561,572   Series 2005-AR1-M2 (1 mo. Term SOFR + 1.12%, 1.01% Floor)   5.46%  06/25/2036   12,216,512 
 7,706,664   Series 2006-AR1-A2C (1 mo. Term SOFR + 0.43%, 0.32% Floor)   4.77%(a)  03/25/2037   2,103,401 
 685,706   Series 2006-F1-1A2   6.00%  04/25/2036   282,675 
 21,020,706   Series 2006-FM1-A1 (1 mo. Term SOFR + 0.41%, 0.30% Floor)   4.17%  04/25/2037   12,342,365 
 10,139,640   Series 2006-HE3-A4 (1 mo. Term SOFR + 0.61%, 0.50% Floor)   4.95%  06/25/2037   2,688,647 
 7,254,941   Series 2006-HE4-A2B (1 mo. Term SOFR + 0.31%, 0.20% Floor)   4.65%  07/25/2037   1,575,490 
 72,636,144   Series 2007-HE2-A1 (1 mo. Term SOFR + 0.61%, 0.50% Floor)   4.95%  02/25/2037   33,630,397 
 8,041,588   Series 2007-HE3-A1 (1 mo. Term SOFR + 0.25%, 0.14% Floor)   4.59%  04/25/2047   3,185,279 
 6,860,698   Series 2007-HE3-A3 (1 mo. Term SOFR + 0.49%, 0.38% Floor)   4.83%  04/25/2047   2,717,528 
 2,873,667   Series 2007-HE3-A4 (1 mo. Term SOFR + 0.65%, 0.54% Floor)   4.99%  04/25/2047   1,138,262 
 45,096,544   Series 2007-MLN1-A1 (1 mo. Term SOFR + 0.61%, 0.50% Floor)   4.95%  03/25/2037   33,876,222 
     Morgan Stanley ABS Capital I, Inc.             
 16,345,557   Series 2006-HE7-A2C (1 mo. Term SOFR + 0.43%, 0.32% Floor)   4.77%  09/25/2036   6,971,709 
 21,690,027   Series 2006-HE7-A2D (1 mo. Term SOFR + 0.57%, 0.46% Floor)   4.91%  09/25/2036   9,251,824 
 13,147,491   Series 2006-NC2-M1 (1 mo. Term SOFR + 0.65%, 0.54% Floor)   4.99%  02/25/2036   12,222,302 
 5,631,458   Series 2007-HE4-A1 (1 mo. Term SOFR + 0.24%, 0.13% Floor)   4.58%(a)  02/25/2037   2,464,049 
     Morgan Stanley Home Equity Loan Trust             
 23,685,521   Series 2007-1-A4 (1 mo. Term SOFR + 0.33%, 0.22% Floor)   4.67%  12/25/2036   11,269,389 
     Morgan Stanley IXIS Real Estate Capital Trust             
 4,948,953   Series 2006-2-AFPT (1 mo. Term SOFR + 0.18%, 0.07% Floor)   4.52%  11/25/2036   1,582,027 
     Morgan Stanley Mortgage Loan Trust             
 557,885   Series 2005-10-1A1 (1 mo. Term SOFR + 0.81%, 0.70% Floor, 5.75% Cap)   5.15%  12/25/2035   331,880 
 1,397,762   Series 2005-10-1A6   5.75%  12/25/2035   911,404 
 1,629,171   Series 2005-10-2A1   5.24%(b)  12/25/2035   1,504,759 
 4,482,991   Series 2006-11-1A6   6.73%(d)  08/25/2036   783,847 
 6,622,329   Series 2006-11-2A1   6.00%  08/25/2036   2,802,815 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 6,437,718   Series 2006-16AX-2A2 (1 mo. Term SOFR + 0.45%, 0.34% Floor)   4.79%  11/25/2036   1,787,011 
 5,026,103   Series 2006-17XS-A3A   6.15%(d)  10/25/2046   1,443,489 
 1,743,431   Series 2006-17XS-A6   6.08%(d)  10/25/2046   417,590 
 1,205,449   Series 2006-2-2A3   5.75%  02/25/2036   1,097,252 
 12,914,383   Series 2006-7-3A   5.10%(b)  06/25/2036   6,903,032 
 1,409,614   Series 2006-7-4A4   6.00%  06/25/2036   645,463 
 1,426,990   Series 2006-7-4A7   6.00%  06/25/2036   653,421 
 2,841,881   Series 2007-13-6A1   6.00%  10/25/2037   1,487,756 
 3,075,880   Series 2007-14AR-2A3   3.52%(b)  10/25/2037   1,757,099 
 2,803,566   Series 2007-1XS-2A3   6.42%(d)  09/25/2046   582,500 
 1,846,929   Series 2007-1XS-2A4A   6.58%(d)  09/25/2046   468,295 
 228,414   Series 2007-3XS-1A2A   6.12%(d)  01/25/2047   211,790 
 5,016,237   Series 2007-3XS-2A3S   6.36%(d)  01/25/2047   1,791,822 
 2,934,025   Series 2007-3XS-2A4S   6.46%(d)  01/25/2047   1,028,953 
     Morgan Stanley Reremic Trust             
 2,893,693   Series 2010-R5-4B   3.50%(a)(d)  06/26/2036   2,943,153 
 5,335,764   Series 2010-R5-5B   3.14%(a)(d)  01/26/2037   5,062,869 
 9,189,203   Series 2010-R9-3C   6.00%(a)(b)  11/26/2036   7,073,783 
 6,827,701   Series 2012-R4-1B (1 mo. Term SOFR + 0.11%, 0.00% Floor)   3.02%(a)  08/26/2036   4,983,020 
 5,920,204   Series 2013-R2-1B   4.37%(a)(b)  10/26/2036   5,220,109 
 475,661   Series 2014-R7-B1   4.23%(a)(b)  01/26/2051   473,678 
 5,178,216   Series 2014-R7-B2   4.23%(a)(b)(h)  01/26/2051   4,868,697 
     New Century Alternative Mortgage Loan Trust             
 9,392,533   Series 2006-ALT1-AF3   6.17%(b)  07/25/2036   1,910,369 
 11,917,378   Series 2006-ALT2-AF5   4.62%(d)  10/25/2036   2,274,843 
     New Century Home Equity Loan Trust             
 17,829,000   Series 2005-4-M5 (1 mo. Term SOFR + 1.13%, 1.02% Floor, 12.50% Cap)   5.47%  09/25/2035   16,936,386 
 12,500,000   Series 2006-1-A2C (1 mo. Term SOFR + 0.67%, 0.56% Floor, 12.50% Cap)   5.01%  05/25/2036   11,266,225 
     New York Mortgage Trust, Inc.             
 183,318   Series 2005-2-A (1 mo. Term SOFR + 0.77%, 0.66% Floor, 10.50% Cap)   5.11%  08/25/2035   166,545 
     Nomura Asset Acceptance Corp.             
 16,309   Series 2005-AP1-2A5   5.36%(d)  02/25/2035   16,140 
 12,533,036   Series 2006-AF1-1A2   6.16%(b)  05/25/2036   2,214,388 
 2,546,937   Series 2006-AF1-1A3Pool 06-AF1   6.41%(b)  05/25/2036   449,475 
 13,738,445   Series 2006-AP1-A2   5.52%(b)  01/25/2036   3,788,332 
 2,322,086   Series 2006-AP1-A3   5.65%(b)  01/25/2036   640,039 
 1,092,164   Series 2006-WF1-A2   5.76%(b)  06/25/2036   297,328 
     Nomura Home Equity Loan, Inc.             
 14,555,047   Series 2006-AF1-A2   6.30%(d)  10/25/2036   3,031,113 
 2,456,309   Series 2007-1-1A1   6.56%(d)  02/25/2037   629,515 
 12,242,812   Series 2007-1-1A3   6.49%(d)  02/25/2037   3,138,326 
     Nomura Resecuritization Trust             
 2,735,745   Series 2014-1R-6A7   6.18%(a)(b)  08/26/2036   2,255,695 
 3,801,405   Series 2014-2R-4A9   4.05%(a)(d)  07/26/2036   3,002,959 
 7,670,263   Series 2015-4R-5A2 (1 mo. Term SOFR + 0.54%, 0.43% Floor)   2.87%(a)(h)  03/26/2036   5,344,842 
     Novastar Home Equity Loan             
 14,600,000   Series 2005-3-M4 (1 mo. Term SOFR + 1.00%, 0.89% Floor, 11.00% Cap)   5.34%  01/25/2036   12,143,096 
 7,213,676   Series 2006-3-A2C (1 mo. Term SOFR + 0.43%, 0.32% Floor, 11.00% Cap)   4.77%  10/25/2036   3,297,999 
     NRZ Excess Spread-Collateralized Notes             
 29,572,684   Series 2020-PLS1-A   3.84%(a)  12/25/2025   29,096,700 
 24,280,038   Series 2021-FHT1-A   3.10%(a)  07/25/2026   23,436,022 
     Onslow Bay Mortgage Loan Trust             
 9,694,000   Series 2021-NQM3-M1   2.33%(a)(b)  07/25/2061   5,450,184 
 4,657,056   Series 2024-NQM12-A1   5.48%(a)(d)  07/25/2064   4,644,565 
     Option One Mortgage Loan Trust             
 657,521   Series 2004-3-M3 (1 mo. Term SOFR + 1.09%, 0.98% Floor)   5.43%  11/25/2034   672,517 
 5,229,874   Series 2007-1-2A3 (1 mo. Term SOFR + 0.25%, 0.14% Floor)   4.59%  01/25/2037   3,024,891 
 47,953,410   Series 2007-6-1A1 (1 mo. Term SOFR + 0.30%, 0.19% Floor)   4.64%  07/25/2037   41,734,260 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     PennyMac Mortgage Investment Trust             
 22,223,573   Series 2020-1R-A (30 day avg SOFR US + 3.46%, 2.35% Floor)   8.01%(a)  02/25/2025   22,245,058 
 67,663,000   Series 2021-FT1-A (1 mo. Term SOFR + 3.11%, 3.12% Floor)   7.45%(a)  03/25/2026   67,986,551 
     People’s Choice Home Loan Securities Trust             
 10,080,000   Series 2005-1-M5 (1 mo. Term SOFR + 1.61%, 1.50% Floor, 15.00% Cap)   5.95%  01/25/2035   7,596,598 
     PHH Alternative Mortgage Trust             
 2,437,477   Series 2007-1-1A1 (1 mo. Term SOFR + 0.43%, 0.32% Floor, 10.10% Cap)   4.77%  02/25/2037   1,780,516 
 5,768,512   Series 2007-2-2A1   6.00%  05/25/2037   4,896,025 
 2,691,682   Series 2007-2-2A2   6.00%  05/25/2037   2,284,565 
 163,665   Series 2007-2-3A1   6.00%  05/25/2037   146,419 
     PR Mortgage Loan Trust             
 98,948,463   Series 2014-1-APT   5.86%(a)(b)  10/25/2049   93,469,439 
     Pretium Mortgage Credit Partners LLC             
 19,999,471   Series 2021-NPL5-A1   5.49%(a)(d)  10/25/2051   20,013,159 
 13,269,737   Series 2021-RN2-A1   4.74%(a)(d)  07/25/2051   13,202,007 
 25,784,105   Series 2021-RN4-A1   5.49%(a)(b)  10/25/2051   25,789,780 
 21,330,480   Series 2024-NPL6-A1   5.93%(a)(d)  10/25/2054   21,240,474 
 23,787,714   Series 2024-NPL7-A1   5.93%(a)(d)  10/25/2054   23,831,752 
 63,400,000   Series 2024-NPL9-A1   5.85%(a)(d)  12/25/2054   63,889,892 
     Prime Mortgage Trust             
 3,915,509   Series 2006-DR1-2A1Pool DR12A1   5.50%(a)  05/25/2035   3,575,780 
 2,319,377   Series 2006-DR1-2A2   6.00%(a)  05/25/2035   1,945,211 
     Progress Residential Trust             
 52,672,973   Series 2021-SFR10-E1   3.57%(a)  12/17/2040   48,139,258 
 21,859,029   Series 2021-SFR10-E2   3.67%(a)  12/17/2040   19,962,037 
 11,840,307   Series 2021-SFR10-F   4.61%(a)  12/17/2040   10,937,534 
 29,000,000   Series 2021-SFR2-E1   2.55%(a)  04/19/2038   28,037,754 
 20,000,000   Series 2021-SFR2-E2   2.65%(a)  04/19/2038   19,278,428 
 62,271,000   Series 2021-SFR2-F   3.40%(a)  04/19/2038   60,474,893 
 7,000,000   Series 2021-SFR5-E1   2.21%(a)  07/17/2038   6,680,236 
 25,000,000   Series 2021-SFR8-E1   2.38%(a)  10/17/2038   23,593,992 
 23,900,000   Series 2021-SFR8-E2   2.53%(a)  10/17/2038   22,540,018 
 19,900,000   Series 2021-SFR8-F   3.18%(a)  10/17/2038   18,685,161 
     PRPM LLC             
 6,085,939   Series 2020-4-A2   9.19%(a)(d)(h)  10/25/2025   6,093,860 
 69,563,524   Series 2021-11-A1   5.49%(a)(d)  11/25/2026   69,636,412 
 33,906,188   Series 2021-6-A1   4.79%(a)(d)  07/25/2026   33,873,764 
 26,316,310   Series 2024-6-A1   5.70%(a)(d)  11/25/2029   26,338,690 
 28,922,544   Series 2024-7-A1   5.87%(a)(d)  11/25/2029   29,018,498 
 103,000,000   Series 2024-8-A1   5.90%(a)(d)  12/25/2029   103,901,662 
 23,600,000   Series 2024-NQM4-A1   5.67%(a)(d)  12/26/2069   23,782,239 
     Racers             
 13,085,000   Series 2006-2-M2 (1 mo. Term SOFR + 0.40%, 0.29% Floor)   4.74%  09/25/2036   10,348,475 
     RALI Trust             
 13,732,530   Series 2005-QA11-4A1   5.69%(b)  10/25/2035   9,956,184 
 7,051,024   Series 2005-QA13-2A1   5.40%(b)  12/25/2035   6,126,833 
 5,379,932   Series 2005-QA3-CB1   4.49%(b)  03/25/2035   2,212,228 
 160,369   Series 2005-QS12-A11 (-11 x 1 mo. Term SOFR + 49.89%, 0.00% Floor, 51.15% Cap)   2.16%(g)  08/25/2035   120,451 
 630,453   Series 2005-QS13-1A6   5.50%  09/25/2035   493,763 
 1,331,684   Series 2005-QS13-2A1 (1 mo. Term SOFR + 0.81%, 0.70% Floor, 5.75% Cap)   5.15%  09/25/2035   1,043,889 
 5,459,904   Series 2005-QS13-2A2 (-1 x 1 mo. Term SOFR + 4.94%, 0.00% Floor, 5.05% Cap)   0.60%(f)(g)  09/25/2035   175,945 
 4,895,640   Series 2005-QS14-2A1   6.00%  09/25/2035   1,586,096 
 1,141,360   Series 2005-QS15-2A   6.00%  10/25/2035   961,695 
 1,219,622   Series 2005-QS15-3A   6.00%  10/25/2035   1,050,195 
 1,167,751   Series 2005-QS16-A1 (1 mo. Term SOFR + 0.81%, 0.70% Floor, 5.50% Cap)   5.15%  11/25/2035   956,617 
 1,167,550   Series 2005-QS16-A2 (-1 x 1 mo. Term SOFR + 4.69%, 0.00% Floor, 4.80% Cap)   0.35%(f)(g)  11/25/2035   22,938 
 627,401   Series 2005-QS17-A1   6.00%  12/25/2035   527,640 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 649,195   Series 2005-QS17-A10   6.00%  12/25/2035   545,969 
 1,818,340   Series 2005-QS17-A11   6.00%  12/25/2035   1,529,213 
 1,292,419   Series 2005-QS17-A2 (1 mo. Term SOFR + 0.96%, 0.85% Floor, 6.00% Cap)   5.30%  12/25/2035   1,077,744 
 1,292,419   Series 2005-QS17-A4 (-1 x 1 mo. Term SOFR + 5.04%, 0.00% Floor, 5.15% Cap)   0.70%(f)(g)  12/25/2035   42,336 
 1,039,920   Series 2005-QS17-A6   6.00%  12/25/2035   874,567 
 449,041   Series 2005-QS5-A3   5.70%  04/25/2035   445,057 
 526,189   Series 2006-QS1-A6 (-8 x 1 mo. Term SOFR + 41.98%, 0.00% Floor, 42.86% Cap)   8.72%(g)  01/25/2036   434,405 
 1,703,166   Series 2006-QS10-A1   6.00%  08/25/2036   1,397,227 
 523,741   Series 2006-QS10-A4   5.75%  08/25/2036   423,940 
 3,780,254   Series 2006-QS11-1A1   6.50%  08/25/2036   3,009,365 
 1,020,464   Series 2006-QS12-1A1   6.50%  09/25/2036   443,192 
 1,571,061   Series 2006-QS12-2A18   5.75%  09/25/2036   1,193,030 
 2,391,104   Series 2006-QS14-A18   6.25%  11/25/2036   1,922,427 
 1,077,650   Series 2006-QS15-A1   6.50%  10/25/2036   910,621 
 463,981   Series 2006-QS16-A10   6.00%  11/25/2036   359,505 
 1,649,843   Series 2006-QS16-A11   6.00%  11/25/2036   1,278,500 
 1,315,081   Series 2006-QS16-A7   6.00%  11/25/2036   1,018,959 
 520,434   Series 2006-QS16-A8   6.00%  11/25/2036   403,246 
 205,945   Series 2006-QS16-A9   6.00%  11/25/2036   159,572 
 937,697   Series 2006-QS17-A4   6.00%  12/25/2036   757,917 
 5,209,437   Series 2006-QS17-A5   6.00%  12/25/2036   4,210,657 
 3,579,737   Series 2006-QS3-1A11   6.00%  03/25/2036   3,134,230 
 912,556   Series 2006-QS4-A8 (-790 x 1 mo. Term SOFR + 5,052.56%, 0.10% Floor, 8.00% Cap)   8.00%(g)  04/25/2036   765,018 
 3,609,361   Series 2006-QS4-A9   6.00%  04/25/2036   2,887,734 
 2,131,684   Series 2006-QS5-A3   6.00%  05/25/2036   1,733,685 
 6,353,220   Series 2006-QS5-A4   6.00%  05/25/2036   5,167,034 
 1,106,402   Series 2006-QS6-1A16   6.00%  06/25/2036   875,387 
 1,605,150   Series 2006-QS6-1A2   6.00%  06/25/2036   1,269,996 
 3,072,767   Series 2006-QS8-A1   6.00%  08/25/2036   2,514,980 
 5,328,627   Series 2006-QS8-A5 (-1 x 1 mo. Term SOFR + 5.44%, 0.00% Floor, 5.55% Cap)   1.10%(f)(g)  08/25/2036   311,955 
 1,938,425   Series 2006-QS9-1A6 (-1 x 1 mo. Term SOFR + 5.19%, 0.00% Floor, 5.30% Cap)   0.85%(f)(g)  07/25/2036   79,235 
 18,365,118   Series 2007-QA5-1A1   6.40%(b)  09/25/2037   11,522,630 
 24,118,464   Series 2007-QH5-AII (1 mo. Term SOFR + 0.57%, 0.46% Floor)   4.91%  06/25/2037   9,804,081 
 9,118,721   Series 2007-QH7-2A1 (1 mo. Term SOFR + 0.71%, 0.60% Floor)   5.05%  08/25/2037   8,471,819 
 6,808,959   Series 2007-QS1-1A2 (-1 x 1 mo. Term SOFR + 5.34%, 0.00% Floor, 5.45% Cap)   1.00%(f)(g)  01/25/2037   314,610 
 685,394   Series 2007-QS1-1A4   6.00%  01/25/2037   530,111 
 1,613,630   Series 2007-QS1-2A10   6.00%  01/25/2037   1,199,309 
 19,787,791   Series 2007-QS10-A1   6.50%  09/25/2037   15,958,204 
 2,087,433   Series 2007-QS11-A1   7.00%  10/25/2037   1,619,160 
 2,146,212   Series 2007-QS2-A6   6.25%  01/25/2037   1,735,121 
 11,404,455   Series 2007-QS3-A1   6.50%  02/25/2037   9,300,795 
 1,818,511   Series 2007-QS3-A4   6.25%  02/25/2037   1,459,288 
 2,850,413   Series 2007-QS4-3A3   6.00%  03/25/2037   2,376,588 
 1,225,945   Series 2007-QS5-A1   5.50%  03/25/2037   975,865 
 505,752   Series 2007-QS5-A5 (1 mo. Term SOFR + 0.41%, 0.30% Floor, 7.00% Cap)   4.75%  03/25/2037   380,729 
 1,679,719   Series 2007-QS5-A8 (-1 x 1 mo. Term SOFR + 6.59%, 0.00% Floor, 6.70% Cap)   2.25%(f)(g)  03/25/2037   190,287 
 1,376,070   Series 2007-QS6-A102   5.75%  04/25/2037   1,091,954 
 442,447   Series 2007-QS6-A13 (-8 x 1 mo. Term SOFR + 54.05%, 0.00% Floor, 55.00% Cap)   17.89%(g)  04/25/2037   505,493 
 1,970,425   Series 2007-QS6-A45   5.75%  04/25/2037   1,563,591 
 3,140,248   Series 2007-QS6-A6   6.25%  04/25/2037   2,573,406 
 216,887   Series 2007-QS6-A77 (-8 x 1 mo. Term SOFR + 54.88%, 0.00% Floor, 55.83% Cap)   18.72%(g)  04/25/2037   254,975 
 5,280,292   Series 2007-QS7-2A1   6.75%  06/25/2037   2,050,530 
 11,656,744   Series 2007-QS9-A33   6.50%  07/25/2037   9,347,291 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     RAMP Trust             
 1,361,519   Series 2004-RS7-A3   6.19%(b)  07/25/2034   1,235,790 
 5,198,862   Series 2006-RS2-A3A (1 mo. Term SOFR + 0.41%, 0.30% Floor, 14.00% Cap)   5.05%  03/25/2036   5,112,083 
 11,437,131   Series 2006-RS3-A4 (1 mo. Term SOFR + 0.41%, 0.30% Floor, 14.00% Cap)   5.05%  05/25/2036   9,553,764 
 12,017,792   Series 2006-RS6-A4 (1 mo. Term SOFR + 0.65%, 0.54% Floor)   4.99%  11/25/2036   9,711,757 
     RASC Trust             
 3,860,296   Series 2005-KS4-M5 (1 mo. Term SOFR + 1.31%, 1.20% Floor)   6.25%  05/25/2035   3,920,678 
 4,121,979   Series 2007-EMX1-A13 (1 mo. Term SOFR + 0.51%, 0.40% Floor, 14.00% Cap)   4.85%  01/25/2037   4,125,680 
     RBSGC Mortgage Pass Through Certificates             
 10,702,426   Series 2008-B-A1   6.00%(a)  06/25/2037   9,086,699 
     RBSSP Resecuritization Trust             
 377,571   Series 2009-12-17A2   6.21%(a)(b)  10/25/2035   379,138 
 12,264,358   Series 2009-12-20A2   4.48%(a)(b)  12/25/2035   10,681,467 
 2,896,299   Series 2010-4-7A2   6.00%(a)  07/26/2037   1,368,184 
     Renaissance Home Equity Loan Trust             
 5,355,470   Series 2006-1-AF6   5.75%(d)  05/25/2036   2,343,176 
     Renaissance NIM Trust             
 2,062,139   Series 2006-2-AF5   6.25%(d)  08/25/2036   811,859 
 17,385,181   Series 2006-3-AF3   5.59%(d)  11/25/2036   5,763,242 
 18,049,871   Series 2006-3-AF4   5.81%(d)  11/25/2036   6,226,059 
 2,933,947   Series 2006-3-AF5   6.12%(d)  11/25/2036   1,066,042 
 10,257,172   Series 2006-4-AF4   5.47%(d)  01/25/2037   3,221,601 
 20,198,460   Series 2006-4-AF5   5.69%(d)  01/25/2037   6,594,076 
 8,192,822   Series 2007-1-AF1   5.74%(d)  04/25/2037   2,086,309 
 5,779,950   Series 2007-1-AF1Z   5.35%(d)  04/25/2037   1,392,447 
 3,486,895   Series 2007-1-AF2   5.51%(d)  04/25/2037   852,942 
 5,072,268   Series 2007-1-AF3   5.61%(d)  04/25/2037   1,262,860 
 2,781,357   Series 2007-1-AF4   5.76%(d)  04/25/2037   710,585 
 8,232,817   Series 2007-1-AF5   5.91%(d)  04/25/2037   2,159,899 
 17,696,892   Series 2007-2-AF2Pool 2007-2   5.68%(d)  06/25/2037   4,245,141 
 22,755,581   Series 2007-2-AF5   6.20%(d)  06/25/2037   6,071,041 
     Residential Asset Securitization Trust             
 4,379,369   Series 2005-A11-2A4   6.00%  10/25/2035   1,861,201 
 1,041,188   Series 2005-A12-A7 (-1 x 1 mo. Term SOFR + 4.89%, 0.00% Floor, 5.00% Cap)   0.55%(f)(g)  11/25/2035   53,722 
 1,392,855   Series 2005-A12-A8 (1 mo. Term SOFR + 0.66%, 0.55% Floor, 5.50% Cap)   5.00%  11/25/2035   670,125 
 1,454,094   Series 2005-A15-1A7   6.00%  02/25/2036   1,377,194 
 6,927,749   Series 2005-A15-5A3   5.75%  02/25/2036   2,536,663 
 7,122,429   Series 2005-A16-A1   5.00%  02/25/2036   2,717,355 
 2,641,916   Series 2005-A8CB-A11   6.00%  07/25/2035   1,597,966 
 2,674,065   Series 2005-A8CB-A2 (-1 x 1 mo. Term SOFR + 4.89%, 0.00% Floor, 5.00% Cap)   0.55%(f)(g)  07/25/2035   106,480 
 640,502   Series 2006-A1-1A3   6.00%  04/25/2036   275,807 
 10,255,470   Series 2006-A1-3A2   6.00%  04/25/2036   4,627,072 
 4,948,300   Series 2006-A10-A5   6.50%  09/25/2036   1,704,399 
 6,998,759   Series 2006-A12-A1   6.25%  11/25/2036   2,574,161 
 7,200,781   Series 2006-A13-A1   6.25%  12/25/2036   2,453,645 
 14,040,904   Series 2006-A14C-2A6 (1 mo. Term SOFR + 0.56%, 0.45% Floor, 7.00% Cap)   4.90%  12/25/2036   2,961,015 
 30,986,168   Series 2006-A14C-2A7 (-1 x 1 mo. Term SOFR + 6.44%, 0.00% Floor, 6.55% Cap)   2.10%(f)(g)  12/25/2036   3,181,561 
 5,468,125   Series 2006-A2-A11   6.00%  01/25/2046   2,066,010 
 3,787,174   Series 2006-A2-A4   6.00%  01/25/2046   1,430,813 
 3,147,503   Series 2006-A2-A9   6.00%  01/25/2046   1,189,143 
 2,250,431   Series 2006-A8-1A1   6.00%  08/25/2036   1,341,330 
 4,476,606   Series 2006-R1-A1 (-4 x 1 mo. Term SOFR + 27.94%, 0.00% Floor, 28.40% Cap)   10.59%(g)  01/25/2046   3,502,947 
 19,392,166   Series 2007-A2-1A2   6.00%  04/25/2037   10,025,742 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 707,602   Series 2007-A3-1A2 (-8 x 1 mo. Term SOFR + 45.51%, 0.00% Floor, 46.38% Cap)   12.24%(g)  04/25/2037   669,428 
 22,912,882   Series 2007-A5-1A4 (-1 x 1 mo. Term SOFR + 5.99%, 0.00% Floor, 6.10% Cap)   1.65%(f)(g)  05/25/2037   1,157,107 
 5,885,661   Series 2007-A5-1A6 (1 mo. Term SOFR + 0.51%, 0.40% Floor, 6.50% Cap)   4.85%  05/25/2037   742,412 
 4,008,967   Series 2007-A5-2A3   6.00%  05/25/2037   2,059,947 
 1,756,926   Series 2007-A5-2A5   6.00%  05/25/2037   902,769 
 7,394,241   Series 2007-A6-1A2   6.00%  06/25/2037   3,781,807 
 7,757,453   Series 2007-A7-A1   6.00%  07/25/2037   2,876,965 
 34,122,263   Series 2007-A7-A2   6.00%  07/25/2037   12,654,739 
 15,118,855   Series 2007-A7-A6   6.00%  07/25/2037   5,607,048 
     Residential Mortgage Loan Trust             
 6,300,000   Series 2020-2-M1   3.57%(a)(b)  05/25/2060   5,791,404 
     RFMSI Trust             
 3,287,297   Series 2006-S10-1A1   6.00%  10/25/2036   2,509,307 
 1,018,901   Series 2006-S5-A12   6.00%  06/25/2036   847,586 
 69,758   Series 2006-S5-A15   6.00%  06/25/2036   58,029 
 2,111,117   Series 2006-S9-A1   6.25%  09/25/2036   1,705,274 
 2,298,321   Series 2007-S1-A7   6.00%  01/25/2037   1,827,755 
 1,305,187   Series 2007-S2-A1   6.00%  02/25/2037   971,172 
 1,470,437   Series 2007-S2-A4   6.00%  02/25/2037   1,094,133 
 2,745,137   Series 2007-S2-A5   6.00%  02/25/2037   2,042,621 
 1,367,530   Series 2007-S3-1A4   6.00%  03/25/2037   973,880 
 1,300,635   Series 2007-S4-A1   6.00%  04/25/2037   995,616 
 728,394   Series 2007-S4-A2   6.00%  04/25/2037   557,572 
 9,542,092   Series 2007-S5-A1   6.00%  05/25/2037   7,774,275 
 2,765,336   Series 2007-S5-A8   6.00%  05/25/2037   2,253,524 
 1,107,528   Series 2007-S6-2A4   6.00%  06/25/2037   845,054 
 7,386,796   Series 2007-S7-A20   6.00%  07/25/2037   5,803,280 
 3,848,487   Series 2007-S8-1A1   6.00%  09/25/2037   2,571,931 
 165,705   Series 2007-SA1-4A   4.54%(b)  02/25/2037   147,036 
 2,529,480   Series 2007-SA2-2A1   5.44%(b)  04/25/2037   2,151,429 
     Rithm Capital Corp.             
 62,504,400   Series 2020-RPL1-M1   3.25%(a)(b)  11/25/2059   54,602,125 
 16,345,550   Series 2020-RPL1-M2   3.50%(a)(b)  11/25/2059   14,047,778 
     Securitized Asset Backed Receivables LLC             
 3,410,679   Series 2006-NC3-A2B (1 mo. Term SOFR + 0.41%, 0.30% Floor)   4.75%  09/25/2036   1,157,286 
 5,091,161   Series 2007-BR3-A2A (1 mo. Term SOFR + 0.25%, 0.14% Floor)   4.59%  04/25/2037   3,342,049 
 4,975,815   Series 2007-BR3-A2B (1 mo. Term SOFR + 0.55%, 0.44% Floor)   4.89%  04/25/2037   3,266,086 
 13,773,699   Series 2007-BR4-A2B (1 mo. Term SOFR + 0.51%, 0.40% Floor)   4.85%  05/25/2037   8,300,585 
     Securitized Mortgage Asset Loan Trust             
 173,372,804   Series 2015-1-PC   1.49%(a)(b)  02/25/2054   144,388,789 
     Sequoia Mortgage Trust             
 38,474   Series 2003-4-2A1 (1 mo. Term SOFR + 0.81%, 0.70% Floor, 11.50% Cap)   5.18%  07/20/2033   37,771 
     SG Mortgage Securities Trust             
 2,632,502   Series 2006-FRE1-A1A (1 mo. Term SOFR + 0.45%, 0.34% Floor)   4.79%  02/25/2036   2,557,001 
 2,403,515   Series 2006-FRE1-A2C (1 mo. Term SOFR + 0.65%, 0.54% Floor)   4.99%  02/25/2036   1,189,317 
     Soundview Home Equity Loan Trust             
 11,273,632   Series 2007-NS1-M1 (1 mo. Term SOFR + 0.46%, 0.35% Floor)   4.98%  01/25/2037   10,616,986 
 3,071,130   Series 2007-OPT1-2A2 (1 mo. Term SOFR + 0.26%, 0.15% Floor)   4.60%  06/25/2037   2,026,100 
 5,419,221   Series 2007-OPT3-1A1 (1 mo. Term SOFR + 0.28%, 0.17% Floor)   4.62%  08/25/2037   4,602,070 
 17,376,966   Series 2007-OPT4-1A1 (1 mo. Term SOFR + 1.11%, 1.00% Floor)   5.45%  09/25/2037   12,189,971 
 41,283,115   Series 2007-WM1W-2A1 (1 mo. Term SOFR + 0.29%, 0.18% Floor)   3.91%  02/25/2037   31,886,570 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Specialty Underwriting & Residential Finance             
 3,659,479   Series 2006-BC2-A2B   3.84%(d)  02/25/2037   1,206,015 
 12,350,335   Series 2007-AB1-A2C (1 mo. Term SOFR + 0.61%, 0.50% Floor)   4.95%  03/25/2037   6,599,411 
     Spruce Hill Mortgage Loan Trust             
 7,035,897   Series 2020-SH1-M1   3.22%(a)(b)  01/28/2050   6,915,784 
     Starwood Mortgage Residential Trust             
 6,329,000   Series 2021-1-B2   4.52%(a)(b)  05/25/2065   4,647,875 
 5,000,000   Series 2021-2-B1   2.75%(a)(b)  05/25/2065   3,821,964 
 7,110,000   Series 2021-2-B2   3.00%(a)(b)  05/25/2065   4,731,584 
 9,103,000   Series 2021-5-M1   3.25%(a)(b)  09/25/2066   6,389,136 
     Structured Adjustable Rate Mortgage Loan Trust             
 1,059,880   Series 2005-22-4A1   5.60%(b)  12/25/2035   975,721 
 7,265,169   Series 2006-1-8A1   5.17%(b)  02/25/2036   3,781,516 
 2,063,300   Series 2006-12-2A1   4.57%(b)  01/25/2037   1,485,548 
 835,239   Series 2006-8-4A4   5.18%(b)  09/25/2036   740,612 
 5,976,762   Series 2007-7-1A1 (1 mo. Term SOFR + 0.71%, 0.60% Floor)   5.05%  08/25/2037   5,305,372 
     Structured Asset Investment Loan Trust             
 64,828,970   Series 2006-3-A1 (1 mo. Term SOFR + 0.43%, 0.32% Floor)   4.77%  06/25/2036   40,006,612 
 7,596,011   Series 2006-4-A1 (1 mo. Term SOFR + 0.46%, 0.35% Floor)   4.80%  07/25/2036   4,362,499 
 20,800,000   Series 2006-4-A5 (1 mo. Term SOFR + 0.73%, 0.62% Floor)   5.07%  07/25/2036   7,285,751 
     Structured Asset Mortgage Investments, Inc.             
 7,781,927   Series 2006-AR3-12A2 (1 mo. Term SOFR + 0.51%, 0.40% Floor, 10.50% Cap)   4.85%  05/25/2036   6,220,387 
     Structured Asset Securities Corp.             
 491,342   Series 2003-24A-1A3   6.29%(b)  07/25/2033   476,371 
 8,403,579   Series 2005-5-3A1   6.00%  04/25/2035   4,337,308 
 61,002,640   Series 2006-BC4-A1 (1 mo. Term SOFR + 0.43%, 0.32% Floor)   4.77%  12/25/2036   34,799,505 
 7,968,470   Series 2006-BC4-A4 (1 mo. Term SOFR + 0.45%, 0.34% Floor)   4.79%  12/25/2036   7,724,200 
 41,291,672   Series 2007-4-1A3 (-1 x 1 mo. Term SOFR + 6.14%, 0.00% Floor, 6.25% Cap)   1.80%(a)(f)(g)  03/28/2045   2,145,301 
 20,127,500   Series 2007-BC4-M1 (1 mo. Term SOFR + 0.61%, 0.50% Floor)   4.95%  11/25/2037   15,620,407 
 12,077,027   Series 2007-MN1A-A4 (1 mo. Term SOFR + 0.35%, 0.24% Floor)   4.69%(a)  01/25/2037   7,360,976 
 13,658,277   Series 2007-RF1-1A (1 mo. Term SOFR + 0.30%, 0.19% Floor)   4.64%(a)  03/25/2037   11,219,615 
     Suntrust Adjustable Rate Mortgage Loan Trust             
 3,357,145   Series 2007-2-1A1   6.04%(b)  04/25/2037   1,245,474 
 993,610   Series 2007-3-1A1   6.76%(b)  06/25/2037   488,457 
     Suntrust Alternative Loan Trust             
 177,885   Series 2005-1F-2A3   5.75%  12/25/2035   160,014 
 454,774   Series 2006-1F-1A3   6.00%  04/25/2036   162,733 
     Terwin Mortgage Trust             
 10,501,459   Series 2006-7-2A3 (1 mo. Term SOFR + 0.65%, 0.54% Floor)   4.99%(a)  08/25/2037   4,526,247 
     Thornburg Mortgage Securities Trust             
 90,898   Series 2003-6-A2 (1 mo. Term SOFR + 1.11%, 1.00% Floor, 11.50% Cap)   5.45%  12/25/2033   86,614 
 2,303,692   Series 2004-4-5A   3.03%(b)  12/25/2044   2,027,159 
 4,053,415   Series 2007-1-A1 (12 mo. Term SOFR + 2.02%, 0.11% Floor, 10.75% Cap)   6.23%  03/25/2037   3,469,922 
 1,024,451   Series 2007-1-A2A (12 mo. Term SOFR + 2.02%, 0.11% Floor, 10.75% Cap)   6.23%  03/25/2037   750,083 
     Tricon American Homes Trust             
 5,000,000   Series 2019-SFR1-E   3.40%(a)  03/17/2038   4,864,796 
 8,900,000   Series 2020-SFR1-D   2.55%(a)  07/17/2038   8,531,842 
 1,600,000   Series 2020-SFR1-E   3.54%(a)  07/17/2038   1,554,462 
     Tricon Residential Trust             
 16,000,000   Series 2021-SFR1-B   2.24%(a)  07/17/2038   15,355,062 
 13,250,000   Series 2021-SFR1-C   2.34%(a)  07/17/2038   12,706,951 
 5,250,000   Series 2021-SFR1-D   2.59%(a)  07/17/2038   5,024,684 
 10,000,000   Series 2021-SFR1-E2   2.89%(a)  07/17/2038   9,490,357 
 11,300,000   Series 2021-SFR1-F   3.69%(a)  07/17/2038   10,790,753 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Velocity Commercial Capital Loan Trust             
 3,350,581   Series 2017-2-AFX   3.07%(a)(b)  11/25/2047   3,268,754 
 6,846,458   Series 2018-2-A   4.05%(a)(b)  10/26/2048   6,625,644 
 18,144,696   Series 2019-1-A   3.76%(a)(b)  03/25/2049   17,090,984 
 2,119,322   Series 2019-1-M4   4.61%(a)(b)  03/25/2049   1,794,522 
 5,881,939   Series 2019-2-A   3.13%(a)(b)  07/25/2049   5,622,952 
 2,210,871   Series 2019-2-M1   3.26%(a)(b)  07/25/2049   1,996,599 
 1,829,505   Series 2020-1-M4   3.54%(a)(b)  02/25/2050   1,523,875 
 50,000,000   Series 2024-6-A   5.81%(a)(b)  12/25/2054   49,812,260 
     Vericrest Opportunity Loan Transferee             
 10,474,796   Series 2021-CF1-A1   4.99%(a)(d)  08/25/2051   10,471,349 
 9,810,898   Series 2021-CF2-A1   5.49%(a)(d)  11/27/2051   9,781,530 
 4,151,374   Series 2021-NPL1-A1   4.89%(a)(d)  02/27/2051   4,151,454 
 2,136,605   Series 2021-NPL2-A1   4.89%(a)(d)  02/27/2051   2,136,647 
 21,192,010   Series 2021-NPL3-A1   5.24%(a)(d)  02/27/2051   21,181,711 
 2,687,606   Series 2021-NPL5-A1   5.12%(a)(d)  03/27/2051   2,688,920 
 10,492,881   Series 2021-NPL6-A1   5.24%(a)(d)  04/25/2051   10,508,418 
 1,078,687   Series 2021-NPL9-A1   4.99%(a)(d)  05/25/2051   1,075,401 
     Verus Securitization Trust             
 6,100,000   Series 2021-3-M1   2.40%(a)(b)  06/25/2066   4,427,320 
 4,588,000   Series 2021-4-B1   3.05%(a)(b)  07/25/2066   3,177,617 
 2,300,000   Series 2021-4-B2   3.81%(a)(b)  07/25/2066   1,598,231 
 2,500,000   Series 2021-4-M1   2.20%(a)(b)  07/25/2066   1,720,655 
 6,651,000   Series 2021-5-B1   3.04%(a)(b)  09/25/2066   4,555,502 
 9,255,000   Series 2021-5-M1   2.33%(a)(b)  09/25/2066   6,414,724 
     Voyager OPTONE Delaware Trust             
 5,741,976   Series 2009-1-SAC3   5.77%(a)(b)  02/25/2038   4,178,372 
     WAMU Asset-Backed Certificates             
 7,247,668   Series 2007-HE1-2A2 (1 mo. Term SOFR + 0.33%, 0.33% Floor)   4.67%  01/25/2037   3,270,752 
 12,845,456   Series 2007-HE4-1A (1 mo. Term SOFR + 0.28%, 0.28% Floor)   4.62%  07/25/2047   9,457,265 
     WaMu Mortgage Pass Through Certificates             
 4,591,144   Series 2005-AR19-B1 (1 mo. Term SOFR + 1.16%, 1.05% Floor, 10.50% Cap)   5.50%  12/25/2045   3,917,506 
 4,947,635   Series 2006-AR10-1A1   4.86%(b)  09/25/2036   4,135,642 
 4,929,548   Series 2006-AR15-1A (12 Month US Treasury Average + 0.84%, 0.84% Floor)   5.67%  11/25/2046   4,096,984 
 3,100,599   Series 2006-AR5-A12B (12 Month US Treasury Average + 0.98%, 0.98% Floor)   5.81%  06/25/2046   2,782,894 
 419,472   Series 2006-AR6-2A3   4.98%(b)  08/25/2036   356,963 
 4,144,940   Series 2007-HY3-4A1   5.17%(b)  03/25/2037   3,773,724 
 6,701,372   Series 2007-HY5-1A1   4.25%(b)  05/25/2037   5,742,470 
     Washington Mutual Alternative Mortgage Pass-Through Certificates             
 3,402,896   Series 2005-1-2A   6.00%  03/25/2035   2,856,999 
 847,670   Series 2005-4-5A1   5.50%  06/25/2035   706,913 
 341,211   Series 2005-5-CB12 (-11 x 1 mo. Term SOFR + 49.34%, 0.00% Floor, 50.60% Cap)   1.61%(g)  07/25/2035   269,036 
 1,104,924   Series 2005-5-CB6 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 7.50% Cap)   5.05%  07/25/2035   956,706 
 268,315   Series 2005-6-2A7   5.50%  08/25/2035   229,241 
 3,091,916   Series 2005-7-2CB6 (1 mo. Term SOFR + 1.56%, 1.45% Floor, 6.00% Cap)   5.90%  08/25/2035   2,983,122 
 281,083   Series 2005-7-2CB7 (-11 x 1 mo. Term SOFR + 48.79%, 0.00% Floor, 50.05% Cap)   1.06%(g)  08/25/2035   205,345 
 2,089,077   Series 2005-7-3CB   6.50%  08/25/2035   1,722,728 
 4,365,317   Series 2005-8-1A2   5.50%  10/25/2035   3,920,211 
 4,577,573   Series 2005-9-2A2   5.50%  11/25/2035   4,008,333 
 987,844   Series 2005-9-CX   5.50%(f)  11/25/2035   165,583 
 4,009,819   Series 2006-1-2CB1   7.00%  02/25/2036   2,861,908 
 1,442,019   Series 2006-1-3A1   5.75%  02/25/2036   1,315,855 
 728,773   Series 2006-1-3A2   5.75%  02/25/2036   662,460 
 619,395   Series 2006-1-3A7   5.75%  02/25/2036   563,316 
 1,834,273   Series 2006-3-3CB4   6.00%  04/25/2036   1,539,976 
 1,006,428   Series 2006-5-1A8   5.75%  07/25/2036   778,260 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 2,321,894   Series 2006-5-2CB1   6.00%  07/25/2036   1,638,375 
 4,217,537   Series 2006-5-2CB6   6.00%  07/25/2036   2,975,979 
 12,728,164   Series 2006-5-3A3   6.72%(d)  07/25/2036   2,892,278 
 5,304,136   Series 2006-5-3A5   6.95%(d)  07/25/2036   1,204,275 
 7,451,382   Series 2006-8-A4   4.12%(d)  10/25/2036   2,528,380 
 2,792,996   Series 2006-9-A7   4.20%(d)  10/25/2036   851,390 
 3,518,924   Series 2006-AR10-A1 (1 mo. Term SOFR + 0.31%, 0.20% Floor)   4.65%  12/25/2036   1,693,303 
 4,751,668   Series 2006-AR4-2A (12 Month US Treasury Average + 0.95%, 0.95% Floor)   5.78%  06/25/2046   3,450,947 
 4,433,368   Series 2006-AR5-4A (12 Month US Treasury Average + 0.99%, 0.99% Floor)   5.82%  06/25/2046   3,530,768 
 6,633,464   Series 2007-2-1A6   6.00%  04/25/2037   5,299,217 
 2,729,484   Series 2007-3-A3   6.00%  04/25/2037   2,359,491 
 2,105,730   Series 2007-4-1A1   5.50%  06/25/2037   1,979,231 
 150,810   Series 2007-5-A11 (-6 x 1 mo. Term SOFR + 38.79%, 0.00% Floor, 39.48% Cap)   12.76%(g)  06/25/2037   151,492 
 3,770,256   Series 2007-5-A6   6.00%  06/25/2037   3,346,298 
 5,057,927   Series 2007-OC1-A2 (1 mo. Term SOFR + 0.35%, 0.24% Floor)   4.69%  01/25/2047   4,413,858 
     Washington Mutual Asset-Backed Certificates             
 1,051,488   Series 2006-HE2-A4 (1 mo. Term SOFR + 0.59%, 0.48% Floor)   4.93%  05/25/2036   816,837 
 18,926,185   Series 2007-HE2-2A2 (1 mo. Term SOFR + 0.55%, 0.44% Floor)   4.89%  02/25/2037   5,873,952 
     Wells Fargo Alternative Loan Trust             
 421,071   Series 2007-PA1-A10   6.00%  03/25/2037   374,583 
 1,848,832   Series 2007-PA1-A3   6.00%  03/25/2037   1,644,712 
 1,594,098   Series 2007-PA1-A5   6.00%  03/25/2037   1,418,102 
 2,612,646   Series 2007-PA1-A6   6.00%  03/25/2037   2,324,197 
 10,657,686   Series 2007-PA2-1A1   6.00%  06/25/2037   9,386,331 
 1,665,950   Series 2007-PA2-3A1 (1 mo. Term SOFR + 0.46%, 0.35% Floor, 7.00% Cap)   4.80%  06/25/2037   1,160,101 
 2,454,203   Series 2007-PA2-3A2 (-1 x 1 mo. Term SOFR + 6.54%, 0.00% Floor, 6.65% Cap)   2.20%(f)(g)  06/25/2037   170,902 
 221,424   Series 2007-PA3-1A4   5.75%  07/25/2037   186,039 
 3,778,134   Series 2007-PA3-2A1   6.00%  07/25/2037   3,307,205 
 1,501,077   Series 2007-PA3-2A4   6.00%  07/25/2037   1,313,974 
 2,588,467   Series 2007-PA3-3A1   6.25%  07/25/2037   2,188,103 
 20,108,869   Series 2007-PA5-1A1   6.25%  11/25/2037   17,486,238 
 3,581,513   Series 2007-PA6-A1   6.58%(b)  12/28/2037   3,248,411 
     Wells Fargo Mortgage Backed Securities Trust             
 1,226,775   Series 2006-AR12-1A1   7.60%(b)  09/25/2036   1,110,875 
 550,224   Series 2006-AR13-A2   7.47%(b)  09/25/2036   530,253 
 632,800   Series 2006-AR4-2A1   6.15%(b)  04/25/2036   612,184 
 967,076   Series 2007-7-A1   6.00%  06/25/2037   878,490 
 67,258   Series 2007-7-A32   5.75%  06/25/2037   60,478 
 2,177,783   Series 2007-7-A34   6.00%  06/25/2037   1,978,294 
 589,850   Series 2007-7-A36   6.00%  06/25/2037   535,801 
 200,599   Series 2007-7-A43 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 7.00% Cap)   4.95%  06/25/2037   175,851 
 548,031   Series 2007-7-A49   6.00%  06/25/2037   497,830 
 232,007   Series 2007-7-A8 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 7.00% Cap)   4.95%  06/25/2037   203,385 
 104,663   Series 2007-7-A9 (-6 x 1 mo. Term SOFR + 38.31%, 0.00% Floor, 39.00% Cap)   12.28%(g)  06/25/2037   109,244 
 9,613,470   Series 2007-AR9-A1   6.60%(b)  12/28/2037   8,621,796 
     Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $9,251,909,794)           7,287,586,244 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS - 52.0%         
     Fannie Mae Whole Loan             
 4,352,806   Series 2003-W17-1A7   5.75%  08/25/2033   4,340,320 
 1,288,485   Series 2004-W10-A6   5.75%  08/25/2034   1,313,915 
     Federal Home Loan Mortgage Corp.             
 1,729,802   Pool C03490   4.50%  08/01/2040   1,679,922 
 10,603,562   Pool C91388   3.50%  02/01/2032   10,244,910 
 5,560,371   Pool C91403   3.50%  03/01/2032   5,368,944 
 5,546,612   Pool C91413   3.50%  12/01/2031   5,359,995 
 2,855,775   Pool C91417   3.50%  01/01/2032   2,758,654 
 11,567,866   Pool C91447   3.50%  05/01/2032   11,164,850 
 4,544,678   Pool C91596   3.00%  02/01/2033   4,301,085 
 2,077,759   Pool D98901   3.50%  01/01/2032   2,007,494 
 4,475,597   Pool D98923   3.50%  01/01/2032   4,323,449 
 5,771,754   Pool D99724   3.00%  11/01/2032   5,462,383 
 5,360,286   Pool G01840   5.00%  07/01/2035   5,325,437 
 1,153,099   Pool G04817   5.00%  09/01/2038   1,150,973 
 4,635,596   Pool G07801   4.00%  10/01/2044   4,332,274 
 9,901,846   Pool G07862   4.00%  01/01/2044   9,296,874 
 11,204,306   Pool G07905   4.00%  01/01/2042   10,589,476 
 22,197,046   Pool G08534   3.00%  06/01/2043   19,619,907 
 7,163,168   Pool G08537   3.00%  07/01/2043   6,331,494 
 13,043,839   Pool G08614   3.00%  11/01/2044   11,463,789 
 15,416,149   Pool G08619   3.00%  12/01/2044   13,532,735 
 19,853,138   Pool G08622   3.00%  01/01/2045   17,344,359 
 16,350,756   Pool G08653   3.00%  07/01/2045   14,285,244 
 9,497,801   Pool G08658   3.00%  08/01/2045   8,297,971 
 10,783,009   Pool G08670   3.00%  10/01/2045   9,406,257 
 125,947,103   Pool G08675   3.00%  11/01/2045   109,905,880 
 52,279,837   Pool G08680   3.00%  12/01/2045   45,345,593 
 21,877,356   Pool G08686   3.00%  01/01/2046   19,081,543 
 48,924,056   Pool G08692   3.00%  02/01/2046   42,656,446 
 15,494,043   Pool G08705   3.00%  05/01/2046   13,485,044 
 17,924,584   Pool G08715   3.00%  08/01/2046   15,583,688 
 936,936   Pool G08800   3.50%  02/01/2048   842,384 
 8,097,648   Pool G16072   3.00%  02/01/2032   7,748,294 
 21,727,514   Pool G60251   3.50%  10/01/2045   19,570,215 
 54,816,725   Pool G60393   3.50%  01/01/2046   49,466,464 
 5,197,442   Pool J22834   2.50%  03/01/2028   5,058,932 
 19,569,045   Pool Q13637   3.00%  11/01/2042   17,297,622 
 19,633,723   Pool Q13638   3.00%  11/01/2042   17,354,669 
 32,567,430   Pool Q16672   3.00%  03/01/2043   28,786,496 
 2,272,683   Pool Q23595   4.00%  12/01/2043   2,136,651 
 2,490,837   Pool Q24052   4.00%  01/01/2044   2,341,751 
 1,972,058   Pool Q24172   4.00%  01/01/2044   1,854,018 
 2,137,362   Pool Q24979   4.00%  02/01/2044   2,000,363 
 8,572,619   Pool Q31596   3.50%  02/01/2045   7,739,179 
 3,746,811   Pool Q32861   3.50%  04/01/2045   3,373,237 
 9,459,241   Pool Q32921   3.50%  04/01/2045   8,512,175 
 10,348,670   Pool Q39502   3.50%  03/01/2046   9,338,544 
 21,604,433   Pool Q44073   3.00%  09/01/2046   18,776,042 
 9,532,901   Pool QE2022   3.00%  05/01/2052   8,151,457 
 14,552,076   Pool QU7965   2.00%  09/01/2051   11,079,327 
 13,116,286   Pool QU7970   2.00%  09/01/2051   9,988,775 
 14,679,540   Pool RA2853   2.50%  06/01/2050   12,111,485 
 46,227,932   Pool RA3515   2.50%  09/01/2050   37,961,751 
 19,375,625   Pool RA4218   2.50%  12/01/2050   16,033,822 
 14,694,194   Pool RA4968   2.50%  04/01/2046   12,280,117 
 54,668,717   Pool RA5267   3.00%  05/01/2051   46,935,206 
 8,135,094   Pool RA7554   4.00%  06/01/2052   7,456,737 
 84,523,390   Pool RA7939   5.00%  09/01/2052   81,935,350 
 68,565,656   Pool RB5089   1.50%  12/01/2040   54,841,886 
 7,347,238   Pool RB5106   2.50%  03/01/2041   6,300,398 
 78,693,825   Pool RB5110   1.50%  05/01/2041   62,887,882 
 16,505,156   Pool RJ1071   6.00%  03/01/2054   16,786,742 
 29,730,396   Pool SD0699   2.00%  11/01/2050   23,842,385 
 41,605,165   Pool SD0715   2.00%  09/01/2051   33,363,093 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 59,795,902   Pool SD2120   3.00%  10/01/2051   51,302,014 
 35,206,280   Pool SD2386   3.50%  06/01/2052   31,316,086 
 55,527,356   Pool SD2692   4.50%  04/01/2053   52,361,373 
 21,670,560   Pool SD2759   5.50%  05/01/2053   21,555,434 
 26,565,438   Pool SD2839   3.00%  08/01/2052   22,720,693 
 16,159,719   Pool SD2971   2.50%  03/01/2052   13,385,374 
 28,878,653   Pool SD3011   3.00%  05/01/2052   24,717,559 
 13,440,080   Pool SD3033   5.50%  05/01/2053   13,552,809 
 64,604,018   Pool SD3093   2.50%  03/01/2052   53,502,176 
 51,124,712   Pool SD3454   5.50%  08/01/2053   50,809,333 
 20,863,150   Pool SD3530   6.00%  08/01/2053   21,155,617 
 54,965,638   Pool SD4372   6.00%  11/01/2053   56,296,023 
 39,323,919   Pool SD4701   6.00%  02/01/2054   39,912,964 
 12,631,227   Pool SD4756   6.00%  02/01/2054   12,884,711 
 26,862,246   Pool SD4794   6.50%  01/01/2054   28,121,580 
 42,787,413   Pool SD4887   6.00%  02/01/2054   43,483,812 
 24,517,533   Pool SD4888   6.00%  02/01/2054   24,897,088 
 47,497,829   Pool SD4965   5.50%  02/01/2054   47,537,481 
 15,722,410   Pool SD5141   6.00%  04/01/2054   15,913,959 
 16,763,882   Pool SD5366   6.00%  04/01/2054   17,026,028 
 31,418,819   Pool SD5603   5.50%  06/01/2054   31,425,227 
 11,617,199   Pool SD5617   6.00%  06/01/2054   11,832,499 
 53,917,812   Pool SD5814   6.00%  07/01/2054   54,837,087 
 30,554,637   Pool SD5964   5.50%  11/01/2053   30,485,402 
 23,718,122   Pool SD5968   6.00%  07/01/2054   24,076,064 
 52,710,117   Pool SD6053   5.50%  08/01/2054   52,526,333 
 50,456,603   Pool SD6351   6.00%  08/01/2054   51,677,907 
 24,654,393   Pool SD7162   5.50%  12/01/2054   24,655,603 
 180,085,936   Pool SD7534   2.50%  02/01/2051   149,782,885 
 14,892,706   Pool SD7535   2.50%  02/01/2051   12,368,242 
 22,200,752   Pool SD7564   5.00%  06/01/2053   21,651,953 
 20,411,698   Pool SD7565   5.50%  09/01/2053   20,393,802 
 57,808,154   Pool SD7568   5.50%  02/01/2054   57,680,309 
 87,170,539   Pool SD7569   6.00%  04/01/2054   88,908,891 
 77,049,389   Pool SD8152   3.00%  06/01/2051   66,051,817 
 2,918,037   Pool SD8168   3.00%  09/01/2051   2,496,170 
 7,898,992   Pool SD8169   3.50%  09/01/2051   7,020,256 
 38,623,515   Pool SE9043   2.00%  09/01/2051   29,406,171 
 930,097   Pool T60392   4.00%  10/01/2041   862,485 
 1,284,250   Pool T60681   4.00%  05/01/2042   1,195,729 
 5,229,486   Pool T60782   3.50%  07/01/2042   4,718,970 
 5,949,799   Pool T60853   3.50%  09/01/2042   5,368,985 
 5,939,304   Pool T60854   3.50%  09/01/2042   5,359,539 
 981,633   Pool T65110   3.50%  10/01/2042   885,831 
 6,657,309   Pool T65492   3.00%  06/01/2048   5,640,864 
 529,422   Pool T69016   5.00%  06/01/2041   511,432 
 9,792,107   Pool T69050   3.50%  05/01/2046   8,839,877 
 128,883   Pool U60299   4.00%  11/01/2040   121,844 
 134,571,534   Pool U69911   4.00%  04/01/2045   127,204,663 
 42,008,119   Pool U69913   3.50%  06/01/2043   38,109,649 
 1,182,193   Pool U99125   3.00%  01/01/2043   1,049,490 
 45,352,176   Pool V81821   3.00%  08/01/2045   39,693,705 
 12,958,438   Pool V82117   3.00%  12/01/2045   11,307,990 
 6,291,270   Pool V82248   3.50%  03/01/2046   5,644,202 
 10,500,000   Pool WN1221   4.80%  12/01/2029   10,465,362 
 19,180,000   Pool WN1240   4.40%  12/01/2029   18,749,333 
 40,000,000   Pool WN2184   2.50%  04/01/2032   34,266,950 
 23,230,000   Pool WN2311   4.80%  01/01/2030   23,164,351 
 45,015,000   Pool WN2358   4.30%  01/01/2030   44,048,916 
 21,615,000   Pool WN2396   4.79%  03/01/2030   21,539,842 
 15,225,000   Pool WN2423   4.19%  06/01/2030   14,823,176 
 13,881,000   Pool WN2579   4.85%  03/01/2029   13,799,927 
 71,837,921   Pool Z40117   3.00%  04/01/2045   63,357,162 
 63,076,721   Pool Z40206   3.50%  02/01/2047   56,707,960 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 79,368,895   Pool Z40256   3.00%  12/01/2046   69,696,782 
 20,085,551   Pool Z40264   4.00%  11/01/2040   18,983,728 
 112,842,648   Pool Z40265   3.50%  08/01/2047   101,088,771 
 11,638,168   Pool ZS4706   3.00%  03/01/2047   10,098,261 
 6,030,338   Pool ZS4750   3.00%  01/01/2048   5,229,776 
 10,835,975   Pool ZS4778   4.00%  07/01/2048   10,052,835 
 8,803,271   Pool ZS4790   4.00%  09/01/2048   8,164,273 
 13,280,142   Pool ZT1827   3.00%  07/01/2047   11,524,868 
 291,413   Series 2519-ZD   5.50%  11/15/2032   293,898 
 166,378   Series 2596-ZL   5.00%  04/15/2033   167,180 
 10,431,079   Series 267-30   3.00%  08/15/2042   9,316,669 
 113,890   Series 2684-ZN   4.00%  10/15/2033   109,192 
 7,471,162   Series 274-30   3.00%  08/15/2042   6,620,220 
 678,900   Series 2750-ZT   5.00%  02/15/2034   682,324 
 30,274,726   Series 280-30   3.00%  09/15/2042   27,223,942 
 2,138,314   Series 2825-PZ   5.50%  07/15/2034   2,188,189 
 5,514,730   Series 284-300   3.00%  10/15/2042   4,991,545 
 1,255,197   Series 2898-JZ   5.00%  12/15/2034   1,261,572 
 3,232,289   Series 2899-AZ   5.00%  12/15/2034   3,248,193 
 1,701,925   Series 2909-Z   5.00%  12/15/2034   1,710,734 
 3,600,941   Series 2932-Z   5.00%  02/15/2035   3,624,006 
 1,327,547   Series 3002-SN (-1 x 30 day avg SOFR US + 6.39%, 0.00% Floor, 6.50% Cap)   1.79%(f)(g)  07/15/2035   93,413 
 843,317   Series 3030-SL (-1 x 30 day avg SOFR US + 5.99%, 0.00% Floor, 6.10% Cap)   1.39%(f)(g)  09/15/2035   57,108 
 296,435   Series 3045-DI (-1 x 30 day avg SOFR US + 6.62%, 0.00% Floor, 6.73% Cap)   2.02%(f)(g)  10/15/2035   24,380 
 2,255,696   Series 3116-Z   5.50%  02/15/2036   2,307,884 
 356,055   Series 3117-ZN   4.50%  02/15/2036   340,846 
 1,106,219   Series 3174-PZ   5.00%  01/15/2036   1,113,503 
 279,527   Series 3187-JZ   5.00%  07/15/2036   281,367 
 795,343   Series 3188-ZK   5.00%  07/15/2036   800,427 
 1,192,381   Series 3203-SE (-1 x 30 day avg SOFR US + 6.39%, 0.00% Floor, 6.50% Cap)   1.79%(f)(g)  08/15/2036   99,420 
 1,616,122   Series 3203-Z   5.00%  07/15/2036   1,619,787 
 4,540,124   Series 326-300Pool S0-7094   3.00%  03/15/2044   4,050,529 
 1,617,709   Series 3261-SA (-1 x 30 day avg SOFR US + 6.32%, 0.00% Floor, 6.43% Cap)   1.72%(f)(g)  01/15/2037   138,056 
 1,290,504   Series 3275-SC (-1 x 30 day avg SOFR US + 5.97%, 0.00% Floor, 6.08% Cap)   1.37%(f)(g)  02/15/2037   99,082 
 342,989   Series 3315-HZ   6.00%  05/15/2037   354,318 
 1,091,569   Series 3326-GS (-1 x 30 day avg SOFR US + 6.54%, 0.00% Floor, 6.65% Cap)   1.94%(f)(g)  06/15/2037   88,882 
 291,799   Series 3351-ZC   5.50%  07/15/2037   294,719 
 3,755,522   Series 3355-BI (-1 x 30 day avg SOFR US + 5.94%, 0.00% Floor, 6.05% Cap)   1.34%(f)(g)  08/15/2037   295,156 
 181,487   Series 3369-Z   6.00%  09/15/2037   184,796 
 500,189   Series 3405-ZG   5.50%  01/15/2038   512,397 
 174,884   Series 3417-SI (-1 x 30 day avg SOFR US + 6.07%, 0.00% Floor, 6.18% Cap)   1.47%(f)(g)  02/15/2038   11,744 
 645,777   Series 3423-GS (-1 x 30 day avg SOFR US + 5.54%, 0.00% Floor, 5.65% Cap)   0.94%(f)(g)  03/15/2038   37,196 
 106,043   Series 3423-SG (-1 x 30 day avg SOFR US + 5.54%, 0.00% Floor, 5.65% Cap)   0.94%(f)(g)  03/15/2038   5,979 
 146,179   Series 3451-S (-1 x 30 day avg SOFR US + 5.92%, 0.00% Floor, 6.03% Cap)   1.32%(f)(g)  02/15/2037   7,837 
 143,793   Series 3455-SC (-1 x 30 day avg SOFR US + 5.95%, 0.00% Floor, 6.06% Cap)   1.35%(f)(g)  06/15/2038   8,928 
 63,253   Series 3473-SM (-1 x 30 day avg SOFR US + 5.96%, 0.00% Floor, 6.07% Cap)   1.36%(f)(g)  07/15/2038   4,319 
 1,312,175   Series 3484-SE (-1 x 30 day avg SOFR US + 5.74%, 0.00% Floor, 5.85% Cap)   1.14%(f)(g)  08/15/2038   78,246 
 1,858,787   Series 3519-SD (-1 x 30 day avg SOFR US + 5.44%, 0.00% Floor, 5.55% Cap)   0.84%(f)(g)  02/15/2038   107,504 
 585,338   Series 3524-LB   3.15%(b)  06/15/2038   542,507 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 61,913   Series 3530-GZ   4.50%(h)  05/15/2039   58,667 
 1,598,821   Series 3541-EI (-1 x 30 day avg SOFR US + 6.64%, 0.00% Floor, 6.75% Cap)   2.04%(f)(g)  06/15/2039   161,659 
 120,277   Series 3545-SA (-1 x 30 day avg SOFR US + 6.04%, 0.00% Floor, 6.15% Cap)   1.44%(f)(g)  06/15/2039   8,735 
 50,035   Series 3549-SA (-1 x 30 day avg SOFR US + 5.69%, 0.00% Floor, 5.80% Cap)   1.09%(f)(g)  07/15/2039   3,513 
 31,226,283   Series 357-200Pool S0-7745   2.00%  09/15/2047   26,154,954 
 2,049,889   Series 3577-LS (-1 x 30 day avg SOFR US + 7.09%, 0.00% Floor, 7.20% Cap)   2.49%(f)(g)  08/15/2035   220,386 
 773,979   Series 3582-SA (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap)   1.29%(f)(g)  10/15/2049   58,913 
 648,070   Series 3583-GB   4.50%  10/15/2039   638,439 
 976,197   Series 3616-SG (-1 x 30 day avg SOFR US + 6.24%, 0.00% Floor, 6.35% Cap)   1.64%(f)(g)  03/15/2032   38,538 
 1,914,870   Series 3626-AZ   5.50%  08/15/2036   1,964,097 
 2,482,118   Series 3654-ZB   5.50%  11/15/2037   2,544,425 
 264,357   Series 3667-SBPool 3667 (-1 x 30 day avg SOFR US + 6.34%, 0.00% Floor, 6.45% Cap)   1.74%(f)(g)  05/15/2040   18,381 
 2,056,463   Series 3702-SG (-1 x 30 day avg SOFR US + 5.94%, 0.00% Floor, 6.05% Cap)   1.34%(f)(g)  08/15/2032   99,293 
 1,387,293   Series 3704-EI   5.00%(f)  12/15/2036   160,021 
 1,082,949   Series 3712-SG (-5 x 30 day avg SOFR US + 24.43%, 0.00% Floor, 25.00% Cap)   1.02%(g)  08/15/2040   1,106,261 
 1,599,504   Series 3724-CM   5.50%  06/15/2037   1,642,092 
 5,137,091   Series 3726-SA (-1 x 30 day avg SOFR US + 5.94%, 0.00% Floor, 6.05% Cap)   1.34%(f)(g)  09/15/2040   439,557 
 186,682   Series 3741-SC (-2 x 30 day avg SOFR US + 9.77%, 0.00% Floor, 10.00% Cap)   0.58%(g)  10/15/2040   125,590 
 4,674,509   Series 3752-BS (-2 x 30 day avg SOFR US + 9.77%, 0.00% Floor, 10.00% Cap)   0.41%(g)  11/15/2040   3,414,744 
 1,331,645   Series 3771-AL   4.00%  12/15/2030   1,316,298 
 3,348,322   Series 3779-BY   3.50%  12/15/2030   3,264,383 
 3,912,348   Series 3779-LB   4.00%  12/15/2030   3,867,248 
 905,907   Series 3779-YA   3.50%  12/15/2030   883,196 
 3,241,383   Series 3783-AC   4.00%  01/15/2031   3,204,025 
 2,984,617   Series 3786-SG (-2 x 30 day avg SOFR US + 9.27%, 0.00% Floor, 9.50% Cap)   0.08%(g)  01/15/2041   2,033,985 
 2,759,286   Series 3788-AY   3.50%  01/15/2031   2,678,005 
 449,917   Series 3790-Z   4.00%  01/15/2041   422,414 
 1,284,535   Series 3803-ZM   4.00%  02/15/2041   1,206,256 
 12,173,888   Series 3806-CZ   5.50%  07/15/2034   12,449,754 
 3,262,742   Series 3812-EY   3.50%  02/15/2031   3,166,063 
 1,339,608   Series 3818-CZ   4.50%  03/15/2041   1,292,108 
 3,350,433   Series 3828-SW (-3 x 30 day avg SOFR US + 12.86%, 0.00% Floor, 13.20% Cap)   0.00%(g)  02/15/2041   2,435,451 
 6,389,571   Series 3843-PZ   5.00%  04/15/2041   6,356,159 
 3,130,684   Series 3870-PB   4.50%  06/15/2041   3,072,690 
 4,268,254   Series 3872-BA   4.00%  06/15/2041   4,100,114 
 2,207,578   Series 3877-EY   4.50%  06/15/2041   2,117,673 
 824,636   Series 3877-GY   4.50%  06/15/2041   790,800 
 1,840,270   Series 3900-SB (-1 x 30 day avg SOFR US + 5.86%, 0.00% Floor, 5.97% Cap)   1.26%(f)(g)  07/15/2041   135,499 
 1,784,943   Series 3910-ZE   5.00%  10/15/2034   1,793,954 
 2,954,700   Series 3919-KL   4.50%  09/15/2041   2,831,320 
 9,773,398   Series 3919-ZJ   4.00%  09/15/2041   9,177,832 
 557,556   Series 3942-JZ   4.00%  10/15/2041   522,397 
 3,449,609   Series 3944-AZ   4.00%  10/15/2041   3,233,736 
 1,454,946   Series 3946-SM (-3 x 30 day avg SOFR US + 14.36%, 0.00% Floor, 14.70% Cap)   0.56%(g)  10/15/2041   1,029,515 
 7,865,600   Series 3969-AB   4.00%  10/15/2033   7,655,576 
 1,460,137   Series 3982-AZ   3.50%  01/15/2042   1,330,009 
 2,596,127   Series 3999-EZ   4.00%  02/15/2042   2,430,497 
 270,053   Series 4050-ND   2.50%  09/15/2041   264,958 
 36,448,290   Series 4109-GE   4.50%  10/15/2041   35,198,209 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 3,360,852   Series 4121-AV   3.00%  12/15/2035   3,268,148 
 9,941,062   Series 4183-ZB   3.00%(h)  03/15/2043   7,658,940 
 3,540,867   Series 4186-ZJ   3.00%(h)  03/15/2033   3,246,506 
 40,143,373   Series 4212-US (-1 x 30 day avg SOFR US + 5.26%, 0.00% Floor, 5.40% Cap)   0.00%(g)  06/15/2043   24,657,597 
 19,309,604   Series 4223-US (-1 x 30 day avg SOFR US + 5.29%, 0.00% Floor, 5.43% Cap)   0.00%(g)  07/15/2043   11,742,827 
 8,852,526   Series 4249-CS (-1 x 30 day avg SOFR US + 4.56%, 0.00% Floor, 4.65% Cap)   1.05%(g)  09/15/2043   6,248,643 
 7,795,557   Series 4341-ZA   3.00%  05/15/2044   6,921,758 
 18,399,120   Series 4376-GZ   3.00%(h)  08/15/2044   15,892,012 
 58,495,251   Series 4377-LZ   3.00%(h)  08/15/2044   50,874,688 
 1,265,941   Series 4379-KA   3.00%  08/15/2044   1,167,721 
 31,974,475   Series 4384-ZY   3.00%(h)  09/15/2044   27,955,830 
 162,052,283   Series 4390-NZ   3.00%(h)  09/15/2044   140,772,663 
 5,787,787   Series 4427-PS (-1 x 30 day avg SOFR US + 5.49%, 0.00% Floor, 5.60% Cap)   0.89%(f)(g)  07/15/2044   285,057 
 737,181   Series 4438-B   3.00%  10/15/2043   714,221 
 11,546,635   Series 4441-VZ   3.00%(h)  02/15/2045   9,662,753 
 7,085,330   Series 4471-BA   3.00%  12/15/2041   6,975,199 
 6,161,088   Series 4471-BC   3.00%  12/15/2041   6,065,322 
 4,765,631   Series 4500-GO   0.00%(k)  08/15/2045   3,681,516 
 8,772,937   Series 4504-CA   3.00%  04/15/2044   8,372,643 
 27,791,617   Series 4543-HG   2.70%  04/15/2044   26,266,544 
 12,875,688   Series 4632-MH   4.00%  11/15/2056   11,751,363 
 5,105,744   Series 4744-JA   3.00%  09/15/2047   4,573,113 
 4,749,958   Series 4744-KA   3.00%  08/15/2046   4,546,741 
 10,285,122   Series 4746-ZN   3.50%  12/15/2047   9,257,416 
 21,534,000   Series 4759-NL   3.00%  02/15/2048   18,036,753 
 7,408,175   Series 4776-YP   3.50%  02/15/2048   6,550,177 
 24,711,520   Series 4778-DZ   4.00%  04/15/2048   22,845,346 
 5,080,911   Series 4791-IO   3.00%(f)  05/15/2048   751,692 
 26,188,988   Series 4791-JT   3.00%  05/15/2048   22,748,420 
 4,143,034   Series 4791-LI   3.00%(f)  05/15/2048   659,924 
 4,143,034   Series 4791-LO   0.00%(k)  05/15/2048   3,029,909 
 16,390,034   Series 4791-PO   0.00%(k)  05/15/2048   12,467,932 
 11,128,232   Series 4792-A   3.00%  05/15/2048   9,665,067 
 7,169,308   Series 4793-C   3.00%  06/15/2048   6,282,323 
 6,777,297   Series 4795-AO   0.00%(k)  05/15/2048   4,968,690 
 5,808,146   Series 4801-OG   0.00%(k)  06/15/2048   4,477,015 
 22,844,612   Series 4857-J   3.40%  01/15/2049   20,961,759 
 9,660,556   Series 4901-BD   3.00%  07/25/2049   8,876,539 
 18,608,565   Series 4924-ST (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap)   1.32%(f)(g)  08/25/2048   1,642,139 
 10,467,085   Series 5004-LS (-1 x 30 day avg SOFR US + 6.04%, 0.00% Floor, 6.15% Cap)   1.47%(f)(g)  07/25/2050   1,240,081 
 36,612,658   Series 5007-IP   3.00%(f)  07/25/2050   5,815,672 
 16,172,083   Series 5010-KI   3.00%(f)  09/25/2050   2,892,053 
 11,838,645   Series 5023-YI   3.00%(f)  10/25/2050   1,999,954 
 55,537,460   Series 5040-GI   2.00%(f)  11/25/2050   6,553,420 
 30,428,322   Series 5050-BN   3.00%  11/25/2050   25,742,360 
 29,679,295   Series 5053-AI   3.00%(f)  11/25/2050   5,498,941 
 9,893,098   Series 5053-PI   3.00%(f)  11/25/2050   1,573,043 
 21,063,594   Series 5059-HI   3.00%(f)  09/25/2050   3,323,070 
 24,003,480   Series 5059-ID   3.00%(f)  01/25/2051   3,840,521 
 11,516,111   Series 5060-LT   2.00%  05/25/2050   9,094,617 
 5,770,889   Series 5062-PA   1.25%  01/25/2051   4,208,561 
 13,933,707   Series 5071-FP (30 day avg SOFR US + 0.70%, 0.70% Floor, 4.00% Cap)   4.00%  02/25/2051   10,865,121 
 28,297,863   Series 5077-CI   3.50%(f)  02/25/2051   4,882,256 
 11,918,479   Series 5081-MI   2.50%(f)  03/25/2051   1,720,612 
 37,419,774   Series 5083-IH   2.50%(f)  03/25/2051   5,674,290 
 10,870,593   Series 5086-IB   3.00%(f)  03/25/2051   1,686,564 
 13,853,578   Series 5086-IK   3.00%(f)  03/25/2051   2,355,804 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 7,298,601   Series 5112-SC (-1 x 30 day avg SOFR US + 2.50%, 0.00% Floor, 2.50% Cap)   0.00%(f)(g)  06/25/2051   17,782 
 16,256,549   Series 5117-D   2.00%  06/25/2051   14,054,393 
 17,190,072   Series 5118-PI   3.00%(f)  03/25/2051   2,802,974 
 100,761,100   Series 5129-GI   3.00%(f)  08/25/2050   17,348,411 
 63,367,520   Series 5130-IO   3.50%(f)  08/25/2051   13,248,330 
 31,648,208   Series 5140-AI   3.50%(f)  09/25/2051   6,092,805 
 10,846,839   Series 5140-B   2.00%  05/25/2040   9,381,838 
 32,930,532   Series 5140-HI   2.00%(f)  08/25/2046   2,879,910 
 24,432,762   Series 5142-IP   3.00%(f)  09/25/2051   4,145,653 
 36,293,008   Series 5145-SB (-1 x 30 day avg SOFR US + 2.60%, 0.00% Floor, 2.60% Cap)   0.00%(f)(g)  09/25/2051   135,830 
 15,876,102   Series 5149-CI   3.00%(f)  12/25/2043   2,101,361 
 20,660,398   Series 5150-AB   2.00%  04/25/2049   16,605,526 
 40,714,776   Series 5157-EI   3.00%(f)  10/25/2051   5,018,092 
 13,636,039   Series 5157-P   1.50%  10/25/2051   10,664,220 
 9,390,645   Series 5159-CD   1.50%  07/25/2041   8,010,247 
 16,585,273   Series 5159-DI   3.00%(f)  04/25/2048   2,497,439 
 29,402,023   Series 5159-UI   3.50%(f)  08/25/2050   5,632,619 
 41,954,734   Series 5160-S (-1 x 30 day avg SOFR US + 3.74%, 0.00% Floor, 3.74% Cap)   0.00%(f)(g)  08/25/2050   643,376 
 19,202,446   Series 5160-ZY   3.00%(h)  10/25/2050   13,055,388 
 28,495,419   Series 5171-GI   3.00%(f)  12/25/2051   4,806,000 
 28,749,585   Series 5176-D   2.50%  01/25/2051   23,762,889 
 24,779,891   Series 5181-IL   3.00%(f)  01/25/2052   4,122,816 
 15,523,818   Series 5187-LA   2.50%  10/25/2049   13,441,331 
 20,222,381   Series 5196-PE   2.00%  02/25/2052   17,285,159 
 21,845,809   Series 5202-DB   3.00%  05/25/2048   19,263,984 
 18,103,554   Series 5202-HA   2.50%  09/25/2048   15,715,730 
 58,808,116   Series 5209-IO   3.00%(f)  10/25/2051   9,792,592 
 25,032,250   Series 5236-YI   2.50%(f)  06/25/2049   2,973,323 
 69,808,909   Series 5279-IO   3.00%(f)  03/25/2051   11,558,219 
 17,836,231   Series 5319-PO   0.00%(k)  08/25/2050   11,917,278 
 76,271,309   Series 5321-PO   0.00%(k)  08/25/2050   52,522,795 
 13,309,917   Series 5326-KO   0.00%(k)  09/25/2050   9,057,470 
 34,981,484   Series 5326-MO   0.00%(k)  09/25/2050   23,503,521 
 16,404,219   Series 5326-OP   0.00%(k)  09/25/2050   11,173,801 
 28,352,938   Series 5326-UO   0.00%(k)  10/25/2050   18,809,515 
 25,492,036   Series 5334-PO   0.00%(k)  12/25/2050   18,069,239 
 12,867,046   Series 5352-LO   0.00%(k)  10/15/2046   9,529,463 
 19,857,506   Series 5365-PO   0.00%(k)  02/25/2037   15,783,524 
 20,018,276   Series 5377-IO   2.50%(f)  12/25/2051   2,538,778 
 26,209,718   Series 5385-ZA   2.00%(h)  01/25/2051   12,443,106 
 21,412,004   Series 5400-FB (30 day avg SOFR US + 1.10%, 1.10% Floor, 7.00% Cap)   5.67%  04/25/2054   21,444,173 
 42,679,916   Series 5430-FD (30 day avg SOFR US + 1.10%, 1.10% Floor, 7.00% Cap)   5.67%  07/25/2054   42,735,062 
 29,437,742   Series 5439-FJ (30 day avg SOFR US + 1.10%, 1.10% Floor, 7.00% Cap)   5.67%  08/25/2054   29,465,504 
 50,379,466   Series 5452-DF (30 day avg SOFR US + 1.25%, 1.25% Floor, 6.50% Cap)   5.82%  09/25/2054   50,436,379 
 37,823,937   Series 5469-F (30 day avg SOFR US + 1.10%, 1.10% Floor, 6.50% Cap)   5.67%  09/25/2054   37,604,210 
 48,144,516   Series 5470-FH (30 day avg SOFR US + 1.20%, 1.20% Floor, 6.50% Cap)   5.77%  11/25/2054   48,044,385 
 41,547,312   Series 5471-FM (30 day avg SOFR US + 1.40%, 1.40% Floor, 6.50% Cap)   5.97%  11/25/2054   41,850,417 
 44,258,100   Series 5473-FP (30 day avg SOFR US + 1.30%, 1.30% Floor, 6.50% Cap)   5.87%  11/25/2054   44,398,132 
 47,480,817   Series 5478-FB (30 day avg SOFR US + 1.35%, 1.35% Floor, 6.50% Cap)   5.92%  02/25/2054   47,570,202 
 80,549,981   Series 5478-FE (30 day avg SOFR US + 1.45%, 1.45% Floor, 6.50% Cap)   6.02%  02/25/2054   80,667,693 
 29,114,451   Series 5479-FB (30 day avg SOFR US + 1.40%, 1.40% Floor, 6.50% Cap)   5.97%  12/25/2054   29,110,502 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 37,476,925   Series 5481-FC (30 day avg SOFR US + 1.50%, 1.50% Floor, 6.50% Cap)   6.07%  12/25/2054   37,902,307 
     Federal National Mortgage Association             
 54,180,005   Pool 310227   4.00%  01/01/2044   51,150,325 
 61,778,289   Pool 310233   3.50%  03/01/2044   55,979,121 
 15,904,637   Pool 387898   3.71%  08/01/2030   15,016,777 
 2,512,665   Pool 555743   5.00%  09/01/2033   2,499,864 
 1,916,091   Pool 735382   5.00%  04/01/2035   1,900,895 
 3,269,851   Pool 735402   5.00%  04/01/2035   3,243,833 
 2,136,097   Pool 735484   5.00%  05/01/2035   2,119,045 
 895,546   Pool 735667   5.00%  07/01/2035   888,585 
 734,901   Pool 735893   5.00%  10/01/2035   729,409 
 1,818,042   Pool 745275   5.00%  02/01/2036   1,805,199 
 75,903   Pool 888695   5.00%  08/01/2037   75,600 
 489,742   Pool 888968   5.00%  08/01/2035   485,833 
 3,620,538   Pool 890549   4.00%  11/01/2043   3,399,334 
 4,642,418   Pool 890565   3.00%  11/01/2043   4,098,751 
 264,885   Pool 931104   5.00%  05/01/2039   263,799 
 55,051   Pool 975116   5.00%  05/01/2038   54,877 
 742,351   Pool 986864   6.50%  08/01/2038   783,354 
 453,459   Pool 987316   6.50%  09/01/2038   472,992 
 3,485,191   Pool 995203   5.00%  07/01/2035   3,458,097 
 5,836,819   Pool 995849   5.00%  08/01/2036   5,791,441 
 4,349,134   Pool AB2123   4.00%  01/01/2031   4,270,411 
 91,347   Pool AB2370   4.50%  09/01/2035   90,289 
 276,687   Pool AB3713   4.00%  10/01/2031   269,772 
 2,424,896   Pool AB3796   3.50%  11/01/2031   2,342,698 
 664,372   Pool AB3850   4.00%  11/01/2041   615,353 
 513,577   Pool AB3923   4.00%  11/01/2041   475,670 
 8,603,381   Pool AB4167   3.50%  01/01/2032   8,297,323 
 6,903,749   Pool AB4261   3.50%  01/01/2032   6,655,529 
 1,289,380   Pool AB5084   3.50%  05/01/2032   1,243,265 
 3,111,861   Pool AB5156   3.50%  05/01/2032   2,996,436 
 4,573,369   Pool AB5212   3.50%  05/01/2032   4,409,134 
 2,562,667   Pool AB5243   4.00%  05/01/2042   2,373,323 
 6,376,705   Pool AB5911   3.00%  08/01/2032   6,047,056 
 2,740,361   Pool AB6280   3.00%  09/01/2042   2,434,688 
 3,345,710   Pool AB6349   3.00%  10/01/2032   3,165,664 
 9,348,614   Pool AB6750   3.00%  10/01/2032   8,840,059 
 4,883,456   Pool AB6751   3.00%  10/01/2032   4,616,236 
 28,251,550   Pool AB6854   3.00%  11/01/2042   24,939,193 
 21,664,844   Pool AB7077   3.00%  11/01/2042   19,124,947 
 9,374,134   Pool AB7776   3.00%  02/01/2043   8,310,845 
 9,904,798   Pool AB7877   3.00%  02/01/2043   8,781,321 
 4,224,443   Pool AB8418   3.00%  02/01/2033   3,986,815 
 6,755,439   Pool AB8520   3.00%  02/01/2033   6,372,774 
 8,771,829   Pool AB8703   3.00%  03/01/2038   7,840,642 
 3,128,815   Pool AB8858   3.00%  04/01/2033   2,954,109 
 7,383,730   Pool AB9020   3.00%  04/01/2038   6,598,833 
 5,259,321   Pool AB9197   3.00%  05/01/2033   4,951,908 
 3,055,834   Pool AB9409   3.00%  05/01/2033   2,878,400 
 87,666   Pool AD2177   4.50%  06/01/2030   86,588 
 261,770   Pool AD6438   5.00%  06/01/2040   260,940 
 158,445   Pool AD7859   5.00%  06/01/2040   157,943 
 2,249,846   Pool AH0607   4.00%  12/01/2040   2,123,577 
 118,429   Pool AH1140   4.50%  12/01/2040   112,186 
 1,598,223   Pool AH4437   4.00%  01/01/2041   1,480,325 
 482,966   Pool AH7309   4.00%  02/01/2031   472,715 
 279,449   Pool AH9323   4.00%  04/01/2026   277,535 
 749,788   Pool AJ1265   4.00%  09/01/2041   704,186 
 51,719   Pool AJ1399   4.00%  09/01/2041   47,900 
 1,427,474   Pool AJ1467   4.00%  10/01/2041   1,322,153 
 1,462,407   Pool AJ3392   4.00%  10/01/2041   1,354,489 
 1,035,989   Pool AJ3854   4.00%  10/01/2041   959,527 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 4,743,001   Pool AJ4118   4.00%  11/01/2041   4,393,099 
 1,244,772   Pool AJ4131   4.00%  10/01/2041   1,152,914 
 1,721,602   Pool AJ7677   3.50%  12/01/2041   1,551,776 
 941,178   Pool AJ8334   4.00%  12/01/2041   871,651 
 6,534,056   Pool AK0713   3.50%  01/01/2032   6,318,064 
 1,140,265   Pool AK4039   4.00%  02/01/2042   1,056,098 
 2,361,770   Pool AK4763   4.00%  02/01/2042   2,187,537 
 1,058,791   Pool AK9438   4.00%  03/01/2042   980,661 
 1,624,740   Pool AK9439   4.00%  03/01/2042   1,504,860 
 450,080   Pool AK9446   4.50%  03/01/2042   434,446 
 22,377,886   Pool AL3883   3.00%  07/01/2043   19,839,767 
 134,866   Pool AL4292   4.50%  04/01/2026   134,356 
 3,502,190   Pool AL4312   4.00%  10/01/2043   3,288,165 
 8,386,696   Pool AL6075   3.50%  09/01/2053   7,341,947 
 15,547,701   Pool AL6076   3.00%  06/01/2053   13,257,520 
 20,637,228   Pool AL6141   4.00%  04/01/2042   19,442,611 
 19,605,531   Pool AL6325   3.00%  10/01/2044   17,309,009 
 5,953,826   Pool AL6486   4.50%  02/01/2045   5,722,919 
 18,361,774   Pool AL6538   4.50%  06/01/2044   17,809,061 
 18,936,345   Pool AL8304   3.50%  03/01/2046   17,003,462 
 9,474,413   Pool AL9220   3.00%  06/01/2045   8,364,685 
 12,011,543   Pool AL9445   3.00%  07/01/2031   11,561,314 
 23,897,375   Pool AM8510   3.15%  05/01/2035   20,790,444 
 26,314,229   Pool AM8950   3.14%  06/01/2040   22,910,238 
 4,232,045   Pool AN5480   3.43%  06/01/2037   3,863,562 
 217,500,000   Pool AN6680   3.37%  11/01/2047   168,572,061 
 10,012,335   Pool AN7452   3.12%  11/01/2032   8,941,830 
 20,461,560   Pool AN8121   3.16%  01/01/2035   17,777,254 
 3,724,800   Pool AN9452   3.75%  06/01/2030   3,472,057 
 3,513,192   Pool AO2980   4.00%  05/01/2042   3,253,917 
 12,180,798   Pool AP4787   3.50%  09/01/2042   10,983,168 
 9,576,336   Pool AP4789   3.50%  09/01/2042   8,631,422 
 5,499,284   Pool AQ5541   3.00%  12/01/2042   4,854,290 
 5,410,947   Pool AR9856   3.00%  04/01/2043   4,776,541 
 4,987,634   Pool AS1927   4.50%  03/01/2044   4,794,165 
 6,292,359   Pool AS2038   4.50%  03/01/2044   6,048,291 
 3,233,911   Pool AS2517   4.50%  05/01/2044   3,108,459 
 1,627,048   Pool AS2551   4.50%  06/01/2044   1,564,250 
 1,715,326   Pool AS2765   4.50%  07/01/2044   1,649,098 
 7,837,855   Pool AS3201   3.00%  08/01/2034   7,319,569 
 3,568,541   Pool AS3456   3.00%  10/01/2034   3,326,126 
 7,249,673   Pool AS3666   3.00%  10/01/2034   6,773,434 
 26,297,584   Pool AS3961   3.00%  12/01/2044   23,045,100 
 10,521,478   Pool AS4154   3.00%  12/01/2044   9,203,927 
 6,081,233   Pool AS4212   3.00%  01/01/2035   5,682,240 
 8,959,184   Pool AS4281   3.00%  01/01/2035   8,339,845 
 7,773,936   Pool AS4345   3.50%  01/01/2045   7,043,163 
 8,869,683   Pool AS4360   3.00%  01/01/2035   8,268,715 
 9,237,105   Pool AS4779   3.00%  04/01/2035   8,551,212 
 7,495,920   Pool AS4780   3.00%  04/01/2035   6,943,017 
 9,620,714   Pool AS4840   3.00%  04/01/2035   8,954,721 
 6,629,001   Pool AS4881   3.00%  05/01/2035   6,136,939 
 12,410,880   Pool AS7473   3.00%  07/01/2046   10,612,700 
 24,678,485   Pool AS7661   3.00%  08/01/2046   21,102,697 
 16,747,804   Pool AS8056   3.00%  10/01/2046   14,535,985 
 23,407,228   Pool AS8111   3.00%  10/01/2041   20,622,832 
 14,534,552   Pool AS8269   3.00%  11/01/2046   12,644,980 
 12,738,714   Pool AS8306   3.00%  11/01/2041   11,247,061 
 15,023,435   Pool AS8356   3.00%  11/01/2046   12,846,643 
 12,137,926   Pool AX9696   3.00%  07/01/2045   10,379,644 
 14,692,674   Pool AY3974   3.00%  03/01/2045   12,829,934 
 5,670,014   Pool AY4295   3.00%  02/01/2045   4,855,669 
 401,878   Pool AY4296   3.00%  01/01/2045   343,648 
 2,636,815   Pool AY5471   3.00%  03/01/2045   2,254,791 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 4,662,105   Pool AZ0576   3.50%  04/01/2042   4,231,171 
 7,347,333   Pool BC0785   3.50%  04/01/2046   6,597,193 
 13,989,430   Pool BC9003   3.00%  11/01/2046   12,141,935 
 7,321,369   Pool BC9081   3.00%  12/01/2046   6,354,498 
 68,645,376   Pool BF0314   3.00%  01/01/2053   58,989,444 
 58,580,492   Pool BF0353   3.00%  05/01/2053   50,339,501 
 30,087,260   Pool BF0391   3.00%  09/01/2053   25,854,821 
 19,841,529   Pool BK8257   1.50%  12/01/2050   14,311,549 
 16,182,768   Pool BK8267   2.50%  12/01/2050   13,426,857 
 9,000,000   Pool BL0357   3.89%  10/01/2038   7,850,856 
 43,638,432   Pool BL0870   4.28%  12/01/2048   38,264,764 
 4,953,647   Pool BL2303   3.36%  05/01/2031   4,582,726 
 8,860,000   Pool BL4038   2.98%  09/01/2034   7,563,651 
 8,190,000   Pool BL5840   2.73%  02/01/2035   6,667,593 
 6,304,101   Pool BL6639   2.66%  05/01/2050   4,767,042 
 16,339,855   Pool BL6689   2.19%  05/01/2032   13,796,674 
 36,488,000   Pool BL7110   1.76%  07/01/2035   27,746,423 
 3,568,101   Pool BL7331   2.23%  07/01/2040   2,462,456 
 20,400,000   Pool BL7424   1.65%  08/01/2035   15,097,074 
 40,000,000   Pool BL8165   1.35%  09/01/2032   31,585,226 
 31,835,181   Pool BL8269   1.51%  09/01/2035   23,734,856 
 17,000,000   Pool BL8977   1.20%  11/01/2030   13,885,245 
 10,565,552   Pool BL9284   2.23%  12/01/2050   7,282,180 
 53,000,000   Pool BL9576   2.24%  12/01/2050   35,361,207 
 16,414,187   Pool BM5299   3.00%  12/01/2046   14,246,423 
 25,448,128   Pool BM5633   3.00%  07/01/2047   22,087,056 
 3,812,754   Pool BM5834   3.00%  04/01/2048   3,260,226 
 45,566,219   Pool BM6779   2.00%  08/01/2051   34,705,926 
 156,440,019   Pool BM6831   1.92%(b)  10/01/2033   124,386,115 
 76,975,348   Pool BM6857   1.83%(b)  12/01/2031   63,877,321 
 19,813,800   Pool BM7154 (30 day avg SOFR US + 2.29%, 2.29% Floor, 9.72% Cap)   4.73%  03/01/2053   19,379,713 
 25,871,152   Pool BM7164 (30 day avg SOFR US + 2.28%, 2.28% Floor, 9.55% Cap)   4.55%  03/01/2053   25,177,139 
 7,987,714   Pool BQ6432   2.00%  08/01/2051   6,083,980 
 15,821,728   Pool BQ6564   2.00%  09/01/2051   12,050,749 
 29,913,925   Pool BR2290 (30 day avg SOFR US + 2.12%, 2.12% Floor, 7.02% Cap)   2.02%  08/01/2051   26,566,351 
 5,592,000   Pool BS2500   1.81%  06/01/2030   4,805,645 
 3,000,000   Pool BS2580   2.15%  08/01/2033   2,429,816 
 9,975,000   Pool BS2834   2.24%  08/01/2041   6,727,327 
 34,043,000   Pool BS3101   1.91%  09/01/2033   27,184,672 
 2,595,000   Pool BS3163   1.75%  08/01/2030   2,216,626 
 19,880,000   Pool BS3192   2.03%  09/01/2036   14,608,328 
 16,125,000   Pool BS3314   1.83%  10/01/2033   12,828,984 
 25,042,000   Pool BS3426   1.76%  11/01/2031   20,482,495 
 12,048,000   Pool BS3431   1.83%  11/01/2033   9,518,179 
 6,536,000   Pool BS3434   1.83%  11/01/2033   5,163,581 
 32,694,000   Pool BS3442   2.12%  10/01/2036   24,461,254 
 7,339,000   Pool BS3955   2.30%  12/01/2036   5,568,048 
 21,200,000   Pool BS4110   2.13%  01/01/2034   17,181,066 
 48,972,000   Pool BS4111   1.98%  01/01/2032   40,897,152 
 46,000,000   Pool BS4125   2.32%  12/01/2031   39,399,428 
 20,654,180   Pool BS4177   1.94%  12/01/2031   17,387,048 
 12,500,000   Pool BS4213   2.46%  12/01/2036   9,838,010 
 18,199,000   Pool BS4225   2.36%  01/01/2037   14,010,668 
 20,000,000   Pool BS4273   1.93%  12/01/2031   16,809,609 
 33,675,000   Pool BS4276   2.03%  01/01/2032   28,325,996 
 51,025,000   Pool BS4306   1.92%  01/01/2032   42,017,972 
 26,987,667   Pool BS4319   2.35%  01/01/2039   20,242,335 
 19,170,000   Pool BS4330   1.92%  01/01/2034   15,118,027 
 30,761,000   Pool BS4333   1.89%  01/01/2032   25,471,977 
 12,000,000   Pool BS4334   2.01%  01/01/2034   9,464,111 
 17,899,975   Pool BS4359   1.99%  01/01/2032   15,132,345 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 53,950,000   Pool BS4453   1.96%  01/01/2032   44,888,783 
 51,688,000   Pool BS4524   2.02%  01/01/2032   42,981,044 
 41,850,000   Pool BS4736   2.00%  02/01/2032   34,575,101 
 24,500,000   Pool BS4737   2.00%  02/01/2032   20,241,099 
 20,155,000   Pool BS4951   2.63%  04/01/2032   17,366,073 
 10,998,689   Pool BS5636   3.72%  06/01/2032   10,243,636 
 6,735,013   Pool BS5685   4.20%  05/01/2052   5,852,399 
 8,665,000   Pool BS6102   4.10%  08/01/2032   8,242,310 
 4,200,000   Pool BS6131   3.89%  07/01/2032   3,928,511 
 3,600,000   Pool BS6419   3.89%  09/01/2032   3,381,944 
 24,762,678   Pool BS6649   3.89%  10/01/2032   23,187,736 
 159,468,000   Pool BS6912   4.33%  12/01/2032   152,929,594 
 4,131,000   Pool BS7305   5.22%  01/01/2032   4,203,029 
 7,863,000   Pool BS7410   5.48%  01/01/2033   7,979,094 
 3,260,000   Pool BS7503   4.87%  04/01/2031   3,247,573 
 10,467,000   Pool BS8014   4.84%  03/01/2033   10,299,436 
 8,333,000   Pool BS8657   5.10%  06/01/2030   8,418,284 
 5,557,475   Pool BS8987   5.15%  07/01/2040   5,388,368 
 18,337,237   Pool BS9321   5.27%  08/01/2040   18,260,248 
 1,542,062   Pool BT6556   2.00%  07/01/2051   1,174,510 
 10,151,723   Pool BV8021   4.50%  08/01/2052   9,576,347 
 17,286,377   Pool BV8479   3.00%  04/01/2052   14,846,135 
 33,798,338   Pool BV9869   3.00%  05/01/2052   28,750,983 
 10,550,000   Pool BZ0079   5.21%  01/01/2034   10,709,540 
 77,485,000   Pool BZ0107   4.94%  12/01/2033   77,394,902 
 27,755,000   Pool BZ0115   5.27%  12/01/2033   28,285,048 
 14,016,000   Pool BZ0452   5.36%  02/01/2054   13,422,093 
 138,103,000   Pool BZ1178   5.81%  06/01/2031   141,301,127 
 49,221,000   Pool BZ2148   4.40%  10/01/2029   48,290,102 
 21,450,000   Pool BZ2151   4.40%  10/01/2029   21,044,325 
 7,119,104   Pool CA0862   3.50%  09/01/2047   6,392,229 
 4,425,361   Pool CA3898   3.00%  07/01/2034   4,160,926 
 3,957,540   Pool CA4413   3.00%  10/01/2049   3,354,461 
 33,967,458   Pool CA7235   2.50%  10/01/2050   28,189,891 
 11,077,359   Pool CA7671   2.50%  11/01/2040   9,540,347 
 19,686,275   Pool CA7789   2.50%  11/01/2040   16,942,549 
 15,021,959   Pool CB0189   3.00%  04/01/2051   12,906,489 
 13,721,658   Pool CB1055 (30 day avg SOFR US + 2.21%, 2.21% Floor, 6.86% Cap)   1.86%  07/01/2051   12,144,345 
 2,881,482   Pool CB1648   2.00%  09/01/2051   2,194,733 
 65,718,030   Pool CB3116   3.00%  03/01/2052   56,459,531 
 59,961,278   Pool CB3166   3.00%  03/01/2052   51,304,710 
 12,615,247   Pool CB3332   3.50%  04/01/2052   11,259,408 
 84,849,077   Pool CB4291   5.00%  08/01/2052   82,245,846 
 44,833,687   Pool CB4347   5.00%  08/01/2052   44,024,097 
 50,288,237   Pool CB4391   4.50%  08/01/2052   47,452,053 
 61,831,240   Pool CB5221   5.00%  12/01/2052   59,929,571 
 18,423,482   Pool CB6266   6.00%  05/01/2053   18,647,908 
 36,843,646   Pool CB7272   6.00%  10/01/2053   37,348,973 
 22,834,976   Pool CB7335   5.50%  10/01/2053   22,811,231 
 17,122,815   Pool CB7433   5.50%  11/01/2053   17,116,015 
 29,457,070   Pool CB7781   5.50%  01/01/2054   29,148,853 
 45,396,910   Pool CB7996   6.00%  02/01/2054   46,157,888 
 40,849,398   Pool CB8138   5.50%  03/01/2054   40,713,703 
 37,433,393   Pool CB8501   6.00%  05/01/2054   38,341,101 
 39,707,504   Pool CB8680   5.50%  06/01/2054   39,555,980 
 51,928,544   Pool CB8692   5.50%  06/01/2054   51,939,206 
 71,140,962   Pool CB8845   5.50%  07/01/2054   71,144,452 
 68,550,602   Pool CB8851   6.00%  07/01/2054   69,729,546 
 54,915,615   Pool CB8986   5.50%  08/01/2054   54,825,024 
 52,202,436   Pool CB9138   5.50%  09/01/2054   52,097,239 
 27,161,100   Pool CB9139   5.50%  09/01/2054   27,024,517 
 100,559,166   Pool CB9147   5.50%  09/01/2054   100,564,105 
 49,482,272   Pool CB9321   5.50%  10/01/2054   49,400,645 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 42,134,805   Pool FM1000   3.00%  04/01/2047   36,570,122 
 22,021,640   Pool FM4347   2.50%  09/01/2050   18,219,346 
 39,644,026   Pool FM4752   2.50%  11/01/2050   32,919,230 
 43,122,291   Pool FM4792   2.50%  11/01/2050   35,787,576 
 24,254,503   Pool FM4913   2.50%  11/01/2050   20,141,508 
 31,481,302   Pool FM5150   2.00%  12/01/2050   24,909,361 
 4,703,644   Pool FM6864   1.50%  04/01/2041   3,761,653 
 58,279,790   Pool FM7557   3.50%  03/01/2050   52,575,753 
 25,942,084   Pool FM8158   2.50%  07/01/2051   21,705,250 
 58,859,153   Pool FM8215   2.50%  03/01/2051   48,836,449 
 42,942,497   Pool FM8304   4.00%  07/01/2049   39,826,304 
 56,764,282   Pool FM8435   2.50%  09/01/2051   47,016,685 
 102,691,746   Pool FM8533   2.50%  03/01/2051   85,283,841 
 64,416,180   Pool FM8769   2.50%  09/01/2051   53,323,210 
 34,057,095   Pool FM8780   2.50%  09/01/2051   28,105,031 
 9,654,660   Pool FM9422   2.00%  01/01/2051   7,590,484 
 27,577,815   Pool FM9490   2.00%  11/01/2051   21,900,689 
 35,629,106   Pool FP0043   2.00%  10/01/2050   28,005,719 
 30,246,069   Pool FP0088   2.00%  10/01/2051   23,722,567 
 11,224,029   Pool FP0107   3.50%  06/01/2047   10,231,874 
 32,185,161   Pool FS0009   3.50%  11/01/2051   28,644,198 
 12,674,505   Pool FS0400   3.00%  01/01/2052   10,940,959 
 49,401,965   Pool FS1472   3.50%  11/01/2050   44,354,984 
 80,031,821   Pool FS2320   2.50%  04/01/2051   65,831,420 
 15,694,005   Pool FS2588   4.50%  08/01/2052   14,808,866 
 14,882,433   Pool FS2837   4.00%  09/01/2052   13,644,036 
 14,728,016   Pool FS5618   5.50%  08/01/2053   14,834,092 
 47,216,525   Pool FS5987   2.50%  04/01/2051   39,212,295 
 34,640,308   Pool FS6232   2.00%  03/01/2052   27,432,443 
 16,198,802   Pool FS6422   6.00%  11/01/2053   16,591,561 
 63,482,632   Pool FS6582   6.00%  12/01/2053   64,496,758 
 22,704,661   Pool FS6843   6.00%  01/01/2054   23,087,481 
 46,700,175   Pool FS7114   5.50%  02/01/2054   46,709,752 
 21,348,706   Pool FS7423   5.50%  03/01/2054   21,248,956 
 32,399,472   Pool FS8152   6.00%  06/01/2054   32,782,851 
 48,078,470   Pool FS8366   6.00%  06/01/2054   49,244,276 
 27,388,562   Pool FS8643   6.00%  07/01/2054   27,855,776 
 27,532,651   Pool FS8999   6.00%  08/01/2054   28,042,940 
 14,887,048   Pool FS9026   5.50%  09/01/2053   14,853,407 
 20,683,430   Pool FS9671   5.50%  11/01/2054   20,684,445 
 471,840   Pool MA0264   4.50%  12/01/2029   468,839 
 1,716,927   Pool MA0353   4.50%  03/01/2030   1,705,242 
 348,463   Pool MA0406   4.50%  05/01/2030   346,029 
 34,013   Pool MA0445   5.00%  06/01/2040   32,718 
 66,387   Pool MA0468   5.00%  07/01/2040   63,859 
 543,591   Pool MA0534   4.00%  10/01/2030   533,980 
 125,450   Pool MA0587   4.00%  12/01/2030   123,164 
 3,262,425   Pool MA0616   4.00%  01/01/2031   3,201,186 
 969,123   Pool MA0896   4.00%  11/01/2041   897,611 
 11,091,585   Pool MA0949   3.50%  01/01/2032   10,701,655 
 6,631,458   Pool MA1010   3.50%  03/01/2032   6,395,733 
 1,617,076   Pool MA1039   3.50%  04/01/2042   1,457,576 
 8,935,097   Pool MA1059   3.50%  05/01/2032   8,617,091 
 1,009,871   Pool MA1068   3.50%  05/01/2042   910,652 
 2,881,019   Pool MA1093   3.50%  06/01/2042   2,597,494 
 1,841,753   Pool MA1094   4.00%  06/01/2042   1,705,834 
 12,369,196   Pool MA1107   3.50%  07/01/2032   11,921,376 
 24,874,582   Pool MA1117   3.50%  07/01/2042   22,420,198 
 25,797,249   Pool MA1136   3.50%  08/01/2042   23,252,214 
 8,635,366   Pool MA1138   3.50%  08/01/2032   8,307,298 
 7,669,778   Pool MA1179   3.50%  09/01/2042   6,913,062 
 1,673,754   Pool MA1201   3.50%  10/01/2032   1,611,470 
 12,976,641   Pool MA1209   3.50%  10/01/2042   11,696,225 
 11,194,271   Pool MA1237   3.00%  11/01/2032   10,543,209 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 1,220,086   Pool MA1242   3.50%  11/01/2042   1,099,803 
 6,387,721   Pool MA1338   3.00%  02/01/2033   6,008,202 
 3,482,953   Pool MA1490   3.00%  07/01/2033   3,279,173 
 4,349,108   Pool MA2114   3.50%  12/01/2044   3,910,548 
 3,206,382   Pool MA2151   3.50%  01/01/2045   2,882,113 
 10,616,446   Pool MA2164   3.50%  02/01/2035   10,094,913 
 9,230,372   Pool MA2166   3.50%  02/01/2045   8,299,004 
 9,510,840   Pool MA2248   3.00%  04/01/2045   8,133,113 
 11,963,955   Pool MA2621   3.50%  05/01/2046   10,654,181 
 14,639,909   Pool MA2649   3.00%  06/01/2046   12,518,636 
 13,293,949   Pool MA2650   3.50%  06/01/2046   11,906,166 
 4,429,826   Pool MA2673   3.00%  07/01/2046   3,787,949 
 16,174,095   Pool MA2711   3.00%  08/01/2046   13,830,528 
 1,580,099   Pool MA2743   3.00%  09/01/2046   1,351,137 
 36,471,141   Pool MA2806   3.00%  11/01/2046   31,585,942 
 11,691,208   Pool MA2833   3.00%  12/01/2046   10,147,170 
 14,864,264   Pool MA2895   3.00%  02/01/2047   12,924,054 
 6,569,680   Pool MA3357   4.00%  05/01/2048   6,094,888 
 8,588,271   Pool MA3614   3.50%  03/01/2049   7,710,992 
 1,623,407   Pool MA3894   4.00%  09/01/2031   1,589,239 
 33,200,533   Pool MA4100   2.00%  08/01/2050   26,112,542 
 72,033,483   Pool MA4191   2.00%  11/01/2050   54,687,499 
 86,654,555   Pool MA4306   2.50%  04/01/2051   71,296,414 
 20,814,755   Pool MA5480   5.50%  09/01/2044   20,697,988 
 59,114,335   Pool MA5503   5.50%  10/01/2044   58,952,909 
 213,441   Series 2002-70-QZ   5.50%  11/25/2032   217,128 
 322,530   Series 2002-75-ZG   5.50%  11/25/2032   328,044 
 790,101   Series 2003-29-ZL   5.00%  04/25/2033   792,987 
 383,403   Series 2003-64-ZG   5.50%  07/25/2033   390,272 
 3,219,150   Series 2003-84-PZ   5.00%  09/25/2033   3,230,254 
 262,559   Series 2004-46-PJ (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap)   1.32%(f)(g)  03/25/2034   3,680 
 939,789   Series 2004-51-XP (-1 x 30 day avg SOFR US + 7.59%, 0.00% Floor, 7.70% Cap)   3.02%(f)(g)  07/25/2034   97,299 
 5,522   Series 2005-107-EG   4.50%  01/25/2026   5,497 
 183,855   Series 2005-37-ZK   4.50%  05/25/2035   177,374 
 1,608,560   Series 2005-87-SG (-1 x 30 day avg SOFR US + 6.59%, 0.00% Floor, 6.70% Cap)   2.02%(f)(g)  10/25/2035   127,324 
 1,491,597   Series 2006-101-SA (-1 x 30 day avg SOFR US + 6.47%, 0.00% Floor, 6.58% Cap)   1.90%(f)(g)  10/25/2036   149,419 
 601,392   Series 2006-123-LI (-1 x 30 day avg SOFR US + 6.21%, 0.00% Floor, 6.32% Cap)   1.64%(f)(g)  01/25/2037   58,951 
 237,900   Series 2006-16-HZ   5.50%  03/25/2036   243,546 
 2,212,553   Series 2006-56-SM (-1 x 30 day avg SOFR US + 6.64%, 0.00% Floor, 6.75% Cap)   2.07%(f)(g)  07/25/2036   182,376 
 232,133   Series 2006-93-SN (-1 x 30 day avg SOFR US + 6.49%, 0.00% Floor, 6.60% Cap)   1.92%(f)(g)  10/25/2036   15,847 
 3,038,195   Series 2007-109-VZ   5.00%  10/25/2035   3,049,049 
 364,658   Series 2007-116-BI (-1 x 30 day avg SOFR US + 6.14%, 0.00% Floor, 6.25% Cap)   1.57%(f)(g)  05/25/2037   25,000 
 2,491,860   Series 2007-14-PS (-1 x 30 day avg SOFR US + 6.70%, 0.00% Floor, 6.81% Cap)   2.13%(f)(g)  03/25/2037   252,419 
 1,151,480   Series 2007-30-OI (-1 x 30 day avg SOFR US + 6.33%, 0.00% Floor, 6.44% Cap)   1.76%(f)(g)  04/25/2037   115,186 
 127,678   Series 2007-30-SI (-1 x 30 day avg SOFR US + 6.00%, 0.00% Floor, 6.11% Cap)   1.43%(f)(g)  04/25/2037   8,028 
 1,011,494   Series 2007-32-SG (-1 x 30 day avg SOFR US + 5.99%, 0.00% Floor, 6.10% Cap)   1.42%(f)(g)  04/25/2037   73,501 
 948,381   Series 2007-57-SX (-1 x 30 day avg SOFR US + 6.51%, 0.00% Floor, 6.62% Cap)   1.94%(f)(g)  10/25/2036   88,584 
 1,612,543   Series 2007-60-VZ   6.00%  07/25/2037   1,671,999 
 891,167   Series 2007-71-GZ   6.00%  07/25/2047   915,041 
 1,225,533   Series 2007-75-ID (-1 x 30 day avg SOFR US + 5.76%, 0.00% Floor, 5.87% Cap)   1.19%(f)(g)  08/25/2037   107,463 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 173,889   Series 2007-9-SD (-1 x 30 day avg SOFR US + 6.54%, 0.00% Floor, 6.65% Cap)   1.97%(f)(g)  03/25/2037   10,338 
 1,241,923   Series 2008-29-ZA   4.50%  04/25/2038   1,219,402 
 2,461,221   Series 2008-48-BE   5.00%  06/25/2034   2,470,222 
 246,875   Series 2008-48-SD (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap)   1.32%(f)(g)  06/25/2037   16,513 
 312,262   Series 2008-5-MS (-1 x 30 day avg SOFR US + 6.14%, 0.00% Floor, 6.25% Cap)   1.57%(f)(g)  02/25/2038   19,770 
 101,183   Series 2008-53-LI (-1 x 30 day avg SOFR US + 6.04%, 0.00% Floor, 6.15% Cap)   1.47%(f)(g)  07/25/2038   7,153 
 244,688   Series 2008-57-SE (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap)   1.32%(f)(g)  02/25/2037   15,532 
 280,455   Series 2008-61-SC (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap)   1.32%(f)(g)  07/25/2038   17,124 
 184,040   Series 2008-62-SC (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap)   1.32%(f)(g)  07/25/2038   10,455 
 663,032   Series 2008-65-SA (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap)   1.32%(f)(g)  08/25/2038   53,226 
 146,977   Series 2008-81-LP   5.50%  09/25/2038   146,948 
 1,509,071   Series 2009-106-EZ   4.50%  01/25/2040   1,475,243 
 223,990   Series 2009-111-SE (-1 x 30 day avg SOFR US + 6.14%, 0.00% Floor, 6.25% Cap)   1.57%(f)(g)  01/25/2040   21,536 
 121,978   Series 2009-16-MZ   5.00%  03/25/2029   121,046 
 635,738   Series 2009-42-SI (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap)   1.32%(f)(g)  06/25/2039   39,666 
 516,401   Series 2009-42-SX (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap)   1.32%(f)(g)  06/25/2039   38,820 
 224,842   Series 2009-47-SA (-1 x 30 day avg SOFR US + 5.99%, 0.00% Floor, 6.10% Cap)   1.42%(f)(g)  07/25/2039   12,073 
 162,892   Series 2009-48-WS (-1 x 30 day avg SOFR US + 5.84%, 0.00% Floor, 5.95% Cap)   1.27%(f)(g)  07/25/2039   12,288 
 1,714,844   Series 2009-49-S (-1 x 30 day avg SOFR US + 6.64%, 0.00% Floor, 6.75% Cap)   2.07%(f)(g)  07/25/2039   149,761 
 203,358   Series 2009-51-BZ   4.50%  07/25/2039   196,993 
 475,356   Series 2009-54-EZ   5.00%  07/25/2039   477,109 
 205,878   Series 2009-70-SA (-1 x 30 day avg SOFR US + 5.69%, 0.00% Floor, 5.80% Cap)   1.12%(f)(g)  09/25/2039   17,280 
 1,121,942   Series 2009-80-PM   4.50%  10/25/2039   1,075,729 
 1,043,101   Series 2009-83-Z   4.50%  10/25/2039   1,007,691 
 3,906,518   Series 2009-85-ES (-1 x 30 day avg SOFR US + 7.12%, 0.00% Floor, 7.23% Cap)   2.55%(f)(g)  01/25/2036   343,031 
 6,780,880   Series 2009-85-JS (-1 x 30 day avg SOFR US + 6.64%, 0.00% Floor, 6.75% Cap)   2.07%(f)(g)  10/25/2039   754,144 
 384,403   Series 2009-90-IB (-1 x 30 day avg SOFR US + 5.61%, 0.00% Floor, 5.72% Cap)   1.04%(f)(g)  04/25/2037   20,876 
 156,650   Series 2009-94-BC   5.00%  11/25/2039   157,440 
 1,709,203   Series 2010-10-SA (-1 x 30 day avg SOFR US + 6.24%, 0.00% Floor, 6.35% Cap)   1.67%(f)(g)  02/25/2040   149,420 
 563,790   Series 2010-10-ZA   4.50%  02/25/2040   544,358 
 4,982,900   Series 2010-101-SA (-1 x 30 day avg SOFR US + 4.37%, 0.00% Floor, 4.48% Cap)   0.00%(f)(g)  09/25/2040   119,628 
 2,647,997   Series 2010-101-ZC   4.50%  09/25/2040   2,550,880 
 690,195   Series 2010-111-S (-1 x 30 day avg SOFR US + 5.84%, 0.00% Floor, 5.95% Cap)   1.27%(f)(g)  10/25/2050   56,817 
 926,970   Series 2010-116-Z   4.00%  10/25/2040   870,521 
 214,744   Series 2010-117-SA (-1 x 30 day avg SOFR US + 4.39%, 0.00% Floor, 4.50% Cap)   0.00%(f)(g)  10/25/2040   5,553 
 682,213   Series 2010-120-KD   4.00%  10/25/2040   640,642 
 5,680,670   Series 2010-121-SD (-1 x 30 day avg SOFR US + 4.39%, 0.00% Floor, 4.50% Cap)   0.00%(f)(g)  10/25/2040   130,808 
 242,685   Series 2010-126-SU (-11 x 30 day avg SOFR US + 53.74%, 0.00% Floor, 55.00% Cap)   2.23%(g)  11/25/2040   245,476 
 178,693   Series 2010-126-SX (-3 x 30 day avg SOFR US + 14.66%, 0.00% Floor, 15.00% Cap)   0.61%(g)  11/25/2040   142,301 
 963,809   Series 2010-128-HZ   4.00%  11/25/2040   904,222 
 534,186   Series 2010-132-Z   4.50%  11/25/2040   513,814 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 80,287   Series 2010-137-VS (-3 x 30 day avg SOFR US + 14.66%, 0.00% Floor, 15.00% Cap)   0.61%(g)  12/25/2040   74,309 
 3,959,543   Series 2010-142-AZ   4.00%  12/25/2040   3,730,858 
 198,989   Series 2010-148-SA (-1 x 30 day avg SOFR US + 6.54%, 0.00% Floor, 6.65% Cap)   1.97%(f)(g)  01/25/2026   1,006 
 2,820,030   Series 2010-16-SA (-1 x 30 day avg SOFR US + 5.34%, 0.00% Floor, 5.45% Cap)   0.77%(f)(g)  03/25/2040   207,659 
 734,925   Series 2010-2-MS (-1 x 30 day avg SOFR US + 6.14%, 0.00% Floor, 6.25% Cap)   1.57%(f)(g)  02/25/2050   79,110 
 1,050,469   Series 2010-21-DZ   5.00%  03/25/2040   1,055,776 
 489,193   Series 2010-21-KS (-1 x 30 day avg SOFR US + 4.84%, 0.00% Floor, 4.95% Cap)   0.27%(f)(g)  03/25/2040   13,451 
 561,305   Series 2010-31-SA (-1 x 30 day avg SOFR US + 4.89%, 0.00% Floor, 5.00% Cap)   0.32%(f)(g)  04/25/2040   21,407 
 619,974   Series 2010-34-PS (-1 x 30 day avg SOFR US + 4.82%, 0.00% Floor, 4.93% Cap)   0.25%(f)(g)  04/25/2040   19,143 
 159,510   Series 2010-35-ES (-1 x 30 day avg SOFR US + 6.34%, 0.00% Floor, 6.45% Cap)   1.77%(f)(g)  04/25/2040   5,197 
 70,028   Series 2010-35-SV (-1 x 30 day avg SOFR US + 6.34%, 0.00% Floor, 6.45% Cap)   1.77%(f)(g)  04/25/2040   1,423 
 659,487   Series 2010-4-SK (-1 x 30 day avg SOFR US + 6.12%, 0.00% Floor, 6.23% Cap)   1.55%(f)(g)  02/25/2040   47,170 
 507,799   Series 2010-46-MS (-1 x 30 day avg SOFR US + 4.84%, 0.00% Floor, 4.95% Cap)   0.27%(f)(g)  05/25/2040   19,619 
 3,333,933   Series 2010-49-ZW   4.50%  05/25/2040   3,259,393 
 279,382   Series 2010-58-ES (-3 x 30 day avg SOFR US + 12.18%, 0.00% Floor, 12.47% Cap)   0.43%(g)  06/25/2040   254,199 
 1,939,520   Series 2010-59-MS (-1 x 30 day avg SOFR US + 5.66%, 0.00% Floor, 5.77% Cap)   1.09%(f)(g)  06/25/2040   144,155 
 2,426,342   Series 2010-59-SC (-1 x 30 day avg SOFR US + 4.89%, 0.00% Floor, 5.00% Cap)   0.32%(f)(g)  01/25/2040   76,453 
 166,863   Series 2010-60-VZ   5.00%  10/25/2039   164,107 
 168,953   Series 2010-61-EL   4.50%  06/25/2040   161,978 
 2,358,564   Series 2010-64-EZ   5.00%  06/25/2040   2,370,459 
 1,596,791   Series 2010-79-CZ   4.00%  07/25/2040   1,508,310 
 838,612   Series 2010-84-ZC   4.50%  08/25/2040   809,202 
 1,677,221   Series 2010-84-ZD   4.50%  08/25/2040   1,618,401 
 2,178,241   Series 2010-84-ZG   4.50%  08/25/2040   2,100,913 
 355,850   Series 2010-9-DS (-1 x 30 day avg SOFR US + 5.19%, 0.50% Floor, 5.30% Cap)   0.62%(f)(g)  02/25/2040   16,434 
 160,356   Series 2010-90-SA (-1 x 30 day avg SOFR US + 5.74%, 0.00% Floor, 5.85% Cap)   1.17%(f)(g)  08/25/2040   11,057 
 659,308   Series 2010-94-Z   4.50%  08/25/2040   636,530 
 3,038,609   Series 2010-99-SG (-5 x 30 day avg SOFR US + 24.43%, 0.00% Floor, 25.00% Cap)   1.02%(g)  09/25/2040   3,096,075 
 520,021   Series 2011-110-LS (-2 x 30 day avg SOFR US + 9.87%, 0.00% Floor, 10.10% Cap)   0.51%(g)  11/25/2041   379,239 
 1,434,030   Series 2011-111-CZ   4.00%  11/25/2041   1,343,933 
 3,354,523   Series 2011-111-EZ   5.00%  11/25/2041   3,367,259 
 817,776   Series 2011-111-VZ   4.00%  11/25/2041   765,840 
 172,943   Series 2011-17-SA (-1 x 30 day avg SOFR US + 6.36%, 0.00% Floor, 6.47% Cap)   1.79%(f)(g)  03/25/2041   12,026 
 2,751,907   Series 2011-2-GZ   4.00%  02/25/2041   2,601,922 
 441,538   Series 2011-25-KY   3.00%  04/25/2026   437,024 
 1,178,467   Series 2011-27-BS (-2 x 30 day avg SOFR US + 8.77%, 0.00% Floor, 9.00% Cap)   0.00%(g)  04/25/2041   963,620 
 1,135,270   Series 2011-36-VZ   4.50%  05/25/2041   1,093,066 
 2,968,787   Series 2011-37-Z   4.50%  05/25/2041   2,867,435 
 4,158,159   Series 2011-38-BZ   4.00%  05/25/2041   4,017,073 
 415,863   Series 2011-39-CB   3.00%  05/25/2026   411,449 
 3,293,665   Series 2011-39-ZD   4.00%  02/25/2041   3,097,564 
 1,056,376   Series 2011-40-LZ   4.50%  05/25/2041   1,017,155 
 1,250,885   Series 2011-42-MZ   4.50%  05/25/2041   1,203,576 
 2,618,795   Series 2011-45-ZB   4.50%  05/25/2041   2,521,464 
 8,441,269   Series 2011-51-FJ (30 day avg SOFR US + 0.56%, 0.45% Floor, 7.00% Cap)   5.13%  06/25/2041   8,334,736 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 583,947   Series 2011-59-MA   4.50%  07/25/2041   570,970 
 701,984   Series 2011-60-EL   3.00%  07/25/2026   695,015 
 5,192,930   Series 2011-64-DB   4.00%  07/25/2041   4,998,515 
 3,496,365   Series 2011-77-Z   3.50%  08/25/2041   3,216,650 
 1,721,743   Series 2012-111-LB   3.50%  05/25/2041   1,617,407 
 13,596,165   Series 2012-111-MJ   4.00%  04/25/2042   12,590,602 
 13,706,847   Series 2012-122-DB   3.00%  11/25/2042   12,251,174 
 3,523,578   Series 2012-14-BZ   4.00%  03/25/2042   3,332,105 
 8,155,831   Series 2012-20-ZT   3.50%  03/25/2042   7,532,411 
 6,659,716   Series 2012-70-FY (30 day avg SOFR US + 0.56%, 0.45% Floor, 7.00% Cap)   5.13%  07/25/2042   6,567,899 
 67,377   Series 2012-80-EA   2.00%  04/25/2042   66,393 
 16,156,792   Series 2012-86-ZC   3.50%  08/25/2042   14,845,862 
 12,370,049   Series 2012-99-QE   3.00%  09/25/2042   11,005,753 
 18,460,804   Series 2013-130-ZE   3.00%  01/25/2044   16,091,415 
 25,824,188   Series 2013-133-ZT   3.00%  01/25/2039   23,821,365 
 5,692,246   Series 2013-51-HS (-1 x 30 day avg SOFR US + 5.26%, 0.00% Floor, 5.40% Cap)   0.00%(g)  04/25/2043   3,734,933 
 994,109   Series 2013-58-SC (-2 x 30 day avg SOFR US + 5.83%, 0.00% Floor, 6.00% Cap)   0.00%(g)  06/25/2043   492,835 
 1,845,814   Series 2013-81-ZQ   3.00%(h)  08/25/2043   1,224,365 
 5,317,784   Series 2013-82-SH (-1 x 30 day avg SOFR US + 5.94%, 0.00% Floor, 6.05% Cap)   1.37%(f)(g)  12/25/2042   332,334 
 12,166,693   Series 2014-21-GZ   3.00%  04/25/2044   10,664,075 
 113,386   Series 2014-46-NZ   3.00%(h)  06/25/2043   76,110 
 40,307,117   Series 2014-64-NZ   3.00%  10/25/2044   35,058,042 
 14,452,327   Series 2014-67-DZ   3.00%(h)  10/25/2044   12,739,265 
 26,081,389   Series 2014-77-VZ   3.00%(h)  11/25/2044   22,798,910 
 33,495,350   Series 2014-84-KZ   3.00%(h)  12/25/2044   29,187,888 
 3,633,027   Series 2015-11-A   3.00%  05/25/2034   3,547,736 
 17,424,341   Series 2015-49-A   3.00%  03/25/2044   16,334,509 
 10,607,516   Series 2015-52-GZ   3.00%  07/25/2045   9,323,472 
 32,981,972   Series 2015-88-BA   3.00%  04/25/2044   31,207,367 
 2,508,276   Series 2015-94-MA   3.00%  01/25/2046   2,186,271 
 7,508,803   Series 2016-2-JA   2.50%  02/25/2046   7,154,020 
 157,272   Series 2016-74-PA   3.00%  12/25/2044   156,575 
 1,166,594   Series 2016-79-EP   3.00%  01/25/2044   1,149,241 
 7,907,555   Series 2016-95-AG   2.50%  06/25/2037   7,315,924 
 11,661,523   Series 2017-57-BC   3.00%  08/25/2057   9,938,396 
 8,875,856   Series 2018-21-IO   3.00%(f)  04/25/2048   1,333,354 
 14,659,933   Series 2018-21-PO   0.00%(k)  04/25/2048   10,984,636 
 37,120,675   Series 2018-27-AO   0.00%(k)  05/25/2048   27,538,344 
 8,618,285   Series 2018-65-DA   3.00%  09/25/2048   7,435,959 
 25,853,982   Series 2018-7-CD   3.00%  02/25/2048   22,698,935 
 19,554,284   Series 2018-85-PO   0.00%(k)  12/25/2048   14,496,633 
 13,451,887   Series 2019-69-DS (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap)   1.32%(f)(g)  12/25/2049   1,296,045 
 39,111,079   Series 2019-78-ZB   3.00%  01/25/2050   33,171,917 
 205,249,491   Series 2019-M16-X   1.18%(b)(f)  07/25/2031   9,126,090 
 473,978,629   Series 2019-M18-X   0.72%(b)(f)  08/25/2029   10,740,214 
 204,090,147   Series 2019-M24-2XA   1.15%(b)(f)  03/25/2031   10,047,440 
 262,037,585   Series 2019-M24-XA   1.25%(b)(f)  03/25/2029   10,339,086 
 153,533,677   Series 2019-M7-X   0.33%(b)(f)  04/25/2029   1,806,661 
 30,097,933   Series 2020-47-GL   2.00%  05/25/2046   26,065,481 
 8,379,367   Series 2020-53-CG   2.00%  08/25/2050   6,879,250 
 46,096,808   Series 2020-54-AB   1.00%  08/25/2050   34,713,865 
 10,227,038   Series 2020-54-AS (-1 x 30 day avg SOFR US + 6.04%, 0.00% Floor, 6.15% Cap)   1.47%(f)(g)  08/25/2050   1,133,887 
 12,019,403   Series 2020-59-QZ   3.00%  08/25/2040   10,665,226 
 17,609,293   Series 2020-61-AI   3.00%(f)  09/25/2050   2,500,909 
 8,149,180   Series 2020-61-DC   1.50%  09/25/2060   5,919,058 
 30,886,105   Series 2020-61-DI   3.00%(f)  09/25/2060   4,890,870 
 67,230,982   Series 2020-62-JD   1.25%  09/25/2050   49,094,678 
 21,951,742   Series 2020-96-BI   3.00%(f)  01/25/2051   3,863,500 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 21,159,103   Series 2020-97-EI   2.00%(f)  01/25/2051   2,679,654 
 24,577,197   Series 2020-99-IQ   3.00%(f)  01/25/2051   4,336,317 
 346,784,475   Series 2020-M10-X2   1.72%(b)(f)  12/25/2030   21,201,675 
 174,839,702   Series 2020-M10-X8   0.72%(b)(f)  12/25/2027   2,205,271 
 74,710,319   Series 2020-M13-X2   1.23%(b)(f)  09/25/2030   3,023,273 
 477,290,233   Series 2020-M15-X1   1.45%(b)(f)  09/25/2031   29,659,770 
 17,700,709   Series 2020-M17-X1   1.36%(b)(f)  01/25/2028   414,506 
 110,221,574   Series 2020-M27-X1   0.85%(b)(f)  03/25/2031   3,362,750 
 158,901,386   Series 2020-M54-X   1.50%(b)(f)  12/25/2033   9,580,387 
 52,741,443   Series 2020-M7-X2   1.24%(b)(f)  03/25/2031   2,626,112 
 10,571,204   Series 2021-1-PA   1.00%  11/25/2050   7,757,204 
 15,618,950   Series 2021-13-AK   2.00%  01/25/2049   13,342,935 
 12,089,298   Series 2021-21-DK   2.00%  07/25/2043   10,283,486 
 5,638,968   Series 2021-28-KF (30 day avg SOFR US + 0.75%, 0.75% Floor, 4.00% Cap)   4.00%  05/25/2051   4,292,897 
 21,718,321   Series 2021-28-LB   2.00%  04/25/2051   17,443,806 
 39,204,457   Series 2021-3-KI   2.50%(f)  02/25/2051   5,691,730 
 23,388,821   Series 2021-40-BA   3.00%  01/25/2051   19,975,794 
 35,107,957   Series 2021-43-EI   3.00%(f)  07/25/2051   5,707,515 
 69,180,995   Series 2021-43-LI   3.00%(f)  07/25/2051   11,881,490 
 22,555,106   Series 2021-52-JI   2.50%(f)  07/25/2051   2,760,553 
 27,558,697   Series 2021-56-NI   2.50%(f)  09/25/2051   2,736,358 
 26,710,112   Series 2021-58-SA (-1 x 30 day avg SOFR US + 2.65%, 0.00% Floor, 2.65% Cap)   0.00%(f)(g)  09/25/2051   108,058 
 18,135,008   Series 2021-63-G   2.00%  06/25/2049   14,586,351 
 81,887,268   Series 2021-70-S (-1 x 30 day avg SOFR US + 3.75%, 0.00% Floor, 3.75% Cap)   0.00%(f)(g)  10/25/2049   1,209,016 
 20,397,698   Series 2021-73-JA   2.50%  05/25/2049   17,676,751 
 17,981,173   Series 2021-85-C   2.50%  03/25/2049   15,598,905 
 21,577,408   Series 2021-85-CJ   2.50%  03/25/2049   18,718,686 
 21,577,408   Series 2021-85-CK   2.50%  03/25/2049   18,718,686 
 25,220,016   Series 2021-85-DI   3.00%(f)  12/25/2051   4,285,378 
 47,592,044   Series 2021-86-MA   2.50%  11/25/2047   42,022,019 
 23,402,571   Series 2021-88-LB   2.50%  03/25/2050   19,835,355 
 30,133,245   Series 2021-9-CA   2.00%  03/25/2051   24,209,947 
 22,821,018   Series 2021-92-M   2.50%  01/25/2049   19,806,766 
 11,127,909   Series 2021-M12-2A1   2.13%(b)  05/25/2033   9,826,787 
 933,520,482   Series 2021-M14-X   0.98%(b)(f)  10/25/2031   25,588,543 
 173,854,671   Series 2021-M3-X2   0.91%(b)(f)  08/25/2033   4,966,037 
 20,733,540   Series 2021-M5-A1   1.46%(b)  01/25/2033   18,778,058 
 133,104,091   Series 2022-3-AB   2.00%  11/25/2047   114,538,865 
 2,379,160   Series 2022-3-EV   2.00%  08/25/2033   2,107,732 
 86,721,254   Series 2022-3-EZ   2.00%(h)  01/25/2052   49,712,187 
 58,911,324   Series 2022-3-NZ   2.00%(h)  02/25/2052   32,667,042 
 14,051,295   Series 2022-4-LG   3.00%  02/25/2052   12,509,952 
 28,488,301   Series 2022-6-M   2.50%  06/25/2050   24,574,618 
 711,291,569   Series 2022-M2-X   0.39%(b)(f)  01/25/2032   14,520,946 
 14,502,614   Series 2022-M4-A1X   2.46%(b)  05/25/2030   13,284,184 
 109,422,593   Series 2023-2-IO   3.00%(f)  12/25/2051   17,159,793 
 17,851,092   Series 2023-29-DO   0.00%(k)  11/25/2050   11,855,824 
 13,281,241   Series 2023-30-MO   0.00%(k)  10/25/2050   8,850,481 
 88,730,882   Series 2023-39-IO   3.00%(f)  10/25/2052   15,024,969 
 69,850,862   Series 2023-51-BI   3.50%(f)  04/25/2053   13,494,516 
 5,726,723   Series 2023-M1S-A1X   4.50%(b)  07/25/2033   5,658,169 
 26,105,857   Series 2024-64-FJ (30 day avg SOFR US + 1.25%, 1.25% Floor, 6.50% Cap)   5.82%  09/25/2054   26,131,942 
 52,180,901   Series 2024-81-FE (30 day avg SOFR US + 1.15%, 1.15% Floor, 6.50% Cap)   5.72%  07/25/2054   51,932,301 
 69,488,363   Series 2024-82-FY (30 day avg SOFR US + 1.30%, 1.30% Floor, 6.50% Cap)   5.87%  11/25/2054   69,703,736 
 58,668,258   Series 2024-9-BI   3.00%(f)  03/25/2051   10,091,768 
 76,168,627   Series 2024-90-FA (30 day avg SOFR US + 1.50%, 1.50% Floor, 6.50% Cap)   6.07%  12/25/2054   76,684,609 
 19,432,249   Series 2024-93-FL (30 day avg SOFR US + 1.45%, 1.45% Floor, 6.50% Cap)   6.02%  12/25/2054   19,618,902 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 2,463,967   Series 400-S4 (-1 x 30 day avg SOFR US + 5.34%, 0.00% Floor, 5.45% Cap)   0.77%(f)(g)  11/25/2039   184,133 
 24,647,481   Series 412-A3   3.00%  08/25/2042   21,481,542 
 53,115,305   Series 427-C69   3.00%(f)  03/25/2047   8,216,115 
 31,006,295   Series 428-C17   3.00%(f)  04/25/2050   4,677,113 
 27,416,695   Series 432-C11   3.00%(f)  08/25/2052   4,631,407 
     Freddie Mac Seasoned Credit Risk Transfer Trust             
 16,303,565   Series 2018-3-HA   3.00%  08/25/2057   15,125,197 
 15,091,317   Series 2020-2-MT   2.00%  11/25/2059   11,780,540 
 35,000,000   Series 2022-2-MB   3.00%  04/25/2062   23,139,480 
     Freddie Mac Whole Loan Securities Trust             
 7,653,017   Series 2015-SC02-1A   3.00%  09/25/2045   6,692,855 
 4,380,923   Series 2016-SC01-1A   3.00%  07/25/2046   3,795,013 
     Ginnie Mae II Pool             
 24,481,051   Pool 785310   2.50%  02/20/2051   20,346,061 
 38,886,508   Pool 785346   2.00%  03/20/2051   30,250,735 
 11,433,256   Pool 785350   2.00%  01/20/2051   8,876,350 
 22,561,812   Pool 785374   2.50%  03/20/2051   18,815,453 
 80,880,256   Pool 785401   2.50%  10/20/2050   66,381,190 
 113,016,114   Pool 785412   2.50%  03/20/2051   93,925,857 
 25,462,830   Pool 785595   2.50%  03/20/2051   21,226,512 
 48,814,065   Pool 785609   2.50%  08/20/2051   40,634,881 
 12,494,301   Pool 785638   2.50%  08/20/2051   10,383,830 
 28,615,374   Pool 785639   2.50%  08/20/2051   23,781,811 
 11,817,366   Pool 785680   2.50%  10/20/2051   9,821,169 
 50,167,801   Pool 785717   3.00%  11/20/2051   43,276,462 
 9,035,021   Pool CB2017   2.50%  03/20/2051   7,524,411 
 8,681,657   Pool CB4182   2.50%  03/20/2051   7,230,003 
 1,825,758   Pool CB5487   2.50%  03/20/2051   1,490,248 
 7,322,856   Pool CB9135   2.50%  04/20/2051   6,152,692 
 7,375,009   Pool CH0426   2.50%  02/20/2052   6,020,639 
 6,018,058   Pool CI0294   2.50%  01/20/2052   4,853,437 
 25,833,194   Pool CI6428   2.50%  01/20/2052   21,089,258 
 516,635   Pool MA2511   3.50%  01/20/2045   458,903 
 15,516,083   Pool MA5076   3.00%  03/20/2048   13,620,027 
 9,686,030   Pool MA7255   2.50%  03/20/2051   8,099,373 
     Government National Mortgage Association             
 21,812,855   Pool 786510   3.00%  02/20/2052   18,616,844 
 3,540,870   Series 2003-67-SP (-1 x 1 mo. Term SOFR + 6.99%, 0.00% Floor, 7.10% Cap)   2.62%(f)(g)  08/20/2033   5,106 
 1,496,147   Series 2003-86-ZK   5.00%  10/20/2033   1,488,717 
 929,197   Series 2004-49-Z   6.00%  06/20/2034   942,355 
 1,693,481   Series 2004-83-CS (-1 x 1 mo. Term SOFR + 5.97%, 0.00% Floor, 6.08% Cap)   1.60%(f)(g)  10/20/2034   87,141 
 441,424   Series 2005-21-ZPool 2005-2   5.00%  03/20/2035   440,480 
 323,591   Series 2006-24-CX (-7 x 1 mo. Term SOFR + 39.13%, 0.00% Floor, 39.97% Cap)   7.08%(g)  05/20/2036   378,989 
 1,569,111   Series 2007-26-SJ (-1 x 1 mo. Term SOFR + 4.58%, 0.00% Floor, 4.69% Cap)   0.21%(f)(g)  04/20/2037   12,397 
 1,786,808   Series 2008-2-SM (-1 x 1 mo. Term SOFR + 6.39%, 0.00% Floor, 6.50% Cap)   1.99%(f)(g)  01/16/2038   121,611 
 3,154,172   Series 2008-42-AI (-1 x 1 mo. Term SOFR + 7.58%, 0.00% Floor, 7.69% Cap)   3.18%(f)(g)  05/16/2038   371,045 
 1,176,230   Series 2008-43-SH (-1 x 1 mo. Term SOFR + 6.22%, 0.00% Floor, 6.34% Cap)   1.85%(f)(g)  05/20/2038   34,766 
 1,381,479   Series 2008-51-SC (-1 x 1 mo. Term SOFR + 6.14%, 0.00% Floor, 6.25% Cap)   1.77%(f)(g)  06/20/2038   87,305 
 1,135,951   Series 2008-51-SE (-1 x 1 mo. Term SOFR + 6.14%, 0.00% Floor, 6.25% Cap)   1.74%(f)(g)  06/16/2038   78,423 
 374,795   Series 2008-82-SM (-1 x 1 mo. Term SOFR + 5.94%, 0.00% Floor, 6.05% Cap)   1.57%(f)(g)  09/20/2038   10,066 
 570,453   Series 2008-83-SD (-1 x 1 mo. Term SOFR + 6.45%, 0.00% Floor, 6.56% Cap)   2.05%(f)(g)  11/16/2036   18,838 
 2,319,244   Series 2009-10-NS (-1 x 1 mo. Term SOFR + 6.54%, 0.00% Floor, 6.65% Cap)   2.14%(f)(g)  02/16/2039   196,382 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 2,750,627   Series 2009-106-VZ   4.50%  11/20/2039   2,667,136 
 421,230   Series 2009-24-SN (-1 x 1 mo. Term SOFR + 5.99%, 0.00% Floor, 6.10% Cap)   1.62%(f)(g)  09/20/2038   13,124 
 1,600,213   Series 2009-32-ZE   4.50%  05/16/2039   1,568,788 
 9,824   Series 2009-41-ZQ   4.50%(h)  06/16/2039   9,754 
 1,235,659   Series 2009-48-Z   5.00%  06/16/2039   1,234,781 
 53,549   Series 2009-50-KP   4.50%  06/20/2039   53,420 
 549,566   Series 2009-69-TS (-1 x 1 mo. Term SOFR + 6.09%, 0.00% Floor, 6.20% Cap)   1.69%(f)(g)  04/16/2039   21,390 
 1,251,143   Series 2009-75-GZ   4.50%  09/20/2039   1,232,764 
 2,558,749   Series 2010-1-SA (-1 x 1 mo. Term SOFR + 5.64%, 0.00% Floor, 5.75% Cap)   1.24%(f)(g)  01/16/2040   169,926 
 4,362,700   Series 2010-106-PS (-1 x 1 mo. Term SOFR + 5.94%, 0.00% Floor, 6.05% Cap)   1.57%(f)(g)  03/20/2040   119,486 
 2,350,575   Series 2010-25-ZB   4.50%  02/16/2040   2,306,676 
 18,715,683   Series 2010-26-QS (-1 x 1 mo. Term SOFR + 6.14%, 0.00% Floor, 6.25% Cap)   1.77%(f)(g)  02/20/2040   1,752,121 
 1,578,157   Series 2010-42-AY   5.00%  11/20/2039   1,584,609 
 3,738,875   Series 2010-42-ES (-1 x 1 mo. Term SOFR + 5.57%, 0.00% Floor, 5.68% Cap)   1.20%(f)(g)  04/20/2040   281,504 
 407,900   Series 2010-61-AS (-1 x 1 mo. Term SOFR + 6.44%, 0.00% Floor, 6.55% Cap)   2.07%(f)(g)  09/20/2039   22,986 
 4,864,190   Series 2010-62-SB (-1 x 1 mo. Term SOFR + 5.64%, 0.00% Floor, 5.75% Cap)   1.27%(f)(g)  05/20/2040   360,551 
 2,397,847   Series 2011-18-SN (-2 x 1 mo. Term SOFR + 9.27%, 0.00% Floor, 9.50% Cap)   0.53%(g)  12/20/2040   2,004,251 
 2,401,701   Series 2011-18-YS (-2 x 1 mo. Term SOFR + 9.27%, 0.00% Floor, 9.50% Cap)   0.53%(g)  12/20/2040   1,990,401 
 711,748   Series 2011-69-OC   0.00%(k)  05/20/2041   549,554 
 6,857,973   Series 2011-69-SB (-1 x 1 mo. Term SOFR + 5.24%, 0.00% Floor, 5.35% Cap)   0.87%(f)(g)  05/20/2041   395,619 
 10,939,937   Series 2011-70-PO   0.00%(k)  05/16/2041   8,243,327 
 2,588,977   Series 2011-72-AS (-1 x 1 mo. Term SOFR + 5.27%, 0.00% Floor, 5.38% Cap)   0.90%(f)(g)  05/20/2041   169,462 
 1,953,652   Series 2011-72-SK (-1 x 1 mo. Term SOFR + 6.04%, 0.00% Floor, 6.15% Cap)   1.67%(f)(g)  05/20/2041   151,725 
 6,838,510   Series 2013-116-LS (-1 x 1 mo. Term SOFR + 6.04%, 0.00% Floor, 6.15% Cap)   1.67%(f)(g)  08/20/2043   689,439 
 9,405,337   Series 2013-136-CS (-1 x 1 mo. Term SOFR + 6.09%, 0.00% Floor, 6.20% Cap)   1.69%(f)(g)  09/16/2043   793,890 
 16,190,996   Series 2013-182-WZ   2.50%  12/20/2043   14,136,825 
 3,182,808   Series 2013-186-SG (-1 x 1 mo. Term SOFR + 6.14%, 0.00% Floor, 6.25% Cap)   1.74%(f)(g)  02/16/2043   167,786 
 4,689,175   Series 2013-26-MS (-1 x 1 mo. Term SOFR + 6.14%, 0.00% Floor, 6.25% Cap)   1.77%(f)(g)  02/20/2043   474,853 
 1,883,062   Series 2013-34-PL   3.00%  03/20/2042   1,857,554 
 8,108,269   Series 2014-163-PS (-1 x 1 mo. Term SOFR + 5.49%, 0.00% Floor, 5.60% Cap)   1.12%(f)(g)  11/20/2044   640,963 
 8,717,266   Series 2014-167-SA (-1 x 1 mo. Term SOFR + 5.49%, 0.00% Floor, 5.60% Cap)   1.12%(f)(g)  11/20/2044   675,314 
 14,850,169   Series 2014-21-SE (-1 x 1 mo. Term SOFR + 5.44%, 0.00% Floor, 5.55% Cap)   1.07%(f)(g)  02/20/2044   1,193,812 
 8,819,312   Series 2014-39-SK (-1 x 1 mo. Term SOFR + 6.09%, 0.00% Floor, 6.20% Cap)   1.72%(f)(g)  03/20/2044   935,815 
 9,894,116   Series 2014-59-DS (-1 x 1 mo. Term SOFR + 6.14%, 0.00% Floor, 6.25% Cap)   1.74%(f)(g)  04/16/2044   876,076 
 9,249,595   Series 2016-108-SM (-1 x 1 mo. Term SOFR + 5.99%, 0.00% Floor, 6.10% Cap)   1.62%(f)(g)  08/20/2046   1,111,859 
 12,411,149   Series 2018-40-AZ   3.00%(h)  10/20/2047   10,016,931 
 22,502,679   Series 2019-122-IO   1.00%(b)(f)  07/16/2061   1,443,423 
 185,072,748   Series 2019-147-IO   0.40%(b)(f)  06/16/2061   6,025,173 
 9,679,032   Series 2019-153-GF (1 mo. Term SOFR + 0.56%, 0.45% Floor, 6.50% Cap)   4.93%  12/20/2049   9,492,551 
 17,531,534   Series 2020-104-AI   3.00%(f)  07/20/2050   2,788,133 
 11,064,873   Series 2020-104-EI   3.00%(f)  07/20/2050   1,751,005 
 9,686,069   Series 2020-112-LS (-1 x 30 day avg SOFR US + 6.20%, 0.00% Floor, 6.20% Cap)   1.60%(f)(g)  08/20/2050   1,140,230 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 38,720,922   Series 2020-115-IG   2.50%(f)  08/20/2050   5,291,435 
 18,518,591   Series 2020-138-IC   3.50%(f)  08/20/2050   3,349,876 
 135,962,838   Series 2020-140-ES (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap)   1.82%(f)(g)  09/20/2050   17,022,275 
 34,802,462   Series 2020-140-SG (-1 x 1 mo. Term SOFR + 6.24%, 0.00% Floor, 6.35% Cap)   1.87%(f)(g)  09/20/2050   4,437,798 
 44,118,089   Series 2020-146-CI   2.50%(f)  10/20/2050   6,538,592 
 24,436,098   Series 2020-146-KI   2.50%(f)  10/20/2050   3,413,931 
 53,086,628   Series 2020-148-AI   2.50%(f)  10/20/2050   7,643,556 
 154,669,757   Series 2020-151-MI   2.50%(f)  10/20/2050   23,388,991 
 63,446,582   Series 2020-152-IO   0.58%(b)(f)  12/16/2062   2,793,014 
 94,284,386   Series 2020-153-EI   2.50%(f)  10/20/2050   13,410,059 
 40,531,570   Series 2020-160-IA   2.50%(f)  10/20/2050   5,672,397 
 10,358,985   Series 2020-160-IM   2.50%(f)  10/20/2050   1,530,030 
 33,440,763   Series 2020-162-QS (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap)   1.82%(f)(g)  10/20/2050   4,302,234 
 47,777,897   Series 2020-166-SM (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap)   1.82%(f)(g)  11/20/2050   6,070,951 
 66,320,122   Series 2020-167-BI   2.50%(f)  11/20/2050   9,358,505 
 49,866,514   Series 2020-167-DI   2.50%(f)  11/20/2050   6,593,141 
 31,482,668   Series 2020-167-IA   2.50%(f)  11/20/2050   4,512,061 
 74,990,765   Series 2020-167-JI   2.50%(f)  11/20/2050   9,944,473 
 14,819,220   Series 2020-167-NS (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap)   1.82%(f)(g)  11/20/2050   1,813,490 
 26,463,632   Series 2020-167-YK   1.20%  11/20/2050   19,435,473 
 118,753,530   Series 2020-173-MI   2.50%(f)  11/20/2050   18,078,289 
 37,780,377   Series 2020-175-MI   2.50%(f)  11/20/2050   5,287,874 
 35,689,648   Series 2020-175-SC (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap)   1.82%(f)(g)  11/20/2050   4,649,397 
 80,392,565   Series 2020-177-IO   0.82%(b)(f)  06/16/2062   4,896,116 
 26,570,968   Series 2020-181-AI   2.50%(f)  12/20/2050   4,079,914 
 45,154,434   Series 2020-181-BI   2.50%(f)  12/20/2050   6,473,340 
 28,206,798   Series 2020-181-SA (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap)   1.82%(f)(g)  12/20/2050   3,508,404 
 26,719,376   Series 2020-181-YM   1.17%  12/20/2050   19,576,675 
 60,829,656   Series 2020-185-AI   2.50%(f)  12/20/2050   8,964,856 
 46,023,945   Series 2020-185-KI   2.50%(f)  12/20/2050   7,053,846 
 38,748,371   Series 2020-185-MI   2.50%(f)  12/20/2050   5,505,539 
 43,662,002   Series 2020-187-AI   2.50%(f)  12/20/2050   6,271,811 
 88,683,059   Series 2020-188-BI   2.50%(f)  12/20/2050   12,772,870 
 5,195,860   Series 2020-188-DI   2.50%(f)  12/20/2050   694,864 
 24,911,528   Series 2020-188-GI   2.00%(f)  12/20/2050   2,981,648 
 36,426,110   Series 2020-188-IQ   3.00%(f)  10/20/2050   5,790,651 
 84,944,613   Series 2020-188-KI   2.50%(f)  12/20/2050   12,128,417 
 34,188,387   Series 2020-188-NS (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap)   1.82%(f)(g)  12/20/2050   4,420,336 
 38,582,474   Series 2020-195-IX   1.14%(b)(f)  12/16/2062   3,029,264 
 4,935,919   Series 2020-4-H   2.50%  10/20/2049   4,199,058 
 32,920,729   Series 2020-7-FM (1 mo. Term SOFR + 0.56%, 0.45% Floor, 6.50% Cap)   4.93%  01/20/2050   32,279,611 
 8,017,408   Series 2020-79-KG   1.30%  06/20/2050   6,208,287 
 86,954,760   Series 2020-89-IA   1.17%(b)(f)  04/16/2062   6,624,431 
 65,339,514   Series 2020-94-IO   0.97%(b)(f)  03/16/2062   4,504,258 
 16,343,667   Series 2020-98-SA (-1 x 1 mo. Term SOFR + 6.04%, 0.00% Floor, 6.15% Cap)   1.67%(f)(g)  07/20/2050   1,805,122 
 75,871,093   Series 2021-1-EI   2.00%(f)  01/20/2051   8,446,850 
 32,552,917   Series 2021-1-IA   2.50%(f)  01/20/2051   4,744,666 
 65,496,017   Series 2021-10-IO   0.99%(b)(f)  05/16/2063   4,628,138 
 115,542,882   Series 2021-100-IO   0.97%(b)(f)  06/16/2063   7,864,842 
 60,487,429   Series 2021-107-QI   2.50%(f)  06/20/2051   8,863,386 
 128,469,306   Series 2021-110-IO   0.87%(b)(f)  11/16/2063   8,488,314 
 23,081,793   Series 2021-114-SB (-1 x 1 mo. Term SOFR + 2.49%, 0.00% Floor, 2.60% Cap)   0.00%(f)(g)  06/20/2051   56,553 
 41,594,540   Series 2021-116-IA   2.50%(f)  06/20/2051   6,148,505 
 41,925,564   Series 2021-116-XI   3.50%(f)  03/20/2051   7,915,140 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 19,597,958   Series 2021-117-IJ   3.50%(f)  06/20/2051   2,995,338 
 15,226,354   Series 2021-117-SH (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap)   1.82%(f)(g)  07/20/2051   1,555,942 
 234,994,458   Series 2021-12-IO   0.96%(b)(f)  03/16/2063   16,089,436 
 51,553,398   Series 2021-121-TI   3.00%(f)  07/20/2051   7,127,577 
 105,607,835   Series 2021-122-SA (-1 x 30 day avg SOFR US + 2.60%, 0.00% Floor, 2.60% Cap)   0.00%(f)(g)  07/20/2051   317,204 
 23,474,813   Series 2021-125-IO   3.00%(f)  06/20/2051   3,359,971 
 57,653,630   Series 2021-135-GI   3.00%(f)  08/20/2051   9,138,008 
 72,253,727   Series 2021-135-SK (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap)   1.82%(f)(g)  08/20/2051   7,001,480 
 59,967,197   Series 2021-136-EI   3.00%(f)  08/20/2051   9,494,450 
 36,877,819   Series 2021-138-IL   3.00%(f)  08/20/2051   5,907,495 
 37,152,224   Series 2021-138-KI   3.00%(f)  08/20/2051   6,013,526 
 54,978,716   Series 2021-138-PS (-1 x 30 day avg SOFR US + 3.75%, 0.00% Floor, 3.75% Cap)   0.00%(f)(g)  08/20/2051   735,665 
 14,402,000   Series 2021-139-BI   3.50%(f)  08/20/2051   2,522,147 
 44,801,262   Series 2021-140-IJ   3.00%(f)  08/20/2051   7,171,342 
 29,856,703   Series 2021-142-IO   3.00%(f)  08/20/2051   4,771,483 
 111,302,210   Series 2021-142-XI   3.00%(f)  08/20/2051   17,705,444 
 110,239,272   Series 2021-143-IO   0.97%(b)(f)  10/16/2063   7,588,761 
 82,653,286   Series 2021-144-IO   0.82%(b)(f)  04/16/2063   5,027,320 
 215,245,519   Series 2021-15-BI   2.50%(f)  01/20/2051   29,558,376 
 88,021,799   Series 2021-150-IO   1.03%(b)(f)  11/16/2063   5,951,506 
 67,580,046   Series 2021-151-IO   0.92%(b)(f)  04/16/2063   4,703,112 
 85,360,322   Series 2021-154-TI   3.00%(f)  09/20/2051   11,042,800 
 26,519,870   Series 2021-155-IE   3.00%(f)  09/20/2051   4,263,329 
 73,528,531   Series 2021-155-KI   4.00%(f)  09/20/2051   9,518,121 
 36,034,782   Series 2021-155-S (-1 x 30 day avg SOFR US + 3.20%, 0.00% Floor, 3.20% Cap)   0.00%(f)(g)  09/20/2051   453,415 
 36,744,660   Series 2021-155-SG (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap)   1.82%(f)(g)  09/20/2051   4,325,537 
 22,996,874   Series 2021-157-IO   0.89%(b)(f)  09/16/2063   1,456,086 
 43,610,178   Series 2021-158-IO   3.00%(f)  09/20/2051   6,896,051 
 60,381,515   Series 2021-158-IV   2.50%(f)  09/20/2051   8,728,063 
 23,054,568   Series 2021-160-IA   3.00%(f)  09/20/2051   3,695,910 
 74,543,229   Series 2021-160-SQ (-1 x 30 day avg SOFR US + 2.65%, 0.00% Floor, 3.00% Cap)   0.00%(f)(g)  09/20/2051   363,547 
 33,302,954   Series 2021-160-WI   2.50%(f)  09/20/2051   4,553,776 
 38,146,938   Series 2021-160-XI   3.00%(f)  09/20/2051   6,094,107 
 40,671,940   Series 2021-161-KI   3.50%(f)  09/20/2051   7,784,081 
 75,100,340   Series 2021-161-UI   3.00%(f)  09/20/2051   11,966,556 
 40,299,195   Series 2021-161-VI   3.00%(f)  09/20/2051   5,365,257 
 26,757,916   Series 2021-162-DI   3.00%(f)  09/20/2051   4,280,892 
 22,228,650   Series 2021-165-GI   2.50%(f)  09/20/2051   3,382,340 
 14,931,394   Series 2021-170-IO   0.99%(b)(f)  05/16/2063   1,109,128 
 37,606,628   Series 2021-175-IM   3.00%(f)  10/20/2051   5,161,728 
 14,693,816   Series 2021-175-IN   2.50%(f)  07/20/2051   1,930,957 
 49,356,572   Series 2021-175-IU   2.50%(f)  09/20/2051   7,116,497 
 40,941,531   Series 2021-176-TI   4.00%(f)  10/20/2051   6,590,858 
 109,900,075   Series 2021-177-IA   2.50%(f)  10/20/2051   16,270,080 
 56,892,934   Series 2021-180-IO   0.91%(b)(f)  11/16/2063   3,985,430 
 68,300,135   Series 2021-184-IO   0.88%(b)(f)  12/16/2061   4,574,005 
 25,734,937   Series 2021-188-IA   3.00%(f)  10/20/2051   4,122,732 
 45,898,562   Series 2021-188-IN   2.50%(f)  10/20/2051   6,673,252 
 31,824,145   Series 2021-188-IT   2.50%(f)  10/20/2051   4,975,972 
 21,721,587   Series 2021-188-IW   3.00%(f)  10/20/2051   3,334,750 
 155,031,817   Series 2021-189-IO   0.88%(b)(f)  06/16/2061   10,353,459 
 22,029,568   Series 2021-191-BI   2.50%(f)  10/20/2051   3,246,522 
 43,683,519   Series 2021-191-CI   2.50%(f)  10/20/2051   6,285,277 
 27,361,635   Series 2021-192-AI   3.00%(f)  10/20/2051   4,422,130 
 55,302,616   Series 2021-193-I   3.00%(f)  06/20/2051   8,863,931 
 4,071,448   Series 2021-193-SW (-1 x 30 day avg SOFR US + 2.55%, 0.00% Floor, 2.55% Cap)   0.00%(f)(g)  11/20/2051   11,061 
 66,136,724   Series 2021-196-IO   2.50%(f)  11/20/2051   9,275,146 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 61,246,704   Series 2021-2-IO   0.88%(b)(f)  06/16/2063   3,989,745 
 31,077,157   Series 2021-20-IO   1.15%(b)(f)  08/16/2062   2,460,236 
 84,593,482   Series 2021-200-IO   0.89%(b)(f)  11/16/2063   5,812,714 
 162,409,679   Series 2021-204-IO   0.88%(b)(f)  01/16/2064   11,215,217 
 24,046,653   Series 2021-205-DI   2.50%(f)  11/20/2051   3,476,475 
 177,385,319   Series 2021-208-IO   0.76%(b)(f)  06/16/2064   9,691,731 
 179,506,711   Series 2021-210-IO   0.98%(b)(f)  05/16/2062   13,043,963 
 51,383,902   Series 2021-211-IO   0.97%(b)(f)  01/16/2063   3,561,619 
 31,104,161   Series 2021-213-IH   3.00%(f)  12/20/2051   5,015,023 
 290,631,147   Series 2021-219-IO   0.76%(b)(f)  02/16/2064   17,057,462 
 261,153,564   Series 2021-22-IO   0.97%(b)(f)  05/16/2063   18,110,033 
 8,743,259   Series 2021-226-TI   2.50%(f)  12/20/2051   1,287,315 
 68,785,546   Series 2021-24-XI   2.00%(f)  02/20/2051   8,485,110 
 31,077,815   Series 2021-24-YD   1.20%  02/20/2051   23,446,350 
 10,635,492   Series 2021-25-EI   2.50%(f)  02/20/2051   1,394,352 
 19,879,598   Series 2021-30-IB   2.50%(f)  02/20/2051   2,893,935 
 24,243,549   Series 2021-30-WI   2.50%(f)  02/20/2051   3,397,479 
 25,900,523   Series 2021-35-IO   1.03%(b)(f)  12/16/2062   1,937,551 
 75,258,548   Series 2021-35-IX   1.20%(b)(f)  12/16/2062   6,440,175 
 32,238,244   Series 2021-40-IO   0.82%(b)(f)  02/16/2063   1,978,164 
 577,605,822   Series 2021-45-IO   0.81%(b)(f)  04/16/2063   35,270,344 
 31,020,461   Series 2021-49-NI   2.50%(f)  03/20/2051   3,702,503 
 42,721,887   Series 2021-49-QI   2.50%(f)  03/20/2049   4,036,744 
 28,223,128   Series 2021-52-IO   0.72%(b)(f)  04/16/2063   1,463,189 
 67,724,052   Series 2021-57-JI   3.00%(f)  03/20/2051   11,354,845 
 7,571,281   Series 2021-58-HP   3.00%  08/20/2050   6,526,525 
 93,850,639   Series 2021-58-IE   3.00%(f)  07/20/2050   15,734,294 
 202,447,472   Series 2021-60-IO   0.83%(b)(f)  05/16/2063   12,377,719 
 73,069,561   Series 2021-64-IG   3.00%(f)  04/20/2051   12,263,608 
 232,917,484   Series 2021-65-IO   0.89%(b)(f)  08/16/2063   15,310,342 
 37,035,417   Series 2021-7-IP   3.50%(f)  07/20/2050   6,548,369 
 84,736,086   Series 2021-7-KI   2.50%(f)  01/20/2051   11,816,744 
 54,422,313   Series 2021-7-MI   2.50%(f)  01/20/2051   7,933,554 
 328,543,046   Series 2021-70-IO   0.71%(b)(f)  04/16/2063   17,551,985 
 155,219,937   Series 2021-71-IO   0.86%(b)(f)  10/16/2062   10,104,632 
 156,181,151   Series 2021-72-IO   0.57%(b)(f)  01/16/2061   6,714,930 
 96,648,264   Series 2021-74-CI   3.00%(f)  12/20/2050   15,033,000 
 94,119,834   Series 2021-77-SJ (-1 x 1 mo. Term SOFR + 3.64%, 0.00% Floor, 3.75% Cap)   0.00%(f)(g)  05/20/2051   1,407,807 
 10,668,127   Series 2021-78-IC   4.00%(f)  05/20/2051   2,048,126 
 58,256,474   Series 2021-80-IO   0.90%(b)(f)  12/16/2062   3,988,302 
 306,839,296   Series 2021-85-IO   0.68%(b)(f)  03/16/2063   15,880,192 
 43,545,677   Series 2021-87-ET   2.00%  05/20/2051   35,238,285 
 56,221,923   Series 2021-9-AI   2.00%(f)  01/20/2051   5,498,380 
 105,762,041   Series 2021-9-MI   2.50%(f)  01/20/2051   15,647,822 
 31,874,523   Series 2021-94-IO   0.83%(b)(f)  02/16/2063   1,981,744 
 41,018,750   Series 2021-96-TS (-1 x 30 day avg SOFR US + 3.25%, 0.00% Floor, 3.25% Cap)   0.00%(f)(g)  06/20/2051   511,274 
 38,534,913   Series 2021-97-NI   2.50%(f)  08/20/2049   3,806,775 
 32,038,754   Series 2021-97-SH (-1 x 1 mo. Term SOFR + 3.64%, 0.00% Floor, 3.75% Cap)   0.00%(f)(g)  06/20/2051   517,202 
 102,338,414   Series 2021-98-IG   3.00%(f)  06/20/2051   16,388,371 
 23,464,351   Series 2021-98-MI   2.50%(f)  06/20/2051   3,140,194 
 25,231,194   Series 2021-98-SB (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap)   1.82%(f)(g)  06/20/2051   2,793,444 
 64,492,020   Series 2021-98-ST (-1 x 30 day avg SOFR US + 2.73%, 0.00% Floor, 2.73% Cap)   0.00%(f)(g)  03/20/2051   130,151 
 8,039,141   Series 2021-98-SW (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap)   1.82%(f)(g)  06/20/2051   858,674 
 40,782,130   Series 2021-99-IO   0.59%(b)(f)  05/16/2061   1,804,650 
 200,831,094   Series 2022-102-IO   0.48%(b)(f)  06/16/2064   8,016,997 
 61,556,145   Series 2022-137-DI   2.50%(f)  02/20/2051   9,272,331 
 63,162,278   Series 2022-137-EI   2.50%(f)  06/20/2051   9,418,879 
 82,327,813   Series 2022-137-IO   3.00%(f)  01/20/2052   10,951,345 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 112,843,793   Series 2022-14-IO   0.66%(b)(f)  12/01/2061   5,266,375 
 86,416,550   Series 2022-141-IO   0.78%(b)(f)  06/16/2064   5,707,286 
 95,341,728   Series 2022-158-IO   0.88%(b)(f)  08/16/2064   6,990,446 
 26,997,223   Series 2022-160-ZD   3.00%(h)  11/20/2047   22,509,472 
 61,095,266   Series 2022-167-IO   0.82%(b)(f)  08/16/2065   3,845,898 
 131,374,016   Series 2022-169-IO   0.89%(b)(f)  01/16/2062   9,597,818 
 13,076,011   Series 2022-183-B   5.00%  04/20/2047   13,116,690 
 79,845,817   Series 2022-188-IO   2.50%(f)  02/20/2051   11,662,655 
 79,398,878   Series 2022-202-IO   0.72%(b)(f)  10/16/2063   4,862,554 
 77,881,435   Series 2022-207-EI   3.50%(f)  02/20/2052   14,069,974 
 81,568,227   Series 2022-207-IO   3.00%(f)  08/20/2051   13,971,683 
 73,329,466   Series 2022-21-IO   0.78%(b)(f)  10/16/2063   4,203,832 
 51,835,102   Series 2022-218-IO   3.50%(f)  01/20/2052   9,990,081 
 12,265,829   Series 2022-23-BA   3.00%  05/20/2049   11,110,110 
 143,193,436   Series 2022-27-IO   0.75%(b)(f)  03/16/2064   7,624,062 
 91,635,462   Series 2022-35-IO   0.55%(b)(f)  10/16/2063   4,234,172 
 141,216,637   Series 2022-38-IO   0.72%(b)(f)  04/16/2064   7,351,526 
 407,842,189   Series 2022-39-IO   0.62%(b)(f)  01/16/2064   20,731,516 
 119,767,989   Series 2022-42-IO   0.67%(b)(f)  12/16/2063   5,997,873 
 22,562,879   Series 2022-44-TY   2.00%  12/20/2051   17,578,042 
 58,431,726   Series 2022-48-IO   0.71%(b)(f)  01/16/2064   3,440,098 
 65,574,841   Series 2022-49-IO   0.76%(b)(f)  03/16/2064   3,527,435 
 123,355,544   Series 2022-54-IO   0.59%(b)(f)  10/16/2063   5,629,022 
 31,831,386   Series 2022-56-HI   2.50%(f)  01/20/2052   4,465,816 
 77,588,825   Series 2022-62-IO   0.62%(b)(f)  06/16/2064   3,807,051 
 203,723,592   Series 2022-71-IO   0.55%(b)(f)  06/16/2064   8,533,166 
 271,170,012   Series 2022-72-DI   0.58%(b)(f)  06/16/2064   12,196,929 
 96,312,616   Series 2022-73-IO   0.56%(b)(f)  07/16/2064   4,742,366 
 5,944,000   Series 2022-78-HW   2.50%  04/20/2052   4,455,052 
 246,187,306   Series 2022-79-IO   0.69%(b)(f)  08/16/2064   14,556,834 
 188,403,073   Series 2022-8-IO   0.86%(b)(f)  09/16/2063   11,364,982 
 122,793,726   Series 2022-83-IO   2.50%(f)  11/20/2051   18,064,480 
 123,791,717   Series 2022-86-IO   0.53%(b)(f)  10/16/2063   5,287,763 
 55,806,644   Series 2022-9-EI   3.00%(f)  01/20/2052   7,767,364 
 96,159,639   Series 2022-91-IO   0.43%(b)(f)  07/16/2064   3,934,506 
 454,431,388   Series 2023-108-IO   0.69%(b)(f)  08/16/2059   16,875,537 
 50,679,842   Series 2023-118-IO   0.65%(b)(f)  05/16/2065   2,636,350 
 42,909,940   Series 2023-121-IB   0.87%(b)(f)  03/16/2064   2,958,615 
 10,739,209   Series 2023-140-AS (-2 x 30 day avg SOFR US + 13.00%, 0.00% Floor, 13.00% Cap)   3.79%(g)  09/20/2053   10,505,495 
 48,752,711   Series 2023-16-IO   0.90%(b)(f)  07/16/2063   3,207,948 
 23,178,926   Series 2023-164-BV   3.00%  01/20/2052   19,565,684 
 39,365,985   Series 2023-173-GB   3.50%  11/20/2053   33,093,114 
 424,774,967   Series 2023-179-IO   0.61%(b)(f)  09/16/2063   18,156,709 
 11,311,715   Series 2023-187-ZP   3.00%(h)  11/20/2051   6,545,928 
 167,935,547   Series 2023-19-IO   2.50%(f)  02/20/2051   24,738,972 
 24,693,409   Series 2023-196-DZ   4.50%(h)  12/20/2053   21,256,635 
 29,889,687   Series 2023-24-IH   3.50%(f)  07/20/2051   5,612,500 
 72,552,548   Series 2023-50-IO   0.86%(b)(f)  06/16/2064   4,692,024 
 30,893,838   Series 2023-58-IO   2.50%(f)  10/20/2050   4,223,052 
 34,075,883   Series 2023-60-PT   4.00%  10/20/2049   31,104,337 
 54,738,556   Series 2023-77-IO   0.70%(b)(f)  04/16/2065   3,123,426 
 11,910,833   Series 2023-88-IO   0.92%(b)(f)  03/16/2065   839,128 
 12,116,690   Series 2024-1-CZ   3.00%(h)  01/20/2050   8,778,065 
 20,190,026   Series 2024-111-FM (30 day avg SOFR US + 1.20%, 1.20% Floor, 6.50% Cap)   5.80%  07/20/2054   20,269,659 
 30,493,756   Series 2024-143-IO   3.50%(f)  02/20/2048   4,731,423 
 99,901,276   Series 2024-150-IO   0.97%(b)(f)  09/16/2066   7,851,241 
 199,343,510   Series 2024-161-IO   0.74%(b)(f)  06/16/2064   11,070,083 
 26,492,937   Series 2024-19-EZ   5.00%(h)  12/20/2063   24,898,325 
 24,151,839   Series 2024-20-LB   2.50%  11/20/2051   15,885,945 
 22,451,130   Series 2024-20-LI   2.50%(f)  11/20/2051   3,289,185 
 49,200,724   Series 2024-24-BI   3.00%(f)  12/20/2051   7,908,377 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 17,800,216   Series 2024-40-FE (30 day avg SOFR US + 1.00%, 1.00% Floor, 7.00% Cap)   5.60%  03/20/2054   17,833,658 
 77,011,263   Series 2024-47-IO   0.74%(b)(f)  10/16/2065   4,957,408 
 49,860,286   Series 2024-67-AI   0.74%(b)(f)  10/16/2065   3,166,048 
 30,350,384   Series 2024-78-FH (30 day avg SOFR US + 1.25%, 1.25% Floor, 6.50% Cap)   5.85%  05/20/2054   30,432,172 
 85,900,380   Series 2024-86-IA   0.90%(b)(f)  08/16/2065   6,012,013 
     Total US Government and Agency Mortgage Backed Obligations (Cost $16,982,393,197)      15,496,249,008 
           
 US GOVERNMENT AND AGENCY OBLIGATIONS - 3.2%         
 300,205,000   United States Treasury Note/Bond   1.13%  05/15/2040   180,745,925 
 192,386,000   United States Treasury Note/Bond   1.13%  08/15/2040   114,825,996 
 335,238,000   United States Treasury Note/Bond   1.38%  11/15/2040   207,634,892 
 320,590,000   United States Treasury Note/Bond   1.88%  02/15/2041   214,898,196 
 148,600,000   United States Treasury Note/Bond   1.75%  08/15/2041   96,284,388 
 19,400,000   United States Treasury Note/Bond   2.00%  11/15/2041   13,036,532 
 186,150,000   United States Treasury Note/Bond   2.50%  02/15/2045   129,213,364 
     Total US Government and Agency Obligations (Cost $984,236,238)      956,639,293 
                   
 SHORT TERM INVESTMENTS - 1.2%        
 117,977,753   First American Government Obligations Fund - U   4.41%(l)      117,977,753 
 117,977,753   JPMorgan US Government Money Market Fund - IM   4.44%(l)      117,977,753 
 117,977,754   MSILF Government Portfolio - Institutional   4.42%(l)      117,977,754 
     Total Short Term Investments (Cost $353,933,260)           353,933,260 
     Total Investments - 99.3% (Cost $33,953,403,082)           29,583,976,680 
     Other Assets in Excess of Liabilities - 0.7%           206,861,088 
     NET ASSETS - 100.0%          $29,790,837,768 

 

 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:    
US Government and Agency Mortgage Backed Obligations   52.0%
Non-Agency Residential Collateralized Mortgage Obligations   24.5%
Non-Agency Commercial Mortgage Backed Obligations   7.8%
Asset Backed Obligations   5.6%
Collateralized Loan Obligations   5.0%
US Government and Agency Obligations   3.2%
Short Term Investments   1.2%
Other Assets and Liabilities   0.7%
Net Assets   100.0%
 

 

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of December 31, 2024, the value of these securities total $8,718,495,192 or 29.3% of the Fund’s net assets.
(b) Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end.
(c) Value determined using significant unobservable inputs.
(d) Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end.
(e) Security pays interest at rates that represent residual cashflows available after more senior tranches have been paid. The interest rate disclosed reflects the estimated rate in effect as of period end.
(f) Interest only security
(g) Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.
(h) This security accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of period end.
(i) Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date.
(j) Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of period end.
(k) Principal only security
(l) Seven-day yield as of period end.

 

COFI Cost of Funds Index
LIBOR London Interbank Offered Rate
SOFR Secured Overnight Financing Rate

 

Futures Contracts                     
Description  Long/ Short   Contract Quantity   Expiration
 Date		   Notional
Amount(1)		    Unrealized Appreciation (Depreciation)/ Value 
10 Year U.S. Ultra Treasury Notes  Short   (36,000)  3/20/2025  $(4,060,627,746)  $53,377,746 
U.S. Treasury 2 Year Notes  Long   63,000   3/31/2025   12,951,949,056    1,441,632 
U.S. Treasury 5 Year Notes  Long   12,000   3/31/2025   1,281,244,707    (5,588,451)
U.S. Treasury Ultra Bonds  Long   5,675   3/20/2025   696,411,311    (21,618,343)
U.S. Treasury Long Bonds  Long   26,000   3/20/2025   3,029,019,274    (69,081,773)
                   $(41,469,189)

 

 

(1)   Notional Amount is determined based on the number of contracts multiplied by the contract size and the quoted daily settlement price in US dollars.
 

 

DoubleLine Core Fixed Income Fund   (Unaudited)
     
Schedule of Investments   December 31, 2024

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
ASSET BACKED OBLIGATIONS - 3.6%            
     Aaset Trust             
 2,473,725   Series 2021-2A-B   3.54%(a)  01/15/2047   2,248,158 
     Apollo Aviation Securitization Equity Trust             
 7,857,112   Series 2024-1A-B   6.90%(a)  05/16/2049   7,989,560 
 5,896,578   Series 2024-2A-A   5.93%(a)  09/16/2049   5,876,948 
     Carbon Level Mitigation Trust             
 18,924,383   Series 2021-5-CERT   0.61%(a)  10/13/2051   11,394,201 
     Carvana Auto Receivables Trust             
 5,450,000   Series 2024-P3-A4   4.31%  09/10/2030   5,343,557 
     Castlelake Aircraft Securitization Trust             
 4,386,350   Series 2021-1A-A   3.47%(a)  01/15/2046   4,218,976 
     Compass Datacenters LLC             
 5,340,000   Series 2024-1A-A1   5.25%(a)  02/25/2049   5,317,164 
     Diamond Infrastructure Funding LLC             
 3,000,000   Series 2021-1A-C   3.48%(a)  04/15/2049   2,789,142 
     DigitalBridge Group, Inc.             
 6,500,000   Series 2023-1A-A2A   5.00%(a)  09/15/2048   6,402,225 
     Exeter Automobile Receivables Trust             
 2,172,221   Series 2021-1A-D   1.08%  11/16/2026   2,151,001 
 8,500,000   Series 2021-1A-E   2.21%(a)  02/15/2028   8,331,920 
     FWEA             
 5,747,449   Series 2024-1-A   7.15%(b)  08/25/2044   5,762,967 
     GreenSky Home Improvement Issuer Trust             
 1,850,000   Series 2024-2-C   5.55%(a)  10/27/2059   1,847,685 
     Hardee’s Funding             
 3,473,750   Series 2024-1A-A2   7.25%(a)  03/20/2054   3,555,532 
     Helios Issuer LLC             
 3,965,704   Series 2018-1A-A   4.87%(a)  07/20/2048   3,615,551 
 4,671,677   Series 2020-1A-A   3.35%(a)  02/01/2055   3,924,373 
     HERO Funding Trust             
 1,063,740   Series 2016-1A-A   4.05%(a)  09/20/2041   991,295 
     Horizon Aircraft Finance Ltd.             
 1,292,558   Series 2019-2-A   3.43%(a)  11/15/2039   1,211,459 
 4,443,750   Series 2024-1-A   5.38%(a)  09/15/2049   4,325,813 
     Hyundai Auto Receivables Trust             
 5,200,000   Series 2024-C-C   4.86%  02/17/2032   5,146,341 
     ITE Rail Fund LP             
 12,037,070   Series 2021-1A-A   2.25%(a)  02/28/2051   10,955,804 
     MACH 1 Cayman Ltd.             
 7,918,985   Series 2019-1-A   3.47%(a)  10/15/2039   7,637,108 
     Mosaic Solar Loans LLC             
 791,850   Series 2018-1A-A   4.01%(a)  06/22/2043   738,720 
 1,061,517   Series 2019-2A-B   3.28%(a)  09/20/2040   944,199 
     Navient Student Loan Trust             
 4,701,177   Series 2018-A-B   3.68%(a)  02/18/2042   4,592,358 
     NBC Funding LLC             
 3,491,250   Series 2024-1A-A2   6.75%(a)  07/30/2054   3,550,428 
     NP Railcar Holdings LLC             
 2,288,967   Series 2016-1A-A1   4.16%(a)  04/20/2046   2,271,810 
 4,982,952   Series 2019-1A-A2   3.24%(a)  09/20/2049   4,790,217 
     Pagaya AI Debt Selection Trust             
 1,507,746   Series 2021-2-NOTE   3.00%(a)  01/25/2029   1,489,873 
     Primrose Holdings, Inc.             
 19,250,000   Series 2019-1A-A2   4.48%(a)  07/30/2049   18,924,028 
     Sapphire Aviation Finance Ltd.             
 2,613,180   Series 2020-1A-A   3.23%(a)  03/15/2040   2,468,491 
     SEB Funding LLC             
 4,987,500   Series 2021-1A-A2   4.97%(a)  01/30/2052   4,868,150 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     SERVPRO Master Issuer LLC             
 950,000   Series 2019-1A-A2   3.88%(a)  10/25/2049   923,996 
     Shenton Aircraft Investment Ltd.             
 894,459   Series 2015-1A-A   4.75%(a)  10/15/2042   841,229 
     SOFI Alternative Trust             
 1,087,909   Series 2021-1-PT1   9.72%(a)(c)  05/25/2030   1,079,735 
 1,480,421   Series 2021-2-A   1.25%(a)  08/15/2030   1,458,252 
 75,000   Series 2021-2-R1   0.00%(a)(b)(d)  08/15/2030   313,452 
     Start Ltd./Bermuda             
 1,566,338   Series 2019-1-A   4.09%(a)  03/15/2044   1,544,974 
     Start/Bermuda             
 1,768,823   Series 2018-1-A   4.09%(a)  05/15/2043   1,754,294 
     Subway Funding LLC             
 4,500,000   Series 2024-1A-A23   6.51%(a)  07/30/2054   4,631,043 
 5,000,000   Series 2024-3A-A23   5.91%(a)  07/30/2054   4,901,070 
     Sunrun, Inc.             
 4,224,178   Series 2019-2-A   3.61%(a)  02/01/2055   3,933,546 
 9,908,332   Series 2020-1A-A   2.21%(a)  07/31/2051   8,788,828 
     Switch ABS Issuer LLC             
 6,000,000   Series 2024-2A-A2   5.44%(a)  06/25/2054   5,989,481 
     Tesla Sustainable Energy Trust             
 3,600,000   Series 2024-1A-B   5.82%(a)  06/21/2050   3,581,978 
     Upgrade Master Pass-Thru Trust             
 245,542   Series 2021-PT3-A   16.43%(a)(c)  07/15/2027   227,626 
 1,040,126   Series 2021-PT4-A   11.79%(a)(c)  08/15/2027   958,551 
     Upstart Pass-Through Trust Series             
 488,202   Series 2021-ST2-A   2.50%(a)  04/20/2027   482,882 
     Upstart Securitization Trust             
 6,828,561   Series 2021-2-C   3.61%(a)  06/20/2031   6,758,097 
 3,279,442   Series 2021-3-C   3.28%(a)  07/20/2031   3,229,258 
 863,683   Series 2021-4-B   1.84%(a)  09/20/2031   861,384 
 15,550,000   Series 2021-4-C   3.19%(a)  09/20/2031   15,042,051 
 4,736,857   Series 2023-3-A   6.90%(a)  10/20/2033   4,778,437 
     USASF Receivables LLC             
 2,104,551   Series 2021-1A-C   2.20%(a)  05/15/2026   1,975,078 
     Vantage Data Centers Holding LLC             
 8,000,000   Series 2020-2A-A2   1.99%(a)  09/15/2045   7,307,105 
     WAVE USA             
 7,614,292   Series 2019-1-A   3.60%(a)  09/15/2044   7,151,793 
     Total Asset Backed Obligations (Cost $256,397,941)           244,189,194 
BANK LOANS - 3.3%          
     AAdvantage Loyalty IP Ltd.             
 920,500   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.75% Floor)   9.63%  04/20/2028   946,545 
     ABG Intermediate Holdings 2 LLC             
 95,000   Senior Secured First Lien Term Loan (1 mo. Term SOFR + 2.25%)   6.59%  12/21/2028   95,490 
     Access CIG LLC             
 662,761   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.50% Floor)   9.59%  08/18/2028   670,038 
     Acrisure LLC             
 1,536,952   Senior Secured Term Loan (1 mo. Term SOFR + 3.25%, 0.00% Floor)   7.36%  11/06/2030   1,541,394 
     Acuris Finance US, Inc.             
 651,650   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor)   8.08%  02/16/2028   656,762 
     ADMI Corp.             
 546,527   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor)   8.22%  12/23/2027   538,329 
 737,550   Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.75%, 0.00% Floor)   10.11%  12/23/2027   742,160 
     AI Aqua Merger Sub, Inc.             
 1,527,585   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   8.05%  07/31/2028   1,530,777 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Air Canada             
 431,738   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor)   6.34%  03/21/2031   434,302 
     AlixPartners LLP             
 1,056,092   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor)   6.97%  02/04/2028   1,061,520 
     Alliant Holdings Intermediate LLC             
 1,115,026   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.11%  09/19/2031   1,119,274 
     Allied Universal Holdco LLC             
 1,758,545   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor)   8.21%  05/15/2028   1,766,476 
     Allspring Buyer LLC             
 1,424,188   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.44%  11/01/2030   1,428,283 
     Alpha Generation LLC             
 857,850   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.11%  09/30/2031   864,927 
     Alterra Mountain Co.             
 1,126,542   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.11%  08/17/2028   1,135,346 
 574,572   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  05/31/2030   580,321 
     Altice France SA             
 982,122   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.50%, 0.00% Floor)   10.16%  08/31/2028   791,345 
     Amentum Holdings, Inc.             
 1,040,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.61%  09/29/2031   1,037,613 
     Apple Bidco LLC             
 921,500   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor)   7.22%  09/25/2028   927,914 
     Applied Systems, Inc.             
 447,750   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.33%  02/24/2031   452,610 
 330,000   Senior Secured Second Lien Term Loan (3 mo. SOFR US + 5.25%, 0.00% Floor)   9.85%  02/23/2032   340,077 
     Apro LLC             
 832,913   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor)   8.27%  07/09/2031   842,108 
     Arches Buyer, Inc.             
 240,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.71%  12/06/2027   234,917 
     Ardonagh Group Finco Pty Ltd.             
 26,671   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor)   8.08%  02/18/2031   26,871 
 127,194   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.75%, 0.00% Floor)   8.53%  02/18/2031   128,148 
 303,572   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.75%, 0.00% Floor)   8.53%  02/18/2031   305,849 
     Arsenal AIC Parent LLC             
 119,400   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  08/19/2030   120,564 
     Artera Services LLC             
 446,723   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.00% Floor)   8.83%  02/10/2031   443,589 
     Ascend Learning LLC             
 575,393   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.96%  12/11/2028   579,216 
 594,057   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.96%  12/11/2028   598,005 
 356,328   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.75%, 0.50% Floor)   10.21%  12/10/2029   354,324 
     Aspire Bakeries Holdings LLC             
 693,254   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.61%  12/23/2030   701,053 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     AssuredPartners, Inc.             
 1,399,749   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.86%  02/14/2031   1,404,340 
     Astra Acquisition Corp.             
 699,785   Senior Secured Second Lien Term Loan (3 mo. SOFR US + 8.88%, 0.75% Floor)   13.47%  10/25/2029   49,422 
     Asurion LLC             
 551,407   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.72%  07/30/2027   550,847 
 295,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor)   9.94%  02/03/2028   288,995 
 123,145   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.71%  08/21/2028   123,409 
 485,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor)   9.72%  01/22/2029   469,577 
 1,005,043   Senior Secured First Lien Term Loan (1 mo. Term SOFR + 4.25%)   8.61%  09/19/2030   1,003,786 
     AthenaHealth Group, Inc.             
 1,536,328   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.61%  02/15/2029   1,543,188 
     Aveanna Healthcare LLC             
 1,167,639   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor)   8.36%  07/17/2028   1,159,833 
 243,366   Senior Secured Second Lien Term Loan (3 mo. SOFR US + 7.00%, 0.50% Floor)   11.66%  12/10/2029   235,456 
     Bally’s Corp.             
 846,959   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.50% Floor)   8.14%  10/02/2028   803,133 
     Bausch + Lomb Corp.             
 1,557,483   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.69%  05/10/2027   1,565,340 
 553,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor)   8.33%  09/29/2028   556,630 
     BCP Renaissance Parent LLC             
 1,014,197   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.33%  10/31/2028   1,024,445 
     BCPE Empire Holdings, Inc.             
 2,415,129   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.86%  12/26/2028   2,431,491 
     Belron Finance LLC             
 708,225   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.50% Floor)   7.27%  10/16/2031   715,863 
     Boost Newco Borrower LLC             
 1,281,788   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor)   6.83%  01/31/2031   1,291,138 
     Boxer Parent Co., Inc.             
 3,455,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor)   8.34%  07/30/2031   3,487,788 
 520,000   Senior Secured Second Lien Term Loan (3 mo. SOFR US + 5.75%, 0.00% Floor)   10.34%  07/30/2032   513,068 
     Brand Industrial Services, Inc.             
 939,873   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.50% Floor)   9.07%  08/01/2030   916,465 
     Brazos Delaware II LLC             
 114,138   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.50% Floor)   8.25%  02/11/2030   115,074 
     BroadStreet Partners, Inc.             
 82,689   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  06/13/2031   83,068 
 807,805   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  06/16/2031   811,513 
     Brown Group Holding LLC             
 863,681   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor)   7.12%  07/01/2031   867,935 
 311,496   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor)   7.12%  07/01/2031   313,030 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Camelot US Acquisition LLC             
 19,433   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.11%  01/31/2031   19,442 
 916,439   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.11%  01/31/2031   916,870 
 212,535   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.11%  01/31/2031   212,635 
     Carnival Corp.             
 162,974   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.75% Floor)   7.11%  08/09/2027   164,375 
 1,364,793   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.75% Floor)   7.11%  10/18/2028   1,376,312 
     Castle US Holding Corp.             
 330,207   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor)   8.53%  01/29/2027   196,708 
     Castlelake Aviation One LLC             
 1,260,481   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.50% Floor)   6.86%  10/22/2026   1,264,735 
 662   Senior Secured First Lien Term Loan (3 mo. LIBOR US + 2.75%, 0.50% Floor)   8.42%(e)  10/22/2026   665 
     Cengage Learning, Inc.             
 198,784   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 1.00% Floor)   7.86%  11/24/2031   200,062 
 343,491   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 1.00% Floor)   8.01%  11/24/2031   345,700 
     Central Parent LLC             
 2,686,629   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.85%  07/06/2029   2,654,564 
     Chariot Buyer LLC             
 895,249   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.71%  11/03/2028   901,686 
     Charter Next Generation, Inc.             
 562,462   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.75% Floor)   7.53%  12/02/2030   566,200 
     CHG Healthcare Services, Inc.             
 592,010   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor)   8.28%  09/29/2028   597,682 
     CHG PPC Parent LLC             
 1,966,586   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor)   7.47%  12/08/2028   1,980,116 
     Clarios Global LP             
 1,536,150   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  05/06/2030   1,544,407 
     Cloud Software Group, Inc.             
 1,714   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.83%  03/29/2029   1,721 
 683,712   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor)   7.83%  03/29/2029   686,587 
 715,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor)   8.31%  03/24/2031   718,192 
     ClubCorp Holdings, Inc.             
 32,080   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.00% Floor)   9.33%  09/18/2026   32,218 
 786,604   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.00% Floor)   9.33%  09/18/2026   789,966 
     Clydesdale Acquisition Holdings, Inc.             
 851,440   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.18%, 0.50% Floor)   7.53%  04/13/2029   854,101 
     CMG Media Corp.             
 248,654   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   7.93%  06/18/2029   224,286 
     CNT Holdings I Corp.             
 173,250   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.75% Floor)   8.09%  11/08/2027   174,599 
     Columbus McKinnon Corp./NY             
 112,210   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.50% Floor)   6.83%  05/15/2028   113,051 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     CommScope T/L             
 0   Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.50%, 0.00% Floor)   9.86%  12/18/2029   – 
 705,983   Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.50%, 0.00% Floor)   9.86%  12/18/2029   685,402 
     Compass Power Generation LLC             
 1,499,348   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor)   8.11%  04/16/2029   1,514,342 
     Connect Finco SARL             
 232,577   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.86%  12/11/2026   230,761 
     Conservice Midco LLC             
 981,795   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor)   7.86%  05/13/2027   990,386 
     Constant Contact, Inc.             
 964,362   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.75% Floor)   8.92%  02/10/2028   866,721 
     Construction Partners, Inc.             
 830,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%)   6.84%  11/03/2031   835,710 
     CoreLogic, Inc.             
 343,610   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   8.19%  06/02/2028   339,898 
     Cornerstone Building Brands, Inc.             
 554,911   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.75%  04/12/2028   531,466 
 124,688   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.50%, 0.50% Floor)   8.90%  05/15/2031   120,441 
     Cornerstone Generation LLC             
 1,165,000   Senior Secured Term Loan (1 mo. Term SOFR + 3.25%)   7.65%  10/28/2031   1,176,650 
     Cornerstone OnDemand, Inc.             
 706,887   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor)   8.22%  10/16/2028   624,182 
     Cotiviti, Inc.             
 1,146,477   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.30%  04/30/2031   1,154,364 
     CPI Holdco B LLC             
 329,175   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  05/19/2031   328,910 
 415,000   Senior Secured Term Loan (1 mo. Term SOFR + 2.25%)   6.65%  05/19/2031   415,390 
     CPPIB OVM Member US LLC             
 389,025   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.58%  08/20/2031   392,065 
     CQP Holdco LP             
 970,554   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.50% Floor)   6.33%  12/31/2030   973,345 
     Crosby US Acquisition Corp.             
 416,358   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   8.07%  08/16/2029   421,148 
     Cross Financial Corp.             
 821,426   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  10/31/2031   827,587 
     Crown Equipment Corp.             
 830,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%)   6.94%  10/10/2031   836,744 
     Crown Finance US, Inc.             
 715,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor)   9.80%  12/02/2031   716,230 
     CSC Holdings LLC             
 962,370   Senior Secured First Lien Term Loan (1 Month Synthetic LIBOR + 2.50%, 0.00% Floor)   7.17%(e)  04/15/2027   890,193 
     Cube A&D Buyer, Inc.             
 910,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   8.13%  10/20/2031   917,203 
     Curium Bidco Sarl             
 687,404   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   7.83%  07/31/2029   695,570 
 203,712   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   7.83%  07/31/2029   206,132 
 458,474   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   7.83%  07/31/2029   463,921 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Cyborg Oldco DC Holdings, Inc.             
 372,286   Senior Secured Term Loan (1 mo. Term SOFR + 3.00%)   7.30%(b)(f)  05/01/2026   2,048 
     Dcert Buyer, Inc.             
 479,539   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor)   8.36%  10/16/2026   461,894 
 254,379   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 7.00%, 0.00% Floor)   11.36%  02/16/2029   207,319 
     Deerfield Dakota Holding LLC             
 1,404,461   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 1.00% Floor)   8.35%  04/09/2027   1,376,814 
     Dexko Global, Inc.             
 742,712   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor)   8.34%  10/04/2028   704,006 
     DG Investment Intermediate Holdings 2, Inc.             
 1,228,720   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.22%  03/31/2028   1,243,311 
 250,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 6.75%, 0.75% Floor)   11.22%  03/29/2029   249,493 
     Directv Financing LLC             
 548,821   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.75% Floor)   9.85%  08/02/2027   551,617 
 229,330   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.25%, 0.75% Floor)   10.10%  08/02/2029   225,621 
     Dun & Bradstreet Corp.             
 767,289   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.59%  01/18/2029   768,728 
     Dynasty Acquisition Co., Inc.             
 187,378   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%)   6.61%  10/31/2031   188,476 
 492,622   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.61%  10/31/2031   495,509 
     EAB Global, Inc.             
 1,007,388   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.61%  08/16/2028   1,012,550 
     Ecovyst Catalyst Technologies LLC             
 251,791   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor)   6.84%  06/12/2031   253,228 
 652,793   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor)   6.84%  06/12/2031   656,517 
     Edelman Financial Engines Center LLC             
 465,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor)   9.61%  10/06/2028   469,797 
     Edelman Financial Engines Center T/L             
 1,905,012   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%)   7.38%  04/07/2028   1,918,899 
     Edgewater Generation LLC             
 506,667   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.61%  08/01/2030   514,449 
     EG America LLC             
 627,373   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.00% Floor)   8.61%  02/07/2028   632,675 
     Eisner Advisory Group LLC             
 916,470   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor)   8.36%  02/28/2031   928,090 
     Element Materials Technology Group US Holdings, Inc.             
 1,151,251   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor)   8.08%  06/25/2029   1,160,248 
     Ellucian Holdings, Inc.             
 1,243,344   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  10/29/2029   1,253,291 
 55,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor)   9.11%  11/22/2032   56,192 
     Emrld Borrower LP             
 818,588   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor)   6.83%  08/04/2031   822,852 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Everi Holdings, Inc.             
 453,071   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor)   6.97%  08/03/2028   454,738 
     Fertitta Entertainment LLC/NV             
 2,311,359   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.86%  01/29/2029   2,322,800 
     FinThrive Software Intermediate Holdings, Inc.             
 425,638   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor)   8.50%  12/18/2028   286,816 
     First Advantage Holdings LLC             
 1,379,598   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  10/31/2031   1,395,980 
     Focus Financial Partners LLC             
 2,099,508   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  09/17/2031   2,121,416 
     Foresight Energy LLC             
 478,973   Senior Secured First Lien Term Loan (3 mo. SOFR US + 8.00%, 1.50% Floor)   12.43%(b)  06/30/2027   380,783 
     Fortrea Holdings, Inc.             
 59,794   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.75%, 0.50% Floor)   8.49%  07/01/2030   60,392 
     Freeport LNG Investments LLLP             
 699,744   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor)   7.84%  12/21/2028   703,953 
     Frontdoor, Inc.             
 270,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.61%  12/19/2031   271,350 
     Frontier Communications Holdings LLC             
 937,650   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   8.76%  07/01/2031   950,543 
     Gainwell Acquisition Corp.             
 1,917,109   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.75% Floor)   8.69%  10/01/2027   1,861,724 
     Garda World Security Corp.             
 1,539,691   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor)   7.90%  02/01/2029   1,548,359 
     GBT US III LLC             
 375,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.63%  07/28/2031   377,297 
     GIP II Blue Holding LP             
 353,323   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 1.00% Floor)   8.11%  09/29/2028   356,268 
     GIP Pilot Acquisition Partners LP             
 461,920   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor)   7.09%  10/04/2030   465,385 
     Gogo Intermediate Holdings LLC             
 733,261   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.22%  04/28/2028   697,742 
     Golden State Foods LLC             
 575,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.77%  12/04/2031   580,839 
     Graham Packaging Co., Inc.             
 1,120,812   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  08/04/2027   1,124,864 
     Grant Thornton Advisors Holdings LLC             
 200,543   Senior Secured Term Loan (1 mo. Term SOFR + 2.75%)   7.13%  05/30/2031   200,838 
     Grant Thornton LLP/Chicago             
 678,300   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.82%  05/30/2031   679,297 
     Gray Television, Inc.             
 625,000   Senior Secured Term Loan (1 mo. Term SOFR + 3.00%)   7.67%  12/01/2028   579,181 
     Great Outdoors Group LLC             
 1,270,145   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.22%  03/06/2028   1,278,719 
     Greystone Select Financial LLC             
 372,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.75% Floor)   9.88%  06/19/2028   371,070 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Grifols Worldwide Operations USA, Inc.             
 570,631   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor)   6.74%  11/15/2027   569,241 
     Hamilton Projects Acquiror LLC             
 225,170   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor)   8.32%  05/30/2031   227,210 
     Helios Software Holdings, Inc.             
 787,533   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   8.09%  07/15/2030   793,144 
     Hexion Holdings Corp.             
 1,185,881   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor)   8.45%  03/15/2029   1,188,015 
     Hightower Holding LLC             
 1,383,050   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   8.07%  04/21/2028   1,392,268 
     Hilton Grand Vacations Borrower LLC             
 615,350   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.61%  01/17/2031   618,091 
     HomeServe USA Holding Corp.             
 466,475   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.37%  10/21/2030   467,466 
     Hunter Douglas, Inc.             
 314,359   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor)   8.02%  02/26/2029   314,595 
 856,126   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor)   8.02%  02/26/2029   856,768 
     INEOS US Finance LLC             
 2,125,686   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  02/19/2030   2,137,834 
     Ineos US Finance T/L B             
 299,250   Senior Secured Term Loan   7.76%(g)  02/07/2031   302,057 
     INEOS US Petrochem LLC             
 1,200,925   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.71%  03/29/2029   1,211,433 
 565,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.61%  10/07/2031   571,356 
     ION Trading Finance T/L B             
 340,375   Senior Secured Term Loan   7.98%(g)  04/03/2028   341,257 
     Iron Mountain Information Management LLC             
 1,173,150   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  01/31/2031   1,174,616 
     Kenan Advantage Group, Inc.             
 923,510   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  01/25/2029   930,441 
     Klockner Pentaplast of America, Inc.             
 470,678   Senior Secured First Lien Term Loan (6 mo. SOFR US + 4.73%, 0.50% Floor)   9.72%  02/09/2026   431,847 
     Kodiak BP LLC             
 135,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor)   8.27%  12/04/2031   135,265 
     Kronos Acquisition Holdings, Inc.             
 728,175   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor)   8.58%  07/08/2031   689,491 
     Lasership T/L E             
 168,000   Senior Secured Term Loan   12.28%(g)  08/10/2029   65,240 
     LBM Acquisition LLC             
 1,742,182   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.30%  06/06/2031   1,730,204 
     LC Ahab US Bidco LLC             
 802,988   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  05/01/2031   810,519 
     Level 3 Financing, Inc.             
 182,946   Senior Secured First Lien Term Loan (1 mo. SOFR US + 6.56%, 2.00% Floor)   10.92%  04/16/2029   186,857 
 182,946   Senior Secured First Lien Term Loan (1 mo. SOFR US + 6.56%, 2.00% Floor)   11.13%  04/15/2030   186,765 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Life Time, Inc.             
 580,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%)   7.03%  11/05/2031   583,045 
     LifePoint Health, Inc.             
 169,575   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 1.00% Floor)   7.96%  05/19/2031   170,158 
 1,517,385   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor)   8.41%  05/19/2031   1,524,660 
     Lightning Power LLC             
 753,113   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.74%  08/18/2031   762,632 
     Lumen Technologies, Inc.             
 515,000   Senior Secured First Lien Term Loan (1 mo. Term SOFR + 2.35%)   7.04%  04/16/2029   485,297 
     Lummus Technology Holdings V LLC             
 1,005,648   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%)   7.36%  12/31/2029   1,014,608 
     Madison IAQ LLC             
 1,431,046   Senior Secured First Lien Term Loan (6 mo. SOFR US + 2.75%, 0.50% Floor)   7.89%  06/21/2028   1,437,979 
     Madison Safety & Flow LLC             
 428,925   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  09/26/2031   432,612 
     McAfee Corp.             
 1,123,825   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor)   7.37%  03/01/2029   1,126,214 
     Medline Borrower LP             
 1,152,028   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.50% Floor)   6.61%  10/23/2028   1,157,396 
     MH Sub I LLC             
 905,000   Senior Secured Term Loan (1 mo. Term SOFR + 4.25%)   8.76%  12/11/2031   898,493 
     Michaels Cos., Inc.             
 279,182   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.75% Floor)   9.17%  04/17/2028   226,056 
     Mister Car Wash Holdings, Inc.             
 219,450   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.09%  03/27/2031   220,762 
     Mitchell International, Inc.             
 2,249,363   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.61%  06/17/2031   2,253,366 
 500,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor)   9.82%  06/17/2032   495,835 
     MITER Brands Acquisition Holdco, Inc.             
 218,900   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  03/28/2031   221,408 
     Modena Buyer LLC             
 315,195   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.50%, 0.00% Floor)   9.10%  07/01/2031   306,077 
     Motion Finco Sarl             
 471,824   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   7.83%  11/30/2029   467,596 
     Natgasoline LLC             
 1,182,556   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.00% Floor)   9.02%  11/14/2025   1,176,643 
     NEP Group, Inc.             
 1,191,593   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25% + 1.50% PIK, 0.00% Floor)   8.12%  08/19/2026   1,092,095 
 37,322   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25% + 1.50% PIK, 0.00% Floor)   8.12%  08/19/2026   34,206 
     Newfold Digital Holdings Group, Inc.             
 347,472   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.75% Floor)   8.14%  02/10/2028   236,010 
     Nouryon Finance BV             
 195,031   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.66%  04/03/2028   196,799 
 736,654   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.66%  04/03/2028   743,332 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Nvent Thermal LLC             
 910,000   Senior Secured Term Loan (1 mo. Term SOFR + 3.50%)   8.02%  09/12/2031   921,093 
     Olympus Water US Holding Corp.             
 1,331,663   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor)   8.10%  06/23/2031   1,337,488 
     OneDigital Borrower LLC             
 1,572,100   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.61%  07/02/2031   1,578,043 
 520,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.50% Floor)   9.61%  07/02/2032   518,864 
     Ontario Gaming GTA LP             
 1,132,530   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor)   8.89%  08/01/2030   1,136,273 
     Oryx Midstream Services Permian Basin LLC             
 1,013,870   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor)   7.51%  10/05/2028   1,021,393 
     Ovg Business Services LLC             
 748,125   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  06/25/2031   750,931 
     Pacific Dental Services, Inc.             
 1,067,423   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.13%  03/17/2031   1,076,095 
     Packaging Coordinators Midco, Inc.             
 1,386,960   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.75% Floor)   7.84%  11/30/2027   1,394,762 
     Pactiv Evergreen Group Holdings, Inc.             
 632,693   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  09/25/2028   636,154 
 128,264   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  09/25/2028   128,965 
 161,688   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  09/25/2028   162,573 
     Par Petroleum LLC             
 270,189   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor)   8.33%  02/28/2030   269,851 
     Peraton Corp.             
 947,485   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.21%  02/01/2028   884,022 
     Perrigo Investments LLC             
 687,440   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  04/20/2029   690,706 
     PetSmart LLC             
 2,382,689   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.21%  02/14/2028   2,377,721 
     Phoenix Newco, Inc.             
 1,322,595   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor)   7.36%  11/15/2028   1,333,341 
     Playa Resorts Holding BV             
 1,260,924   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor)   7.11%  01/05/2029   1,263,642 
     PointClickCare Technologies, Inc.             
 1,026,926   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.58%  11/03/2031   1,034,628 
     Polar US Borrower LLC             
 214   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor)   9.98%  10/15/2028   155 
 176,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor)   9.98%  10/15/2028   127,776 
 215   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor)   9.98%  10/15/2028   156 
 174,912   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor)   9.98%  10/15/2028   126,986 
     Polaris Newco LLC             
 897,028   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.50% Floor)   8.85%  06/05/2028   899,778 
     Pregis TopCo LLC             
 1,377,637   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor)   8.36%  07/31/2026   1,388,341 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Pretium PKG Holdings, Inc.             
 11,015   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.60%, 1.00% Floor)   9.17%  10/02/2028   8,808 
 551,832   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.60%, 1.00% Floor)   9.17%  10/02/2028   441,292 
 302,386   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 1.00% Floor)   9.57%  10/02/2028   312,593 
 8,094   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 1.00% Floor)   9.57%  10/02/2028   8,368 
 275,000   Senior Secured Second Lien Term Loan (3 mo. SOFR US + 6.75%, 0.50% Floor)   11.53%  10/01/2029   103,440 
     Proofpoint, Inc.             
 1,416,446   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor)   7.36%  08/31/2028   1,424,952 
     Quikrete Holdings, Inc.             
 586,674   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.61%  03/19/2029   587,041 
 173,688   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  04/14/2031   173,806 
     Radiology Partners, Inc.             
 30,126   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50% + 1.50% PIK, 0.00% Floor)   8.28%  01/31/2029   29,848 
 1,370,003   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50% + 1.50% PIK, 0.00% Floor)   8.28%  01/31/2029   1,357,331 
     RealPage, Inc.             
 340,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor)   8.08%  04/24/2028   342,020 
     Restaurant Technologies, Inc.             
 1,168,229   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor)   8.85%  04/02/2029   1,149,613 
 111,576   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor)   8.85%  04/02/2029   109,799 
 111,576   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor)   8.85%  04/02/2029   109,798 
     Sabre GLBL, Inc.             
 118,570   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.97%  12/17/2027   115,606 
 67,428   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.97%  12/17/2027   65,742 
 378,506   Senior Secured First Lien Term Loan (1 mo. SOFR US + 6.00%, 0.00% Floor)   10.46%  11/15/2029   377,560 
 164,859   Senior Secured First Lien Term Loan (1 mo. SOFR US + 6.00%, 0.00% Floor)   10.46%  11/15/2029   161,562 
     Sandisk Corp./DE             
 455,000   Senior Secured Term Loan (1 mo. Term SOFR + 3.00%)   7.52%  02/09/2032   448,034 
     Scientific Games Holdings LP             
 573,563   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.50% Floor)   7.59%  04/04/2029   575,642 
     Sedgwick Claims Management Services, Inc.             
 1,122,188   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.59%  07/31/2031   1,130,340 
     Select Medical Corp.             
 550,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   6.53%  12/03/2031   552,519 
     Signia Aerospace LLC             
 629,538   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.40%  12/11/2031   630,722 
 515,077   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.40%  12/11/2031   516,045 
     Six Flags Entertainment Corp.             
 353,225   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  05/01/2031   354,770 
     Sotera Health Holdings LLC             
 1,406,475   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.84%  05/30/2031   1,411,756 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
     Southern Veterinary Partners LLC             
 1,250,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.71%  12/04/2031   1,260,394 
     Spin Holdco, Inc.             
 407,305   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.75% Floor)   8.71%  03/06/2028   344,843 
     Staples, Inc.             
 379,050   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.75%, 0.50% Floor)   10.18%  09/10/2029   363,238 
     Starwood Property Mortgage LLC             
 374,198   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.75% Floor)   7.71%  07/27/2026   374,900 
     StubHub Holdco Sub LLC             
 917,867   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor)   9.11%  03/15/2030   921,309 
     SWF Holdings I FLSO T/L A2             
 499,029   Senior Secured Term Loan   8.48%(g)  10/06/2028   449,126 
     Tamko Building Products LLC             
 317,500   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%)   7.08%  09/20/2030   320,478 
 317,500   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%)   7.09%  09/20/2030   320,478 
     Team Health Holdings, Inc.             
 718,179   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.25%, 1.00% Floor)   9.84%  03/02/2027   696,365 
     Tecta America Corp.             
 800,950   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.75% Floor)   8.71%  04/10/2028   806,288 
     Tempur Sealy International, Inc.             
 2,885,000   Senior Secured First Lien Term Loan (Daily US Secured Overnight Financing Rate + 2.50%, 0.00% Floor)   6.81%  10/24/2031   2,896,713 
     Thunder Generation Funding LLC             
 1,027,425   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.61%  10/03/2031   1,035,449 
     Tiger Acquisition LLC             
 900,099   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor)   7.34%  06/01/2028   902,349 
     Titan Acquisition Ltd./Canada             
 1,164,150   Senior Secured First Lien Term Loan (6 mo. SOFR US + 4.50%, 0.00% Floor)   8.78%  02/15/2029   1,175,431 
     TK Elevator US Newco, Inc.             
 568,910   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.50% Floor)   8.59%  04/30/2030   573,749 
 990,399   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.50% Floor)   8.59%  04/30/2030   998,822 
     Trans Union LLC             
 422,875   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  06/24/2031   422,809 
     TransDigm, Inc.             
 1,990,175   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor)   6.83%  02/28/2031   1,995,827 
 937,650   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor)   7.32%  01/20/2032   940,702 
     Travelport Finance Luxembourg Sarl             
 453,132   Senior Secured First Lien Term Loan (3 mo. SOFR US + 1.41%, 1.00% Floor)   11.32%  09/29/2028   425,518 
 157,629   Senior Secured First Lien Term Loan (3 mo. SOFR US + 1.41%, 1.00% Floor)   11.32%  09/29/2028   148,023 
     Traverse Midstream Partners T/L B             
 277,654   Senior Secured First Lien Term Loan   7.56%(g)  02/16/2028   279,505 
     TricorBraun Holdings, Inc.             
 984,803   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.72%  03/03/2028   985,325 
     Trident TPI Holdings, Inc.             
 1,042,331   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor)   8.19%  09/18/2028   1,052,989 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
     Triton Water Holdings, Inc.             
 1,556,728   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.50% Floor)   7.84%  03/31/2028   1,570,941 
     UFC Holdings LLC             
 675,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor)   6.77%  11/21/2031   679,563 
     UKG, Inc.             
 2,154,175   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.62%  02/10/2031   2,172,065 
     Ultra Clean Holdings, Inc.             
 562,917   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  02/25/2028   568,197 
     United Airlines, Inc.             
 941,179   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor)   6.63%  02/24/2031   945,466 
     United Natural Foods, Inc.             
 462,675   Senior Secured First Lien Term Loan (1 mo. Term SOFR + 4.75%, 0.00% Floor)   9.44%  05/01/2031   471,119 
     United Talent Agency LLC             
 342,413   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.20%  07/07/2028   344,981 
     Univision Communications, Inc.             
 744,573   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor)   8.85%  06/25/2029   748,996 
     Upbound Group, Inc.             
 658,705   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.50% Floor)   7.34%  02/17/2028   660,352 
     Vantage Specialty Chemicals, Inc.             
 1,143,956   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.50% Floor)   9.11%  10/26/2026   1,133,947 
     Verde Purchaser LLC             
 279,298   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.00% Floor)   9.10%  11/29/2030   280,520 
     Vestis Corp.             
 311,719   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor)   6.76%  02/24/2031   312,889 
     Victra Holdings LLC             
 65,894   Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.25%, 0.75% Floor)   9.61%  03/29/2029   66,842 
     Virgin Media Bristol LLC             
 1,485,000   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.18%, 0.00% Floor)   7.72%  03/31/2031   1,473,127 
     Vistra Operations Co. LLC             
 252,450   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  12/20/2030   253,311 
     Vortex Opco LLC             
 254,891   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor)   9.03%  12/17/2028   161,983 
     VT Topco, Inc.             
 396,012   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.33%  08/12/2030   399,266 
     Wand NewCo 3, Inc.             
 163,303   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  01/30/2031   164,175 
 271,307   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  01/30/2031   272,756 
     WaterBridge Midstream Operating LLC             
 937,650   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.00% Floor)   9.08%  06/27/2029   935,306 
     WaterBridge NDB Operating LLC             
 458,850   Senior Secured First Lien Term Loan (3 mo. Term SOFR + 4.00%)   8.38%  05/10/2029   464,381 
     WestJet Loyalty LP             
 1,364,688   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.58%  02/14/2031   1,372,002 
     Whatabrands LLC             
 2,216,860   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  08/03/2028   2,224,851 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
     White Cap Supply Holdings LLC             
 720,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.82%  10/31/2029   722,279 
     WhiteWater DBR HoldCo LLC             
 443,888   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.63%  03/03/2031   447,077 
     Zayo Group Holdings, Inc.             
 662,145   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.47%  03/09/2027   621,615 
     Zelis Payments Buyer, Inc.             
 830,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  11/26/2031   833,976 
     Ziggo Financing Partnership             
 850,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   7.01%  04/28/2028   847,505 
     Total Bank Loans (Cost $223,538,504)           223,230,721 
                   
 COLLATERALIZED LOAN OBLIGATIONS - 3.6%             
     Aimco CDO             
 2,000,000   Series 2018-AA-D1R (3 mo. Term SOFR + 2.85%, 2.85% Floor)   7.37%(a)  10/17/2037   2,039,340 
     Anchorage Capital CLO Ltd.             
 5,000,000   Series 2021-19A-A (3 mo. Term SOFR + 1.47%, 1.21% Floor)   6.13%(a)  10/15/2034   5,002,519 
     Babson CLO Ltd./Cayman Islands             
 2,000,000   Series 2018-1A-C (3 mo. Term SOFR + 2.86%, 0.00% Floor)   7.52%(a)  04/15/2031   2,005,757 
     Bain Capital Credit CLO             
 500,000   Series 2024-4A-D1 (3 mo. Term SOFR + 3.10%, 3.10% Floor)   7.97%(a)  10/23/2037   510,426 
 5,000,000   Series 2024-6A-A1 (3 mo. Term SOFR + 1.33%, 1.33% Floor)   5.65%(a)  01/21/2038   5,000,000 
     Battalion CLO Ltd.             
 3,000,000   Series 2022-23A-A1R (3 mo. Term SOFR + 1.42%, 1.42% Floor)   6.08%(a)  10/15/2037   3,012,013 
     Birch Grove CLO             
 10,000,000   Series 2023-5A-A1R (3 mo. Term SOFR + 1.41%, 1.41% Floor)   6.03%(a)  10/20/2037   10,041,926 
     Blackstone, Inc.             
 3,250,000   Series 2018-1A-D (3 mo. Term SOFR + 2.86%, 0.00% Floor)   7.51%(a)  04/17/2030   3,275,772 
     BlueMountain CLO Ltd.             
 4,000,000   Series 2015-3A-CR (3 mo. Term SOFR + 2.86%, 0.00% Floor)   7.48%(a)  04/20/2031   4,008,604 
 2,000,000   Series 2016-3A-DR (3 mo. Term SOFR + 3.36%, 3.10% Floor)   7.89%(a)  11/15/2030   2,017,776 
 2,400,000   Series 2017-2A-C (3 mo. Term SOFR + 3.26%, 0.00% Floor)   7.88%(a)  10/20/2030   2,418,597 
 2,500,000   Series 2018-23A-D1R (3 mo. Term SOFR + 3.85%, 3.85% Floor)   8.47%(a)  07/20/2037   2,560,975 
     Canyon Capital CLO Ltd.             
 2,500,000   Series 2012-1RA-D (3 mo. Term SOFR + 3.26%, 0.00% Floor)   7.92%(a)  07/15/2030   2,517,931 
 2,750,000   Series 2014-1A-CR (3 mo. Term SOFR + 3.01%, 2.75% Floor)   7.60%(a)  01/30/2031   2,772,114 
 3,000,000   Series 2016-1A-DR (3 mo. Term SOFR + 3.06%, 0.00% Floor)   7.72%(a)  07/15/2031   3,022,135 
 2,500,000   Series 2021-1A-D (3 mo. Term SOFR + 3.36%, 3.10% Floor)   8.02%(a)  04/15/2034   2,521,351 
     Canyon CLO             
 1,000,000   Series 2021-3A-D (3 mo. Term SOFR + 3.31%, 3.05% Floor)   7.97%(a)  07/15/2034   1,008,581 
     Carlyle Global Market Strategies             
 5,000,000   Series 2016-3A-DRRR (3 mo. Term SOFR + 2.85%, 2.85% Floor)   7.29%(a)  07/20/2034   5,066,021 
 9,000,000   Series 2021-9A-D (3 mo. Term SOFR + 3.46%, 3.20% Floor)   8.08%(a)  10/20/2034   9,080,356 
 1,000,000   Series 2022-5A-D1R (3 mo. Term SOFR + 3.15%, 3.15% Floor)   8.25%(a)  10/15/2037   1,020,279 
     Cathedral Lake CLO Ltd.             
 6,000,000   Series 2021-8A-C (3 mo. Term SOFR + 2.88%, 2.62% Floor)   7.50%(a)  01/20/2035   6,030,316 
 5,000,000   Series 2021-8A-D1 (3 mo. Term SOFR + 3.68%, 3.42% Floor)   8.30%(a)  01/20/2035   5,047,538 
     Cent CLO             
 9,500,000   Series 2018-27A-DR (3 mo. Term SOFR + 4.09%, 3.83% Floor)   8.72%(a)  01/25/2035   9,591,651 
     Dryden Senior Loan Fund             
 3,000,000   Series 2015-40A-DR (3 mo. Term SOFR + 3.36%, 3.10% Floor)   7.89%(a)  08/15/2031   3,027,142 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 2,200,000   Series 2016-43A-DR3 (3 mo. Term SOFR + 3.51%, 3.25% Floor)   8.13%(a)  04/20/2034   2,219,213 
 2,000,000   Series 2018-57A-D (3 mo. Term SOFR + 2.81%, 2.55% Floor)   7.34%(a)  05/15/2031   2,004,483 
     ING Investment Management CLO Ltd.             
 3,000,000   Series 2014-1A-CR2 (3 mo. Term SOFR + 3.06%, 0.00% Floor)   7.69%(a)  04/18/2031   3,022,839 
     LCM LP             
 2,000,000   Series 25A-D (3 mo. Term SOFR + 3.71%, 0.00% Floor)   8.33%(a)  07/20/2030   2,015,077 
 3,250,000   Series 28A-D (3 mo. Term SOFR + 3.21%, 2.95% Floor)   7.83%(a)  10/20/2030   3,256,499 
 4,000,000   Series 30A-DR (3 mo. Term SOFR + 3.26%, 3.00% Floor)   7.88%(a)  04/20/2031   4,031,361 
     LCM XIII LP             
 4,000,000   Series 14A-DR (3 mo. Term SOFR + 3.01%, 0.00% Floor)   7.63%(a)  07/20/2031   4,030,466 
     Magnetite CLO Ltd.             
 2,000,000   Series 2019-23A-DR (3 mo. Term SOFR + 3.31%, 3.05% Floor)   7.94%(a)  01/25/2035   2,018,386 
     Marble Point CLO             
 1,500,000   Series 2022-2A-BR (3 mo. Term SOFR + 2.85%, 2.85% Floor)   7.47%(a)  10/20/2036   1,523,128 
     Menlo CLO Ltd.             
 3,000,000   Series 2024-1A-A1 (3 mo. Term SOFR + 1.42%, 1.42% Floor)   5.75%(a)  01/20/2038   3,016,143 
     Neuberger Berman CLO Ltd.             
 2,000,000   Series 2019-32A-DR (3 mo. Term SOFR + 2.96%, 2.70% Floor)   7.58%(a)  01/20/2032   2,009,993 
     Octagon Investment Partners Ltd.             
 5,600,000   Series 2012-1A-CRR (3 mo. Term SOFR + 4.16%, 3.90% Floor)   8.82%(a)  07/15/2029   5,640,657 
 2,000,000   Series 2013-1A-DR (3 mo. Term SOFR + 3.26%, 3.00% Floor)   7.91%(a)  07/17/2030   2,008,927 
 2,000,000   Series 2013-1A-DR2 (3 mo. Term SOFR + 2.76%, 0.00% Floor)   7.39%(a)  01/25/2031   2,009,813 
 2,250,000   Series 2014-1A-CR3 (3 mo. Term SOFR + 3.01%, 2.75% Floor)   7.53%(a)  02/14/2031   2,270,044 
 10,000,000   Series 2016-1A-DR (3 mo. Term SOFR + 3.21%, 0.00% Floor)   7.87%(a)  07/15/2030   10,074,581 
 5,460,000   Series 2017-1A-CR (3 mo. Term SOFR + 3.56%, 0.00% Floor)   8.18%(a)  03/17/2030   5,501,805 
 1,760,000   Series 2017-1A-D (3 mo. Term SOFR + 6.46%, 0.00% Floor)   11.08%(a)  03/17/2030   1,765,558 
 1,500,000   Series 2018-18A-C (3 mo. Term SOFR + 2.96%, 0.00% Floor)   7.61%(a)  04/16/2031   1,505,361 
 2,500,000   Series 2018-2A-C (3 mo. Term SOFR + 3.11%, 0.00% Floor)   7.74%(a)  07/25/2030   2,519,885 
 3,500,000   Series 2019-1A-DR (3 mo. Term SOFR + 3.61%, 3.35% Floor)   8.23%(a)  01/20/2035   3,531,507 
     Octagon Investment Partners XXII LLC             
 2,500,000   Series 2014-1A-ERR (3 mo. Term SOFR + 5.71%, 5.71% Floor)   10.34%(a)  01/22/2030   2,481,925 
     OFSI Fund Ltd.             
 1,000,000   Series 2022-11A-BR (3 mo. Term SOFR + 2.80%, 2.80% Floor)   7.43%(a)  10/18/2035   1,012,036 
     Park Blue CLO Ltd.             
 5,000,000   Series 2022-1A-A1R (3 mo. Term SOFR + 1.42%, 1.42% Floor)   6.04%(a)  10/20/2037   5,025,947 
     Sound Point CLO Ltd.             
 1,000,000   Series 2018-2A-C (3 mo. Term SOFR + 2.21%, 0.00% Floor)   6.83%(a)  07/26/2031   1,001,633 
 7,000,000   Series 2019-2A-DR (3 mo. Term SOFR + 3.56%, 3.30% Floor)   8.22%(a)  07/15/2034   7,059,914 
 7,000,000   Series 2019-3A-DR (3 mo. Term SOFR + 3.76%, 3.76% Floor)   8.39%(a)  10/25/2034   7,004,138 
 2,000,000   Series 2020-1A-DR (3 mo. Term SOFR + 3.61%, 3.61% Floor)   8.23%(a)  07/20/2034   2,017,695 
 4,000,000   Series 2020-3A-D (3 mo. Term SOFR + 3.91%, 3.65% Floor)   8.54%(a)  01/25/2032   4,034,523 
 1,250,000   Series 2021-3A-D (3 mo. Term SOFR + 3.51%, 3.25% Floor)   8.14%(a)  10/25/2034   1,256,989 
 1,000,000   Series 2021-4A-D (3 mo. Term SOFR + 3.66%, 3.66% Floor)   8.29%(a)  10/25/2034   1,009,049 
     Stewart Park CLO             
 10,000,000   Series 2015-1A-DR (3 mo. Term SOFR + 2.86%, 2.60% Floor)   7.52%(a)  01/15/2030   10,019,792 
     Storm King Park CLO Ltd.             
 1,000,000   Series 2022-1A-AR (3 mo. Term SOFR + 1.36%, 1.36% Floor)   6.02%(a)  10/15/2037   1,006,697 
     Symphony CLO Ltd.             
 3,000,000   Series 2015-16A-DR (3 mo. Term SOFR + 3.31%, 3.05% Floor)   7.97%(a)  10/15/2031   3,022,649 
     Trimaran CAVU LLC             
 10,000,000   Series 2021-3A-D (3 mo. Term SOFR + 4.04%, 3.78% Floor)   8.67%(a)  01/18/2035   10,092,382 
     Upland CLO             
 1,000,000   Series 2016-1A-CR (3 mo. Term SOFR + 3.16%, 0.00% Floor)   7.78%(a)  04/20/2031   1,007,587 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
     Voya CLO Ltd.             
 3,000,000   Series 2017-3A-CR (3 mo. Term SOFR + 3.41%, 0.00% Floor)   8.03%(a)  04/20/2034   3,026,542 
 4,000,000   Series 2018-2A-D (3 mo. Term SOFR + 3.01%, 2.75% Floor)   7.67%(a)  07/15/2031   4,030,536 
     Wind River CLO Ltd.             
 2,250,000   Series 2014-1A-DRR (3 mo. Term SOFR + 3.26%, 3.00% Floor)   7.89%(a)  07/18/2031   2,266,903 
 1,000,000   Series 2014-2A-ER (3 mo. Term SOFR + 6.01%, 5.75% Floor)   10.67%(a)  01/15/2031   881,706 
 4,000,000   Series 2014-3A-DR2 (3 mo. Term SOFR + 3.66%, 3.40% Floor)   8.29%(a)  10/22/2031   4,031,095 
 3,000,000   Series 2017-1A-DR (3 mo. Term SOFR + 3.98%, 3.72% Floor)   8.61%(a)  04/18/2036   3,026,923 
 4,000,000   Series 2017-3A-DR (3 mo. Term SOFR + 4.11%, 3.85% Floor)   8.77%(a)  04/15/2035   4,035,334 
 4,000,000   Series 2018-1A-D (3 mo. Term SOFR + 3.16%, 0.00% Floor)   7.82%(a)  07/15/2030   4,029,624 
 2,000,000   Series 2021-1A-D1R (3 mo. Term SOFR + 3.95%, 3.95% Floor)   8.57%(a)  07/20/2037   2,050,540 
     Total Collateralized Loan Obligations (Cost $240,907,917)           243,007,005 
 FOREIGN CORPORATE BONDS - 5.7%             
 263,000   1375209 BC Ltd.   9.00%(a)  01/30/2028   263,695 
 2,361,984   Acu Petroleo Luxembourg Sarl   7.50%  01/13/2032   2,333,740 
 1,700,000   Adani Electricity Mumbai Ltd.   3.95%  02/12/2030   1,362,486 
 300,000   Adani Electricity Mumbai Ltd.   3.87%  07/22/2031   230,651 
 1,245,000   Adani International Container Terminal Pvt Ltd.   3.00%(a)  02/16/2031   1,025,880 
 2,656,000   Adani International Container Terminal Pvt Ltd.   3.00%  02/16/2031   2,188,544 
 1,000,000   Adani Ports & Special Economic Zone Ltd.   4.00%  07/30/2027   904,357 
 1,614,000   Adani Ports & Special Economic Zone Ltd.   4.20%  08/04/2027   1,461,045 
 1,500,000   Adani Ports & Special Economic Zone Ltd.   4.38%  07/03/2029   1,292,331 
 500,000   Adani Ports & Special Economic Zone Ltd.   3.10%  02/02/2031   380,395 
 2,000,000   Adani Transmission Step-One Ltd.   4.00%  08/03/2026   1,839,427 
 1,297,750   Adani Transmission Step-One Ltd.   4.25%  05/21/2036   1,008,725 
 3,492,000   AerCap Ireland Capital DAC / AerCap Global Aviation Trust   5.10%  01/19/2029   3,490,924 
 4,914,000   AerCap Ireland Capital DAC / AerCap Global Aviation Trust
 (5 yr. CMT Rate + 2.72%)		   6.95%  03/10/2055   5,059,722 
 200,000   Aeropuertos Dominicanos Siglo XXI SA   7.00%(a)  06/30/2034   204,250 
 2,600,000   AES Espana BV   5.70%(a)  05/04/2028   2,475,135 
 1,250,000   Agrosuper SA   4.60%  01/20/2032   1,119,187 
 6,342,000   AIB Group PLC
 (SOFR + 1.91%)		   5.87%(a)  03/28/2035   6,356,976 
 885,414   AL Candelaria Spain SA   7.50%  12/15/2028   874,985 
 3,200,000   AL Candelaria Spain SA   5.75%(a)  06/15/2033   2,602,711 
 1,650,000   AL Candelaria Spain SA   5.75%  06/15/2033   1,342,023 
 800,000   Altice Financing SA   5.00%(a)  01/15/2028   626,986 
 805,000   Altice France Holding SA   6.00%(a)  02/15/2028   213,272 
 1,660,000   Altice France SA   5.50%(a)  10/15/2029   1,251,660 
 1,200,000   AngloGold Ashanti Holdings PLC   3.38%  11/01/2028   1,109,383 
 2,623,000   ArcelorMittal SA   6.00%  06/17/2034   2,671,070 
 1,305,000   Ardonagh Finco Ltd.   7.75%(a)  02/15/2031   1,345,234 
 1,500,000   Aris Mining Corp.   8.00%(a)  10/31/2029   1,486,253 
 1,093,425   Avation Capital SA
 9.00% PIK		   8.25%(a)  10/31/2026   1,075,017 
 4,473,000   Avolon Holdings Funding Ltd.   5.75%(a)  03/01/2029   4,522,949 
 5,525,000   Avolon Holdings Funding Ltd.   5.75%(a)  11/15/2029   5,595,403 
 695,000   Azorra Finance Ltd.   7.75%(a)  04/15/2030   691,655 
 1,200,000   Banco Continental SAECA   2.75%  12/10/2025   1,161,026 
 2,400,000   Banco Davivienda SA
 (10 yr. CMT Rate + 5.10%)		   6.65%(a)(h)  04/22/2031   2,065,047 
 500,000   Banco de Credito del Peru SA
 (5 yr. CMT Rate + 3.00%)		   3.13%(a)  07/01/2030   490,603 
 3,240,000   Banco de Credito del Peru SA
 (5 yr. CMT Rate + 3.00%)		   3.13%  07/01/2030   3,179,107 
 2,800,000   Banco de Credito del Peru SA
 (5 yr. CMT Rate + 2.45%)		   3.25%  09/30/2031   2,655,032 
 500,000   Banco del Estado de Chile
 (5 yr. CMT Rate + 3.23%)		   7.95%(a)(h)  05/02/2029   514,138 
 1,400,000   Banco do Estado do Rio Grande do Sul SA
 (5 yr. CMT Rate + 4.93%)		   5.38%  01/28/2031   1,381,227 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 2,800,000   Banco Industrial SA/Guatemala
 (5 yr. CMT Rate + 4.44%)		   4.88%  01/29/2031   2,748,200 
 5,777,000   Banco Internacional del Peru SAA Interbank
 (5 yr. CMT Rate + 3.71%)		   4.00%  07/08/2030   5,705,622 
 2,600,000   Banco Mercantil del Norte SA/Grand Cayman
 (10 yr. CMT Rate + 5.35%)		   7.63%(h)  01/10/2028   2,554,328 
 1,100,000   Banco Mercantil del Norte SA/Grand Cayman
 (10 yr. CMT Rate + 5.47%)		   7.50%(a)(h)  06/27/2029   1,065,234 
 1,100,000   Banco Mercantil del Norte SA/Grand Cayman
 (5 yr. CMT Rate + 4.07%)		   8.38%(a)(h)  05/20/2031   1,098,830 
 200,000   Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand   5.62%(a)  12/10/2029   199,500 
 5,000,000   Banco Santander SA
 (1 yr. CMT Rate + 0.95%)		   5.37%  07/15/2028   5,035,773 
 900,000   Bancolombia SA
 (5 yr. CMT Rate + 4.32%)		   8.63%  12/24/2034   943,185 
 7,403,000   Bank of Montreal
 (5 yr. Swap Rate USD + 1.43%)		   3.80%  12/15/2032   7,083,230 
 5,106,000   Barclays PLC
 (SOFR + 1.91%)		   5.34%  09/10/2035   4,907,304 
 4,439,000   BAT Capital Corp.   4.54%  08/15/2047   3,505,286 
 1,900,000   BBVA Bancomer SA/Texas
 (5 yr. CMT Rate + 2.65%)		   5.13%  01/18/2033   1,768,836 
 2,200,000   BBVA Bancomer SA/Texas
 (5 yr. CMT Rate + 4.31%)		   5.88%  09/13/2034   2,089,282 
 1,685,000   Belron UK Finance PLC   5.75%(a)  10/15/2029   1,669,092 
 1,040,000   Bombardier, Inc.   8.75%(a)  11/15/2030   1,119,232 
 255,000   Bombardier, Inc.   7.00%(a)  06/01/2032   259,720 
 1,400,000   Braskem Idesa SAPI   6.99%  02/20/2032   1,030,469 
 1,000,000   Braskem Netherlands Finance BV   4.50%  01/31/2030   847,396 
 1,400,000   Buffalo Energy Mexico Holdings / Buffalo Energy Infrastructure / Buffalo Energy   7.88%(a)  02/15/2039   1,445,045 
 4,820,000   CaixaBank SA
 (SOFR + 2.26%)		   6.04%(a)  06/15/2035   4,867,055 
 2,800,000   Canacol Energy Ltd.   5.75%  11/24/2028   1,561,955 
 2,100,000   CAP SA   3.90%(a)  04/27/2031   1,694,700 
 2,900,000   CAP SA   3.90%  04/27/2031   2,340,300 
 4,007,000   CCL Industries, Inc.   3.05%(a)  06/01/2030   3,598,669 
 3,400,000   Cemex SAB de CV
 (5 yr. CMT Rate + 4.53%)		   5.13%(h)  06/08/2026   3,333,202 
 200,000   Cencosud SA   4.38%  07/17/2027   195,562 
 4,940,479   Chile Electricity PEC SpA   0.00%(a)  01/25/2028   4,164,823 
 5,111,000   Cia de Minas Buenaventura SAA   5.50%  07/23/2026   5,110,615 
 1,075,200   Cometa Energia SAB de CV   6.38%  04/24/2035   1,063,723 
 4,356,000   Commonwealth Bank of Australia   4.32%(a)  01/10/2048   3,517,460 
 2,881,000   Cosan Overseas Ltd.   8.25%(h)  02/05/2025   2,881,000 
 5,400,000   Credito Real SAB de CV SOFOM ER
 (5 yr. CMT Rate + 7.03%)		   9.13%(f)(h)  11/29/2027   54,000 
 2,200,000   CSN Resources SA   5.88%  04/08/2032   1,777,411 
 1,600,000   CT Trust   5.13%  02/03/2032   1,433,106 
 2,700,000   DBS Group Holdings Ltd.
 (5 yr. CMT Rate + 1.10%)		   1.82%  03/10/2031   2,599,604 
 14,682   Digicel Group Holdings Ltd.   0.00%(a)(b)  12/31/2030   14,632 
 677,803   Digicel Group Holdings Ltd.   0.00%(a)(b)  12/31/2030   120,409 
 1,788,649   Digicel Group Holdings Ltd.   0.00%(a)(b)  12/31/2030   41,287 
 400,000   eG Global Finance PLC   12.00%(a)  11/30/2028   447,806 
 4,846,000   Element Fleet Management Corp.   6.32%(a)  12/04/2028   5,052,968 
 1,384,200   Empresa Electrica Cochrane SpA   5.50%  05/14/2027   1,340,965 
 4,800,000   Empresas Publicas de Medellin ESP   4.25%  07/18/2029   4,293,958 
 1,400,000   Empresas Publicas de Medellin ESP   4.38%  02/15/2031   1,204,791 
 1,977,000   Enel Finance International NV   5.13%(a)  06/26/2029   1,975,861 
 1,700,000   Energuate Trust   5.88%  05/03/2027   1,664,861 
 179,357   Fermaca Enterprises S de RL de CV   6.38%  03/30/2038   174,728 
 773,370   Fideicomiso PA Pacifico Tres   8.25%  01/15/2035   771,437 
 2,800,000   Freeport Indonesia PT   4.76%  04/14/2027   2,775,948 
 2,000,000   Freeport Indonesia PT   5.32%  04/14/2032   1,948,853 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 500,000   Freeport-McMoRan, Inc.   4.38%  08/01/2028   487,969 
 1,031,000   Frigorifico Concepcion SA   7.70%  07/21/2028   800,445 
 1,295,000   Garda World Security Corp.   4.63%(a)  02/15/2027   1,258,911 
 930,000   Garda World Security Corp.   6.00%(a)  06/01/2029   882,685 
 1,290,000   GGAM Finance Ltd.   6.88%(a)  04/15/2029   1,309,471 
 4,223,000   Glencore Funding LLC   1.63%(a)  04/27/2026   4,052,111 
 8,718,000   Glencore Funding LLC   5.37%(a)  04/04/2029   8,791,232 
 2,075,000   Global Aircraft Leasing Co. Ltd.   8.75%(a)  09/01/2027   2,118,868 
 1,500,000   Global Bank Corp.
 (3 mo. LIBOR US + 3.30%)		   5.25%(e)  04/16/2029   1,412,670 
 470,720   GNL Quintero SA   4.63%  07/31/2029   464,670 
 1,300,000   Gold Fields Orogen Holdings BVI Ltd.   6.13%  05/15/2029   1,317,299 
 4,150,000   Gran Tierra Energy, Inc.   9.50%(a)  10/15/2029   3,870,083 
 1,460,000   Grifols SA   4.75%(a)  10/15/2028   1,343,264 
 5,910,010   Guara Norte Sarl   5.20%  06/15/2034   5,399,214 
 282,400   Hunt Oil Co. of Peru LLC Sucursal Del Peru   6.38%  06/01/2028   284,390 
 1,870,000   Husky Injection Molding Systems Ltd. / Titan Co.-Borrower LLC   9.00%(a)  02/15/2029   1,954,629 
 1,300,000   INEOS Finance PLC   7.50%(a)  04/15/2029   1,332,334 
 5,680,000   InRetail Consumer   3.25%  03/22/2028   5,216,356 
 2,400,000   InRetail Shopping Malls   5.75%  04/03/2028   2,376,637 
 575,000   Intelsat Jackson Holdings SA   6.50%(a)  03/15/2030   531,802 
 1,900,000   Intercorp Financial Services, Inc.   4.13%  10/19/2027   1,818,785 
 200,000   Intercorp Peru Ltd.   3.88%  08/15/2029   180,528 
 263,706   Interoceanica IV Finance Ltd.
Series 2007		   0.00%(b)  11/30/2025   253,816 
 1,192,690   Invepar Holdings   0.00%(b)(f)  12/30/2028   – 
 1,600,000   Itau Unibanco Holding SA/Cayman Island
 (5 yr. CMT Rate + 3.22%)		   4.63%(h)  02/27/2025   1,592,814 
 200,000   Itau Unibanco Holding SA/Cayman Island
 (5 yr. CMT Rate + 3.86%)		   7.86%(h)  03/19/2025   202,080 
 958,750   JSW Hydro Energy Ltd.   4.13%(a)  05/18/2031   865,774 
 1,475,000   JSW Hydro Energy Ltd.   4.13%  05/18/2031   1,331,960 
 1,700,000   JSW Infrastructure Ltd.   4.95%  01/21/2029   1,640,401 
 300,000   Kallpa Generacion SA   4.13%  08/16/2027   291,582 
 625,000   Kronos Acquisition Holdings, Inc.   8.25%(a)  06/30/2031   596,772 
 3,100,000   KUO SAB De CV   5.75%  07/07/2027   3,014,903 
 1,400,000   LD Celulose International GmbH   7.95%(a)  01/26/2032   1,404,921 
 1,395,768   Lima Metro Line 2 Finance Ltd.   4.35%  04/05/2036   1,283,334 
 2,372,000   Macquarie Airfinance Holdings Ltd.   6.40%(a)  03/26/2029   2,442,431 
 627,000   Macquarie Airfinance Holdings Ltd.   5.15%(a)  03/17/2030   614,420 
 515,000   Macquarie Airfinance Holdings Ltd.   6.50%(a)  03/26/2031   533,691 
 600,000   MARB BondCo PLC   3.95%  01/29/2031   503,053 
 1,340,000   Mattamy Group Corp.   4.63%(a)  03/01/2030   1,247,657 
 700,000   Medco Laurel Tree Pte Ltd.   6.95%  11/12/2028   697,766 
 3,000,000   Medco Oak Tree Pte Ltd.   7.38%  05/14/2026   3,056,721 
 600,000   MEGlobal BV   4.25%  11/03/2026   587,142 
 2,100,000   MEGlobal Canada ULC   5.00%  05/18/2025   2,096,661 
 2,095,000   Merlin Entertainments Group US Holdings, Inc.   7.38%(a)  02/15/2031   2,029,339 
 2,550,000   Mexarrend SAPI de CV   10.25%(a)(f)  07/24/2025   47,175 
 1,386,144   Mexico Generadora de Energia S de RL   5.50%  12/06/2032   1,344,005 
 900,000   Millicom International Cellular SA   5.13%  01/15/2028   867,918 
 1,800,000   Millicom International Cellular SA   6.25%  03/25/2029   1,772,353 
 1,100,000   Minerva Luxembourg SA   8.88%(a)  09/13/2033   1,142,322 
 800,000   Minerva Luxembourg SA   8.88%  09/13/2033   830,780 
 1,200,000   Minsur SA   4.50%  10/28/2031   1,065,565 
 4,950,000   Mitsubishi UFJ Financial Group, Inc.
 (1 yr. CMT Rate + 1.00%)		   5.43%  04/17/2035   4,958,956 
 991,186   Mong Duong Finance Holdings BV   5.13%  05/07/2029   953,450 
 1,400,000   Movida Europe SA   7.85%(a)  04/11/2029   1,235,250 
 1,300,000   Movida Europe SA   7.85%  04/11/2029   1,147,018 
 900,000   Multibank, Inc.   7.75%  02/03/2028   913,081 
 3,896,630   MV24 Capital BV   6.75%  06/01/2034   3,698,363 
 7,065,000   National Australia Bank Ltd.   2.99%(a)  05/21/2031   6,111,474 
 1,660,000   National Bank of Canada   4.50%  10/10/2029   1,615,063 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 2,200,000   NatWest Group PLC
 (5 yr. CMT Rate + 2.94%)		   7.30%(h)  11/19/2034   2,172,285 
 4,925,000   NatWest Markets PLC   5.41%(a)  05/17/2029   4,989,238 
 3,703,000   NBN Co. Ltd.   1.45%(a)  05/05/2026   3,543,799 
 4,200,000   Network i2i Ltd.
 (5 yr. CMT Rate + 4.27%)		   5.65%(h)  01/15/2025   4,209,878 
 900,000   Network i2i Ltd.
 (5 yr. CMT Rate + 3.39%)		   3.98%(h)  03/03/2026   880,033 
 400,000   NOVA Chemicals Corp.   7.00%(a)  12/01/2031   398,551 
 1,265,000   Ontario Gaming GTA LP/OTG Co.-Issuer, Inc.   8.00%(a)  08/01/2030   1,306,720 
 1,228,000   Orazul Energy Peru SA   5.63%  04/28/2027   1,197,939 
 500,000   Oversea-Chinese Banking Corp. Ltd.
 (5 yr. CMT Rate + 1.58%)		   1.83%(a)  09/10/2030   488,412 
 5,900,000   Oversea-Chinese Banking Corp. Ltd.
 (5 yr. CMT Rate + 1.58%)		   1.83%  09/10/2030   5,763,257 
 690,000   Parkland Corp.   4.63%(a)  05/01/2030   634,000 
 1,000,000   Periama Holdings   5.95%  04/19/2026   999,489 
 2,303,100   Prumo Participacoes e Investimentos S/A   7.50%  12/31/2031   2,289,558 
 500,000   Reliance Industries Ltd.   4.13%  01/28/2025   499,567 
 10,785,000   Renesas Electronics Corp.   2.17%(a)  11/25/2026   10,218,398 
 4,451,999   Rutas 2 & 7 Finance Ltd.   0.00%  09/30/2036   3,163,823 
 900,000   SAN Miguel Industrias Pet SA / NG PET R&P Latin America SA   3.75%  08/02/2028   818,211 
 400,000   Sasol Financing USA LLC   4.38%  09/18/2026   384,208 
 1,010,000   Seaspan Corp.   5.50%(a)  08/01/2029   944,216 
 1,100,000   Simpar Europe SA   5.20%  01/26/2031   827,178 
 5,008,000   Smurfit Kappa Treasury ULC   5.20%(a)  01/15/2030   5,043,225 
 1,439,000   South Bow Canadian Infrastructure Holdings Ltd.
 (5 yr. CMT Rate + 3.67%)		   7.50%(a)  03/01/2055   1,489,309 
 926,000   South Bow USA Infrastructure Holdings LLC   4.91%(a)  09/01/2027   923,185 
 1,500,000   Southern Copper Corp.   3.88%  04/23/2025   1,493,566 
 350,000   Sydney Airport Finance Co. Pty Ltd.   3.63%(a)  04/28/2026   344,193 
 500,000   Telefonica Celular del Paraguay SA   5.88%  04/15/2027   496,047 
 130,000   Telesat Canada / Telesat LLC   4.88%(a)  06/01/2027   73,035 
 174,000   Telesat Canada / Telesat LLC   6.50%(a)  10/15/2027   70,561 
 400,000   Termocandelaria Power SA   7.75%(a)  09/17/2031   404,824 
 1,561,087   Tierra Mojada Luxembourg II Sarl   5.75%  12/01/2040   1,429,734 
 1,000,000   TK Elevator US Newco, Inc.   5.25%(a)  07/15/2027   979,735 
 500,000   Transelec SA   3.88%  01/12/2029   480,613 
 3,705,000   Triton Container International Ltd. / TAL International Container Corp.   3.25%  03/15/2032   3,149,586 
 3,024,000   UBS Group AG
 (1 Year US Dollar SOFR Swap Rate + 1.86%)		   5.38%(a)  09/06/2045   2,883,394 
 400,000   Unigel Luxembourg SA   8.75%(f)  10/01/2026   78,612 
 3,500,000   United Overseas Bank Ltd.
 (5 yr. CMT Rate + 1.52%)		   1.75%  03/16/2031   3,365,458 
 1,700,000   United Overseas Bank Ltd.
 (5 yr. CMT Rate + 1.23%)		   2.00%  10/14/2031   1,611,752 
 300,000   UPL Corp. Ltd.   4.50%  03/08/2028   278,602 
 3,350,000   UPL Corp. Ltd.   4.63%  06/16/2030   2,969,515 
 1,895,000   Vale Overseas Ltd.   6.40%  06/28/2054   1,865,012 
 1,305,000   Vallourec SACA   7.50%(a)  04/15/2032   1,354,043 
 700,000   Vedanta Resources Finance II PLC   9.25%(a)  04/23/2026   703,385 
 1,498,123   Vedanta Resources Ltd.   13.88%  12/09/2028   1,505,810 
 5,053,000   Videotron Ltd.   5.70%(a)  01/15/2035   4,965,720 
 10,550,000   Weir Group PLC   2.20%(a)  05/13/2026   10,150,921 
 5,139,000   Westpac Banking Corp.
 (1 yr. CMT Rate + 1.20%)		   5.62%  11/20/2035   5,052,984 
 5,830,000   ZF North America Capital, Inc.   6.88%(a)  04/23/2032   5,535,394 
     Total Foreign Corporate Bonds (Cost $405,396,931)           382,570,843 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 0.8% 
 3,800,000   Banco do Brasil SA/Cayman (10 yr. CMT Rate + 4.40%)   8.75%(h)  04/15/2025   3,810,234 
 2,900,000   Banco Nacional de Comercio Exterior SNC/Cayman Islands (5 yr. CMT Rate + 2.00%)   2.72%  08/11/2031   2,673,735 
 1,800,000   Bank Negara Indonesia Persero Tbk PT   3.75%  03/30/2026   1,758,045 
 2,810,846   Bioceanico Sovereign Certificate Ltd.   0.00%  06/05/2034   2,172,784 
 10,700,000   Colombia Government International Bond   4.13%  05/15/2051   6,151,269 
 200,000   Comision Federal de Electricidad   3.35%  02/09/2031   165,874 
 1,300,000   Comision Federal de Electricidad   6.45%(a)  01/24/2035   1,228,457 
 400,000   Dominican Republic International Bond   5.50%  02/22/2029   388,300 
 9,000,000   Ecopetrol SA   5.88%  11/02/2051   6,050,504 
 2,800,000   FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple   7.25%(a)  01/31/2041   2,745,960 
 200,000   FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple   7.25%  01/31/2041   196,140 
 200,000   Guatemala Government Bond   4.38%  06/05/2027   192,800 
 800,000   Guatemala Government Bond   4.88%  02/13/2028   773,400 
 1,800,000   Guatemala Government Bond   5.25%  08/10/2029   1,733,850 
 2,000,000   Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT   4.75%  05/15/2025   1,996,537 
 3,950,273   Lima Metro Line 2 Finance Ltd.   5.88%  07/05/2034   3,943,341 
 2,800,000   Mexico Government International Bond   4.40%  02/12/2052   1,899,722 
 7,000,000   Mexico Government International Bond   6.34%  05/04/2053   6,254,960 
 600,000   OCP SA   4.50%  10/22/2025   593,397 
 900,000   Panama Government International Bond   3.88%  03/17/2028   832,302 
 4,500,000   Panama Government International Bond   3.87%  07/23/2060   2,364,486 
 900,000   Paraguay Government International Bond   4.70%  03/27/2027   885,150 
 1,900,000   Pertamina Persero PT   1.40%  02/09/2026   1,821,175 
 1,700,000   Petroleos del Peru SA   4.75%  06/19/2032   1,287,353 
 1,200,000   Petroleos del Peru SA   5.63%  06/19/2047   770,175 
 1,500,000   Petroleos Mexicanos   6.75%  09/21/2047   1,032,327 
 2,100,000   Republic of South Africa Government International Bond   4.30%  10/12/2028   1,966,520 
     Total Foreign Government Bonds, Foreign Agencies and Foreign Government
Sponsored Corporations (Cost $66,286,062)		      55,688,797 
                   
 NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS - 5.2%        
     Arbor Multifamily Mortgage Securities Trust             
 22,775,500   Series 2021-MF2-XB   0.75%(a)(c)(i)  06/15/2054   980,540 
     AREIT Ltd.             
 4,000,000   Series 2024-CRE9-B (1 mo. Term SOFR + 2.54%, 2.54% Floor)   6.93%(a)  05/17/2041   4,007,812 
     Banc of America Re-Remic Trust             
 2,638,666   Series 2016-ISQ-C   3.61%(a)(c)  08/14/2034   949,217 
     BANK             
 4,041,711   Series 2017-BNK8-XA   0.71%(c)(i)  11/15/2050   66,923 
 1,005,000   Series 2020-BN28-AS   2.14%  03/15/2063   838,615 
 1,910,000   Series 2021-BN32-A4   2.35%  04/15/2054   1,654,351 
 4,009,000   Series 2021-BN35-A5   2.29%  06/15/2064   3,361,213 
 3,109,000   Series 2021-BN37-C   3.11%(c)  11/15/2064   2,397,432 
 11,034,000   Series 2022-BNK39-AS   3.18%  02/15/2055   9,418,014 
 2,682,000   Series 2022-BNK39-E   2.50%(a)  02/15/2055   1,701,212 
     BANK5 Trust             
 5,608,000   Series 2024-5YR10-AS   5.64%  10/15/2057   5,669,851 
 5,478,000   Series 2024-5YR9-A3   5.61%  08/15/2057   5,578,338 
     BBCMS Trust             
 4,526,000   Series 2021-C12-A5   2.69%  11/15/2054   3,878,113 
 5,364,000   Series 2022-C14-A5   2.95%(c)  02/15/2055   4,637,152 
 5,785,000   Series 2022-C16-A5   4.60%(c)  06/15/2055   5,566,543 
 5,500,000   Series 2024-5C29-A3   5.21%  09/15/2057   5,522,978 
     Benchmark Mortgage Trust             
 4,598,000   Series 2020-B18-AGNF   4.14%(a)  07/15/2053   4,401,396 
 4,549,000   Series 2020-B19-AS   2.15%  09/15/2053   3,685,603 
 88,893,537   Series 2021-B28-XA   1.26%(c)(i)  08/15/2054   5,122,348 
 10,350,000   Series 2022-B32-AS   3.41%(c)  01/15/2055   8,688,626 
 5,600,000   Series 2024-V10-A3   5.28%  09/15/2057   5,623,740 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 5,000,000   Series 2024-V8-A2   5.71%  07/15/2057   5,121,212 
 5,443,000   Series 2024-V9-A3   5.60%  08/15/2057   5,537,617 
     BMO Mortgage Trust             
 653,000   Series 2024-5C3-AS   6.29%(c)  02/15/2057   671,941 
 5,539,000   Series 2024-5C6-A3   5.32%  09/15/2057   5,560,519 
 3,729,000   Series 2024-5C7-AS   5.89%(c)  11/15/2057   3,790,987 
     BSPRT Co.-Issuer LLC             
 5,580,000   Series 2023-FL10-B (1 mo. Term SOFR + 3.27%, 3.27% Floor)   7.66%(a)  09/15/2035   5,634,076 
     BX Trust             
 11,798,000   Series 2019-OC11-E   3.94%(a)(c)  12/09/2041   10,526,216 
     CFCRE Commercial Mortgage Trust             
 2,069,742   Series 2016-C6-A2   2.95%  11/10/2049   2,018,717 
 3,267,000   Series 2017-C8-B   4.20%(c)  06/15/2050   3,061,288 
     Citigroup Commercial Mortgage Trust             
 35,241,251   Series 2016-P3-XA   1.65%(c)(i)  04/15/2049   348,606 
 38,277,717   Series 2016-P4-XA   1.89%(c)(i)  07/10/2049   723,705 
 64,511,655   Series 2016-P5-XA   1.37%(c)(i)  10/10/2049   1,015,201 
 3,403,000   Series 2017-C4-B   4.10%(c)  10/12/2050   3,194,577 
 4,534,000   Series 2019-GC41-B   3.20%  08/10/2056   3,853,479 
 8,478,000   Series 2020-555-F   3.50%(a)(c)  12/10/2041   6,598,042 
 10,383,000   Series 2022-GC48-A5   4.58%(c)  05/15/2054   10,069,548 
     Citigroup/Deutsche Bank Commercial Mortgage Trust             
 50,077,077   Series 2016-C1-XA   1.36%(c)(i)  05/10/2049   465,056 
     Commercial Mortgage Pass Through Certificates             
 1,275,330   Series 2014-CR16-B   4.58%  04/10/2047   1,229,378 
 3,325,000   Series 2015-CR25-B   4.52%(c)  08/10/2048   3,275,428 
 47,983,078   Series 2015-CR26-XA   0.89%(c)(i)  10/10/2048   91,672 
 4,310,000   Series 2015-LC21-C   4.31%(c)  07/10/2048   4,064,393 
 40,706,649   Series 2016-DC2-XA   0.91%(c)(i)  02/10/2049   226,594 
     Computershare Corporate Trust             
 4,891,000   Series 2015-C31-C   4.59%(c)  11/15/2048   4,688,695 
 27,551,240   Series 2015-NXS1-XA   0.95%(c)(i)  05/15/2048   13,773 
 47,151,831   Series 2015-P2-XA   0.91%(c)(i)  12/15/2048   245,416 
 56,371,788   Series 2016-NXS6-XA   1.59%(c)(i)  11/15/2049   889,023 
 2,638,000   Series 2018-C45-C   4.73%  06/15/2051   2,437,278 
 7,228,000   Series 2018-C46-C   4.96%(c)  08/15/2051   6,500,313 
 5,000,000   Series 2018-C47-C   4.92%(c)  09/15/2061   4,676,827 
 6,546,000   Series 2018-C48-C   5.13%(c)  01/15/2052   5,953,187 
 19,617,868   Series 2019-C49-XA   1.25%(c)(i)  03/15/2052   768,691 
 10,776,000   Series 2019-C50-C   4.35%  05/15/2052   9,625,166 
 2,705,000   Series 2020-C55-B   3.14%  02/15/2053   2,365,541 
 1,014,670   Series 2020-C58-A3   1.81%  07/15/2053   872,198 
 5,510,000   Series 2020-C58-B   2.70%  07/15/2053   4,474,573 
 117,201,923   Series 2021-C59-XA   1.50%(c)(i)  04/15/2054   7,799,425 
 2,436,000   Series 2021-C61-C   3.31%  11/15/2054   1,964,651 
     Credit Suisse Mortgage Capital Certificates             
 6,380,000   Series 2021-B33-B   3.64%(a)(c)  10/10/2043   5,370,544 
     CSAIL Commercial Mortgage Trust             
 34,518,654   Series 2016-C6-XA   1.85%(c)(i)  01/15/2049   474,272 
 6,000,000   Series 2018-C14-C   4.88%(c)  11/15/2051   5,324,302 
 9,269,000   Series 2019-C16-B   3.88%  06/15/2052   8,381,765 
 61,893,847   Series 2020-C19-XA   1.09%(c)(i)  03/15/2053   2,697,674 
     DOLP Trust             
 4,550,000   Series 2021-NYC-D   3.70%(a)(c)  05/10/2041   3,577,362 
     GS Mortgage Securities Corp. II             
 267,581   Series 2011-GC5-XA   0.00%(a)(c)(i)  08/10/2044   158 
 6,484,000   Series 2014-GC26-D   4.44%(a)(c)  11/10/2047   4,051,884 
 2,635,000   Series 2015-GC32-B   4.39%(c)  07/10/2048   2,595,762 
 89,030,379   Series 2015-GS1-XA   0.75%(c)(i)  11/10/2048   336,570 
 1,825,000   Series 2016-GS2-C   4.70%(c)  05/10/2049   1,758,791 
 43,352,921   Series 2016-GS2-XA   1.72%(c)(i)  05/10/2049   591,273 
 2,588,000   Series 2018-RIVR-C (1 mo. Term SOFR + 1.55%, 1.50% Floor)   5.94%(a)  07/15/2035   108,696 
 1,070,000   Series 2019-GC42-A3   2.75%  09/10/2052   965,288 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
     JP Morgan Chase Commercial Mortgage Securities             
 46,663,990   Series 2015-JP1-XA   0.88%(c)(i)  01/15/2049   228,500 
 1,000,000   Series 2019-COR4-C   4.94%(c)  03/10/2052   730,963 
 7,958,000   Series 2020-LOOP-E   3.86%(a)(c)  12/05/2038   1,019,671 
     JPMBB Commercial Mortgage Securities Trust             
 9,832,260   Series 2014-C25-XA   0.54%(c)(i)  11/15/2047   98 
 1,684,000   Series 2015-C27-B   3.90%  02/15/2048   1,368,748 
 7,860,000   Series 2015-C27-D   3.79%(a)(c)  02/15/2048   2,030,344 
 4,987,000   Series 2015-C29-C   4.18%(c)  05/15/2048   4,305,724 
 44,591,255   Series 2015-C30-XA   0.41%(c)(i)  07/15/2048   34,942 
 33,002,489   Series 2015-C31-XA   0.80%(c)(i)  08/15/2048   76,388 
     JPMDB Commercial Mortgage Securities Trust             
 7,675,000   Series 2016-C2-AS   3.48%  06/15/2049   7,043,321 
 43,338,391   Series 2016-C2-XA   1.47%(c)(i)  06/15/2049   548,547 
     LoanCore             
 5,000,000   Series 2021-CRE5-C (1 mo. Term SOFR + 2.46%, 2.46% Floor)   6.86%(a)  07/15/2036   5,015,905 
     LSTAR Commercial Mortgage Trust             
 5,425,000   Series 2016-4-C   4.61%(a)(c)  03/10/2049   5,138,746 
     MF1 Multifamily Housing Mortgage Loan Trust             
 5,500,000   Series 2023-FL12-B (1 mo. Term SOFR + 3.18%, 3.18% Floor)   7.54%(a)  10/19/2038   5,526,845 
 910,000   Series 2024-FL15-A (1 mo. Term SOFR + 1.69%, 1.69% Floor)   6.06%(a)  08/18/2041   913,348 
     Morgan Stanley Bank of America Merrill Lynch Trust             
 498,201   Series 2015-C20-XA   0.89%(c)(i)  02/15/2048   5 
 75,089,000   Series 2015-C23-XB   0.13%(a)(c)(i)  07/15/2050   42,057 
 39,779,767   Series 2016-C30-XA   1.28%(c)(i)  09/15/2049   593,228 
 6,364,000   Series 2017-C33-B   4.11%  05/15/2050   6,027,217 
     Morgan Stanley Capital I, Inc.             
 22,956,777   Series 2016-UB11-XA   1.43%(c)(i)  08/15/2049   383,780 
     Natixis Commercial Mortgage Securities Trust             
 2,108,000   Series 2018-FL1-C (Prime Rate + 0.00%, 0.00% Floor)   7.75%(a)  06/15/2035   942,326 
     NJ Trust             
 2,300,000   Series 2023-GSP-A   6.48%(a)(c)  01/06/2029   2,395,835 
     Ready Capital Corp.             
 4,750,000   Series 2021-FL7-C (1 mo. Term SOFR + 2.31%, 2.20% Floor)   6.65%(a)  11/25/2036   4,768,791 
     SG Commercial Mortgage Securities LLC             
 1,789,000   Series 2016-C5-B   3.93%  10/10/2048   1,677,651 
 38,284,144   Series 2016-C5-XA   1.82%(c)(i)  10/10/2048   705,791 
     SLG Office Trust             
 10,336,000   Series 2021-OVA-E   2.85%(a)  07/15/2041   8,331,928 
     UBS Commercial Mortgage Trust             
 8,911,000   Series 2017-C1-B   4.04%  06/15/2050   8,169,358 
 2,491,000   Series 2017-C6-B   4.15%(c)  12/15/2050   2,272,086 
 1,450,000   Series 2017-C7-B   4.29%(c)  12/15/2050   1,360,929 
 6,958,000   Series 2017-C7-C   4.58%(c)  12/15/2050   6,431,083 
 4,189,000   Series 2018-C11-C   4.88%(c)  06/15/2051   3,709,697 
 2,896,000   Series 2018-C12-C   5.02%(c)  08/15/2051   2,616,764 
     UBS-Barclays Commercial Mortgage Trust             
 1,503,790   Series 2013-C5-B   3.65%(a)(c)  03/10/2046   1,394,063 
 7,795,924   Series 2013-C5-C   3.72%(a)(c)  03/10/2046   6,773,800 
 1,374,000   Series 2013-C5-D   3.72%(a)(c)  03/10/2046   1,028,257 
     VEGAS Trust             
 2,775,000   Series 2024-TI-A   5.52%(a)  11/10/2039   2,784,109 
     VMC Finance LLC             
 4,000,000   Series 2022-FL5-AS (30 day avg SOFR US + 2.40%, 2.40% Floor)   7.00%(a)  02/18/2039   4,027,604 
     Wachovia Bank Commercial Mortgage Trust             
 7,096   Series 2006-C29-IO   0.29%(c)(i)  11/15/2048   18 
     WF-RBS Commercial Mortgage Trust             
 2,228,162   Series 2014-C21-XA   0.50%(c)(i)  08/15/2047   4,422 
 5,171,055   Series 2014-C22-XA   0.27%(c)(i)  09/15/2057   52 
     Total Non-Agency Commercial Mortgage Backed Obligations
(Cost $474,750,588)		      350,760,308 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS - 11.4%        
     Adjustable Rate Mortgage Trust             
 5,845,055   Series 2007-1-4A1   5.59%(c)  03/25/2037   3,612,585 
 19,257   Series 2007-3-1A1   5.40%(a)(c)  11/25/2037   18,339 
     AlphaFlow Transitional Mortgage Trust             
 964,618   Series 2021-WL1-A1   3.28%(a)(j)  01/25/2026   942,441 
     AMSR Trust             
 3,100,000   Series 2019-SFR1-E   3.47%(a)  01/19/2039   2,985,720 
 10,000,000   Series 2021-SFR1-F   3.60%(a)  06/17/2038   9,032,184 
 3,000,000   Series 2021-SFR2-E1   2.48%(a)  08/17/2038   2,840,125 
 2,500,000   Series 2021-SFR2-E2   2.58%(a)  08/17/2038   2,361,578 
 4,500,000   Series 2021-SFR2-F1   3.28%(a)  08/17/2038   4,265,117 
 2,000,000   Series 2021-SFR2-F2   3.67%(a)  08/17/2038   1,891,889 
 8,900,000   Series 2023-SFR2-A   3.95%(a)  06/17/2040   8,547,034 
     Argent Securities, Inc. Asset-Backed Pass-Through Certificates             
 10,685,398   Series 2006-M1-A2C (1 mo. Term SOFR + 0.41%, 0.30% Floor)   4.75%  07/25/2036   2,838,133 
 13,606,421   Series 2006-M1-A2D (1 mo. Term SOFR + 0.59%, 0.48% Floor)   4.93%  07/25/2036   3,613,641 
     Banc of America Funding Corp.             
 129,998   Series 2005-G-A3   2.27%(c)  10/20/2035   86,696 
 51,331   Series 2006-2-6A2   5.50%  03/25/2036   49,684 
 78,923   Series 2006-6-1A2   6.25%  08/25/2036   66,222 
     Bear Stearns Asset Backed Securities Trust             
 256,094   Series 2007-SD1-1A3A   6.50%  10/25/2036   92,976 
     CAFL Issuer LLC             
 4,492,963   Series 2021-RTL1-A1   2.24%(a)(j)  03/28/2029   4,459,015 
     Carrington Mortgage Loan Trust             
 5,074,097   Series 2006-NC5-A3 (1 mo. Term SOFR + 0.26%, 0.15% Floor, 14.50% Cap)   4.60%  01/25/2037   4,455,828 
     Chase Mortgage Finance Corp.             
 776,578   Series 2007-S3-2A1   5.50%  05/25/2037   8 
     CIM Trust             
 6,953,000   Series 2020-R2-M2   3.00%(a)(c)  10/25/2059   5,463,943 
     Citigroup Mortgage Loan Trust, Inc.             
 3,777,266   Series 2007-OPX1-A1A (1 mo. Term SOFR + 0.25%, 0.14% Floor)   4.59%  01/25/2037   1,682,292 
 22,919,554   Series 2019-A-PT1   3.92%(a)  10/25/2058   19,053,484 
 39,523,953   Series 2021-RP2-A1   1.75%(a)(c)  03/25/2065   34,957,399 
 5,674,000   Series 2021-RP2-M1   3.25%(a)(c)  03/25/2065   4,751,420 
 4,752,000   Series 2021-RP2-M2   3.40%(a)(c)  03/25/2065   3,825,725 
 4,413,000   Series 2021-RP2-M3   3.40%(a)(c)  03/25/2065   3,397,514 
 12,947,647   Series 2021-RP2-PT1   5.69%(a)(c)  03/25/2065   10,657,143 
     Citimortgage Alternative Loan Trust             
 50,688   Series 2006-A2-A2   6.00%  05/25/2036   46,308 
 27,908   Series 2006-A5-3A3Pool 2006-A5   6.00%  10/25/2036   22,131 
 206,758   Series 2007-A1-1A7   6.00%  01/25/2037   180,326 
 6,436,737   Series 2007-A2-1A5   6.00%  02/25/2037   5,665,010 
 2,922,139   Series 2007-A5-1A10   5.75%  05/25/2037   2,615,296 
     CitiMortgage, Inc.             
 18,726   Series 2005-1-1A4   5.50%  02/25/2035   17,800 
     Colony American Finance Ltd.             
 1,000,000   Series 2020-4-E   3.38%(a)  12/15/2052   814,293 
     Countrywide Alternative Loan Trust             
 58,708   Series 2005-20CB-1A1   5.50%  07/25/2035   46,347 
 119,243   Series 2005-28CB-3A6   6.00%  08/25/2035   47,452 
 11,626,819   Series 2005-37T1-A5 (1 mo. Term SOFR + 0.56%, 0.45% Floor, 5.50% Cap)   4.90%  09/25/2035   7,021,480 
 416,079   Series 2005-46CB-A22   5.25%  10/25/2035   284,274 
 6,463,335   Series 2005-49CB-A2   5.50%  11/25/2035   4,113,762 
 60,684   Series 2005-J10-1A13 (1 mo. Term SOFR + 0.81%, 0.70% Floor, 5.50% Cap)   5.15%  10/25/2035   37,032 
 247,970   Series 2006-26CB-A9   6.50%  09/25/2036   124,442 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 5,840,635   Series 2006-42-1A8   6.00%  01/25/2047   3,042,381 
 925,455   Series 2007-12T1-A1   6.00%  06/25/2037   419,439 
 5,859,920   Series 2007-12T1-A3   6.00%  06/25/2037   2,655,858 
 1,007,221   Series 2007-16CB-2A1 (1 mo. Term SOFR + 0.56%, 0.45% Floor, 7.00% Cap)   4.90%  08/25/2037   336,413 
 291,666   Series 2007-16CB-2A2 (-8 x 1 mo. Term SOFR + 53.63%, 0.00% Floor, 54.58% Cap)   17.47%(k)  08/25/2037   340,616 
 52,796   Series 2007-17CB-1A10 (-5 x 1 mo. Term SOFR + 29.37%, 0.00% Floor, 29.90% Cap)   9.42%(k)  08/25/2037   40,465 
 238,940   Series 2007-18CB-2A17   6.00%  08/25/2037   139,663 
 1,309,331   Series 2007-23CB-A3 (1 mo. Term SOFR + 0.61%, 0.50% Floor, 7.00% Cap)   4.95%  09/25/2037   476,185 
 1,286,195   Series 2007-23CB-A4 (-1 x 1 mo. Term SOFR + 6.39%, 0.00% Floor, 6.50% Cap)   2.05%(i)(k)  09/25/2037   152,810 
 5,588,724   Series 2007-8CB-A1   5.50%  05/25/2037   2,887,034 
 4,177,453   Series 2007-OA8-2A1 (1 mo. Term SOFR + 0.47%, 0.36% Floor)   4.81%  06/25/2047   3,202,072 
     Countrywide Home Loan Mortgage Pass Through Trust             
 139,446   Series 2005-28-A7   5.25%  11/01/2035   71,210 
 403,669   Series 2007-10-A5   6.00%  07/25/2037   179,001 
 143,636   Series 2007-15-1A16   6.25%  09/25/2037   85,849 
 420,593   Series 2007-3-A17   6.00%  04/25/2037   200,816 
     Credit Suisse First Boston Mortgage Securities Corp.             
 47,316   Series 2005-10-5A5   5.50%  11/25/2035   34,008 
     Credit Suisse Management LLC             
 512,245   Series 2005-8-1A3   5.25%  09/25/2035   400,615 
     Credit Suisse Mortgage Capital Certificates             
 2,364,895   Series 2006-4-6A1   6.00%  05/25/2036   823,682 
 19,564   Series 2006-4-7A1   5.50%  05/25/2056   11,251 
 62,264   Series 2007-1-3A1   6.00%  02/25/2025   7,681 
 8,625   Series 2007-2-2A1   5.00%  03/25/2037   6,304 
 3,004,051   Series 2009-3R-19A2   6.00%(a)  01/27/2038   1,320,057 
 571,407   Series 2010-4R-3A17   6.00%(a)(c)  06/26/2037   507,511 
 27,778,684   Series 2020-RPL1-PT1   3.32%(a)(c)  10/25/2069   21,522,638 
 9,035,400   Series 2020-RPL4-M1   2.50%(a)  01/25/2060   6,781,814 
 1,760,776   Series 2021-JR1-A1   5.47%(a)(c)  09/27/2066   1,756,389 
     Credit-Based Asset Servicing and Securitization LLC             
 5,857,360   Series 2007-RP1-A (1 mo. Term SOFR + 0.42%, 0.31% Floor)   5.01%(a)  05/25/2046   5,014,802 
     Deutsche ALT-A Securities, Inc.             
 4,126,969   Series 2005-6-2A1   5.50%  12/25/2035   3,420,242 
 3,556,237   Series 2005-AR2-2A1   5.21%(c)  10/25/2035   2,237,072 
 6,493,500   Series 2007-OA1-A1 (1 mo. Term SOFR + 0.26%, 0.15% Floor)   4.60%  02/25/2047   3,700,677 
     Deutsche Mortgage Securities, Inc.             
 346,627   Series 2006-PR1-3A1 (-1 x 1 mo. Term SOFR + 11.96%, 12.12% Cap)   5.81%(a)  04/15/2036   312,044 
 21,094   Series 2006-PR1-4AI2 (-2 x 1 mo. Term SOFR + 14.39%, 14.61% Cap)   5.99%(a)  04/15/2036   18,909 
 586,699   Series 2006-PR1-5AI4 (-1 x 1 mo. Term SOFR + 11.96%, 12.12% Cap)   5.81%(a)  04/15/2036   500,685 
     Fannie Mae Connecticut Avenue Securities             
 4,781,211   Series 2024-R03-2M1 (30 day avg SOFR US + 1.15%, 0.00% Floor)   5.71%(a)  03/25/2044   4,783,570 
     First Franklin Mortgage Loan Asset Backed Certificates             
 15,984,000   Series 2006-FF15-A6 (1 mo. Term SOFR + 0.42%, 0.31% Floor)   4.76%  11/25/2036   13,167,098 
 10,087,577   Series 2007-FF2-A1 (1 mo. Term SOFR + 0.39%, 0.28% Floor)   4.73%  03/25/2037   5,160,314 
     First Horizon Alternative Mortgage Securities             
 196,376   Series 2006-FA2-1A5   6.00%  05/25/2036   79,484 
 33,522   Series 2006-RE1-A1   5.50%(c)  05/25/2035   21,650 
     Freedom Mortgage Parent LLC             
 16,440,000   Series 2021-GT2-A   3.85%(a)(c)  10/25/2026   15,251,884 
     GCAT             
 6,944,000   Series 2021-NQM6-M1   3.41%(a)(c)  08/25/2066   4,976,798 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
     GMAC Mortgage Corp. Loan Trust             
 1,123,219   Series 2006-J1-A6   5.75%  04/25/2036   973,416 
     GS Mortgage-Backed Securities Trust             
 7,546,000   Series 2020-NQM1-M1   3.29%(a)(c)  09/27/2060   6,775,679 
     GSAA Trust             
 3,472   Series 2005-7-AF5   5.11%(j)  05/25/2035   3,388 
 799,672   Series 2007-10-A1A   6.00%  11/25/2037   442,827 
 929,401   Series 2007-10-A2A   6.50%  11/25/2037   342,097 
     GSR Mortgage Loan Trust             
 1,432,309   Series 2006-3F-4A1   6.00%  03/25/2036   753,716 
 22,702,102   Series 2006-OA1-1A1 (1 mo. Term SOFR + 0.55%, 0.44% Floor)   4.89%  08/25/2046   4,901,915 
 37,500   Series 2007-1F-2A2   5.50%  01/25/2037   124,432 
     Harborview Mortgage Loan Trust             
 9,404,825   Series 2005-7-2A1 (1 mo. Term SOFR + 0.68%, 0.57% Floor, 11.00% Cap)   5.05%  06/19/2045   5,138,762 
     Home Partners of America Trust             
 2,469,234   Series 2021-1-D   2.48%(a)  09/17/2041   2,107,328 
 1,135,011   Series 2021-1-E   2.58%(a)  09/17/2041   954,066 
 1,277,306   Series 2021-1-F   3.33%(a)  09/17/2041   1,059,884 
     Homeward Opportunities Fund I Trust             
 5,250,000   Series 2020-2-M1   3.90%(a)(c)  05/25/2065   4,961,497 
     HSI Asset Securitization Corp.             
 21,810,328   Series 2006-HE1-1A1 (1 mo. Term SOFR + 0.39%, 0.28% Floor)   4.73%  10/25/2036   6,071,328 
 8,984,623   Series 2007-NC1-A3 (1 mo. Term SOFR + 0.47%, 0.36% Floor)   4.81%  04/25/2037   5,985,730 
     Impac Secured Assets CMN Owner Trust             
 21,345,569   Series 2006-5-1A1C (1 mo. Term SOFR + 0.65%, 0.54% Floor, 11.50% Cap)   4.99%  02/25/2037   19,278,838 
     Imperial Fund Mortgage Trust             
 2,728,000   Series 2021-NQM4-M1   3.45%(a)(c)  01/25/2057   1,985,934 
     Indymac IMSC Mortgage Loan Trust             
 1,330,403   Series 2007-HOA1-A11 (1 mo. Term SOFR + 0.47%, 0.36% Floor)   4.81%  07/25/2047   869,044 
 1,322,999   Series 2007-HOA1-A24 (1 mo. Term SOFR + 0.73%, 0.62% Floor)   5.07%  07/25/2047   913,925 
     Invitation Homes Trust             
 13,127,000   Series 2024-SFR1-D   4.25%(a)  09/17/2041   11,939,823 
     JP Morgan Alternative Loan Trust             
 2,033,947   Series 2005-A2-1M1 (1 mo. Term SOFR + 0.80%, 0.69% Floor, 11.50% Cap)   5.14%  01/25/2036   1,964,380 
 1,844,776   Series 2006-S3-A4   6.81%(j)  08/25/2036   1,770,088 
 21,148   Series 2006-S3-A6   6.62%(j)  08/25/2036   20,463 
 21,068   Series 2006-S4-A6   6.21%(j)  12/25/2036   21,255 
     JP Morgan Mortgage Acquisition Corp.             
 13,023,632   Series 2006-WMC2-A5 (1 mo. Term SOFR + 0.61%, 0.50% Floor)   4.95%  07/25/2036   5,550,765 
 14,847,452   Series 2006-WMC3-A4 (1 mo. Term SOFR + 0.41%, 0.30% Floor)   4.75%  08/25/2036   10,817,107 
 12,455,109   Series 2006-WMC4-A5 (1 mo. Term SOFR + 0.53%, 0.42% Floor)   4.87%  12/25/2036   6,507,991 
     JP Morgan Mortgage Trust             
 158,691   Series 2007-S3-1A7   6.00%  08/25/2037   71,386 
     Legacy Mortgage Asset Trust             
 20,886,117   Series 2019-RPL3-PT1   0.00%(a)  06/25/2058   17,358,905 
 7,256,722   Series 2021-GS3-A2   6.25%(a)(j)  07/25/2061   7,242,824 
     Lehman Mortgage Trust             
 367,631   Series 2006-3-1A5   6.00%  07/25/2036   181,943 
 24,692   Series 2006-9-1A19 (-5 x 1 mo. Term SOFR + 30.16%, 0.00% Floor, 30.68% Cap)   10.20%(k)  01/25/2037   19,783 
 85,297   Series 2007-2-1A1   5.75%  02/25/2037   56,265 
     Lehman XS Trust             
 2,896,038   Series 2005-9N-1A1 (1 mo. Term SOFR + 0.38%, 0.27% Floor)   4.72%  02/25/2036   2,635,738 
 2,620,200   Series 2007-1-1A2 (1 mo. Term SOFR + 0.43%, 0.32% Floor)   4.77%  02/25/2037   2,494,678 
 8,806,709   Series 2007-15N-3A1 (1 mo. Term SOFR + 0.36%, 0.25% Floor)   4.95%  08/25/2047   7,629,924 
 8,007,369   Series 2007-3-2A3 (1 mo. Term SOFR + 0.59%, 0.48% Floor)   4.93%  03/25/2037   7,291,750 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
     Long Beach Mortgage Loan Trust             
 33,470,925   Series 2006-2-2A3 (1 mo. Term SOFR + 0.49%, 0.38% Floor)   4.83%  03/25/2046   11,845,016 
 12,986,796   Series 2006-3-2A3 (1 mo. Term SOFR + 0.47%, 0.36% Floor)   4.81%  05/25/2046   3,930,693 
 15,074,625   Series 2006-6-2A3 (1 mo. Term SOFR + 0.41%, 0.30% Floor)   4.75%  07/25/2036   5,745,238 
     MASTR Alternative Loans Trust             
 73,761   Series 2005-2-3A1   6.00%  03/25/2035   55,997 
 4,460,579   Series 2006-1-A5   6.00%  02/25/2036   1,982,047 
 32,352   Series 2007-1-2A7   6.00%  10/25/2036   8,852 
     Mastr Asset Backed Securities Trust             
 10,684,565   Series 2005-NC2-A3 (1 mo. Term SOFR + 0.61%, 0.50% Floor)   4.70%  11/25/2035   6,009,435 
     MASTR Asset Securitization Trust             
 722,583   Series 2006-2-1A11 (1 mo. Term SOFR + 6.00%, 6.00% Floor)   6.00%  06/25/2036   417,212 
     Merrill Lynch Alternative Note Asset             
 1,615,652   Series 2007-F1-2A8   6.00%  03/25/2037   557,553 
 7,170,828   Series 2007-OAR4-A1 (1 mo. Term SOFR + 0.61%, 0.50% Floor)   4.95%  08/25/2037   6,185,605 
     Merrill Lynch Mortgage Investors, Inc.             
 4,902,311   Series 2007-MLN1-A1 (1 mo. Term SOFR + 0.61%, 0.50% Floor)   4.95%  03/25/2037   3,682,583 
     Morgan Stanley ABS Capital I, Inc.             
 7,240,812   Series 2006-HE5-A2C (1 mo. Term SOFR + 0.39%, 0.28% Floor)   4.73%  08/25/2036   3,598,410 
     Morgan Stanley Mortgage Loan Trust             
 19,538   Series 2004-1-1A1   5.00%  11/25/2033   13,777 
 400,114   Series 2005-7-7A4   5.50%  11/25/2035   364,286 
 1,377,534   Series 2006-7-3A   5.10%(c)  06/25/2036   736,323 
 24,466,562   Series 2007-2AX-2A2 (1 mo. Term SOFR + 0.43%, 0.32% Floor)   4.77%  12/25/2036   8,479,230 
 7,596,200   Series 2007-7AX-2A1 (1 mo. Term SOFR + 0.35%, 0.24% Floor)   4.69%  04/25/2037   2,056,963 
     Morgan Stanley Reremic Trust             
 36,348   Series 2010-R6-5C   5.75%(a)(c)  05/26/2037   34,460 
     MortgageIT Trust             
 13,486,261   Series 2007-1-2A11 (1 mo. Term SOFR + 0.55%, 0.44% Floor)   4.89%  06/25/2047   11,416,781 
     New Century Home Equity Loan Trust             
 6,000,000   Series 2005-B-M2 (1 mo. Term SOFR + 0.85%, 0.74% Floor)   5.19%  10/25/2035   5,063,582 
     Nomura Asset Acceptance Corp.             
 158,284   Series 2006-AP1-A2   5.52%(c)  01/25/2036   43,646 
     Nomura Home Equity Loan, Inc.             
 491,701   Series 2006-AF1-A2   6.30%(j)  10/25/2036   102,398 
 818,770   Series 2007-1-1A1   6.56%(j)  02/25/2037   209,838 
     NRZ Excess Spread-Collateralized Notes             
 2,338,930   Series 2020-PLS1-A   3.84%(a)  12/25/2025   2,301,284 
     Onslow Bay Mortgage Loan Trust             
 15,000,000   Series 2024-NQM18-A1   5.41%(a)(c)  10/25/2064   14,974,802 
     Option One Mortgage Loan Trust             
 26,491   Series 2004-3-M3 (1 mo. Term SOFR + 1.09%, 0.98% Floor)   5.43%  11/25/2034   27,095 
 15,749,970   Series 2007-6-1A1 (1 mo. Term SOFR + 0.30%, 0.19% Floor)   4.64%  07/25/2037   13,707,333 
     PennyMac Mortgage Investment Trust             
 3,183,893   Series 2020-1R-A (30 day avg SOFR US + 3.46%, 2.35% Floor)   8.01%(a)  02/25/2025   3,186,971 
 15,000,000   Series 2021-FT1-A (1 mo. Term SOFR + 3.11%, 3.12% Floor)   7.45%(a)  03/25/2026   15,071,727 
     PR Mortgage Loan Trust             
 4,492,934   Series 2014-1-APT   5.86%(a)(c)  10/25/2049   4,244,149 
     Pretium Mortgage Credit Partners LLC             
 3,943,008   Series 2021-RN2-A1   4.74%(a)(j)  07/25/2051   3,922,882 
 14,710,676   Series 2024-NPL6-A1   5.93%(a)(j)  10/25/2054   14,648,603 
     Progress Residential Trust             
 3,404,000   Series 2021-SFR6-E2   2.53%(a)  07/17/2038   3,259,242 
 4,666,000   Series 2021-SFR6-F   3.42%(a)  07/17/2038   4,519,592 
 5,100,000   Series 2021-SFR8-F   3.18%(a)  10/17/2038   4,788,659 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
     PRPM LLC             
 1,378,298   Series 2021-9-A1   5.36%(a)(j)  10/25/2026   1,375,568 
 10,482,680   Series 2024-4-A1   6.41%(a)(j)  08/25/2029   10,515,371 
 4,338,382   Series 2024-7-A1   5.87%(a)(j)  11/25/2029   4,352,775 
 12,500,000   Series 2024-NQM4-A1   5.67%(a)(j)  12/26/2069   12,596,525 
     RALI Trust             
 107,225   Series 2005-QS14-3A3   6.00%  09/25/2035   91,903 
 138,434   Series 2006-QS10-A4   5.75%  08/25/2036   112,055 
 1,510,586   Series 2006-QS10-A9   6.50%  08/25/2036   1,272,243 
 1,608,400   Series 2006-QS4-A10   6.00%  04/25/2036   1,286,829 
 312,132   Series 2006-QS6-1A15   6.00%  06/25/2036   246,959 
 1,509   Series 2006-QS6-2A1   6.00%  12/25/2025   – 
 19,134,568   Series 2007-QH5-AII (1 mo. Term SOFR + 0.57%, 0.46% Floor)   4.91%  06/25/2037   7,778,143 
 541,224   Series 2007-QS3-A4   6.25%  02/25/2037   434,312 
 1,959,117   Series 2007-QS9-A33   6.50%  07/25/2037   1,570,973 
     RAMP Trust             
 11,500,000   Series 2006-NC1-M2 (1 mo. Term SOFR + 0.51%, 0.40% Floor, 14.00% Cap)   5.05%  01/25/2036   9,719,572 
     RBSGC Mortgage Pass Through Certificates             
 6,100,102   Series 2005-A-3A   6.00%  04/25/2035   2,297,775 
     Residential Asset Securitization Trust             
 154,641   Series 2005-A10-A3   5.50%  09/25/2035   70,592 
 218,968   Series 2005-A11-2A4   6.00%  10/25/2035   93,060 
 1,616,318   Series 2006-A6-1A1   6.50%  07/25/2036   458,806 
 110,080   Series 2006-R1-A1 (-4 x 1 mo. Term SOFR + 27.94%, 0.00% Floor, 28.40% Cap)   10.59%(k)  01/25/2046   86,138 
     RESIDENTIAL MORTGAGE LOAN TRUST             
 5,154,000   Series 2020-1-M1   3.24%(a)(c)  01/26/2060   4,907,192 
     RFMSI Trust             
 35,044   Series 2006-S10-1A2   6.00%  10/25/2036   26,750 
 367,609   Series 2007-S2-A4   6.00%  02/25/2037   273,533 
 273,506   Series 2007-S3-1A4   6.00%  03/25/2037   194,776 
     Saxon Asset Securities Trust             
 7,695,758   Series 2005-2-M4 (1 mo. Term SOFR + 1.06%, 0.95% Floor, 11.50% Cap)   5.40%  10/25/2035   5,203,610 
     Securitized Asset Backed Receivables LLC             
 13,966,274   Series 2007-BR3-A1 (1 mo. Term SOFR + 0.43%, 0.32% Floor, 100.00% Cap)   4.77%(a)  04/25/2037   9,106,038 
 17,695,948   Series 2007-BR3-A2A (1 mo. Term SOFR + 0.25%, 0.14% Floor)   4.59%  04/25/2037   11,616,351 
 12,552,561   Series 2007-BR3-A2B (1 mo. Term SOFR + 0.55%, 0.44% Floor)   4.89%  04/25/2037   8,239,402 
 2,257,995   Series 2007-BR3-A2C (1 mo. Term SOFR + 0.67%, 0.56% Floor)   5.01%  04/25/2037   1,482,094 
 19,273,358   Series 2007-HE1-A2C (1 mo. Term SOFR + 0.43%, 0.32% Floor)   4.77%  12/25/2036   4,145,331 
     Securitized Mortgage Asset Loan Trust             
 21,742,979   Series 2015-1-PC   1.49%(a)(c)  02/25/2054   18,108,044 
     Sequoia Mortgage Trust             
 3,058,369   Series 2007-3-2AA1   4.62%(c)  07/20/2037   2,389,357 
     Soundview Home Equity Loan Trust             
 6,144,716   Series 2007-OPT4-1A1 (1 mo. Term SOFR + 1.11%, 1.00% Floor)   5.45%  09/25/2037   4,310,529 
     Starwood Mortgage Residential Trust             
 5,910,000   Series 2020-1-B1   3.73%(a)(c)  02/25/2050   4,831,654 
     Structured Asset Investment Loan Trust             
 10,077,661   Series 2006-BNC3-A1 (1 mo. Term SOFR + 0.29%, 0.18% Floor)   4.63%  09/25/2036   6,147,713 
     Structured Asset Securities Corp.             
 648,073   Series 2005-RF1-A (1 mo. Term SOFR + 0.46%, 0.35% Floor)   4.80%(a)  03/25/2035   579,772 
 648,073   Series 2005-RF1-AIO   0.00%(a)(c)(i)  03/25/2035   6 
     Velocity Commercial Capital Loan Trust             
 920,215   Series 2018-1-M1   3.91%(a)  04/25/2048   859,531 
 503,741   Series 2018-1-M2   4.26%(a)  04/25/2048   460,557 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 310,595   Series 2018-1-M3   4.41%(a)  04/25/2048   278,414 
 1,399,493   Series 2019-1-M1   3.94%(a)(c)  03/25/2049   1,271,345 
 655,141   Series 2019-1-M2   4.01%(a)(c)  03/25/2049   578,295 
 578,184   Series 2019-1-M3   4.12%(a)(c)  03/25/2049   503,425 
     Vericrest Opportunity Loan Transferee             
 2,094,959   Series 2021-CF1-A1   4.99%(a)(j)  08/25/2051   2,094,270 
 1,365,118   Series 2021-CF2-A1   5.49%(a)(j)  11/27/2051   1,361,031 
 4,693,230   Series 2021-NP12-A1   5.73%(a)(j)  12/26/2051   4,691,910 
 229,771   Series 2021-NPL1-A1   4.89%(a)(j)  02/27/2051   229,775 
 1,322,868   Series 2021-NPL5-A1   5.12%(a)(j)  03/27/2051   1,323,515 
 1,616,981   Series 2021-NPL6-A1   5.24%(a)(j)  04/25/2051   1,619,376 
     Verus Securitization Trust             
 15,000,000   Series 2024-9-A1   5.44%(a)(c)  11/25/2069   15,069,060 
 9,769,326   Series 2024-INV2-A1   5.33%(a)(j)  08/26/2069   9,746,672 
     WaMu Mortgage Pass Through Certificates             
 4,081,004   Series 2006-AR13-1A (12 Month US Treasury Average + 0.88%, 0.88% Floor)   5.71%  10/25/2046   3,429,888 
 1,257,623   Series 2006-AR19-2A (12 Month US Treasury Average + 1.25%, 1.25% Floor)   6.08%  01/25/2047   1,127,953 
 4,033,433   Series 2007-HY7-2A1   4.11%(c)  07/25/2037   3,535,851 
     Washington Mutual Alternative Mortgage Pass-Through Certificates             
 67,562   Series 2005-1-2A   6.00%  03/25/2035   56,724 
 370,837   Series 2006-1-3A1   5.75%  02/25/2036   338,392 
 962,305   Series 2006-2-4CB   6.00%  03/25/2036   918,345 
 6,914,544   Series 2006-8-A5   4.12%(j)  10/25/2036   2,345,496 
 3,072,885   Series 2006-8-A6   4.12%(j)  10/25/2036   1,043,277 
 6,479,271   Series 2007-2-1A2   6.00%  04/25/2037   5,175,456 
 4,544,166   Series 2007-2-1A3   6.00%  04/25/2037   3,629,750 
 578,652   Series 2007-3-A6   6.00%  04/25/2037   505,013 
 48,536   Series 2007-5-A11 (-6 x 1 mo. Term SOFR + 38.79%, 0.00% Floor, 39.48% Cap)   12.76%(k)  06/25/2037   48,755 
 5,996,160   Series 2007-5-A3   7.00%  06/25/2037   4,687,448 
     Wells Fargo Alternative Loan Trust             
 297,551   Series 2007-PA5-1A1   6.25%  11/25/2037   258,744 
     Wells Fargo Mortgage Backed Securities Trust             
 6,240   Series 2005-AR14-A6   7.34%(c)  08/25/2035   6,041 
 381,033   Series 2006-7-2A1   6.00%  06/25/2036   334,238 
 15,821   Series 2007-7-A1   6.00%  06/25/2037   14,372 
     Total Non-Agency Residential Collateralized Mortgage Obligations
(Cost $941,620,134)		   770,906,887 
 US CORPORATE BONDS - 15.4%            
 780,000   AAR Escrow Issuer LLC   6.75%(a)  03/15/2029   791,710 
 5,404,000   AbbVie, Inc.   4.70%  05/14/2045   4,773,990 
 2,845,000   AbbVie, Inc.   5.50%  03/15/2064   2,718,956 
 1,015,000   Academy Ltd.   6.00%(a)  11/15/2027   1,010,464 
 405,000   Acrisure LLC / Acrisure Finance, Inc.   6.00%(a)  08/01/2029   390,024 
 1,650,000   Acuris Finance US, Inc. / Acuris Finance SARL   5.00%(a)  05/01/2028   1,501,063 
 620,000   Acushnet Co.   7.38%(a)  10/15/2028   641,590 
 655,000   AdaptHealth LLC   5.13%(a)  03/01/2030   596,970 
 1,240,000   Advanced Drainage Systems, Inc.   6.38%(a)  06/15/2030   1,245,794 
 2,895,000   AEP Texas, Inc.   5.45%  05/15/2029   2,933,753 
 1,225,000   Aethon United BR LP / Aethon United Finance Corp.   7.50%(a)  10/01/2029   1,253,969 
 4,927,000   AGCO Corp.   5.80%  03/21/2034   4,955,341 
 2,492,000   Agree LP   2.60%  06/15/2033   2,004,569 
 4,870,000   Alexandria Real Estate Equities, Inc.   3.00%  05/18/2051   2,983,443 
 984,000   Alexandria Real Estate Equities, Inc.   5.15%  04/15/2053   878,589 
 1,145,000   Alliant Holdings Intermediate LLC / Alliant Holdings Co.-Issuer   6.75%(a)  10/15/2027   1,136,687 
 735,000   Alliant Holdings Intermediate LLC / Alliant Holdings Co.-Issuer   6.50%(a)  10/01/2031   728,660 
 1,660,000   Allied Universal Holdco LLC   7.88%(a)  02/15/2031   1,698,728 
 615,000   Allied Universal Holdco LLC / Allied Universal Finance Corp.   6.00%(a)  06/01/2029   561,023 
 355,000   AMC Entertainment Holdings, Inc.   7.50%(a)  02/15/2029   315,558 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 750,000   Amentum Holdings, Inc.   7.25%(a)  08/01/2032   756,538 
 1,290,000   American Airlines, Inc.   8.50%(a)  05/15/2029   1,355,220 
 600,000   American Axle & Manufacturing, Inc.   5.00%  10/01/2029   548,773 
 7,338,000   American Homes 4 Rent LP   5.50%  02/01/2034   7,312,443 
 2,060,000   American National Group, Inc.   5.75%  10/01/2029   2,063,943 
 2,409,000   American Tower Corp.   5.55%  07/15/2033   2,430,924 
 7,276,000   Amgen, Inc.   5.75%  03/02/2063   6,984,228 
 2,489,000   Amphenol Corp.   5.38%  11/15/2054   2,368,297 
 1,040,000   AmWINS Group, Inc.   4.88%(a)  06/30/2029   981,368 
 580,000   Anywhere Real Estate Group LLC / Anywhere Co.-Issuer Corp.   7.00%(a)  04/15/2030   515,171 
 190,000   Anywhere Real Estate Group LLC / Realogy Co.-Issuer Corp.   5.25%(a)  04/15/2030   143,098 
 405,000   APH / APH2 / APH3   7.88%(a)  11/01/2029   410,855 
 2,458,000   Apollo Debt Solutions BDC   6.70%(a)  07/29/2031   2,525,467 
 1,870,000   Apollo Global Management, Inc.
 (5 yr. CMT Rate + 2.17%)		   6.00%  12/15/2054   1,845,548 
 2,489,000   AppLovin Corp.   5.38%  12/01/2031   2,490,821 
 1,235,000   Archrock Partners LP / Archrock Partners Finance Corp.   6.63%(a)  09/01/2032   1,234,630 
 495,000   Arcosa, Inc.   6.88%(a)  08/15/2032   503,546 
 1,249,000   Ares Capital Corp.   5.95%  07/15/2029   1,263,467 
 1,764,000   Ares Strategic Income Fund   5.70%(a)  03/15/2028   1,764,347 
 4,913,000   Arizona Public Service Co.   5.70%  08/15/2034   4,970,951 
 5,015,000   Arrow Electronics, Inc.   5.15%  08/21/2029   4,996,551 
 375,000   Arsenal AIC Parent LLC   8.00%(a)  10/01/2030   388,518 
 265,000   Artera Services LLC   8.50%(a)  02/15/2031   255,702 
 2,921,000   Arthur J Gallagher & Co.   4.85%  12/15/2029   2,908,916 
 6,259,000   Arthur J Gallagher & Co.   5.15%  02/15/2035   6,105,468 
 685,000   Ashton Woods USA LLC / Ashton Woods Finance Co.   4.63%(a)  04/01/2030   622,248 
 1,015,000   AssuredPartners, Inc.   5.63%(a)  01/15/2029   1,027,355 
 14,735,000   AT&T, Inc.   3.50%  09/15/2053   9,931,083 
 1,015,000   AthenaHealth Group, Inc.   6.50%(a)  02/15/2030   965,606 
 4,045,000   Athene Global Funding   5.35%(a)  07/09/2027   4,085,732 
 6,038,000   Athene Global Funding   4.72%(a)  10/08/2029   5,893,409 
 5,106,000   Athene Holding Ltd.
 (5 yr. CMT Rate + 2.61%)		   6.63%  10/15/2054   5,090,200 
 4,130,000   Atlassian Corp.   5.25%  05/15/2029   4,162,605 
 7,569,000   Aviation Capital Group LLC   1.95%(a)  09/20/2026   7,191,058 
 3,635,000   Aviation Capital Group LLC   5.38%(a)  07/15/2029   3,639,408 
 240,000   Avient Corp.   6.25%(a)  11/01/2031   236,995 
 4,215,000   Bank of America Corp.
 (SOFR + 1.21%)		   2.57%  10/20/2032   3,558,330 
 3,952,000   Bank of America Corp.
 (SOFR + 1.65%)		   5.47%  01/23/2035   3,958,114 
 2,667,000   Bank of America Corp.
 (SOFR + 1.74%)		   5.52%  10/25/2035   2,609,050 
 11,216,000   Bank of America Corp.
 (5 yr. CMT Rate + 1.20%)		   2.48%  09/21/2036   9,143,034 
 4,385,000   Bank of New York Mellon Corp.
 (SOFR + 1.23%)		   5.06%  07/22/2032   4,375,199 
 1,500,000   Bausch + Lomb Corp.   8.38%(a)  10/01/2028   1,554,375 
 485,000   Bausch Health Americas, Inc.   8.50%(a)  01/31/2027   400,792 
 1,080,000   Bausch Health Cos., Inc.   4.88%(a)  06/01/2028   865,204 
 465,000   Bausch Health Cos., Inc.   5.25%(a)  01/30/2030   253,841 
 93,000   Bausch Health Cos., Inc.   14.00%(a)  10/15/2030   86,744 
 1,950,000   BCPE Empire Holdings, Inc.   7.63%(a)  05/01/2027   1,945,327 
 6,923,000   Beacon Funding Trust   6.27%(a)  08/15/2054   6,844,867 
 1,135,000   Beacon Roofing Supply, Inc.   6.50%(a)  08/01/2030   1,152,602 
 1,882,000   Berry Global, Inc.   4.88%(a)  07/15/2026   1,875,925 
 2,930,000   Berry Global, Inc.   5.65%(a)  01/15/2034   2,940,021 
 4,792,000   Black Hills Corp.   6.00%  01/15/2035   4,944,676 
 3,017,000   Blackstone Private Credit Fund   6.00%(a)  11/22/2034   2,945,895 
 610,000   Blue Racer Midstream LLC / Blue Racer Finance Corp.   7.25%(a)  07/15/2032   627,266 
 400,000   Boost Newco Borrower LLC   7.50%(a)  01/15/2031   419,662 
 740,000   Brand Industrial Services, Inc.   10.38%(a)  08/01/2030   754,099 
 2,838,000   Brighthouse Financial Global Funding   2.00%(a)  06/28/2028   2,538,353 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 7,902,000   Broadcom, Inc.   3.42%(a)  04/15/2033   6,920,826 
 6,378,000   Broadcom, Inc.   3.19%(a)  11/15/2036   5,140,430 
 4,942,000   Brown & Brown, Inc.   5.65%  06/11/2034   4,950,784 
 1,730,000   Buckeye Partners LP   6.88%(a)  07/01/2029   1,752,698 
 1,595,000   Builders FirstSource, Inc.   6.38%(a)  03/01/2034   1,576,157 
 6,228,000   Bunge Ltd. Finance Corp.   4.65%  09/17/2034   5,881,984 
 3,506,000   Burlington Northern Santa Fe LLC   5.20%  04/15/2054   3,302,341 
 2,399,000   Cadence Design Systems, Inc.   4.70%  09/10/2034   2,301,175 
 1,715,000   Caesars Entertainment, Inc.   6.00%(a)  10/15/2032   1,655,161 
 890,000   Calpine Corp.   4.50%(a)  02/15/2028   854,328 
 5,076,000   Cardinal Health, Inc.   4.60%  03/15/2043   4,344,385 
 704,000   Cardinal Health, Inc.   4.50%  11/15/2044   582,761 
 1,915,000   Carnival Corp.   5.75%(a)  03/01/2027   1,912,183 
 416,872   Carvana Co.
 12.00% PIK		   9.00%(a)  12/01/2028   445,515 
 710,000   Carvana Co.
 13.00% PIK		   13.00%(a)  06/01/2030   780,270 
 224,000   Castle US Holding Corp.   9.50%(a)  02/15/2028   104,634 
 1,325,000   CCO Holdings LLC / CCO Holdings Capital Corp.   5.13%(a)  05/01/2027   1,303,091 
 2,520,000   CCO Holdings LLC / CCO Holdings Capital Corp.   4.75%(a)  03/01/2030   2,304,090 
 1,200,000   CCO Holdings LLC / CCO Holdings Capital Corp.   4.75%(a)  02/01/2032   1,054,558 
 665,000   Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op   5.25%  07/15/2029   639,707 
 8,500,000   Centene Corp.   2.50%  03/01/2031   7,036,100 
 910,000   Central Parent LLC / CDK Global II LLC / CDK Financing Co., Inc.   8.00%(a)  06/15/2029   927,649 
 5,314,000   CF Industries, Inc.   5.38%  03/15/2044   4,948,262 
 1,905,000   Charter Communications Operating LLC / Charter Communications Operating Capital   6.10%  06/01/2029   1,942,568 
 5,408,000   Cheniere Energy Partners LP   4.00%  03/01/2031   5,004,466 
 5,139,000   Cheniere Energy, Inc.   4.63%  10/15/2028   5,031,128 
 1,260,000   Chord Energy Corp.   6.38%(a)  06/01/2026   1,260,579 
 950,000   CHS/Community Health Systems, Inc.   6.00%(a)  01/15/2029   851,667 
 455,000   CHS/Community Health Systems, Inc.   6.88%(a)  04/15/2029   344,200 
 780,000   CHS/Community Health Systems, Inc.   4.75%(a)  02/15/2031   606,022 
 2,038,000   Citigroup, Inc.
 (SOFR + 1.28%)		   3.07%  02/24/2028   1,960,542 
 5,131,000   Citigroup, Inc.
 (5 yr. CMT Rate + 1.73%)		   5.41%  09/19/2039   4,889,571 
 505,000   Civitas Resources, Inc.   8.38%(a)  07/01/2028   525,108 
 1,245,000   Clarios Global LP / Clarios US Finance Co.   6.75%(a)  05/15/2028   1,268,654 
 565,000   Clarivate Science Holdings Corp.   4.88%(a)  07/01/2029   527,315 
 410,000   Clear Channel Outdoor Holdings, Inc.   9.00%(a)  09/15/2028   431,130 
 465,000   Clear Channel Outdoor Holdings, Inc.   7.50%(a)  06/01/2029   407,416 
 655,000   Clearway Energy Operating LLC   4.75%(a)  03/15/2028   626,936 
 825,000   Cleveland-Cliffs, Inc.   6.88%(a)  11/01/2029   817,097 
 780,000   Cloud Software Group, Inc.   6.50%(a)  03/31/2029   766,575 
 515,000   Cloud Software Group, Inc.   9.00%(a)  09/30/2029   523,520 
 1,235,000   Clydesdale Acquisition Holdings, Inc.   6.88%(a)  01/15/2030   1,244,901 
 2,540,000   CNH Industrial Capital LLC   5.10%  04/20/2029   2,541,948 
 1,185,000   CNX Midstream Partners LP   4.75%(a)  04/15/2030   1,085,459 
 800,000   CNX Resources Corp.   6.00%(a)  01/15/2029   785,208 
 370,000   CommScope LLC   4.75%(a)  09/01/2029   330,011 
 400,000   CommScope Technologies LLC   5.00%(a)  03/15/2027   358,054 
 1,035,000   Consolidated Communications, Inc.   5.00%(a)  10/01/2028   964,347 
 293,000   Cornerstone Building Brands, Inc.   6.13%(a)  01/15/2029   234,089 
 1,005,000   Cornerstone Building Brands, Inc.   9.50%(a)  08/15/2029   979,381 
 640,000   Cougar JV Subsidiary LLC   8.00%(a)  05/15/2032   664,960 
 1,300,000   CQP Holdco LP / BIP-V Chinook Holdco LLC   5.50%(a)  06/15/2031   1,242,680 
 9,146,000   Crown Castle, Inc.   3.65%  09/01/2027   8,871,800 
 1,975,000   CSC Holdings LLC   6.50%(a)  02/01/2029   1,665,528 
 1,315,000   CSC Holdings LLC   5.75%(a)  01/15/2030   749,573 
 12,807,000   CSX Corp.   3.80%  11/01/2046   9,857,052 
 2,410,000   Cummins, Inc.   5.45%  02/20/2054   2,347,697 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 680,000   CVR Partners LP / CVR Nitrogen Finance Corp.   6.13%(a)  06/15/2028   662,470 
 5,057,000   CVS Health Corp.   5.30%  06/01/2033   4,849,763 
 7,518,000   CVS Health Corp.   5.88%  06/01/2053   6,901,812 
 410,000   Dana, Inc.   5.38%  11/15/2027   406,103 
 965,000   Dana, Inc.   5.63%  06/15/2028   952,632 
 285,000   Dana, Inc.   4.25%  09/01/2030   265,433 
 640,000   Dcli Bidco LLC   7.75%(a)  11/15/2029   656,783 
 807,000   Dealer Tire LLC / DT Issuer LLC   8.00%(a)  02/01/2028   793,598 
 2,343,000   Dell, Inc.   6.50%  04/15/2038   2,453,371 
 2,673,000   Devon Energy Corp.   5.75%  09/15/2054   2,427,155 
 410,000   Diebold Nixdorf, Inc.   7.75%(a)  03/31/2030   421,912 
 3,000,000   Digital Realty Trust LP   3.60%  07/01/2029   2,838,208 
 1,105,000   Directv Financing LLC / Directv Financing Co.-Obligor, Inc.   5.88%(a)  08/15/2027   1,077,777 
 1,340,000   DISH DBS Corp.   5.75%(a)  12/01/2028   1,148,205 
 660,000   DISH DBS Corp.   5.13%  06/01/2029   425,462 
 2,995,000   Dominion Energy, Inc.
 (5 yr. CMT Rate + 2.21%)		   6.63%  05/15/2055   3,052,396 
 955,000   Dornoch Debt Merger Sub, Inc.   6.63%(a)  10/15/2029   774,585 
 5,449,000   DR Horton, Inc.   5.00%  10/15/2034   5,264,494 
 2,650,000   DT Midstream, Inc.   4.13%(a)  06/15/2029   2,476,632 
 4,400,000   DTE Energy Co.   2.95%  03/01/2030   3,954,065 
 7,778,000   DTE Energy Co.   5.85%  06/01/2034   7,989,661 
 4,741,000   Duke Energy Corp.   5.45%  06/15/2034   4,737,826 
 6,595,000   Duke Energy Corp.   3.95%  08/15/2047   4,923,203 
 1,700,000   Duke Energy Corp.   5.00%  08/15/2052   1,485,386 
 1,380,000   Dun & Bradstreet Corp.   5.00%(a)  12/15/2029   1,315,525 
 1,090,000   EchoStar Corp.   10.75%  11/30/2029   1,173,233 
 2,567,000   Edison International   5.25%  03/15/2032   2,540,980 
 1,435,000   Elevance Health, Inc.   4.55%  05/15/2052   1,157,712 
 1,245,000   Ellucian Holdings, Inc.   6.50%(a)  12/01/2029   1,248,640 
 596,000   Embarq LLC   8.00%  06/01/2036   326,763 
 1,310,000   EMRLD Borrower LP / Emerald Co.-Issuer, Inc.   6.63%(a)  12/15/2030   1,313,385 
 1,245,000   Energizer Holdings, Inc.   6.50%(a)  12/31/2027   1,250,559 
 5,760,000   Energy Transfer LP   5.00%  05/15/2044   4,967,982 
 5,095,000   Energy Transfer LP   5.95%  05/15/2054   4,928,763 
 2,488,000   Energy Transfer LP
 (5 yr. CMT Rate + 2.83%)		   7.13%  10/01/2054   2,534,396 
 2,443,000   EnLink Midstream LLC   5.38%  06/01/2029   2,444,666 
 7,582,000   EnLink Midstream LLC   5.65%  09/01/2034   7,561,694 
 2,510,000   Entergy Arkansas LLC   5.75%  06/01/2054   2,486,883 
 2,448,000   Entergy Corp.
 (5 yr. CMT Rate + 2.67%)		   7.13%  12/01/2054   2,501,190 
 4,958,000   Enterprise Products Operating LLC   5.55%  02/16/2055   4,773,925 
 830,000   Everi Holdings, Inc.   5.00%(a)  07/15/2029   830,569 
 2,550,000   Eversource Energy   5.50%  01/01/2034   2,531,724 
 1,499,000   Expand Energy Corp.   6.75%(a)  04/15/2029   1,516,615 
 2,492,000   Expand Energy Corp.   5.70%  01/15/2035   2,447,415 
 5,243,000   Expedia Group, Inc.   3.80%  02/15/2028   5,066,641 
 5,069,000   Extra Space Storage LP   5.40%  02/01/2034   5,023,168 
 2,561,000   F&G Annuities & Life, Inc.   6.25%  10/04/2034   2,486,336 
 900,000   Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.   6.75%(a)  01/15/2030   831,050 
 4,662,000   Fiserv, Inc.   5.45%  03/15/2034   4,668,014 
 6,088,000   Ford Motor Co.   3.25%  02/12/2032   5,065,008 
 515,000   Fortrea Holdings, Inc.   7.50%(a)  07/01/2030   516,498 
 1,730,000   Fortress Transportation and Infrastructure Investors LLC   5.88%(a)  04/15/2033   1,671,375 
 2,648,000   Foundry JV Holdco LLC   6.40%(a)  01/25/2038   2,679,051 
 390,000   Frontier Communications Holdings LLC   5.88%(a)  10/15/2027   389,064 
 1,140,392   Frontier Communications Holdings LLC   5.88%  11/01/2029   1,135,054 
 690,000   Full House Resorts, Inc.   8.25%(a)  02/15/2028   688,102 
 825,000   Gates Corp./DE   6.88%(a)  07/01/2029   840,236 
 5,965,000   General Motors Financial Co., Inc.   3.10%  01/12/2032   5,107,806 
 2,610,000   Genesee & Wyoming, Inc.   6.25%(a)  04/15/2032   2,628,998 
 835,000   Genting New York LLC / GENNY Capital, Inc.   7.25%(a)  10/01/2029   861,047 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 5,044,000   Genuine Parts Co.   4.95%  08/15/2029   5,031,582 
 2,993,000   Gilead Sciences, Inc.   5.55%  10/15/2053   2,946,223 
 5,013,000   Global Payments, Inc.   4.95%  08/15/2027   5,025,010 
 735,000   Goat Holdco LLC   6.75%(a)  02/01/2032   728,631 
 11,303,000   Goldman Sachs Group, Inc.
 (3 mo. Term SOFR + 1.43%)		   5.96%  05/15/2026   11,348,741 
 3,280,000   Goldman Sachs Group, Inc.
 (SOFR + 0.82%)		   5.32%  09/10/2027   3,289,473 
 4,740,000   Goldman Sachs Group, Inc.
 (SOFR + 1.55%)		   5.33%  07/23/2035   4,653,907 
 585,000   Goodyear Tire & Rubber Co.   5.25%  07/15/2031   524,579 
 470,000   GrafTech Finance, Inc.   4.63%(a)  12/23/2029   384,802 
 625,000   Gray Television, Inc.   10.50%(a)  07/15/2029   625,641 
 1,105,000   Griffon Corp.   5.75%  03/01/2028   1,084,299 
 695,000   Group 1 Automotive, Inc.   4.00%(a)  08/15/2028   651,197 
 820,000   Group 1 Automotive, Inc.   6.38%(a)  01/15/2030   823,688 
 635,971   Gulfport Energy Corp.   8.00%(a)  05/17/2026   644,728 
 1,225,000   Gulfport Energy Operating Corp.   6.75%(a)  09/01/2029   1,235,071 
 1,205,000   Harvest Midstream I LP   7.50%(a)  05/15/2032   1,228,241 
 11,211,000   HCA, Inc.   5.25%  06/15/2049   9,713,775 
 1,180,000   Helios Software Holdings, Inc. / ION Corporate Solutions Finance Sarl   4.63%(a)  05/01/2028   1,089,796 
 1,075,000   Hess Midstream Operations LP   5.13%(a)  06/15/2028   1,046,369 
 2,638,000   Hess Midstream Operations LP   5.50%(a)  10/15/2030   2,563,061 
 12,428,000   Hewlett Packard Enterprise Co.   5.00%  10/15/2034   11,952,011 
 760,000   H-Food Holdings LLC / Hearthside Finance Co., Inc.   8.50%(a)(f)  06/01/2026   24,700 
 975,000   Hightower Holding LLC   6.75%(a)  04/15/2029   971,809 
 755,000   Hilcorp Energy I LP / Hilcorp Finance Co.   7.25%(a)  02/15/2035   710,467 
 5,993,000   Host Hotels & Resorts LP   2.90%  12/15/2031   5,101,722 
 5,035,000   Host Hotels & Resorts LP   5.70%  07/01/2034   5,029,769 
 1,245,000   HUB International Ltd.   7.25%(a)  06/15/2030   1,277,146 
 2,933,000   Huntington Bancshares, Inc./OH
 (SOFR + 1.28%)		   5.27%  01/15/2031   2,936,276 
 4,995,000   Hyatt Hotels Corp.   5.25%  06/30/2029   5,001,015 
 9,976,000   Hyundai Capital America   5.30%(a)  01/08/2029   10,000,104 
 1,045,000   Icahn Enterprises LP / Icahn Enterprises Finance Corp.   5.25%  05/15/2027   990,331 
 2,440,000   Icon Investments Six DAC   5.85%  05/08/2029   2,487,379 
 2,434,000   Icon Investments Six DAC   6.00%  05/08/2034   2,458,680 
 1,190,000   Illuminate Buyer LLC / Illuminate Holdings IV, Inc.   9.00%(a)  07/01/2028   1,206,061 
 1,435,000   Installed Building Products, Inc.   5.75%(a)  02/01/2028   1,412,512 
 4,246,000   Intuit, Inc.   5.50%  09/15/2053   4,160,905 
 3,383,000   IQVIA, Inc.   6.25%  02/01/2029   3,500,617 
 1,175,000   Iron Mountain, Inc.   7.00%(a)  02/15/2029   1,201,451 
 240,000   Iron Mountain, Inc.   6.25%(a)  01/15/2033   239,200 
 3,430,000   Jacobs Engineering Group, Inc.   5.90%  03/01/2033   3,477,151 
 1,380,000   JELD-WEN, Inc.   4.88%(a)  12/15/2027   1,312,712 
 1,020,000   JELD-WEN, Inc.   7.00%(a)  09/01/2032   947,937 
 790,000   JetBlue Airways Corp. / JetBlue Loyalty LP   9.88%(a)  09/20/2031   840,195 
 1,295,000   JPMorgan Chase & Co.
 (SOFR + 1.99%)		   4.85%  07/25/2028   1,294,801 
 4,495,000   JPMorgan Chase & Co.
 (SOFR + 1.02%)		   2.07%  06/01/2029   4,086,055 
 9,788,000   JPMorgan Chase & Co.
 (SOFR + 1.46%)		   5.29%  07/22/2035   9,688,458 
 4,970,000   Keurig Dr Pepper, Inc.   5.20%  03/15/2031   5,017,833 
 2,604,000   Keysight Technologies, Inc.   4.95%  10/15/2034   2,506,254 
 8,220,000   Kinder Morgan Energy Partners LP   6.95%  01/15/2038   8,915,569 
 2,511,000   Kinetik Holdings LP   5.88%(a)  06/15/2030   2,473,458 
 1,285,000   Kodiak Gas Services LLC   7.25%(a)  02/15/2029   1,311,975 
 6,647,000   Kyndryl Holdings, Inc.   4.10%  10/15/2041   5,279,077 
 12,436,000   Laboratory Corp. of America Holdings   4.80%  10/01/2034   11,791,881 
 430,000   LBM Acquisition LLC   6.25%(a)  01/15/2029   395,966 
 1,300,000   Leeward Renewable Energy Operations LLC   4.25%(a)  07/01/2029   1,191,359 
 1,125,000   Level 3 Financing, Inc.   10.50%(a)  04/15/2029   1,259,325 
 530,000   Level 3 Financing, Inc.   3.75%(a)  07/15/2029   412,528 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 420,000   Level 3 Financing, Inc.   4.50%(a)  04/01/2030   350,344 
 870,000   LFS Topco LLC   5.88%(a)  10/15/2026   864,236 
 1,720,000   Life Time, Inc.   6.00%(a)  11/15/2031   1,703,946 
 1,305,000   LifePoint Health, Inc.   4.38%(a)  02/15/2027   1,251,784 
 1,560,000   LifePoint Health, Inc.   10.00%(a)  06/01/2032   1,588,075 
 625,000   Light & Wonder International, Inc.   7.25%(a)  11/15/2029   638,567 
 740,000   Lightning Power LLC   7.25%(a)  08/15/2032   763,027 
 170,000   Lions Gate Capital Holdings LLC   5.50%(a)  04/15/2029   133,506 
 620,000   Live Nation Entertainment, Inc.   6.50%(a)  05/15/2027   627,374 
 2,922,000   Lowe’s Cos., Inc.   5.63%  04/15/2053   2,810,197 
 4,812,000   LPL Holdings, Inc.   6.00%  05/20/2034   4,902,296 
 4,835,000   LYB International Finance III LLC   5.50%  03/01/2034   4,746,566 
 2,403,000   M&T Bank Corp.
 (SOFR + 2.26%)		   6.08%  03/13/2032   2,464,099 
 1,235,000   M/I Homes, Inc.   4.95%  02/01/2028   1,199,548 
 535,000   Macy’s Retail Holdings LLC   5.88%(a)  04/01/2029   524,682 
 1,435,000   Madison IAQ LLC   5.88%(a)  06/30/2029   1,356,555 
 1,870,000   Markel Group, Inc.   6.00%  05/16/2054   1,854,449 
 5,053,000   Marriott International, Inc./MD   5.30%  05/15/2034   5,017,214 
 9,600,000   Marvell Technology, Inc.   5.95%  09/15/2033   9,971,226 
 5,577,000   Massachusetts Mutual Life Insurance Co.   3.20%(a)  12/01/2061   3,325,724 
 1,670,000   MasTec, Inc.   5.90%  06/15/2029   1,701,275 
 1,040,000   Matador Resources Co.   6.50%(a)  04/15/2032   1,029,992 
 1,330,000   Match Group Holdings II LLC   5.00%(a)  12/15/2027   1,287,446 
 650,000   Mativ Holdings, Inc.   8.00%(a)  10/01/2029   626,891 
 912,000   Mavis Tire Express Services Topco Corp.   6.50%(a)  05/15/2029   875,585 
 425,000   McAfee Corp.   7.38%(a)  02/15/2030   413,309 
 5,804,000   McDonald’s Corp.   4.45%  03/01/2047   4,876,955 
 685,000   McGraw-Hill Education, Inc.   5.75%(a)  08/01/2028   669,576 
 250,000   McGraw-Hill Education, Inc.   7.38%(a)  09/01/2031   256,171 
 2,650,000   Medline Borrower LP   5.25%(a)  10/01/2029   2,559,937 
 765,000   Medline Borrower LP/Medline Co.-Issuer, Inc.   6.25%(a)  04/01/2029   774,022 
 5,710,000   Meta Platforms, Inc.   4.45%  08/15/2052   4,815,843 
 505,000   Michaels Cos., Inc.   5.25%(a)  05/01/2028   381,863 
 405,000   Michaels Cos., Inc.   7.88%(a)  05/01/2029   247,701 
 1,238,000   Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp.   4.88%(a)  05/01/2029   1,167,992 
 1,300,000   Miter Brands Acquisition Holdco, Inc. / MIWD Borrower LLC   6.75%(a)  04/01/2032   1,306,904 
 195,000   ModivCare, Inc.   5.00%(a)  10/01/2029   114,914 
 3,431,000   Morgan Stanley
 (SOFR + 1.67%)		   4.68%  07/17/2026   3,428,193 
 4,078,000   Morgan Stanley
 (SOFR + 1.61%)		   4.21%  04/20/2028   4,020,294 
 1,678,000   Morgan Stanley
 (SOFR + 1.29%)		   2.94%  01/21/2033   1,438,102 
 4,351,000   Mosaic Co.   5.38%  11/15/2028   4,403,592 
 5,006,000   Motorola Solutions, Inc.   5.40%  04/15/2034   5,010,689 
 4,982,000   MPLX LP   5.50%  06/01/2034   4,913,335 
 835,000   Nabors Industries, Inc.   9.13%(a)  01/31/2030   849,932 
 310,000   Nabors Industries, Inc.   8.88%(a)  08/15/2031   288,172 
 1,460,000   Nationstar Mortgage Holdings, Inc.   5.75%(a)  11/15/2031   1,397,034 
 780,000   Navient Corp.   5.00%  03/15/2027   765,089 
 1,185,000   NCL Corp. Ltd.   5.88%(a)  03/15/2026   1,184,263 
 830,000   NCL Corp. Ltd.   8.38%(a)  02/01/2028   868,472 
 205,000   NCL Corp. Ltd.   6.25%(a)  03/01/2030   202,729 
 4,584,000   NetApp, Inc.   1.88%  06/22/2025   4,515,124 
 3,644,000   Netflix, Inc.   5.40%  08/15/2054   3,548,032 
 2,338,000   NextEra Energy Capital Holdings, Inc.
 (5 yr. CMT Rate + 2.46%)		   6.75%  06/15/2054   2,401,084 
 1,030,000   NGL Energy Operating LLC / NGL Energy Finance Corp.   8.13%(a)  02/15/2029   1,044,534 
 5,760,000   NGPL PipeCo LLC   3.25%(a)  07/15/2031   4,971,484 
 5,089,000   NiSource, Inc.   5.35%  04/01/2034   5,050,379 
 5,275,000   Northrop Grumman Corp.   5.20%  06/01/2054   4,912,427 
 1,000,000   Novelis Corp.   4.75%(a)  01/30/2030   924,126 
 3,136,000   NRG Energy, Inc.   2.00%(a)  12/02/2025   3,046,613 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 745,000   NRG Energy, Inc.   6.00%(a)  02/01/2033   724,155 
 1,650,000   NuStar Logistics LP   6.00%  06/01/2026   1,653,372 
 1,097,000   Occidental Petroleum Corp.   5.38%  01/01/2032   1,074,847 
 550,000   Olympus Water US Holding Corp.   6.25%(a)  10/01/2029   525,983 
 2,577,000   Omega Healthcare Investors, Inc.   4.75%  01/15/2028   2,543,732 
 280,000   OneMain Finance Corp.   7.13%  03/15/2026   285,239 
 1,525,000   OneMain Finance Corp.   7.50%  05/15/2031   1,566,841 
 2,218,000   ONEOK, Inc.   6.63%  09/01/2053   2,334,170 
 2,824,000   Oracle Corp.   6.25%  11/09/2032   2,993,909 
 1,814,000   Oracle Corp.   3.80%  11/15/2037   1,515,492 
 2,539,000   O’Reilly Automotive, Inc.   5.00%  08/19/2034   2,464,094 
 1,220,000   Outfront Media Capital LLC / Outfront Media Capital Corp.   7.38%(a)  02/15/2031   1,276,261 
 640,000   Owens & Minor, Inc.   6.63%(a)  04/01/2030   600,727 
 2,335,000   Owens Corning   5.70%  06/15/2034   2,373,381 
 4,520,000   Pacific Gas and Electric Co.   6.95%  03/15/2034   4,953,279 
 11,746,000   Pacific Gas and Electric Co.   6.75%  01/15/2053   12,811,993 
 1,015,000   Pactiv Evergreen Group Issuer LLC / Pactiv Evergreen Group Issuer, Inc.   4.38%(a)  10/15/2028   1,015,138 
 1,035,000   Panther Escrow Issuer LLC   7.13%(a)  06/01/2031   1,046,472 
 1,755,000   Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co.-Issuer   7.00%(a)  02/01/2030   1,782,481 
 270,000   PBF Holding Co. LLC / PBF Finance Corp.   6.00%  02/15/2028   259,162 
 470,000   Penn Entertainment, Inc.   4.13%(a)  07/01/2029   421,929 
 690,000   PennyMac Financial Services, Inc.   4.25%(a)  02/15/2029   639,976 
 775,000   PennyMac Financial Services, Inc.   7.88%(a)  12/15/2029   812,702 
 2,945,000   Penske Truck Leasing Co. Lp / PTL Finance Corp.   5.75%(a)  05/24/2026   2,976,887 
 4,185,000   Penske Truck Leasing Co. Lp / PTL Finance Corp.   4.20%(a)  04/01/2027   4,118,693 
 1,100,000   Performance Food Group, Inc.   6.13%(a)  09/15/2032   1,101,325 
 1,220,000   Permian Resources Operating LLC   7.00%(a)  01/15/2032   1,239,629 
 3,105,000   Permian Resources Operating LLC   6.25%(a)  02/01/2033   3,067,460 
 1,345,000   PetSmart, Inc. / PetSmart Finance Corp.   7.75%(a)  02/15/2029   1,301,793 
 4,402,000   Philip Morris International, Inc.   5.25%  02/13/2034   4,352,991 
 3,795,000   Phillips Edison Grocery Center Operating Partnership I LP   5.75%  07/15/2034   3,803,310 
 655,000   Pike Corp.   8.63%(a)  01/31/2031   691,814 
 980,000   Post Holdings, Inc.   6.38%(a)  03/01/2033   961,735 
 375,000   Premier Entertainment Sub LLC / Premier Entertainment Finance Corp.   5.63%(a)  09/01/2029   294,741 
 545,000   Prime Security Services Borrower LLC / Prime Finance, Inc.   6.25%(a)  01/15/2028   542,639 
 2,909,000   Qorvo, Inc.   3.38%(a)  04/01/2031   2,490,371 
 4,993,000   Quanta Services, Inc.   5.25%  08/09/2034   4,881,358 
 5,060,000   Quest Diagnostics, Inc.   5.00%  12/15/2034   4,915,218 
 210,000   Radiate Holdco LLC / Radiate Finance, Inc.   4.50%(a)  09/15/2026   183,555 
 1,117,346   Radiology Partners, Inc.
 4.28% Cash + 3.50% PIK		   7.78%(a)  01/31/2029   1,104,776 
 225,011   Radiology Partners, Inc.
 9.78% PIK		   9.78%(a)  02/15/2030   210,248 
 1,934,000   Regal Rexnord Corp.   6.05%  02/15/2026   1,952,506 
 2,886,000   Regal Rexnord Corp.   6.05%  04/15/2028   2,936,434 
 1,475,000   Royal Caribbean Cruises Ltd.   5.50%(a)  08/31/2026   1,474,626 
 4,896,000   Royal Caribbean Cruises Ltd.   5.38%(a)  07/15/2027   4,869,062 
 490,000   Royal Caribbean Cruises Ltd.   5.63%(a)  09/30/2031   482,311 
 775,000   Royal Caribbean Cruises Ltd.   6.25%(a)  03/15/2032   784,882 
 4,925,000   Royalty Pharma PLC   5.40%  09/02/2034   4,795,247 
 2,426,000   Sabra Health Care LP   3.20%  12/01/2031   2,082,787 
 367,000   Sabre GLBL, Inc.   8.63%(a)  06/01/2027   362,322 
 165,000   Sabre GLBL, Inc.   10.75%(a)  11/15/2029   170,840 
 1,423,000   San Diego Gas & Electric Co.   5.35%  04/01/2053   1,340,645 
 545,000   Scientific Games Holdings LP/Scientific Games US FinCo, Inc.   6.63%(a)  03/01/2030   521,997 
 1,270,000   Sealed Air Corp./Sealed Air Corp. US   7.25%(a)  02/15/2031   1,310,703 
 965,000   Select Medical Corp.   6.25%(a)  12/01/2032   930,121 
 260,000   Service Properties Trust   5.50%  12/15/2027   244,346 
 550,000   Service Properties Trust   8.88%  06/15/2032   509,585 
 1,100,000   Sirius XM Radio LLC   5.50%(a)  07/01/2029   1,055,938 
 605,000   Sitio Royalties Operating Partnership LP / Sitio Finance Corp.   7.88%(a)  11/01/2028   625,138 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 1,550,000   Six Flags Entertainment Corp. / Six Flags Theme Parks, Inc.   6.63%(a)  05/01/2032   1,572,203 
 1,230,000   SM Energy Co.   7.00%(a)  08/01/2032   1,213,884 
 700,000   Sonic Automotive, Inc.   4.63%(a)  11/15/2029   646,911 
 2,583,000   Sonoco Products Co.   4.60%  09/01/2029   2,517,347 
 680,000   Sotera Health Holdings LLC   7.38%(a)  06/01/2031   689,759 
 3,724,000   Southwestern Electric Power Co.   3.25%  11/01/2051   2,361,713 
 465,000   Spirit AeroSystems, Inc.   9.75%(a)  11/15/2030   515,154 
 625,000   Standard Building Solutions, Inc.   6.50%(a)  08/15/2032   626,538 
 795,000   Staples, Inc.   10.75%(a)  09/01/2029   783,103 
 185,000   Staples, Inc.   12.75%(a)  01/15/2030   144,884 
 850,000   Starwood Property Trust, Inc.   7.25%(a)  04/01/2029   872,996 
 405,000   Starwood Property Trust, Inc.   6.00%(a)  04/15/2030   397,810 
 625,000   Station Casinos LLC   6.63%(a)  03/15/2032   621,691 
 685,000   Suburban Propane Partners LP/Suburban Energy Finance Corp.   5.00%(a)  06/01/2031   613,644 
 6,035,000   Sun Communities Operating LP   2.70%  07/15/2031   5,078,029 
 1,130,000   SunCoke Energy, Inc.   4.88%(a)  06/30/2029   1,031,503 
 635,000   Sunoco LP / Sunoco Finance Corp.   6.00%  04/15/2027   634,204 
 210,000   SWF Holdings I Corp.   6.50%(a)  10/01/2029   132,456 
 8,765,000   Take-Two Interactive Software, Inc.   4.95%  03/28/2028   8,762,697 
 1,205,000   Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.   7.38%(a)  02/15/2029   1,209,977 
 1,081,000   Targa Resources Corp.   5.50%  02/15/2035   1,064,302 
 950,000   Tenet Healthcare Corp.   6.25%  02/01/2027   949,997 
 835,000   Tenet Healthcare Corp.   6.13%  10/01/2028   834,198 
 1,320,000   Tenet Healthcare Corp.   6.13%  06/15/2030   1,311,246 
 2,495,000   The Campbell’s Co.   5.40%  03/21/2034   2,484,100 
 5,722,000   T-Mobile USA, Inc.   3.40%  10/15/2052   3,819,923 
 3,190,000   T-Mobile USA, Inc.   5.25%  06/15/2055   2,899,851 
 945,000   Townsquare Media, Inc.   6.88%(a)  02/01/2026   942,922 
 1,290,000   TransDigm, Inc.   5.50%  11/15/2027   1,268,656 
 1,245,000   TransDigm, Inc.   6.88%(a)  12/15/2030   1,264,403 
 594,000   Transocean Poseidon Ltd.   6.88%(a)  02/01/2027   596,256 
 441,000   Transocean, Inc.   8.00%(a)  02/01/2027   442,307 
 1,785,000   Trident TPI Holdings, Inc.   12.75%(a)  12/31/2028   1,971,249 
 785,000   Triton Water Holdings, Inc.   6.25%(a)  04/01/2029   780,096 
 4,981,000   Truist Financial Corp.
 (SOFR + 1.57%)		   5.15%  08/05/2032   4,924,520 
 5,741,000   Uber Technologies, Inc.   4.50%(a)  08/15/2029   5,562,817 
 4,996,000   Uber Technologies, Inc.   4.80%  09/15/2034   4,785,588 
 655,000   UKG, Inc.   6.88%(a)  02/01/2031   665,223 
 1,255,000   United Airlines, Inc.   4.63%(a)  04/15/2029   1,194,253 
 2,060,000   United Natural Foods, Inc.   6.75%(a)  10/15/2028   2,032,358 
 5,779,000   UnitedHealth Group, Inc.   5.05%  04/15/2053   5,207,765 
 2,056,000   UnitedHealth Group, Inc.   4.95%  05/15/2062   1,773,520 
 625,000   Uniti Group LP / Uniti Group Finance 2019, Inc. / CSL Capital LLC   10.50%(a)  02/15/2028   667,072 
 5,489,000   Universal Health Services, Inc.   4.63%  10/15/2029   5,299,875 
 1,000,000   Univision Communications, Inc.   4.50%(a)  05/01/2029   896,237 
 445,000   Upbound Group, Inc.   6.38%(a)  02/15/2029   433,128 
 1,725,000   US Foods, Inc.   5.75%(a)  04/15/2033   1,680,660 
 500,000   Vail Resorts, Inc.   6.50%(a)  05/15/2032   506,022 
 940,000   Venture Global LNG, Inc.   8.13%(a)  06/01/2028   978,590 
 600,000   Venture Global LNG, Inc.   8.38%(a)  06/01/2031   626,377 
 615,000   Venture Global LNG, Inc.   9.88%(a)  02/01/2032   675,211 
 3,422,000   Veralto Corp.   5.35%  09/18/2028   3,467,205 
 4,988,000   Verisk Analytics, Inc.   5.25%  06/05/2034   4,931,460 
 515,000   Veritiv Operating Co.   10.50%(a)  11/30/2030   555,289 
 5,267,000   VICI Properties LP / VICI Note Co., Inc.   4.63%(a)  12/01/2029   5,050,791 
 1,020,000   Victra Holdings LLC / Victra Finance Corp.   8.75%(a)  09/15/2029   1,071,397 
 1,415,000   Viking Cruises Ltd.   5.88%(a)  09/15/2027   1,409,000 
 570,000   Viking Cruises Ltd.   9.13%(a)  07/15/2031   613,522 
 1,807,000   Virginia Electric and Power Co.   5.55%  08/15/2054   1,749,042 
 760,000   Vistra Operations Co. LLC   7.75%(a)  10/15/2031   797,997 
 775,000   Vistra Operations Co. LLC   6.88%(a)  04/15/2032   794,272 
 550,000   Vital Energy, Inc.   7.88%(a)  04/15/2032   529,739 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 119,130   Vortex Opco LLC   8.00%(a)  04/30/2030   44,078 
 27,360   Vortex Opco LLC
 (3 mo. Term SOFR + 6.25%, 0.50% Floor)		   10.56%(a)  04/30/2030   26,950 
 635,000   VT Topco, Inc.   8.50%(a)  08/15/2030   673,348 
 790,000   Wand NewCo 3, Inc.   7.63%(a)  01/30/2032   812,234 
 1,065,000   WASH Multifamily Acquisition, Inc.   5.75%(a)  04/15/2026   1,061,755 
 1,255,000   Watco Cos. LLC / Watco Finance Corp.   7.13%(a)  08/01/2032   1,294,845 
 615,000   Wayfair LLC   7.25%(a)  10/31/2029   616,230 
 1,090,000   Weatherford International Ltd.   8.63%(a)  04/30/2030   1,126,341 
 4,377,000   Wells Fargo & Co.
 (SOFR + 1.98%)		   4.81%  07/25/2028   4,362,229 
 2,439,000   Wells Fargo & Co.
 (5 yr. CMT Rate + 2.77%)		   6.85%(h)  09/15/2029   2,523,512 
 4,980,000   Wells Fargo & Co.
 (3 mo. Term SOFR + 1.43%)		   2.88%  10/30/2030   4,494,170 
 7,465,000   Wells Fargo & Co.
 (SOFR + 2.06%)		   6.49%  10/23/2034   7,938,278 
 6,659,000   Williams Cos., Inc.   5.15%  03/15/2034   6,477,972 
 3,289,000   Willis North America, Inc.   4.50%  09/15/2028   3,232,538 
 790,000   Windstream Services LLC / Windstream Escrow Finance Corp.   8.25%(a)  10/01/2031   816,854 
 4,663,000   Workday, Inc.   3.70%  04/01/2029   4,436,185 
 2,718,000   Workday, Inc.   3.80%  04/01/2032   2,474,459 
 1,020,000   WR Grace Holdings LLC   5.63%(a)  08/15/2029   939,250 
 1,215,000   Wyndham Hotels & Resorts, Inc.   4.38%(a)  08/15/2028   1,159,764 
 3,250,000   XHR LP   6.63%(a)  05/15/2030   3,264,729 
 1,510,000   XPO, Inc.   7.13%(a)  06/01/2031   1,554,429 
 5,023,000   Zimmer Biomet Holdings, Inc.   5.20%  09/15/2034   4,926,430 
     Total US Corporate Bonds (Cost $1,081,749,405)           1,040,201,896 
                   
 US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS - 20.2%         
     Fannie Mae Whole Loan             
 111,610   Series 2003-W17-1A7   5.75%  08/25/2033   111,290 
     Federal Home Loan Mortgage Corp.             
 200,681   Pool G01840   5.00%  07/01/2035   199,376 
 114,226   Pool G04817   5.00%  09/01/2038   114,015 
 4,712,611   Pool G08537   3.00%  07/01/2043   4,165,457 
 2,601,446   Pool G08622   3.00%  01/01/2045   2,272,709 
 2,490,106   Pool G08686   3.00%  01/01/2046   2,171,883 
 9,275,053   Pool G08701   3.00%  04/01/2046   8,071,635 
 612,871   Pool G08737   3.00%  12/01/2046   531,485 
 5,513,475   Pool G61645   4.00%  10/01/2048   5,119,582 
 807,373   Pool N70081   5.50%  07/01/2038   807,482 
 4,767,041   Pool Q33789   3.50%  06/01/2045   4,319,441 
 8,907,600   Pool QX1615   5.50%  12/01/2054   8,829,075 
 7,517,802   Pool RA3722   2.50%  10/01/2050   6,242,230 
 37,522,410   Pool RA9843   5.50%  09/01/2053   37,285,409 
 7,162,190   Pool SD0699   2.00%  11/01/2050   5,743,741 
 11,969,882   Pool SD2759   5.50%  05/01/2053   11,906,291 
 23,788,518   Pool SD2912   5.00%  05/01/2053   23,108,341 
 39,433,394   Pool SD2969   2.50%  05/01/2052   32,692,086 
 27,654,396   Pool SD3721   5.00%  07/01/2053   26,865,513 
 18,611,338   Pool SD3892   5.50%  09/01/2053   18,486,808 
 23,347,765   Pool SD4301   6.00%  11/01/2053   23,913,025 
 10,096,447   Pool SD4400   2.00%  02/01/2051   7,972,654 
 5,437,799   Pool SD4658   5.00%  06/01/2053   5,310,523 
 14,454,189   Pool SD4882   6.00%  02/01/2054   14,804,053 
 19,624,170   Pool SD4888   6.00%  02/01/2054   19,927,971 
 14,686,265   Pool SD5598   5.50%  05/01/2054   14,646,188 
 30,711,960   Pool SD5726   3.00%  07/01/2052   26,266,806 
 6,722,307   Pool SD5964   5.50%  11/01/2053   6,707,075 
 25,000,000   Pool SD7162   5.50%  12/01/2054   25,001,227 
 54,585,411   Pool SD7538   2.00%  04/01/2051   43,626,035 
 50,011,207   Pool SD7553   3.00%  03/01/2052   43,112,346 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 18,073,380   Pool SD7562   5.50%  04/01/2053   18,095,917 
 23,744,120   Pool SD7564   5.00%  06/01/2053   23,157,169 
 18,737,793   Pool SD7565   5.50%  09/01/2053   18,721,365 
 8,990,443   Pool SD7567   5.50%  02/01/2054   9,007,809 
 13,906,473   Pool SD7568   5.50%  02/01/2054   13,875,718 
 741,301   Pool T60854   3.50%  09/01/2042   668,939 
 132,595   Pool U60299   4.00%  11/01/2040   125,352 
 9,960,107   Pool ZT1827   3.00%  07/01/2047   8,643,651 
 25,518   Series 2692-SC (-2 x 30 day avg SOFR US + 13.06%, 0.00% Floor, 13.29% Cap)   3.86%(k)  07/15/2033   25,775 
 610,036   Series 2722-PS (-1 x 30 day avg SOFR US + 9.76%, 0.00% Floor, 9.89% Cap)   4.65%(k)  12/15/2033   617,793 
 23,410   Series 2750-ZT   5.00%  02/15/2034   23,528 
 60,343   Series 3002-SN (-1 x 30 day avg SOFR US + 6.39%, 0.00% Floor, 6.50% Cap)   1.79%(i)(k)  07/15/2035   4,246 
 29,125   Series 3045-DI (-1 x 30 day avg SOFR US + 6.62%, 0.00% Floor, 6.73% Cap)   2.02%(i)(k)  10/15/2035   2,395 
 101,506   Series 3116-Z   5.50%  02/15/2036   103,855 
 7,660   Series 3117-ZN   4.50%  02/15/2036   7,333 
 26,337   Series 3275-SC (-1 x 30 day avg SOFR US + 5.97%, 0.00% Floor, 6.08% Cap)   1.37%(i)(k)  02/15/2037   2,022 
 80,079   Series 3382-SB (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap)   1.29%(i)(k)  11/15/2037   4,846 
 100,294   Series 3384-S (-1 x 30 day avg SOFR US + 6.28%, 0.00% Floor, 6.39% Cap)   1.68%(i)(k)  11/15/2037   5,768 
 37,600   Series 3417-SX (-1 x 30 day avg SOFR US + 6.07%, 0.00% Floor, 6.18% Cap)   1.47%(i)(k)  02/15/2038   2,588 
 10,876   Series 3423-GS (-1 x 30 day avg SOFR US + 5.54%, 0.00% Floor, 5.65% Cap)   0.94%(i)(k)  03/15/2038   626 
 10,876   Series 3423-SG (-1 x 30 day avg SOFR US + 5.54%, 0.00% Floor, 5.65% Cap)   0.94%(i)(k)  03/15/2038   613 
 48,241   Series 3524-LB   3.15%(c)  06/15/2038   44,711 
 29,690   Series 3562-WS (-1 x 30 day avg SOFR US + 4.84%, 0.00% Floor, 4.95% Cap)   0.24%(i)(k)  08/15/2039   1,175 
 100,954   Series 3582-SA (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap)   1.29%(i)(k)  10/15/2049   7,684 
 59,615   Series 3616-SG (-1 x 30 day avg SOFR US + 6.24%, 0.00% Floor, 6.35% Cap)   1.64%(i)(k)  03/15/2032   2,353 
 344,677   Series 3626-AZ   5.50%  08/15/2036   353,537 
 146,435   Series 3666-SC (-1 x 30 day avg SOFR US + 5.66%, 0.00% Floor, 5.77% Cap)   1.06%(i)(k)  05/15/2040   9,465 
 362,363   Series 3779-YA   3.50%  12/15/2030   353,279 
 162,797   Series 3786-SG (-2 x 30 day avg SOFR US + 9.27%, 0.00% Floor, 9.50% Cap)   0.08%(k)  01/15/2041   110,945 
 101,340   Series 3792-SE (-2 x 30 day avg SOFR US + 9.63%, 0.00% Floor, 9.86% Cap)   0.44%(k)  01/15/2041   58,245 
 320,365   Series 3806-CZ   5.50%  07/15/2034   327,625 
 487,130   Series 3818-CZ   4.50%  03/15/2041   469,857 
 251,282   Series 3828-SW (-3 x 30 day avg SOFR US + 12.86%, 0.00% Floor, 13.20% Cap)   0.00%(k)  02/15/2041   182,659 
 1,798,889   Series 3889-VZ   4.00%  07/15/2041   1,694,622 
 694,722   Series 3972-AZ   3.50%  12/15/2041   637,435 
 1,959,951   Series 4291-MS (-1 x 30 day avg SOFR US + 5.79%, 0.00% Floor, 5.90% Cap)   1.19%(i)(k)  01/15/2054   183,634 
 1,105,432   Series 4471-BA   3.00%  12/15/2041   1,088,249 
 13,155,593   Series 5470-FH (30 day avg SOFR US + 1.20%, 1.20% Floor, 6.50% Cap)   5.77%  11/25/2054   13,128,232 
 13,586,744   Series 5478-FB (30 day avg SOFR US + 1.35%, 1.35% Floor, 6.50% Cap)   5.92%  02/25/2054   13,612,322 
     Federal National Mortgage Association             
 36,843   Pool 555743   5.00%  09/01/2033   36,655 
 31,935   Pool 735382   5.00%  04/01/2035   31,682 
 269,094   Pool 735383   5.00%  04/01/2035   266,967 
 136,244   Pool 735402   5.00%  04/01/2035   135,160 
 181,780   Pool 735484   5.00%  05/01/2035   180,329 
 44,147   Pool 931104   5.00%  05/01/2039   43,966 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 223,666   Pool 995203   5.00%  07/01/2035   221,927 
 179,696   Pool AB2123   4.00%  01/01/2031   176,443 
 17,636   Pool AB2370   4.50%  09/01/2035   17,431 
 2,476   Pool AD2177   4.50%  06/01/2030   2,446 
 289,780   Pool AH7309   4.00%  02/01/2031   283,629 
 3,644,497   Pool AL9238   3.00%  10/01/2041   3,220,847 
 722,390   Pool AL9445   3.00%  07/01/2031   695,313 
 6,774,712   Pool AS7661   3.00%  08/01/2046   5,793,090 
 3,228,904   Pool AS7724   2.50%  08/01/2046   2,698,361 
 10,443,717   Pool BC9081   3.00%  12/01/2046   9,064,504 
 7,079,471   Pool BD8013   2.50%  09/01/2046   5,919,227 
 17,450,500   Pool BL2643   3.39%  07/01/2034   15,413,115 
 28,614,926   Pool BL4425   2.14%  10/01/2029   25,603,446 
 18,090,000   Pool BL5484   2.26%  01/01/2030   16,094,764 
 4,727,964   Pool BL9284   2.23%  12/01/2050   3,258,692 
 1,727,076   Pool BM4094   3.00%  03/01/2043   1,524,864 
 9,980,777   Pool BM6089   3.50%  12/01/2044   9,057,284 
 42,650,259   Pool BR2217   2.50%  08/01/2051   35,265,382 
 36,599,790   Pool BS4941   2.46%  04/01/2032   31,232,900 
 23,006,977   Pool CB6266   6.00%  05/01/2053   23,287,237 
 30,819,128   Pool CB7270   6.00%  10/01/2053   31,278,920 
 35,163,073   Pool CB7272   6.00%  10/01/2053   35,645,350 
 14,083,080   Pool CB7335   5.50%  10/01/2053   14,068,435 
 9,179,349   Pool CB8122   5.00%  03/01/2054   8,986,630 
 22,421,189   Pool CB8138   5.50%  03/01/2054   22,346,710 
 26,690,247   Pool CB8692   5.50%  06/01/2054   26,695,727 
 9,540,466   Pool FM1000   3.00%  04/01/2047   8,280,470 
 15,158,146   Pool FM4575   2.50%  10/01/2050   12,588,619 
 9,713,365   Pool FM6061   2.00%  02/01/2051   7,696,423 
 6,334,377   Pool FM8664   3.00%  10/01/2046   5,499,783 
 35,761,160   Pool FS1472   3.50%  11/01/2050   32,107,745 
 9,617,444   Pool FS3708   5.00%  01/01/2053   9,320,885 
 28,623,642   Pool FS5417   2.50%  04/01/2052   23,603,078 
 29,394,310   Pool FS5875   2.50%  04/01/2052   24,242,189 
 8,680,494   Pool FS6084   6.00%  10/01/2053   8,783,203 
 2,188,421   Pool FS6309   6.00%  12/01/2053   2,241,483 
 6,265,807   Pool FS6476   2.50%  11/01/2051   5,193,859 
 3,988,733   Pool FS7708   3.50%  04/01/2052   3,571,394 
 4,303,193   Pool FS8999   6.00%  08/01/2054   4,382,948 
 113,242   Pool MA0264   4.50%  12/01/2029   112,521 
 77,996   Pool MA0353   4.50%  03/01/2030   77,466 
 4,249   Pool MA0468   5.00%  07/01/2040   4,087 
 1,833,838   Pool MA2151   3.50%  01/01/2045   1,648,377 
 951,084   Pool MA2248   3.00%  04/01/2045   813,311 
 1,495,126   Pool MA2621   3.50%  05/01/2046   1,331,444 
 3,559,126   Pool MA2649   3.00%  06/01/2046   3,043,421 
 1,406,310   Pool MA2711   3.00%  08/01/2046   1,202,541 
 9,139,368   Pool MA2806   3.00%  11/01/2046   7,915,178 
 12,291,536   Pool MA4709   5.00%  07/01/2052   11,895,628 
 15,175,574   Pool MA5086   5.00%  07/01/2043   14,902,642 
 666,695   Series 2005-20-QH   5.00%  03/25/2035   669,092 
 124,382   Series 2006-101-SA (-1 x 30 day avg SOFR US + 6.47%, 0.00% Floor, 6.58% Cap)   1.90%(i)(k)  10/25/2036   12,460 
 47,243   Series 2006-56-SM (-1 x 30 day avg SOFR US + 6.64%, 0.00% Floor, 6.75% Cap)   2.07%(i)(k)  07/25/2036   3,894 
 39,269   Series 2007-116-BI (-1 x 30 day avg SOFR US + 6.14%, 0.00% Floor, 6.25% Cap)   1.57%(i)(k)  05/25/2037   2,692 
 507,664   Series 2007-30-FS (-5 x 30 day avg SOFR US + 29.30%, 0.00% Floor, 29.83% Cap)   8.14%(k)  04/25/2037   548,482 
 197,397   Series 2007-30-OI (-1 x 30 day avg SOFR US + 6.33%, 0.00% Floor, 6.44% Cap)   1.76%(i)(k)  04/25/2037   19,746 
 30,186   Series 2008-29-ZA   4.50%  04/25/2038   29,638 
 12,269   Series 2008-62-SC (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap)   1.32%(i)(k)  07/25/2038   697 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 134,232   Series 2009-111-EZ   5.00%  01/25/2040   132,225 
 3,953   Series 2009-111-SE (-1 x 30 day avg SOFR US + 6.14%, 0.00% Floor, 6.25% Cap)   1.57%(i)(k)  01/25/2040   380 
 14,033   Series 2009-16-MZ   5.00%  03/25/2029   13,925 
 19,164   Series 2009-48-WS (-1 x 30 day avg SOFR US + 5.84%, 0.00% Floor, 5.95% Cap)   1.27%(i)(k)  07/25/2039   1,446 
 39,158   Series 2009-62-PS (-1 x 30 day avg SOFR US + 5.99%, 0.00% Floor, 6.10% Cap)   1.42%(i)(k)  08/25/2039   1,167 
 343,532   Series 2009-77-ZA   4.50%  10/25/2039   338,242 
 92,720   Series 2009-83-Z   4.50%  10/25/2039   89,573 
 57,122   Series 2010-121-SD (-1 x 30 day avg SOFR US + 4.39%, 0.00% Floor, 4.50% Cap)   0.00%(i)(k)  10/25/2040   1,315 
 26,762   Series 2010-137-VS (-3 x 30 day avg SOFR US + 14.66%, 0.00% Floor, 15.00% Cap)   0.61%(k)  12/25/2040   24,770 
 16,509   Series 2010-31-SA (-1 x 30 day avg SOFR US + 4.89%, 0.00% Floor, 5.00% Cap)   0.32%(i)(k)  04/25/2040   630 
 11,999   Series 2010-34-PS (-1 x 30 day avg SOFR US + 4.82%, 0.00% Floor, 4.93% Cap)   0.25%(i)(k)  04/25/2040   371 
 59,113   Series 2010-35-SP (-1 x 30 day avg SOFR US + 6.24%, 0.00% Floor, 6.35% Cap)   1.67%(i)(k)  04/25/2050   6,877 
 3,226   Series 2010-35-SV (-1 x 30 day avg SOFR US + 6.34%, 0.00% Floor, 6.45% Cap)   1.77%(i)(k)  04/25/2040   66 
 466,514   Series 2010-37-MY   4.50%  04/25/2040   448,148 
 81,421   Series 2010-59-SC (-1 x 30 day avg SOFR US + 4.89%, 0.00% Floor, 5.00% Cap)   0.32%(i)(k)  01/25/2040   2,566 
 149,175   Series 2010-60-VZ   5.00%  10/25/2039   146,711 
 64,995   Series 2010-64-EZ   5.00%  06/25/2040   65,323 
 113,348   Series 2010-7-PE   5.00%  02/25/2040   113,059 
 30,652   Series 2010-90-GS (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap)   1.32%(i)(k)  08/25/2040   2,362 
 20,257   Series 2010-99-SG (-5 x 30 day avg SOFR US + 24.43%, 0.00% Floor, 25.00% Cap)   1.02%(k)  09/25/2040   20,641 
 986,531   Series 2011-141-PZ   4.00%  01/25/2042   925,117 
 61,571   Series 2011-25-KY   3.00%  04/25/2026   60,942 
 405,005   Series 2011-59-MA   4.50%  07/25/2041   396,005 
 5,345,914   Series 2012-56-FK (30 day avg SOFR US + 0.56%, 0.45% Floor, 6.50% Cap)   5.13%  06/25/2042   5,261,928 
 614,998   Series 2017-86-MA   3.00%  04/25/2046   590,450 
 8,875,856   Series 2018-21-IO   3.00%(i)  04/25/2048   1,333,354 
 13,964,673   Series 2018-21-PO   0.00%(l)  04/25/2048   10,463,681 
 7,307,699   Series 2018-35-IO   3.00%(i)  05/25/2048   1,265,397 
 28,034,200   Series 2018-35-PO   0.00%(l)  05/25/2048   19,829,369 
 16,947,330   Series 2021-48-NS (-1 x 30 day avg SOFR US + 3.65%, 0.00% Floor, 3.65% Cap)   0.00%(i)(k)  08/25/2051   303,805 
 9,983,983   Series 2022-12-MZ   3.00%(m)  03/25/2052   6,492,407 
 16,285,000   Series 2024-100-FD (30 day avg SOFR US + 1.45%, 1.45% Floor, 6.50% Cap)   6.05%  06/25/2054   16,288,180 
 83,999   Series 400-S4 (-1 x 30 day avg SOFR US + 5.34%, 0.00% Floor, 5.45% Cap)   0.77%(i)(k)  11/25/2039   6,277 
     Ginnie Mae I Pool             
 25,300,091   Pool 779384   3.50%  06/15/2042   23,243,249 
     Ginnie Mae II Pool             
 9,836,108   Pool 784415   3.50%  04/20/2047   8,944,001 
 24,227,209   Pool 785713   2.50%  10/20/2051   20,134,756 
 11,427,007   Pool 785764   2.50%  11/20/2051   9,465,089 
 29,924,303   Pool 786009   3.00%  02/20/2052   25,885,556 
 9,417,068   Pool 786227   3.00%  04/20/2052   8,142,866 
 3,912,595   Pool 786540   3.50%  02/20/2050   3,555,499 
 10,258,513   Pool 786718   3.50%  07/20/2051   9,279,672 
 25,249,269   Pool MA5076   3.00%  03/20/2048   22,163,824 
 27,767,657   Pool MA5191   3.50%  05/20/2048   25,068,611 
     Government National Mortgage Association             
 65,488   Series 2003-67-SP (-1 x 1 mo. Term SOFR + 6.99%, 0.00% Floor, 7.10% Cap)   2.62%(i)(k)  08/20/2033   94 
 37,480   Series 2008-82-SM (-1 x 1 mo. Term SOFR + 5.94%, 0.00% Floor, 6.05% Cap)   1.57%(i)(k)  09/20/2038   1,007 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 509,159   Series 2009-32-ZE   4.50%  05/16/2039   499,160 
 547,375   Series 2009-75-GZ   4.50%  09/20/2039   539,334 
 723,508   Series 2009-75-HZ   5.00%  09/20/2039   715,680 
 1,859,054   Series 2010-113-SM (-1 x 1 mo. Term SOFR + 5.94%, 0.00% Floor, 6.05% Cap)   1.57%(i)(k)  09/20/2040   206,503 
 4,201,345   Series 2010-115-AF (1 mo. Term SOFR + 0.56%, 0.45% Floor, 6.50% Cap)   4.93%  09/20/2040   4,152,523 
 81,257   Series 2010-25-ZB   4.50%  02/16/2040   79,739 
 1,062,615   Series 2011-45-GZ   4.50%  03/20/2041   1,042,858 
 1,693,660   Series 2013-117-MS (-1 x 1 mo. Term SOFR + 6.04%, 0.00% Floor, 6.15% Cap)   1.67%(i)(k)  02/20/2043   70,192 
 1,715,818   Series 2013-122-SB (-1 x 1 mo. Term SOFR + 5.99%, 0.00% Floor, 6.10% Cap)   1.59%(i)(k)  08/16/2043   163,471 
 2,498,922   Series 2014-102-TS (-1 x 1 mo. Term SOFR + 5.49%, 0.00% Floor, 5.60% Cap)   1.12%(i)(k)  07/20/2044   189,336 
 2,144,650   Series 2014-118-PS (-1 x 1 mo. Term SOFR + 6.09%, 0.00% Floor, 6.20% Cap)   1.72%(i)(k)  08/20/2044   249,976 
 1,876,569   Series 2014-118-SA (-1 x 1 mo. Term SOFR + 6.09%, 0.00% Floor, 6.20% Cap)   1.72%(i)(k)  08/20/2044   218,729 
 3,444,137   Series 2015-161-GF (1 mo. Term SOFR + 0.41%, 0.30% Floor, 6.50% Cap)   4.78%  11/20/2045   3,367,429 
 5,465,592   Series 2017-52-FH (1 mo. Term SOFR + 0.46%, 0.35% Floor, 6.50% Cap)   4.83%  04/20/2047   5,345,118 
 11,414,672   Series 2019-86-FE (1 mo. Term SOFR + 0.51%, 0.40% Floor, 6.50% Cap)   4.88%  07/20/2049   11,242,530 
 13,981,835   Series 2020-61-IA   3.00%(i)  05/20/2050   2,127,213 
 18,703,012   Series 2020-62-KF (1 mo. Term SOFR + 0.46%, 0.35% Floor, 6.50% Cap)   4.83%  05/20/2050   18,196,012 
 10,369,462   Series 2021-117-ID   3.50%(i)  06/20/2051   1,819,151 
 20,775,932   Series 2021-155-UI   4.50%(i)  09/20/2051   3,483,154 
 17,620,100   Series 2021-214-IG   2.50%(i)  12/20/2051   2,351,672 
 18,231,163   Series 2022-83-GZ   3.00%(m)  05/20/2052   13,997,933 
     Total US Government and Agency Mortgage Backed Obligations
(Cost $1,449,624,207)		      1,366,556,564 
 US GOVERNMENT AND AGENCY OBLIGATIONS - 17.6%            
 190,000,000   United States Treasury Note/Bond   0.75%  03/31/2026   182,019,105 
 101,700,000   United States Treasury Note/Bond   0.75%  01/31/2028   91,396,983 
 131,750,000   United States Treasury Note/Bond   0.63%  05/15/2030   108,136,472 
 107,850,000   United States Treasury Note/Bond   0.63%  08/15/2030   87,609,656 
 289,650,000   United States Treasury Note/Bond   0.88%  11/15/2030   237,055,043 
 27,250,000   United States Treasury Note/Bond   1.13%  05/15/2040   16,406,544 
 400,220,000   United States Treasury Note/Bond   1.13%  08/15/2040   238,872,163 
 215,150,000   United States Treasury Note/Bond   1.88%  02/15/2041   144,219,555 
 122,900,000   United States Treasury Note/Bond   1.75%  08/15/2041   79,632,243 
     Total US Government and Agency Obligations (Cost $1,198,703,064)      1,185,347,764 
 COMMON STOCKS - 0.0%(n)             
 37,440   Flame Aggregator - Series R(b)(o)           157,997 
 3,720   Flame Aggregator - Series U(b)(o)           15,698 
     Total Common Stocks (Cost $84,406)           173,695 
 WARRANTS - 0.0%(n)             
 31,063   Avation PLC, Expires 10/31/2026 at GBP 1.15(o)           21,388 
     Total Warrants (Cost $–)           21,388 
 AFFILIATED MUTUAL FUNDS - 6.6%              
 12,929,742   DoubleLine Global Bond Fund - Class I           106,282,481 
 32,972,257   DoubleLine Infrastructure Income Fund - Class I           305,982,549 
 5,000,000   DoubleLine Long Duration Total Return Bond Fund - Class I           31,050,000 
     Total Affiliated Mutual Funds (Cost $504,557,903)       443,315,030 

 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 SHORT TERM INVESTMENTS - 5.9%             
 132,604,714   First American Government Obligations Fund - U   4.41%(p)      132,604,714 
 132,604,714   JPMorgan US Government Money Market Fund - IM   4.44%(p)      132,604,714 
 132,604,714   MSILF Government Portfolio - Institutional   4.42%(p)      132,604,714 
     Total Short Term Investments (Cost $397,814,142)       397,814,142 
     Total Investments - 99.3% (Cost $7,241,431,204)       6,703,784,234 
     Other Assets in Excess of Liabilities - 0.7%           46,335,248 
     NET ASSETS - 100.0%          $6,750,119,482 

 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:    
US Government and Agency Mortgage Backed Obligations   20.2%
US Government and Agency Obligations   17.6%
US Corporate Bonds   15.4%
Non-Agency Residential Collateralized Mortgage Obligations   11.4%
Affiliated Mutual Funds   6.6%
Short Term Investments   5.9%
Foreign Corporate Bonds   5.7%
Non-Agency Commercial Mortgage Backed Obligations   5.2%
Asset Backed Obligations   3.6%
Collateralized Loan Obligations   3.6%
Bank Loans   3.3%
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations   0.8%
Common Stocks   0.0%(n)
Warrants   0.0%(n)
Other Assets and Liabilities   0.7%
Net Assets   100.0%

 

INVESTMENT BREAKDOWN as a % of Net Assets:   
US Government and Agency Mortgage Backed Obligations   20.2%
US Government and Agency Obligations   17.6%
Non-Agency Residential Collateralized Mortgage Obligations   11.4%
Affiliated Mutual Funds   6.6%
Short Term Investments   5.9%
Non-Agency Commercial Mortgage Backed Obligations   5.2%
Asset Backed Obligations   3.6%
Collateralized Loan Obligations   3.6%
Banking   3.2%
Energy   2.5%
Technology   1.9%
Utilities   1.8%
Healthcare   1.7%
Transportation   1.1%
Finance   1.1%
Insurance   1.0%
Media   0.8%
Real Estate   0.8%
Telecommunications   0.8%
Mining   0.7%
Retailers (other than Food/Drug)   0.6%
Hotels/Motels/Inns and Casinos   0.6%
Electronics/Electric   0.6%
Automotive   0.5%
Commercial Services   0.5%
Construction   0.5%
Chemicals/Plastics   0.5%
Industrial Equipment   0.5%
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations   0.4%
Diversified Manufacturing   0.4%

 

 

Pharmaceuticals   0.4%
Food Products   0.4%
Containers and Glass Products   0.4%
Leisure   0.3%
Aerospace & Defense   0.3%
Consumer Products   0.2%
Business Equipment and Services   0.2%
Building and Development (including Steel/Metals)   0.1%
Beverage and Tobacco   0.1%
Pulp & Paper   0.1%
Food Service   0.1%
Chemical Products   0.1%
Conglomerates   0.0%(n)
IT Services   0.0%(n)
Consumer Staples   0.0%(n)
Financial Intermediaries   0.0%(n)
Financials   0.0%(n)
Other Assets and Liabilities   0.7%
Net Assets   100.0%

 

 

 

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of December 31, 2024, the value of these securities total $1,476,843,201 or 21.9% of the Fund’s net assets.
(b) Value determined using significant unobservable inputs.
(c) Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end.
(d) Security pays interest at rates that represent residual cashflows available after more senior tranches have been paid. The interest rate disclosed reflects the estimated rate in effect as of period end.
(e) Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date.
(f) Security is in default or has failed to make a scheduled payment. Income is not being accrued.
(g) Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of period end.
(h) Perpetual maturity. The date disclosed is the next call date of the security.
(i) Interest only security
(j) Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end.
(k) Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.
(l) Principal only security
(m) This security accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of period end.
(n) Represents less than 0.05% of net assets.
(o) Non-income producing security.
(p) Seven-day yield as of period end.
   

CMT

Constant Maturity Treasury Rate

GBP

British Pound

LIBOR London Interbank Offered Rate
PIK A payment-in-kind security in which the issuer may make interest or dividend payments in cash or additional securities. These additional securities generally have the same terms as the original holdings.
SOFR Secured Overnight Financing Rate
USD United States Dollar
   
 

 

 

Futures Contracts                     
Description  Long/ Short   Contract Quantity   Expiration
 Date		   Notional
Amount(1)		    Unrealized Appreciation (Depreciation)/ Value 
10 Year U.S. Ultra Treasury Notes  Short   (5,500)  3/20/2025  $(620,586,444)  $8,367,694 
U.S. Treasury 2 Year Notes  Long   17,000   3/31/2025   3,492,866,503    2,492,890 
U.S. Treasury Ultra Bonds  Short   (220)  3/20/2025   (27,057,368)   897,993 
U.S. Treasury 5 Year Notes  Long   1,450   3/31/2025   155,024,767    (882,970)
U.S. Treasury Long Bonds  Long   3,050   3/20/2025   355,322,499    (8,099,061)
                   $2,776,546 

  

 

(1)   Notional Amount is determined based on the number of contracts multiplied by the contract size and the quoted daily settlement price in US dollars.

  

A summary of the DoubleLine Core Fixed Income Fund’s investments in affiliated mutual funds for the period ended December 31, 2024 is as follows:

Fund  Value at March 31, 2024  Gross Purchases  Gross
Sales		  Net Realized Gain (Loss) for the  Period Ended December 31, 2024  Change in Unrealized for the Period Ended December 31, 2024  Value at  December 31, 2024  Shares Held at  December 31, 2024  Dividend Income Earned for the  Period Ended December 31, 2024
DoubleLine Infrastructure Income Fund (Class I)  $304,004,213   $—     $—     $—     $1,978,336   $305,982,549    32,972,257   $9,647,527 
DoubleLine Global Bond Fund (Class I)   108,480,538    —      —      —      (2,198,057)   106,282,481    12,929,742    1,102,542 
DoubleLine Long Duration Total Return Bond Fund (Class I)   32,900,000    —      —      —      (1,850,000)   31,050,000    5,000,000    1,165,492 
   $445,384,751   $—     $—     $—     $(2,069,721)  $443,315,030    50,901,999   $11,915,561 
 

 

 

DoubleLine Emerging Markets Fixed Income Fund   (Unaudited)
     
Schedule of Investments   December 31, 2024

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 FOREIGN CORPORATE BONDS - 75.8%          
 BRAZIL - 11.9%             
 4,030,489   Acu Petroleo Luxembourg Sarl   7.50%  01/13/2032   3,982,294 
 2,300,000   Banco do Estado do Rio Grande do Sul SA
 (5 yr. CMT Rate + 4.93%)		   5.38%  01/28/2031   2,269,158 
 505,000   Banco do Estado do Rio Grande do Sul SA
 (5 yr. CMT Rate + 4.93%)		   5.38%(a)  01/28/2031   498,228 
 800,000   Braskem Netherlands Finance BV   4.50%  01/31/2030   677,917 
 7,200,000   Cosan Overseas Ltd.   8.25%(b)  02/05/2025   7,200,000 
 3,350,000   CSN Resources SA   5.88%  04/08/2032   2,706,512 
 10,730,661   Guara Norte Sarl   5.20%  06/15/2034   9,803,222 
 1,929,352   Invepar Holdings   0.00%(c)(d)  12/30/2028   —   
 200,000   Itau Unibanco Holding SA/Cayman Island
 (5 yr. CMT Rate + 3.22%)		   4.63%(b)  02/27/2025   199,102 
 200,000   Itau Unibanco Holding SA/Cayman Island
 (5 yr. CMT Rate + 3.86%)		   7.86%(b)  03/19/2025   202,080 
 1,900,000   LD Celulose International GmbH   7.95%(a)  01/26/2032   1,906,678 
 1,000,000   MARB BondCo PLC   3.95%  01/29/2031   838,422 
 1,100,000   Minerva Luxembourg SA   8.88%(a)  09/13/2033   1,142,323 
 1,600,000   Minerva Luxembourg SA   8.88%  09/13/2033   1,661,560 
 2,500,000   Movida Europe SA   7.85%(a)  04/11/2029   2,205,805 
 700,000   Movida Europe SA   7.85%  04/11/2029   617,625 
 6,844,110   MV24 Capital BV   6.75%  06/01/2034   6,495,870 
 7,557,045   Prumo Participacoes e Investimentos S/A   7.50%  12/31/2031   7,512,613 
 975,000   Simpar Europe SA   5.20%  01/26/2031   733,180 
 850,000   Unigel Luxembourg SA   8.75%(c)  10/01/2026   167,051 
                 50,819,640 
 CHILE - 5.6%            
 2,900,000   CAP SA   3.90%(a)  04/27/2031   2,340,300 
 6,000,000   CAP SA   3.90%  04/27/2031   4,842,000 
 4,500,000   Cencosud SA   4.38%  07/17/2027   4,400,139 
 10,671,434   Chile Electricity PEC SpA   0.00%(a)  01/25/2028   8,996,019 
 2,072,300   Empresa Electrica Angamos SA   4.88%  05/25/2029   1,883,804 
 1,153,500   Empresa Electrica Cochrane SpA   5.50%  05/14/2027   1,117,470 
 294,200   GNL Quintero SA   4.63%  07/31/2029   290,419 
                 23,870,151 
 COLOMBIA - 9.6%             
 1,381,246   AL Candelaria Spain SA   7.50%  12/15/2028   1,364,976 
 7,100,000   AL Candelaria Spain SA   5.75%  06/15/2033   5,774,764 
 3,800,000   AL Candelaria Spain SA   5.75%(a)  06/15/2033   3,090,719 
 3,000,000   Aris Mining Corp.   8.00%(a)  10/31/2029   2,972,506 
 2,850,000   Banco Davivienda SA
 (10 yr. CMT Rate + 5.10%)		   6.65%(a)(b)  04/22/2031   2,452,243 
 200,000   Banco de Bogota SA   6.25%  05/12/2026   200,105 
 2,300,000   Bancolombia SA
 (5 yr. CMT Rate + 4.32%)		   8.63%  12/24/2034   2,410,362 
 5,213,000   Canacol Energy Ltd.   5.75%  11/24/2028   2,908,025 
 7,000,000   Empresas Publicas de Medellin ESP   4.25%  07/18/2029   6,262,022 
 4,392,000   Empresas Publicas de Medellin ESP   4.38%  02/15/2031   3,779,602 
 1,203,020   Fideicomiso PA Pacifico Tres   8.25%  01/15/2035   1,200,012 
 7,139,000   Gran Tierra Energy, Inc.   9.50%(a)  10/15/2029   6,657,475 
 1,700,000   Termocandelaria Power SA   7.75%(a)  09/17/2031   1,720,502 
 600,000   Transportadora de Gas Internacional SA ESP   5.55%  11/01/2028   586,691 
                 41,380,004 
 DOMINICAN REPUBLIC - 0.9%             
 200,000   Aeropuertos Dominicanos Siglo XXI SA   7.00%(a)  06/30/2034   204,250 
 3,800,000   AES Espana BV   5.70%(a)  05/04/2028   3,617,505 
                 3,821,755 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 GUATEMALA - 3.8%             
 8,500,000   Banco Industrial SA/Guatemala
 (5 yr. CMT Rate + 4.44%)		   4.88%  01/29/2031   8,342,750 
 3,100,000   CT Trust   5.13%  02/03/2032   2,776,642 
 2,135,000   Energuate Trust   5.88%  05/03/2027   2,090,869 
 450,000   Millicom International Cellular SA   5.13%  01/15/2028   433,959 
 2,700,000   Millicom International Cellular SA   6.25%  03/25/2029   2,658,529 
                 16,302,749 
 INDIA - 11.8%             
 500,000   Adani Electricity Mumbai Ltd.   3.95%  02/12/2030   400,731 
 1,700,000   Adani Electricity Mumbai Ltd.   3.87%  07/22/2031   1,307,022 
 3,755,750   Adani International Container Terminal Pvt Ltd.   3.00%  02/16/2031   3,094,738 
 2,656,000   Adani International Container Terminal Pvt Ltd.   3.00%(a)  02/16/2031   2,188,544 
 2,400,000   Adani Ports & Special Economic Zone Ltd.   4.00%  07/30/2027   2,170,457 
 2,000,000   Adani Ports & Special Economic Zone Ltd.   4.20%  08/04/2027   1,810,464 
 700,000   Adani Ports & Special Economic Zone Ltd.   4.38%  07/03/2029   603,088 
 2,800,000   Adani Ports & Special Economic Zone Ltd.   3.10%  02/02/2031   2,130,210 
 3,800,000   Adani Transmission Step-One Ltd.   4.00%  08/03/2026   3,494,911 
 1,812,500   Adani Transmission Step-One Ltd.   4.25%  05/21/2036   1,408,834 
 200,000   Bharti Airtel Ltd.   4.38%  06/10/2025   199,238 
 4,498,750   JSW Hydro Energy Ltd.   4.13%  05/18/2031   4,062,478 
 4,000,000   JSW Infrastructure Ltd.   4.95%  01/21/2029   3,859,767 
 8,960,000   Network i2i Ltd.
 (5 yr. CMT Rate + 4.27%)		   5.65%(b)  01/15/2025   8,981,074 
 1,400,000   Periama Holdings   5.95%  04/19/2026   1,399,284 
 3,000,000   Reliance Industries Ltd.   4.13%  01/28/2025   2,997,403 
 8,000,000   UPL Corp. Ltd.   4.63%  06/16/2030   7,091,379 
 3,382,859   Vedanta Resources Ltd.   13.88%  12/09/2028   3,400,217 
                 50,599,839 
 INDONESIA - 2.8%             
 3,200,000   Freeport Indonesia PT   4.76%  04/14/2027   3,172,512 
 600,000   Freeport Indonesia PT   5.32%  04/14/2032   584,656 
 5,600,000   Medco Laurel Tree Pte Ltd.   6.95%  11/12/2028   5,582,126 
 2,600,000   Medco Oak Tree Pte Ltd.   7.38%  05/14/2026   2,649,158 
                 11,988,452 
 JAMAICA - 0.1%             
 3,187,632   Digicel Group Holdings Ltd.   0.00%(a)(d)  12/31/2030   73,580 
 26,166   Digicel Group Holdings Ltd.   0.00%(a)(d)  12/31/2030   26,077 
 1,201,562   Digicel Group Holdings Ltd.   0.00%(a)(d)  12/31/2030   213,452 
                 313,109 
 KUWAIT - 1.2%             
 1,000,000   MEGlobal BV   4.25%  11/03/2026   978,571 
 4,100,000   MEGlobal Canada ULC   5.00%  05/18/2025   4,093,481 
                 5,072,052 
 MEXICO - 7.7%            
 1,900,000   Banco Mercantil del Norte SA/Grand Cayman
 (10 yr. CMT Rate + 5.35%)		   7.63%(b)  01/10/2028   1,866,624 
 2,200,000   Banco Mercantil del Norte SA/Grand Cayman
 (10 yr. CMT Rate + 5.47%)		   7.50%(a)(b)  06/27/2029   2,130,468 
 3,000,000   Banco Mercantil del Norte SA/Grand Cayman
 (5 yr. CMT Rate + 4.07%)		   8.38%(a)(b)  05/20/2031   2,996,809 
 200,000   Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand   5.62%(a)  12/10/2029   199,500 
 2,400,000   BBVA Bancomer SA/Texas
 (5 yr. CMT Rate + 2.65%)		   5.13%  01/18/2033   2,234,320 
 2,100,000   BBVA Bancomer SA/Texas
 (5 yr. CMT Rate + 4.31%)		   5.88%  09/13/2034   1,994,315 
 2,400,000   Braskem Idesa SAPI   6.99%  02/20/2032   1,766,518 
 2,200,000   Buffalo Energy Mexico Holdings / Buffalo Energy Infrastructure / Buffalo Energy   7.88%(a)  02/15/2039   2,270,785 
 4,600,000   Cemex SAB de CV
 (5 yr. CMT Rate + 4.53%)		   5.13%(b)  06/08/2026   4,509,627 
 3,916,800   Cometa Energia SAB de CV   6.38%  04/24/2035   3,874,990 
 5,200,000   Credito Real SAB de CV SOFOM ER
 (5 yr. CMT Rate + 7.03%)		   9.13%(b)(c)  11/29/2027   52,000 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 358,715   Fermaca Enterprises S de RL de CV   6.38%  03/30/2038   349,456 
 4,590,000   KUO SAB De CV   5.75%  07/07/2027   4,464,002 
 4,600,000   Mexarrend SAPI de CV   10.25%(a)(c)  07/24/2025   85,100 
 1,899,017   Mexico Generadora de Energia S de RL   5.50%  12/06/2032   1,841,287 
 2,575,793   Tierra Mojada Luxembourg II Sarl   5.75%  12/01/2040   2,359,062 
                 32,994,863 
 PANAMA - 0.4%             
 1,650,000   Multibank, Inc.   7.75%  02/03/2028   1,673,983 
 PARAGUAY - 1.7%             
 750,000   Banco Continental SAECA   2.75%  12/10/2025   725,641 
 2,224,000   Frigorifico Concepcion SA   7.70%  07/21/2028   1,726,663 
 6,559,999   Rutas 2 & 7 Finance Ltd.   0.00%  09/30/2036   4,661,877 
 168,000   Telefonica Celular del Paraguay SA   5.88%  04/15/2027   166,672 
                 7,280,853 
 PERU - 12.6%               
 8,000,000   Banco de Credito del Peru SA
 (5 yr. CMT Rate + 3.00%)		   3.13%  07/01/2030   7,849,647 
 3,950,000   Banco de Credito del Peru SA
 (5 yr. CMT Rate + 2.45%)		   3.25%  09/30/2031   3,745,492 
 12,172,000   Banco Internacional del Peru SAA Interbank
 (5 yr. CMT Rate + 3.71%)		   4.00%  07/08/2030   12,021,608 
 7,950,000   Cia de Minas Buenaventura SAA   5.50%  07/23/2026   7,949,401 
 635,400   Hunt Oil Co. of Peru LLC Sucursal Del Peru   6.38%  06/01/2028   639,876 
 5,080,000   InRetail Consumer   3.25%  03/22/2028   4,665,332 
 4,148,000   InRetail Shopping Malls   5.75%  04/03/2028   4,107,621 
 4,900,000   Intercorp Financial Services, Inc.   4.13%  10/19/2027   4,690,551 
 5,788,331   Lima Metro Line 2 Finance Ltd.   4.35%  04/05/2036   5,322,063 
 2,710,000   Orazul Energy Peru SA   5.63%  04/28/2027   2,643,659 
 300,000   SAN Miguel Industrias Pet SA / NG PET R&P Latin America SA   3.75%  08/02/2028   272,737 
                 53,907,987 
 SINGAPORE - 4.4%             
 400,000   DBS Group Holdings Ltd.
 (5 yr. CMT Rate + 1.10%)		   1.82%  03/10/2031   385,127 
 9,400,000   Oversea-Chinese Banking Corp. Ltd.
 (5 yr. CMT Rate + 1.58%)		   1.83%  09/10/2030   9,182,138 
 7,200,000   United Overseas Bank Ltd.
 (5 yr. CMT Rate + 1.52%)		   1.75%  03/16/2031   6,923,227 
 2,700,000   United Overseas Bank Ltd.
 (5 yr. CMT Rate + 1.23%)		   2.00%  10/14/2031   2,559,842 
                 19,050,334 
 SOUTH AFRICA - 0.8%             
 1,900,000   AngloGold Ashanti Holdings PLC   3.38%  11/01/2028   1,756,524 
 1,900,000   Gold Fields Orogen Holdings BVI Ltd.   6.13%  05/15/2029   1,925,283 
                 3,681,807 
 VIETNAM - 0.5%               
 2,096,740   Mong Duong Finance Holdings BV   5.13%  05/07/2029   2,016,913 
     Total Foreign Corporate Bonds (Cost $351,550,191)           324,774,491 
 FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 20.6% 
 BRAZIL - 1.2%             
 5,000,000   Banco do Brasil SA/Cayman (10 yr. CMT Rate + 4.40%)   8.75%(b)  04/15/2025   5,013,465 
 COLOMBIA - 3.6%               
 2,900,000   Colombia Government International Bond   5.00%  06/15/2045   1,963,300 
 3,000,000   Colombia Government International Bond   4.13%  05/15/2051   1,724,655 
 5,000,000   Ecopetrol SA   4.63%  11/02/2031   4,150,402 
 800,000   Ecopetrol SA   5.88%  05/28/2045   551,756 
 10,300,000   Ecopetrol SA   5.88%  11/02/2051   6,924,465 
                 15,314,578 
 DOMINICAN REPUBLIC - 0.0%(e)             
 150,000   Dominican Republic International Bond   5.50%  02/22/2029   145,613 
 GUATEMALA - 1.0%             
 1,100,000   Guatemala Government Bond   4.38%  06/05/2027   1,060,400 
 1,600,000   Guatemala Government Bond   4.88%  02/13/2028   1,546,800 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 1,800,000   Guatemala Government Bond   5.25%  08/10/2029   1,733,850 
                 4,341,050 
 INDONESIA - 2.4%             
 4,400,000   Bank Negara Indonesia Persero Tbk PT   3.75%  03/30/2026   4,297,443 
 5,300,000   Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT   4.75%  05/15/2025   5,290,823 
 400,000   Pertamina Persero PT   1.40%  02/09/2026   383,405 
 200,000   Perusahaan Perseroan Persero PT Perusahaan Listrik Negara   4.13%  05/15/2027   195,588 
                 10,167,259 
 MEXICO - 7.2%             
 5,000,000   Banco Nacional de Comercio Exterior SNC/Cayman Islands (5 yr. CMT Rate + 2.00%)   2.72%  08/11/2031   4,609,888 
 2,500,000   Comision Federal de Electricidad   3.35%  02/09/2031   2,073,428 
 1,000,000   Comision Federal de Electricidad   6.45%(a)  01/24/2035   944,967 
 4,100,000   FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple   7.25%(a)  01/31/2041   4,020,870 
 200,000   FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple   7.25%  01/31/2041   196,140 
 11,000,000   Mexico Government International Bond   4.40%  02/12/2052   7,463,192 
 7,000,000   Mexico Government International Bond   6.34%  05/04/2053   6,254,960 
 7,400,000   Petroleos Mexicanos   6.75%  09/21/2047   5,092,812 
                 30,656,257 
 MOROCCO - 0.2%             
 1,100,000   OCP SA   4.50%  10/22/2025   1,087,894 
 PANAMA - 1.6%             
 200,000   Panama Government International Bond   3.88%  03/17/2028   184,956 
 13,000,000   Panama Government International Bond   3.87%  07/23/2060   6,830,737 
                 7,015,693 
 PARAGUAY - 1.1%             
 5,740,461   Bioceanico Sovereign Certificate Ltd.   0.00%  06/05/2034   4,437,376 
 200,000   Paraguay Government International Bond   4.70%  03/27/2027   196,700 
                 4,634,076 
 PERU - 1.4%                 
 2,536,861   Lima Metro Line 2 Finance Ltd.   5.88%  07/05/2034   2,532,409 
 2,600,000   Petroleos del Peru SA   4.75%  06/19/2032   1,968,894 
 2,400,000   Petroleos del Peru SA   5.63%  06/19/2047   1,540,350 
                 6,041,653 
 SOUTH AFRICA - 0.9%             
 4,200,000   Republic of South Africa Government International Bond   4.30%  10/12/2028   3,933,040 
     Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $105,741,510)      88,350,578 
 SHORT TERM INVESTMENTS - 2.6%             
 3,704,571   First American Government Obligations Fund - U   4.41%(f)      3,704,571 
 3,704,571   JPMorgan US Government Money Market Fund - IM   4.44%(f)      3,704,571 
 3,704,571   MSILF Government Portfolio - Institutional   4.42%(f)      3,704,571 
     Total Short Term Investments (Cost $11,113,713)           11,113,713 
     Total Investments - 99.0% (Cost $468,405,414)           424,238,782 
     Other Assets in Excess of Liabilities - 1.0%           4,157,074 
     NET ASSETS - 100.0%          $428,395,856 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:     
Foreign Corporate Bonds   75.8%
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations   20.6%
Short Term Investments   2.6%
Other Assets and Liabilities   1.0%
Net Assets   100.0%
 

 

INVESTMENT BREAKDOWN as a % of Net Assets:     
Banking   20.4%
Transportation   14.2%
Energy   13.6%
Utilities   12.9%
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations   10.6%
Mining   8.0%
Telecommunications   3.6%
Retailers (other than Food/Drug)   3.1%
Consumer Products   2.7%
Short Term Investments   2.6%
Building and Development (including Steel/Metals)   2.0%
Chemical Products   1.9%
Chemicals/Plastics   1.7%
Conglomerates   1.0%
Pulp & Paper   0.4%
Food Products   0.3%
Finance   0.0%(e)
Other Assets and Liabilities   1.0%
Net Assets   100.0%
      

 

COUNTRY BREAKDOWN as a % of Net Assets:    
Mexico   14.9%
Peru   14.0%
Colombia   13.2%
Brazil   13.1%
India   11.8%
Chile   5.6%
Indonesia   5.2%
Guatemala   4.8%
Singapore   4.4%
Paraguay   2.8%
United States   2.6%
Panama   2.0%
South Africa   1.7%
Kuwait   1.2%
Dominican Republic   0.9%
Vietnam   0.5%
Morocco   0.2%
Jamaica   0.1%
Other Assets and Liabilities   1.0%
Net Assets   100.0%
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of December 31, 2024, the value of these securities total $52,954,705 or 12.4% of the Fund’s net assets.
(b) Perpetual maturity. The date disclosed is the next call date of the security.
(c) Security is in default or has failed to make a scheduled payment. Income is not being accrued.
(d) Value determined using significant unobservable inputs.
(e) Represents less than 0.05% of net assets.
(f) Seven-day yield as of period end.
   
CMT Constant Maturity Treasury Rate
 

 

 

DoubleLine Low Duration Bond Fund   (Unaudited)
     
Schedule of Investments   December 31, 2024

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
 ASSET BACKED OBLIGATIONS - 7.3%             
     AccessLex Institute             
 1,413,639   Series 2007-A-B (3 mo. Term SOFR + 0.81%, 0.00% Floor)   5.33%  02/25/2037   1,379,840 
     ACHV Trust             
 2,750,000   Series 2023-3PL-C   7.35%(a)  08/19/2030   2,763,100 
 6,799,098   Series 2024-2PL-A   5.07%(a)  10/27/2031   6,818,521 
     Affirm, Inc.             
 2,408,106   Series 2022-Z1-A   4.55%(a)  06/15/2027   2,405,639 
 15,000,000   Series 2023-A-1A   6.61%(a)  01/18/2028   15,009,936 
 2,763,607   Series 2023-X1-A   7.11%(a)  11/15/2028   2,770,518 
 5,300,000   Series 2024-A-A   5.61%(a)  02/15/2029   5,340,691 
 4,388,697   Series 2024-X1-A   6.27%(a)  05/15/2029   4,403,856 
 5,000,000   Series 2024-X2-A   5.22%(a)  12/17/2029   5,008,036 
     Aligned Data Centers Issuer LLC             
 3,100,000   Series 2022-1A-A2   6.35%(a)  10/15/2047   3,131,921 
     American Credit Acceptance Receivables Trust             
 823,070   Series 2024-2-A   5.90%(a)  02/12/2027   826,005 
 6,512,871   Series 2024-3-A   5.76%(a)  11/12/2027   6,543,258 
 6,000,000   Series 2024-4-B   4.80%(a)  11/13/2028   5,997,289 
     Aqua Finance Trust             
 1,158,007   Series 2020-AA-A   1.90%(a)  07/17/2046   1,097,267 
     Arivo Acceptance Auto Loan Receivables Trust             
 2,970,423   Series 2022-1A-A   3.93%(a)  05/15/2028   2,958,068 
     AVANT Loans Funding Trust             
 10,000,000   Series 2024-REV1-A   5.92%(a)  10/15/2033   10,108,442 
     Bridgecrest Lending Auto Securitization Trust             
 8,080,585   Series 2024-3-A2   5.54%  02/16/2027   8,095,666 
     CAI International, Inc.             
 6,859,844   Series 2020-1A-A   2.22%(a)  09/25/2045   6,370,814 
     Carvana Auto Receivables Trust             
 3,470,345   Series 2023-N3-A   6.41%(a)  09/10/2027   3,489,973 
 6,252,912   Series 2024-N1-A2   5.76%(a)  04/12/2027   6,270,300 
 8,000,000   Series 2024-P3-A4   4.31%  09/10/2030   7,843,754 
     Citizens Auto Receivables Trust             
 5,071,267   Series 2023-2-A2A   6.09%(a)  10/15/2026   5,085,346 
     Commonbond Student Loan Trust             
 876,415   Series 2017-BGS-A1   2.68%(a)  09/25/2042   804,858 
 792,658   Series 2020-AGS-A   1.98%(a)  08/25/2050   681,884 
     Compass Datacenters LLC             
 17,648,000   Series 2024-1A-A1   5.25%(a)  02/25/2049   17,572,530 
     CPS Auto Trust             
 15,755   Series 2022-D-A   6.09%(a)  01/15/2027   15,762 
 2,250,412   Series 2024-A-A   5.71%(a)  09/15/2027   2,257,594 
     DataBank Issuer             
 1,599,000   Series 2021-1A-A2   2.06%(a)  02/27/2051   1,539,661 
 10,000,000   Series 2023-1A-A2   5.12%(a)  02/25/2053   9,802,394 
     Diamond Resorts Owner Trust             
 1,234,899   Series 2021-1A-B   2.05%(a)  11/21/2033   1,207,007 
     Domino’s SPV Guarantor LLC             
 1,488,000   Series 2019-1A-A2   3.67%(a)  10/25/2049   1,381,739 
     Exeter Automobile Receivables Trust             
 7,240,000   Series 2021-4A-D   1.96%  01/17/2028   7,118,572 
 5,500,000   Series 2024-5A-A2   4.79%  04/15/2027   5,502,369 
     Global Sea Containers Two SRL             
 2,630,369   Series 2020-1A-A   2.17%(a)  10/17/2040   2,479,135 
     GLS Auto Receivables Trust             
 421,624   Series 2021-1A-D   1.68%(a)  01/15/2027   418,275 
 4,585,734   Series 2023-4A-A2   6.40%(a)  12/15/2026   4,595,682 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
     GLS Auto Select Receivables Trust             
 3,932,250   Series 2024-3A-A2   5.59%(a)  10/15/2029   3,979,847 
 9,250,000   Series 2024-4A-A2   4.43%(a)  12/17/2029   9,214,705 
     GreenSky Home Improvement Issuer Trust             
 4,500,000   Series 2024-2-A4   5.15%(a)  10/27/2059   4,498,612 
     Hilton Grand Vacations, Inc.             
 473,782   Series 2018-AA-A   3.54%(a)  02/25/2032   471,246 
 280,699   Series 2020-AA-A   2.74%(a)  02/25/2039   271,708 
     LAD Auto Receivables Trust             
 6,103,765   Series 2024-1A-A2   5.44%(a)  11/16/2026   6,113,202 
     Laurel Road Prime Student Loan Trust             
 189,698   Series 2019-A-A1FX   2.34%(a)  10/25/2048   187,730 
     Lendbuzz Securitization Trust             
 5,259,211   Series 2023-1A-A2   6.92%(a)  08/15/2028   5,345,386 
 2,388,988   Series 2023-2A-A2   7.09%(a)  10/16/2028   2,434,362 
 7,871,237   Series 2024-2A-A2   5.99%(a)  05/15/2029   7,955,690 
     Loanpal Solar Loan Ltd.             
 7,482,064   Series 2020-3GS-A   2.47%(a)  12/20/2047   5,944,841 
     Mariner Finance Issuance Trust             
 4,150,000   Series 2024-BA-A   4.91%(a)  11/20/2038   4,090,762 
     Marlette Funding Trust             
 110,678   Series 2022-2A-B   5.50%(a)  08/15/2032   110,690 
 9,715,684   Series 2024-1A-A   5.95%(a)  07/17/2034   9,761,870 
     Navient Student Loan Trust             
 2,166,253   Series 2020-FA-A   1.22%(a)  07/15/2069   2,002,103 
 1,236,199   Series 2020-GA-A   1.17%(a)  09/16/2069   1,133,576 
 9,337,080   Series 2022-A-A   2.23%(a)  07/15/2070   8,384,338 
     Oxford Finance Funding Trust             
 3,072,456   Series 2020-1A-A2   3.10%(a)  02/15/2028   3,044,512 
     Pagaya AI Debt Selection Trust             
 825,633   Series 2021-HG1-A   1.22%(a)  01/16/2029   816,681 
 1,411,797   Series 2023-1-A   7.56%(a)  07/15/2030   1,413,940 
 1,615,175   Series 2023-3-A   7.60%(a)  12/16/2030   1,623,994 
 4,076,023   Series 2023-5-B   7.63%(a)  04/15/2031   4,092,537 
     Prosper Marketplace Issuance Trust             
 855,280   Series 2023-1A-A   7.06%(a)  07/16/2029   857,264 
 1,441,400   Series 2024-1A-A   6.12%(a)  08/15/2029   1,445,812 
     Santander Consumer USA Holdings, Inc.             
 438,799   Series 2023-4-A2   6.18%  02/16/2027   439,373 
 5,764,161   Series 2024-3-A2   5.91%  06/15/2027   5,786,733 
 4,250,000   Series 2024-5-C   4.78%  01/15/2031   4,222,857 
     Santander Consumer USA, Inc.             
 59,458   Series 2021-3-C   1.47%  01/15/2027   59,381 
     Santander Drive Auto Receivables LLC             
 320,248   Series 2020-4-D   1.48%  01/15/2027   319,565 
     SCCU Auto Receivables Trust             
 10,742,371   Series 2024-1A-A2   5.45%(a)  12/15/2027   10,781,798 
     SFS Auto Receivables Securitization Trust             
 2,285,499   Series 2024-1A-A2   5.35%(a)  06/21/2027   2,290,597 
     Sierra Timeshare Conduit Receivables Funding LLC             
 855,925   Series 2021-2A-C   1.95%(a)  09/20/2038   823,372 
     Slam Ltd.             
 9,841,577   Series 2024-1A-A   5.34%(a)  09/15/2049   9,653,642 
     SLM Student Loan Trust             
 4,148,111   Series 2006-A-A5 (3 mo. Term SOFR + 0.55%, 0.00% Floor)   4.91%  06/15/2039   3,983,980 
 2,472,893   Series 2006-B-A5 (3 mo. Term SOFR + 0.53%, 0.00% Floor)   4.89%  12/15/2039   2,409,442 
     SOFI Alternative Trust             
 2,313,854   Series 2021-1-PT1   9.72%(a)(b)  05/25/2030   2,296,470 
 4,163,685   Series 2021-2-A   1.25%(a)  08/15/2030   4,101,334 
 8,069,942   Series 2021-3-A   1.50%(a)  11/15/2030   7,950,725 
     SoFi Professional Loan Program LLC             
 676,014   Series 2018-D-A2FX   3.60%(a)  02/25/2048   665,507 
 3,122,195   Series 2020-C-AFX   1.95%(a)  02/15/2046   2,887,109 
     TAL Advantage LLC             
 2,768,750   Series 2020-1A-A   2.05%(a)  09/20/2045   2,575,475 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
     Tesla Sustainable Energy Trust             
 20,500,000   Series 2024-1A-A2   5.08%(a)  06/21/2050   20,495,873 
     Textainer Ltd.             
 733,333   Series 2021-3A-A   1.94%(a)  08/20/2046   641,863 
     Toyota Lease Owner Trust             
 17,150,000   Series 2024-B-A4   4.25%(a)  01/22/2029   17,033,726 
     United Airlines Pass Through Trust             
 13,689,854   Series 2020-1-A   5.88%  10/15/2027   13,993,644 
     UPCL             
 13,078,527   Series 2023-1-A   7.65%(c)  04/22/2030   13,251,163 
     Upgrade Master Pass-Thru Trust             
 491,085   Series 2021-PT3-A   16.43%(a)(b)  07/15/2027   455,253 
     Upgrade Receivables Trust             
 10,500,000   Series 2024-1A-A   5.37%(a)  02/18/2031   10,514,468 
     Upstart Pass-Through Trust Series             
 165,787   Series 2020-ST5-A   3.00%(a)  12/20/2026   164,738 
 296,259   Series 2021-ST5-A   2.00%(a)  07/20/2027   289,475 
 455,081   Series 2021-ST6-A   1.85%(a)  08/20/2027   451,254 
     Upstart Securitization Trust             
 70,182   Series 2023-1-A   6.59%(a)  02/20/2033   70,220 
 2,930,636   Series 2023-2-A   6.77%(a)  06/20/2033   2,941,827 
 4,239,487   Series 2023-3-A   6.90%(a)  10/20/2033   4,276,701 
 10,442,657   Series 2024-1-A   5.33%(a)  11/20/2034   10,457,658 
     Wendy’s SPV Guarantor LLC             
 4,672,483   Series 2018-1A-A2II   3.88%(a)  03/15/2048   4,483,982 
     Westgate Resorts LLC             
 3,059,063   Series 2022-1A-C   2.49%(a)  08/20/2036   2,990,059 
     Westlake Automobile Receivables Trust             
 8,320,395   Series 2023-4A-A2   6.23%(a)  01/15/2027   8,355,768 
 5,015,648   Series 2024-1A-A2A   5.62%(a)  03/15/2027   5,028,900 
     Total Asset Backed Obligations (Cost $433,736,942)           431,435,042 
 BANK LOANS - 0.8%             
     1011778 BC ULC             
 2,245,602   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  09/23/2030   2,237,653 
     APi Group DE, Inc.             
 161,470   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  01/03/2029   161,705 
     CPI Holdco B LLC             
 3,200,150   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  05/19/2031   3,197,574 
     Iron Mountain Information Management LLC             
 6,269,904   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  01/31/2031   6,277,741 
     Lamar Media Corp.             
 4,880,263   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.50%, 0.00% Floor)   5.96%  02/08/2027   4,872,113 
     Resideo Funding, Inc.             
 3,430,762   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.15%  02/14/2028   3,444,708 
 985,050   Senior Secured First Lien Term Loan (3 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  06/13/2031   989,364 
     Standard Industries, Inc./NY             
 996,462   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.50% Floor)   6.11%  09/22/2028   1,000,144 
     Stars Group Holdings BV (Amaya/Flutter) T/L 1L B             
 5,859,572   Senior Secured First Lien Term Loan (3 mo. SOFR US + 1.75%)   6.08%  11/25/2030   5,854,093 
     Tempur Sealy International, Inc.             
 720,000   Senior Secured First Lien Term Loan (Daily US Secured Overnight Financing Rate + 2.50%, 0.00% Floor)   6.81%  10/24/2031   722,923 
     Trans Union LLC             
 2,571,323   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.21%  11/16/2026   2,576,555 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
 5,522,250   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  06/24/2031   5,521,394 
 1,269,971   Senior Secured Term Loan (1 mo. Term SOFR + 1.75%)   6.20%  06/24/2031   1,269,736 
     Vistra Operations Co. LLC             
 5,946,158   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  12/20/2030   5,966,435 
     WMG Acquisition Corp.             
 2,965,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 1.75%, 0.00% Floor)   6.34%  01/24/2031   2,965,741 
     Total Bank Loans (Cost $46,869,408)           47,057,879 
 COLLATERALIZED LOAN OBLIGATIONS - 13.5%             
     Bain Capital Credit CLO             
 20,000,000   Series 2022-6A-A1R (3 mo. Term SOFR + 1.37%, 1.37% Floor)   5.89%(a)  01/22/2038   20,172,410 
 10,000,000   Series 2024-6A-A1 (3 mo. Term SOFR + 1.33%, 1.33% Floor)   5.65%(a)  01/21/2038   10,000,000 
     Battalion CLO Ltd.             
 30,000,000   Series 2017-11A-AR (3 mo. Term SOFR + 1.41%, 1.15% Floor)   6.05%(a)  04/24/2034   30,059,880 
 22,000,000   Series 2021-20A-A (3 mo. Term SOFR + 1.44%, 1.18% Floor)   6.10%(a)  07/15/2034   22,022,238 
     BBAM US Ltd.             
 4,132,000   Series 2022-1A-A1 (3 mo. Term SOFR + 1.38%, 1.38% Floor)   6.04%(a)  04/15/2035   4,139,188 
     Benefit Street Partners CLO Ltd.             
 15,000,000   Series 2024-37A-A (3 mo. Term SOFR + 1.35%, 1.35% Floor)   5.70%(a)  01/25/2038   15,000,993 
     BlueMountain CLO Ltd.             
 22,000,000   Series 2021-31A-A1 (3 mo. Term SOFR + 1.41%, 1.15% Floor)   6.03%(a)  04/19/2034   22,044,095 
     Bridge Street CLO Ltd.             
 24,000,000   Series 2021-1A-A1A (3 mo. Term SOFR + 1.49%, 1.23% Floor)   6.11%(a)  07/20/2034   24,040,750 
     Capital Four US CLO Ltd.             
 15,000,000   Series 2021-1A-A (3 mo. Term SOFR + 1.47%, 1.21% Floor)   6.10%(a)  01/18/2035   15,008,340 
     Carlyle Global Market Strategies             
 25,000,000   Series 2016-1A-A1R2 (3 mo. Term SOFR + 1.40%, 1.14% Floor)   6.02%(a)  04/20/2034   25,046,530 
 15,000,000   Series 2022-2A-A1R (3 mo. Term SOFR + 1.36%, 1.36% Floor)   5.92%(a)  01/20/2038   15,084,915 
     CarVal CLO             
 4,781,747   Series 2018-1A-AR (3 mo. Term SOFR + 1.23%, 1.23% Floor)   5.88%(a)  07/16/2031   4,792,106 
     Cathedral Lake CLO Ltd.             
 6,587,310   Series 2021-7RA-AR (3 mo. Term SOFR + 1.18%, 1.18% Floor)   5.84%(a)  01/15/2032   6,599,316 
     CBAM Ltd.             
 10,000,000   Series 2017-1A-AR2 (3 mo. Term SOFR + 1.39%, 1.39% Floor)   5.77%(a)  01/20/2038   10,000,000 
 10,000,000   Series 2017-2A-AR (3 mo. Term SOFR + 1.45%, 1.19% Floor)   6.10%(a)  07/17/2034   10,019,153 
 8,891,972   Series 2019-10A-A1R (3 mo. Term SOFR + 1.38%, 1.12% Floor)   6.00%(a)  04/20/2032   8,905,699 
     Cedar Funding Ltd.             
 20,000,000   Series 2018-9A-AR (3 mo. Term SOFR + 1.42%, 1.42% Floor)   6.04%(a)  07/20/2037   20,064,258 
     CFIP CLO Ltd.             
 20,000,000   Series 2021-1A-A (3 mo. Term SOFR + 1.48%, 1.22% Floor)   6.10%(a)  01/20/2035   20,039,258 
     CIFC Funding Ltd.             
 10,000,000   Series 2021-5A-A1R (3 mo. Term SOFR + 1.26%, 1.26% Floor)   0.00%(a)  01/15/2038   10,000,000 
     Clover CLO             
 20,000,000   Series 2018-1A-A1RR (3 mo. Term SOFR + 1.53%, 1.53% Floor)   6.15%(a)  04/20/2037   20,162,928 
 10,000,000   Series 2021-2A-A (3 mo. Term SOFR + 1.43%, 1.17% Floor)   6.05%(a)  07/20/2034   10,004,201 
     Crown City CLO             
 18,000,000   Series 2021-1A-A1A (3 mo. Term SOFR + 1.43%, 1.17% Floor)   6.05%(a)  07/20/2034   18,037,809 
     Generate CLO Ltd.             
 46,500,000   Series 9A-AR (3 mo. Term SOFR + 1.35%, 1.35% Floor)   5.82%(a)  01/20/2038   46,755,522 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
     Halsey Point CLO Ltd.             
 52,000,000   Series 2021-5A-A1A (3 mo. Term SOFR + 1.47%, 1.21% Floor)   6.06%(a)  01/30/2035   52,030,228 
     Harbourview CLO VII LLC             
 2,489,669   Series 7RA-A1 (3 mo. Term SOFR + 1.39%, 1.13% Floor)   6.02%(a)  07/18/2031   2,495,074 
     Invesco CLO Ltd.             
 10,000,000   Series 2023-3A-A (3 mo. Term SOFR + 1.80%, 1.80% Floor)   6.46%(a)  07/15/2036   10,056,947 
     Jackson Financial, Inc.             
 20,000,000   Series 2021-5A-A (3 mo. Term SOFR + 1.46%, 1.20% Floor)   6.09%(a)  10/18/2034   20,009,844 
     Katayma CLO Ltd.             
 22,500,000   Series 2024-2A-A1 (3 mo. Term SOFR + 1.65%, 1.65% Floor)   6.27%(a)  04/20/2037   22,601,884 
     Madison Park Funding Ltd.             
 10,000,000   Series 2021-52A-A (3 mo. Term SOFR + 1.36%, 1.36% Floor)   5.99%(a)  01/22/2035   10,016,365 
     Marble Point CLO             
 35,000,000   Series 2021-2A-A (3 mo. Term SOFR + 1.46%, 1.20% Floor)   6.09%(a)  07/25/2034   35,071,288 
     MP CLO Ltd.             
 15,000,000   Series 2015-2A-ARR (3 mo. Term SOFR + 1.46%, 1.20% Floor)   6.08%(a)  04/28/2034   15,031,630 
     Ocean Trails CLO             
 12,233,892   Series 2014-5A-ARR (3 mo. Term SOFR + 1.54%, 1.28% Floor)   6.20%(a)  10/13/2031   12,260,423 
     OCP CLO Ltd.             
 3,000,000   Series 2020-20A-A1R (3 mo. Term SOFR + 1.53%, 1.53% Floor)   6.16%(a)  04/18/2037   3,024,587 
 28,000,000   Series 2024-32A-A1 (3 mo. Term SOFR + 1.52%, 1.52% Floor)   6.15%(a)  04/23/2037   28,232,744 
     Palmer Square CLO Ltd.             
 8,700,000   Series 2021-2A-A (3 mo. Term SOFR + 1.41%, 1.41% Floor)   6.07%(a)  07/15/2034   8,715,117 
     Regatta Funding Ltd.             
 11,000,000   Series 2024-1A-A1 (3 mo. Term SOFR + 1.53%, 1.53% Floor)   6.15%(a)  04/26/2037   11,053,754 
     Romark LLC             
 9,187,179   Series 2018-1A-A1 (3 mo. Term SOFR + 1.29%, 0.00% Floor)   5.91%(a)  04/20/2031   9,196,216 
     Sound Point CLO Ltd.             
 13,227,314   Series 2014-2RA-A (3 mo. Term SOFR + 1.51%, 1.25% Floor)   6.13%(a)  10/20/2031   13,250,161 
 25,000,000   Series 2020-1A-AR (3 mo. Term SOFR + 1.43%, 1.43% Floor)   6.05%(a)  07/20/2034   25,048,163 
     Steele Creek CLO Ltd.             
 900,000   Series 2019-1A-BR (3 mo. Term SOFR + 2.06%, 1.80% Floor)   6.72%(a)  04/15/2032   902,965 
 16,394,026   Series 2019-2A-AR (3 mo. Term SOFR + 1.43%, 1.17% Floor)   6.09%(a)  07/15/2032   16,419,166 
     Storm King Park CLO Ltd.             
 9,000,000   Series 2022-1A-AR (3 mo. Term SOFR + 1.36%, 1.36% Floor)   6.02%(a)  10/15/2037   9,060,275 
     Symphony CLO Ltd.             
 10,535,654   Series 2014-15A-AR3 (3 mo. Term SOFR + 1.34%, 1.08% Floor)   5.99%(a)  01/17/2032   10,554,807 
     Texas Debt Capital CLO Ltd.             
 10,500,000   Series 2023-1A-A (3 mo. Term SOFR + 1.80%, 1.80% Floor)   6.42%(a)  04/20/2036   10,548,813 
     Tralee CLO Ltd.             
 4,000,000   Series 2019-6A-A1RR (3 mo. Term SOFR + 1.22%, 1.22% Floor)   5.85%(a)  10/25/2032   4,001,337 
     Trestles CLO LLC             
 20,000,000   Series 2021-4A-A (3 mo. Term SOFR + 1.43%, 1.17% Floor)   6.05%(a)  07/21/2034   20,010,454 
     Trimaran CAVU LLC             
 10,000,000   Series 2021-3A-A (3 mo. Term SOFR + 1.47%, 1.21% Floor)   6.10%(a)  01/18/2035   10,020,417 
     Vibrant CLO Ltd.             
 10,000,000   Series 2021-13A-A1R (3 mo. Term SOFR + 1.40%, 1.40% Floor)   5.97%(a)  01/15/2038   10,037,000 
 20,000,000   Series 2024-4RA-A1A (3 mo. Term SOFR + 1.43%, 1.43% Floor)   6.03%(a)  10/20/2037   20,054,104 
     Warwick Capital CLO Ltd.             
 10,000,000   Series 2024-4A-A1 (3 mo. Term SOFR + 1.40%, 1.40% Floor)   6.59%(a)  07/20/2037   10,077,211 
     Wellfleet CLO Ltd.             
 8,000,000   Series 2020-1A-A1AR (3 mo. Term SOFR + 1.20%, 1.20% Floor)   5.86%(a)  04/15/2033   8,013,619 
 5,000,000   Series 2021-2A-A1 (3 mo. Term SOFR + 1.46%, 1.20% Floor)   6.12%(a)  07/15/2034   5,010,954 
     Total Collateralized Loan Obligations (Cost $798,882,247)           800,805,136 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
 FOREIGN CORPORATE BONDS - 7.3%             
 1,826,000   Adani International Container Terminal Pvt Ltd.   3.00%  02/16/2031   1,504,624 
 5,200,000   Adani Ports & Special Economic Zone Ltd.   4.00%  07/30/2027   4,702,657 
 4,300,000   Adani Transmission Step-One Ltd.   4.00%  08/03/2026   3,954,768 
 5,066,000   AerCap Ireland Capital DAC / AerCap Global Aviation Trust   6.45%  04/15/2027   5,224,732 
 2,487,000   AerCap Ireland Capital DAC / AerCap Global Aviation Trust   5.75%  06/06/2028   2,535,010 
 1,465,000   Aker BP ASA   5.60%(a)  06/13/2028   1,485,704 
 5,843,731   AL Candelaria Spain SA   7.50%  12/15/2028   5,774,899 
 1,011,000   Algonquin Power & Utilities Corp.   5.37%(d)  06/15/2026   1,016,687 
 6,033,000   Avolon Holdings Funding Ltd.   2.13%(a)  02/21/2026   5,838,195 
 6,285,000   BAE Systems PLC   5.00%(a)  03/26/2027   6,314,204 
 400,000   Banco Bilbao Vizcaya Argentaria Colombia SA   4.88%  04/21/2025   399,093 
 2,300,000   Banco BTG Pactual SA/Cayman Islands   4.50%  01/10/2025   2,294,122 
 5,500,000   Banco Continental SAECA   2.75%  12/10/2025   5,321,368 
 2,850,000   Banco Continental SAECA   2.75%(a)  12/10/2025   2,757,436 
 6,000,000   Banco de Bogota SA   6.25%  05/12/2026   6,003,137 
 9,150,000   Banco de Credito del Peru SA
 (5 yr. CMT Rate + 2.45%)		   3.25%(a)  09/30/2031   8,676,265 
 1,800,000   Banco de Credito del Peru SA
 (5 yr. CMT Rate + 2.45%)		   3.25%  09/30/2031   1,706,806 
 6,250,000   Banco Industrial SA/Guatemala
 (5 yr. CMT Rate + 4.44%)		   4.88%  01/29/2031   6,134,375 
 9,000,000   Banco Internacional del Peru SAA Interbank
 (5 yr. CMT Rate + 3.71%)		   4.00%  07/08/2030   8,888,800 
 4,400,000   Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand
 (5 yr. CMT Rate + 3.00%)		   7.53%  10/01/2028   4,593,661 
 2,600,000   Banco Santander SA
 (1 yr. CMT Rate + 0.95%)		   5.37%  07/15/2028   2,618,602 
 1,890,000   Bank of Ireland Group PLC
 (SOFR + 1.62%)		   5.60%(a)  03/20/2030   1,908,781 
 5,170,000   Bank of Montreal
 (SOFR + 1.25%)		   4.64%  09/10/2030   5,071,189 
 3,852,000   Barclays PLC
 (SOFR + 1.34%)		   4.84%  09/10/2028   3,829,668 
 251,000   BAT Capital Corp.   4.91%  04/02/2030   248,049 
 3,484,000   BAT International Finance PLC   1.67%  03/25/2026   3,353,549 
 1,000,000   BBVA Bancomer SA/Texas
 (5 yr. CMT Rate + 2.65%)		   5.13%  01/18/2033   930,967 
 6,400,000   BBVA Bancomer SA/Texas
 (5 yr. CMT Rate + 4.31%)		   5.88%  09/13/2034   6,077,911 
 800,000   Bharti Airtel Ltd.   4.38%  06/10/2025   796,952 
 2,576,000   BMW US Capital LLC
 (SOFR + 0.62%)		   5.16%(a)  08/11/2025   2,581,746 
 251,000   BMW US Capital LLC   4.65%(a)  08/13/2029   246,511 
 5,185,000   BPCE SA   2.38%(a)  01/14/2025   5,180,766 
 200,000   BRF GmbH   4.35%  09/29/2026   195,952 
 4,965,000   CaixaBank SA
 (SOFR + 2.70%)		   6.21%(a)  01/18/2029   5,088,999 
 1,100,000   Camposol SA   6.00%  02/03/2027   1,057,941 
 3,065,000   Canadian Imperial Bank of Commerce   3.95%  08/04/2025   3,053,721 
 6,550,000   Cemex SAB de CV
 (5 yr. CMT Rate + 4.53%)		   5.13%(e)  06/08/2026   6,421,317 
 4,500,000   Cemex SAB de CV   5.45%  11/19/2029   4,442,171 
 1,600,000   Cencosud SA   4.38%  07/17/2027   1,564,494 
 11,659,529   Chile Electricity PEC SpA   0.00%(a)  01/25/2028   9,828,983 
 4,600,000   Cia de Minas Buenaventura SAA   5.50%  07/23/2026   4,599,653 
 5,205,000   Commonwealth Bank of Australia
 (SOFR + 0.40%)		   5.08%(a)  07/07/2025   5,209,498 
 8,100,000   Cosan Luxembourg SA   7.00%  01/20/2027   8,084,490 
 3,556,000   Credit Agricole SA
 (SOFR + 1.21%)		   4.63%(a)  09/11/2028   3,513,273 
 250,000   Credit Agricole SA
 (SOFR + 1.21%)		   5.70%(a)  09/11/2028   251,695 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
 13,500,000   Danske Bank AS
 (1 yr. CMT Rate + 2.10%)		   6.47%(a)  01/09/2026   13,502,947 
 10,300,000   DBS Group Holdings Ltd.
 (5 yr. CMT Rate + 1.10%)		   1.82%  03/10/2031   9,917,009 
 654,400   Digicel Group Holdings Ltd.   0.00%(a)(c)  12/31/2030   116,252 
 192,410   Digicel Group Holdings Ltd.   0.00%(a)(c)  12/31/2030   4,441 
 1,579   Digicel Group Holdings Ltd.   0.00%(a)(c)  12/31/2030   1,574 
 5,328,000   Element Fleet Management Corp.   6.32%(a)  12/04/2028   5,555,554 
 1,485,800   Empresa Electrica Angamos SA   4.88%  05/25/2029   1,350,652 
 2,133,975   Empresa Electrica Cochrane SpA   5.50%  05/14/2027   2,067,320 
 4,200,000   Empresas Publicas de Medellin ESP   4.25%  07/18/2029   3,757,213 
 2,994,000   Enel Finance International NV   5.13%(a)  06/26/2029   2,992,275 
 400,000   Energuate Trust   5.88%  05/03/2027   391,732 
 8,317,647   Fenix Power Peru SA   4.32%  09/20/2027   8,094,192 
 1,350,000   Freeport Indonesia PT   4.76%(a)  04/14/2027   1,338,404 
 5,700,000   Freeport Indonesia PT   4.76%  04/14/2027   5,651,037 
 5,950,000   Freeport-McMoRan, Inc.   5.00%  09/01/2027   5,953,127 
 517,000   Freeport-McMoRan, Inc.   4.25%  03/01/2030   491,752 
 1,447,140   Galaxy Pipeline Assets Bidco Ltd.   1.75%  09/30/2027   1,374,901 
 5,115,000   Glencore Funding LLC   4.00%(a)  04/16/2025   5,102,224 
 4,403,000   Glencore Funding LLC
 (SOFR + 1.06%)		   5.75%(a)  04/04/2027   4,419,776 
 3,779,000   Global Bank Corp.
 (3 mo. LIBOR US + 3.30%)		   5.25%(f)  04/16/2029   3,558,987 
 4,118,800   GNL Quintero SA   4.63%  07/31/2029   4,065,867 
 2,200,000   Gold Fields Orogen Holdings BVI Ltd.   6.13%  05/15/2029   2,229,276 
 3,615,000   Grupo de Inversiones Suramericana SA   5.50%  04/29/2026   3,572,744 
 7,587,175   Guara Norte Sarl   5.20%  06/15/2034   6,931,424 
 2,270,000   Holcim Finance US LLC   3.50%(a)  09/22/2026   2,219,805 
 300,000   HSBC Holdings PLC
 (SOFR + 3.03%)		   7.34%  11/03/2026   305,892 
 320,000   HSBC Holdings PLC
 (SOFR + 1.04%)		   5.57%  11/19/2028   321,825 
 669,288   Hunt Oil Co. of Peru LLC Sucursal Del Peru   6.38%(a)  06/01/2028   674,003 
 2,500,000   Industrias Penoles SAB de CV   4.15%  09/12/2029   2,350,347 
 1,000,000   InRetail Consumer   3.25%  03/22/2028   918,372 
 4,500,000   InRetail Shopping Malls   5.75%  04/03/2028   4,456,194 
 2,168,000   Intercorp Financial Services, Inc.   4.13%  10/19/2027   2,075,330 
 239,972   Interoceanica IV Finance Ltd.
Series 2007		   0.00%(c)  11/30/2025   230,973 
 500,000   JBS USA Holding Lux Sarl/ JBS USA Food Co./ JBS Lux Co. Sarl   2.50%  01/15/2027   475,234 
 2,470,625   JSW Hydro Energy Ltd.   4.13%  05/18/2031   2,231,033 
 7,500,000   KUO SAB De CV   5.75%  07/07/2027   7,294,121 
 164,208   Lima Metro Line 2 Finance Ltd.   4.35%  04/05/2036   150,981 
 316,000   LYB Finance Co. BV   8.10%(a)  03/15/2027   333,656 
 6,019,000   Marex Group PLC   6.40%  11/04/2029   6,082,722 
 3,500,000   Medco Oak Tree Pte Ltd.   7.38%  05/14/2026   3,566,175 
 300,000   MEGlobal BV   4.25%  11/03/2026   293,571 
 200,000   MEGlobal Canada ULC   5.00%  05/18/2025   199,682 
 3,800,000   MEGlobal Canada ULC   5.00%(a)  05/18/2025   3,793,958 
 855,000   Mercedes-Benz Finance North America LLC   4.75%(a)  08/01/2027   853,914 
 1,580,000   Mercedes-Benz Finance North America LLC   5.25%(a)  11/29/2027   1,593,964 
 1,700,000   Mercedes-Benz Finance North America LLC   3.75%(a)  02/22/2028   1,640,311 
 7,054,318   Mexico Generadora de Energia S de RL   5.50%  12/06/2032   6,839,866 
 5,400,000   Millicom International Cellular SA   5.13%  01/15/2028   5,207,507 
 2,391,300   Millicom International Cellular SA   6.25%  03/25/2029   2,354,570 
 4,300,000   Minerva Luxembourg SA   5.88%  01/19/2028   4,236,998 
 6,781,000   Mitsubishi UFJ Financial Group, Inc.   3.78%  03/02/2025   6,767,497 
 2,835,000   Mizuho Financial Group, Inc.
 (SOFR + 0.96%)		   5.49%  05/22/2026   2,841,937 
 1,334,289   Mong Duong Finance Holdings BV   5.13%  05/07/2029   1,283,491 
 2,800,000   Multibank, Inc.   7.75%  02/03/2028   2,840,698 
 6,167,220   MV24 Capital BV   6.75%  06/01/2034   5,853,421 
 835,000   National Bank of Canada   4.50%  10/10/2029   812,396 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
 460,000   Nationwide Building Society
 (SOFR + 1.91%)		   6.56%(a)  10/18/2027   472,160 
 5,143,000   NatWest Group PLC
 (1 yr. CMT Rate + 1.22%)		   4.96%  08/15/2030   5,067,851 
 2,600,000   NBM US Holdings, Inc.   7.00%  05/14/2026   2,602,495 
 3,500,000   Network i2i Ltd.
 (5 yr. CMT Rate + 4.27%)		   5.65%(e)  01/15/2025   3,508,232 
 1,257,000   Nexa Resources SA   5.38%  05/04/2027   1,245,381 
 4,035,000   Nutrien Ltd.   4.90%  03/27/2028   4,035,098 
 5,400,000   Orazul Energy Peru SA   5.63%  04/28/2027   5,267,808 
 6,900,000   Oversea-Chinese Banking Corp. Ltd.
 (5 yr. CMT Rate + 1.58%)		   1.83%(a)  09/10/2030   6,740,080 
 4,159,974   Prumo Participacoes e Investimentos S/A   7.50%  12/31/2031   4,135,515 
 2,606,000   Royal Bank of Canada
 (SOFR + 0.53%)		   5.15%  01/20/2026   2,610,446 
 4,300,000   Sociedad Quimica y Minera de Chile SA   4.38%  01/28/2025   4,301,231 
 2,589,000   South Bow USA Infrastructure Holdings LLC   4.91%(a)  09/01/2027   2,581,131 
 2,000,000   Suzano International Finance BV   4.00%  01/14/2025   1,996,396 
 3,500,000   Telefonica Celular del Paraguay SA   5.88%  04/15/2027   3,472,332 
 877,000   TransCanada PipeLines Ltd.   4.88%  01/15/2026   877,234 
 2,080,000   Transportadora de Gas del Peru SA   4.25%  04/30/2028   2,039,881 
 1,570,000   UBS Group AG
 (1 yr. CMT Rate + 1.60%)		   6.33%(a)  12/22/2027   1,611,254 
 7,600,000   United Overseas Bank Ltd.
 (5 yr. CMT Rate + 1.52%)		   1.75%  03/16/2031   7,307,851 
 3,200,000   United Overseas Bank Ltd.
 (5 yr. CMT Rate + 1.23%)		   2.00%  10/14/2031   3,033,887 
 5,206,000   Videotron Ltd.   5.13%(a)  04/15/2027   5,198,517 
 560,000   Volkswagen Group of America Finance LLC   6.00%(a)  11/16/2026   568,997 
 4,910,000   Volkswagen Group of America Finance LLC   4.35%(a)  06/08/2027   4,811,400 
 12,305,000   Volkswagen Group of America Finance LLC   5.25%(a)  03/22/2029   12,177,552 
 3,858,000   Westpac Banking Corp.
 (SOFR + 0.72%)		   5.25%  11/17/2025   3,870,877 
     Total Foreign Corporate Bonds (Cost $436,285,414)           434,358,151 
 FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 1.3%             
 7,486,000   Banco Nacional de Comercio Exterior SNC/Cayman Islands (5 yr. CMT Rate + 2.00%)   2.72%  08/11/2031   6,901,925 
 4,600,000   Bank Negara Indonesia Persero Tbk PT   3.75%  03/30/2026   4,492,781 
 5,046,855   Bioceanico Sovereign Certificate Ltd.   0.00%  06/05/2034   3,901,219 
 3,700,000   Colombia Government International Bond   4.50%  01/28/2026   3,662,075 
 2,100,000   Comision Federal de Electricidad   4.69%  05/15/2029   1,973,594 
 5,300,000   Comision Federal de Electricidad   5.70%(a)  01/24/2030   5,091,975 
 6,000,000   Dominican Republic International Bond   5.50%  02/22/2029   5,824,500 
 6,000,000   Guatemala Government Bond   4.50%  05/03/2026   5,892,000 
 1,500,000   Guatemala Government Bond   5.25%  08/10/2029   1,444,875 
 7,000,000   Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT   4.75%  05/15/2025   6,987,879 
 2,564,575   Lima Metro Line 2 Finance Ltd.   5.88%  07/05/2034   2,560,074 
 1,000,000   Oleoducto Central SA   4.00%  07/14/2027   946,510 
 500,000   Paraguay Government International Bond   5.00%  04/15/2026   497,250 
 6,100,000   Paraguay Government International Bond   4.70%  03/27/2027   5,999,350 
 6,000,000   Pertamina Persero PT   1.40%  02/09/2026   5,751,079 
 800,000   Perusahaan Perseroan Persero PT Perusahaan Listrik Negara   4.13%  05/15/2027   782,351 
 2,000,000   Petrobras Global Finance BV   7.38%  01/17/2027   2,058,282 
 5,500,000   Petrobras Global Finance BV   6.00%  01/27/2028   5,497,910 
 1,800,000   Republic of South Africa Government International Bond   4.88%  04/14/2026   1,779,768 
 6,400,000   TNB Global Ventures Capital Bhd   3.24%  10/19/2026   6,224,578 
     Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $78,787,795)           78,269,975 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
 NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS - 14.7%             
     280 Park Avenue Mortgage Trust             
 9,530,000   Series 2017-280P-A (1 mo. Term SOFR + 1.18%, 1.13% Floor)   5.66%(a)  09/15/2034   9,464,766 
     ACREC Trust             
 10,608,117   Series 2021-FL1-A (1 mo. Term SOFR + 1.26%, 1.15% Floor)   5.64%(a)  10/16/2036   10,622,926 
     Arbor Multifamily Mortgage Securities Trust             
 14,340,000   Series 2021-MF2-A2   2.02%(a)  06/15/2054   13,683,371 
 105,976   Series 2021-MF3-A1   1.07%(a)  10/15/2054   102,586 
     Arbor Realty Trust, Inc.             
 5,000,000   Series 2021-FL1-AS (1 mo. Term SOFR + 1.31%, 1.20% Floor)   5.71%(a)  12/15/2035   4,989,065 
 10,028,633   Series 2021-FL4-A (1 mo. Term SOFR + 1.46%, 1.46% Floor)   5.86%(a)  11/15/2036   10,065,178 
 13,004,741   Series 2022-FL1-A (30 day avg SOFR US + 1.45%, 1.45% Floor)   6.05%(a)  01/15/2037   13,021,517 
 14,267,299   Series 2022-FL2-A (1 mo. Term SOFR + 1.85%, 1.85% Floor)   6.25%(a)  05/15/2037   14,297,061 
     AREIT Trust             
 5,199,911   Series 2022-CRE6-A (30 day avg SOFR US + 1.25%, 1.25% Floor)   5.85%(a)  01/20/2037   5,201,560 
     Ares Commercial Real Estate Corp.             
 1,367,147   Series 2021-FL4-AS (1 mo. Term SOFR + 1.21%, 1.10% Floor)   5.59%(a)  12/18/2037   1,345,531 
     Banc of America Merrill Lynch Commercial Mortgage, Inc.             
 30,065,343   Series 2016-UB10-XA   1.72%(b)(g)  07/15/2049   377,458 
     Banc of America Re-Remic Trust             
 2,950,000   Series 2015-200P-A   3.22%(a)  04/14/2033   2,925,601 
     BANK             
 65,676,608   Series 2017-BNK5-XA   0.94%(b)(g)  06/15/2060   1,230,510 
 79,093,598   Series 2017-BNK6-XA   0.78%(b)(g)  07/15/2060   1,253,104 
 21,055,877   Series 2019-BN20-XA   0.81%(b)(g)  09/15/2062   654,368 
 188,421,997   Series 2020-BN26-XA   1.20%(b)(g)  03/15/2063   8,953,041 
 3,021,000   Series 2021-BN34-ASB   2.19%  06/15/2063   2,718,818 
 2,245,455   Series 2024-BNK48-A1   4.33%  10/15/2057   2,218,418 
     BANK5 Trust             
 3,420,536   Series 2023-5YR2-A1   6.20%  07/15/2056   3,484,412 
 3,168,127   Series 2024-5YR8-A1   5.19%  08/15/2057   3,186,254 
     BBCMS Trust             
 77,046,712   Series 2017-C1-XA   1.44%(b)(g)  02/15/2050   1,782,707 
 17,989,000   Series 2018-TALL-A (1 mo. Term SOFR + 0.92%, 0.87% Floor)   5.32%(a)  03/15/2037   17,051,975 
 116,667,624   Series 2020-C6-XA   1.04%(b)(g)  02/15/2053   4,629,768 
 59,000,000   Series 2020-C6-XB   0.67%(b)(g)  02/15/2053   1,922,798 
 294,065   Series 2023-C19-A1   5.70%  04/15/2056   296,712 
 1,549,781   Series 2023-C22-A1   6.36%  11/15/2056   1,593,537 
 651,000   Series 2024-5C31-A1   4.88%  12/15/2057   649,741 
     BDS Ltd.             
 573,591   Series 2021-FL7-A (1 mo. Term SOFR + 1.18%, 1.07% Floor)   5.56%(a)  06/16/2036   574,044 
 14,000,000   Series 2024-FL13-A (1 mo. Term SOFR + 1.58%, 1.58% Floor)   5.94%(a)  09/19/2039   14,083,636 
     Benchmark Mortgage Trust             
 81,809,802   Series 2018-B1-XA   0.53%(b)(g)  01/15/2051   1,068,510 
 171,505,586   Series 2020-B16-XA   0.92%(b)(g)  02/15/2053   6,099,596 
 35,720,000   Series 2020-IG1-XB   0.13%(b)(g)  09/15/2043   262,435 
 130,412   Series 2022-B32-A1   1.81%  01/15/2055   126,054 
 1,930,462   Series 2023-B39-A1   6.04%  07/15/2056   1,957,489 
 1,173,628   Series 2023-V2-A1   5.85%  05/15/2055   1,182,657 
 1,094,830   Series 2024-V8-A1   5.51%  07/15/2057   1,106,376 
     Blackstone Mortgage Trust, Inc.             
 19,256,970   Series 2021-FL4-A (1 mo. Term SOFR + 1.16%, 1.05% Floor)   5.55%(a)  05/15/2038   18,778,145 
     BMO Mortgage Trust             
 1,423,276   Series 2023-C4-A1   5.29%  02/15/2056   1,429,129 
 2,033,048   Series 2023-C5-A1   5.74%  06/15/2056   2,051,766 
 911,836   Series 2024-5C4-A1   6.02%  05/15/2057   929,787 
 1,010,385   Series 2024-5C6-A1   4.59%  09/15/2057   1,001,742 
 1,316,872   Series 2024-C10-A1   4.90%  11/15/2057   1,313,877 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
     BPR Trust             
 9,829,000   Series 2021-TY-A (1 mo. Term SOFR + 1.16%, 1.05% Floor)   5.56%(a)  09/15/2038   9,798,391 
     BrightSpire Capital, Inc.             
 12,458,123   Series 2021-FL1-A (1 mo. Term SOFR + 1.26%, 1.15% Floor)   5.63%(a)  08/19/2038   12,419,790 
 6,000,000   Series 2021-FL1-AS (1 mo. Term SOFR + 1.71%, 1.60% Floor)   6.08%(a)  08/19/2038   5,962,842 
 11,380,000   Series 2024-FL2-A (1 mo. Term SOFR + 1.95%, 1.95% Floor)   6.31%(a)  08/19/2037   11,402,123 
     BSPRT Co.-Issuer LLC             
 7,011,294   Series 2021-FL6-A (1 mo. Term SOFR + 1.21%, 1.10% Floor)   5.61%(a)  03/15/2036   7,004,942 
 14,000,000   Series 2023-FL10-A (1 mo. Term SOFR + 2.26%, 2.26% Floor)   6.66%(a)  09/15/2035   14,081,382 
 5,000,000   Series 2023-FL10-AS (1 mo. Term SOFR + 2.86%, 2.86% Floor)   7.26%(a)  09/15/2035   5,048,500 
     BX Trust             
 9,500,000   Series 2018-GW-A (1 mo. Term SOFR + 1.10%, 0.80% Floor)   5.50%(a)  05/15/2035   9,500,515 
 3,908,430   Series 2021-21M-A (1 mo. Term SOFR + 0.84%, 0.73% Floor)   5.24%(a)  10/15/2036   3,888,373 
 7,967,000   Series 2021-ARIA-B (1 mo. Term SOFR + 1.41%, 1.30% Floor)   5.81%(a)  10/15/2036   7,949,860 
 3,000,000   Series 2021-LGCY-B (1 mo. Term SOFR + 0.97%, 0.86% Floor)   5.37%(a)  10/15/2036   2,979,269 
 1,007,736   Series 2021-MFM1-A (1 mo. Term SOFR + 0.81%, 0.70% Floor)   5.21%(a)  01/15/2034   1,007,334 
 8,786,585   Series 2021-MFM1-B (1 mo. Term SOFR + 1.06%, 0.95% Floor)   5.46%(a)  01/15/2034   8,778,213 
 7,752,000   Series 2021-VIEW-A (1 mo. Term SOFR + 1.39%, 1.28% Floor)   5.79%(a)  06/15/2036   7,718,841 
 7,316,000   Series 2021-VOLT-B (1 mo. Term SOFR + 1.06%, 0.95% Floor)   5.46%(a)  09/15/2036   7,292,373 
 9,668,835   Series 2021-XL2-A (1 mo. Term SOFR + 0.80%, 0.69% Floor)   5.20%(a)  10/15/2038   9,662,246 
 1,982,482   Series 2022-PSB-A (1 mo. Term SOFR + 2.45%, 2.45% Floor)   6.85%(a)  08/15/2039   1,994,234 
 9,490,000   Series 2024-GPA3-A (1 mo. Term SOFR + 1.29%, 1.29% Floor)   5.80%(a)  12/15/2039   9,506,095 
 2,358,000   Series 2024-VLT4-A (1 mo. Term SOFR + 1.49%, 1.49% Floor)   5.89%(a)  07/15/2029   2,370,801 
     BXMT Ltd.             
 296,998   Series 2020-FL2-A (1 mo. Term SOFR + 1.01%, 1.01% Floor)   5.40%(a)  02/15/2038   292,938 
     Cantor Commercial Real Estate Lending LP             
 401,933   Series 2019-CF1-A2   3.62%  05/15/2052   380,307 
     CFCRE Commercial Mortgage Trust             
 42,452,000   Series 2017-C8-XB   0.89%(b)(g)  06/15/2050   819,150 
     CFK Trust             
 116,365,000   Series 2020-MF2-X   0.77%(a)(b)(g)  03/15/2039   1,599,402 
     Citigroup Commercial Mortgage Trust             
 3,099,807   Series 2015-P1-A4   3.46%  09/15/2048   3,086,190 
 29,504,953   Series 2016-GC36-XA   1.20%(b)(g)  02/10/2049   238,341 
 7,054,738   Series 2016-P3-A3   3.06%  04/15/2049   6,961,732 
 50,253,860   Series 2016-P3-XA   1.65%(b)(g)  04/15/2049   497,111 
 6,330,745   Series 2017-P7-A3   3.44%  04/14/2050   6,144,767 
     Citigroup/Deutsche Bank Commercial Mortgage Trust             
 1,007,315   Series 2016-C3-A4   2.63%  08/10/2049   977,833 
 700,000   Series 2016-C3-A5   2.89%  08/10/2049   677,212 
 20,068,353   Series 2017-CD4-XA   1.22%(b)(g)  05/10/2050   432,736 
     Commercial Mortgage Pass Through Certificates             
 7,429,149   Series 2013-CR12-XA   0.58%(b)(g)  10/10/2046   74 
 130,848,164   Series 2015-CR25-XA   0.78%(b)(g)  08/10/2048   242,200 
 4,616,986   Series 2015-DC1-A5   3.35%  02/10/2048   4,609,773 
 1,009,319   Series 2016-COR1-A3   2.83%  10/10/2049   976,768 
 500,000   Series 2016-COR1-A4   3.09%  10/10/2049   482,410 
 8,000,000   Series 2018-HCLV-A (1 mo. Term SOFR + 1.30%, 1.00% Floor)   5.69%(a)  09/15/2033   7,354,718 
     Commercial Mortgage Trust             
 106,142   Series 2021-PF1-A1   1.12%  11/15/2054   102,480 
     Computershare Corporate Trust             
 23,099,504   Series 2015-LC22-XA   0.73%(b)(g)  09/15/2058   62,142 
 4,899,004   Series 2019-C50-A4   3.47%  05/15/2052   4,652,849 
 154,898,407   Series 2019-C51-XA   1.26%(b)(g)  06/15/2052   7,125,001 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
 11,785,763   Series 2021-C60-A2   2.04%  08/15/2054   11,229,902 
 3,201,089   Series 2021-SAVE-A (1 mo. Term SOFR + 1.26%, 1.15% Floor)   5.66%(a)  02/15/2040   3,206,121 
 895,524   Series 2024-C63-A1   4.89%  08/15/2057   894,112 
     CSAIL Commercial Mortgage Trust             
 1,540,477   Series 2015-C3-A3   3.45%  08/15/2048   1,533,348 
 86,274,043   Series 2017-C8-XA   1.06%(b)(g)  06/15/2050   1,687,632 
 2,913,343   Series 2017-CX9-A4   3.18%  09/15/2050   2,811,688 
 9,774,275   Series 2017-CX9-XA   0.60%(b)(g)  09/15/2050   95,381 
     Del Amo Fashion Center Trust             
 6,850,000   Series 2017-AMO-A   3.64%(a)(b)  06/05/2035   6,447,845 
     EQUS Mortgage Trust             
 13,292,734   Series 2021-EQAZ-A (1 mo. Term SOFR + 1.02%, 0.76% Floor)   5.42%(a)  10/15/2038   13,286,309 
     Extended Stay America Trust             
 9,318,766   Series 2021-ESH-A (1 mo. Term SOFR + 1.19%, 1.08% Floor)   5.59%(a)  07/15/2038   9,331,001 
     Franklin BSP Realty Trust, Inc.             
 5,096,028   Series 2021-FL7-A (1 mo. Term SOFR + 1.43%, 1.43% Floor)   5.83%(a)  12/15/2038   5,098,765 
 6,979,867   Series 2022-FL8-A (30 day avg SOFR US + 1.50%, 1.50% Floor)   6.10%(a)  02/15/2037   6,967,919 
     FS Rialto             
 1,255,641   Series 2019-FL1-AS (1 mo. Term SOFR + 1.56%, 1.45% Floor)   5.96%(a)  12/16/2036   1,259,114 
 2,880,000   Series 2019-FL1-B (1 mo. Term SOFR + 2.01%, 1.90% Floor)   6.41%(a)  12/16/2036   2,876,100 
 14,771,343   Series 2021-FL2-A (1 mo. Term SOFR + 1.33%, 1.33% Floor)   5.73%(a)  05/16/2038   14,769,201 
 6,449,905   Series 2021-FL3-A (1 mo. Term SOFR + 1.36%, 1.36% Floor)   5.76%(a)  11/16/2036   6,453,698 
     Granite Point Mortgage Trust, Inc.             
 9,092,011   Series 2021-FL3-A (1 mo. Term SOFR + 1.36%, 1.36% Floor)   5.74%(a)  07/16/2035   9,008,901 
 8,115,233   Series 2021-FL4-A (1 mo. Term SOFR + 1.46%, 1.35% Floor)   5.82%(a)  12/15/2036   8,031,873 
     Great Wolf Trust             
 4,500,000   Series 2024-WLF2-A (1 mo. Term SOFR + 1.69%)   6.09%(a)  05/15/2041   4,523,774 
 13,500,000   Series 2024-WOLF-A (1 mo. Term SOFR + 1.54%, 1.54% Floor)   5.94%(a)  03/15/2039   13,539,933 
     Greystone Commercial Real Estate Notes             
 11,992,330   Series 2021-FL3-A (1 mo. Term SOFR + 1.13%, 1.02% Floor)   5.53%(a)  07/15/2039   11,994,332 
     GS Mortgage Securities Corp. II             
 1,611,130   Series 2013-GC13-AS   3.87%(a)(b)  07/10/2046   1,552,324 
 103,668,473   Series 2017-GS6-XA   1.00%(b)(g)  05/10/2050   1,870,221 
 124,805,974   Series 2017-GS7-XA   1.07%(b)(g)  08/10/2050   2,592,919 
 133,683,553   Series 2017-GS8-XA   0.93%(b)(g)  11/10/2050   2,721,824 
 2,615,000   Series 2018-TWR-A (1 mo. Term SOFR + 1.20%, 0.90% Floor)   5.60%(a)  07/15/2031   2,198,391 
 50,785,260   Series 2019-GC42-XA   0.81%(b)(g)  09/10/2052   1,523,548 
 600,000   Series 2021-ARDN-B (1 mo. Term SOFR + 1.76%, 1.65% Floor)   6.16%(a)  11/15/2036   599,258 
 9,296,000   Series 2021-IP-A (1 mo. Term SOFR + 1.06%, 0.95% Floor)   5.46%(a)  10/15/2036   9,239,071 
 1,225,000   Series 2021-STAR-A (1 mo. Term SOFR + 1.06%, 0.95% Floor)   5.47%(a)  12/15/2036   1,222,185 
 6,615,000   Series 2023-SHIP-A   4.32%(a)(b)  09/10/2038   6,531,739 
     HERA Commercial Mortgage             
 366,413   Series 2021-FL1-A (1 mo. Term SOFR + 1.16%, 1.05% Floor)   5.54%(a)  02/18/2038   363,774 
     HGI CRE CLO Ltd.             
 955,480   Series 2021-FL1-A (1 mo. Term SOFR + 1.16%, 1.16% Floor)   5.56%(a)  06/16/2036   955,604 
     HIG RCP LLC             
 13,861,400   Series 2023-FL1-AS (1 mo. Term SOFR + 3.11%, 3.11% Floor)   7.51%(a)  09/19/2038   14,022,123 
     JP Morgan Chase Commercial Mortgage Securities             
 54,795,595   Series 2016-JP4-XA   0.57%(b)(g)  12/15/2049   427,986 
 1,141,000   Series 2019-COR5-A3   3.12%  06/13/2052   1,054,042 
 24,109,559   Series 2019-COR5-XA   1.45%(b)(g)  06/13/2052   1,126,519 
     JPMBB Commercial Mortgage Securities Trust             
 1,855,127   Series 2015-C27-A4   3.18%  02/15/2048   1,848,735 
 1,164,263   Series 2015-C30-A4   3.55%  07/15/2048   1,158,225 
 48,057,648   Series 2015-C32-XA   1.09%(b)(g)  11/15/2048   124,729 
 8,970,000   Series 2015-C33-AS   4.02%  12/15/2048   8,827,384 
 425,336   Series 2016-C1-A5   3.58%  03/17/2049   419,213 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
     KREF             
 10,300,830   Series 2021-FL2-A (1 mo. Term SOFR + 1.18%, 1.07% Floor)   5.57%(a)  02/15/2039   10,287,285 
 5,550,000   Series 2021-FL2-AS (1 mo. Term SOFR + 1.41%, 1.30% Floor)   5.80%(a)  02/15/2039   5,478,288 
 11,380,000   Series 2021-FL2-B (1 mo. Term SOFR + 1.76%, 1.65% Floor)   6.15%(a)  02/15/2039   11,195,769 
 16,178,595   Series 2022-FL3-A (1 mo. Term SOFR + 1.45%, 1.45% Floor)   5.82%(a)  02/17/2039   16,173,240 
     Ladder Capital Commercial Mortgage Securities LLC             
 746,971   Series 2017-LC26-A3   3.29%(a)  07/12/2050   719,120 
 1,318,980   Series 2021-FL2-A (1 mo. Term SOFR + 1.31%, 1.31% Floor)   5.71%(a)  12/13/2038   1,319,974 
 5,386,615   Series 2021-FL3-A (1 mo. Term SOFR + 1.56%, 1.56% Floor)   5.96%(a)  11/15/2038   5,401,159 
     LoanCore             
 5,775,853   Series 2021-CRE5-A (1 mo. Term SOFR + 1.41%, 1.41% Floor)   5.81%(a)  07/15/2036   5,780,115 
 9,243,317   Series 2021-CRE6-A (1 mo. Term SOFR + 1.41%, 1.30% Floor)   5.81%(a)  11/15/2038   9,245,729 
 9,265,314   Series 2022-CRE7-A (30 day avg SOFR US + 1.55%, 1.55% Floor)   6.15%(a)  01/17/2037   9,283,975 
     LSTAR Commercial Mortgage Trust             
 47,305,230   Series 2017-5-X   0.84%(a)(b)(g)  03/10/2050   619,694 
     Lument Finance Trust, Inc.             
 7,621,763   Series 2021-FL1-A (1 mo. Term SOFR + 1.28%, 1.28% Floor)   5.68%(a)  06/15/2039   7,638,287 
     Merit 2020             
 5,302,858   Series 2022-MHIL-A (1 mo. Term SOFR + 0.81%, 0.82% Floor)   5.21%(a)  01/15/2027   5,292,029 
     MF1 Multifamily Housing Mortgage Loan Trust             
 575,347   Series 2021-FL5-A (1 mo. Term SOFR + 0.96%, 0.96% Floor)   5.35%(a)  07/15/2036   576,674 
 10,343,000   Series 2021-FL5-AS (1 mo. Term SOFR + 1.31%, 1.31% Floor)   5.70%(a)  07/15/2036   10,342,690 
 6,806,353   Series 2021-FL6-A (1 mo. Term SOFR + 1.21%, 1.10% Floor)   5.59%(a)  07/16/2036   6,791,270 
 3,008,160   Series 2021-FL7-A (1 mo. Term SOFR + 1.19%, 1.08% Floor)   5.57%(a)  10/16/2036   3,002,159 
 9,103,000   Series 2021-FL7-AS (1 mo. Term SOFR + 1.56%, 1.45% Floor)   5.94%(a)  10/16/2036   9,027,837 
 2,000,000   Series 2022-FL10-AS (1 mo. Term SOFR + 3.19%, 3.19% Floor)   7.55%(a)  09/17/2037   2,008,104 
 8,729,524   Series 2022-FL8-A (1 mo. Term SOFR + 1.35%, 1.35% Floor)   5.72%(a)  02/19/2037   8,738,764 
 12,094,086   Series 2022-FL9-A (1 mo. Term SOFR + 2.15%, 2.15% Floor)   6.52%(a)  06/19/2037   12,116,340 
 8,290,000   Series 2024-FL15-A (1 mo. Term SOFR + 1.69%, 1.69% Floor)   6.06%(a)  08/18/2041   8,320,499 
     MHC Commercial Mortgage Trust             
 1,256,625   Series 2021-MHC-A (1 mo. Term SOFR + 0.92%, 0.80% Floor)   5.31%(a)  04/15/2038   1,256,217 
 1,800,000   Series 2021-MHC-B (1 mo. Term SOFR + 1.22%, 1.10% Floor)   5.61%(a)  04/15/2038   1,797,954 
     Morgan Stanley ABS Capital I, Inc.             
 13,390,719   Series 2021-ILP-A (1 mo. Term SOFR + 0.89%, 0.78% Floor)   5.29%(a)  11/15/2036   13,357,806 
 6,924,146   Series 2024-NSTB-A   3.90%(a)(b)  09/24/2057   6,688,610 
     Morgan Stanley Bank of America Merrill Lynch Trust             
 2,425,000   Series 2015-C23-AS   4.00%(b)  07/15/2050   2,403,175 
 157,646   Series 2015-C26-A3   3.21%  10/15/2048   157,318 
     Morgan Stanley Capital I, Inc.             
 39,284   Series 2006-HQ10-X1   0.62%(a)(b)(g)  11/12/2041   —   
 55,063,385   Series 2017-H1-XA   1.30%(b)(g)  06/15/2050   1,096,543 
 7,895,000   Series 2019-PLND-D (1 mo. Term SOFR + 1.86%, 1.75% Floor)   6.26%(a)  05/15/2036   418,804 
 226,271   Series 2021-L5-A1   0.79%  05/15/2054   220,111 
 14,364,249   Series 2021-L6-A2   2.13%(b)  06/15/2054   13,219,229 
     Ready Capital Corp.             
 572,772   Series 2021-FL6-A (1 mo. Term SOFR + 1.06%, 0.95% Floor)   5.40%(a)  07/25/2036   572,235 
 3,527,492   Series 2021-FL7-A (1 mo. Term SOFR + 1.31%, 1.20% Floor)   5.65%(a)  11/25/2036   3,542,004 
 4,900,000   Series 2023-FL12-AS (1 mo. Term SOFR + 3.20%, 3.20% Floor)   7.54%(a)  05/25/2038   4,941,469 
     Rialto Real Estate Fund LP             
 9,000,000   Series 2022-FL8-A (1 mo. Term SOFR + 2.25%, 2.25% Floor)   6.65%(a)  01/19/2037   9,013,428 
     SREIT Trust             
 9,652,833   Series 2021-MFP-A (1 mo. Term SOFR + 0.85%, 0.73% Floor)   5.24%(a)  11/15/2038   9,647,707 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
 1,767,500   Series 2021-MFP2-B (1 mo. Term SOFR + 1.29%, 1.17% Floor)   5.68%(a)  11/15/2036   1,764,750 
     Starwood Property Mortgage Trust             
 270,981   Series 2019-FL1-AS (1 mo. Term SOFR + 1.51%, 1.51% Floor)   5.91%(a)  07/15/2038   269,111 
 8,641,812   Series 2021-FL2-A (1 mo. Term SOFR + 1.31%, 1.20% Floor)   5.69%(a)  04/18/2038   8,612,154 
 12,475,433   Series 2022-FL3-A (30 day avg SOFR US + 1.35%, 1.35% Floor)   5.95%(a)  11/15/2038   12,457,743 
     STWD Trust             
 9,380,000   Series 2021-FLWR-B (1 mo. Term SOFR + 1.04%, 0.93% Floor)   5.44%(a)  07/15/2036   9,372,125 
     TPG Real Estate Finance Issuer Ltd.             
 9,837,571   Series 2021-FL4-A (1 mo. Term SOFR + 1.31%, 1.20% Floor)   5.70%(a)  03/15/2038   9,835,191 
 8,082,332   Series 2022-FL5-A (1 mo. Term SOFR + 1.65%, 1.65% Floor)   6.03%(a)  02/15/2039   8,069,198 
 12,289,000   Series 2022-FL5-AS (1 mo. Term SOFR + 2.15%, 2.15% Floor)   6.53%(a)  02/15/2039   12,231,586 
     TTAN             
 4,168,990   Series 2021-MHC-A (1 mo. Term SOFR + 0.96%, 0.85% Floor)   5.36%(a)  03/15/2038   4,170,093 
     UBS Commercial Mortgage Trust             
 45,750,775   Series 2017-C1-XA   1.47%(b)(g)  06/15/2050   1,190,220 
 75,090   Series 2017-C2-ASB   3.26%  08/15/2050   73,910 
 83,759,751   Series 2017-C3-XA   1.10%(b)(g)  08/15/2050   1,621,547 
 407,323   Series 2018-C11-A3   4.31%  06/15/2051   403,411 
 391,905   Series 2018-C13-A3   4.07%  10/15/2051   383,355 
 92,905,280   Series 2018-C8-XA   0.81%(b)(g)  02/15/2051   2,003,224 
     VEGAS Trust             
 7,018,000   Series 2024-TI-A   5.52%(a)  11/10/2039   7,041,036 
     VMC Finance LLC             
 340,575   Series 2022-FL5-A (30 day avg SOFR US + 1.90%, 1.90% Floor)   6.50%(a)  02/18/2039   341,082 
     Wells Fargo Commercial Mortgage Trust             
 2,247,265   Series 2024-5C1-A1   5.23%  07/15/2057   2,257,510 
 2,683,210   Series 2024-5C2-A1   5.05%  11/15/2057   2,682,161 
     Total Non-Agency Commercial Mortgage Backed Obligations (Cost $993,176,183)           873,668,065 
 NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS - 12.9%             
     Angel Oak Mortgage Trust LLC             
 13,810,444   Series 2021-7-A1   1.98%(a)(b)  10/25/2066   11,694,993 
     Arroyo Mortgage Trust             
 4,159,293   Series 2019-3-A2   3.21%(a)(b)  10/25/2048   3,913,189 
 2,247,887   Series 2019-3-A3   3.42%(a)(b)  10/25/2048   2,118,926 
     Banc of America Mortgage Securities, Inc.             
 280,212   Series 2005-E-2A1   5.60%(b)  06/25/2035   243,261 
     BCAP LLC Trust             
 508,315   Series 2011-RR1-8A3   5.28%(a)(b)  09/30/2056   385,247 
     Bear Stearns Asset Backed Securities Trust             
 155,395   Series 2004-AC2-2A   5.00%  05/25/2034   127,953 
     BRAVO Residential Funding Trust             
 2,847,230   Series 2020-RPL1-A1   2.50%(a)(b)  05/26/2059   2,775,581 
 6,294,242   Series 2022-RPL1-A1   2.75%(a)(b)  09/25/2061   5,690,277 
     Carrington Mortgage Loan Trust             
 1,606,705   Series 2006-NC3-A3 (1 mo. Term SOFR + 0.26%, 0.15% Floor, 12.50% Cap)   4.60%  08/25/2036   1,553,480 
     Chase Funding Mortgage Loan Asset-Backed Certificates             
 1,493,579   Series 2004-2-1A5   6.20%(d)  02/26/2035   1,482,314 
     Citigroup Mortgage Loan Trust, Inc.             
 274,412   Series 2006-AR1-2A1 (1 yr. CMT Rate + 2.40%, 2.40% Floor, 9.87% Cap)   6.30%  03/25/2036   268,407 
 1,576,490   Series 2020-EXP1-A1A   1.80%(a)(b)  05/25/2060   1,447,720 
     COLT Funding LLC             
 4,649,572   Series 2021-1R-A1   0.86%(a)(b)  05/25/2065   3,980,723 
 4,469,999   Series 2021-5-A1   1.73%(a)(b)  11/26/2066   3,928,987 
 13,180,881   Series 2021-RPL1-A1   1.67%(a)(b)  09/25/2061   11,841,870 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
 2,724,025   Series 2023-2-A1   6.60%(a)(d)  07/25/2068   2,749,567 
     Countrywide Home Loan Mortgage Pass Through Trust             
 240,112   Series 2004-HYB9-1A1   5.40%(b)  02/20/2035   241,476 
 3,256,630   Series 2005-3-1A2 (1 mo. Term SOFR + 0.69%, 0.58% Floor)   5.03%  04/25/2035   3,058,396 
     Credit Suisse Management LLC             
 26,475   Series 2005-11-5A1   5.25%  06/25/2026   9,440 
     Credit Suisse Mortgage Capital Certificates             
 1,550,788   Series 2021-NQM1-A2   0.99%(a)(b)  05/25/2065   1,374,916 
 2,584,647   Series 2021-NQM1-A3   1.20%(a)(b)  05/25/2065   2,276,931 
 6,690,436   Series 2021-NQM5-A3   1.35%(a)(b)  05/25/2066   5,564,496 
 4,462,596   Series 2021-RPL4-A1   4.10%(a)(b)  12/27/2060   4,451,787 
 16,011,739   Series 2022-NQM1-A1   2.27%(a)(b)  11/25/2066   14,269,705 
 2,661,058   Series 2022-NQM5-A1   5.17%(a)(b)  05/25/2067   2,651,095 
 7,939,349   Series 2022-RPL4-A1   3.90%(a)(b)  04/25/2062   7,495,812 
     Cross Mortgage Trust             
 3,851,446   Series 2024-H1-A1   6.09%(a)(d)  12/25/2068   3,864,268 
 14,496,964   Series 2024-H5-A1   5.85%(a)(d)  08/26/2069   14,538,601 
     Ellington Financial Mortgage Trust             
 467,125   Series 2020-1-A1   2.01%(a)(b)  05/25/2065   461,028 
     Fannie Mae Connecticut Avenue Securities             
 5,479,501   Series 2023-R08-1M1 (30 day avg SOFR US + 1.50%, 0.00% Floor)   6.07%(a)  10/25/2043   5,508,064 
 10,994,416   Series 2024-R01-1M1 (30 day avg SOFR US + 1.05%, 1.05% Floor)   5.62%(a)  01/25/2044   11,009,424 
 12,457,996   Series 2024-R02-1M1 (30 day avg SOFR US + 1.10%, 1.10% Floor)   5.67%(a)  02/25/2044   12,477,506 
     First Horizon Asset Securities, Inc.             
 1,666,437   Series 2007-AR2-1A1   7.28%(b)  08/25/2037   433,217 
     FirstKey Homes Trust             
 6,974,513   Series 2020-SFR2-A   1.27%(a)  10/19/2037   6,800,348 
     Freddie Mac Structured Agency Credit Risk Debt Notes             
 1,388,782   Series 2022-DNA2-M1A (30 day avg SOFR US + 1.30%, 0.00% Floor)   5.87%(a)  02/25/2042   1,391,664 
 19,228,923   Series 2024-DNA1-M1 (30 day avg SOFR US + 1.35%, 0.00% Floor)   5.92%(a)  02/25/2044   19,270,671 
 7,799,129   Series 2024-DNA2-M1 (30 day avg SOFR US + 1.20%, 0.00% Floor)   5.77%(a)  05/25/2044   7,829,560 
 23,146,302   Series 2024-DNA3-M1 (30 day avg SOFR US + 1.00%, 0.00% Floor)   5.57%(a)  10/25/2044   23,157,129 
 19,968,963   Series 2024-HQA2-M1 (30 day avg SOFR US + 1.20%, 0.00% Floor)   5.77%(a)  08/25/2044   19,998,485 
     GCAT             
 4,788,562   Series 2022-NQM4-A1   5.27%(a)(d)  08/25/2067   4,767,095 
     GSR Mortgage Loan Trust             
 2,406,879   Series 2005-9F-2A2   6.00%  01/25/2036   1,095,936 
     HOMES Trust             
 11,826,749   Series 2023-NQM2-A1   6.46%(a)(d)  02/25/2068   11,910,807 
     Homeward Opportunities Fund I Trust             
 11,065,287   Series 2022-1-A1   5.08%(a)(d)  07/25/2067   10,956,559 
     JP Morgan Alternative Loan Trust             
 14,045   Series 2006-S4-A6   6.21%(d)  12/25/2036   14,170 
     JP Morgan Mortgage Trust             
 5,500,000   Series 2024-NQM1-A1   5.59%(a)(d)  02/25/2064   5,546,552 
     Legacy Mortgage Asset Trust             
 858,053   Series 2021-GS1-A1   4.89%(a)(d)  10/25/2066   858,960 
 9,072,664   Series 2021-GS2-A1   4.75%(a)(d)  04/25/2061   9,076,469 
 16,521,543   Series 2021-GS3-A1   4.75%(a)(d)  07/25/2061   16,513,053 
 20,973,517   Series 2021-GS4-A1   4.65%(a)(d)  11/25/2060   20,989,501 
 656,754   Series 2021-SL1-A   4.99%(a)(b)  09/25/2060   657,994 
     Mastr Adjustable Rate Mortgages Trust             
 1,729,688   Series 2006-2-2A1   7.27%(b)  04/25/2036   841,195 
     MFRA Trust             
 8,688,269   Series 2021-NQM2-A1   1.03%(a)(b)  11/25/2064   7,614,012 
 1,127,800   Series 2021-NQM2-A2   1.32%(a)(b)  11/25/2064   990,086 
     Mill City Mortgage Trust             
 439,977   Series 2017-3-A1   2.75%(a)(b)  01/25/2061   438,200 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
     MLCC Mortgage Investors, Inc.             
 161,718   Series 2005-3-2A   5.66%(b)  11/25/2035   155,526 
     Morgan Stanley Mortgage Loan Trust             
 7,105   Series 2004-1-1A1   5.00%  11/25/2033   5,010 
     New Residential Mortgage Loan Trust             
 7,470,573   Series 2024-NQM1-A1   6.13%(a)(d)  03/25/2064   7,521,903 
     OBX Trust             
 10,577,794   Series 2024-NQM5-A1   5.99%(a)(d)  01/25/2064   10,639,415 
     Onslow Bay Mortgage Loan Trust             
 1,003,779   Series 2018-1-A2 (1 mo. Term SOFR + 0.76%, 0.00% Floor)   5.10%(a)  06/25/2057   987,616 
 9,056,683   Series 2022-NQM1-A1   2.31%(a)(b)  11/25/2061   7,951,754 
 2,390,593   Series 2022-NQM7-A1   5.11%(a)(d)  08/25/2062   2,382,752 
 7,315,192   Series 2023-NQM5-A1A   6.57%(a)(d)  06/25/2063   7,399,644 
 21,817,565   Series 2024-NQM10-A1   6.18%(a)(d)  05/25/2064   22,009,808 
 18,222,831   Series 2024-NQM11-A1   5.88%(a)(d)  06/25/2064   18,293,510 
 12,108,346   Series 2024-NQM12-A1   5.48%(a)(d)  07/25/2064   12,075,870 
 14,208,841   Series 2024-NQM13-A1   5.12%(a)  06/25/2064   14,068,695 
 15,594,016   Series 2024-NQM16-A1   5.53%(a)(d)  10/25/2064   15,567,943 
 25,000,000   Series 2024-NQM18-A1   5.41%(a)(b)  10/25/2064   24,958,003 
 5,900,000   Series 2024-NQM18-A2   5.66%(a)(d)  10/25/2064   5,890,139 
 9,605,843   Series 2024-NQM4-A1   6.07%(a)(d)  01/25/2064   9,661,787 
     Pretium Mortgage Credit Partners LLC             
 21,217,255   Series 2021-NPL3-A1   4.87%(a)(d)  07/25/2051   21,204,768 
 12,173,540   Series 2021-RN1-A1   4.99%(a)(d)  02/25/2061   12,180,462 
 4,332,976   Series 2021-RN2-A1   4.74%(a)(d)  07/25/2051   4,310,860 
 15,107,998   Series 2021-RN3-A1   4.84%(a)(d)  09/25/2051   15,038,305 
     PRPM LLC             
 5,759,400   Series 2020-4-A1   6.61%(a)(d)  10/25/2025   5,766,720 
 11,907,318   Series 2021-4-A1   4.87%(a)(d)  04/25/2026   11,890,184 
 8,708,195   Series 2021-5-A1   4.79%(a)(d)  06/25/2026   8,675,976 
 9,918,849   Series 2021-6-A1   4.79%(a)(d)  07/25/2026   9,909,364 
 15,000,000   Series 2024-NQM4-A1   5.67%(a)(d)  12/26/2069   15,115,830 
     Securitized Asset Backed Receivables LLC             
 3,504,367   Series 2006-NC1-A3 (1 mo. Term SOFR + 0.65%, 0.54% Floor)   4.99%  03/25/2036   3,198,050 
     Starwood Mortgage Residential Trust             
 421,625   Series 2020-3-A1   1.49%(a)(b)  04/25/2065   408,434 
 23,142,892   Series 2021-5-A1   1.92%(a)(b)  09/25/2066   19,274,224 
     Structured Asset Securities Corp.             
 58,067   Series 2003-24A-1A3   6.29%(b)  07/25/2033   56,298 
     Terwin Mortgage Trust             
 607,643   Series 2003-4HE-M1 (1 mo. Term SOFR + 1.24%, 1.13% Floor)   5.58%  09/25/2034   641,882 
     Velocity Commercial Capital Loan Trust             
 1,556,389   Series 2019-2-A   3.13%(a)(b)  07/25/2049   1,487,860 
 4,711,251   Series 2021-1-M1   1.79%(a)(b)  05/25/2051   3,862,774 
 16,786,234   Series 2021-2-A   1.52%(a)(b)  08/25/2051   13,924,533 
 4,014,092   Series 2021-2-M1   1.82%(a)(b)  08/25/2051   3,149,748 
 14,941,196   Series 2024-5-A   5.49%(a)(b)  10/25/2054   14,760,000 
     Vericrest Opportunity Loan Transferee             
 4,113,171   Series 2021-NP10-A1   4.99%(a)(d)  05/25/2051   4,113,331 
 11,023,043   Series 2021-NP11-A1   4.87%(a)(d)  08/25/2051   11,018,544 
 2,479,987   Series 2021-NPL1-A1   4.89%(a)(d)  02/27/2051   2,480,034 
 2,754,366   Series 2021-NPL3-A1   5.24%(a)(d)  02/27/2051   2,753,028 
 2,114,929   Series 2021-NPL5-A1   5.12%(a)(d)  03/27/2051   2,115,963 
 2,258,065   Series 2021-NPL6-A1   5.24%(a)(d)  04/25/2051   2,261,409 
 9,072,408   Series 2021-NPL8-A1   5.12%(a)(d)  04/25/2051   9,082,341 
 1,984,689   Series 2021-NPL9-A1   4.99%(a)(d)  05/25/2051   1,978,642 
     Verus Securitization Trust             
 7,112,109   Series 2021-4-A3   1.35%(a)(b)  07/25/2066   5,928,368 
 6,735,762   Series 2021-7-A1   1.83%(a)(d)  10/25/2066   5,941,453 
 11,609,480   Series 2022-INV1-A1   5.04%(a)(d)  08/25/2067   11,537,885 
 386,988   Series 2022-INV1-A2   5.80%(a)(d)  08/25/2067   385,917 
 15,364,599   Series 2023-4-A1   5.81%(a)(d)  05/25/2068   15,416,190 
 17,737,018   Series 2024-3-A1   6.34%(a)(d)  04/25/2069   17,901,135 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
 4,434,993   Series 2024-6-A1   5.80%(a)(d)  07/25/2069   4,455,502 
 25,000,000   Series 2024-9-A1   5.44%(a)(b)  11/25/2069   25,115,100 
 6,500,000   Series 2024-9-A2   5.69%(a)(d)  11/25/2069   6,529,835 
     WaMu Mortgage Pass Through Certificates             
 129,880   Series 2002-AR16-A   6.70%(b)  12/25/2032   123,967 
     Wells Fargo Mortgage Backed Securities Trust             
 187,026   Series 2007-7-A36   6.00%  06/25/2037   169,888 
     Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $793,190,857)           768,341,282 
 US CORPORATE BONDS - 10.6%             
 1,484,000   AGCO Corp.   5.45%  03/21/2027   1,498,967 
 553,000   Agilent Technologies, Inc.   4.20%  09/09/2027   546,294 
 3,535,000   Albemarle Corp.   4.65%  06/01/2027   3,507,940 
 989,000   Ally Financial, Inc.
 (SOFR + 3.26%)		   6.99%  06/13/2029   1,030,696 
 737,000   Ally Financial, Inc.
 (SOFR + 2.82%)		   6.85%  01/03/2030   764,348 
 1,545,000   Altria Group, Inc.   6.20%  11/01/2028   1,606,193 
 1,370,000   American Electric Power Co., Inc.   5.20%  01/15/2029   1,380,845 
 5,379,000   American Express Co.
 (SOFR + 1.00%)		   5.53%  02/16/2028   5,409,766 
 2,638,000   American Homes 4 Rent LP   4.25%  02/15/2028   2,575,244 
 2,340,000   American National Group, Inc.   5.75%  10/01/2029   2,344,479 
 478,000   American Water Capital Corp.   3.75%  09/01/2028   459,941 
 3,100,000   Amgen, Inc.   5.51%  03/02/2026   3,100,183 
 5,176,000   Apache Corp.   4.25%  01/15/2030   4,868,661 
 10,030,000   Apollo Debt Solutions BDC   6.90%(a)  04/13/2029   10,385,107 
 4,850,000   AppLovin Corp.   5.13%  12/01/2029   4,840,066 
 5,777,000   Ares Capital Corp.   3.88%  01/15/2026   5,714,167 
 1,835,000   Ares Strategic Income Fund   5.70%(a)  03/15/2028   1,835,361 
 5,675,000   Arrow Electronics, Inc.   5.15%  08/21/2029   5,654,123 
 6,715,000   Athene Global Funding
 (SOFR + 0.85%)		   5.39%(a)  05/08/2026   6,716,318 
 6,076,000   Athene Global Funding   4.72%(a)  10/08/2029   5,930,499 
 5,730,000   Atlas Warehouse Lending Co. LP   6.05%(a)  01/15/2028   5,740,526 
 8,210,000   Atlas Warehouse Lending Co. LP   6.25%(a)  01/15/2030   8,163,830 
 1,022,000   Avery Dennison Corp.   4.88%  12/06/2028   1,020,542 
 4,338,000   Aviation Capital Group LLC   1.95%(a)  09/20/2026   4,121,391 
 1,113,000   Aviation Capital Group LLC   6.25%(a)  04/15/2028   1,148,992 
 872,000   Bank of America Corp.
 (SOFR + 1.75%)		   4.83%  07/22/2026   872,169 
 3,326,000   Bank of America Corp.
 (3 mo. Term SOFR + 1.32%)		   3.56%  04/23/2027   3,273,571 
 4,013,000   Blackstone Private Credit Fund   5.60%(a)  11/22/2029   3,964,499 
 2,909,000   Blackstone Secured Lending Fund   5.88%  11/15/2027   2,955,704 
 10,030,000   Blue Owl Capital Corp.   5.95%  03/15/2029   10,074,116 
 6,019,000   Blue Owl Credit Income Corp.   7.75%  09/16/2027   6,322,284 
 10,397,000   Blue Owl Credit Income Corp.   5.80%(a)  03/15/2030   10,244,165 
 3,762,000   Blue Owl Technology Finance Corp.   3.75%(a)  06/17/2026   3,641,354 
 9,287,000   Blue Owl Technology Finance Corp. II   6.75%(a)  04/04/2029   9,348,252 
 3,092,000   Bristol-Myers Squibb Co.
 (SOFR + 0.49%)		   5.01%  02/20/2026   3,100,128 
 651,000   Brixmor Operating Partnership LP   4.13%  06/15/2026   644,540 
 2,615,000   Broadcom, Inc.   3.15%  11/15/2025   2,581,922 
 2,538,000   Broadcom, Inc.   5.05%  07/12/2029   2,548,467 
 2,268,000   Broadcom, Inc.   4.35%  02/15/2030   2,207,250 
 827,000   Bunge Ltd. Finance Corp.   3.75%  09/25/2027   805,487 
 631,000   Cabot Corp.   4.00%  07/01/2029   604,045 
 13,541,000   Capital One Financial Corp.
 (SOFR + 2.16%)		   4.99%  07/24/2026   13,534,273 
 3,085,000   CenterPoint Energy, Inc.   5.40%  06/01/2029   3,122,160 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
 2,572,000   Charles Schwab Corp.
 (SOFR + 1.05%)		   5.56%  03/03/2027   2,601,001 
 1,505,000   Charter Communications Operating LLC / Charter Communications Operating Capital   6.15%  11/10/2026   1,534,815 
 2,691,000   Cheniere Energy Partners LP   4.50%  10/01/2029   2,607,200 
 5,583,000   Cheniere Energy, Inc.   4.63%  10/15/2028   5,465,808 
 9,490,000   Citigroup, Inc.
 (SOFR + 1.34%)		   4.54%  09/19/2030   9,223,479 
 502,000   Citizens Financial Group, Inc.   4.30%  12/03/2025   498,965 
 1,539,000   CNA Financial Corp.   3.90%  05/01/2029   1,474,630 
 4,747,000   CNH Industrial Capital LLC   4.50%  10/08/2027   4,704,895 
 6,019,000   Corebridge Global Funding   5.75%(a)  07/02/2026   6,107,988 
 623,000   Coterra Energy, Inc.   3.90%  05/15/2027   609,117 
 401,000   Coterra Energy, Inc.   4.38%  03/15/2029   387,950 
 2,805,000   Crown Castle, Inc.   4.80%  09/01/2028   2,774,651 
 6,582,000   Crown Castle, Inc.   4.90%  09/01/2029   6,512,858 
 3,060,000   CubeSmart LP   4.38%  02/15/2029   2,973,258 
 2,705,000   CVS Health Corp.   5.00%  02/20/2026   2,703,787 
 2,367,000   Darden Restaurants, Inc.   4.35%  10/15/2027   2,335,543 
 1,298,000   DCP Midstream Operating LP   5.13%  05/15/2029   1,300,966 
 7,769,000   Dell International LLC / EMC Corp.   4.35%  02/01/2030   7,520,107 
 1,134,000   Delta Air Lines, Inc.   7.38%  01/15/2026   1,159,267 
 311,000   Delta Air Lines, Inc. / SkyMiles IP Ltd.   4.75%(a)  10/20/2028   306,935 
 1,474,000   Devon Energy Corp.   5.25%  10/15/2027   1,475,959 
 832,000   DOC DR LLC   4.30%  03/15/2027   823,333 
 5,178,000   Edison International   5.45%  06/15/2029   5,227,818 
 5,276,000   Edwards Lifesciences Corp.   4.30%  06/15/2028   5,165,130 
 2,770,000   Eli Lilly & Co.   5.00%  02/27/2026   2,770,065 
 5,115,000   Energy Transfer LP   6.05%  12/01/2026   5,227,818 
 2,523,000   EnLink Midstream LLC   5.38%  06/01/2029   2,524,720 
 5,415,000   Entergy Corp.   0.90%  09/15/2025   5,267,629 
 432,000   EOG Resources, Inc.   4.15%  01/15/2026   430,061 
 832,000   EPR Properties   4.95%  04/15/2028   818,677 
 843,000   EQT Corp.   3.90%  10/01/2027   820,263 
 1,013,000   EQT Corp.   7.00%  02/01/2030   1,078,378 
 5,184,000   Equifax, Inc.   4.80%  09/15/2029   5,121,329 
 5,615,000   Equinix, Inc.   1.25%  07/15/2025   5,508,261 
 1,814,000   Essential Utilities, Inc.   4.80%  08/15/2027   1,812,801 
 251,000   Essential Utilities, Inc.   3.57%  05/01/2029   236,552 
 1,001,000   Eversource Energy   4.75%  05/15/2026   1,000,860 
 2,525,000   Exelon Corp.   5.15%  03/15/2029   2,538,866 
 5,818,000   Expedia Group, Inc.   6.25%(a)  05/01/2025   5,822,153 
 5,285,000   Fifth Third Bank, Inc.   3.85%  03/15/2026   5,221,772 
 1,802,000   FirstEnergy Transmission LLC   4.55%(a)  01/15/2030   1,755,093 
 6,451,000   Fiserv, Inc.   4.75%  03/15/2030   6,373,907 
 5,176,000   Ford Motor Credit Co. LLC   5.30%  09/06/2029   5,075,469 
 3,026,000   Foundry JV Holdco LLC   5.90%(a)  01/25/2030   3,070,392 
 1,615,000   GA Global Funding Trust   5.50%(a)  01/08/2029   1,632,415 
 296,000   GATX Corp.   4.00%  06/30/2030   280,782 
 5,136,000   GE HealthCare Technologies, Inc.   4.80%  08/14/2029   5,089,832 
 2,883,000   General Mills, Inc.   4.00%  04/17/2025   2,875,757 
 2,295,000   General Mills, Inc.   5.24%  11/18/2025   2,295,042 
 5,180,000   General Motors Financial Co., Inc.   4.00%  01/15/2025   5,177,922 
 5,391,000   General Motors Financial Co., Inc.   5.25%  03/01/2026   5,408,626 
 4,560,000   Genuine Parts Co.   4.95%  08/15/2029   4,548,773 
 2,206,000   Global Payments, Inc.   5.30%  08/15/2029   2,211,058 
 3,629,000   Goldman Sachs Bank USA/New York NY
 (SOFR + 0.77%)		   5.25%  03/18/2027   3,636,291 
 5,157,000   HCA, Inc.   5.38%  02/01/2025   5,158,198 
 5,437,000   Hewlett Packard Enterprise Co.   4.55%  10/15/2029   5,301,870 
 300,000   HSBC USA, Inc.
 (SOFR + 0.96%)		   5.46%  03/04/2027   301,870 
 1,522,000   Huntington Bancshares, Inc./OH
 (SOFR + 1.28%)		   5.27%  01/15/2031   1,523,700 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
 4,519,000   Hyatt Hotels Corp.   5.75%  01/30/2027   4,589,736 
 5,182,000   Hyundai Capital America   4.55%(a)  09/26/2029   5,032,677 
 2,520,000   Icon Investments Six DAC   5.81%  05/08/2027   2,563,199 
 5,783,000   IDEX Corp.   4.95%  09/01/2029   5,761,460 
 3,349,000   Illumina, Inc.   4.65%  09/09/2026   3,338,610 
 2,188,000   Interstate Power and Light Co.   3.60%  04/01/2029   2,076,182 
 478,000   ITC Holdings Corp.   4.95%(a)  09/22/2027   479,213 
 11,900,000   Jackson National Life Global Funding   4.60%(a)  10/01/2029   11,579,914 
 4,680,000   JPMorgan Chase & Co.
 (SOFR + 0.92%)		   5.54%  04/22/2028   4,708,828 
 2,789,000   Keysight Technologies, Inc.   3.00%  10/30/2029   2,544,398 
 2,836,000   Kinder Morgan, Inc.   4.30%  06/01/2025   2,829,938 
 2,772,000   Kinder Morgan, Inc.   5.00%  02/01/2029   2,763,753 
 5,222,000   Laboratory Corp. of America Holdings   4.35%  04/01/2030   5,039,518 
 3,941,000   Lear Corp.   4.25%  05/15/2029   3,792,748 
 1,593,000   Lennar Corp.   5.25%  06/01/2026   1,601,673 
 432,000   Lennox International, Inc.   5.50%  09/15/2028   439,535 
 2,598,000   LPL Holdings, Inc.   4.63%(a)  11/15/2027   2,558,525 
 2,437,000   M&T Bank Corp.
 (SOFR + 0.93%)		   4.83%  01/16/2029   2,427,312 
 250,000   Manufacturers & Traders Trust Co.   4.65%  01/27/2026   249,436 
 5,070,000   Marriott International, Inc./MD   4.80%  03/15/2030   5,034,391 
 6,600,000   MasTec, Inc.   4.50%(a)  08/15/2028   6,404,524 
 5,924,000   Merck Sharp & Dohme Corp.   5.95%  12/01/2028   6,192,700 
 576,000   Meritage Homes Corp.   3.88%(a)  04/15/2029   538,804 
 675,000   Microchip Technology, Inc.   4.25%  09/01/2025   672,396 
 1,005,000   Microchip Technology, Inc.   5.05%  03/15/2029   1,003,357 
 507,000   Micron Technology, Inc.   4.98%  02/06/2026   507,786 
 2,280,000   Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.   6.50%(a)  06/20/2027   2,296,012 
 265,000   Mohawk Industries, Inc.   5.85%  09/18/2028   272,595 
 5,140,000   Morgan Stanley   3.88%  01/27/2026   5,102,819 
 5,075,000   Motorola Solutions, Inc.   5.00%  04/15/2029   5,069,060 
 281,000   MPLX LP   4.80%  02/15/2029   278,729 
 3,531,000   National Securities Clearing Corp.   4.90%(a)  06/26/2029   3,536,663 
 597,000   New York Life Global Funding
 (SOFR + 0.48%)		   4.98%(a)  06/09/2026   598,207 
 757,000   New York Life Global Funding   4.70%(a)  01/29/2029   755,524 
 710,000   Newmont Corp. / Newcrest Finance Pty Ltd.   5.30%  03/15/2026   715,357 
 5,455,000   NGPL PipeCo LLC   4.88%(a)  08/15/2027   5,415,586 
 2,480,000   NiSource, Inc.   5.25%  03/30/2028   2,502,182 
 1,979,000   NiSource, Inc.   5.20%  07/01/2029   1,995,962 
 2,999,000   Norfolk Southern Corp.   7.80%  05/15/2027   3,211,077 
 908,000   Northwestern Mutual Global Funding   4.11%(a)  09/12/2027   896,110 
 2,268,000   Occidental Petroleum Corp.   5.20%  08/01/2029   2,251,746 
 2,566,000   Omega Healthcare Investors, Inc.   4.75%  01/15/2028   2,532,874 
 5,037,000   Oracle Corp.   5.80%  11/10/2025   5,088,764 
 2,405,000   O’Reilly Automotive, Inc.   5.75%  11/20/2026   2,448,596 
 251,000   O’Reilly Automotive, Inc.   4.20%  04/01/2030   241,517 
 989,000   Owens Corning   3.50%  02/15/2030   919,570 
 3,103,000   Pacific Gas and Electric Co.
 (SOFR + 0.95%)		   5.45%  09/04/2025   3,108,487 
 7,458,000   Pacific Gas and Electric Co.   6.10%  01/15/2029   7,723,244 
 553,000   Pacific Life Global Funding II
 (SOFR + 0.62%)		   5.12%(a)  06/04/2026   554,802 
 4,686,000   Penske Truck Leasing Co. Lp / PTL Finance Corp.   4.00%(a)  07/15/2025   4,660,993 
 5,235,000   Penske Truck Leasing Co. Lp / PTL Finance Corp.   4.40%(a)  07/01/2027   5,168,687 
 3,240,000   PNC Financial Services Group, Inc.
 (SOFR + 1.32%)		   5.81%  06/12/2026   3,254,129 
 1,129,000   Public Service Co. of Colorado   3.70%  06/15/2028   1,090,812 
 3,698,000   Public Service Enterprise Group, Inc.   5.85%  11/15/2027   3,805,081 
 3,633,000   Public Storage Operating Co.
 (SOFR + 0.70%)		   5.35%  04/16/2027   3,652,382 
 5,123,000   Quanta Services, Inc.   4.75%  08/09/2027   5,118,133 
 5,576,000   Quest Diagnostics, Inc.   4.20%  06/30/2029   5,414,860 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
 455,000   RGA Global Funding   6.00%(a)  11/21/2028   469,598 
 5,635,000   Royalty Pharma PLC   1.75%  09/02/2027   5,192,033 
 332,000   Ryder System, Inc.   5.25%  06/01/2028   335,717 
 1,323,000   Ryder System, Inc.   4.95%  09/01/2029   1,319,024 
 1,520,000   Sempra   5.40%  08/01/2026   1,534,386 
 2,031,000   Sherwin-Williams Co.   4.55%  03/01/2028   2,014,893 
 5,065,000   Solventum Corp.   5.45%(a)  02/25/2027   5,115,704 
 2,602,000   Sonoco Products Co.   4.45%  09/01/2026   2,585,378 
 3,570,000   Southern California Edison Co.   4.90%  06/01/2026   3,578,074 
 2,772,000   Southern Co.   5.15%  10/06/2025   2,782,177 
 5,157,000   State Street Corp.
 (SOFR + 1.35%)		   5.75%  11/04/2026   5,199,742 
 4,995,000   Take-Two Interactive Software, Inc.   4.95%  03/28/2028   4,993,687 
 2,753,000   Targa Resources Partners LP / Targa Resources Partners Finance Corp.   6.50%  07/15/2027   2,774,703 
 6,816,000   Targa Resources Partners LP / Targa Resources Partners Finance Corp.   6.88%  01/15/2029   6,989,624 
 6,931,000   Targa Resources Partners LP / Targa Resources Partners Finance Corp.   5.50%  03/01/2030   6,957,234 
 5,487,000   The Campbell’s Co.   3.95%  03/15/2025   5,474,863 
 2,015,000   The Campbell’s Co.   5.20%  03/19/2027   2,034,147 
 556,000   Timken Co.   4.50%  12/15/2028   546,273 
 883,000   Toll Brothers Finance Corp.   4.88%  03/15/2027   882,871 
 2,238,000   Uber Technologies, Inc.   6.25%(a)  01/15/2028   2,258,817 
 623,000   US Bancorp
 (SOFR + 1.43%)		   5.73%  10/21/2026   627,396 
 5,356,000   Utah Acquisition Sub, Inc.   3.95%  06/15/2026   5,275,360 
 2,969,000   Veralto Corp.   5.50%  09/18/2026   3,004,808 
 1,763,000   Veralto Corp.   5.35%  09/18/2028   1,786,290 
 5,735,000   VICI Properties LP / VICI Note Co., Inc.   4.25%(a)  12/01/2026   5,643,708 
 8,037,000   Wells Fargo & Co.
 (SOFR + 1.07%)		   5.69%  04/22/2028   8,107,405 
 5,153,000   Welltower OP LLC   4.00%  06/01/2025   5,134,957 
 678,000   Western Midstream Operating LP   6.35%  01/15/2029   702,125 
 2,688,000   Western Midstream Operating LP   4.05%  02/01/2030   2,523,034 
 5,074,000   Williams Cos., Inc.   4.80%  11/15/2029   5,008,744 
 1,248,000   Xcel Energy, Inc.   4.00%  06/15/2028   1,208,317 
     Total US Corporate Bonds (Cost $632,173,404)           630,093,789 
 US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS - 3.0%             
     Federal Home Loan Mortgage Corp.             
 368,384   Pool 840632 (1 yr. RFUCCT + 1.62%, 1.62% Floor, 7.62% Cap)   6.57%  05/01/2045   379,434 
 96,885   Pool N70081   5.50%  07/01/2038   96,898 
 7,756,393   Pool RA8419   6.00%  01/01/2053   7,850,439 
 8,062,832   Pool SD5219   6.00%  04/01/2054   8,167,735 
 3,427,762   Series 276-F5 (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap)   5.21%  09/15/2042   3,383,411 
 2,279,706   Series 339-F5 (30 day avg SOFR US + 0.56%, 0.45% Floor, 6.50% Cap)   5.16%  11/15/2044   2,241,733 
 9,955   Series 3872-BA   4.00%  06/15/2041   9,563 
 4,174,699   Series 4068-UF (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap)   5.21%  06/15/2042   4,119,236 
 193,952   Series 4203-NB   2.00%  10/15/2040   191,452 
 6,658,787   Series 4631-FA (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap)   5.21%  11/15/2046   6,557,829 
 2,619,087   Series 4851-PF (30 day avg SOFR US + 0.51%, 0.40% Floor, 6.50% Cap)   5.11%  08/15/2057   2,555,075 
 2,493,004   Series 4878-FA (30 day avg SOFR US + 0.51%, 0.40% Floor, 6.50% Cap)   5.11%  05/15/2049   2,450,131 
 1,841,047   Series 4939-CF (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap)   5.18%  12/25/2049   1,811,003 
 3,591,514   Series 4987-BF (30 day avg SOFR US + 0.51%, 0.40% Floor, 6.50% Cap)   5.08%  06/25/2050   3,523,251 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
 9,429,414   Series 4990-FN (30 day avg SOFR US + 0.46%, 0.35% Floor, 6.50% Cap)   5.03%  05/25/2050   9,141,819 
 5,264,863   Series 5478-FB (30 day avg SOFR US + 1.35%, 1.35% Floor, 6.50% Cap)   5.92%  02/25/2054   5,274,775 
     Federal National Mortgage Association             
 17,101   Pool AB3850   4.00%  11/01/2041   15,840 
 741,752   Pool AL2987 (1 yr. RFUCCT + 1.62%, 1.62% Floor, 7.31% Cap)   7.01%  11/01/2042   765,124 
 125,915   Pool AL4292   4.50%  04/01/2026   125,438 
 600,112   Pool BM3520 (1 yr. RFUCCT + 1.56%, 1.56% Floor, 6.98% Cap)   6.77%  05/01/2045   620,455 
 7,961,252   Pool FS6084   6.00%  10/01/2053   8,055,450 
 4,854,029   Pool MA4901   5.00%  01/01/2043   4,766,738 
 3,138,479   Pool MA4988   5.00%  04/01/2043   3,082,034 
 3,722,088   Pool MA5112   5.00%  08/01/2043   3,648,160 
 5,061,015   Pool MA5540   5.50%  11/01/2044   5,047,195 
 2,097,886   Series 2010-68-FJ (30 day avg SOFR US + 0.56%, 0.45% Floor, 7.00% Cap)   5.13%  07/25/2040   2,080,783 
 903,707   Series 2011-134-FT (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap)   5.18%  12/25/2041   892,467 
 35,176   Series 2011-64-DB   4.00%  07/25/2041   33,860 
 1,616,684   Series 2016-62-FB (30 day avg SOFR US + 0.51%, 0.40% Floor, 6.50% Cap)   5.08%  09/25/2046   1,599,086 
 3,677,375   Series 2016-84-FT (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap)   5.18%  11/25/2046   3,620,908 
 1,533,726   Series 2017-112-FC (30 day avg SOFR US + 0.46%, 0.35% Floor, 6.50% Cap)   5.03%  01/25/2048   1,495,488 
 7,131,652   Series 2018-72-FB (30 day avg SOFR US + 0.46%, 0.35% Floor, 6.50% Cap)   5.03%  10/25/2058   6,928,259 
 2,610,186   Series 2018-85-FE (30 day avg SOFR US + 0.41%, 0.30% Floor, 6.50% Cap)   4.98%  12/25/2048   2,560,457 
 10,254,741   Series 2019-43-FD (30 day avg SOFR US + 0.51%, 0.40% Floor, 6.50% Cap)   5.08%  08/25/2049   10,053,815 
 4,396,169   Series 2019-49-FB (30 day avg SOFR US + 0.59%, 0.48% Floor, 6.50% Cap)   5.16%  09/25/2049   4,311,065 
 6,121,657   Series 2019-57-LF (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap)   5.18%  10/25/2049   5,992,880 
 1,082,584   Series 2019-M21-3A1   2.10%  06/25/2034   1,057,467 
 4,314,979   Series 2020-34-F (30 day avg SOFR US + 0.56%, 0.45% Floor, 6.50% Cap)   5.13%  06/25/2050   4,209,977 
 10,924,171   Series 2020-M49-1A1   1.26%(b)  11/25/2030   9,905,910 
 15,381,524   Series 2021-M7-A1   1.73%(b)  03/25/2031   14,270,884 
 7,068,481   Series 2024-93-FL (30 day avg SOFR US + 1.45%, 1.45% Floor, 6.50% Cap)   6.02%  12/25/2054   7,136,375 
     Government National Mortgage Association             
 3,548,985   Series 2012-68-FA (1 mo. Term SOFR + 0.61%, 0.50% Floor, 6.00% Cap)   4.98%  05/20/2042   3,452,021 
 3,194,933   Series 2013-116-WU   3.00%  12/20/2042   3,128,359 
 3,356,720   Series 2016-16-DF (1 mo. Term SOFR + 0.41%, 0.30% Floor, 6.50% Cap)   4.81%  02/16/2046   3,301,676 
 4,425,727   Series 2022-183-B   5.00%  04/20/2047   4,439,495 
 3,789,354   Series 2024-25-AF (30 day avg SOFR US + 0.51%, 0.51% Floor, 6.50% Cap)   5.20%  02/20/2049   3,594,824 
     Total US Government and Agency Mortgage Backed Obligations (Cost $180,154,087)           177,946,274 
 US GOVERNMENT AND AGENCY OBLIGATIONS - 24.6%             
 40,000,000   United States Treasury Note/Bond   0.38%  01/31/2026   38,385,903 
 111,200,000   United States Treasury Note/Bond   0.75%  03/31/2026   106,529,076 
 68,700,000   United States Treasury Note/Bond   0.75%  05/31/2026   65,441,900 
 106,500,000   United States Treasury Note/Bond   0.63%  07/31/2026   100,664,097 
 123,500,000   United States Treasury Note/Bond   0.88%  09/30/2026   116,565,169 
 306,250,000   United States Treasury Note/Bond   0.63%  03/31/2027   282,793,825 
 345,900,000   United States Treasury Note/Bond   0.50%  06/30/2027   315,424,280 
 200,000,000   United States Treasury Note/Bond   0.75%  01/31/2028   179,738,414 
 315,000,000   United States Treasury Note/Bond   0.88%  11/15/2030   257,801,963 
     Total US Government and Agency Obligations (Cost $1,479,862,601)           1,463,344,627 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
 SHORT TERM INVESTMENTS - 2.6%             
 50,902,016   First American Government Obligations Fund - U   4.41%(h)      50,902,016 
 50,902,016   JPMorgan US Government Money Market Fund - IM   4.44%(h)      50,902,016 
 50,902,016   MSILF Government Portfolio - Institutional   4.42%(h)      50,902,016 
     Total Short Term Investments (Cost $152,706,048)           152,706,048 
     Total Investments - 98.6% (Cost $6,025,824,986)           5,858,026,268 
     Other Assets in Excess of Liabilities - 1.4%           81,169,123 
     NET ASSETS - 100.0%          $5,939,195,391 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:    
US Government and Agency Obligations 24.6%  
Non-Agency Commercial Mortgage Backed Obligations 14.7%  
Collateralized Loan Obligations 13.5%  
Non-Agency Residential Collateralized Mortgage Obligations 12.9%  
US Corporate Bonds 10.6%  
Foreign Corporate Bonds 7.3%  
Asset Backed Obligations 7.3%  
US Government and Agency Mortgage Backed Obligations 3.0%  
Short Term Investments 2.6%  
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 1.3%  
Bank Loans 0.8%  
Other Assets and Liabilities 1.4%  
Net Assets 100.0%  

 

INVESTMENT BREAKDOWN as a % of Net Assets:    
US Government and Agency Obligations 24.6%  
Non-Agency Commercial Mortgage Backed Obligations 14.7%  
Collateralized Loan Obligations 13.5%  
Non-Agency Residential Collateralized Mortgage Obligations 12.9%  
Asset Backed Obligations 7.3%  
Banking 4.2%  
US Government and Agency Mortgage Backed Obligations 3.0%  
Short Term Investments 2.6%  
Finance 2.0%  
Utilities 1.8%  
Energy 1.6%  
Technology 1.1%  
Transportation 0.9%  
Automotive 0.8%  
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations 0.7%  
Mining 0.7%  
Healthcare 0.7%  
Insurance 0.6%  
Pharmaceuticals 0.4%  
Telecommunications 0.4%  
Media 0.4%  
Hotels/Motels/Inns and Casinos 0.4%  
Real Estate 0.3%  
Consumer Products 0.3%  
Building and Development (including Steel/Metals) 0.3%  
Chemicals/Plastics 0.3%  
Retailers (other than Food/Drug) 0.2%  
Food Products 0.2%  
Construction 0.2%  
Diversified Manufacturing 0.2%  
Industrial Equipment 0.2%  
   
 

 

Aerospace & Defense 0.2%  
Business Equipment and Services 0.2%  
Commercial Services 0.1%  
Conglomerates 0.1%  
IT Services 0.1%  
Beverage and Tobacco 0.1%  
Chemical Products 0.1%  
Containers and Glass Products 0.1%  
Financials 0.1%  
Food Service 0.0% (i)
Pulp & Paper 0.0% (i)
Other Assets and Liabilities 1.4%  
Net Assets 100.0%  
     

 

 

 

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of December 31, 2024, the value of these securities total $2,920,691,576 or 49.2% of the Fund’s net assets.
(b) Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end.
(c) Value determined using significant unobservable inputs.
(d) Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end.
(e) Perpetual maturity. The date disclosed is the next call date of the security.
(f) Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date.
(g) Interest only security
(h) Seven-day yield as of period end.
(i) Represents less than 0.05% of net assets.

 

CMT Constant Maturity Treasury Rate
LIBOR London Interbank Offered Rate
RFUCCT Refinitiv USD IBOR Consumer Cash Fallbacks
SOFR Secured Overnight Financing Rate

 

 

 

DoubleLine Floating Rate Fund   (Unaudited)
     
Schedule of Investments   December 31, 2024

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
BANK LOANS - 88.2%
AEROSPACE & DEFENSE - 1.9%
     Signia Aerospace LLC             
 431,538   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.40%  12/11/2031   432,350 
 353,077   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.40%  12/11/2031   353,741 
     TransDigm, Inc.             
 1,791,934   Senior Secured First Lien Term Loan (3 mo. Term SOFR + 2.50%)   6.83%  02/28/2031   1,797,023 
     United Airlines, Inc.             
 670,486   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor)   6.63%  02/24/2031   673,540 
AUTOMOTIVE - 0.9% 
     Clarios Global LP             
 1,007,475   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  05/06/2030   1,012,890 
     Dexko Global, Inc.             
 509,845   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor)   8.34%  10/04/2028   483,275 
                 1,496,165 
BEVERAGE AND TOBACCO - 0.7%
     Triton Water Holdings, Inc.             
 1,144,998   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.50% Floor)   7.84%  03/31/2028   1,155,452 
BUILDING AND DEVELOPMENT (INCLUDING STEEL/METALS) - 1.6%
     Cornerstone Building Brands, Inc.             
 412,500   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.75%  04/12/2028   395,072 
 64,838   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.50%, 0.50% Floor)   8.90%  05/15/2031   62,629 
     Cornerstone Generation LLC             
 825,000   Senior Secured Term Loan (1 mo. Term SOFR + 3.25%)   7.65%  10/28/2031   833,250 
     LBM Acquisition LLC             
 1,259,646   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.30%  06/06/2031   1,250,986 
     MITER Brands Acquisition Holdco, Inc.             
 159,200   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  03/28/2031   161,024 
                 2,702,961 
BUSINESS EQUIPMENT AND SERVICES - 4.1%
     Camelot US Acquisition LLC             
 13,957   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.11%  01/31/2031   13,964 
 152,651   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.11%  01/31/2031   152,723 
 658,223   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.11%  01/31/2031   658,533 
     CoreLogic, Inc.             
 261,107   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   8.19%  06/02/2028   258,286 
     Deerfield Dakota Holding LLC             
 995,256   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 1.00% Floor)   8.35%  04/09/2027   975,664 
     Dun & Bradstreet Corp.             
 245,290   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.59%  01/18/2029   245,750 
     EAB Global, Inc.             
 750,470   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.61%  08/16/2028   754,316 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
     Eisner Advisory Group LLC             
 644,014   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor)   8.36%  02/28/2031   652,180 
     Element Materials Technology Group US Holdings, Inc.             
 642,870   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor)   8.08%  06/25/2029   647,894 
     First Advantage Holdings LLC             
 972,609   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  10/31/2031   984,159 
     Grant Thornton Advisors Holdings LLC             
 142,609   Senior Secured Term Loan (1 mo. Term SOFR + 2.75%)   7.13%  05/30/2031   142,818 
     Grant Thornton LLP/Chicago             
 488,775   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.82%  05/30/2031   489,493 
     Ovg Business Services LLC             
 558,600   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  06/25/2031   560,695 
     Trans Union LLC             
 318,400   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  06/24/2031   318,351 
     VT Topco, Inc.             
 292,059   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.33%  08/12/2030   294,458 
                 7,149,284 
CHEMICALS/PLASTICS - 4.1%
     Charter Next Generation, Inc.             
 400,121   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.75% Floor)   7.53%  12/02/2030   402,780 
     Hexion Holdings Corp.             
 844,774   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor)   8.45%  03/15/2029   846,295 
     INEOS US Finance LLC             
 1,612,815   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  02/19/2030   1,622,032 
     Ineos US Finance T/L B             
 214,463   Senior Secured Term Loan   7.76%(a)  02/07/2031   216,474 
     INEOS US Petrochem LLC             
 873,400   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.71%  03/29/2029   881,042 
 400,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.61%  10/07/2031   404,500 
     Nouryon Finance BV             
 149,079   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.66%  04/03/2028   150,430 
 563,089   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.66%  04/03/2028   568,194 
     Olympus Water US Holding Corp.             
 959,782   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor)   8.10%  06/23/2031   963,981 
     Polar US Borrower LLC             
 124,968   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor)   9.98%  10/15/2028   90,727 
 153   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor)   9.98%  10/15/2028   111 
 124,196   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor)   9.98%  10/15/2028   90,166 
 152   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor)   9.98%  10/15/2028   110 
     Vantage Specialty Chemicals, Inc.             
 800,978   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.50% Floor)   9.11%  10/26/2026   793,969 
                 7,030,811 
COMMERCIAL SERVICES - 3.5%
     Allied Universal Holdco LLC             
 1,302,296   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor)   8.21%  05/15/2028   1,308,169 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
   Ascend Learning LLC         
 429,148   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.96%  12/11/2028   432,000 
 415,665   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.96%  12/11/2028   418,427 
 285,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.75%, 0.50% Floor)   10.21%  12/10/2029   283,397 
     Belron Finance LLC             
 498,750   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.50% Floor)   7.27%  10/16/2031   504,129 
     Cengage Learning, Inc.             
 144,073   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 1.00% Floor)   7.86%  11/24/2031   144,999 
 248,952   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 1.00% Floor)   8.01%  11/24/2031   250,553 
     Frontdoor, Inc.             
 195,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.61%  12/19/2031   195,975 
     Garda World Security Corp.             
 1,021,690   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor)   7.90%  02/01/2029   1,027,442 
     Mister Car Wash Holdings, Inc.             
 154,613   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.09%  03/27/2031   155,537 
     Nvent Thermal LLC             
 640,000   Senior Secured Term Loan (1 mo. Term SOFR + 3.50%)   8.02%  09/12/2031   647,802 
     Vestis Corp.             
 224,438   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor)   6.76%  02/24/2031   225,280 
     Vortex Opco LLC             
 182,274   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor)   9.03%  12/17/2028   115,835 
     Wand NewCo 3, Inc.             
 198,146   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  01/30/2031   199,204 
 119,266   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  01/30/2031   119,903 
                 6,028,652 
CONSTRUCTION - 2.2%
     Amentum Holdings, Inc.             
 765,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.61%  09/29/2031   763,244 
     Artera Services LLC             
 323,462   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.00% Floor)   8.83%  02/10/2031   321,193 
     Brand Industrial Services, Inc.             
 642,842   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.50% Floor)   9.07%  08/01/2030   626,832 
     Construction Partners, Inc.             
 600,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%)   6.84%  11/03/2031   604,128 
     Quikrete Holdings, Inc.             
 392,990   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.61%  03/19/2029   393,236 
 124,063   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  04/14/2031   124,147 
     Tamko Building Products LLC             
 225,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%)   7.08%  09/20/2030   227,110 
 225,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%)   7.09%  09/20/2030   227,111 
     Tecta America Corp.             
 556,422   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.75% Floor)   8.71%  04/10/2028   560,130 
                 3,847,131 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
CONSUMER PRODUCTS - 2.5%
     Energizer Holdings, Inc.             
 280,721   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  12/22/2027   281,818 
     Hunter Douglas, Inc.             
 225,541   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor)   8.02%  02/26/2029   225,710 
 614,239   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor)   8.02%  02/26/2029   614,700 
     Kronos Acquisition Holdings, Inc.             
 513,713   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor)   8.58%  07/08/2031   486,421 
     Madison Safety & Flow LLC             
 309,225   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  09/26/2031   311,883 
     SWF Holdings I FLSO T/L A2             
 352,799   Senior Secured Term Loan   8.48%(a)  10/06/2028   317,519 
     Tempur Sealy International, Inc.             
 2,060,000   Senior Secured First Lien Term Loan (Daily US Secured Overnight Financing Rate + 2.50%, 0.00% Floor)   6.81%  10/24/2031   2,068,364 
                 4,306,415 
CONSUMER STAPLES - 0.2%
     United Natural Foods, Inc.             
 333,325   Senior Secured First Lien Term Loan (1 mo. Term SOFR + 4.75%, 0.00% Floor)   9.44%  05/01/2031   339,408 
CONTAINERS AND GLASS PRODUCTS - 3.3%
     Clydesdale Acquisition Holdings, Inc.             
 611,032   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.18%, 0.50% Floor)   7.53%  04/13/2029   612,942 
     Graham Packaging Co., Inc.             
 923,118   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  08/04/2027   926,455 
     Klockner Pentaplast of America, Inc.             
 330,521   Senior Secured First Lien Term Loan (6 mo. SOFR US + 4.73%, 0.50% Floor)   9.72%  02/09/2026   303,253 
     Pactiv Evergreen Group Holdings, Inc.             
 265,652   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  09/25/2028   267,105 
 67,889   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  09/25/2028   68,260 
 53,855   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  09/25/2028   54,149 
     Pregis TopCo LLC             
 981,777   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor)   8.36%  07/31/2026   989,405 
     Pretium PKG Holdings, Inc.             
 386,326   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.60%, 1.00% Floor)   9.17%  10/02/2028   308,939 
 7,037   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.60%, 1.00% Floor)   9.17%  10/02/2028   5,627 
 4,658   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 1.00% Floor)   9.57%  10/02/2028   4,816 
 174,026   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 1.00% Floor)   9.57%  10/02/2028   179,901 
 155,000   Senior Secured Second Lien Term Loan (3 mo. SOFR US + 6.75%, 0.50% Floor)   11.53%  10/01/2029   58,302 
     TricorBraun Holdings, Inc.             
 713,410   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.72%  03/03/2028   713,788 
     Trident TPI Holdings, Inc.             
 1,128,718   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor)   8.19%  09/18/2028   1,140,259 
                 5,633,201 
ELECTRONICS/ELECTRIC - 15.7%
     Access CIG LLC             
 478,878   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.50% Floor)   9.59%  08/18/2028   484,136 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
     Applied Systems, Inc.             
 338,300   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.33%  02/24/2031   341,972 
 235,000   Senior Secured Second Lien Term Loan (3 mo. SOFR US + 5.25%, 0.00% Floor)   9.85%  02/23/2032   242,176 
     Astra Acquisition Corp.             
 404,876   Senior Secured Second Lien Term Loan (3 mo. SOFR US + 8.88%, 0.75% Floor)   13.47%  10/25/2029   28,594 
     Asurion LLC             
 692,272   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.72%  07/30/2027   691,569 
 135,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor)   9.94%  02/03/2028   132,252 
 113,444   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.71%  08/21/2028   113,688 
 500,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor)   9.72%  01/22/2029   484,100 
 418,847   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.61%  09/19/2030   418,324 
     Boost Newco Borrower LLC             
 912,713   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor)   6.83%  01/31/2031   919,371 
     Boxer Parent Co., Inc.             
 1,600,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor)   8.34%  07/30/2031   1,615,184 
 390,000   Senior Secured Second Lien Term Loan (3 mo. SOFR US + 5.75%, 0.00% Floor)   10.34%  07/30/2032   384,801 
     Castle US Holding Corp.             
 239,904   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor)   8.53%  01/29/2027   142,913 
     Central Parent LLC             
 1,925,150   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.85%  07/06/2029   1,902,173 
     Chariot Buyer LLC             
 382,260   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.71%  11/03/2028   385,009 
     Cloud Software Group, Inc.             
 491,534   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor)   7.83%  03/29/2029   493,601 
 1,232   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.83%  03/29/2029   1,237 
 500,281   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor)   8.31%  03/24/2031   502,515 
     Conservice Midco LLC             
 445,400   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor)   7.86%  05/13/2027   449,297 
     Constant Contact, Inc.             
 684,611   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.75% Floor)   8.92%  02/10/2028   615,294 
     Cornerstone OnDemand, Inc.             
 521,035   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor)   8.22%  10/16/2028   460,074 
     Cyborg Oldco DC Holdings, Inc.             
 239,168   Senior Secured Term Loan (1 mo. Term SOFR + 3.00%)   7.30%(b)(c)  05/01/2026   1,315 
     Dcert Buyer, Inc.             
 358,516   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor)   8.36%  10/16/2026   345,324 
 183,653   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 7.00%, 0.00% Floor)   11.36%  02/16/2029   149,677 
     DG Investment Intermediate Holdings 2, Inc.             
 808,725   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.22%  03/31/2028   818,329 
 150,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 6.75%, 0.75% Floor)   11.22%  03/29/2029   149,696 
     Ellucian Holdings, Inc.             
 909,251   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  10/29/2029   916,525 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
 40,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor)   9.11%  11/22/2032   40,867 
     Gainwell Acquisition Corp.             
 1,377,758   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.75% Floor)   8.69%  10/01/2027   1,337,954 
     Helios Software Holdings, Inc.             
 569,229   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   8.09%  07/15/2030   573,285 
     ION Trading Finance T/L B             
 237,881   Senior Secured Term Loan   7.98%(a)  04/03/2028   238,498 
     McAfee Corp.             
 829,286   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor)   7.37%  03/01/2029   831,049 
     MH Sub I LLC             
 630,000   Senior Secured Term Loan (1 mo. Term SOFR + 4.25%)   8.76%  12/11/2031   625,470 
     Mitchell International, Inc.             
 1,695,750   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.61%  06/17/2031   1,698,768 
 375,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor)   9.82%  06/17/2032   371,876 
     Modena Buyer LLC             
 229,452   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.50%, 0.00% Floor)   9.10%  07/01/2031   222,814 
     Newfold Digital Holdings Group, Inc.             
 242,082   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.75% Floor)   8.14%  02/10/2028   164,427 
     Peraton Corp.             
 678,200   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.21%  02/01/2028   632,774 
     Polaris Newco LLC             
 654,798   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.50% Floor)   8.85%  06/05/2028   656,805 
     Proofpoint, Inc.             
 1,047,768   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor)   7.36%  08/31/2028   1,054,060 
     RealPage, Inc.             
 230,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor)   8.08%  04/24/2028   231,366 
     Sabre GLBL, Inc.             
 49,417   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.97%  12/17/2027   48,182 
 86,899   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.97%  12/17/2027   84,727 
 120,824   Senior Secured First Lien Term Loan (1 mo. SOFR US + 6.00%, 0.00% Floor)   10.46%  11/15/2029   118,408 
 277,405   Senior Secured First Lien Term Loan (1 mo. SOFR US + 6.00%, 0.00% Floor)   10.46%  11/15/2029   276,711 
     Sedgwick Claims Management Services, Inc.             
 847,875   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.59%  07/31/2031   854,035 
     SS&C Technologies, Inc.             
 511,436   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  05/09/2031   513,354 
     Travelport Finance Luxembourg Sarl             
 114,491   Senior Secured First Lien Term Loan (3 mo. SOFR US + 1.41%, 1.00% Floor)   11.32%  09/29/2028   107,514 
 344,799   Senior Secured First Lien Term Loan (3 mo. SOFR US + 1.41%, 1.00% Floor)   11.32%  09/29/2028   323,787 
     UKG, Inc.             
 1,552,321   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.62%  02/10/2031   1,565,213 
     Ultra Clean Holdings, Inc.             
 410,230   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  02/25/2028   414,078 
     WEC US Holdings, Inc.             
 897,750   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.80%  01/27/2031   899,572 
                 27,074,740 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
ENERGY - 3.6%
     BCP Renaissance Parent LLC             
 533,315   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.33%  10/31/2028   538,704 
     Brazos Delaware II LLC             
 79,400   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.50% Floor)   8.25%  02/11/2030   80,051 
     Compass Power Generation LLC             
 947,960   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor)   8.11%  04/16/2029   957,439 
     CPPIB OVM Member US LLC             
 284,288   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.58%  08/20/2031   286,509 
     Delek US Holdings, Inc.             
 310,807   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.96%  11/19/2029   311,693 
     Edgewater Generation LLC             
 380,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.61%  08/01/2030   385,837 
     Freeport LNG Investments LLLP             
 505,500   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor)   7.84%  12/21/2028   508,540 
     GIP II Blue Holding LP             
 205,015   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 1.00% Floor)   8.11%  09/29/2028   206,723 
     GIP Pilot Acquisition Partners LP             
 347,682   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor)   7.09%  10/04/2030   350,290 
     Hamilton Projects Acquiror LLC             
 164,588   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor)   8.32%  05/30/2031   166,079 
     Lightning Power LLC             
 553,613   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.74%  08/18/2031   560,610 
     Oryx Midstream Services Permian Basin LLC             
 722,700   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor)   7.51%  10/05/2028   728,062 
     Par Petroleum LLC             
 235,801   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor)   8.33%  02/28/2030   235,507 
     Traverse Midstream Partners T/L B             
 244,144   Senior Secured First Lien Term Loan   7.56%(a)  02/16/2028   245,771 
     WaterBridge NDB Operating LLC             
 325,000   Senior Secured First Lien Term Loan (3 mo. Term SOFR + 4.00%)   8.38%  05/10/2029   328,918 
     WhiteWater DBR HoldCo LLC             
 314,213   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.63%  03/03/2031   316,470 
                 6,207,203 
FINANCE - 3.6%
     Acrisure LLC             
 1,366,410   Senior Secured Term Loan (1 mo. Term SOFR + 3.25%, 0.00% Floor)   7.36%  11/06/2030   1,370,359 
     Allspring Buyer LLC             
 998,221   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.44%  11/01/2030   1,001,091 
     CPI Holdco B LLC             
 295,000   Senior Secured Term Loan (1 mo. Term SOFR + 2.25%)   6.65%  05/19/2031   295,277 
     Edelman Financial Engines Center LLC             
 335,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor)   9.61%  10/06/2028   338,456 
     Edelman Financial Engines Center T/L             
 671,984   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%)   7.38%  04/07/2028   676,883 
     Focus Financial Partners LLC             
 1,494,488   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  09/17/2031   1,510,083 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
   Hightower Holding LLC         
 1,049,725   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   8.07%  04/21/2028   1,056,721 
                 6,248,870 
FINANCIAL INTERMEDIARIES - 0.1%
     Greystone Select Financial LLC             
 219,385   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.75% Floor)   9.88%  06/19/2028   218,836 
FINANCIALS - 0.1%
     CPI Holdco B LLC             
 234,413   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  05/19/2031   234,224 
FOOD PRODUCTS - 1.4%
     Aspire Bakeries Holdings LLC             
 493,756   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.61%  12/23/2030   499,311 
     CHG PPC Parent LLC             
 1,435,223   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor)   7.47%  12/08/2028   1,445,097 
     Golden State Foods LLC             
 405,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.77%  12/04/2031   409,113 
                 2,353,521 
HEALTHCARE - 9.7%
     ADMI Corp.             
 408,664   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor)   8.22%  12/23/2027   402,534 
 529,650   Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.75%, 0.00% Floor)   10.11%  12/23/2027   532,960 
     AthenaHealth Group, Inc.             
 1,290,036   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.61%  02/15/2029   1,295,796 
     Aveanna Healthcare LLC             
 662,232   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor)   8.36%  07/17/2028   657,805 
 173,481   Senior Secured Second Lien Term Loan (3 mo. SOFR US + 7.00%, 0.50% Floor)   11.66%  12/10/2029   167,843 
     Bausch + Lomb Corp.             
 1,136,469   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.69%  05/10/2027   1,142,202 
 276,500   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor)   8.33%  09/29/2028   278,315 
     CHG Healthcare Services, Inc.             
 545,182   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.50% Floor)   7.40%  09/29/2028   547,831 
 1,031,839   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor)   8.28%  09/29/2028   1,041,724 
     CNT Holdings I Corp.             
 123,750   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.75% Floor)   8.09%  11/08/2027   124,713 
     Cotiviti, Inc.             
 798,973   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.30%  04/30/2031   804,470 
     FinThrive Software Intermediate Holdings, Inc.             
 300,265   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor)   8.50%  12/18/2028   202,334 
     Fortrea Holdings, Inc.             
 44,463   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.75%, 0.50% Floor)   8.49%  07/01/2030   44,907 
     LifePoint Health, Inc.             
 124,688   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 1.00% Floor)   7.96%  05/19/2031   125,116 
 1,149,151   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor)   8.41%  05/19/2031   1,154,662 
     Medline Borrower LP             
 840,943   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.50% Floor)   6.61%  10/23/2028   844,862 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
   Pacific Dental Services, Inc.         
 769,523   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.13%  03/17/2031   775,776 
     Packaging Coordinators Midco, Inc.             
 992,513   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.75% Floor)   7.84%  11/30/2027   998,095 
     Phoenix Newco, Inc.             
 1,445,848   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor)   7.36%  11/15/2028   1,457,595 
     PointClickCare Technologies, Inc.             
 730,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.58%  11/03/2031   735,475 
     Radiology Partners, Inc.             
 20,766   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50% + 1.50% PIK, 0.00% Floor)   8.28%  01/31/2029   20,574 
 944,325   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50% + 1.50% PIK, 0.00% Floor)   8.28%  01/31/2029   935,590 
     Select Medical Corp.             
 380,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   6.53%  12/03/2031   381,740 
     Sound Inpatient Physicians Holdings LLC             
 300,000   Senior Secured Term Loan (3 mo. Term SOFR + 6.75%, 0.00% Floor)   11.26%  06/29/2026   48,375 
     Southern Veterinary Partners LLC             
 885,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.71%  12/04/2031   892,359 
     Team Health Holdings, Inc.             
 500,084   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.25%, 1.00% Floor)   9.84%  03/02/2027   484,894 
     Zelis Payments Buyer, Inc.             
 600,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  11/26/2031   602,874 
                 16,701,421 
HOTELS/MOTELS/INNS AND CASINOS - 6.1%
     Alterra Mountain Co.             
 823,146   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.11%  08/17/2028   829,579 
 401,743   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  05/31/2030   405,763 
     Bally’s Corp.             
 760,784   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.50% Floor)   8.14%  10/02/2028   721,418 
     Caesars Entertainment, Inc.             
 645,125   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.50% Floor)   6.61%  02/06/2031   647,341 
     Carnival Corp.             
 61,449   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.75% Floor)   7.11%  08/09/2027   61,977 
 468,988   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.75% Floor)   7.11%  10/18/2028   472,946 
     ClubCorp Holdings, Inc.             
 568,242   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.00% Floor)   9.33%  09/18/2026   570,672 
 23,191   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.00% Floor)   9.33%  09/18/2026   23,290 
     Fertitta Entertainment LLC/NV             
 1,649,648   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.86%  01/29/2029   1,657,814 
     GBT US III LLC             
 280,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.63%  07/28/2031   281,715 
     Hilton Grand Vacations Borrower LLC             
 441,663   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.61%  01/17/2031   443,630 
     Life Time, Inc.             
 425,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%)   7.03%  11/05/2031   427,231 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
     Motion Finco Sarl             
 331,384   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   7.83%  11/30/2029   328,415 
     Ontario Gaming GTA LP             
 812,472   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor)   8.89%  08/01/2030   815,157 
     Playa Resorts Holding BV             
 931,813   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor)   7.11%  01/05/2029   933,821 
     Scientific Games Holdings LP             
 418,950   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.50% Floor)   7.59%  04/04/2029   420,469 
     Whatabrands LLC             
 941,627   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  08/03/2028   945,021 
     Wyndham Hotels & Resorts, Inc.             
 511,694   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  05/28/2030   513,157 
                 10,499,416 
INDUSTRIAL EQUIPMENT - 6.4%
     AI Aqua Merger Sub, Inc.             
 1,127,135   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   8.05%  07/31/2028   1,129,491 
     BCPE Empire Holdings, Inc.             
 1,128,939   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.86%  12/26/2028   1,136,588 
     Castlelake Aviation One LLC             
 898,872   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.50% Floor)   6.86%  10/22/2026   901,906 
 570   Senior Secured First Lien Term Loan (3 mo. LIBOR US + 2.75%, 0.50% Floor)   8.42%(d)  10/22/2026   572 
     Columbus McKinnon Corp./NY             
 448,839   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.50% Floor)   6.83%  05/15/2028   452,205 
     Crosby US Acquisition Corp.             
 296,158   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   8.07%  08/16/2029   299,565 
     Crown Equipment Corp.             
 600,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%)   6.94%  10/10/2031   604,875 
     Cube A&D Buyer, Inc.             
 630,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   8.13%  10/20/2031   634,986 
     Emrld Borrower LP             
 170,000   Senior Secured First Lien Term Loan (3 mo. Term SOFR + 2.50%)   6.83%  08/04/2031   170,886 
     Kodiak BP LLC             
 95,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor)   8.27%  12/04/2031   95,187 
     Lasership T/L E             
 94,500   Senior Secured Term Loan   12.28%(a)  08/10/2029   36,698 
     Lummus Technology Holdings V LLC             
 727,548   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%)   7.36%  12/31/2029   734,030 
     Madison IAQ LLC             
 1,008,311   Senior Secured First Lien Term Loan (6 mo. SOFR US + 2.75%, 0.50% Floor)   7.89%  06/21/2028   1,013,197 
     Restaurant Technologies, Inc.             
 79,808   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor)   8.85%  04/02/2029   78,536 
 79,808   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor)   8.85%  04/02/2029   78,536 
 835,609   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor)   8.85%  04/02/2029   822,294 
     Spin Holdco, Inc.             
 276,416   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.75% Floor)   8.71%  03/06/2028   234,026 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
     Titan Acquisition Ltd./Canada             
 840,775   Senior Secured First Lien Term Loan (6 mo. SOFR US + 4.50%, 0.00% Floor)   8.78%  02/15/2029   848,922 
     TK Elevator US Newco, Inc.             
 408,563   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.50% Floor)   8.59%  04/30/2030   412,038 
 711,254   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.50% Floor)   8.59%  04/30/2030   717,303 
     Verde Purchaser LLC             
 199,499   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.00% Floor)   9.10%  11/29/2030   200,371 
     White Cap Supply Holdings LLC             
 525,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.82%  10/31/2029   526,662 
                 11,128,874 
INSURANCE - 2.6%
     Alliant Holdings Intermediate LLC             
 801,915   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.11%  09/19/2031   804,970 
     AssuredPartners, Inc.             
 977,837   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.86%  02/14/2031   981,044 
     BroadStreet Partners, Inc.             
 58,879   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  06/13/2031   59,149 
 575,200   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  06/16/2031   577,840 
     Cross Financial Corp.             
 534,559   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  10/31/2031   538,568 
     OneDigital Borrower LLC             
 1,149,225   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.61%  07/02/2031   1,153,569 
 385,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.50% Floor)   9.61%  07/02/2032   384,159 
                 4,499,299 
IT SERVICES - 0.5%
     Iron Mountain Information Management LLC             
 836,550   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  01/31/2031   837,596 
MEDIA - 2.9%
     ABG Intermediate Holdings 2 LLC             
 69,665   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.59%  12/21/2028   70,024 
     Acuris Finance US, Inc.             
 518,584   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor)   8.08%  02/16/2028   522,652 
     Arches Buyer, Inc.             
 175,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.71%  12/06/2027   171,293 
     CMG Media Corp.             
 190,538   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   7.93%  06/18/2029   171,865 
     Crown Finance US, Inc.             
 515,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor)   9.80%  12/02/2031   515,886 
     CSC Holdings LLC             
 705,738   Senior Secured First Lien Term Loan (1 Month Synthetic LIBOR + 2.50%, 0.00% Floor)   7.17%(d)  04/15/2027   652,808 
     Directv Financing LLC             
 408,875   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.75% Floor)   9.85%  08/02/2027   410,958 
 161,019   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.25%, 0.75% Floor)   10.10%  08/02/2029   158,415 
     Gray Television, Inc.             
 430,000   Senior Secured Term Loan (1 mo. Term SOFR + 3.00%)   7.67%  12/01/2028   398,477 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
     NEP Group, Inc.             
 808,572   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25% + 1.50% PIK, 0.00% Floor)   8.12%  08/19/2026   741,056 
 42,803   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25% + 1.50% PIK, 0.00% Floor)   8.12%  08/19/2026   39,229 
     UFC Holdings LLC             
 475,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor)   6.77%  11/21/2031   478,211 
     United Talent Agency LLC             
 248,125   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.20%  07/07/2028   249,986 
     Univision Communications, Inc.             
 508,195   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor)   8.85%  06/25/2029   511,214 
                 5,092,074 
MINING - 0.2% 
     Arsenal AIC Parent LLC             
 89,550   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  08/19/2030   90,423 
     Foresight Energy LLC             
 383,552   Senior Secured First Lien Term Loan (3 mo. SOFR US + 8.00%, 1.50% Floor)   12.43%(c)  06/30/2027   304,924 
                 395,347 
PHARMACEUTICALS - 1.0%
     Curium Bidco Sarl             
 448,915   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   7.83%  07/31/2029   454,248 
 299,411   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   7.83%  07/31/2029   302,968 
 133,036   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   7.83%  07/31/2029   134,616 
     Grifols Worldwide Operations USA, Inc.             
 407,948   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor)   6.74%  11/15/2027   406,954 
     Perrigo Investments LLC             
 505,065   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  04/20/2029   507,464 
                 1,806,250 
REAL ESTATE - 0.3%
     Starwood Property Mortgage T/L B             
 504,723   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%)   6.61%  11/18/2027   504,723 
RETAILERS (OTHER THAN FOOD/DRUG) - 3.0%
     Apro LLC             
 618,450   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor)   8.27%  07/09/2031   625,278 
     EG America LLC             
 496,241   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.00% Floor)   8.61%  02/07/2028   500,479 
     Great Outdoors Group LLC             
 959,951   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.22%  03/06/2028   966,431 
     HomeServe USA Holding Corp.             
 332,488   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.37%  10/21/2030   333,194 
     Michaels Cos., Inc.             
 199,662   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.75% Floor)   9.17%  04/17/2028   161,668 
     PetSmart LLC             
 1,261,215   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.21%  02/14/2028   1,258,585 
     Staples, Inc.             
 259,350   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.75%, 0.50% Floor)   10.18%  09/10/2029   248,531 
     StubHub Holdco Sub LLC             
 642,028   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor)   9.11%  03/15/2030   644,436 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
     Upbound Group, Inc.             
 366,021   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.50% Floor)   7.34%  02/17/2028   366,936 
     Victra Holdings LLC             
 48,750   Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.25%, 0.75% Floor)   9.61%  03/29/2029   49,451 
                 5,154,989 
TECHNOLOGY - 0.8%
     CommScope T/L             
 0   Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.50%, 0.00% Floor)   9.86%  12/18/2029   —   
 500,481   Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.50%, 0.00% Floor)   9.86%  12/18/2029   485,723 
     Sandisk Corp./DE             
 315,000   Senior Secured Term Loan (1 mo. Term SOFR + 3.00%)   7.52%  02/09/2032   310,177 
     Tiger Acquisition LLC             
 565,790   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor)   7.34%  06/01/2028   567,205 
                 1,363,105 
TELECOMMUNICATIONS - 2.6%
     Altice France SA             
 715,614   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.50%, 0.00% Floor)   10.16%  08/31/2028   576,606 
     Connect Finco SARL             
 168,803   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.86%  12/11/2026   167,484 
     Frontier Communications Holdings LLC             
 688,275   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   8.76%  07/01/2031   697,739 
     Gogo Intermediate Holdings LLC             
 518,622   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.22%  04/28/2028   493,500 
     Level 3 Financing, Inc.             
 132,180   Senior Secured First Lien Term Loan (1 mo. SOFR US + 6.56%, 2.00% Floor)   10.92%  04/16/2029   135,005 
 132,180   Senior Secured First Lien Term Loan (1 mo. SOFR US + 6.56%, 2.00% Floor)   11.13%  04/15/2030   134,939 
     Lumen Technologies, Inc.             
 365,000   Senior Secured First Lien Term Loan (1 mo. Term SOFR + 2.35%)   7.04%  04/16/2029   343,949 
     Virgin Media Bristol LLC             
 1,120,000   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.18%, 0.00% Floor)   7.72%  03/31/2031   1,111,046 
     Zayo Group Holdings, Inc.             
 473,773   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.47%  03/09/2027   444,773 
     Ziggo Financing Partnership             
 470,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   7.01%  04/28/2028   468,620 
                 4,573,661 
TRANSPORTATION - 1.4%
     Brown Group Holding LLC             
 224,823   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor)   7.12%  07/01/2031   225,930 
 623,364   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor)   7.12%  07/01/2031   626,434 
     Kenan Advantage Group, Inc.             
 660,345   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  01/25/2029   665,300 
     WestJet Loyalty LP             
 977,613   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.58%  02/14/2031   982,852 
                 2,500,516 
UTILITIES - 1.2%
     CQP Holdco LP             
 691,529   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.50% Floor)   6.33%  12/31/2030   693,518 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
     Natgasoline LLC             
 814,784   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.00% Floor)   9.02%  11/14/2025   810,710 
     WaterBridge Midstream Operating LLC             
 653,363   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.00% Floor)   9.08%  06/27/2029   651,729 
     Total Bank Loans (Cost $152,905,748)           152,496,756 
                   
COLLATERALIZED LOAN OBLIGATIONS - 2.9%
     Bridge Street CLO Ltd.             
 2,000,000   Series 2024-1A-A (3 mo. Term SOFR + 1.60%, 1.60% Floor)   6.22%(e)  04/20/2037   2,016,967 
     Crown City CLO             
 1,000,000   Series 2023-5A-A1R (3 mo. Term SOFR + 1.60%, 1.60% Floor)   6.22%(e)  04/20/2037   1,004,500 
     Katayma CLO Ltd.             
 2,000,000   Series 2023-1A-A1 (3 mo. Term SOFR + 2.00%, 2.00% Floor)   6.62%(e)  10/20/2036   2,019,778 
     Total Collateralized Loan Obligations (Cost $5,000,000)           5,041,245 
                   
FOREIGN CORPORATE BONDS - 0.2%
 100,000   Bombardier, Inc.   7.00%(e)  06/01/2032   101,851 
 100,000   Global Aircraft Leasing Co. Ltd.   8.75%(e)  09/01/2027   102,114 
 100,000   Husky Injection Molding Systems Ltd. / Titan Co.-Borrower LLC   9.00%(e)  02/15/2029   104,526 
 50,000   Kronos Acquisition Holdings, Inc.   8.25%(e)  06/30/2031   47,742 
     Total Foreign Corporate Bonds (Cost $358,599)           356,233 
                   
US CORPORATE BONDS - 3.9%
 100,000   Allied Universal Holdco LLC   7.88%(e)  02/15/2031   102,333 
 2,000,000   American Express Co.
 (SOFR + 1.00%)		   5.53%  02/16/2028   2,011,439 
 100,000   AthenaHealth Group, Inc.   6.50%(e)  02/15/2030   95,134 
 100,000   Builders FirstSource, Inc.   6.38%(e)  03/01/2034   98,819 
 130,000   Caesars Entertainment, Inc.   6.00%(e)  10/15/2032   125,464 
 1,000,000   Carnival Corp.   4.00%(e)  08/01/2028   948,471 
 50,000   CCO Holdings LLC / CCO Holdings Capital Corp.   4.75%(e)  03/01/2030   45,716 
 2,000,000   Charles Schwab Corp.
 (SOFR + 1.05%)		   5.56%  03/03/2027   2,022,551 
 50,000   Frontier Communications Holdings LLC   6.75%(e)  05/01/2029   50,292 
 50,000   Level 3 Financing, Inc.   10.50%(e)  04/15/2029   55,970 
 100,000   LifePoint Health, Inc.   10.00%(e)  06/01/2032   101,800 
 100,000   Madison IAQ LLC   5.88%(e)  06/30/2029   94,533 
 100,000   Medline Borrower LP   5.25%(e)  10/01/2029   96,601 
 100,000   Nationstar Mortgage Holdings, Inc.   5.75%(e)  11/15/2031   95,687 
 100,000   OneMain Finance Corp.   7.50%  05/15/2031   102,744 
 100,000   Scientific Games Holdings LP/Scientific Games US FinCo, Inc.   6.63%(e)  03/01/2030   95,779 
 138,000   Six Flags Theme Parks, Inc.   7.00%(e)  07/01/2025   138,334 
 100,000   SM Energy Co.   7.00%(e)  08/01/2032   98,690 
 50,000   United Natural Foods, Inc.   6.75%(e)  10/15/2028   49,329 
 50,000   Univision Communications, Inc.   7.38%(e)  06/30/2030   47,897 
 100,000   Vistra Operations Co. LLC   6.88%(e)  04/15/2032   102,487 
 100,000   WR Grace Holdings LLC   5.63%(e)  08/15/2029   92,083 
 100,000   XHR LP   4.88%(e)  06/01/2029   94,422 
     Total US Corporate Bonds (Cost $6,714,301)           6,766,575 
                   
COMMON STOCKS - 0.1%
 22,003   Flame Aggregator - Series R(c)(f)           92,853 
 2,186   Flame Aggregator - Series U(c)(f)           9,225 
     Total Common Stocks (Cost $49,603)           102,078 
 

 

 PRINCIPAL AMOUNT
$/SHARES 		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
SHORT TERM INVESTMENTS - 3.8%
 2,187,559   First American Government Obligations Fund - U   4.41%(g)      2,187,559 
 2,187,558   JPMorgan US Government Money Market Fund - IM   4.44%(g)      2,187,558 
 2,187,559   MSILF Government Portfolio - Institutional   4.42%(g)      2,187,559 
     Total Short Term Investments (Cost $6,562,676)           6,562,676 
     Total Investments - 99.1% (Cost $171,590,927)           171,325,563 
     Other Assets in Excess of Liabilities - 0.9%           1,490,960 
     NET ASSETS - 100.0%          $172,816,523 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:   
Bank Loans   88.2%
US Corporate Bonds   3.9%
Short Term Investments   3.8%
Collateralized Loan Obligations   2.9%
Foreign Corporate Bonds   0.2%
Common Stocks   0.1%
Other Assets and Liabilities   0.9%
Net Assets   100.0%

 

INVESTMENT BREAKDOWN as a % of Net Assets:   
Electronics/Electric   15.7%
Healthcare   9.8%
Industrial Equipment   6.5%
Hotels/Motels/Inns and Casinos   6.2%
Finance   5.0%
Business Equipment and Services   4.1%
Chemicals/Plastics   4.1%
Short Term Investments   3.8%
Energy   3.6%
Commercial Services   3.5%
Containers and Glass Products   3.2%
Media   3.0%
Retailers (other than Food/Drug)   3.0%
Collateralized Loan Obligations   2.9%
Telecommunications   2.7%
Insurance   2.6%
Consumer Products   2.5%
Construction   2.3%
Aerospace & Defense   1.9%
Building and Development (including Steel/Metals)   1.6%
Transportation   1.5%
Food Products   1.4%
Utilities   1.3%
Banking   1.2%
Pharmaceuticals   1.1%
Automotive   0.9%
Technology   0.8%
Beverage and Tobacco   0.7%
Leisure   0.6%
IT Services   0.5%
Real Estate   0.3%
Mining   0.3%
Consumer Staples   0.2%
Financials   0.1%
Financial Intermediaries   0.1%
Diversified Manufacturing   0.1%
Other Assets and Liabilities   0.9%
Net Assets   100.0%
 

 

(a) Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of period end.
(b) Security is in default or has failed to make a scheduled payment. Income is not being accrued.
(c) Value determined using significant unobservable inputs.
(d) Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date.
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of December 31, 2024, the value of these securities total $8,027,319 or 4.6% of the Fund’s net assets.
(f) Non-income producing security.
(g) Seven-day yield as of period end.

 

LIBOR London Interbank Offered Rate
PIK A payment-in-kind security in which the issuer may make interest or dividend payments in cash or additional securities. These additional securities generally have the same terms as the original holdings.
SOFR Secured Overnight Financing Rate
 

 

DoubleLine Shiller Enhanced CAPE®   (Unaudited)
     
Schedule of Investments   December 31, 2024

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
ASSET BACKED OBLIGATIONS - 6.9%
     ACHV Trust             
 4,253,789   Series 2024-2PL-B   5.43%(a)  10/27/2031   4,262,723 
 4,079,296   Series 2024-3AL-A   5.01%(a)  12/26/2031   4,082,223 
     Affirm, Inc.             
 4,550,000   Series 2023-A-B   7.18%(a)  01/18/2028   4,553,326 
 1,528,804   Series 2023-X1-A   7.11%(a)  11/15/2028   1,532,627 
 3,750,000   Series 2024-A-A   5.61%(a)  02/15/2029   3,778,791 
 5,100,000   Series 2024-B-B   4.88%(a)  09/15/2029   5,048,616 
 2,479,614   Series 2024-X1-A   6.27%(a)  05/15/2029   2,488,179 
     Aligned Data Centers Issuer LLC             
 6,000,000   Series 2021-1A-A2   1.94%(a)  08/15/2046   5,705,950 
     Amur Equipment Finance Receivables LLC             
 4,000,000   Series 2021-1A-D   2.30%(a)  11/22/2027   3,993,774 
     AVANT Loans Funding Trust             
 7,250,000   Series 2024-REV1-A   5.92%(a)  10/15/2033   7,328,620 
     Bridgecrest Lending Auto Securitization Trust             
 559,155   Series 2024-1-A2   5.82%  09/15/2026   559,337 
 3,648,532   Series 2024-2-A2   5.78%  02/16/2027   3,655,343 
     CAI International, Inc.             
 4,626,406   Series 2020-1A-A   2.22%(a)  09/25/2045   4,296,596 
     Carvana Auto Receivables Trust             
 3,756,958   Series 2024-N1-A2   5.76%(a)  04/12/2027   3,767,405 
 3,100,295   Series 2024-P1-A2   5.50%(a)  08/10/2027   3,108,864 
 8,000,000   Series 2024-P3-A4   4.31%  09/10/2030   7,843,754 
     Castlelake Aircraft Securitization Trust             
 2,510,209   Series 2019-1A-A   3.97%(a)  04/15/2039   2,403,673 
     College Avenue Student Loans LLC             
 578,152   Series 2017-A-B   4.50%(a)  11/26/2046   548,357 
     Compass Datacenters LLC             
 8,585,000   Series 2024-1A-A1   5.25%(a)  02/25/2049   8,548,287 
     Diamond Resorts Owner Trust             
 1,092,411   Series 2021-1A-C   2.70%(a)  11/21/2033   1,067,959 
     DigitalBridge Group, Inc.             
 5,000,000   Series 2023-1A-A2A   5.00%(a)  09/15/2048   4,924,789 
     Exeter Automobile Receivables Trust             
 1,551,587   Series 2021-1A-D   1.08%  11/16/2026   1,536,429 
 10,000,000   Series 2021-1A-E   2.21%(a)  02/15/2028   9,802,259 
 5,189,000   Series 2024-5A-A3   4.45%  03/15/2028   5,180,623 
     General Motors Financial Co., Inc.             
 283,727   Series 2021-2-B   0.69%  01/19/2027   283,190 
     Global Sea Containers Two SRL             
 2,630,369   Series 2020-1A-A   2.17%(a)  10/17/2040   2,479,135 
     GLS Auto Receivables Trust             
 2,775,576   Series 2023-4A-A2   6.40%(a)  12/15/2026   2,781,597 
     GreenSky Home Improvement Issuer Trust             
 6,200,000   Series 2024-2-B   5.26%(a)  10/27/2059   6,187,605 
     HERO Funding Trust             
 638,244   Series 2016-1A-A   4.05%(a)  09/20/2041   594,777 
     Horizon Aircraft Finance Ltd.             
 12,279,296   Series 2019-2-A   3.43%(a)  11/15/2039   11,508,856 
     Jack in the Box, Inc.             
 4,345,688   Series 2019-1A-A2II   4.48%(a)  08/25/2049   4,264,604 
     Jimmy Johns LLC             
 11,191,875   Series 2017-1A-A2II   4.85%(a)  07/30/2047   10,977,459 
     Laurel Road Prime Student Loan Trust             
 515,396   Series 2017-B-CFX   3.61%(a)  08/25/2042   507,699 
     Lendbuzz Securitization Trust             
 2,135,622   Series 2022-1A-A   4.22%(a)  05/17/2027   2,127,139 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 3,000,000   Series 2024-3A-A2   4.97%(a)  10/15/2029   3,000,666 
     Loanpal Solar Loan Ltd.             
 6,113,749   Series 2020-3GS-A   2.47%(a)  12/20/2047   4,857,653 
 3,814,465   Series 2021-1GS-A   2.29%(a)  01/20/2048   3,019,031 
     Mosaic Solar Loans LLC             
 516,622   Series 2017-1A-A   4.45%(a)  06/20/2042   503,067 
 4,337,750   Series 2020-2A-B   2.21%(a)  08/20/2046   3,483,614 
     Navient Student Loan Trust             
 2,820,706   Series 2018-A-B   3.68%(a)  02/18/2042   2,755,415 
 6,002,409   Series 2022-A-A   2.23%(a)  07/15/2070   5,389,931 
     Pagaya AI Debt Selection Trust             
 1,014,173   Series 2021-2-NOTE   3.00%(a)  01/25/2029   1,002,150 
 6,213,172   Series 2021-5-C   3.93%(a)  08/15/2029   6,038,416 
 7,170,371   Series 2022-1-B   3.34%(a)  10/15/2029   7,155,241 
     Prosper Marketplace Issuance Trust             
 179,897   Series 2023-1A-A   7.06%(a)  07/16/2029   180,314 
 2,300,000   Series 2023-1A-B   7.48%(a)  07/16/2029   2,320,747 
     Purewest Funding LLC             
 4,253,225   Series 2021-1-A1   4.09%(a)  12/22/2036   4,180,697 
     Santander Drive Auto Receivables LLC             
 448,347   Series 2020-4-D   1.48%  01/15/2027   447,390 
     Sapphire Aviation Finance Ltd.             
 13,065,898   Series 2020-1A-A   3.23%(a)  03/15/2040   12,342,453 
     Sierra Timeshare Conduit Receivables Funding LLC             
 855,925   Series 2021-2A-C   1.95%(a)  09/20/2038   823,372 
     Slam Ltd.             
 6,323,213   Series 2024-1A-A   5.34%(a)  09/15/2049   6,202,465 
     SOFI Alternative Trust             
 2,447,795   Series 2021-1-PT1   9.72%(a)(b)  05/25/2030   2,429,405 
 3,164,401   Series 2021-2-A   1.25%(a)  08/15/2030   3,117,014 
 5,942,176   Series 2021-3-A   1.50%(a)  11/15/2030   5,854,392 
     Start/Bermuda             
 1,768,823   Series 2018-1-A   4.09%(a)  05/15/2043   1,754,294 
     Taco Bell Corp.             
 5,895,000   Series 2021-1A-A2I   1.95%(a)  08/25/2051   5,511,618 
     TAL Advantage LLC             
 2,547,250   Series 2020-1A-A   2.05%(a)  09/20/2045   2,369,437 
     Tesla Sustainable Energy Trust             
 12,000,000   Series 2024-1A-A2   5.08%(a)  06/21/2050   11,997,584 
     Thunderbolt Aircraft Lease             
 6,769,531   Series 2018-A-A   4.15%(a)(c)  09/15/2038   6,563,507 
     TIF Funding LLC             
 2,644,469   Series 2021-1A-A   1.65%(a)  02/20/2046   2,341,449 
     United Airlines Pass Through Trust             
 7,909,926   Series 2020-1-A   5.88%  10/15/2027   8,085,454 
     Upgrade Master Pass-Thru Trust             
 613,856   Series 2021-PT3-A   16.43%(a)(b)  07/15/2027   569,066 
     Upstart Pass-Through Trust Series             
 213,574   Series 2020-ST5-A   3.00%(a)  12/20/2026   212,223 
 494,220   Series 2020-ST6-A   3.00%(a)  01/20/2027   490,265 
 324,900   Series 2021-ST3-A   2.00%(a)  05/20/2027   320,857 
     Westlake Automobile Receivables Trust             
 4,984,449   Series 2023-4A-A2   6.23%(a)  01/15/2027   5,005,640 
     Willis Lease Finance Corp.             
 5,623,077   Series 2020-A-A   3.23%(a)  03/15/2045   5,297,641 
     Total Asset Backed Obligations (Cost $274,891,216)           267,353,033 
BANK LOANS - 2.6%
     1011778 BC ULC             
 3,725,563   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  09/23/2030   3,712,375 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
     Ali Group North America Corp.             
 6,130,679   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.47%  07/23/2029   6,155,386 
     APi Group DE, Inc.             
 2,062,114   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  01/03/2029   2,065,125 
     Aramark Services, Inc.             
 694,713   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.22%  01/15/2027   696,018 
 379,225   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  06/24/2030   381,880 
     Asplundh Tree Expert LLC             
 2,149,279   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.21%  09/07/2027   2,155,609 
     Avantor Funding, Inc.             
 308,492   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.50% Floor)   6.46%  11/08/2027   310,678 
     Axalta Coating Systems US Holdings, Inc.             
 798,731   Senior Secured First Lien Term Loan (3 mo. SOFR US + 1.75%, 0.00% Floor)   6.08%  12/20/2029   801,890 
     Burlington Coat Factory Warehouse Corp.             
 2,152,582   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  09/19/2031   2,161,558 
     Calpine Corp.             
 2,480,886   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  01/31/2031   2,476,519 
     Connect Finco SARL             
 126,176   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.86%  12/11/2026   125,191 
     Corpay Technologies Operating Co. LLC             
 2,150,028   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  04/28/2028   2,150,404 
     CPI Holdco B LLC             
 294,263   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  05/19/2031   294,026 
     Cyborg Oldco DC Holdings, Inc.             
 333,309   Senior Secured Term Loan (1 mo. Term SOFR + 3.00%)   7.30%(d)(e)  05/01/2026   1,833 
     Delta 2 Lux Sarl             
 800,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.50% Floor)   6.33%  09/19/2031   803,100 
 400,000   Senior Secured Term Loan (3 mo. Term SOFR + 2.00%)   6.35%  09/19/2031   401,550 
     Dynasty Acquisition Co., Inc.             
 264,533   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%)   6.61%  10/31/2031   266,083 
 695,467   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.61%  10/31/2031   699,542 
     Element Solutions, Inc.             
 2,144,770   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  12/18/2030   2,151,086 
     Energizer Holdings, Inc.             
 2,064,208   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  12/22/2027   2,072,279 
     Froneri US, Inc.             
 622,044   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  09/29/2031   623,378 
 1,214,105   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  09/29/2031   1,216,709 
 322,882   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  09/29/2031   323,575 
     Gen Digital, Inc.             
 2,146,835   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.50% Floor)   6.11%  09/12/2029   2,142,659 
     Go Daddy Operating T/L B8             
 2,151,334   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.15%  11/09/2029   2,151,334 
     HB Fuller Co.             
 2,146,023   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.50% Floor)   6.36%  02/15/2030   2,163,471 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
     Hilton Domestic Operating Co., Inc.             
 2,147,934   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.09%  11/08/2030   2,161,370 
     Iron Mountain Information Management LLC             
 6,545,904   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  01/31/2031   6,554,087 
     Lamar Media Corp.             
 4,879,350   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.50%, 0.00% Floor)   5.96%  02/08/2027   4,871,202 
     Marriott Ownership Resorts, Inc.             
 1,544,961   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.61%  04/01/2031   1,546,892 
     NRG Energy, Inc.             
 2,140,728   Senior Secured First Lien Term Loan (3 mo. SOFR US + 1.75%, 0.00% Floor)   6.35%  04/16/2031   2,145,823 
     Resideo Funding, Inc.             
 855,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.15%  02/14/2028   858,475 
 1,024,850   Senior Secured First Lien Term Loan (3 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  06/13/2031   1,029,339 
     Reynolds Consumer Products LLC             
 2,152,729   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.21%  02/04/2027   2,162,728 
     Six Flags Entertainment Corp.             
 1,582,050   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  05/01/2031   1,588,971 
     SS&C Technologies, Inc.             
 2,129,849   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  05/09/2031   2,137,837 
     Standard Industries, Inc./NY             
 1,543,811   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.50% Floor)   6.11%  09/22/2028   1,549,516 
     Stars Group Holdings BV (Amaya/Flutter) T/L 1L B             
 6,043,342   Senior Secured First Lien Term Loan (3 mo. SOFR US + 1.75%)   6.08%  11/25/2030   6,037,691 
     Tempur Sealy International, Inc.             
 2,670,000   Senior Secured First Lien Term Loan (Daily US Secured Overnight Financing Rate + 2.50%, 0.00% Floor)   6.81%  10/24/2031   2,680,840 
     Trans Union LLC             
 1,119,444   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.21%  11/16/2026   1,121,722 
 5,766,025   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  06/24/2031   5,765,131 
 1,400,000   Senior Secured Term Loan (1 mo. Term SOFR + 1.75%)   6.20%  06/24/2031   1,399,741 
     Vestis Corp.             
 939,313   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor)   6.76%  02/24/2031   942,840 
     Vistra Operations Co. LLC             
 6,247,838   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  12/20/2030   6,269,143 
     Walker & Dunlop, Inc.             
 2,143,700   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.50% Floor)   6.71%  12/18/2028   2,151,739 
     WMG Acquisition Corp.             
 4,540,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 1.75%, 0.00% Floor)   6.34%  01/24/2031   4,541,135 
     Wyndham Hotels & Resorts, Inc.             
 2,139,282   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  05/28/2030   2,145,400 
     Ziggo Financing Partnership             
 235,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   7.01%  04/28/2028   234,310 
     Total Bank Loans (Cost $98,159,426)           98,399,190 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
COLLATERALIZED LOAN OBLIGATIONS - 13.4%
     Allegro CLO Ltd.             
 10,000,000   Series 2024-2A-A1 (3 mo. Term SOFR + 1.50%, 1.50% Floor)   6.78%(a)  07/24/2037   10,083,594 
     Anchorage Capital CLO Ltd.             
 23,000,000   Series 2021-19A-A (3 mo. Term SOFR + 1.47%, 1.21% Floor)   6.13%(a)  10/15/2034   23,011,590 
     Atlas Senior Loan Fund Ltd.             
 2,000,000   Series 2018-11A-B (3 mo. Term SOFR + 1.91%, 0.00% Floor)   6.53%(a)  07/26/2031   2,002,583 
     Battalion CLO Ltd.             
 29,500,000   Series 2017-11A-AR (3 mo. Term SOFR + 1.41%, 1.15% Floor)   6.05%(a)  04/24/2034   29,558,882 
 10,000,000   Series 2021-20A-A (3 mo. Term SOFR + 1.44%, 1.18% Floor)   6.10%(a)  07/15/2034   10,010,108 
 10,000,000   Series 2022-23A-A1R (3 mo. Term SOFR + 1.42%, 1.42% Floor)   6.08%(a)  10/15/2037   10,040,045 
     Benefit Street Partners CLO Ltd.             
 6,500,000   Series 2024-37A-A (3 mo. Term SOFR + 1.35%, 1.35% Floor)   5.70%(a)  01/25/2038   6,500,430 
     Bridge Street CLO Ltd.             
 6,000,000   Series 2020-1A-A1R (3 mo. Term SOFR + 1.55%, 1.55% Floor)   6.17%(a)  07/20/2037   6,055,837 
 10,500,000   Series 2021-1A-A1A (3 mo. Term SOFR + 1.49%, 1.23% Floor)   6.11%(a)  07/20/2034   10,517,828 
     Carlyle Global Market Strategies             
 10,000,000   Series 2022-2A-A1R (3 mo. Term SOFR + 1.36%, 1.36% Floor)   5.92%(a)  01/20/2038   10,056,610 
     CarVal CLO             
 4,000,000   Series 2024-2A-A (3 mo. Term SOFR + 1.46%, 1.46% Floor)   6.75%(a)  07/20/2037   4,016,355 
     CBAM Ltd.             
 10,000,000   Series 2017-1A-AR2 (3 mo. Term SOFR + 1.39%, 1.39% Floor)   5.77%(a)  01/20/2038   10,000,000 
 4,500,000   Series 2017-2A-AR (3 mo. Term SOFR + 1.45%, 1.19% Floor)   6.10%(a)  07/17/2034   4,508,619 
     Cedar Funding Ltd.             
 10,000,000   Series 2018-9A-AR (3 mo. Term SOFR + 1.42%, 1.42% Floor)   6.04%(a)  07/20/2037   10,032,129 
     CFIP CLO Ltd.             
 10,350,000   Series 2017-1A-AR (3 mo. Term SOFR + 1.49%, 1.23% Floor)   6.12%(a)  10/18/2034   10,370,215 
     Halcyon Loan Advisors Funding Ltd.             
 44,409   Series 2013-2A-D (3 mo. Term SOFR + 4.06%, 0.00% Floor)   8.63%(a)  08/01/2025   20,966 
     Jamestown CLO Ltd.             
 15,000,000   Series 2016-9A-A1RR (3 mo. Term SOFR + 1.50%, 1.24% Floor)   6.13%(a)  07/25/2034   15,009,109 
     LCM LP             
 5,424,376   Series 17A-A2RR (3 mo. Term SOFR + 1.41%, 1.15% Floor)   6.07%(a)  10/15/2031   5,469,639 
     Magnetite CLO Ltd.             
 20,000,000   Series 2024-42A-A1 (3 mo. Term SOFR + 1.31%, 1.31% Floor)   5.62%(a)  01/25/2038   20,083,194 
     Marble Point CLO             
 29,500,000   Series 2020-1A-AR (3 mo. Term SOFR + 1.44%, 1.44% Floor)   6.06%(a)  07/20/2037   29,603,288 
 25,000,000   Series 2021-2A-A (3 mo. Term SOFR + 1.46%, 1.20% Floor)   6.09%(a)  07/25/2034   25,050,920 
 23,000,000   Series 2021-3A-A1 (3 mo. Term SOFR + 1.50%, 1.24% Floor)   6.15%(a)  10/17/2034   23,039,049 
     MP CLO Ltd.             
 10,000,000   Series 2015-2A-ARR (3 mo. Term SOFR + 1.46%, 1.20% Floor)   6.08%(a)  04/28/2034   10,021,087 
     Nassau Global Credit LLC             
 9,941,596   Series 2018-IA-A (3 mo. Term SOFR + 1.41%, 0.00% Floor)   6.07%(a)  07/15/2031   9,952,379 
     OCP CLO Ltd.             
 20,000,000   Series 2017-14A-A1R (3 mo. Term SOFR + 1.37%, 1.37% Floor)   6.11%(a)  07/20/2037   20,120,472 
 9,000,000   Series 2020-18A-A1R2 (3 mo. Term SOFR + 1.37%, 1.37% Floor)   6.60%(a)  07/20/2037   9,058,292 
     Octagon Investment Partners Ltd.             
 27,500,000   Series 2019-4A-A1RR (3 mo. Term SOFR + 1.40%, 1.40% Floor)   5.92%(a)  08/12/2037   27,596,277 
     OHA Credit Funding             
 13,500,000   Series 2023-14A-A (3 mo. Term SOFR + 1.75%, 1.75% Floor)   6.37%(a)  04/20/2036   13,555,528 
     Sound Point CLO Ltd.             
 25,000,000   Series 2019-2A-AR (3 mo. Term SOFR + 1.43%, 1.17% Floor)   6.09%(a)  07/15/2034   25,039,977 
 20,000,000   Series 2020-1A-AR (3 mo. Term SOFR + 1.43%, 1.43% Floor)   6.05%(a)  07/20/2034   20,038,530 
 5,000,000   Series 2021-1A-A (3 mo. Term SOFR + 1.33%, 1.33% Floor)   5.96%(a)  04/25/2034   5,009,639 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 10,000,000   Series 2024-40A-A1 (3 mo. Term SOFR + 1.39%, 1.39% Floor)   5.98%(a)  10/20/2037   10,022,811 
     Steele Creek CLO Ltd.             
 11,000,000   Series 2019-1A-BR (3 mo. Term SOFR + 2.06%, 1.80% Floor)   6.72%(a)  04/15/2032   11,036,243 
 16,394,026   Series 2019-2A-AR (3 mo. Term SOFR + 1.43%, 1.17% Floor)   6.09%(a)  07/15/2032   16,419,166 
 9,000,000   Series 2019-2A-BR (3 mo. Term SOFR + 2.11%, 1.85% Floor)   6.77%(a)  07/15/2032   9,022,627 
     Trimaran CAVU LLC             
 20,000,000   Series 2021-3A-A (3 mo. Term SOFR + 1.47%, 1.21% Floor)   6.10%(a)  01/18/2035   20,040,834 
     Wellfleet CLO Ltd.             
 15,990,000   Series 2020-2A-AR (3 mo. Term SOFR + 1.48%, 1.22% Floor)   6.14%(a)  07/15/2034   15,998,715 
 10,000,000   Series 2022-1A-A1RN (3 mo. Term SOFR + 1.42%, 1.42% Floor)   6.08%(a)  07/15/2037   10,012,014 
     Wind River CLO Ltd.             
 10,000,000   Series 2021-4A-A (3 mo. Term SOFR + 1.43%, 1.17% Floor)   6.05%(a)  01/20/2035   10,019,196 
     Total Collateralized Loan Obligations (Cost $516,706,750)           518,004,777 
FOREIGN CORPORATE BONDS - 4.0% 
 415,000   Adani International Container Terminal Pvt Ltd.   3.00%  02/16/2031   341,960 
 1,000,000   Adani Ports & Special Economic Zone Ltd.   4.00%  07/30/2027   904,357 
 600,000   Adani Transmission Step-One Ltd.   4.00%  08/03/2026   551,828 
 3,309,000   AerCap Ireland Capital DAC / AerCap Global Aviation Trust   6.45%  04/15/2027   3,412,680 
 1,535,000   AerCap Ireland Capital DAC / AerCap Global Aviation Trust   5.75%  06/06/2028   1,564,632 
 835,000   Aker BP ASA   5.60%(a)  06/13/2028   846,801 
 1,239,579   AL Candelaria Spain SA   7.50%  12/15/2028   1,224,979 
 508,000   Algonquin Power & Utilities Corp.   5.37%(c)  06/15/2026   510,858 
 3,585,000   Avolon Holdings Funding Ltd.   2.13%(a)  02/21/2026   3,469,241 
 4,150,000   BAE Systems PLC   5.00%(a)  03/26/2027   4,169,284 
 500,000   Banco Bilbao Vizcaya Argentaria Colombia SA   4.88%  04/21/2025   498,867 
 1,700,000   Banco Continental SAECA   2.75%(a)  12/10/2025   1,644,786 
 1,200,000   Banco de Bogota SA   6.25%  05/12/2026   1,200,627 
 2,000,000   Banco de Credito del Peru SA
 (5 yr. CMT Rate + 2.45%)		   3.25%(a)  09/30/2031   1,896,451 
 200,000   Banco de Credito del Peru SA
 (5 yr. CMT Rate + 2.45%)		   3.25%  09/30/2031   189,645 
 1,500,000   Banco Industrial SA/Guatemala
 (5 yr. CMT Rate + 4.44%)		   4.88%  01/29/2031   1,472,250 
 1,800,000   Banco Internacional del Peru SAA Interbank
 (5 yr. CMT Rate + 3.71%)		   4.00%  07/08/2030   1,777,760 
 1,800,000   Banco Santander SA
 (1 yr. CMT Rate + 0.95%)		   5.37%  07/15/2028   1,812,878 
 1,130,000   Bank of Ireland Group PLC
 (SOFR + 1.62%)		   5.60%(a)  03/20/2030   1,141,229 
 3,280,000   Bank of Montreal
 (SOFR + 1.25%)		   4.64%  09/10/2030   3,217,312 
 2,290,000   Barclays PLC
 (SOFR + 1.34%)		   4.84%  09/10/2028   2,276,724 
 145,000   BAT Capital Corp.   4.91%  04/02/2030   143,295 
 1,485,000   BAT International Finance PLC   1.67%  03/25/2026   1,429,398 
 1,800,000   BBVA Bancomer SA/Texas
 (5 yr. CMT Rate + 4.31%)		   5.88%  09/13/2034   1,709,413 
 1,705,000   BMW US Capital LLC
 (SOFR + 0.62%)		   5.16%(a)  08/11/2025   1,708,803 
 145,000   BMW US Capital LLC   4.65%(a)  08/13/2029   142,407 
 3,505,000   BPCE SA   2.38%(a)  01/14/2025   3,502,138 
 3,131,000   CaixaBank SA
 (SOFR + 2.70%)		   6.21%(a)  01/18/2029   3,209,196 
 200,000   Camposol SA   6.00%  02/03/2027   192,353 
 1,942,000   Canadian Imperial Bank of Commerce   3.95%  08/04/2025   1,934,853 
 1,800,000   Cemex SAB de CV
 (5 yr. CMT Rate + 4.53%)		   5.13%(f)  06/08/2026   1,764,637 
 300,000   Cencosud SA   4.38%  07/17/2027   293,343 
 2,569,049   Chile Electricity PEC SpA   0.00%(a)  01/25/2028   2,165,708 
 1,000,000   Cia de Minas Buenaventura SAA   5.50%  07/23/2026   999,925 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 3,307,000   Commonwealth Bank of Australia
 (SOFR + 0.40%)		   5.08%(a)  07/07/2025   3,309,858 
 1,700,000   Cosan Luxembourg SA   7.00%  01/20/2027   1,696,745 
 2,248,000   Credit Agricole SA
 (SOFR + 1.21%)		   4.63%(a)  09/11/2028   2,220,989 
 250,000   Credit Agricole SA
 (SOFR + 1.21%)		   5.70%(a)  09/11/2028   251,695 
 7,850,000   Danske Bank AS
 (1 yr. CMT Rate + 2.10%)		   6.47%(a)  01/09/2026   7,851,714 
 2,150,000   DBS Group Holdings Ltd.
 (5 yr. CMT Rate + 1.10%)		   1.82%  03/10/2031   2,070,055 
 280,258   Digicel Group Holdings Ltd.   0.00%(a)(e)  12/31/2030   49,787 
 1,635   Digicel Group Holdings Ltd.   0.00%(a)(e)  12/31/2030   1,630 
 199,263   Digicel Group Holdings Ltd.   0.00%(a)(e)  12/31/2030   4,599 
 3,062,000   Element Fleet Management Corp.   6.32%(a)  12/04/2028   3,192,775 
 511,819   Empresa Electrica Angamos SA   4.88%  05/25/2029   465,264 
 1,307,300   Empresa Electrica Cochrane SpA   5.50%  05/14/2027   1,266,466 
 1,500,000   Empresas Publicas de Medellin ESP   4.25%  07/18/2029   1,341,862 
 1,607,000   Enel Finance International NV   5.13%(a)  06/26/2029   1,606,074 
 400,000   Energuate Trust   5.88%  05/03/2027   391,732 
 237,647   Fenix Power Peru SA   4.32%  09/20/2027   231,263 
 950,000   Freeport Indonesia PT   4.76%(a)  04/14/2027   941,839 
 1,300,000   Freeport-McMoRan, Inc.   4.13%  03/01/2028   1,265,732 
 298,000   Freeport-McMoRan, Inc.   4.25%  03/01/2030   283,447 
 241,190   Galaxy Pipeline Assets Bidco Ltd.   1.75%  09/30/2027   229,150 
 3,214,000   Glencore Funding LLC   4.00%(a)  04/16/2025   3,205,972 
 2,680,000   Glencore Funding LLC
 (SOFR + 1.06%)		   5.75%(a)  04/04/2027   2,690,211 
 1,500,000   Global Bank Corp.
 (3 mo. LIBOR US + 3.30%)		   5.25%(g)  04/16/2029   1,412,670 
 500,000   Gold Fields Orogen Holdings BVI Ltd.   6.13%  05/15/2029   506,653 
 1,000,000   Grupo de Inversiones Suramericana SA   5.50%  04/29/2026   988,311 
 1,517,435   Guara Norte Sarl   5.20%  06/15/2034   1,386,285 
 1,310,000   Holcim Finance US LLC   3.50%(a)  09/22/2026   1,281,033 
 200,000   HSBC Holdings PLC
 (SOFR + 3.03%)		   7.34%  11/03/2026   203,928 
 200,000   HSBC Holdings PLC
 (SOFR + 1.04%)		   5.57%  11/19/2028   201,141 
 282,400   Hunt Oil Co. of Peru LLC Sucursal Del Peru   6.38%(a)  06/01/2028   284,389 
 650,000   InRetail Shopping Malls   5.75%  04/03/2028   643,672 
 750,000   Intercorp Financial Services, Inc.   4.13%  10/19/2027   717,942 
 113,017   Interoceanica IV Finance Ltd.
Series 2007		   0.00%(e)  11/30/2025   108,779 
 35,034   Invepar Holdings   0.00%(d)(e)  12/30/2028   —   
 590,000   JSW Hydro Energy Ltd.   4.13%  05/18/2031   532,784 
 1,700,000   KUO SAB De CV   5.75%  07/07/2027   1,653,334 
 183,000   LYB Finance Co. BV   8.10%(a)  03/15/2027   193,225 
 3,477,000   Marex Group PLC   6.40%  11/04/2029   3,513,810 
 900,000   Medco Oak Tree Pte Ltd.   7.38%  05/14/2026   917,016 
 400,000   MEGlobal Canada ULC   5.00%  05/18/2025   399,364 
 400,000   MEGlobal Canada ULC   5.00%(a)  05/18/2025   399,364 
 495,000   Mercedes-Benz Finance North America LLC   4.75%(a)  08/01/2027   494,371 
 920,000   Mercedes-Benz Finance North America LLC   5.25%(a)  11/29/2027   928,131 
 990,000   Mercedes-Benz Finance North America LLC   3.75%(a)  02/22/2028   955,240 
 1,790,436   Mexico Generadora de Energia S de RL   5.50%  12/06/2032   1,736,007 
 2,160,000   Millicom International Cellular SA   5.13%  01/15/2028   2,083,003 
 900,000   Minerva Luxembourg SA   5.88%  01/19/2028   886,813 
 4,245,000   Mitsubishi UFJ Financial Group, Inc.   3.78%  03/02/2025   4,236,547 
 1,715,000   Mizuho Financial Group, Inc.
 (SOFR + 0.96%)		   5.49%  05/22/2026   1,719,196 
 571,838   Mong Duong Finance Holdings BV   5.13%  05/07/2029   550,067 
 1,278,570   MV24 Capital BV   6.75%  06/01/2034   1,213,514 
 540,000   National Bank of Canada   4.50%  10/10/2029   525,382 
 250,000   Nationwide Building Society
 (SOFR + 1.91%)		   6.56%(a)  10/18/2027   256,609 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 3,288,000   NatWest Group PLC
 (1 yr. CMT Rate + 1.22%)		   4.96%  08/15/2030   3,239,956 
 1,000,000   NBM US Holdings, Inc.   7.00%  05/14/2026   1,000,960 
 1,000,000   Network i2i Ltd.
 (5 yr. CMT Rate + 4.27%)		   5.65%(f)  01/15/2025   1,002,352 
 1,650,000   Nexa Resources SA   5.38%  05/04/2027   1,634,749 
 2,410,000   Nutrien Ltd.   4.90%  03/27/2028   2,410,058 
 1,000,000   Orazul Energy Peru SA   5.63%  04/28/2027   975,520 
 1,300,000   Oversea-Chinese Banking Corp. Ltd.
 (5 yr. CMT Rate + 1.58%)		   1.83%  09/10/2030   1,269,870 
 1,295,493   Prumo Participacoes e Investimentos S/A   7.50%  12/31/2031   1,287,876 
 1,725,000   Royal Bank of Canada
 (SOFR + 0.53%)		   5.15%  01/20/2026   1,727,943 
 1,626,000   South Bow USA Infrastructure Holdings LLC   4.91%(a)  09/01/2027   1,621,058 
 1,200,000   Telefonica Celular del Paraguay SA   5.88%  04/15/2027   1,190,514 
 507,000   TransCanada PipeLines Ltd.   4.88%  01/15/2026   507,135 
 910,000   UBS Group AG
 (1 yr. CMT Rate + 1.60%)		   6.33%(a)  12/22/2027   933,912 
 1,500,000   United Overseas Bank Ltd.
 (5 yr. CMT Rate + 1.52%)		   1.75%  03/16/2031   1,442,339 
 3,258,000   Videotron Ltd.   5.13%(a)  04/15/2027   3,253,317 
 330,000   Volkswagen Group of America Finance LLC   6.00%(a)  11/16/2026   335,302 
 2,840,000   Volkswagen Group of America Finance LLC   4.35%(a)  06/08/2027   2,782,968 
 7,110,000   Volkswagen Group of America Finance LLC   5.25%(a)  03/22/2029   7,036,359 
 2,520,000   Westpac Banking Corp.
 (SOFR + 0.72%)		   5.25%  11/17/2025   2,528,411 
     Total Foreign Corporate Bonds (Cost $155,617,922)           154,998,656 
FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 0.4%
 1,800,000   Banco Nacional de Comercio Exterior SNC/Cayman Islands (5 yr. CMT Rate + 2.00%)   2.72%  08/11/2031   1,659,560 
 1,600,000   Bank Negara Indonesia Persero Tbk PT   3.75%  03/30/2026   1,562,707 
 752,198   Bioceanico Sovereign Certificate Ltd.   0.00%  06/05/2034   581,449 
 200,000   Comision Federal de Electricidad   4.69%  05/15/2029   187,961 
 1,900,000   Comision Federal de Electricidad   5.70%(a)  01/24/2030   1,825,425 
 1,800,000   Dominican Republic International Bond   5.50%  02/22/2029   1,747,350 
 600,000   Guatemala Government Bond   4.50%  05/03/2026   589,200 
 200,000   Guatemala Government Bond   5.25%  08/10/2029   192,650 
 1,400,000   Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT   4.75%  05/15/2025   1,397,576 
 951,375   Lima Metro Line 2 Finance Ltd.   5.88%  07/05/2034   949,705 
 1,500,000   Paraguay Government International Bond   5.00%  04/15/2026   1,491,750 
 200,000   Paraguay Government International Bond   4.70%  03/27/2027   196,700 
 1,000,000   Petrobras Global Finance BV   6.00%  01/27/2028   999,620 
 400,000   Republic of South Africa Government International Bond   4.88%  04/14/2026   395,504 
     Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $13,762,634)       13,777,157 
NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS - 11.4%
     280 Park Avenue Mortgage Trust             
 4,830,000   Series 2017-280P-A (1 mo. Term SOFR + 1.18%, 1.13% Floor)   5.66%(a)  09/15/2034   4,796,938 
     Alen Mortgage Trust             
 2,000,000   Series 2021-ACEN-B (1 mo. Term SOFR + 1.76%, 1.65% Floor)   6.16%(a)  04/15/2034   1,686,500 
     Arbor Multifamily Mortgage Securities Trust             
 112,229,046   Series 2021-MF2-XA   1.11%(a)(b)(h)  06/15/2054   5,906,087 
     Arbor Realty Trust, Inc.             
 40,902,000   Series 2020-MF1-XD   0.55%(a)(b)(h)  05/15/2053   1,003,040 
 1,404,009   Series 2021-FL4-A (1 mo. Term SOFR + 1.46%, 1.46% Floor)   5.86%(a)  11/15/2036   1,409,125 
 7,224,856   Series 2022-FL1-A (30 day avg SOFR US + 1.45%, 1.45% Floor)   6.05%(a)  01/15/2037   7,234,176 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 8,694,753   Series 2022-FL2-A (1 mo. Term SOFR + 1.85%, 1.85% Floor)   6.25%(a)  05/15/2037   8,712,890 
     AREIT Trust             
 2,006,437   Series 2022-CRE6-A (30 day avg SOFR US + 1.25%, 1.25% Floor)   5.85%(a)  01/20/2037   2,007,073 
     BANK5 Trust             
 5,022,000   Series 2024-5YR10-AS   5.64%  10/15/2057   5,077,388 
     BBCMS Trust             
 15,176,000   Series 2018-TALL-F (1 mo. Term SOFR + 3.43%, 3.39% Floor)   7.83%(a)  03/15/2037   10,851,549 
 11,001,000   Series 2019-BWAY-E (1 mo. Term SOFR + 2.96%, 2.85% Floor)   7.36%(a)  11/15/2034   55,146 
 29,456,500   Series 2021-C10-XB   1.00%(b)(h)  07/15/2054   1,617,719 
 21,205,000   Series 2021-C10-XD   1.68%(a)(b)(h)  07/15/2054   1,807,345 
     BB-UBS Trust             
 5,644,040   Series 2012-TFT-TE   3.56%(a)(b)  06/05/2030   4,940,252 
     BDS Ltd.             
 6,372,385   Series 2021-FL10-A (1 mo. Term SOFR + 1.46%, 1.46% Floor)   5.84%(a)  12/16/2036   6,410,976 
 2,659,201   Series 2021-FL9-A (1 mo. Term SOFR + 1.18%, 1.07% Floor)   5.56%(a)  11/16/2038   2,654,846 
 1,841,944   Series 2022-FL11-ATS (1 mo. Term SOFR + 1.80%, 1.80% Floor)   6.17%(a)  03/19/2039   1,845,796 
 7,500,000   Series 2024-FL13-A (1 mo. Term SOFR + 1.58%, 1.58% Floor)   5.94%(a)  09/19/2039   7,544,805 
     Benchmark Mortgage Trust             
 157,277,074   Series 2020-IG1-XA   0.51%(b)(h)  09/15/2043   3,111,570 
     BFLD Trust             
 3,012,000   Series 2024-VICT-A (1 mo. Term SOFR + 1.89%, 1.89% Floor)   6.29%(a)  07/15/2041   3,024,966 
     BHMS Mortgage Trust             
 165,041,500   Series 2018-ATLS-XCP   0.00%(a)(b)(h)  07/15/2035   1,650 
     BMO Mortgage Trust             
 93,480,969   Series 2024-5C5-XA   1.16%(b)(h)  02/15/2057   4,229,902 
     BrightSpire Capital, Inc.             
 7,019,810   Series 2021-FL1-A (1 mo. Term SOFR + 1.26%, 1.15% Floor)   5.63%(a)  08/19/2038   6,998,210 
 13,968,000   Series 2021-FL1-AS (1 mo. Term SOFR + 1.71%, 1.60% Floor)   6.08%(a)  08/19/2038   13,881,496 
 6,702,000   Series 2024-FL2-A (1 mo. Term SOFR + 1.95%, 1.95% Floor)   6.31%(a)  08/19/2037   6,715,029 
     BSPRT Co.-Issuer LLC             
 778,254   Series 2021-FL6-A (1 mo. Term SOFR + 1.21%, 1.10% Floor)   5.61%(a)  03/15/2036   777,549 
 7,450,000   Series 2023-FL10-AS (1 mo. Term SOFR + 2.86%, 2.86% Floor)   7.26%(a)  09/15/2035   7,522,265 
     BX Trust             
 1,000,000   Series 2018-GW-A (1 mo. Term SOFR + 1.10%, 0.80% Floor)   5.50%(a)  05/15/2035   1,000,054 
 4,835,282   Series 2021-RISE-B (1 mo. Term SOFR + 1.36%, 1.25% Floor)   5.76%(a)  11/15/2036   4,814,582 
 3,460,098   Series 2021-XL2-A (1 mo. Term SOFR + 0.80%, 0.69% Floor)   5.20%(a)  10/15/2038   3,457,740 
 2,437,227   Series 2022-PSB-A (1 mo. Term SOFR + 2.45%, 2.45% Floor)   6.85%(a)  08/15/2039   2,451,675 
 4,830,000   Series 2024-GPA3-A (1 mo. Term SOFR + 1.29%, 1.29% Floor)   5.80%(a)  12/15/2039   4,838,192 
 4,909,000   Series 2024-VLT4-A (1 mo. Term SOFR + 1.49%, 1.49% Floor)   5.89%(a)  07/15/2029   4,935,650 
     Carbon Capital VI Commercial Mortgage Trust             
 6,029,069   Series 2019-FL2-B (1 mo. Term SOFR + 2.96%, 2.85% Floor)   7.36%(a)  10/15/2035   3,071,993 
     CEDR Commercial Mortgage Trust             
 3,790,000   Series 2022-SNAI-A (1 mo. Term SOFR + 0.99%, 0.99% Floor)   5.39%(a)  02/15/2039   3,629,353 
     CFCRE Commercial Mortgage Trust             
 16,365,566   Series 2016-C4-XA   1.56%(b)(h)  05/10/2058   206,988 
 16,201,000   Series 2017-C8-XB   0.89%(b)(h)  06/15/2050   312,613 
     Citigroup Commercial Mortgage Trust             
 10,750,000   Series 2015-GC31-C   4.03%(b)  06/10/2048   5,418,980 
 16,976,250   Series 2016-GC36-XA   1.20%(b)(h)  02/10/2049   137,134 
 3,096,000   Series 2016-P3-A4   3.33%  04/15/2049   3,023,029 
 11,076,716   Series 2016-P3-XA   1.65%(b)(h)  04/15/2049   109,571 
 2,519,000   Series 2016-P4-B   3.38%  07/10/2049   2,283,692 
 11,719,347   Series 2016-P4-XA   1.89%(b)(h)  07/10/2049   221,574 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 10,759,014   Series 2017-P7-XA   1.08%(b)(h)  04/14/2050   194,183 
     Citigroup/Deutsche Bank Commercial Mortgage Trust             
 15,833,631   Series 2016-C1-XA   1.36%(b)(h)  05/10/2049   147,044 
 43,563,487   Series 2017-CD3-XA   0.95%(b)(h)  02/10/2050   688,238 
 51,550,099   Series 2017-CD4-XA   1.22%(b)(h)  05/10/2050   1,111,580 
     Commercial Mortgage Pass Through Certificates             
 1,721,713   Series 2013-CR12-XA   0.58%(b)(h)  10/10/2046   17 
 9,037,954   Series 2015-CR22-XA   0.74%(b)(h)  03/10/2048   90 
 28,592,799   Series 2015-CR25-XA   0.78%(b)(h)  08/10/2048   52,925 
 33,100,871   Series 2015-CR27-XA   0.90%(b)(h)  10/10/2048   106,730 
 4,107,526   Series 2015-DC1-XA   0.84%(b)(h)  02/10/2048   41 
 4,978,000   Series 2015-LC21-B   4.31%(b)  07/10/2048   4,919,701 
 36,520,489   Series 2015-LC21-XA   0.60%(b)(h)  07/10/2048   14,765 
 12,125,039   Series 2016-DC2-XA   0.91%(b)(h)  02/10/2049   67,494 
 11,396,000   Series 2018-HCLV-D (1 mo. Term SOFR + 2.47%, 2.18% Floor)   6.87%(a)  09/15/2033   2,912,495 
     Computershare Corporate Trust             
 485,295   Series 2014-LC18-B   3.96%  12/15/2047   480,121 
 5,073,040   Series 2015-C27-XA   0.73%(b)(h)  02/15/2048   1,132 
 46,214,010   Series 2015-C30-XA   0.86%(b)(h)  09/15/2058   103,103 
 21,985,665   Series 2015-NXS2-XA   0.58%(b)(h)  07/15/2058   43,327 
 9,742,376   Series 2016-C33-XA   1.56%(b)(h)  03/15/2059   114,554 
 20,247,402   Series 2016-NXS6-XA   1.59%(b)(h)  11/15/2049   319,316 
 64,269,724   Series 2017-C38-XA   0.91%(b)(h)  07/15/2050   1,095,118 
 20,211,832   Series 2019-C52-XA   1.56%(b)(h)  08/15/2052   1,112,916 
 61,956,303   Series 2021-C59-XA   1.50%(b)(h)  04/15/2054   4,123,000 
 5,250,000   Series 2022-ONL-A   3.86%(a)  12/15/2039   4,895,835 
     Credit Suisse Mortgage Capital Certificates             
 9,873,828   Series 2014-USA-X1   0.54%(a)(b)(h)  09/15/2037   99 
     CSAIL Commercial Mortgage Trust             
 5,797,007   Series 2015-C1-XA   0.45%(b)(h)  04/15/2050   58 
 2,800,830   Series 2016-C6-XA   1.85%(b)(h)  01/15/2049   38,482 
 121,997,881   Series 2021-C20-XA   0.99%(b)(h)  03/15/2054   5,555,491 
     Franklin BSP Realty Trust, Inc.             
 6,817,207   Series 2022-FL8-A (30 day avg SOFR US + 1.50%, 1.50% Floor)   6.10%(a)  02/15/2037   6,805,537 
     FS Rialto             
 6,938,928   Series 2021-FL2-A (1 mo. Term SOFR + 1.33%, 1.33% Floor)   5.73%(a)  05/16/2038   6,937,922 
 5,940,448   Series 2021-FL3-A (1 mo. Term SOFR + 1.36%, 1.36% Floor)   5.76%(a)  11/16/2036   5,943,941 
     Granite Point Mortgage Trust, Inc.             
 2,440,251   Series 2021-FL3-A (1 mo. Term SOFR + 1.36%, 1.36% Floor)   5.74%(a)  07/16/2035   2,417,944 
 3,610,193   Series 2021-FL4-A (1 mo. Term SOFR + 1.46%, 1.35% Floor)   5.82%(a)  12/15/2036   3,573,109 
     Great Wolf Trust             
 8,770,000   Series 2024-WOLF-A (1 mo. Term SOFR + 1.54%, 1.54% Floor)   5.94%(a)  03/15/2039   8,795,942 
     Greystone Commercial Real Estate Notes             
 1,791,565   Series 2021-FL3-A (1 mo. Term SOFR + 1.13%, 1.02% Floor)   5.53%(a)  07/15/2039   1,791,864 
 10,700,000   Series 2021-FL3-C (1 mo. Term SOFR + 2.11%, 2.00% Floor)   6.51%(a)  07/15/2039   10,650,427 
     GS Mortgage Securities Corp. II             
 345,436   Series 2014-GC24-XA   0.33%(b)(h)  09/10/2047   3 
 27,297,099   Series 2015-GC32-XA   0.68%(b)(h)  07/10/2048   34,749 
 8,235,310   Series 2015-GS1-XA   0.75%(b)(h)  11/10/2048   31,133 
 13,866,053   Series 2016-GS2-XA   1.72%(b)(h)  05/10/2049   189,114 
 23,930,416   Series 2016-GS3-XA   1.18%(b)(h)  10/10/2049   329,658 
 2,314,000   Series 2018-GS10-WLSD   4.90%(a)(b)  03/10/2033   205,994 
 2,893,000   Series 2018-GS10-WLSE   4.90%(a)(b)  03/10/2033   234,754 
 5,000,000   Series 2018-TWR-E (1 mo. Term SOFR + 2.40%, 2.10% Floor)   6.80%(a)  07/15/2031   762,300 
 5,000,000   Series 2018-TWR-F (1 mo. Term SOFR + 3.10%, 2.80% Floor)   7.50%(a)  07/15/2031   420,577 
 5,000,000   Series 2018-TWR-G (1 mo. Term SOFR + 4.22%, 3.93% Floor)   8.62%(a)  07/15/2031   74,550 
     GSCG Trust             
 14,505,000   Series 2019-600C-E   3.99%(a)(b)  09/06/2034   609,210 
     JP Morgan Chase Commercial Mortgage Securities             
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 1,124,348   Series 2014-C20-B   4.40%(b)  07/15/2047   1,100,451 
 13,463,167   Series 2015-JP1-XA   0.88%(b)(h)  01/15/2049   65,925 
 30,305,914   Series 2016-JP4-XA   0.57%(b)(h)  12/15/2049   236,707 
 336,000   Series 2018-WPT-CFX   4.95%(a)  07/05/2033   268,355 
 4,216,000   Series 2019-UES-C   4.34%(a)  05/05/2032   4,030,728 
 4,314,000   Series 2019-UES-D   4.45%(a)(b)  05/05/2032   4,096,527 
 5,040,000   Series 2019-UES-E   4.45%(a)(b)  05/05/2032   4,698,021 
 5,287,000   Series 2019-UES-F   4.45%(a)(b)  05/05/2032   4,798,375 
 5,775,000   Series 2019-UES-G   4.45%(a)(b)  05/05/2032   5,067,187 
 6,153,490   Series 2022-NLP-A (1 mo. Term SOFR + 0.60%, 0.60% Floor)   4.99%(a)  04/15/2037   6,022,868 
     JPMBB Commercial Mortgage Securities Trust             
 3,912,831   Series 2014-C25-XA   0.54%(b)(h)  11/15/2047   39 
 12,061,750   Series 2015-C29-XA   0.52%(b)(h)  05/15/2048   8,278 
 20,545,979   Series 2015-C30-XA   0.41%(b)(h)  07/15/2048   16,100 
 8,319,955   Series 2015-C31-XA   0.80%(b)(h)  08/15/2048   19,257 
 13,181,955   Series 2015-C32-XA   1.09%(b)(h)  11/15/2048   34,212 
 5,380,000   Series 2015-C33-AS   4.02%  12/15/2048   5,294,462 
     KREF             
 5,911,754   Series 2021-FL2-A (1 mo. Term SOFR + 1.18%, 1.07% Floor)   5.57%(a)  02/15/2039   5,903,980 
 7,942,000   Series 2021-FL2-B (1 mo. Term SOFR + 1.76%, 1.65% Floor)   6.15%(a)  02/15/2039   7,813,427 
 8,340,311   Series 2022-FL3-A (1 mo. Term SOFR + 1.45%, 1.45% Floor)   5.82%(a)  02/17/2039   8,337,550 
     Ladder Capital Commercial Mortgage Securities LLC             
 6,367,000   Series 2021-FL3-AS (1 mo. Term SOFR + 1.91%, 1.91% Floor)   6.31%(a)  11/15/2038   6,327,773 
 2,400,000   Series 2021-FL3-B (1 mo. Term SOFR + 2.31%, 2.31% Floor)   6.71%(a)  11/15/2038   2,366,954 
     LoanCore             
 4,820,267   Series 2021-CRE5-A (1 mo. Term SOFR + 1.41%, 1.41% Floor)   5.81%(a)  07/15/2036   4,823,824 
 4,618,205   Series 2021-CRE6-A (1 mo. Term SOFR + 1.41%, 1.30% Floor)   5.81%(a)  11/15/2038   4,619,410 
 6,280,310   Series 2022-CRE7-A (30 day avg SOFR US + 1.55%, 1.55% Floor)   6.15%(a)  01/17/2037   6,292,958 
     LSTAR Commercial Mortgage Trust             
 5,926,000   Series 2016-4-XA   1.67%(a)(b)(h)  03/10/2049   56,500 
 59,254,103   Series 2017-5-X   0.84%(a)(b)(h)  03/10/2050   776,223 
     Lument Finance Trust, Inc.             
 5,179,563   Series 2021-FL1-A (1 mo. Term SOFR + 1.28%, 1.28% Floor)   5.68%(a)  06/15/2039   5,190,792 
     MF1 Multifamily Housing Mortgage Loan Trust             
 727,723   Series 2021-FL6-A (1 mo. Term SOFR + 1.21%, 1.10% Floor)   5.59%(a)  07/16/2036   726,111 
 3,578,277   Series 2022-FL8-A (1 mo. Term SOFR + 1.35%, 1.35% Floor)   5.72%(a)  02/19/2037   3,582,064 
 12,550,000   Series 2022-FL8-AS (1 mo. Term SOFR + 1.75%, 1.75% Floor)   6.12%(a)  02/19/2037   12,368,283 
 6,770,706   Series 2022-FL9-A (1 mo. Term SOFR + 2.15%, 2.15% Floor)   6.52%(a)  06/19/2037   6,783,164 
 7,200,000   Series 2024-FL15-A (1 mo. Term SOFR + 1.69%, 1.69% Floor)   6.06%(a)  08/18/2041   7,226,489 
     MFT Trust             
 8,933,000   Series 2020-ABC-D   3.48%(a)(b)  02/10/2042   4,334,438 
     Morgan Stanley ABS Capital I, Inc.             
 3,761,461   Series 2024-NSTB-A   3.90%(a)(b)  09/24/2057   3,633,509 
     Morgan Stanley Bank of America Merrill Lynch Trust             
 9,392,585   Series 2012-CKSV-CK   4.16%(a)(b)  10/15/2030   6,006,161 
 7,513,000   Series 2015-C23-AS   4.00%(b)  07/15/2050   7,445,384 
 15,614,398   Series 2016-C28-XA-XA   1.14%(b)(h)  01/15/2049   123,686 
     Morgan Stanley Capital I, Inc.             
 711,000   Series 2019-NUGS-F (1 mo. Term SOFR + 2.96%, 4.34% Floor)   7.36%(a)  12/15/2036   10,852 
 13,327,000   Series 2019-PLND-E (1 mo. Term SOFR + 2.26%, 2.15% Floor)   6.66%(a)  05/15/2036   280,876 
 1,331,000   Series 2019-PLND-F (1 mo. Term SOFR + 2.91%, 2.80% Floor)   7.31%(a)  05/15/2036   9,383 
     Natixis Commercial Mortgage Securities Trust             
 9,940,000   Series 2018-FL1-C (Prime Rate + 0.00%, 0.00% Floor)   7.75%(a)  06/15/2035   4,443,417 
 4,742,000   Series 2020-2PAC-AMZ2   3.50%(a)(b)  01/15/2037   3,213,558 
     OPG Trust             
 4,326,461   Series 2021-PORT-A (1 mo. Term SOFR + 0.60%, 0.48% Floor)   5.00%(a)  10/15/2036   4,311,799 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
     Ready Capital Corp.             
 6,786,894   Series 2021-FL7-A (1 mo. Term SOFR + 1.31%, 1.20% Floor)   5.65%(a)  11/25/2036   6,814,815 
 4,912,892   Series 2022-FL10-A (1 mo. Term SOFR + 2.55%, 2.55% Floor)   6.89%(a)  10/25/2039   4,941,185 
     ROCK Trust             
 3,730,000   Series 2024-CNTR-A   5.39%(a)  11/13/2041   3,723,851 
     SLG Office Trust             
 168,062,650   Series 2021-OVA-X   0.26%(a)(b)(h)  07/15/2041   2,191,554 
     Starwood Property Mortgage Trust             
 459,000   Series 2019-FL1-C (1 mo. Term SOFR + 2.06%, 2.06% Floor)   6.46%(a)  07/15/2038   454,200 
 4,160,030   Series 2021-FL2-A (1 mo. Term SOFR + 1.31%, 1.20% Floor)   5.69%(a)  04/18/2038   4,145,753 
     STWD Trust             
 1,015,000   Series 2021-FLWR-B (1 mo. Term SOFR + 1.04%, 0.93% Floor)   5.44%(a)  07/15/2036   1,014,148 
     TPG Real Estate Finance Issuer Ltd.             
 11,257,189   Series 2022-FL5-A (1 mo. Term SOFR + 1.65%, 1.65% Floor)   6.03%(a)  02/15/2039   11,238,896 
 5,000,000   Series 2022-FL5-AS (1 mo. Term SOFR + 2.15%, 2.15% Floor)   6.53%(a)  02/15/2039   4,976,640 
     UBS Commercial Mortgage Trust             
 63,402,968   Series 2018-C13-XA   0.77%(b)(h)  10/15/2051   1,439,831 
     VEGAS Trust             
 3,698,000   Series 2024-TI-A   5.52%(a)  11/10/2039   3,710,138 
     VMC Finance LLC             
 865,059   Series 2022-FL5-A (30 day avg SOFR US + 1.90%, 1.90% Floor)   6.50%(a)  02/18/2039   866,349 
     WF-RBS Commercial Mortgage Trust             
 248,823   Series 2014-C21-XA   0.50%(b)(h)  08/15/2047   494 
     Total Non-Agency Commercial Mortgage Backed Obligations (Cost $595,247,454)      437,927,602 
NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS - 10.9%
     ACE Securities Corp.             
 4,379,892   Series 2006-CW1-A2D (1 mo. Term SOFR + 0.63%, 0.52% Floor)   4.97%  07/25/2036   3,486,259 
 6,870,786   Series 2007-WM1-A2B (1 mo. Term SOFR + 0.35%, 0.24% Floor)   4.69%  11/25/2036   2,755,454 
     Adjustable Rate Mortgage Trust             
 4,355,270   Series 2006-1-6A1 (1 mo. Term SOFR + 0.37%, 0.26% Floor)   4.71%  03/25/2036   2,535,628 
     AJAX Mortgage Loan Trust             
 3,104,782   Series 2021-C-A   5.12%(a)(c)  01/25/2061   3,108,029 
     American Home Mortgage Investment Trust             
 1,949,603   Series 2004-2-M1 (1 mo. Term SOFR + 1.01%, 0.90% Floor, 11.00% Cap)   5.35%  02/25/2044   1,803,344 
     Angel Oak Mortgage Trust LLC             
 1,980,015   Series 2020-2-A1A   2.53%(a)(b)  01/26/2065   1,830,600 
 354,511   Series 2020-6-A3   1.78%(a)(b)  05/25/2065   320,546 
 6,594,176   Series 2021-7-A1   1.98%(a)(b)  10/25/2066   5,584,096 
     Arroyo Mortgage Trust             
 736,725   Series 2019-1-A1   3.81%(a)(b)  01/25/2049   710,951 
 424,613   Series 2019-2-A2   3.50%(a)(b)  04/25/2049   406,291 
 3,280,158   Series 2019-3-A3   3.42%(a)(b)  10/25/2048   3,091,977 
     Banc of America Funding Corp.             
 908,021   Series 2006-7-T2A1-T2A1   5.88%(b)  10/25/2036   780,812 
 9,087,975   Series 2015-R2-4A2 (1 mo. Term SOFR + 0.28%, 0.17% Floor)   1.79%(a)  09/29/2036   7,460,557 
 1,817,203   Series 2015-R2-9A2   3.87%(a)(i)  03/27/2036   1,636,238 
     Banc of America Mortgage Securities, Inc.             
 854,730   Series 2005-I-2A5   5.03%(b)  10/25/2035   790,334 
 1,939,533   Series 2007-3-1A1   6.00%  09/25/2037   1,538,469 
     BCAP LLC Trust             
 6,611,973   Series 2009-RR4-7A2   6.00%(a)(b)  03/26/2037   2,294,054 
 1,204,848   Series 2012-RR1-3A4   5.50%(a)(b)  10/26/2035   767,984 
     BRAVO Residential Funding Trust             
 1,603,360   Series 2021-NQM2-A3   1.44%(a)(b)  03/25/2060   1,548,017 
 7,629,385   Series 2022-RPL1-A1   2.75%(a)(b)  09/25/2061   6,897,306 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
     Citigroup Mortgage Loan Trust, Inc.             
 1,300,044   Series 2020-EXP1-A1A   1.80%(a)(b)  05/25/2060   1,193,855 
     Citimortgage Alternative Loan Trust             
 531,298   Series 2007-A5-1A10   5.75%  05/25/2037   475,508 
     COLT Funding LLC             
 80,576   Series 2020-3-A3   2.38%(a)(b)  04/27/2065   78,315 
 2,543,712   Series 2021-1R-A1   0.86%(a)(b)  05/25/2065   2,177,795 
 4,221,665   Series 2021-5-A1   1.73%(a)(b)  11/26/2066   3,710,710 
 5,126,669   Series 2022-2-A1   2.99%(a)(c)  02/25/2067   4,706,022 
     Countrywide Alternative Loan Trust             
 265,406   Series 2005-23CB-A15   5.50%  07/25/2035   213,581 
 894,343   Series 2005-28CB-1A6-1A6   5.50%  08/25/2035   756,035 
 3,682,607   Series 2005-49CB-A6   5.50%  11/25/2035   2,343,893 
 1,433,053   Series 2005-61-1A2 (1 mo. Term SOFR + 0.85%, 0.74% Floor)   5.19%  12/25/2035   1,262,974 
 6,680,749   Series 2005-62-1A1 (1 mo. Term SOFR + 0.71%, 0.60% Floor)   5.05%  12/25/2035   5,026,950 
 7,281,812   Series 2006-16CB-A5   6.00%  06/25/2036   3,814,514 
 1,423,891   Series 2006-32CB-A21   5.50%  11/25/2036   765,777 
 2,255,872   Series 2006-34-A6   6.25%  11/25/2046   1,076,867 
 5,648,801   Series 2006-36T2-1A3   5.75%  12/25/2036   2,145,234 
 1,321,437   Series 2006-J4-2A9   6.00%  07/25/2036   768,120 
 1,444,847   Series 2006-J6-A5   6.00%  09/25/2036   666,542 
 1,687,492   Series 2006-OA12-A1B (1 mo. Term SOFR + 0.30%, 0.19% Floor)   4.67%  09/20/2046   1,700,430 
 3,409,602   Series 2006-OA21-A1 (1 mo. Term SOFR + 0.30%, 0.19% Floor)   4.67%  03/20/2047   2,850,129 
 10,756,922   Series 2007-12T1-A11   6.00%  06/25/2037   4,875,298 
 9,650,729   Series 2007-12T1-A5   6.00%  06/25/2037   4,373,945 
 280,669   Series 2007-15CB-A7   6.00%  07/25/2037   163,246 
 4,110,164   Series 2007-8CB-A1   5.50%  05/25/2037   2,123,237 
 10,573,771   Series 2007-9T1-1A6   6.00%  05/25/2037   5,112,229 
     Countrywide Home Loan Mortgage Pass Through Trust             
 647,806   Series 2005-10-A2   5.50%  05/25/2035   524,353 
 9,251,789   Series 2006-20-1A18 (1 mo. Term SOFR + 0.76%, 0.65% Floor, 6.00% Cap)   5.10%  02/25/2037   3,373,861 
 1,550,596   Series 2006-21-A10   5.75%  02/25/2037   660,761 
 537,174   Series 2007-14-A15   6.50%  09/25/2037   297,656 
     Credit Suisse First Boston Mortgage Securities Corp.             
 2,452   Series 2004-8-6A1   4.50%  11/25/2034   1,802 
 437,216   Series 2005-9-5A9   5.50%  10/25/2035   226,321 
     Credit Suisse Management LLC             
 982,243   Series 2005-11-2A1   6.00%  12/25/2035   668,248 
 47,394   Series 2005-11-8A5   6.00%  12/25/2035   35,296 
     Credit Suisse Mortgage Capital Certificates             
 8,452,381   Series 2009-8R-8A2   6.00%(a)(b)  03/26/2037   2,932,592 
 245,485   Series 2011-12R-3A5   5.88%(a)(b)  07/27/2036   243,999 
 256,424   Series 2021-JR1-A1   5.47%(a)(b)  09/27/2066   255,785 
 16,011,739   Series 2022-NQM1-A1   2.27%(a)(b)  11/25/2066   14,269,705 
     Cross Mortgage Trust             
 11,296,336   Series 2024-H5-A1   5.85%(a)(c)  08/26/2069   11,328,780 
     DB US Financial Markets Holding Corp.             
 303,404   Series 2014-RS1-1A2   6.50%(a)(b)  07/27/2037   250,535 
     Deutsche ALT-A Securities, Inc.             
 346,154   Series 2006-AB4-A1A   6.01%(b)  10/25/2036   292,650 
 6,389,559   Series 2006-AR4-A1 (1 mo. Term SOFR + 0.37%, 0.26% Floor)   4.71%  12/25/2036   2,132,160 
 4,239,869   Series 2006-AR4-A2 (1 mo. Term SOFR + 0.49%, 0.38% Floor, 10.50% Cap)   4.83%  12/25/2036   1,318,261 
 184,943   Series 2007-OA2-A1 (12 Month US Treasury Average + 0.77%, 0.77% Floor)   5.60%  04/25/2047   161,671 
     Fannie Mae Connecticut Avenue Securities             
 4,031,286   Series 2024-R01-1M1 (30 day avg SOFR US + 1.05%, 1.05% Floor)   5.62%(a)  01/25/2044   4,036,789 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
     Freddie Mac Structured Agency Credit Risk Debt Notes             
 7,388,649   Series 2024-DNA2-M1 (30 day avg SOFR US + 1.20%, 0.00% Floor)   5.77%(a)  05/25/2044   7,417,478 
 8,682,158   Series 2024-HQA2-M1 (30 day avg SOFR US + 1.20%, 0.00% Floor)   5.77%(a)  08/25/2044   8,694,993 
   GCAT         
 2,344,306   Series 2020-NQM2-A1   2.56%(a)(c)  04/25/2065   2,234,563 
 6,240,007   Series 2021-NQM4-A3   1.56%(a)(b)  08/25/2066   5,125,594 
     GSAA Trust             
 5,068,247   Series 2006-19-A3A (1 mo. Term SOFR + 0.59%, 0.48% Floor)   4.93%  12/25/2036   1,752,765 
     GSR Mortgage Loan Trust             
 320,705   Series 2006-2F-3A4   6.00%  02/25/2036   142,280 
     Harborview Mortgage Loan Trust             
 2,030,513   Series 2006-1-2A1A (1 mo. Term SOFR + 0.59%, 0.48% Floor)   4.96%  03/19/2036   1,811,697 
     Impac Secured Assets CMN Owner Trust             
 656,787   Series 2006-5-1A1C (1 mo. Term SOFR + 0.65%, 0.54% Floor, 11.50% Cap)   4.99%  02/25/2037   593,195 
     Indymac Index Mortgage Loan Trust             
 605,594   Series 2006-AR5-2A1   3.67%(b)  05/25/2036   573,569 
     JP Morgan Alternative Loan Trust             
 32,329,360   Series 2005-S1-1A4   6.00%  12/25/2035   10,450,498 
 2,980,512   Series 2007-S1-A2 (1 mo. Term SOFR + 0.79%, 0.68% Floor, 11.50% Cap)   5.13%  04/25/2047   2,869,427 
     JP Morgan Mortgage Acquisition Corp.             
 10,767,939   Series 2006-WMC2-A5 (1 mo. Term SOFR + 0.61%, 0.50% Floor)   4.95%  07/25/2036   4,589,372 
     JP Morgan Reremic             
 5,640,271   Series 2014-4-1C   0.00%(a)(b)  01/26/2036   1,556,757 
     Legacy Mortgage Asset Trust             
 2,442,151   Series 2021-GS1-A1   4.89%(a)(c)  10/25/2066   2,444,733 
     Lehman Mortgage Trust             
 182,928   Series 2006-1-1A3   5.50%  02/25/2036   85,794 
     Lehman XS Trust             
 8,630,248   Series 2007-15N-3A1 (1 mo. Term SOFR + 0.36%, 0.25% Floor)   4.95%  08/25/2047   7,477,042 
     Long Beach Mortgage Loan Trust             
 15,588,895   Series 2006-11-2A2 (1 mo. Term SOFR + 0.31%, 0.20% Floor)   4.65%  12/25/2036   5,357,074 
 9,442,353   Series 2006-2-2A3 (1 mo. Term SOFR + 0.49%, 0.38% Floor)   4.83%  03/25/2046   3,341,551 
     Mastr Adjustable Rate Mortgages Trust             
 67,831   Series 2006-2-2A1   7.27%(b)  04/25/2036   32,988 
 1,241,561   Series 2006-OA2-4A1A (12 Month US Treasury Average + 0.85%, 0.85% Floor)   5.68%  12/25/2046   1,149,794 
     Merrill Lynch Alternative Note Asset             
 330,599   Series 2007-F1-2A6   6.00%  03/25/2037   114,088 
     Merrill Lynch Mortgage Investors, Inc.             
 1,171,282   Series 2006-AF1-AF2C   6.25%  08/25/2036   470,119 
 34,495,196   Series 2006-RM2-A1A (1 mo. Term SOFR + 0.48%, 0.37% Floor)   4.82%  05/25/2037   9,563,569 
 4,288,888   Series 2007-HE2-A2A (1 mo. Term SOFR + 0.35%, 0.24% Floor)   4.69%  02/25/2037   1,223,525 
 6,631,892   Series 2007-HE2-A2B (1 mo. Term SOFR + 0.53%, 0.42% Floor)   4.87%  02/25/2037   1,891,880 
     MFRA Trust             
 4,064,036   Series 2021-NQM2-A3   1.47%(a)(b)  11/25/2064   3,574,262 
     Morgan Stanley Mortgage Loan Trust             
 216,146   Series 2006-2-7A1   5.47%(b)  02/25/2036   121,621 
     Nomura Resecuritization Trust             
 3,154,732   Series 2015-8R-4A4   4.42%(a)(b)  11/25/2047   2,660,393 
     Onslow Bay Mortgage Loan Trust             
 388,820   Series 2020-EXP2-A3   2.50%(a)(b)  05/25/2060   318,801 
 2,792,869   Series 2021-NQM2-A3   1.56%(a)(b)  05/25/2061   2,275,317 
 5,599,934   Series 2022-NQM1-A1   2.31%(a)(b)  11/25/2061   4,916,734 
 8,727,026   Series 2024-NQM10-A1   6.18%(a)(c)  05/25/2064   8,803,923 
 8,525,304   Series 2024-NQM13-A1   5.12%(a)  06/25/2064   8,441,217 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 15,594,016   Series 2024-NQM16-A1   5.53%(a)(c)  10/25/2064   15,567,943 
 9,000,000   Series 2024-NQM18-A1   5.41%(a)(b)  10/25/2064   8,984,881 
     Pretium Mortgage Credit Partners LLC             
 21,217,255   Series 2021-NPL3-A1   4.87%(a)(c)  07/25/2051   21,204,768 
 4,057,847   Series 2021-RN1-A1   4.99%(a)(c)  02/25/2061   4,060,154 
 4,332,976   Series 2021-RN2-A1   4.74%(a)(c)  07/25/2051   4,310,860 
     PRPM LLC             
 3,892,525   Series 2021-6-A1   4.79%(a)(c)  07/25/2026   3,888,803 
     RALI Trust             
 454,124   Series 2006-QS12-2A3   6.00%  09/25/2036   350,693 
 1,134,231   Series 2007-QS4-3A4   6.00%  03/25/2037   945,688 
 1,412,396   Series 2007-QS4-3A9   6.00%  03/25/2037   1,177,585 
 1,002,884   Series 2007-QS8-A3 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 6.00% Cap)   5.05%  06/25/2037   738,386 
 645,823   Series 2007-QS9-A33   6.50%  07/25/2037   517,871 
     RASC Trust             
 3,875,527   Series 2004-KS7-A2A (1 mo. Term SOFR + 0.69%, 0.58% Floor)   5.03%  08/25/2034   3,744,821 
     RBSSP Resecuritization Trust             
 495,461   Series 2009-2-3A2 (1 mo. Term SOFR + 0.61%, 0.50% Floor)   5.05%(a)  04/26/2035   460,684 
     Residential Asset Securitization Trust             
 689,375   Series 2006-A2-A11   6.00%  01/25/2046   260,465 
 2,107,150   Series 2006-A6-1A4   6.00%  07/25/2036   553,053 
     Residential Mortgage Loan Trust             
 4,107,634   Series 2019-2-M1   3.86%(a)(b)  05/25/2059   4,057,509 
     RFMSI Trust             
 3,535,232   Series 2007-S1-A1 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 6.00% Cap)   5.05%  01/25/2037   2,631,373 
     Securitized Asset Backed Receivables LLC             
 5,690,362   Series 2006-WM3-A1 (1 mo. Term SOFR + 0.21%, 0.10% Floor)   4.55%  10/25/2036   1,882,496 
     Soundview Home Equity Loan Trust             
 825,275   Series 2007-OPT3-2A3 (1 mo. Term SOFR + 0.29%, 0.18% Floor)   4.63%  08/25/2037   802,295 
     Starwood Mortgage Residential Trust             
 8,000,000   Series 2020-2-M1E   3.00%(a)  04/25/2060   7,759,896 
     Structured Adjustable Rate Mortgage Loan Trust             
 1,010,025   Series 2005-22-4A1   5.60%(b)  12/25/2035   929,825 
     Velocity Commercial Capital Loan Trust             
 2,486,832   Series 2020-1-M2   2.98%(a)(b)  02/25/2050   2,160,238 
 2,164,671   Series 2021-1-M2   2.26%(a)(b)  05/25/2051   1,756,729 
 1,813,501   Series 2021-2-M2   2.20%(a)(b)  08/25/2051   1,429,130 
 10,956,877   Series 2024-5-A   5.49%(a)(b)  10/25/2054   10,824,000 
     Vericrest Opportunity Loan Transferee             
 2,126,455   Series 2021-NP10-A1   4.99%(a)(c)  05/25/2051   2,126,537 
 3,674,348   Series 2021-NP11-A1   4.87%(a)(c)  08/25/2051   3,672,848 
 2,101,169   Series 2021-NPL1-A1   4.89%(a)(c)  02/27/2051   2,101,209 
 317,728   Series 2021-NPL2-A1   4.89%(a)(c)  02/27/2051   317,734 
 1,568,108   Series 2021-NPL5-A1   5.12%(a)(c)  03/27/2051   1,568,874 
 1,129,033   Series 2021-NPL6-A1   5.24%(a)(c)  04/25/2051   1,130,704 
 9,288,494   Series 2021-NPL8-A1   5.12%(a)(c)  04/25/2051   9,298,664 
     Verus Securitization Trust             
 166,078   Series 2020-4-A3   3.32%(a)(c)  05/25/2065   162,494 
 13,413,596   Series 2021-7-A1   1.83%(a)(c)  10/25/2066   11,831,809 
 1,333,331   Series 2021-R1-A3   1.26%(a)(b)  10/25/2063   1,262,915 
 6,756,959   Series 2024-3-A1   6.34%(a)(c)  04/25/2069   6,819,480 
     WAMU Asset-Backed Certificates             
 1,559,163   Series 2007-HE4-2A3 (1 mo. Term SOFR + 0.28%, 0.28% Floor)   4.62%  07/25/2047   891,858 
     WaMu Mortgage Pass Through Certificates             
 2,121,148   Series 2005-AR4-A5   4.55%(b)  04/25/2035   2,040,560 
 9,494,920   Series 2006-AR18-1A1   3.70%(b)  01/25/2037   8,134,800 
     Washington Mutual Alternative Mortgage Pass-Through Certificates             
 870,583   Series 2005-8-2CB3 (1 mo. Term SOFR + 0.52%, 0.41% Floor, 5.50% Cap)   4.86%  10/25/2035   818,129 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
     Washington Mutual Asset-Backed Certificates             
 6,032,296   Series 2006-HE5-2A2 (1 mo. Term SOFR + 0.47%, 0.36% Floor)   3.95%  10/25/2036   2,109,503 
 2,215,348   Series 2006-HE5-2A3 (1 mo. Term SOFR + 0.57%, 0.46% Floor)   3.95%  10/25/2036   775,910 
     Wells Fargo Alternative Loan Trust             
 451,161   Series 2007-PA5-1A1   6.25%  11/25/2037   392,319 
     Wells Fargo Mortgage Backed Securities Trust             
 1,121,844   Series 2007-15-A1   6.00%  11/25/2037   1,042,365 
 4,933,414   Series 2007-AR6-A2   7.06%(b)  10/25/2037   4,728,146 
     Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $510,962,212)     419,042,994 
US CORPORATE BONDS - 9.9%
 795,000   AGCO Corp.   5.45%  03/21/2027   803,018 
 319,000   Agilent Technologies, Inc.   4.20%  09/09/2027   315,132 
 2,043,000   Albemarle Corp.   4.65%  06/01/2027   2,027,361 
 571,000   Ally Financial, Inc.
 (SOFR + 3.26%)		   6.99%  06/13/2029   595,073 
 426,000   Ally Financial, Inc.
 (SOFR + 2.82%)		   6.85%  01/03/2030   441,808 
 893,000   Altria Group, Inc.   6.20%  11/01/2028   928,369 
 960,000   American Electric Power Co., Inc.   5.20%  01/15/2029   967,599 
 3,342,000   American Express Co.
 (SOFR + 1.00%)		   5.53%  02/16/2028   3,361,115 
 1,663,000   American Homes 4 Rent LP   4.25%  02/15/2028   1,623,438 
 1,317,000   American National Group, Inc.   5.75%  10/01/2029   1,319,521 
 275,000   American Water Capital Corp.   3.75%  09/01/2028   264,610 
 1,855,000   Amgen, Inc.   5.51%  03/02/2026   1,855,110 
 2,991,000   Apache Corp.   4.25%  01/15/2030   2,813,401 
 5,796,000   Apollo Debt Solutions BDC   6.90%(a)  04/13/2029   6,001,204 
 2,980,000   AppLovin Corp.   5.13%  12/01/2029   2,973,896 
 3,381,000   Ares Capital Corp.   3.88%  01/15/2026   3,344,227 
 1,137,000   Ares Strategic Income Fund   5.70%(a)  03/15/2028   1,137,224 
 3,276,000   Arrow Electronics, Inc.   5.15%  08/21/2029   3,263,948 
 4,180,000   Athene Global Funding
 (SOFR + 0.85%)		   5.39%(a)  05/08/2026   4,180,820 
 3,843,000   Athene Global Funding   4.72%(a)  10/08/2029   3,750,972 
 3,380,000   Atlas Warehouse Lending Co. LP   6.05%(a)  01/15/2028   3,386,209 
 4,760,000   Atlas Warehouse Lending Co. LP   6.25%(a)  01/15/2030   4,733,231 
 591,000   Avery Dennison Corp.   4.88%  12/06/2028   590,157 
 2,715,000   Aviation Capital Group LLC   1.95%(a)  09/20/2026   2,579,432 
 687,000   Aviation Capital Group LLC   6.25%(a)  04/15/2028   709,216 
 504,000   Bank of America Corp.
 (SOFR + 1.75%)		   4.83%  07/22/2026   504,098 
 1,921,000   Bank of America Corp.
 (3 mo. Term SOFR + 1.32%)		   3.56%  04/23/2027   1,890,719 
 2,318,000   Blackstone Private Credit Fund   5.60%(a)  11/22/2029   2,289,985 
 1,681,000   Blackstone Secured Lending Fund   5.88%  11/15/2027   1,707,989 
 5,796,000   Blue Owl Capital Corp.   5.95%  03/15/2029   5,821,493 
 3,477,000   Blue Owl Credit Income Corp.   7.75%  09/16/2027   3,652,198 
 6,007,000   Blue Owl Credit Income Corp.   5.80%(a)  03/15/2030   5,918,697 
 2,173,000   Blue Owl Technology Finance Corp.   3.75%(a)  06/17/2026   2,103,313 
 5,367,000   Blue Owl Technology Finance Corp. II   6.75%(a)  04/04/2029   5,402,398 
 1,842,000   Bristol-Myers Squibb Co.
 (SOFR + 0.49%)		   5.01%  02/20/2026   1,846,842 
 377,000   Brixmor Operating Partnership LP   4.13%  06/15/2026   373,259 
 1,695,000   Broadcom, Inc.   3.15%  11/15/2025   1,673,560 
 1,653,000   Broadcom, Inc.   5.05%  07/12/2029   1,659,817 
 1,441,000   Broadcom, Inc.   4.35%  02/15/2030   1,402,402 
 478,000   Bunge Ltd. Finance Corp.   3.75%  09/25/2027   465,566 
 365,000   Cabot Corp.   4.00%  07/01/2029   349,408 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 7,824,000   Capital One Financial Corp.
 (SOFR + 2.16%)		   4.99%  07/24/2026   7,820,113 
 1,782,000   CenterPoint Energy, Inc.   5.40%  06/01/2029   1,803,465 
 1,634,000   Charles Schwab Corp.
 (SOFR + 1.05%)		   5.56%  03/03/2027   1,652,424 
 1,010,000   Charter Communications Operating LLC / Charter Communications Operating Capital   6.15%  11/10/2026   1,030,008 
 1,664,000   Cheniere Energy Partners LP   4.50%  10/01/2029   1,612,181 
 3,272,000   Cheniere Energy, Inc.   4.63%  10/15/2028   3,203,318 
 5,969,000   Citigroup, Inc.
 (SOFR + 1.34%)		   4.54%  09/19/2030   5,801,364 
 290,000   Citizens Financial Group, Inc.   4.30%  12/03/2025   288,247 
 890,000   CNA Financial Corp.   3.90%  05/01/2029   852,775 
 2,995,000   CNH Industrial Capital LLC   4.50%  10/08/2027   2,968,435 
 3,477,000   Corebridge Global Funding   5.75%(a)  07/02/2026   3,528,406 
 359,000   Coterra Energy, Inc.   3.90%  05/15/2027   351,000 
 232,000   Coterra Energy, Inc.   4.38%  03/15/2029   224,450 
 1,755,000   Crown Castle, Inc.   4.80%  09/01/2028   1,736,012 
 4,165,000   Crown Castle, Inc.   4.90%  09/01/2029   4,121,248 
 1,768,000   CubeSmart LP   4.38%  02/15/2029   1,717,883 
 1,730,000   CVS Health Corp.   5.00%  02/20/2026   1,729,224 
 1,502,000   Darden Restaurants, Inc.   4.35%  10/15/2027   1,482,039 
 751,000   DCP Midstream Operating LP   5.13%  05/15/2029   752,716 
 4,930,000   Dell International LLC / EMC Corp.   4.35%  02/01/2030   4,772,059 
 655,000   Delta Air Lines, Inc.   7.38%  01/15/2026   669,594 
 180,000   Delta Air Lines, Inc. / SkyMiles IP Ltd.   4.75%(a)  10/20/2028   177,647 
 852,000   Devon Energy Corp.   5.25%  10/15/2027   853,132 
 481,000   DOC DR LLC   4.30%  03/15/2027   475,989 
 3,322,000   Edison International   5.45%  06/15/2029   3,353,961 
 3,049,000   Edwards Lifesciences Corp.   4.30%  06/15/2028   2,984,928 
 1,596,000   Eli Lilly & Co.   5.00%  02/27/2026   1,596,037 
 3,340,000   Energy Transfer LP   6.05%  12/01/2026   3,413,668 
 1,563,000   EnLink Midstream LLC   5.38%  06/01/2029   1,564,066 
 3,550,000   Entergy Corp.   0.90%  09/15/2025   3,453,386 
 249,000   EOG Resources, Inc.   4.15%  01/15/2026   247,882 
 481,000   EPR Properties   4.95%  04/15/2028   473,298 
 487,000   EQT Corp.   3.90%  10/01/2027   473,865 
 585,000   EQT Corp.   7.00%  02/01/2030   622,755 
 3,005,000   Equifax, Inc.   4.80%  09/15/2029   2,968,671 
 3,515,000   Equinix, Inc.   1.25%  07/15/2025   3,448,181 
 1,163,000   Essential Utilities, Inc.   4.80%  08/15/2027   1,162,232 
 145,000   Essential Utilities, Inc.   3.57%  05/01/2029   136,654 
 580,000   Eversource Energy   4.75%  05/15/2026   579,919 
 1,705,000   Exelon Corp.   5.15%  03/15/2029   1,714,363 
 3,398,000   Expedia Group, Inc.   6.25%(a)  05/01/2025   3,400,426 
 3,050,000   Fifth Third Bank, Inc.   3.85%  03/15/2026   3,013,510 
 1,129,000   FirstEnergy Transmission LLC   4.55%(a)  01/15/2030   1,099,611 
 4,174,000   Fiserv, Inc.   4.75%  03/15/2030   4,124,118 
 3,273,000   Ford Motor Credit Co. LLC   5.30%  09/06/2029   3,209,430 
 1,862,000   Foundry JV Holdco LLC   5.90%(a)  01/25/2030   1,889,316 
 935,000   GA Global Funding Trust   5.50%(a)  01/08/2029   945,082 
 171,000   GATX Corp.   4.00%  06/30/2030   162,209 
 3,293,000   GE HealthCare Technologies, Inc.   4.80%  08/14/2029   3,263,399 
 1,740,000   General Mills, Inc.   4.00%  04/17/2025   1,735,628 
 1,375,000   General Mills, Inc.   5.24%  11/18/2025   1,375,025 
 3,315,000   General Motors Financial Co., Inc.   4.00%  01/15/2025   3,313,670 
 3,420,000   General Motors Financial Co., Inc.   5.25%  03/01/2026   3,431,182 
 2,767,000   Genuine Parts Co.   4.95%  08/15/2029   2,760,188 
 1,275,000   Global Payments, Inc.   5.30%  08/15/2029   1,277,923 
 2,183,000   Goldman Sachs Bank USA/New York NY
 (SOFR + 0.77%)		   5.25%  03/18/2027   2,187,386 
 3,345,000   HCA, Inc.   5.38%  02/01/2025   3,345,777 
 3,296,000   Hewlett Packard Enterprise Co.   4.55%  10/15/2029   3,214,082 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 200,000   HSBC USA, Inc.
 (SOFR + 0.96%)		   5.46%  03/04/2027   201,247 
 945,000   Huntington Bancshares, Inc./OH
 (SOFR + 1.28%)		   5.27%  01/15/2031   946,056 
 2,495,000   Hyatt Hotels Corp.   5.75%  01/30/2027   2,534,054 
 3,314,000   Hyundai Capital America   4.55%(a)  09/26/2029   3,218,505 
 1,665,000   Icon Investments Six DAC   5.81%  05/08/2027   1,693,542 
 3,341,000   IDEX Corp.   4.95%  09/01/2029   3,328,556 
 2,033,000   Illumina, Inc.   4.65%  09/09/2026   2,026,693 
 1,263,000   Interstate Power and Light Co.   3.60%  04/01/2029   1,198,454 
 275,000   ITC Holdings Corp.   4.95%(a)  09/22/2027   275,698 
 6,900,000   Jackson National Life Global Funding   4.60%(a)  10/01/2029   6,714,404 
 2,955,000   JPMorgan Chase & Co.
 (SOFR + 0.92%)		   5.54%  04/22/2028   2,973,202 
 1,761,000   Keysight Technologies, Inc.   3.00%  10/30/2029   1,606,556 
 1,730,000   Kinder Morgan, Inc.   4.30%  06/01/2025   1,726,302 
 1,735,000   Kinder Morgan, Inc.   5.00%  02/01/2029   1,729,838 
 3,280,000   Laboratory Corp. of America Holdings   4.35%  04/01/2030   3,165,381 
 2,278,000   Lear Corp.   4.25%  05/15/2029   2,192,306 
 922,000   Lennar Corp.   5.25%  06/01/2026   927,020 
 249,000   Lennox International, Inc.   5.50%  09/15/2028   253,343 
 1,632,000   LPL Holdings, Inc.   4.63%(a)  11/15/2027   1,607,203 
 1,485,000   M&T Bank Corp.
 (SOFR + 0.93%)		   4.83%  01/16/2029   1,479,097 
 250,000   Manufacturers & Traders Trust Co.   4.65%  01/27/2026   249,436 
 3,008,000   Marriott International, Inc./MD   4.80%  03/15/2030   2,986,873 
 3,814,000   MasTec, Inc.   4.50%(a)  08/15/2028   3,701,039 
 3,422,000   Merck Sharp & Dohme Corp.   5.95%  12/01/2028   3,577,215 
 333,000   Meritage Homes Corp.   3.88%(a)  04/15/2029   311,496 
 460,000   Microchip Technology, Inc.   4.25%  09/01/2025   458,226 
 665,000   Microchip Technology, Inc.   5.05%  03/15/2029   663,913 
 293,000   Micron Technology, Inc.   4.98%  02/06/2026   293,454 
 1,317,000   Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.   6.50%(a)  06/20/2027   1,326,249 
 154,000   Mohawk Industries, Inc.   5.85%  09/18/2028   158,414 
 2,923,000   Morgan Stanley   3.88%  01/27/2026   2,901,856 
 3,350,000   Motorola Solutions, Inc.   5.00%  04/15/2029   3,346,079 
 162,000   MPLX LP   4.80%  02/15/2029   160,691 
 2,330,000   National Securities Clearing Corp.   4.90%(a)  06/26/2029   2,333,737 
 345,000   New York Life Global Funding
 (SOFR + 0.48%)		   4.98%(a)  06/09/2026   345,698 
 438,000   New York Life Global Funding   4.70%(a)  01/29/2029   437,146 
 412,000   Newmont Corp. / Newcrest Finance Pty Ltd.   5.30%  03/15/2026   415,109 
 3,228,000   NGPL PipeCo LLC   4.88%(a)  08/15/2027   3,204,677 
 1,690,000   NiSource, Inc.   5.25%  03/30/2028   1,705,116 
 1,203,000   NiSource, Inc.   5.20%  07/01/2029   1,213,311 
 1,733,000   Norfolk Southern Corp.   7.80%  05/15/2027   1,855,550 
 525,000   Northwestern Mutual Global Funding   4.11%(a)  09/12/2027   518,125 
 1,385,000   Occidental Petroleum Corp.   5.20%  08/01/2029   1,375,074 
 1,593,000   Omega Healthcare Investors, Inc.   4.75%  01/15/2028   1,572,435 
 3,027,000   Oracle Corp.   5.80%  11/10/2025   3,058,108 
 1,605,000   O’Reilly Automotive, Inc.   5.75%  11/20/2026   1,634,094 
 145,000   O’Reilly Automotive, Inc.   4.20%  04/01/2030   139,522 
 571,000   Owens Corning   3.50%  02/15/2030   530,914 
 1,640,000   Pacific Gas and Electric Co.
 (SOFR + 0.95%)		   5.45%  09/04/2025   1,642,900 
 4,604,000   Pacific Gas and Electric Co.   6.10%  01/15/2029   4,767,741 
 319,000   Pacific Life Global Funding II
 (SOFR + 0.62%)		   5.12%(a)  06/04/2026   320,040 
 3,020,000   Penske Truck Leasing Co. Lp / PTL Finance Corp.   4.00%(a)  07/15/2025   3,003,884 
 3,462,000   Penske Truck Leasing Co. Lp / PTL Finance Corp.   4.40%(a)  07/01/2027   3,418,146 
 1,934,000   PNC Financial Services Group, Inc.
 (SOFR + 1.32%)		   5.81%  06/12/2026   1,942,434 
 652,000   Public Service Co. of Colorado   3.70%  06/15/2028   629,946 
 2,196,000   Public Service Enterprise Group, Inc.   5.85%  11/15/2027   2,259,588 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 2,335,000   Public Storage Operating Co.
 (SOFR + 0.70%)		   5.35%  04/16/2027   2,347,457 
 3,283,000   Quanta Services, Inc.   4.75%  08/09/2027   3,279,881 
 3,222,000   Quest Diagnostics, Inc.   4.20%  06/30/2029   3,128,888 
 264,000   RGA Global Funding   6.00%(a)  11/21/2028   272,470 
 3,770,000   Royalty Pharma PLC   1.75%  09/02/2027   3,473,640 
 191,000   Ryder System, Inc.   5.25%  06/01/2028   193,138 
 765,000   Ryder System, Inc.   4.95%  09/01/2029   762,701 
 878,000   Sempra   5.40%  08/01/2026   886,310 
 1,302,000   Sherwin-Williams Co.   4.55%  03/01/2028   1,291,675 
 3,006,000   Solventum Corp.   5.45%(a)  02/25/2027   3,036,092 
 1,635,000   Sonoco Products Co.   4.45%  09/01/2026   1,624,555 
 2,385,000   Southern California Edison Co.   4.90%  06/01/2026   2,390,394 
 1,685,000   Southern Co.   5.15%  10/06/2025   1,691,186 
 2,950,000   State Street Corp.
 (SOFR + 1.35%)		   5.75%  11/04/2026   2,974,450 
 3,042,000   Take-Two Interactive Software, Inc.   4.95%  03/28/2028   3,041,201 
 1,591,000   Targa Resources Partners LP / Targa Resources Partners Finance Corp.   6.50%  07/15/2027   1,603,543 
 3,938,000   Targa Resources Partners LP / Targa Resources Partners Finance Corp.   6.88%  01/15/2029   4,038,313 
 4,005,000   Targa Resources Partners LP / Targa Resources Partners Finance Corp.   5.50%  03/01/2030   4,020,159 
 3,365,000   The Campbell’s Co.   3.95%  03/15/2025   3,357,556 
 1,325,000   The Campbell’s Co.   5.20%  03/19/2027   1,337,591 
 322,000   Timken Co.   4.50%  12/15/2028   316,367 
 510,000   Toll Brothers Finance Corp.   4.88%  03/15/2027   509,926 
 1,292,000   Uber Technologies, Inc.   6.25%(a)  01/15/2028   1,304,017 
 359,000   US Bancorp
 (SOFR + 1.43%)		   5.73%  10/21/2026   361,533 
 3,095,000   Utah Acquisition Sub, Inc.   3.95%  06/15/2026   3,048,402 
 1,682,000   Veralto Corp.   5.50%  09/18/2026   1,702,286 
 1,080,000   Veralto Corp.   5.35%  09/18/2028   1,094,267 
 3,496,000   VICI Properties LP / VICI Note Co., Inc.   4.25%(a)  12/01/2026   3,440,350 
 5,013,000   Wells Fargo & Co.
 (SOFR + 1.07%)		   5.69%  04/22/2028   5,056,914 
 3,390,000   Welltower OP LLC   4.00%  06/01/2025   3,378,130 
 391,000   Western Midstream Operating LP   6.35%  01/15/2029   404,913 
 1,553,000   Western Midstream Operating LP   4.05%  02/01/2030   1,457,690 
 3,008,000   Williams Cos., Inc.   4.80%  11/15/2029   2,969,315 
 722,000   Xcel Energy, Inc.   4.00%  06/15/2028   699,043 
     Total US Corporate Bonds (Cost $382,539,470)           381,343,438 
US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS - 2.5% 
     Federal Home Loan Mortgage Corp.             
 4,433,443   Pool SD5219   6.00%  04/01/2054   4,491,126 
 2,025,084   Series 3072-FB (30 day avg SOFR US + 0.66%, 0.55% Floor, 7.00% Cap)   5.26%  11/15/2035   2,013,234 
 209,124   Series 3417-SM (-1 x 30 day avg SOFR US + 6.17%, 0.00% Floor, 6.28% Cap)   1.57%(h)(j)  02/15/2038   18,167 
 4,589,602   Series 4248-FT (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap)   5.21%  09/15/2043   4,530,249 
 3,602,794   Series 4631-FA (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap)   5.21%  11/15/2046   3,548,170 
 1,696,140   Series 4917-FE (30 day avg SOFR US + 0.56%, 0.45% Floor, 6.50% Cap)   5.13%  10/25/2049   1,663,621 
 5,707,523   Series 4990-FN (30 day avg SOFR US + 0.46%, 0.35% Floor, 6.50% Cap)   5.03%  05/25/2050   5,533,445 
     Federal National Mortgage Association             
 742,106   Pool AL2987 (1 yr. RFUCCT + 1.62%, 1.62% Floor, 7.31% Cap)   7.01%  11/01/2042   765,490 
 517,338   Pool BM3520 (1 yr. RFUCCT + 1.56%, 1.56% Floor, 6.98% Cap)   6.77%  05/01/2045   534,875 
 4,366,594   Pool FS6084   6.00%  10/01/2053   4,418,260 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 131,470   Pool MA1200   3.00%  10/01/2032   123,900 
 4,035,139   Pool MA5086   5.00%  07/01/2043   3,962,567 
 3,928,871   Pool MA5112   5.00%  08/01/2043   3,850,835 
 1,823,608   Series 2014-10-KF (30 day avg SOFR US + 0.56%, 0.45% Floor, 6.50% Cap)   5.13%  03/25/2044   1,796,664 
 1,572,473   Series 2016-8-FA (30 day avg SOFR US + 0.56%, 0.45% Floor, 6.50% Cap)   5.13%  03/25/2046   1,545,089 
 5,677,921   Series 2019-25-SB (-1 x 30 day avg SOFR US + 5.94%, 0.00% Floor, 6.05% Cap)   1.37%(h)(j)  06/25/2049   512,900 
 4,516,762   Series 2019-43-FD (30 day avg SOFR US + 0.51%, 0.40% Floor, 6.50% Cap)   5.08%  08/25/2049   4,428,264 
 2,649,372   Series 2019-49-FB (30 day avg SOFR US + 0.59%, 0.48% Floor, 6.50% Cap)   5.16%  09/25/2049   2,598,084 
 3,612,901   Series 2020-34-F (30 day avg SOFR US + 0.56%, 0.45% Floor, 6.50% Cap)   5.13%  06/25/2050   3,524,984 
 19,936,613   Series 2020-M49-1A1   1.26%(b)  11/25/2030   18,078,285 
 2,881,468   Series 2023-M4-A1   3.77%(b)  09/25/2032   2,782,165 
 2,220,660   Series 2024-90-FA (30 day avg SOFR US + 1.50%, 1.50% Floor, 6.50% Cap)   6.07%  12/25/2054   2,235,703 
 3,594,966   Series 2024-93-FL (30 day avg SOFR US + 1.45%, 1.45% Floor, 6.50% Cap)   6.02%  12/25/2054   3,629,497 
     FREMF Mortgage Trust             
 2,433,468   Series 2016-KF18-B (30 day avg SOFR US + 5.61%, 5.50% Floor)   10.28%(a)  05/25/2026   2,418,277 
 124,762,277   Series 2017-K67-X2B   0.10%(a)(h)  09/25/2049   284,545 
 2,481,119   Series 2017-KF30-B (30 day avg SOFR US + 3.36%, 3.25% Floor)   8.03%(a)  03/25/2027   2,450,977 
 845,940   Series 2018-KF44-B (30 day avg SOFR US + 2.26%, 2.15% Floor)   6.93%(a)  02/25/2025   843,871 
 878,676   Series 2019-KF69-B (30 day avg SOFR US + 2.41%, 2.30% Floor)   7.08%(a)  08/25/2029   828,401 
     Government National Mortgage Association             
 4,580,831   Series 2015-161-GF (1 mo. Term SOFR + 0.41%, 0.30% Floor, 6.50% Cap)   4.78%  11/20/2045   4,478,805 
 1,826,820   Series 2016-121-JF (1 mo. Term SOFR + 0.51%, 0.40% Floor, 6.50% Cap)   4.88%  09/20/2046   1,792,114 
 2,615,202   Series 2022-183-B   5.00%  04/20/2047   2,623,338 
 2,632,848   Series 2024-25-AF (30 day avg SOFR US + 0.51%, 0.51% Floor, 6.50% Cap)   5.20%  02/20/2049   2,497,689 
     Total US Government and Agency Mortgage Backed Obligations (Cost $97,822,658)     94,803,591 
US GOVERNMENT AND AGENCY OBLIGATIONS - 27.6%
 151,450,000   United States Treasury Note/Bond   0.38%  12/31/2025   145,849,220 
 130,500,000   United States Treasury Note/Bond   0.38%  01/31/2026   125,234,009 
 136,700,000   United States Treasury Note/Bond   0.75%  03/31/2026   130,957,956 
 51,800,000   United States Treasury Note/Bond   0.75%  05/31/2026   49,343,383 
 80,400,000   United States Treasury Note/Bond   0.63%  07/31/2026   75,994,304 
 93,100,000   United States Treasury Note/Bond   0.88%  09/30/2026   87,872,204 
 61,350,000   United States Treasury Note/Bond   0.63%  03/31/2027   56,651,106 
 49,700,000   United States Treasury Note/Bond   0.50%  06/30/2027   45,321,153 
 210,000,000   United States Treasury Note/Bond   0.75%  01/31/2028   188,725,335 
 190,000,000   United States Treasury Note/Bond   0.88%  11/15/2030   155,499,597 
     Total US Government and Agency Obligations (Cost $1,067,105,284)      1,061,448,267 
COMMON STOCKS - 0.0%(k) 
 9,129   Flame Aggregator - Series R(e)(l)           38,524 
 907   Flame Aggregator - Series U(e)(l)           3,828 
     Total Common Stocks (Cost $20,580)           42,352 
SHORT TERM INVESTMENTS - 5.3%
 68,649,413   First American Government Obligations Fund - U   4.41%(m)      68,649,413 
 68,649,414   JPMorgan US Government Money Market Fund - IM   4.44%(m)      68,649,414 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 68,649,414   MSILF Government Portfolio - Institutional   4.42%(m)      68,649,414 
     Total Short Term Investments (Cost $205,948,241)           205,948,241 
     Total Investments - 94.9% (Cost $3,918,783,847)           3,653,089,298 
     Other Assets in Excess of Liabilities - 5.1%           198,140,338 
     NET ASSETS - 100.0%          $3,851,229,636 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:   
US Government and Agency Obligations   27.6%
Collateralized Loan Obligations   13.4%
Non-Agency Commercial Mortgage Backed Obligations   11.4%
Non-Agency Residential Collateralized Mortgage Obligations   10.9%
US Corporate Bonds   9.9%
Asset Backed Obligations   6.9%
Short Term Investments   5.3%
Foreign Corporate Bonds   4.0%
Bank Loans   2.6%
US Government and Agency Mortgage Backed Obligations   2.5%
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations   0.4%
Common Stocks   0.0%(k)
Other Assets and Liabilities   5.1%
Net Assets   100.0%

 

INVESTMENT BREAKDOWN as a % of Net Assets:   
US Government and Agency Obligations   27.6%
Collateralized Loan Obligations   13.4%
Non-Agency Commercial Mortgage Backed Obligations   11.4%
Non-Agency Residential Collateralized Mortgage Obligations   10.9%
Asset Backed Obligations   6.9%
Short Term Investments   5.3%
Banking   2.9%
US Government and Agency Mortgage Backed Obligations   2.5%
Finance   1.8%
Energy   1.3%
Utilities   1.3%
Technology   1.0%
Automotive   0.8%
Hotels/Motels/Inns and Casinos   0.7%
Healthcare   0.7%
Insurance   0.6%
Media   0.6%
Transportation   0.5%
Pharmaceuticals   0.4%
Mining   0.4%
Industrial Equipment   0.3%
Real Estate   0.3%
Chemicals/Plastics   0.3%
Telecommunications   0.3%
Food Products   0.3%
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations   0.3%
Construction   0.2%
Commercial Services   0.2%
Consumer Products   0.2%
Business Equipment and Services   0.2%
Retailers (other than Food/Drug)   0.2%
Aerospace & Defense   0.2%
Diversified Manufacturing   0.2%
IT Services   0.2%
Electronics/Electric   0.1%
Building and Development (including Steel/Metals)   0.1%
Containers and Glass Products   0.1%
 

 

Beverage and Tobacco   0.1%
Financial Intermediaries   0.1%
Conglomerates   0.0%(k)
Food Service   0.0%(k)
Chemical Products   0.0%(k)
Financials   0.0%(k)
Other Assets and Liabilities   5.1%
Net Assets   100.0%

 

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of December 31, 2024, the value of these securities total $1,570,002,105 or 40.8% of the Fund’s net assets.
(b) Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end.
(c) Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end.
(d) Security is in default or has failed to make a scheduled payment. Income is not being accrued.
(e) Value determined using significant unobservable inputs.
(f) Perpetual maturity. The date disclosed is the next call date of the security.
(g) Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date.
(h) Interest only security
(i) Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of period end.
(j) Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.
(k) Represents less than 0.05% of net assets.
(l) Non-income producing security.
(m) Seven-day yield as of period end.

 

CMT Constant Maturity Treasury Rate
LIBOR London Interbank Offered Rate
RFUCCT Refinitiv USD IBOR Consumer Cash Fallbacks
SOFR Secured Overnight Financing Rate
 

 

SWAP AGREEMENTS                 
EXCESS RETURN SWAPS
Reference Entity  Counterparty  Long/ Short  Financing Rate   Payment Frequency  Termination Date   Notional Amount   Value   Upfront Premiums Paid/ (Received)   Unrealized Appreciation (Depreciation) 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  BNP Paribas Securities Corp.  Long  0.39%  Termination  01/09/2025  $100,000,000  $9,199,178  $—    $9,199,178 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Canadian Imperial Bank Of Commerce  Long  0.40%  Termination  02/19/2025   85,000,000   8,649,756   —     8,649,756 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Canadian Imperial Bank Of Commerce  Long  0.40%  Termination  01/10/2025   97,000,000   7,808,942   —     7,808,942 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  BNP Paribas Securities Corp.  Long  0.39%  Termination  02/13/2025   86,000,000   7,729,073   —     7,729,073 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Morgan Stanley  Long  0.36%  Termination  03/05/2025   78,000,000   7,369,709   —     7,369,709 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Bank of America Securities, Inc.  Long  0.38%  Termination  02/26/2025   80,000,000   7,334,084   —     7,334,084 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Bank of America Securities, Inc.  Long  0.38%  Termination  04/23/2025   66,000,000   6,781,071   —     6,781,071 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Morgan Stanley  Long  0.36%  Termination  01/08/2025   54,000,000   6,507,621   —     6,507,621 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  BNP Paribas Securities Corp.  Long  0.39%  Termination  05/08/2025   60,000,000   6,088,367   —     6,088,367 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Canadian Imperial Bank Of Commerce  Long  0.40%  Termination  03/12/2025   75,000,000   5,829,039   —     5,829,039 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Barclays Capital, Inc.  Long  0.40%  Termination  05/16/2025   86,000,000   5,817,109   —     5,817,109 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  BNP Paribas Securities Corp.  Long  0.39%  Termination  08/28/2025   100,000,000   5,513,538   —     5,513,538 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Bank of America Securities, Inc.  Long  0.38%  Termination  06/25/2025   82,000,000   5,366,899   —     5,366,899 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Canadian Imperial Bank Of Commerce  Long  0.40%  Termination  04/30/2025   60,000,000   5,270,084   —     5,270,084 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Canadian Imperial Bank Of Commerce  Long  0.40%  Termination  05/28/2025   84,000,000   5,095,000   —     5,095,000 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Canadian Imperial Bank Of Commerce  Long  0.40%  Termination  06/06/2025   65,000,000   5,071,070   —     5,071,070 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Canadian Imperial Bank Of Commerce  Long  0.40%  Termination  04/02/2025   93,000,000   5,040,359   —     5,040,359 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Bank of America Securities, Inc.  Long  0.38%  Termination  04/09/2025   91,000,000   4,999,560   —     4,999,560 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Canadian Imperial Bank Of Commerce  Long  0.40%  Termination  03/21/2025   65,000,000   4,836,546   —     4,836,546 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  BNP Paribas Securities Corp.  Long  0.39%  Termination  01/30/2025   64,000,000   4,734,109   —     4,734,109 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Bank of America Securities, Inc.  Long  0.38%  Termination  08/20/2025   83,000,000   4,710,532   —     4,710,532 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Morgan Stanley  Long  0.36%  Termination  02/05/2025   47,000,000   4,612,783   —     4,612,783 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Barclays Capital, Inc.  Long  0.40%  Termination  07/09/2025   80,000,000   4,370,495   —     4,370,495 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Barclays Capital, Inc.  Long  0.40%  Termination  06/18/2025   60,000,000   4,359,656   —     4,359,656 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  BNP Paribas Securities Corp.  Long  0.39%  Termination  07/31/2025   72,000,000   4,328,924   —     4,328,924 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Morgan Stanley  Long  0.36%  Termination  01/15/2025   50,000,000   3,713,728   —     3,713,728 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Bank of America Securities, Inc.  Long  0.38%  Termination  08/06/2025   83,000,000   3,607,406   —     3,607,406 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  BNP Paribas Securities Corp.  Long  0.39%  Termination  06/12/2025   55,000,000   3,579,791   —     3,579,791 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Bank of America Securities, Inc.  Long  0.38%  Termination  03/26/2025   62,000,000   3,287,450   —     3,287,450 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Barclays Capital, Inc.  Long  0.40%  Termination  08/15/2025   43,000,000   2,984,671   —     2,984,671 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Canadian Imperial Bank Of Commerce  Long  0.40%  Termination  07/23/2025   98,000,000   2,364,982   —     2,364,982 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Barclays Capital, Inc.  Long  0.40%  Termination  09/05/2025   71,000,000   2,309,075   —     2,309,075 
 

 

Shiller Barclays CAPE® US Sector II ER USD Index (1)  Barclays Capital, Inc.  Long  0.40%  Termination  07/18/2025   55,000,000   2,254,665   —     2,254,665 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Barclays Capital, Inc.  Long  0.40%  Termination  09/26/2025   70,000,000   1,536,711   —     1,536,711 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  BNP Paribas Securities Corp.  Long  0.39%  Termination  09/11/2025   52,000,000   1,236,160   —     1,236,160 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  BNP Paribas Securities Corp.  Long  0.39%  Termination  11/06/2025   80,000,000   1,034,023   —     1,034,023 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  BNP Paribas Securities Corp.  Long  0.39%  Termination  10/16/2025   79,000,000   878,089   —     878,089 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Barclays Capital, Inc.  Long  0.40%  Termination  10/10/2025   85,000,000   869,530   —     869,530 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Barclays Capital, Inc.  Long  0.40%  Termination  09/19/2025   36,000,000   828,956   —     828,956 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Canadian Imperial Bank Of Commerce  Long  0.40%  Termination  10/03/2025   85,000,000   729,317   —     729,317 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Bank of America Securities, Inc.  Long  0.38%  Termination  10/29/2025   75,000,000   325,985   —     325,985 
Shiller Barclays CAPE® US Sector II ER USD Index (1)  BNP Paribas Securities Corp.  Long  0.39%  Termination  11/20/2025   65,000,000   (150,910   —     (150,910)
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Barclays Capital, Inc.  Long  0.40%  Termination  10/24/2025   90,000,000   (241,440   —     (241,440)
Shiller Barclays CAPE® US Sector II ER USD Index (1)  BNP Paribas Securities Corp.  Long  0.39%  Termination  12/24/2025   85,000,000   (643,904   —     (643,904)
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Canadian Imperial Bank Of Commerce  Long  0.40%  Termination  11/14/2025   45,000,000   (1,373,252   —     (1,373,252)
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Barclays Capital, Inc.  Long  0.40%  Termination  11/26/2025   78,000,000   (2,876,829   —     (2,876,829)
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Bank of America Securities, Inc.  Long  0.38%  Termination  12/03/2025   93,000,000   (3,649,428   —     (3,649,428)
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Bank of America Securities, Inc.  Long  0.38%  Termination  01/28/2026   100,000,000   (5,072,264   —     (5,072,264)
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Canadian Imperial Bank Of Commerce  Long  0.40%  Termination  12/12/2025   89,000,000   (5,114,950   —     (5,114,950)
Shiller Barclays CAPE® US Sector II ER USD Index (1)  Bank of America Securities, Inc.  Long  0.38%  Termination  12/31/2025   90,000,000   (5,301,680   —     (5,301,680)
                       $154,539,386  $—    $154,539,386 

 

(1)   Shiller Barclays CAPE® US Sector II ER USD Index aims to provide notional long exposure to the top four United States equity sectors that are relatively undervalued, as defined by a modified version of the classic CAPE® Ratio (the “Relative CAPE® Indicator”) and that possess relatively strong price momentum over the prior twelve months. Each U.S. equity sector is represented by an index of equity securities of companies in the relevant sector. Information on the sector constituents as of December 31, 2024, is available on the Barclays Capital, Inc. website https://indices.cib.barclays/IM/12/en/indices/details.app;ticker=BXIICS2E.
 

 

 

DoubleLine Flexible Income Fund   (Unaudited)
     
Schedule of Investments   December 31, 2024

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 ASSET BACKED OBLIGATIONS - 5.8%             
     Affirm, Inc.             
 2,250,000   Series 2024-X2-D   6.08%(a)  12/17/2029   2,255,602 
     Amur Equipment Finance Receivables LLC             
 650,000   Series 2021-1A-E   4.13%(a)  03/20/2028   649,453 
     Apollo Aviation Securitization Equity Trust             
 1,107,915   Series 2022-1A-A   6.00%(a)  05/16/2047   1,091,396 
 1,964,278   Series 2024-1A-B   6.90%(a)  05/16/2049   1,997,390 
 2,456,908   Series 2024-2A-B   6.61%(a)  09/16/2049   2,436,569 
     Arivo Acceptance Auto Loan Receivables Trust             
 513,000   Series 2021-1A-C   3.77%(a)  03/15/2027   510,412 
     Blue Stream Communications LLC             
 1,000,000   Series 2024-1A-B   6.04%(a)  11/20/2054   1,000,811 
 1,000,000   Series 2024-1A-C   8.71%(a)  11/20/2054   1,000,378 
     Bojangles Issuer LLC             
 1,000,000   Series 2024-1A-A2   6.58%(a)  11/20/2054   989,109 
     Business Jet Securities LLC             
 1,889,671   Series 2024-2A-C   7.97%(a)  09/15/2039   1,893,301 
     CAI International, Inc.             
 638,125   Series 2020-1A-B   3.50%(a)  09/25/2045   597,928 
     Castlelake Aircraft Securitization Trust             
 2,468,915   Series 2018-1-B   5.30%(a)  06/15/2043   2,098,733 
     Cologix Data Centers US Issuer LLC             
 2,250,000   Series 2021-1A-A2   3.30%(a)  12/26/2051   2,137,534 
     Compass Datacenters LLC             
 1,500,000   Series 2024-1A-B   7.00%(a)  02/25/2049   1,512,630 
 500,000   Series 2024-2A-B2   6.00%(a)  08/25/2049   491,532 
     Diamond Resorts Owner Trust             
 474,961   Series 2021-1A-D   3.83%(a)  11/21/2033   463,207 
     DigitalBridge Group, Inc.             
 2,000,000   Series 2023-1A-B   5.75%(a)  09/15/2048   1,959,322 
     ExteNet LLC             
 1,500,000   Series 2024-1A-C   9.05%(a)  07/25/2054   1,524,104 
     Falko Regional Aircraft Ltd.             
 3,181,006   Series 2021-1A-A   5.75%  04/15/2041   3,095,694 
     GreenSky Home Improvement Issuer Trust             
 600,000   Series 2024-2-D   6.43%(a)  10/27/2059   604,419 
     Jersey Mike’s Funding             
 1,855,212   Series 2019-1A-A2   4.43%(a)  02/15/2050   1,833,644 
     JOL Air Ltd.             
 853,013   Series 2019-1-B   4.95%(a)  04/15/2044   838,483 
     Lendingpoint Asset Securitization Trust             
 1,389,955   Series 2022-C-B   7.46%(a)  02/15/2030   1,391,374 
     Loanpal Solar Loan Ltd.             
 961,052   Series 2021-1GS-C   3.50%(a)  01/20/2048   726,057 
     Luminace Issuer LLC             
 729,210   Series 2024-1-A   5.87%(a)  10/30/2031   715,021 
     Lunar Structured Aircraft Portfolio Notes             
 2,628,097   Series 2021-1-C   5.68%(a)  10/15/2046   2,552,261 
     MAPS Ltd.             
 104,380   Series 2021-1A-C   5.44%(a)  06/15/2046   100,323 
     Mariner Finance Issuance Trust             
 2,250,000   Series 2024-BA-A   4.91%(a)  11/20/2038   2,217,883 
     Marlette Funding Trust             
 750,000   Series 2022-1A-D   3.39%(a)  04/15/2032   728,565 
 2,500,000   Series 2022-3A-C   6.89%(a)  11/15/2032   2,529,013 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Mosaic Solar Loans LLC             
 230,928   Series 2018-1A-C   0.00%(a)(b)  06/22/2043   223,420 
     Pagaya AI Debt Selection Trust             
 2,559,259   Series 2021-3-C   3.27%(a)  05/15/2029   2,435,156 
 1,350,000   Series 2021-5-CERT   0.00%(a)(c)(d)  08/15/2029   50,643 
 905,499   Series 2024-1-A   6.66%(a)  07/15/2031   916,689 
     Subway Funding LLC             
 1,000,000   Series 2024-3A-A23   5.91%(a)  07/30/2054   980,214 
     Switch ABS Issuer LLC             
 1,500,000   Series 2024-1A-B   6.50%(a)  03/25/2054   1,512,353 
 1,250,000   Series 2024-2A-C   10.03%(a)  06/25/2054   1,295,196 
     Tesla Sustainable Energy Trust             
 1,500,000   Series 2024-1A-C   6.25%(a)  06/21/2050   1,490,303 
     Upstart Pass-Through Trust Series             
 630,305   Series 2021-ST3-A   2.00%(a)  05/20/2027   622,462 
     Upstart Securitization Trust             
 956,504   Series 2021-3-C   3.28%(a)  07/20/2031   941,867 
 4,000,000   Series 2021-4-C   3.19%(a)  09/20/2031   3,869,338 
 2,850,000   Series 2024-1-B   6.24%(a)  11/20/2034   2,844,792 
     Vivant Solar Financing V Parent LLC             
 4,225,228   Series 2018-1A-A   4.73%(a)  04/30/2048   3,960,681 
     Willis Lease Finance Corp.             
 941,281   Series 2018-A-A   4.75%(a)(e)  09/15/2043   932,233 
     Zephyrus Capital Aviation Partners             
 532,602   Series 2018-1-A   4.61%(a)  10/15/2038   515,853 
     Total Asset Backed Obligations (Cost $65,511,185)           64,533,348 
 BANK LOANS - 11.5%             
     AAdvantage Loyalty IP Ltd.             
 157,500   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.75% Floor)   9.63%  04/20/2028   161,956 
     ABG Intermediate Holdings 2 LLC             
 54,810   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.59%  12/21/2028   55,093 
     Access CIG LLC             
 318,814   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.50% Floor)   9.59%  08/18/2028   322,315 
     Acrisure LLC             
 2,166,799   Senior Secured Term Loan (1 mo. Term SOFR + 3.25%, 0.00% Floor)   7.36%  11/06/2030   2,173,061 
     Acuris Finance US, Inc.             
 257,111   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor)   8.08%  02/16/2028   259,129 
     ADMI Corp.             
 182,176   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor)   8.22%  12/23/2027   179,443 
 272,250   Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.75%, 0.00% Floor)   10.11%  12/23/2027   273,952 
     AI Aqua Merger Sub, Inc.             
 1,968,252   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   8.05%  07/31/2028   1,972,366 
     Air Canada             
 173,688   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor)   6.34%  03/21/2031   174,719 
     AlixPartners LLP             
 285,024   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor)   6.97%  02/04/2028   286,489 
     Alliant Holdings Intermediate LLC             
 410,858   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.11%  09/19/2031   412,423 
     Allied Universal Holdco LLC             
 2,642,011   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor)   8.21%  05/15/2028   2,653,926 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Allspring Buyer LLC             
 613,661   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.44%  11/01/2030   615,425 
     Alpha Generation LLC             
 408,975   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.11%  09/30/2031   412,349 
     Alterra Mountain Co.             
 336,121   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.11%  08/17/2028   338,747 
 188,814   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  05/31/2030   190,704 
     Altice France SA             
 390,601   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.50%, 0.00% Floor)   10.16%  08/31/2028   314,727 
     Amentum Holdings, Inc.             
 470,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.61%  09/29/2031   468,921 
     Apple Bidco LLC             
 121,250   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor)   7.22%  09/25/2028   122,094 
     Applied Systems, Inc.             
 194,025   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.33%  02/24/2031   196,131 
 125,000   Senior Secured Second Lien Term Loan (3 mo. SOFR US + 5.25%, 0.00% Floor)   9.85%  02/23/2032   128,817 
     Apro LLC             
 354,113   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor)   8.27%  07/09/2031   358,022 
     Arches Buyer, Inc.             
 135,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.71%  12/06/2027   132,141 
     Ardonagh Group Finco Pty Ltd.             
 12,444   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor)   8.08%  02/18/2031   12,537 
 141,637   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.75%, 0.00% Floor)   8.53%  02/18/2031   142,699 
 59,345   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.75%, 0.00% Floor)   8.53%  02/18/2031   59,790 
     Arsenal AIC Parent LLC             
 54,725   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  08/19/2030   55,259 
     Artera Services LLC             
 204,618   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.00% Floor)   8.83%  02/10/2031   203,183 
     Ascend Learning LLC             
 507,494   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.96%  12/11/2028   510,866 
 491,549   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.96%  12/11/2028   494,815 
 143,216   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.75%, 0.50% Floor)   10.21%  12/10/2029   142,411 
     Aspire Bakeries Holdings LLC             
 394,008   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.61%  12/23/2030   398,440 
     Asplundh Tree Expert LLC             
 501,970   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  05/23/2031   503,288 
     AssuredPartners, Inc.             
 2,617,592   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.86%  02/14/2031   2,626,177 
     Asurion LLC             
 260,367   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.72%  07/30/2027   260,103 
 50,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor)   9.94%  02/03/2028   48,982 
 272,080   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.71%  08/21/2028   272,664 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 165,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor)   9.72%  01/22/2029   159,753 
 142,804   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.61%  09/19/2030   142,626 
     AthenaHealth Group, Inc.             
 2,124,622   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.61%  02/15/2029   2,134,109 
     Aveanna Healthcare LLC             
 1,048,329   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor)   8.36%  07/17/2028   1,041,321 
 118,610   Senior Secured Second Lien Term Loan (3 mo. SOFR US + 7.00%, 0.50% Floor)   11.66%  12/10/2029   114,755 
     Bally’s Corp.             
 345,970   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.50% Floor)   8.14%  10/02/2028   328,068 
     Bausch + Lomb Corp.             
 2,440,645   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.69%  05/10/2027   2,452,958 
 182,688   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor)   8.33%  09/29/2028   183,887 
     BCP Renaissance Parent LLC             
 272,648   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.33%  10/31/2028   275,403 
     BCPE Empire Holdings, Inc.             
 1,092,764   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.86%  12/26/2028   1,100,168 
     Belron Finance LLC             
 408,975   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.50% Floor)   7.27%  10/16/2031   413,386 
     Boost Newco Borrower LLC             
 428,925   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor)   6.83%  01/31/2031   432,054 
     Boxer Parent Co., Inc.             
 1,985,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor)   8.34%  07/30/2031   2,003,838 
 235,000   Senior Secured Second Lien Term Loan (3 mo. SOFR US + 5.75%, 0.00% Floor)   10.34%  07/30/2032   231,867 
     Brand Industrial Services, Inc.             
 545,805   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.50% Floor)   9.07%  08/01/2030   532,211 
     Brazos Delaware II LLC             
 44,663   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.50% Floor)   8.25%  02/11/2030   45,029 
     BroadStreet Partners, Inc.             
 37,899   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  06/13/2031   38,073 
 370,247   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  06/16/2031   371,947 
     Brown Group Holding LLC             
 342,880   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor)   7.12%  07/01/2031   344,569 
 123,663   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor)   7.12%  07/01/2031   124,272 
     Caesars Entertainment, Inc.             
 362,263   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.50% Floor)   6.61%  02/06/2031   363,507 
     Camelot US Acquisition LLC             
 337,635   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.11%  01/31/2031   337,794 
 78,302   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.11%  01/31/2031   78,339 
 7,159   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.11%  01/31/2031   7,163 
     Carnival Corp.             
 42,747   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.75% Floor)   7.11%  08/09/2027   43,115 
 434,679   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.75% Floor)   7.11%  10/18/2028   438,348 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Castle US Holding Corp.             
 130,713   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor)   8.53%  01/29/2027   77,867 
     Castlelake Aviation One LLC             
 384,680   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.50% Floor)   6.86%  10/22/2026   385,978 
     Cengage Learning, Inc.             
 78,419   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 1.00% Floor)   7.86%  11/24/2031   78,924 
 135,506   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 1.00% Floor)   8.01%  11/24/2031   136,377 
     Central Parent LLC             
 2,157,829   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.85%  07/06/2029   2,132,076 
     Chariot Buyer LLC             
 830,734   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.71%  11/03/2028   836,707 
     Charter Next Generation, Inc.             
 207,477   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.75% Floor)   7.53%  12/02/2030   208,856 
     CHG Healthcare Services, Inc.             
 1,694,727   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.50% Floor)   7.40%  09/29/2028   1,702,964 
 268,643   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor)   8.28%  09/29/2028   271,217 
     CHG PPC Parent LLC             
 702,901   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor)   7.47%  12/08/2028   707,737 
     Clarios Global LP             
 513,713   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  05/06/2030   516,474 
     Cloud Software Group, Inc.             
 599,442   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor)   7.83%  03/29/2029   601,963 
 1,502   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.83%  03/29/2029   1,509 
 410,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor)   8.31%  03/24/2031   411,831 
     ClubCorp Holdings, Inc.             
 311,548   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.00% Floor)   9.33%  09/18/2026   312,879 
 12,706   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.00% Floor)   9.33%  09/18/2026   12,760 
     Clydesdale Acquisition Holdings, Inc.             
 313,773   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.18%, 0.50% Floor)   7.53%  04/13/2029   314,754 
     CMG Media Corp.             
 109,289   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   7.93%  06/18/2029   98,578 
     CNT Holdings I Corp.             
 339,025   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.75% Floor)   8.09%  11/08/2027   341,664 
     Columbus McKinnon Corp./NY             
 18,098   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.50% Floor)   6.83%  05/15/2028   18,234 
     CommScope T/L             
 407,940   Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.50%, 0.00% Floor)   9.86%  12/18/2029   396,304 
 0   Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.50%, 0.00% Floor)   9.86%  12/18/2029   —   
     Compass Power Generation LLC             
 520,611   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor)   8.11%  04/16/2029   525,817 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Connect Finco SARL             
 76,927   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.86%  12/11/2026   76,326 
     Conservice Midco LLC             
 257,852   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor)   7.86%  05/13/2027   260,108 
     Constant Contact, Inc.             
 384,907   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.75% Floor)   8.92%  02/10/2028   345,935 
     Construction Partners, Inc.             
 480,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%)   6.84%  11/03/2031   483,302 
     CoreLogic, Inc.             
 527,048   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   8.19%  06/02/2028   521,354 
     Cornerstone Building Brands, Inc.             
 147,321   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.75%  04/12/2028   141,097 
 49,875   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.50%, 0.50% Floor)   8.90%  05/15/2031   48,177 
     Cornerstone Generation LLC             
 670,000   Senior Secured Term Loan (1 mo. Term SOFR + 3.25%)   7.65%  10/28/2031   676,700 
     Cornerstone OnDemand, Inc.             
 276,638   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor)   8.22%  10/16/2028   244,271 
     Corpay Technologies Operating Co. LLC             
 748,125   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  04/28/2028   748,256 
     Cotiviti, Inc.             
 656,180   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.30%  04/30/2031   660,695 
     CPI Holdco B LLC             
 134,663   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  05/19/2031   134,554 
 240,000   Senior Secured Term Loan (1 mo. Term SOFR + 2.25%)   6.65%  05/19/2031   240,226 
     CPPIB OVM Member US LLC             
 179,550   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.58%  08/20/2031   180,953 
     CQP Holdco LP             
 358,202   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.50% Floor)   6.33%  12/31/2030   359,232 
     Crosby US Acquisition Corp.             
 168,977   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   8.07%  08/16/2029   170,921 
     Cross Financial Corp.             
 248,085   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  10/31/2031   249,946 
     Crown Equipment Corp.             
 480,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%)   6.94%  10/10/2031   483,900 
     Crown Finance US, Inc.             
 410,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor)   9.80%  12/02/2031   410,705 
     CSC Holdings LLC             
 315,855   Senior Secured First Lien Term Loan (1 Month Synthetic LIBOR + 2.50%, 0.00% Floor)   7.17%(f)  04/15/2027   292,166 
     Cube A&D Buyer, Inc.             
 515,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   8.13%  10/20/2031   519,076 
     Curium Bidco Sarl             
 148,024   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   7.83%  07/31/2029   149,782 
 65,771   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   7.83%  07/31/2029   66,552 
 221,936   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   7.83%  07/31/2029   224,572 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Cyborg Oldco DC Holdings, Inc.             
 102,725   Senior Secured Term Loan (1 mo. Term SOFR + 3.00%)   7.30%(d)(g)  05/01/2026   565 
     Dcert Buyer, Inc.             
 218,778   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor)   8.36%  10/16/2026   210,728 
 95,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 7.00%, 0.00% Floor)   11.36%  02/16/2029   77,425 
     Deerfield Dakota Holding LLC             
 1,329,260   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 1.00% Floor)   8.35%  04/09/2027   1,303,093 
     Dexko Global, Inc.             
 420,538   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor)   8.34%  10/04/2028   398,622 
     DG Investment Intermediate Holdings 2, Inc.             
 789,611   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.22%  03/31/2028   798,987 
 45,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 6.75%, 0.75% Floor)   11.22%  03/29/2029   44,909 
     Directv Financing LLC             
 159,862   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.75% Floor)   9.85%  08/02/2027   160,676 
 131,743   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.25%, 0.75% Floor)   10.10%  08/02/2029   129,612 
     Dun & Bradstreet Corp.             
 236,550   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.59%  01/18/2029   236,994 
     Dynasty Acquisition Co., Inc.             
 107,467   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%)   6.61%  10/31/2031   108,096 
 282,533   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.61%  10/31/2031   284,189 
     EAB Global, Inc.             
 431,738   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.61%  08/16/2028   433,950 
     Ecovyst Catalyst Technologies LLC             
 252,522   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor)   6.84%  06/12/2031   253,963 
 654,688   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor)   6.84%  06/12/2031   658,423 
     Edelman Financial Engines Center LLC             
 190,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor)   9.61%  10/06/2028   191,960 
     Edelman Financial Engines Center T/L             
 731,576   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%)   7.38%  04/07/2028   736,909 
     Edgewater Generation LLC             
 228,974   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.61%  08/01/2030   232,491 
     EG America LLC             
 672,589   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.00% Floor)   8.61%  02/07/2028   678,333 
     Eisner Advisory Group LLC             
 361,683   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor)   8.36%  02/28/2031   366,269 
     Element Materials Technology Group US Holdings, Inc.             
 389,786   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor)   8.08%  06/25/2029   392,832 
     Ellucian Holdings, Inc.             
 418,679   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  10/29/2029   422,029 
 30,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor)   9.11%  11/22/2032   30,650 
     Emrld Borrower LP             
 384,400   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor)   6.83%  08/04/2031   386,403 
     Energizer Holdings, Inc.             
 125,416   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  12/22/2027   125,906 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Everi Holdings, Inc.             
 126,113   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor)   6.97%  08/03/2028   126,577 
     Fertitta Entertainment LLC/NV             
 2,643,166   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.86%  01/29/2029   2,656,250 
     FinThrive Software Intermediate Holdings, Inc.             
 163,579   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.50% Floor)   8.50%  12/18/2028   110,228 
     First Advantage Holdings LLC             
 787,993   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  10/31/2031   797,350 
     Focus Financial Partners LLC             
 997,831   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  09/17/2031   1,008,243 
     Foresight Energy LLC             
 104,730   Senior Secured First Lien Term Loan (3 mo. SOFR US + 8.00%, 1.50% Floor)   12.43%(d)  06/30/2027   83,260 
     Fortrea Holdings, Inc.             
 15,332   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.75%, 0.50% Floor)   8.49%  07/01/2030   15,485 
     Freeport LNG Investments LLLP             
 651,048   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor)   7.84%  12/21/2028   654,964 
     Frontdoor, Inc.             
 155,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.61%  12/19/2031   155,775 
     Frontier Communications Holdings LLC             
 403,988   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   8.76%  07/01/2031   409,542 
     Gainwell Acquisition Corp.             
 1,099,184   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.75% Floor)   8.69%  10/01/2027   1,067,428 
     Garda World Security Corp.             
 787,283   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.00% Floor)   7.90%  02/01/2029   791,716 
     GBT US III LLC             
 170,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.63%  07/28/2031   171,041 
     GIP II Blue Holding LP             
 87,240   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 1.00% Floor)   8.11%  09/29/2028   87,968 
     GIP Pilot Acquisition Partners LP             
 153,973   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor)   7.09%  10/04/2030   155,128 
     Gogo Intermediate Holdings LLC             
 419,825   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.22%  04/28/2028   399,489 
     Golden State Foods LLC             
 330,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.77%  12/04/2031   333,351 
     Graham Packaging Co., Inc.             
 456,756   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  08/04/2027   458,407 
     Grant Thornton Advisors Holdings LLC             
 111,413   Senior Secured Term Loan (1 mo. Term SOFR + 2.75%)   7.13%  05/30/2031   111,577 
     Grant Thornton LLP/Chicago             
 279,300   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.82%  05/30/2031   279,711 
     Gray Television, Inc.             
 360,000   Senior Secured Term Loan (1 mo. Term SOFR + 3.00%)   7.67%  12/01/2028   333,609 
     Great Outdoors Group LLC             
 658,707   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.22%  03/06/2028   663,153 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Greystone Select Financial LLC             
 66,769   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 0.75% Floor)   9.88%  06/19/2028   66,602 
     Grifols Worldwide Operations USA, Inc.             
 226,167   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor)   6.74%  11/15/2027   225,616 
     Hamilton Projects Acquiror LLC             
 94,763   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor)   8.32%  05/30/2031   95,621 
     Helios Software Holdings, Inc.             
 329,990   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   8.09%  07/15/2030   332,341 
     Hexion Holdings Corp.             
 799,405   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor)   8.45%  03/15/2029   800,844 
     Hightower Holding LLC             
 1,310,146   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   8.07%  04/21/2028   1,318,878 
     Hilton Grand Vacations Borrower LLC             
 228,275   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.61%  01/17/2031   229,292 
     HomeServe USA Holding Corp.             
 183,613   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.37%  10/21/2030   184,003 
     Hunter Douglas, Inc.             
 579,613   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor)   8.02%  02/26/2029   580,048 
 212,827   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor)   8.02%  02/26/2029   212,987 
     INEOS US Finance LLC             
 740,706   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  02/19/2030   744,939 
     Ineos US Finance T/L B             
 109,725   Senior Secured Term Loan   7.76%(h)  02/07/2031   110,754 
     INEOS US Petrochem LLC             
 476,400   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.71%  03/29/2029   480,568 
 325,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.25%, 0.00% Floor)   8.61%  10/07/2031   328,656 
     ION Trading Finance T/L B             
 131,012   Senior Secured Term Loan   7.98%(h)  04/03/2028   131,351 
     Iron Mountain Information Management LLC             
 435,600   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  01/31/2031   436,145 
     Kenan Advantage Group, Inc.             
 362,541   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  01/25/2029   365,262 
     Klockner Pentaplast of America, Inc.             
 222,488   Senior Secured First Lien Term Loan (6 mo. SOFR US + 4.73%, 0.50% Floor)   9.72%  02/09/2026   204,133 
     Kodiak BP LLC             
 75,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.00% Floor)   8.27%  12/04/2031   75,147 
     Kronos Acquisition Holdings, Inc.             
 418,950   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.00% Floor)   8.58%  07/08/2031   396,693 
     LBM Acquisition LLC             
 1,500,691   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.30%  06/06/2031   1,490,374 
     LC Ahab US Bidco LLC             
 324,188   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  05/01/2031   327,228 
     Level 3 Financing, Inc.             
 68,130   Senior Secured First Lien Term Loan (1 mo. SOFR US + 6.56%, 2.00% Floor)   10.92%  04/16/2029   69,586 
 68,130   Senior Secured First Lien Term Loan (1 mo. SOFR US + 6.56%, 2.00% Floor)   11.13%  04/15/2030   69,552 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Life Time, Inc.             
 335,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%)   7.03%  11/05/2031   336,759 
     LifePoint Health, Inc.             
 69,825   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 1.00% Floor)   7.96%  05/19/2031   70,065 
 792,378   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.00% Floor)   8.41%  05/19/2031   796,178 
     Light & Wonder International, Inc.             
 230,319   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.50% Floor)   6.63%  04/16/2029   231,554 
     Lightning Power LLC             
 344,138   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.74%  08/18/2031   348,487 
     Lumen Technologies, Inc.             
 290,000   Senior Secured First Lien Term Loan (1 mo. Term SOFR + 2.35%)   7.04%  04/16/2029   273,274 
     Lummus Technology Holdings V LLC             
 449,150   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%)   7.36%  12/31/2029   453,152 
     Madison IAQ LLC             
 555,780   Senior Secured First Lien Term Loan (6 mo. SOFR US + 2.75%, 0.50% Floor)   7.89%  06/21/2028   558,473 
     Madison Safety & Flow LLC             
 204,488   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  09/26/2031   206,245 
     McAfee Corp.             
 508,265   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor)   7.37%  03/01/2029   509,345 
     Medline Borrower LP             
 580,343   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.50% Floor)   6.61%  10/23/2028   583,048 
     MH Sub I LLC             
 510,000   Senior Secured Term Loan (1 mo. Term SOFR + 4.25%)   8.76%  12/11/2031   506,333 
     Michaels Cos., Inc.             
 132,519   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.75% Floor)   9.17%  04/17/2028   107,302 
     Mister Car Wash Holdings, Inc.             
 84,788   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.09%  03/27/2031   85,294 
     Mitchell International, Inc.             
 972,563   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.61%  06/17/2031   974,294 
 215,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.00% Floor)   9.82%  06/17/2032   213,209 
     MITER Brands Acquisition Holdco, Inc.             
 89,550   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  03/28/2031   90,576 
     Modena Buyer LLC             
 145,569   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.50%, 0.00% Floor)   9.10%  07/01/2031   141,358 
     Motion Finco Sarl             
 266,898   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.00% Floor)   7.83%  11/30/2029   264,507 
     Natgasoline LLC             
 791,179   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.00% Floor)   9.02%  11/14/2025   787,223 
     NEP Group, Inc.             
 636,385   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25% + 1.50% PIK, 0.00% Floor)   8.12%  08/19/2026   583,247 
 61,957   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25% + 1.50% PIK, 0.00% Floor)   8.12%  08/19/2026   56,783 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Newfold Digital Holdings Group, Inc.             
 196,556   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.75% Floor)   8.14%  02/10/2028   133,505 
     Nouryon Finance BV             
 281,840   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.66%  04/03/2028   284,395 
 74,618   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.66%  04/03/2028   75,294 
     Nvent Thermal LLC             
 525,000   Senior Secured Term Loan (1 mo. Term SOFR + 3.50%)   8.02%  09/12/2031   531,400 
     Olympus Water US Holding Corp.             
 603,488   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50%, 0.50% Floor)   8.10%  06/23/2031   606,128 
     OneDigital Borrower LLC             
 676,600   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.61%  07/02/2031   679,158 
 225,000   Senior Secured Second Lien Term Loan (1 mo. SOFR US + 5.25%, 0.50% Floor)   9.61%  07/02/2032   224,509 
     Ontario Gaming GTA LP             
 425,718   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor)   8.89%  08/01/2030   427,125 
     Oryx Midstream Services Permian Basin LLC             
 371,250   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor)   7.51%  10/05/2028   374,005 
     Ovg Business Services LLC             
 324,188   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.36%  06/25/2031   325,403 
     Pacific Dental Services, Inc.             
 441,899   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   7.13%  03/17/2031   445,489 
     Packaging Coordinators Midco, Inc.             
 568,575   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.75% Floor)   7.84%  11/30/2027   571,773 
     Pactiv Evergreen Group Holdings, Inc.             
 241,722   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  09/25/2028   243,044 
 61,773   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  09/25/2028   62,111 
 49,003   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  09/25/2028   49,272 
     Par Petroleum LLC             
 83,513   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor)   8.33%  02/28/2030   83,409 
     Penn Entertainment, Inc.             
 387,114   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.50% Floor)   6.86%  05/03/2029   389,172 
     Peraton Corp.             
 543,557   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.21%  02/01/2028   507,150 
     Perrigo Investments LLC             
 178,851   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  04/20/2029   179,700 
     PetSmart LLC             
 839,948   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.21%  02/14/2028   838,197 
     Phoenix Newco, Inc.             
 804,686   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor)   7.36%  11/15/2028   811,224 
     Playa Resorts Holding BV             
 323,745   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.50% Floor)   7.11%  01/05/2029   324,442 
     PointClickCare Technologies, Inc.             
 585,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.58%  11/03/2031   589,387 
     Polar US Borrower LLC             
 65,691   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor)   9.98%  10/15/2028   47,692 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 80   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor)   9.98%  10/15/2028   58 
 80   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor)   9.98%  10/15/2028   58 
 65,285   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor)   9.98%  10/15/2028   47,397 
     Polaris Newco LLC             
 805,253   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.50% Floor)   8.85%  06/05/2028   807,721 
     Pregis TopCo LLC             
 512,772   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.00% Floor)   8.36%  07/31/2026   516,756 
     Pretium PKG Holdings, Inc.             
 3,489   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.60%, 1.00% Floor)   9.17%  10/02/2028   2,790 
 213,154   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.60%, 1.00% Floor)   9.17%  10/02/2028   170,456 
 74,054   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 1.00% Floor)   9.57%  10/02/2028   76,553 
 1,982   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.00%, 1.00% Floor)   9.57%  10/02/2028   2,049 
 65,000   Senior Secured Second Lien Term Loan (3 mo. SOFR US + 6.75%, 0.50% Floor)   11.53%  10/01/2029   24,449 
     Proofpoint, Inc.             
 1,706,873   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor)   7.36%  08/31/2028   1,717,123 
     Quikrete Holdings, Inc.             
 152,669   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.61%  03/19/2029   152,765 
 69,475   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  04/14/2031   69,522 
     Radiology Partners, Inc.             
 781,630   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50% + 1.50% PIK, 0.00% Floor)   8.28%  01/31/2029   774,400 
 17,188   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.50% + 1.50% PIK, 0.00% Floor)   8.28%  01/31/2029   17,029 
     RealPage, Inc.             
 190,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.75%, 0.50% Floor)   8.08%  04/24/2028   191,129 
     Restaurant Technologies, Inc.             
 679,187   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor)   8.85%  04/02/2029   668,364 
 64,869   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor)   8.85%  04/02/2029   63,835 
 64,869   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor)   8.85%  04/02/2029   63,835 
     Sabre GLBL, Inc.             
 68,225   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.97%  12/17/2027   66,519 
 38,797   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.50%, 0.50% Floor)   7.97%  12/17/2027   37,827 
 94,859   Senior Secured First Lien Term Loan (1 mo. SOFR US + 6.00%, 0.00% Floor)   10.46%  11/15/2029   92,962 
 217,790   Senior Secured First Lien Term Loan (1 mo. SOFR US + 6.00%, 0.00% Floor)   10.46%  11/15/2029   217,245 
     Sandisk Corp./DE             
 255,000   Senior Secured Term Loan (1 mo. Term SOFR + 3.00%)   7.52%  02/09/2032   251,096 
     Scientific Games Holdings LP             
 259,350   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.50% Floor)   7.59%  04/04/2029   260,290 
     Sedgwick Claims Management Services, Inc.             
 503,738   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.59%  07/31/2031   507,397 
     Select Medical Corp.             
 315,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%, 0.00% Floor)   6.53%  12/03/2031   316,443 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Signia Aerospace LLC             
 292,846   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.40%  12/11/2031   293,397 
 357,923   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.40%  12/11/2031   358,596 
     Six Flags Entertainment Corp.             
 139,300   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  05/01/2031   139,909 
     Sotera Health Holdings LLC             
 643,388   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.84%  05/30/2031   645,803 
     Southern Veterinary Partners LLC             
 715,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.71%  12/04/2031   720,945 
     Spin Holdco, Inc.             
 151,703   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.00%, 0.75% Floor)   8.71%  03/06/2028   128,439 
     SS&C Technologies, Inc.             
 284,625   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.36%  05/09/2031   285,692 
     Staples, Inc.             
 219,450   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.75%, 0.50% Floor)   10.18%  09/10/2029   210,296 
     Starwood Property Mortgage LLC             
 98,473   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.75% Floor)   7.71%  07/27/2026   98,658 
     Station Casinos LLC             
 143,913   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.00% Floor)   6.38%  03/14/2031   144,307 
     StubHub Holdco Sub LLC             
 786,764   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.00% Floor)   9.11%  03/15/2030   789,714 
     SWF Holdings I FLSO T/L A2             
 197,945   Senior Secured Term Loan   8.48%(h)  10/06/2028   178,150 
     Tamko Building Products LLC             
 182,500   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%)   7.08%  09/20/2030   184,212 
 182,500   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.75%)   7.09%  09/20/2030   184,212 
     Team Health Holdings, Inc.             
 407,266   Senior Secured First Lien Term Loan (3 mo. SOFR US + 5.25%, 1.00% Floor)   9.84%  03/02/2027   394,895 
     Tecta America Corp.             
 193,859   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%, 0.75% Floor)   8.71%  04/10/2028   195,152 
     Tempur Sealy International, Inc.             
 1,655,000   Senior Secured First Lien Term Loan (Daily US Secured Overnight Financing Rate + 2.50%, 0.00% Floor)   6.81%  10/24/2031   1,661,719 
     Thunder Generation Funding LLC             
 488,775   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.61%  10/03/2031   492,592 
     Tiger Acquisition LLC             
 764,336   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.50% Floor)   7.34%  06/01/2028   766,247 
     Titan Acquisition Ltd./Canada             
 976,384   Senior Secured First Lien Term Loan (6 mo. SOFR US + 4.50%, 0.00% Floor)   8.78%  02/15/2029   985,845 
     TK Elevator US Newco, Inc.             
 393,015   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.50% Floor)   8.59%  04/30/2030   396,358 
 225,758   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.50%, 0.50% Floor)   8.59%  04/30/2030   227,678 
     Trans Union LLC             
 179,100   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  06/24/2031   179,072 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     TransDigm, Inc.             
 653,365   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor)   6.83%  02/28/2031   655,220 
 443,888   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.50%, 0.00% Floor)   7.32%  01/20/2032   445,332 
     Travelport Finance Luxembourg Sarl             
 50,392   Senior Secured First Lien Term Loan (3 mo. SOFR US + 1.41%, 1.00% Floor)   11.32%  09/29/2028   47,321 
 153,342   Senior Secured First Lien Term Loan (3 mo. SOFR US + 1.41%, 1.00% Floor)   11.32%  09/29/2028   143,997 
     Traverse Midstream Partners T/L B             
 86,168   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 5.00% Floor)   7.56%  02/16/2028   86,743 
     TricorBraun Holdings, Inc.             
 392,705   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.50% Floor)   7.72%  03/03/2028   392,913 
     Trident TPI Holdings, Inc.             
 498,047   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.50% Floor)   8.19%  09/18/2028   503,139 
     Triton Water Holdings, Inc.             
 1,888,887   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.50% Floor)   7.84%  03/31/2028   1,906,133 
     UFC Holdings LLC             
 385,000   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor)   6.77%  11/21/2031   387,603 
     UKG, Inc.             
 2,626,326   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.62%  02/10/2031   2,648,138 
     Ultra Clean Holdings, Inc.             
 229,568   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  02/25/2028   231,721 
     United Airlines, Inc.             
 362,312   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.00%, 0.00% Floor)   6.63%  02/24/2031   363,963 
     United Natural Foods, Inc.             
 189,050   Senior Secured First Lien Term Loan (1 mo. Term SOFR + 4.75%, 0.00% Floor)   9.44%  05/01/2031   192,500 
     United Talent Agency LLC             
 138,950   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.75%, 0.75% Floor)   8.20%  07/07/2028   139,992 
     Univision Communications, Inc.             
 400,105   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor)   8.85%  06/25/2029   402,482 
     Upbound Group, Inc.             
 129,078   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.75%, 0.50% Floor)   7.34%  02/17/2028   129,400 
     Vantage Specialty Chemicals, Inc.             
 657,485   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.75%, 0.50% Floor)   9.11%  10/26/2026   651,732 
     Verde Purchaser LLC             
 159,599   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.50%, 0.00% Floor)   9.10%  11/29/2030   160,297 
     Vestis Corp.             
 120,531   Senior Secured First Lien Term Loan (3 mo. SOFR US + 2.25%, 0.00% Floor)   6.76%  02/24/2031   120,984 
     Victra Holdings LLC             
 34,125   Senior Secured First Lien Term Loan (1 mo. SOFR US + 5.25%, 0.75% Floor)   9.61%  03/29/2029   34,615 
     Virgin Media Bristol LLC             
 500,000   Senior Secured First Lien Term Loan (6 mo. SOFR US + 3.18%, 0.00% Floor)   7.72%  03/31/2031   496,003 
     Vistra Operations Co. LLC             
 94,050   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  12/20/2030   94,371 
     Vizient, Inc.             
 326,549   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.00%, 0.50% Floor)   6.36%  08/01/2031   329,488 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Vortex Opco LLC             
 101,400   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.25%, 0.50% Floor)   9.03%  12/17/2028   64,439 
     VT Topco, Inc.             
 103,953   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.00%, 0.00% Floor)   7.33%  08/12/2030   104,807 
     Wand NewCo 3, Inc.             
 112,791   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  01/30/2031   113,393 
 67,890   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  01/30/2031   68,252 
     WaterBridge Midstream Operating LLC             
 543,638   Senior Secured First Lien Term Loan (3 mo. SOFR US + 4.75%, 0.00% Floor)   9.08%  06/27/2029   542,278 
     WaterBridge NDB Operating LLC             
 265,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 4.00%)   8.38%  05/10/2029   268,195 
     WEC US Holdings, Inc.             
 463,838   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.80%  01/27/2031   464,779 
     WestJet Loyalty LP             
 918,063   Senior Secured First Lien Term Loan (3 mo. SOFR US + 3.25%, 0.00% Floor)   7.58%  02/14/2031   922,983 
     Whatabrands LLC             
 1,008,363   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   6.86%  08/03/2028   1,011,998 
     White Cap Supply Holdings LLC             
 875,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.82%  10/31/2029   877,769 
     WhiteWater DBR HoldCo LLC             
 169,575   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.25%, 0.00% Floor)   6.63%  03/03/2031   170,793 
     Wyndham Hotels & Resorts, Inc.             
 532,325   Senior Secured First Lien Term Loan (1 mo. SOFR US + 1.75%, 0.00% Floor)   6.11%  05/28/2030   533,847 
     Zayo Group Holdings, Inc.             
 266,026   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.00%, 0.00% Floor)   7.47%  03/09/2027   249,742 
     Zelis Payments Buyer, Inc.             
 480,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 3.25%, 0.00% Floor)   7.61%  11/26/2031   482,299 
     Ziggo Financing Partnership             
 235,000   Senior Secured First Lien Term Loan (1 mo. SOFR US + 2.50%, 0.00% Floor)   7.01%  04/28/2028   234,310 
     Total Bank Loans (Cost $128,275,042)           128,695,503 
 COLLATERALIZED LOAN OBLIGATIONS - 17.0%             
     Aimco CDO             
 2,000,000   Series 2021-15A-D (3 mo. Term SOFR + 3.16%, 2.90% Floor)   7.81%(a)  10/17/2034   2,017,522 
 1,000,000   Series 2024-21A-D1 (3 mo. Term SOFR + 3.15%, 3.15% Floor)   7.78%(a)  04/18/2037   1,020,753 
     Babson CLO Ltd./Cayman Islands             
 1,737,500   Series 2015-2A-ER (3 mo. Term SOFR + 6.71%, 0.00% Floor)   11.33%(a)  10/20/2030   1,753,244 
     Bain Capital Credit CLO             
 1,250,000   Series 2021-7A-D (3 mo. Term SOFR + 3.51%, 3.25% Floor)   8.14%(a)  01/22/2035   1,261,250 
     Blackstone, Inc.             
 1,500,000   Series 2018-1A-D (3 mo. Term SOFR + 2.76%, 0.00% Floor)   7.42%(a)  04/15/2031   1,504,809 
     BlueMountain CLO Ltd.             
 3,770,000   Series 2013-2A-DR (3 mo. Term SOFR + 3.16%, 0.00% Floor)   7.79%(a)  10/22/2030   3,798,734 
 500,000   Series 2015-3A-CR (3 mo. Term SOFR + 2.86%, 0.00% Floor)   7.48%(a)  04/20/2031   501,075 
 1,000,000   Series 2016-3A-DR (3 mo. Term SOFR + 3.36%, 3.10% Floor)   7.89%(a)  11/15/2030   1,008,888 
 1,000,000   Series 2017-2A-C (3 mo. Term SOFR + 3.26%, 0.00% Floor)   7.88%(a)  10/20/2030   1,007,749 
 2,500,000   Series 2018-23A-D1R (3 mo. Term SOFR + 3.85%, 3.85% Floor)   8.47%(a)  07/20/2037   2,560,975 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Canyon Capital CLO Ltd.             
 1,000,000   Series 2012-1RA-D (3 mo. Term SOFR + 3.26%, 0.00% Floor)   7.92%(a)  07/15/2030   1,007,173 
 2,000,000   Series 2014-1A-CR (3 mo. Term SOFR + 3.01%, 2.75% Floor)   7.60%(a)  01/30/2031   2,016,083 
 1,000,000   Series 2022-1A-D (3 mo. Term SOFR + 3.20%, 3.20% Floor)   7.85%(a)  04/15/2035   1,008,779 
     Canyon CLO             
 3,000,000   Series 2020-2A-DR (3 mo. Term SOFR + 3.41%, 3.15% Floor)   8.07%(a)  10/15/2034   3,025,896 
 1,000,000   Series 2021-4A-B (3 mo. Term SOFR + 1.96%, 1.70% Floor)   6.62%(a)  10/15/2034   1,006,391 
 2,500,000   Series 2021-4A-D (3 mo. Term SOFR + 3.31%, 3.05% Floor)   7.97%(a)  10/15/2034   2,521,595 
 1,000,000   Series 2021-4A-E (3 mo. Term SOFR + 6.56%, 6.30% Floor)   11.22%(a)  10/15/2034   1,008,331 
     Captree Park CLO Ltd.             
 1,100,000   Series 2024-1A-D (3 mo. Term SOFR + 3.25%, 3.25% Floor)   7.87%(a)  07/20/2037   1,122,993 
     Carlyle Global Market Strategies             
 500,000   Series 2020-2A-CR (3 mo. Term SOFR + 3.46%, 3.20% Floor)   8.09%(a)  01/25/2035   504,587 
 1,000,000   Series 2024-2A-D (3 mo. Term SOFR + 3.85%, 3.85% Floor)   8.48%(a)  04/25/2037   1,024,393 
 500,000   Series 2024-4A-D (3 mo. Term SOFR + 3.20%, 3.20% Floor)   8.53%(a)  07/20/2037   510,425 
     Cathedral Lake CLO Ltd.             
 3,500,000   Series 2021-8A-C (3 mo. Term SOFR + 2.88%, 2.62% Floor)   7.50%(a)  01/20/2035   3,517,684 
 3,500,000   Series 2021-8A-D1 (3 mo. Term SOFR + 3.68%, 3.42% Floor)   8.30%(a)  01/20/2035   3,533,277 
     Cent CLO             
 500,000   Series 2018-27A-DR (3 mo. Term SOFR + 4.09%, 3.83% Floor)   8.72%(a)  01/25/2035   504,824 
     Chenango Park CLO             
 1,500,000   Series 2018-1A-C (3 mo. Term SOFR + 3.26%, 3.00% Floor)   7.92%(a)  04/15/2030   1,511,141 
     CIFC Funding Ltd.             
 1,000,000   Series 2019-3A-CR (3 mo. Term SOFR + 3.31%, 3.05% Floor)   7.96%(a)  10/16/2034   1,008,685 
 1,000,000   Series 2019-3A-D1R2 (3 mo. Term SOFR + 2.75%, 2.75% Floor)   0.00%(a)  01/16/2038   1,000,000 
     Crown City CLO             
 4,000,000   Series 2024-6A-D1 (3 mo. Term SOFR + 3.50%, 3.50% Floor)   8.82%(a)  07/15/2037   4,096,864 
     Dryden Senior Loan Fund             
 3,000,000   Series 2015-37A-DR (3 mo. Term SOFR + 2.76%, 2.50% Floor)   7.42%(a)  01/15/2031   3,011,928 
 1,000,000   Series 2017-50A-D (3 mo. Term SOFR + 3.51%, 3.25% Floor)   8.17%(a)  07/15/2030   1,007,617 
 1,000,000   Series 2019-68A-DR (3 mo. Term SOFR + 3.61%, 3.35% Floor)   8.27%(a)  07/15/2035   998,710 
 900,000   Series 2020-77A-DR (3 mo. Term SOFR + 3.26%, 3.26% Floor)   7.78%(a)  05/20/2034   909,269 
     Goldentree Loan Opportunities Ltd.             
 1,000,000   Series 2024-20A-D (3 mo. Term SOFR + 3.15%, 3.15% Floor)   7.77%(a)  07/20/2037   1,020,210 
 1,000,000   Series 2024-21A-D (3 mo. Term SOFR + 3.05%, 3.05% Floor)   7.67%(a)  07/20/2037   1,020,133 
     Halcyon Loan Advisors Funding Ltd.             
 308,400   Series 2014-2A-D (3 mo. Term SOFR + 5.26%, 0.00% Floor)   9.88%(a)  04/28/2025   62,451 
 500,000   Series 2018-1A-A2 (3 mo. Term SOFR + 2.06%, 1.80% Floor)   6.68%(a)  07/21/2031   501,744 
     Highbridge Loan Management Ltd.             
 2,000,000   Series 2013-2A-CR (3 mo. Term SOFR + 3.16%, 2.90% Floor)   7.78%(a)  10/20/2029   2,015,123 
     ING Investment Management CLO Ltd.             
 3,900,000   Series 2013-1A-CR (3 mo. Term SOFR + 3.21%, 0.00% Floor)   7.87%(a)  10/15/2030   3,928,985 
     LCM LP             
 5,000,000   Series 26A-D (3 mo. Term SOFR + 2.76%, 2.50% Floor)   7.38%(a)  01/20/2031   5,023,214 
 1,500,000   Series 27A-D (3 mo. Term SOFR + 3.21%, 0.00% Floor)   7.86%(a)  07/16/2031   1,496,686 
     LCM XIII LP             
 3,175,000   Series 14A-DR (3 mo. Term SOFR + 3.01%, 0.00% Floor)   7.63%(a)  07/20/2031   3,199,182 
     Lodi Park CLO Ltd.             
 500,000   Series 2024-1A-D1 (3 mo. Term SOFR + 3.00%, 3.00% Floor)   8.29%(a)  07/21/2037   510,360 
     Madison Park Funding Ltd.             
 4,500,000   Series 2015-18A-BR (3 mo. Term SOFR + 1.86%, 0.00% Floor)   6.48%(a)  10/21/2030   4,510,912 
     Magnetite CLO Ltd.             
 3,500,000   Series 2018-20A-D (3 mo. Term SOFR + 2.76%, 0.00% Floor)   7.38%(a)  04/20/2031   3,521,205 
 1,750,000   Series 2019-23A-DR (3 mo. Term SOFR + 3.31%, 3.05% Floor)   7.94%(a)  01/25/2035   1,766,087 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Marble Point CLO             
 5,500,000   Series 2021-2A-B (3 mo. Term SOFR + 2.11%, 1.85% Floor)   6.74%(a)  07/25/2034   5,525,408 
 3,500,000   Series 2021-3A-D1 (3 mo. Term SOFR + 3.76%, 3.50% Floor)   8.41%(a)  10/17/2034   3,532,101 
     Menlo CLO Ltd.             
 5,000,000   Series 2024-1A-A1 (3 mo. Term SOFR + 1.42%, 1.42% Floor)   5.75%(a)  01/20/2038   5,026,905 
     Myers Park CLO             
 1,000,000   Series 2018-1A-D (3 mo. Term SOFR + 3.31%, 3.05% Floor)   7.93%(a)  10/20/2030   1,007,682 
     Neuberger Berman CLO Ltd.             
 4,000,000   Series 2017-16SA-DR (3 mo. Term SOFR + 3.16%, 2.90% Floor)   7.82%(a)  04/15/2034   4,033,969 
 1,000,000   Series 2020-38A-DR (3 mo. Term SOFR + 3.26%, 3.00% Floor)   7.88%(a)  10/20/2035   1,008,960 
     Octagon Investment Partners Ltd.             
 4,500,000   Series 2012-1A-CRR (3 mo. Term SOFR + 4.16%, 3.90% Floor)   8.82%(a)  07/15/2029   4,532,671 
 500,000   Series 2014-1A-CR3 (3 mo. Term SOFR + 3.01%, 2.75% Floor)   7.53%(a)  02/14/2031   504,454 
 1,250,000   Series 2017-1A-D (3 mo. Term SOFR + 6.46%, 0.00% Floor)   11.08%(a)  03/17/2030   1,253,948 
 4,000,000   Series 2018-1A-C (3 mo. Term SOFR + 2.86%, 2.60% Floor)   7.48%(a)  01/20/2031   4,011,331 
 3,000,000   Series 2018-2A-C (3 mo. Term SOFR + 3.11%, 0.00% Floor)   7.74%(a)  07/25/2030   3,023,862 
 500,000   Series 2019-1A-ER (3 mo. Term SOFR + 7.26%, 7.00% Floor)   11.88%(a)  01/20/2035   471,213 
 1,000,000   Series 2020-2A-DR (3 mo. Term SOFR + 3.56%, 3.30% Floor)   8.22%(a)  07/15/2036   988,657 
     Park Avenue Institutional Advisers CLO Ltd.             
 500,000   Series 2021-2A-D (3 mo. Term SOFR + 3.66%, 3.40% Floor)   8.32%(a)  07/15/2034   504,285 
     Sound Point CLO Ltd.             
 2,000,000   Series 2015-2A-DRRR (3 mo. Term SOFR + 4.76%, 4.50% Floor)   9.38%(a)  07/20/2032   1,888,774 
 500,000   Series 2017-4A-C (3 mo. Term SOFR + 2.76%, 0.00% Floor)   7.38%(a)  01/21/2031   502,284 
 6,000,000   Series 2019-2A-DR (3 mo. Term SOFR + 3.56%, 3.30% Floor)   8.22%(a)  07/15/2034   6,051,355 
 1,000,000   Series 2019-3A-DR (3 mo. Term SOFR + 3.76%, 3.76% Floor)   8.39%(a)  10/25/2034   1,000,591 
 1,000,000   Series 2020-1A-DR (3 mo. Term SOFR + 3.61%, 3.61% Floor)   8.23%(a)  07/20/2034   1,008,847 
 5,000,000   Series 2020-2A-DR (3 mo. Term SOFR + 3.61%, 3.35% Floor)   8.24%(a)  10/25/2034   5,045,503 
 7,500,000   Series 2021-4A-A (3 mo. Term SOFR + 1.41%, 1.41% Floor)   6.04%(a)  10/25/2034   7,514,810 
 3,375,000   Series 2021-4A-D (3 mo. Term SOFR + 3.66%, 3.66% Floor)   8.29%(a)  10/25/2034   3,405,541 
     Steele Creek CLO Ltd.             
 5,000,000   Series 2019-2A-BR (3 mo. Term SOFR + 2.11%, 1.85% Floor)   6.77%(a)  07/15/2032   5,012,571 
     Stewart Park CLO             
 3,500,000   Series 2015-1A-DR (3 mo. Term SOFR + 2.86%, 2.60% Floor)   7.52%(a)  01/15/2030   3,506,927 
     Storm King Park CLO Ltd.             
 4,000,000   Series 2022-1A-AR (3 mo. Term SOFR + 1.36%, 1.36% Floor)   6.02%(a)  10/15/2037   4,026,789 
     Symphony CLO Ltd.             
 1,500,000   Series 2015-16A-DR (3 mo. Term SOFR + 3.31%, 3.05% Floor)   7.97%(a)  10/15/2031   1,511,324 
     TIAA CLO Ltd.             
 1,500,000   Series 2017-2A-B (3 mo. Term SOFR + 1.76%, 0.00% Floor)   6.41%(a)  01/16/2031   1,501,887 
     Upland CLO             
 500,000   Series 2016-1A-CR (3 mo. Term SOFR + 3.16%, 0.00% Floor)   7.78%(a)  04/20/2031   503,794 
     Vibrant CLO Ltd.             
 500,000   Series 2015-3A-A2RR (3 mo. Term SOFR + 2.11%, 0.26% Floor)   6.73%(a)  10/20/2031   501,616 
 2,000,000   Series 2024-4RA-A1A (3 mo. Term SOFR + 1.43%, 1.43% Floor)   6.03%(a)  10/20/2037   2,005,410 
     Voya CLO Ltd.             
 1,500,000   Series 2017-3A-CR (3 mo. Term SOFR + 3.41%, 0.00% Floor)   8.03%(a)  04/20/2034   1,513,271 
     Wellfleet CLO Ltd.             
 2,000,000   Series 2019-1A-CR (3 mo. Term SOFR + 3.81%, 3.55% Floor)   8.43%(a)  07/20/2032   2,016,576 
 750,000   Series 2021-3A-D (3 mo. Term SOFR + 3.76%, 3.50% Floor)   8.42%(a)  01/15/2035   756,900 
     Wind River CLO Ltd.             
 2,000,000   Series 2013-2A-E1R (3 mo. Term SOFR + 7.01%, 0.00% Floor)   11.64%(a)  10/18/2030   2,010,236 
 2,000,000   Series 2014-1A-DRR (3 mo. Term SOFR + 3.26%, 3.00% Floor)   7.89%(a)  07/18/2031   2,015,025 
 4,000,000   Series 2014-2A-DR (3 mo. Term SOFR + 3.16%, 2.90% Floor)   7.82%(a)  01/15/2031   4,029,384 
 2,000,000   Series 2014-2A-ER (3 mo. Term SOFR + 6.01%, 5.75% Floor)   10.67%(a)  01/15/2031   1,763,412 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 1,500,000   Series 2014-3A-DR2 (3 mo. Term SOFR + 3.66%, 3.40% Floor)   8.29%(a)  10/22/2031   1,511,661 
 2,000,000   Series 2017-1A-DR (3 mo. Term SOFR + 3.98%, 3.72% Floor)   8.61%(a)  04/18/2036   2,017,949 
 1,750,000   Series 2017-1A-ER (3 mo. Term SOFR + 7.32%, 7.06% Floor)   11.95%(a)  04/18/2036   1,663,080 
 1,500,000   Series 2018-1A-D (3 mo. Term SOFR + 3.16%, 0.00% Floor)   7.82%(a)  07/15/2030   1,511,109 
 500,000   Series 2021-3A-D (3 mo. Term SOFR + 3.61%, 3.35% Floor)   8.23%(a)  07/20/2033   504,418 
 7,500,000   Series 2021-4A-A (3 mo. Term SOFR + 1.43%, 1.17% Floor)   6.05%(a)  01/20/2035   7,514,397 
 1,000,000   Series 2021-4A-D (3 mo. Term SOFR + 3.46%, 3.20% Floor)   8.08%(a)  01/20/2035   998,212 
     Total Collateralized Loan Obligations (Cost $190,146,357)           191,107,035 
 FOREIGN CORPORATE BONDS - 4.7%             
 44,000   1375209 BC Ltd.   9.00%(a)  01/30/2028   44,116 
 1,039,273   Acu Petroleo Luxembourg Sarl   7.50%  01/13/2032   1,026,846 
 349,000   Adani Electricity Mumbai Ltd.   3.95%  02/12/2030   279,710 
 1,062,400   Adani International Container Terminal Pvt Ltd.   3.00%  02/16/2031   875,418 
 200,000   Adani Ports & Special Economic Zone Ltd.   4.00%  07/30/2027   180,871 
 200,000   Adani Ports & Special Economic Zone Ltd.   4.20%  08/04/2027   181,046 
 400,000   Adani Ports & Special Economic Zone Ltd.   4.38%  07/03/2029   344,622 
 200,000   Adani Ports & Special Economic Zone Ltd.   3.10%  02/02/2031   152,158 
 700,000   Adani Transmission Step-One Ltd.   4.00%  08/03/2026   643,800 
 200,000   Aeropuertos Dominicanos Siglo XXI SA   7.00%(a)  06/30/2034   204,250 
 200,000   Agrosuper SA   4.60%  01/20/2032   179,070 
 354,166   AL Candelaria Spain SA   7.50%  12/15/2028   349,994 
 500,000   AL Candelaria Spain SA   5.75%(a)  06/15/2033   406,673 
 500,000   AL Candelaria Spain SA   5.75%  06/15/2033   406,673 
 200,000   Altice France Holding SA   6.00%(a)  02/15/2028   52,987 
 255,000   Altice France SA   5.50%(a)  10/15/2029   192,273 
 400,000   AngloGold Ashanti Holdings PLC   3.38%  11/01/2028   369,794 
 215,000   Ardonagh Finco Ltd.   7.75%(a)  02/15/2031   221,629 
 400,000   Aris Mining Corp.   8.00%(a)  10/31/2029   396,334 
 210,916   Avation Capital SA
 9.00% PIK		   8.25%(a)  10/31/2026   207,365 
 130,000   Azorra Finance Ltd.   7.75%(a)  04/15/2030   129,374 
 500,000   Banco Continental SAECA   2.75%  12/10/2025   483,761 
 600,000   Banco Davivienda SA
 (10 yr. CMT Rate + 5.10%)		   6.65%(a)(i)  04/22/2031   516,262 
 200,000   Banco de Bogota SA   6.25%  05/12/2026   200,104 
 600,000   Banco de Credito del Peru SA
 (5 yr. CMT Rate + 3.00%)		   3.13%  07/01/2030   588,723 
 650,000   Banco de Credito del Peru SA
 (5 yr. CMT Rate + 2.45%)		   3.25%  09/30/2031   616,347 
 200,000   Banco del Estado de Chile
 (5 yr. CMT Rate + 3.23%)		   7.95%(a)(i)  05/02/2029   205,655 
 300,000   Banco GNB Sudameris SA
 (5 yr. CMT Rate + 6.66%)		   7.50%  04/16/2031   295,820 
 600,000   Banco Industrial SA/Guatemala
 (5 yr. CMT Rate + 4.44%)		   4.88%  01/29/2031   588,900 
 1,350,000   Banco Internacional del Peru SAA Interbank
 (5 yr. CMT Rate + 3.71%)		   4.00%  07/08/2030   1,333,320 
 600,000   Banco Mercantil del Norte SA/Grand Cayman
 (10 yr. CMT Rate + 5.35%)		   7.63%(i)  01/10/2028   589,460 
 200,000   Banco Mercantil del Norte SA/Grand Cayman
 (10 yr. CMT Rate + 5.47%)		   7.50%(i)  06/27/2029   193,679 
 300,000   Banco Mercantil del Norte SA/Grand Cayman
 (5 yr. CMT Rate + 4.07%)		   8.38%(a)(i)  05/20/2031   299,681 
 200,000   Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand   5.62%(a)  12/10/2029   199,500 
 500,000   Bancolombia SA
 (5 yr. CMT Rate + 4.32%)		   8.63%  12/24/2034   523,992 
 300,000   BBVA Bancomer SA/Texas
 (5 yr. CMT Rate + 2.65%)		   5.13%  01/18/2033   279,290 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 200,000   BBVA Bancomer SA/Texas
 (5 yr. CMT Rate + 4.31%)		   5.88%  09/13/2034   189,935 
 330,000   Belron UK Finance PLC   5.75%(a)  10/15/2029   326,884 
 96,000   Bombardier, Inc.   7.88%(a)  04/15/2027   96,206 
 165,000   Bombardier, Inc.   8.75%(a)  11/15/2030   177,570 
 45,000   Bombardier, Inc.   7.00%(a)  06/01/2032   45,833 
 200,000   Braskem Idesa SAPI   6.99%  02/20/2032   147,210 
 500,000   Braskem Netherlands Finance BV   4.50%  01/31/2030   423,698 
 400,000   Buffalo Energy Mexico Holdings / Buffalo Energy Infrastructure / Buffalo Energy   7.88%(a)  02/15/2039   412,870 
 600,000   Canacol Energy Ltd.   5.75%  11/24/2028   334,705 
 900,000   CAP SA   3.90%  04/27/2031   726,300 
 600,000   CAP SA   3.90%(a)  04/27/2031   484,200 
 300,000   Cemex SAB de CV
 (5 yr. CMT Rate + 4.53%)		   5.13%(i)  06/08/2026   294,106 
 300,000   Cencosud SA   4.38%  07/17/2027   293,343 
 1,249,941   Chile Electricity PEC SpA   0.00%(a)  01/25/2028   1,053,700 
 600,000   Cia de Minas Buenaventura SAA   5.50%  07/23/2026   599,955 
 768,000   Cometa Energia SAB de CV   6.38%  04/24/2035   759,802 
 800,000   Cosan Overseas Ltd.   8.25%(i)  02/05/2025   800,000 
 600,000   Credito Real SAB de CV SOFOM ER
 (5 yr. CMT Rate + 7.03%)		   9.13%(g)(i)  11/29/2027   6,000 
 600,000   CSN Resources SA   5.88%  04/08/2032   484,748 
 200,000   CT Trust   5.13%  02/03/2032   179,138 
 600,000   DBS Group Holdings Ltd.
 (5 yr. CMT Rate + 1.10%)		   1.82%  03/10/2031   577,690 
 2,797   Digicel Group Holdings Ltd.   0.00%(a)(d)  12/31/2030   2,787 
 180,977   Digicel Group Holdings Ltd.   0.00%(a)(d)  12/31/2030   32,150 
 340,696   Digicel Group Holdings Ltd.   0.00%(a)(d)  12/31/2030   7,864 
 351,900   Empresa Electrica Angamos SA   4.88%  05/25/2029   319,891 
 461,400   Empresa Electrica Cochrane SpA   5.50%  05/14/2027   446,988 
 400,000   Empresas Publicas de Medellin ESP   4.38%  02/15/2031   344,226 
 600,000   Energuate Trust   5.88%  05/03/2027   587,598 
 179,357   Fermaca Enterprises S de RL de CV   6.38%  03/30/2038   174,728 
 343,720   Fideicomiso PA Pacifico Tres   8.25%  01/15/2035   342,861 
 400,000   Freeport Indonesia PT   4.76%  04/14/2027   396,564 
 400,000   Freeport Indonesia PT   5.32%  04/14/2032   389,771 
 400,000   Frigorifico Concepcion SA   7.70%  07/21/2028   310,551 
 230,000   Garda World Security Corp.   4.63%(a)  02/15/2027   223,590 
 180,000   Garda World Security Corp.   6.00%(a)  06/01/2029   170,843 
 220,000   GGAM Finance Ltd.   6.88%(a)  04/15/2029   223,321 
 475,000   Global Aircraft Leasing Co. Ltd.   8.75%(a)  09/01/2027   485,042 
 117,680   GNL Quintero SA   4.63%  07/31/2029   116,168 
 500,000   Gold Fields Orogen Holdings BVI Ltd.   6.13%  05/15/2029   506,654 
 300,000   Gran Tierra Energy, Inc.   9.50%(a)  10/15/2029   279,765 
 250,000   Grifols SA   4.75%(a)  10/15/2028   230,011 
 798,650   Guara Norte Sarl   5.20%  06/15/2034   729,624 
 141,200   Hunt Oil Co. of Peru LLC Sucursal Del Peru   6.38%  06/01/2028   142,195 
 365,000   Husky Injection Molding Systems Ltd. / Titan Co.-Borrower LLC   9.00%(a)  02/15/2029   381,518 
 210,000   INEOS Finance PLC   7.50%(a)  04/15/2029   215,223 
 1,100,000   InRetail Consumer   3.25%  03/22/2028   1,010,210 
 700,000   InRetail Shopping Malls   5.75%  04/03/2028   693,186 
 100,000   Intelsat Jackson Holdings SA   6.50%(a)  03/15/2030   92,487 
 600,000   Intercorp Financial Services, Inc.   4.13%  10/19/2027   574,353 
 35,079   Invepar Holdings   0.00%(d)(g)  12/30/2028   —   
 200,000   Itau Unibanco Holding SA/Cayman Island
 (5 yr. CMT Rate + 3.22%)		   4.63%(i)  02/27/2025   199,102 
 200,000   Itau Unibanco Holding SA/Cayman Island
 (5 yr. CMT Rate + 3.86%)		   7.86%(i)  03/19/2025   202,080 
 811,250   JSW Hydro Energy Ltd.   4.13%  05/18/2031   732,578 
 400,000   JSW Infrastructure Ltd.   4.95%  01/21/2029   385,977 
 200,000   Kallpa Generacion SA   4.13%  08/16/2027   194,388 
 110,000   Kronos Acquisition Holdings, Inc.   8.25%(a)  06/30/2031   105,032 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 1,300,000   KUO SAB De CV   5.75%  07/07/2027   1,264,314 
 500,000   LD Celulose International GmbH   7.95%(a)  01/26/2032   501,758 
 492,624   Lima Metro Line 2 Finance Ltd.   4.35%  04/05/2036   452,941 
 330,000   Mattamy Group Corp.   4.63%(a)  03/01/2030   307,259 
 400,000   Medco Laurel Tree Pte Ltd.   6.95%  11/12/2028   398,723 
 900,000   Medco Oak Tree Pte Ltd.   7.38%  05/14/2026   917,016 
 200,000   MEGlobal BV   4.25%  11/03/2026   195,714 
 600,000   MEGlobal Canada ULC   5.00%  05/18/2025   599,046 
 335,000   Merlin Entertainments Group US Holdings, Inc.   7.38%(a)  02/15/2031   324,500 
 600,000   Mexarrend SAPI de CV   10.25%(a)(g)  07/24/2025   11,100 
 404,292   Mexico Generadora de Energia S de RL   5.50%  12/06/2032   392,002 
 720,000   Millicom International Cellular SA   6.25%  03/25/2029   708,941 
 400,000   Minerva Luxembourg SA   8.88%  09/13/2033   415,390 
 200,000   Minsur SA   4.50%  10/28/2031   177,594 
 381,225   Mong Duong Finance Holdings BV   5.13%  05/07/2029   366,712 
 400,000   Movida Europe SA   7.85%(a)  04/11/2029   352,929 
 977,730   MV24 Capital BV   6.75%  06/01/2034   927,981 
 1,100,000   Network i2i Ltd.
 (5 yr. CMT Rate + 4.27%)		   5.65%(i)  01/15/2025   1,102,587 
 200,000   Network i2i Ltd.
 (5 yr. CMT Rate + 3.39%)		   3.98%(i)  03/03/2026   195,563 
 80,000   NOVA Chemicals Corp.   7.00%(a)  12/01/2031   79,710 
 235,000   Ontario Gaming GTA LP/OTG Co.-Issuer, Inc.   8.00%(a)  08/01/2030   242,750 
 452,000   Orazul Energy Peru SA   5.63%  04/28/2027   440,935 
 1,200,000   Oversea-Chinese Banking Corp. Ltd.
 (5 yr. CMT Rate + 1.58%)		   1.83%  09/10/2030   1,172,188 
 125,000   Parkland Corp.   4.63%(a)  05/01/2030   114,855 
 400,000   Periama Holdings   5.95%  04/19/2026   399,796 
 575,775   Prumo Participacoes e Investimentos S/A   7.50%  12/31/2031   572,390 
 250,000   Reliance Industries Ltd.   4.13%  01/28/2025   249,783 
 500,000   Reliance Industries Ltd.   3.67%  11/30/2027   483,730 
 1,280,000   Rutas 2 & 7 Finance Ltd.   0.00%  09/30/2036   909,635 
 400,000   SAN Miguel Industrias Pet SA / NG PET R&P Latin America SA   3.75%  08/02/2028   363,649 
 155,000   Seaspan Corp.   5.50%(a)  08/01/2029   144,904 
 200,000   Simpar Europe SA   5.20%  01/26/2031   150,396 
 500,000   Southern Copper Corp.   3.88%  04/23/2025   497,855 
 25,000   Telesat Canada / Telesat LLC   4.88%(a)  06/01/2027   14,045 
 200,000   Termocandelaria Power SA   7.75%(a)  09/17/2031   202,412 
 433,635   Tierra Mojada Luxembourg II Sarl   5.75%  12/01/2040   397,148 
 200,000   TK Elevator US Newco, Inc.   5.25%(a)  07/15/2027   195,947 
 400,000   Unigel Luxembourg SA   8.75%(g)  10/01/2026   78,612 
 600,000   United Overseas Bank Ltd.
 (5 yr. CMT Rate + 1.52%)		   1.75%  03/16/2031   576,936 
 800,000   UPL Corp. Ltd.   4.63%  06/16/2030   709,138 
 225,000   Vallourec SACA   7.50%(a)  04/15/2032   233,456 
 386,612   Vedanta Resources Ltd.   13.88%  12/09/2028   388,596 
 325,000   VZ Secured Financing BV   5.00%(a)  01/15/2032   288,018 
 170,000   ZF North America Capital, Inc.   6.88%(a)  04/23/2032   161,409 
     Total Foreign Corporate Bonds (Cost $54,618,822)           52,103,079 
 FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 1.1% 
 600,000   Banco do Brasil SA/Cayman (10 yr. CMT Rate + 4.40%)   8.75%(i)  04/15/2025   601,616 
 500,000   Banco Nacional de Comercio Exterior SNC/Cayman Islands (5 yr. CMT Rate + 2.00%)   2.72%  08/11/2031   460,989 
 200,000   Banco Nacional de Panama   2.50%  08/11/2030   159,305 
 400,000   Bank Negara Indonesia Persero Tbk PT   3.75%  03/30/2026   390,676 
 870,966   Bioceanico Sovereign Certificate Ltd.   0.00%  06/05/2034   673,257 
 2,000,000   Colombia Government International Bond   4.13%  05/15/2051   1,149,770 
 400,000   Comision Federal de Electricidad   6.45%(a)  01/24/2035   377,987 
 200,000   Dominican Republic International Bond   5.50%  02/22/2029   194,150 
 1,500,000   Ecopetrol SA   5.88%  11/02/2051   1,008,417 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 700,000   FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple   7.25%(a)  01/31/2041   686,490 
 400,000   Guatemala Government Bond   4.38%  06/05/2027   385,600 
 200,000   Guatemala Government Bond   4.88%  02/13/2028   193,350 
 400,000   Guatemala Government Bond   5.25%  08/10/2029   385,300 
 700,000   Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT   4.75%  05/15/2025   698,788 
 579,098   Lima Metro Line 2 Finance Ltd.   5.88%  07/05/2034   578,081 
 1,400,000   Mexico Government International Bond   6.34%  05/04/2053   1,250,992 
 200,000   OCP SA   4.50%  10/22/2025   197,799 
 1,300,000   Panama Government International Bond   3.87%  07/23/2060   683,074 
 200,000   Paraguay Government International Bond   4.70%  03/27/2027   196,700 
 800,000   Pertamina Persero PT   1.40%  02/09/2026   766,811 
 300,000   Petroleos del Peru SA   4.75%  06/19/2032   227,180 
 400,000   Petroleos del Peru SA   5.63%  06/19/2047   256,725 
 900,000   Petroleos Mexicanos   6.75%  09/21/2047   619,396 
 500,000   Republic of South Africa Government International Bond   4.30%  10/12/2028   468,219 
     Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $14,904,726)     12,610,672 
 NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS - 11.5%        
     Arbor Multifamily Mortgage Securities Trust             
 10,194,000   Series 2021-MF3-XD   1.18%(a)(j)(k)  10/15/2054   673,012 
     Arbor Realty Trust, Inc.             
 15,055,199   Series 2020-MF1-XA   0.94%(a)(j)(k)  05/15/2053   586,376 
     Banc of America Re-Remic Trust             
 1,000,000   Series 2015-200P-D   3.60%(a)(j)  04/14/2033   986,371 
     BANK             
 8,757,026   Series 2017-BNK5-XA   0.94%(j)(k)  06/15/2060   164,071 
 57,660,445   Series 2018-BN11-XA   0.44%(j)(k)  03/15/2061   788,639 
     BANK5 Trust             
 2,034,000   Series 2024-5YR10-C   5.74%(j)  10/15/2057   2,002,939 
     BBCMS Trust             
 1,675,000   Series 2019-BWAY-E (1 mo. Term SOFR + 2.96%, 2.85% Floor)   7.36%(a)  11/15/2034   8,396 
 1,104,000   Series 2024-5C29-C   5.51%  09/15/2057   1,079,350 
     BB-UBS Trust             
 1,070,705   Series 2012-TFT-TE   3.56%(a)(j)  06/05/2030   937,193 
     BDS Ltd.             
 1,215,851   Series 2021-FL10-A (1 mo. Term SOFR + 1.46%, 1.46% Floor)   5.84%(a)  12/16/2036   1,223,214 
 1,600,000   Series 2022-FL11-B (1 mo. Term SOFR + 2.35%, 2.35% Floor)   6.72%(a)  03/19/2039   1,611,870 
 1,650,000   Series 2024-FL13-B (1 mo. Term SOFR + 2.24%, 2.24% Floor)   6.61%(a)  09/19/2039   1,658,432 
     Benchmark Mortgage Trust             
 56,188,810   Series 2022-B32-XA   0.46%(a)(j)(k)  01/15/2055   929,537 
 1,627,000   Series 2024-V9-C   6.45%(j)  08/15/2057   1,646,257 
     Blackstone Mortgage Trust, Inc.             
 1,463,530   Series 2021-FL4-A (1 mo. Term SOFR + 1.16%, 1.05% Floor)   5.55%(a)  05/15/2038   1,427,139 
     BLP Commercial Mortgage Trust             
 718,708   Series 2024-IND2-D (1 mo. Term SOFR + 2.59%, 2.59% Floor)   6.99%(a)  03/15/2041   721,249 
     BMO Mortgage Trust             
 1,700,000   Series 2024-5C6-C   5.88%(j)  09/15/2057   1,668,061 
 3,457,000   Series 2024-C10-XD   1.59%(a)(j)(k)  11/15/2057   420,558 
     BPR Trust             
 1,300,000   Series 2021-TY-D (1 mo. Term SOFR + 2.46%, 2.35% Floor)   6.86%(a)  09/15/2038   1,291,915 
     BSPRT Co.-Issuer LLC             
 1,500,000   Series 2023-FL10-A (1 mo. Term SOFR + 2.26%, 2.26% Floor)   6.66%(a)  09/15/2035   1,508,720 
 1,500,000   Series 2023-FL10-B (1 mo. Term SOFR + 3.27%, 3.27% Floor)   7.66%(a)  09/15/2035   1,514,537 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     BSPRT Issuer LLC             
 785,000   Series 2024-FL11-B (1 mo. Term SOFR + 2.29%, 2.29% Floor)   6.69%(a)  07/15/2039   787,557 
     BX Trust             
 900,000   Series 2019-IMC-D (1 mo. Term SOFR + 1.95%, 1.90% Floor)   6.34%(a)  04/15/2034   889,046 
 1,484,812   Series 2021-21M-A (1 mo. Term SOFR + 0.84%, 0.73% Floor)   5.24%(a)  10/15/2036   1,477,192 
 1,358,000   Series 2021-ARIA-C (1 mo. Term SOFR + 1.76%, 1.65% Floor)   6.16%(a)  10/15/2036   1,355,272 
 976,607   Series 2021-CIP-B (1 mo. Term SOFR + 1.39%, 1.27% Floor)   5.78%(a)  12/15/2038   976,036 
 859,700   Series 2021-RISE-B (1 mo. Term SOFR + 1.36%, 1.25% Floor)   5.76%(a)  11/15/2036   856,019 
 510,000   Series 2021-VIEW-B (1 mo. Term SOFR + 1.91%, 1.80% Floor)   6.31%(a)  06/15/2036   508,511 
 1,390,000   Series 2021-VOLT-E (1 mo. Term SOFR + 2.11%, 2.00% Floor)   6.51%(a)  09/15/2036   1,387,770 
 819,000   Series 2022-PSB-C (1 mo. Term SOFR + 3.70%, 3.70% Floor)   8.09%(a)  08/15/2039   823,855 
 800,000   Series 2024-AIRC-C (1 mo. Term SOFR + 2.59%, 2.59% Floor)   6.99%(a)  08/15/2039   805,926 
 680,000   Series 2024-GPA3-C (1 mo. Term SOFR + 1.89%, 1.89% Floor)   6.40%(a)  12/15/2039   680,952 
     CALI Mortgage Trust             
 785,000   Series 2024-SUN-C (1 mo. Term SOFR + 2.79%, 2.79% Floor)   7.27%(a)  07/15/2041   791,396 
     Carbon Capital VI Commercial Mortgage Trust             
 1,119,631   Series 2019-FL2-B (1 mo. Term SOFR + 2.96%, 2.85% Floor)   7.36%(a)  10/15/2035   570,486 
     Century Plaza Towers             
 1,190,000   Series 2019-CPT-E   3.00%(a)(j)  11/13/2039   923,735 
     CFCRE Commercial Mortgage Trust             
 3,209,491   Series 2016-C4-XA   1.56%(j)(k)  05/10/2058   40,593 
     Citigroup Commercial Mortgage Trust             
 6,142,896   Series 2016-C1-XA   1.81%(j)(k)  05/10/2049   101,409 
 2,167,328   Series 2016-P4-XA   1.89%(j)(k)  07/10/2049   40,977 
     Citigroup/Deutsche Bank Commercial Mortgage Trust             
 8,448,047   Series 2017-CD3-XA   0.95%(j)(k)  02/10/2050   133,466 
 1,597,337   Series 2020-C9-A2   1.90%  08/15/2053   1,535,040 
     Commercial Mortgage Pass Through Certificates             
 9,976,706   Series 2015-CR25-XA   0.78%(j)(k)  08/10/2048   18,467 
 6,315,213   Series 2015-CR27-XA   0.90%(j)(k)  10/10/2048   20,363 
 1,227,000   Series 2015-DC1-C   4.27%(j)  02/10/2048   1,091,234 
 821,505   Series 2015-DC1-XA   0.84%(j)(k)  02/10/2048   8 
 8,183,226   Series 2015-LC21-XA   0.60%(j)(k)  07/10/2048   3,309 
 2,467,234   Series 2016-DC2-XA   0.91%(j)(k)  02/10/2049   13,734 
 2,228,000   Series 2018-HCLV-D (1 mo. Term SOFR + 2.47%, 2.18% Floor)   6.87%(a)  09/15/2033   569,414 
     Computershare Corporate Trust             
 100,000   Series 2015-C27-C   3.89%  02/15/2048   88,332 
 400,000   Series 2015-C28-C   4.08%(j)  05/15/2048   373,939 
 8,872,685   Series 2015-C30-XA   0.86%(j)(k)  09/15/2058   19,795 
 4,620,563   Series 2015-C31-XA   0.94%(j)(k)  11/15/2048   16,938 
 1,340,552   Series 2015-NXS1-XA   0.95%(j)(k)  05/15/2048   670 
 5,996,091   Series 2015-NXS2-XA   0.58%(j)(k)  07/15/2058   11,817 
 1,767,019   Series 2016-C33-XA   1.56%(j)(k)  03/15/2059   20,777 
 3,463,982   Series 2016-NXS6-XA   1.59%(j)(k)  11/15/2049   54,629 
 12,972,922   Series 2017-C38-XA   0.91%(j)(k)  07/15/2050   221,051 
 1,852,332   Series 2017-RC1-XA   1.37%(j)(k)  01/15/2060   44,281 
 2,267,000   Series 2018-C47-C   4.92%(j)  09/15/2061   2,120,473 
 1,024,000   Series 2019-JWDR-C   3.04%(a)(j)  09/15/2031   983,657 
     Credit Suisse Mortgage Capital Certificates             
 1,974,822   Series 2014-USA-X1   0.54%(a)(j)(k)  09/15/2037   20 
     CSAIL Commercial Mortgage Trust             
 513,571   Series 2015-C1-XA   0.45%(j)(k)  04/15/2050   5 
 38,623,508   Series 2018-CX12-XA   0.54%(j)(k)  08/15/2051   621,047 
 31,737,815   Series 2021-C20-XA   0.99%(j)(k)  03/15/2054   1,445,264 
 18,269,000   Series 2021-C20-XD   1.46%(a)(j)(k)  03/15/2054   1,365,772 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     ELP Commercial Mortgage Trust             
 1,426,340   Series 2021-ELP-C (1 mo. Term SOFR + 1.43%, 1.32% Floor)   5.83%(a)  11/15/2038   1,425,500 
     FS Rialto             
 794,212   Series 2021-FL3-A (1 mo. Term SOFR + 1.36%, 1.36% Floor)   5.76%(a)  11/16/2036   794,679 
 2,100,000   Series 2021-FL3-D (1 mo. Term SOFR + 2.61%, 2.61% Floor)   7.01%(a)  11/16/2036   2,078,059 
 1,450,000   Series 2022-FL4-AS (30 day avg SOFR US + 2.40%, 2.40% Floor)   7.00%(a)  01/19/2039   1,453,007 
     Granite Point Mortgage Trust, Inc.             
 1,000,000   Series 2021-FL4-B (1 mo. Term SOFR + 2.06%, 1.95% Floor)   6.42%(a)  12/15/2036   963,122 
     Great Wolf Trust             
 1,450,000   Series 2024-WOLF-A (1 mo. Term SOFR + 1.54%, 1.54% Floor)   5.94%(a)  03/15/2039   1,454,289 
     Greystone Commercial Real Estate Notes             
 670,000   Series 2021-FL3-D (1 mo. Term SOFR + 2.31%, 2.20% Floor)   6.71%(a)  07/15/2039   666,298 
     GS Mortgage Securities Corp. II             
 710,790   Series 2014-GC24-XA   0.33%(j)(k)  09/10/2047   7 
 6,677,278   Series 2015-GS1-XA   0.75%(j)(k)  11/10/2048   25,243 
 5,192,251   Series 2016-GS2-XA   1.72%(j)(k)  05/10/2049   70,815 
 442,000   Series 2018-GS10-WLSD   4.90%(a)(j)  03/10/2033   39,347 
 553,000   Series 2018-GS10-WLSE   4.90%(a)(j)  03/10/2033   44,874 
 1,509,000   Series 2018-RIVR-E (1 mo. Term SOFR + 1.85%, 1.80% Floor)   6.24%(a)  07/15/2035   15,845 
 850,000   Series 2018-TWR-E (1 mo. Term SOFR + 2.40%, 2.10% Floor)   6.80%(a)  07/15/2031   129,591 
 850,000   Series 2018-TWR-F (1 mo. Term SOFR + 3.10%, 2.80% Floor)   7.50%(a)  07/15/2031   71,498 
 850,000   Series 2018-TWR-G (1 mo. Term SOFR + 4.22%, 3.93% Floor)   8.62%(a)  07/15/2031   12,674 
     GSCG Trust             
 2,377,000   Series 2019-600C-E   3.99%(a)(j)  09/06/2034   99,834 
     HIG RCP LLC             
 2,150,000   Series 2023-FL1-B (1 mo. Term SOFR + 3.61%, 3.61% Floor)   8.01%(a)  09/19/2038   2,178,683 
     JP Morgan Chase Commercial Mortgage Securities             
 1,376,000   Series 2014-C20-C   4.51%(j)  07/15/2047   1,301,359 
 4,869,597   Series 2016-JP4-XA   0.57%(j)(k)  12/15/2049   38,034 
 766,000   Series 2019-UES-C   4.34%(a)  05/05/2032   732,338 
 784,000   Series 2019-UES-D   4.45%(a)(j)  05/05/2032   744,478 
 915,000   Series 2019-UES-E   4.45%(a)(j)  05/05/2032   852,915 
 960,000   Series 2019-UES-F   4.45%(a)(j)  05/05/2032   871,277 
 1,049,000   Series 2019-UES-G   4.45%(a)(j)  05/05/2032   920,429 
     JPMBB Commercial Mortgage Securities Trust             
 2,154,807   Series 2014-C21-C   4.56%(j)  08/15/2047   2,125,720 
 1,115,000   Series 2015-C29-C   4.18%(j)  05/15/2048   962,679 
 2,814,408   Series 2015-C29-XA   0.52%(j)(k)  05/15/2048   1,932 
 3,651,536   Series 2015-C31-XA   0.80%(j)(k)  08/15/2048   8,452 
 470,000   Series 2015-C33-C   4.64%(j)  12/15/2048   422,212 
     KREF             
 1,361,310   Series 2021-FL2-A (1 mo. Term SOFR + 1.18%, 1.07% Floor)   5.57%(a)  02/15/2039   1,359,519 
 1,897,500   Series 2021-FL2-B (1 mo. Term SOFR + 1.76%, 1.65% Floor)   6.15%(a)  02/15/2039   1,866,781 
 1,666,886   Series 2022-FL3-A (1 mo. Term SOFR + 1.45%, 1.45% Floor)   5.82%(a)  02/17/2039   1,666,334 
     Ladder Capital Commercial Mortgage Securities LLC             
 2,532,000   Series 2017-LC26-C   4.71%(a)  07/12/2050   2,310,811 
     LoanCore             
 1,236,500   Series 2021-CRE6-AS (1 mo. Term SOFR + 1.76%, 1.65% Floor)   6.16%(a)  11/15/2038   1,223,687 
 2,560,000   Series 2022-CRE7-C (30 day avg SOFR US + 2.50%, 2.50% Floor)   7.10%(a)  01/17/2037   2,539,420 
     LSTAR Commercial Mortgage Trust             
 2,303,336   Series 2016-4-XA   1.67%(a)(j)(k)  03/10/2049   21,960 
 11,176,106   Series 2017-5-X   0.84%(a)(j)(k)  03/10/2050   146,406 
     Lument Finance Trust, Inc.             
 913,912   Series 2021-FL1-A (1 mo. Term SOFR + 1.28%, 1.28% Floor)   5.68%(a)  06/15/2039   915,893 
 1,890,000   Series 2021-FL1-B (1 mo. Term SOFR + 1.86%, 1.86% Floor)   6.26%(a)  06/15/2039   1,869,329 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Merit 2020             
 670,000   Series 2021-STOR-C (1 mo. Term SOFR + 1.16%, 1.05% Floor)   5.56%(a)  07/15/2038   667,424 
     MF1 Multifamily Housing Mortgage Loan Trust             
 1,487,000   Series 2021-FL7-B (1 mo. Term SOFR + 1.86%, 1.75% Floor)   6.24%(a)  10/16/2036   1,463,441 
 1,950,000   Series 2021-FL7-C (1 mo. Term SOFR + 2.16%, 2.05% Floor)   6.54%(a)  10/16/2036   1,906,694 
 2,218,000   Series 2021-FL7-D (1 mo. Term SOFR + 2.66%, 2.55% Floor)   7.04%(a)  10/16/2036   2,153,314 
 1,500,000   Series 2023-FL12-C (1 mo. Term SOFR + 3.78%, 3.78% Floor)   8.14%(a)  10/19/2038   1,509,353 
 1,380,000   Series 2024-FL14-A (1 mo. Term SOFR + 1.74%, 1.74% Floor)   6.10%(a)  03/19/2039   1,386,519 
 1,500,000   Series 2024-FL15-B (1 mo. Term SOFR + 2.49%, 2.49% Floor)   6.87%(a)  08/18/2041   1,507,133 
 2,100,000   Series 2024-FL16-D (1 mo. Term SOFR + 3.59%, 3.59% Floor)   7.97%(a)  11/18/2029   2,105,189 
     MFT Trust             
 2,538,000   Series 2020-ABC-D   3.48%(a)(j)  02/10/2042   1,231,479 
     Morgan Stanley Bank of America Merrill Lynch Trust             
 982,838   Series 2013-C9-B   3.71%(j)  05/15/2046   922,507 
 1,140,652   Series 2014-C17-E   3.50%(a)  08/15/2047   1,105,471 
     Morgan Stanley Capital I, Inc.             
 2,489,000   Series 2019-NUGS-F (1 mo. Term SOFR + 2.96%, 4.34% Floor)   7.36%(a)  12/15/2036   37,989 
     Natixis Commercial Mortgage Securities Trust             
 1,919,000   Series 2018-FL1-C (Prime Rate + 0.00%, 0.00% Floor)   7.75%(a)  06/15/2035   857,839 
 685,000   Series 2020-2PAC-AMZ2   3.50%(a)(j)  01/15/2037   464,211 
 639,000   Series 2020-2PAC-AMZ3   3.50%(a)(j)  01/15/2037   367,802 
     One New York Plaza Trust             
 1,500,000   Series 2020-1NYP-C (1 mo. Term SOFR + 2.31%, 2.20% Floor)   6.71%(a)  01/15/2036   1,392,634 
     PFP III Ltd.             
 920,000   Series 2021-8-C (1 mo. Term SOFR + 1.91%, 1.80% Floor)   6.31%(a)  08/09/2037   922,169 
 995,530   Series 2024-11-B (1 mo. Term SOFR + 2.49%, 2.49% Floor)   6.97%(a)  09/17/2039   997,370 
     Ready Capital Corp.             
 700,000   Series 2021-FL5-D (1 mo. Term SOFR + 3.11%, 3.00% Floor)   7.45%(a)  04/25/2038   702,903 
 1,750,000   Series 2021-FL6-D (1 mo. Term SOFR + 2.51%, 2.40% Floor)   6.85%(a)  07/25/2036   1,751,232 
 1,000,000   Series 2021-FL7-E (1 mo. Term SOFR + 3.51%, 3.40% Floor)   7.85%(a)  11/25/2036   998,297 
 1,110,258   Series 2022-FL10-A (1 mo. Term SOFR + 2.55%, 2.55% Floor)   6.89%(a)  10/25/2039   1,116,652 
 1,740,000   Series 2022-FL8-E (30 day avg SOFR US + 4.25%, 4.25% Floor)   8.82%(a)  01/25/2037   1,746,076 
 2,100,000   Series 2023-FL11-B (1 mo. Term SOFR + 3.53%, 3.53% Floor)   7.87%(a)  10/25/2039   2,121,764 
 980,000   Series 2023-FL12-AS (1 mo. Term SOFR + 3.20%, 3.20% Floor)   7.54%(a)  05/25/2038   988,294 
     Rialto Real Estate Fund LP             
 1,480,000   Series 2022-FL8-A (1 mo. Term SOFR + 2.25%, 2.25% Floor)   6.65%(a)  01/19/2037   1,482,208 
     RLGH Trust             
 1,650,000   Series 2021-TROT-D (1 mo. Term SOFR + 1.83%, 1.71% Floor)   6.23%(a)  04/15/2036   1,633,933 
     ROCK Trust             
 516,000   Series 2024-CNTR-D   7.11%(a)  11/13/2041   524,988 
     Soho Trust             
 2,874,000   Series 2021-SOHO-B   2.70%(a)(j)  08/10/2038   2,060,292 
     Starwood Property Mortgage Trust             
 1,720,000   Series 2019-FL1-C (1 mo. Term SOFR + 2.06%, 2.06% Floor)   6.46%(a)  07/15/2038   1,702,012 
 1,708,963   Series 2022-FL3-A (30 day avg SOFR US + 1.35%, 1.35% Floor)   5.95%(a)  11/15/2038   1,706,540 
     TCO Commercial Mortgage Trust             
 680,000   Series 2024-DPM-C (1 mo. Term SOFR + 1.99%, 1.99% Floor)   6.49%(a)  12/15/2039   681,778 
     TPG Real Estate Finance Issuer Ltd.             
 1,160,000   Series 2021-FL4-B (1 mo. Term SOFR + 1.96%, 1.85% Floor)   6.35%(a)  03/15/2038   1,153,071 
 1,500,000   Series 2022-FL5-AS (1 mo. Term SOFR + 2.15%, 2.15% Floor)   6.53%(a)  02/15/2039   1,492,992 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     UBS Commercial Mortgage Trust             
 295,000   Series 2018-C13-C   4.97%(j)  10/15/2051   264,304 
 1,097,000   Series 2018-C8-C   4.68%(j)  02/15/2051   971,322 
 12,517,908   Series 2018-C8-XA   0.81%(j)(k)  02/15/2051   269,911 
     VEGAS Trust             
 1,014,000   Series 2024-TI-A   5.52%(a)  11/10/2039   1,017,328 
     VMC Finance LLC             
 1,321,442   Series 2019-FL3-D (1 mo. Term SOFR + 3.26%, 3.15% Floor)   7.66%(a)  09/15/2036   1,301,176 
 1,600,000   Series 2022-FL5-AS (30 day avg SOFR US + 2.40%, 2.40% Floor)   7.00%(a)  02/18/2039   1,611,042 
     WF-RBS Commercial Mortgage Trust             
 105,750   Series 2014-C21-XA   0.50%(j)(k)  08/15/2047   210 
     Total Non-Agency Commercial Mortgage Backed Obligations (Cost $160,129,636)      129,360,263 
 NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS - 16.1%         
     ACE Securities Corp.             
 2,590,585   Series 2007-HE1-A2A (1 mo. Term SOFR + 0.29%, 0.18% Floor)   4.63%  01/25/2037   1,542,454 
 1,051,501   Series 2007-HE1-A2D (1 mo. Term SOFR + 0.61%, 0.50% Floor)   4.95%  01/25/2037   626,025 
     AMSR Trust             
 1,000,000   Series 2020-SFR4-E1   2.21%(a)  11/17/2037   971,264 
 5,122,000   Series 2021-SFR3-G   3.80%(a)  10/17/2038   4,820,833 
     APS Resecuritization Trust             
 7,223,427   Series 2015-3-1MZ (12 Month US Treasury Average + 0.96%, 0.96% Floor)   4.44%(a)  10/27/2046   6,323,781 
     Asset Backed Securities Corp. Home Equity             
 1,514,169   Series 2007-HE2-A4 (1 mo. Term SOFR + 0.34%, 0.23% Floor)   4.68%  05/25/2037   1,058,395 
     Bear Stearns Adjustable Rate Mortgage Trust             
 845,844   Series 2006-2-2A1   4.43%(j)  07/25/2036   719,111 
     Bear Stearns Alt-A Trust             
 645,498   Series 2006-4-22A1   4.36%(j)  08/25/2036   465,041 
     Chase Mortgage Finance Corp.             
 1,954,849   Series 2007-S4-A4 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 6.00% Cap)   5.05%  06/25/2037   618,790 
     Citimortgage Alternative Loan Trust             
 531,298   Series 2007-A5-1A10   5.75%  05/25/2037   475,508 
     Connecticut Avenue Securities Trust             
 13,200,000   Series 2024-R05-2M2 (30 day avg SOFR US + 1.70%, 1.90% Floor)   6.27%(a)  07/25/2044   13,284,906 
     Countrywide Alternative Loan Trust             
 213,316   Series 2005-75CB-A3   5.50%  01/25/2036   144,903 
 526,508   Series 2006-23CB-2A2   6.50%  08/25/2036   161,772 
 3,244,278   Series 2006-6CB-2A10   6.00%  05/25/2036   1,220,643 
 1,818,849   Series 2006-OA6-1A1A (1 mo. Term SOFR + 0.53%, 0.42% Floor)   4.87%  07/25/2046   1,594,778 
 280,669   Series 2007-15CB-A7   6.00%  07/25/2037   163,246 
 471,556   Series 2008-1R-2A3   6.00%  08/25/2037   233,432 
     Countrywide Home Loan Mortgage Pass Through Trust             
 97,176   Series 2005-HYB9-3A2A (12 mo. Term SOFR + 2.47%, 1.75% Floor, 11.00% Cap)   6.66%  02/20/2036   82,745 
 245,565   Series 2007-14-A15   6.50%  09/25/2037   136,071 
 4,808,891   Series 2007-14-A19   6.00%  09/25/2037   2,471,761 
 300,453   Series 2007-HY1-1A1   4.45%(j)  04/25/2037   276,460 
     Credit Suisse First Boston Mortgage Securities Corp.             
 355,721   Series 2005-10-6A9   5.50%  11/25/2035   115,783 
 157,085   Series 2005-9-5A9   5.50%  10/25/2035   81,314 
     Credit Suisse Mortgage Capital Certificates             
 368,228   Series 2011-12R-3A5   5.88%(a)(j)  07/27/2036   365,999 
 7,700,000   Series 2020-RPL6-A2   3.46%(a)(j)  03/25/2059   7,630,931 
 1,500,000   Series 2021-NQM6-B1   3.29%(a)(j)  07/25/2066   1,021,384 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     CSAB Mortgage Backed Trust             
 258,540   Series 2006-2-A5A   6.58%(e)  09/25/2036   78,029 
     DB US Financial Markets Holding Corp.             
 92,879   Series 2014-RS1-1A2   6.50%(a)(j)  07/27/2037   76,694 
     Deutsche ALT-A Securities, Inc.             
 160,762   Series 2006-AB4-A1A   6.01%(j)  10/25/2036   135,914 
     Fannie Mae Connecticut Avenue Securities             
 6,200,000   Series 2024-R01-1M2 (30 day avg SOFR US + 1.80%, 1.80% Floor)   6.37%(a)  01/25/2044   6,268,619 
     FirstKey Homes Trust             
 6,452,000   Series 2021-SFR1-F1   3.24%(a)  08/17/2038   6,160,969 
     Freddie Mac Structured Agency Credit Risk Debt Notes             
 4,300,000   Series 2024-DNA1-M2 (30 day avg SOFR US + 1.95%, 0.00% Floor)   6.52%(a)  02/25/2044   4,362,105 
     Freedom Mortgage Parent LLC             
 8,000,000   Series 2021-GT1-A   3.62%(a)(j)  07/25/2026   7,388,726 
     GCAT             
 500,000   Series 2019-NQM3-B1   3.95%(a)(j)  11/25/2059   412,202 
     Home Partners of America Trust             
 6,410,959   Series 2019-2-F   3.87%(a)  10/19/2039   5,895,104 
     Impac Secured Assets CMN Owner Trust             
 656,787   Series 2006-5-1A1C (1 mo. Term SOFR + 0.65%, 0.54% Floor, 11.50% Cap)   4.99%  02/25/2037   593,195 
     JP Morgan Mortgage Trust             
 401,115   Series 2005-S3-1A2   5.75%  01/25/2036   174,406 
 279,829   Series 2007-A2-4A1M   4.54%(j)  04/25/2037   226,941 
     Legacy Mortgage Asset Trust             
 3,513,700   Series 2021-GS1-A2   6.84%(a)(e)  10/25/2066   3,517,781 
     Lehman Mortgage Trust             
 104,530   Series 2006-1-1A3   5.50%  02/25/2036   49,025 
     LoanDepot GMSR Master Trust             
 3,000,000   Series 2018-GT1-A (1 mo. Term SOFR + 3.66%, 2.80% Floor)   8.06%(a)  10/16/2025   2,992,047 
     Mastr Adjustable Rate Mortgages Trust             
 67,831   Series 2006-2-2A1   7.27%(j)  04/25/2036   32,988 
     Merrill Lynch Alternative Note Asset             
 257,798   Series 2007-F1-2A7   6.00%  03/25/2037   88,965 
     Merrill Lynch Mortgage Investors, Inc.             
 538,934   Series 2006-AF1-AF2C   6.25%  08/25/2036   216,312 
     Morgan Stanley Mortgage Loan Trust             
 4,364,373   Series 2005-7-3A1   4.61%(j)  11/25/2035   2,439,728 
 68,774   Series 2005-7-4A1   5.50%  11/25/2035   41,141 
 270,183   Series 2006-2-7A1   5.47%(j)  02/25/2036   152,026 
 422,153   Series 2007-8XS-A1   5.75%(j)  04/25/2037   203,935 
     Morgan Stanley Resecuritization Trust             
 6,865,276   Series 2013-R7-8B (12 Month US Treasury Average + 0.96%, 0.96% Floor)   6.01%(a)  12/26/2046   6,527,659 
     New Century Home Equity Loan Trust             
 965,821   Series 2006-1-A2B (1 mo. Term SOFR + 0.47%, 0.36% Floor, 12.50% Cap)   4.81%  05/25/2036   960,748 
     Novastar Home Equity Loan             
 9,419,920   Series 2006-3-A2C (1 mo. Term SOFR + 0.43%, 0.32% Floor, 11.00% Cap)   4.77%  10/25/2036   4,306,665 
     Onslow Bay Mortgage Loan Trust             
 1,375,000   Series 2024-NQM18-M1   6.17%(a)(j)  10/25/2064   1,364,258 
     PennyMac Mortgage Investment Trust             
 500,000   Series 2021-FT1-A (1 mo. Term SOFR + 3.11%, 3.12% Floor)   7.45%(a)  03/25/2026   502,391 
     Progress Residential Trust             
 1,100,000   Series 2021-SFR1-G   3.86%(a)  04/17/2038   1,072,963 
 7,500,000   Series 2021-SFR2-F   3.40%(a)  04/19/2038   7,283,675 
 8,100,000   Series 2021-SFR3-F   3.44%(a)  05/17/2026   7,906,745 
 6,000,000   Series 2024-SFR3-E1   4.00%(a)  06/17/2041   5,448,161 
     RALI Trust             
 243,676   Series 2006-QS12-2A3   6.00%  09/25/2036   188,177 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     Residential Asset Securitization Trust             
 1,488,931   Series 2005-A15-5A2   5.75%  02/25/2036   545,187 
 344,688   Series 2006-A2-A11   6.00%  01/25/2046   130,233 
     RESIDENTIAL MORTGAGE LOAN TRUST             
 5,750,000   Series 2020-1-B1   3.95%(a)(j)  01/26/2060   5,311,726 
     RFMSI Trust             
 2,416,957   Series 2006-S8-A10   6.00%  09/25/2036   1,873,241 
     Soundview Home Equity Loan Trust             
 4,182,392   Series 2007-OPT1-2A2 (1 mo. Term SOFR + 0.26%, 0.15% Floor)   4.60%  06/25/2037   2,759,226 
     Starwood Mortgage Residential Trust             
 1,116,000   Series 2019-INV1-B1   3.66%(a)(j)  09/27/2049   1,012,529 
     Structured Adjustable Rate Mortgage Loan Trust             
 498,279   Series 2005-22-4A1   5.60%(j)  12/25/2035   458,714 
     Structured Asset Securities Corp.             
 6,780,185   Series 2007-OSI-A4 (1 mo. Term SOFR + 0.31%, 0.20% Floor)   4.65%  06/25/2037   4,371,374 
 4,761,968   Series 2007-RF1-1A (1 mo. Term SOFR + 0.30%, 0.19% Floor)   4.64%(a)  03/25/2037   3,911,727 
     TBW Mortgage Backed Pass Through Certificates             
 13,411,895   Series 2006-3-4A1 (1 mo. Term SOFR + 0.51%, 0.40% Floor, 7.50% Cap)   4.85%  07/25/2036   1,075,123 
 13,411,982   Series 2006-3-4A3 (-1 x 1 mo. Term SOFR + 6.99%, 0.00% Floor, 7.10% Cap)   2.65%(k)(l)  07/25/2036   527,354 
     Towd Point Mortgage Trust             
 5,000,000   Series 2017-5-B1 (1 mo. Term SOFR + 1.91%, 0.00% Floor)   6.25%(a)  02/25/2057   5,039,953 
     Tricon American Homes Trust             
 5,000,000   Series 2019-SFR1-F   3.75%(a)  03/17/2038   4,873,959 
     Velocity Commercial Capital Loan Trust             
 1,076,531   Series 2018-2-M2   4.51%(a)(j)  10/26/2048   984,921 
 274,442   Series 2018-2-M3   4.72%(a)(j)  10/26/2048   243,731 
 945,129   Series 2019-1-M5   5.70%(a)(j)  03/25/2049   816,870 
 1,117,496   Series 2019-2-M4   3.99%(a)(j)  07/25/2049   923,147 
     Verus Securitization Trust             
 3,100,000   Series 2019-INV3-B1   3.73%(a)(j)  11/25/2059   2,767,360 
 2,600,000   Series 2021-3-B1   3.20%(a)(j)  06/25/2066   1,914,864 
 5,000,000   Series 2021-7-B1   4.14%(a)(j)  10/25/2066   3,796,744 
 3,000,000   Series 2021-R2-B1   3.25%(a)(j)  02/25/2064   2,217,443 
 4,750,000   Series 2024-6-M1   6.18%(a)(j)  07/25/2069   4,751,869 
 2,000,000   Series 2024-9-M1   6.20%(a)(j)  11/25/2069   1,999,482 
     WaMu Mortgage Pass Through Certificates             
 684,121   Series 2007-HY6-2A2   4.11%(j)  06/25/2037   587,524 
     Washington Mutual Alternative Mortgage Pass-Through Certificates             
 437,412   Series 2006-2-4CB   6.00%  03/25/2036   417,429 
     Wells Fargo Alternative Loan Trust             
 214,838   Series 2007-PA5-1A1   6.25%  11/25/2037   186,819 
     Wells Fargo Home Equity Trust             
 4,534,286   Series 2007-2-A4 (1 mo. Term SOFR + 0.71%, 0.60% Floor)   5.05%  04/25/2037   3,229,910 
     Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $209,887,801)     180,404,083 
 US CORPORATE BONDS - 3.9%          
 215,000   AAR Escrow Issuer LLC   6.75%(a)  03/15/2029   218,228 
 425,000   Academy Ltd.   6.00%(a)  11/15/2027   423,101 
 75,000   Acrisure LLC / Acrisure Finance, Inc.   6.00%(a)  08/01/2029   72,227 
 275,000   Acuris Finance US, Inc. / Acuris Finance SARL   5.00%(a)  05/01/2028   250,177 
 90,000   Acushnet Co.   7.38%(a)  10/15/2028   93,134 
 110,000   AdaptHealth LLC   5.13%(a)  03/01/2030   100,254 
 450,000   Advanced Drainage Systems, Inc.   6.38%(a)  06/15/2030   452,103 
 240,000   Aethon United BR LP / Aethon United Finance Corp.   7.50%(a)  10/01/2029   245,676 
 215,000   Alliant Holdings Intermediate LLC / Alliant Holdings Co.-Issuer   6.75%(a)  10/15/2027   213,439 
 245,000   Alliant Holdings Intermediate LLC / Alliant Holdings Co.-Issuer   6.50%(a)  10/01/2031   242,887 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 280,000   Allied Universal Holdco LLC   7.88%(a)  02/15/2031   286,532 
 200,000   Allied Universal Holdco LLC / Allied Universal Finance Corp.   6.00%(a)  06/01/2029   182,446 
 60,000   AMC Entertainment Holdings, Inc.   7.50%(a)  02/15/2029   53,334 
 140,000   Amentum Holdings, Inc.   7.25%(a)  08/01/2032   141,221 
 205,000   American Airlines, Inc.   8.50%(a)  05/15/2029   215,364 
 100,000   American Axle & Manufacturing, Inc.   5.00%  10/01/2029   91,462 
 185,000   AmWINS Group, Inc.   4.88%(a)  06/30/2029   174,570 
 110,000   Anywhere Real Estate Group LLC / Anywhere Co.-Issuer Corp.   7.00%(a)  04/15/2030   97,705 
 40,000   Anywhere Real Estate Group LLC / Realogy Co.-Issuer Corp.   5.25%(a)  04/15/2030   30,126 
 80,000   APH / APH2 / APH3   7.88%(a)  11/01/2029   81,157 
 230,000   Archrock Partners LP / Archrock Partners Finance Corp.   6.63%(a)  09/01/2032   229,931 
 90,000   Arcosa, Inc.   6.88%(a)  08/15/2032   91,554 
 60,000   Arsenal AIC Parent LLC   8.00%(a)  10/01/2030   62,163 
 55,000   Artera Services LLC   8.50%(a)  02/15/2031   53,070 
 130,000   Ashton Woods USA LLC / Ashton Woods Finance Co.   4.63%(a)  04/01/2030   118,091 
 170,000   AssuredPartners, Inc.   5.63%(a)  01/15/2029   172,069 
 165,000   AthenaHealth Group, Inc.   6.50%(a)  02/15/2030   156,970 
 50,000   Avient Corp.   6.25%(a)  11/01/2031   49,374 
 230,000   Bausch + Lomb Corp.   8.38%(a)  10/01/2028   238,338 
 75,000   Bausch Health Americas, Inc.   8.50%(a)  01/31/2027   61,978 
 200,000   Bausch Health Cos., Inc.   4.88%(a)  06/01/2028   160,223 
 90,000   Bausch Health Cos., Inc.   5.25%(a)  01/30/2030   49,131 
 15,000   Bausch Health Cos., Inc.   14.00%(a)  10/15/2030   13,991 
 380,000   BCPE Empire Holdings, Inc.   7.63%(a)  05/01/2027   379,089 
 180,000   Beacon Roofing Supply, Inc.   6.50%(a)  08/01/2030   182,792 
 220,000   Blue Racer Midstream LLC / Blue Racer Finance Corp.   7.25%(a)  07/15/2032   226,227 
 115,000   Brand Industrial Services, Inc.   10.38%(a)  08/01/2030   117,191 
 315,000   Buckeye Partners LP   6.88%(a)  07/01/2029   319,133 
 265,000   Builders FirstSource, Inc.   6.38%(a)  03/01/2034   261,869 
 335,000   Caesars Entertainment, Inc.   6.00%(a)  10/15/2032   323,311 
 210,000   Calpine Corp.   4.50%(a)  02/15/2028   201,583 
 340,000   Carnival Corp.   5.75%(a)  03/01/2027   339,500 
 81,639   Carvana Co.
 12.00% PIK		   9.00%(a)  12/01/2028   87,248 
 135,000   Carvana Co.
 13.00% PIK		   13.00%(a)  06/01/2030   148,361 
 40,000   Castle US Holding Corp.   9.50%(a)  02/15/2028   18,685 
 230,000   CCO Holdings LLC / CCO Holdings Capital Corp.   5.13%(a)  05/01/2027   226,197 
 355,000   CCO Holdings LLC / CCO Holdings Capital Corp.   4.75%(a)  03/01/2030   324,584 
 200,000   CCO Holdings LLC / CCO Holdings Capital Corp.   4.75%(a)  02/01/2032   175,760 
 235,000   Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op   5.25%  07/15/2029   226,062 
 145,000   Central Parent LLC / CDK Global II LLC / CDK Financing Co., Inc.   8.00%(a)  06/15/2029   147,812 
 160,000   Chord Energy Corp.   6.38%(a)  06/01/2026   160,074 
 185,000   CHS/Community Health Systems, Inc.   6.00%(a)  01/15/2029   165,851 
 85,000   CHS/Community Health Systems, Inc.   6.88%(a)  04/15/2029   64,301 
 145,000   CHS/Community Health Systems, Inc.   4.75%(a)  02/15/2031   112,658 
 100,000   Civitas Resources, Inc.   8.38%(a)  07/01/2028   103,982 
 140,000   Clarios Global LP / Clarios US Finance Co.   6.75%(a)  05/15/2028   142,660 
 90,000   Clarivate Science Holdings Corp.   4.88%(a)  07/01/2029   83,997 
 60,000   Clear Channel Outdoor Holdings, Inc.   9.00%(a)  09/15/2028   63,092 
 95,000   Clear Channel Outdoor Holdings, Inc.   7.50%(a)  06/01/2029   83,236 
 305,000   Clearway Energy Operating LLC   4.75%(a)  03/15/2028   291,932 
 155,000   Cleveland-Cliffs, Inc.   6.88%(a)  11/01/2029   153,515 
 135,000   Cloud Software Group, Inc.   6.50%(a)  03/31/2029   132,676 
 90,000   Cloud Software Group, Inc.   9.00%(a)  09/30/2029   91,489 
 230,000   Clydesdale Acquisition Holdings, Inc.   6.88%(a)  01/15/2030   231,844 
 205,000   CNX Midstream Partners LP   4.75%(a)  04/15/2030   187,780 
 185,000   CNX Resources Corp.   6.00%(a)  01/15/2029   181,579 
 65,000   CommScope LLC   4.75%(a)  09/01/2029   57,975 
 65,000   CommScope Technologies LLC   5.00%(a)  03/15/2027   58,184 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 195,000   Consolidated Communications, Inc.   5.00%(a)  10/01/2028   181,689 
 60,000   Cornerstone Building Brands, Inc.   6.13%(a)  01/15/2029   47,936 
 200,000   Cornerstone Building Brands, Inc.   9.50%(a)  08/15/2029   194,902 
 110,000   Cougar JV Subsidiary LLC   8.00%(a)  05/15/2032   114,290 
 470,000   CQP Holdco LP / BIP-V Chinook Holdco LLC   5.50%(a)  06/15/2031   449,277 
 430,000   CSC Holdings LLC   6.50%(a)  02/01/2029   362,621 
 245,000   CSC Holdings LLC   5.75%(a)  01/15/2030   139,654 
 115,000   CVR Partners LP / CVR Nitrogen Finance Corp.   6.13%(a)  06/15/2028   112,035 
 100,000   Dana, Inc.   5.38%  11/15/2027   99,050 
 65,000   Dana, Inc.   4.25%  09/01/2030   60,537 
 125,000   Dcli Bidco LLC   7.75%(a)  11/15/2029   128,278 
 250,000   Dealer Tire LLC / DT Issuer LLC   8.00%(a)  02/01/2028   245,848 
 75,000   Diebold Nixdorf, Inc.   7.75%(a)  03/31/2030   77,179 
 190,000   Directv Financing LLC / Directv Financing Co.-Obligor, Inc.   5.88%(a)  08/15/2027   185,319 
 260,000   DISH DBS Corp.   5.75%(a)  12/01/2028   222,786 
 110,000   DISH DBS Corp.   5.13%  06/01/2029   70,910 
 185,000   Dornoch Debt Merger Sub, Inc.   6.63%(a)  10/15/2029   150,051 
 245,000   Dun & Bradstreet Corp.   5.00%(a)  12/15/2029   233,553 
 210,000   EchoStar Corp.   10.75%  11/30/2029   226,036 
 240,000   Ellucian Holdings, Inc.   6.50%(a)  12/01/2029   240,702 
 115,000   Embarq LLC   8.00%  06/01/2036   63,050 
 320,000   EMRLD Borrower LP / Emerald Co.-Issuer, Inc.   6.63%(a)  12/15/2030   320,827 
 85,000   Energizer Holdings, Inc.   6.50%(a)  12/31/2027   85,379 
 320,000   Everi Holdings, Inc.   5.00%(a)  07/15/2029   320,219 
 145,000   Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.   6.75%(a)  01/15/2030   133,891 
 105,000   Fortrea Holdings, Inc.   7.50%(a)  07/01/2030   105,305 
 335,000   Fortress Transportation and Infrastructure Investors LLC   5.88%(a)  04/15/2033   323,648 
 208,218   Frontier Communications Holdings LLC   5.88%  11/01/2029   207,243 
 115,000   Full House Resorts, Inc.   8.25%(a)  02/15/2028   114,684 
 150,000   Gates Corp./DE   6.88%(a)  07/01/2029   152,770 
 445,000   Genesee & Wyoming, Inc.   6.25%(a)  04/15/2032   448,239 
 200,000   Genting New York LLC / GENNY Capital, Inc.   7.25%(a)  10/01/2029   206,239 
 140,000   Goat Holdco LLC   6.75%(a)  02/01/2032   138,787 
 95,000   Goodyear Tire & Rubber Co.   5.25%  07/15/2031   85,188 
 80,000   GrafTech Finance, Inc.   4.63%(a)  12/23/2029   65,498 
 110,000   Gray Television, Inc.   10.50%(a)  07/15/2029   110,113 
 210,000   Griffon Corp.   5.75%  03/01/2028   206,066 
 150,000   Group 1 Automotive, Inc.   6.38%(a)  01/15/2030   150,675 
 112,043   Gulfport Energy Corp.   8.00%(a)  05/17/2026   113,586 
 240,000   Gulfport Energy Operating Corp.   6.75%(a)  09/01/2029   241,973 
 305,000   Harvest Midstream I LP   7.50%(a)  05/15/2032   310,883 
 315,000   Helios Software Holdings, Inc. / ION Corporate Solutions Finance Sarl   4.63%(a)  05/01/2028   290,920 
 140,000   Hess Midstream Operations LP   5.50%(a)  10/15/2030   136,023 
 130,000   H-Food Holdings LLC / Hearthside Finance Co., Inc.   8.50%(a)(g)  06/01/2026   4,225 
 110,000   Hightower Holding LLC   6.75%(a)  04/15/2029   109,640 
 150,000   Hilcorp Energy I LP / Hilcorp Finance Co.   7.25%(a)  02/15/2035   141,152 
 195,000   HUB International Ltd.   7.25%(a)  06/15/2030   200,035 
 180,000   Icahn Enterprises LP / Icahn Enterprises Finance Corp.   5.25%  05/15/2027   170,583 
 200,000   Illuminate Buyer LLC / Illuminate Holdings IV, Inc.   9.00%(a)  07/01/2028   202,699 
 335,000   Installed Building Products, Inc.   5.75%(a)  02/01/2028   329,750 
 195,000   Iron Mountain, Inc.   7.00%(a)  02/15/2029   199,390 
 50,000   Iron Mountain, Inc.   6.25%(a)  01/15/2033   49,833 
 225,000   JELD-WEN, Inc.   4.88%(a)  12/15/2027   214,029 
 195,000   JELD-WEN, Inc.   7.00%(a)  09/01/2032   181,223 
 150,000   JetBlue Airways Corp. / JetBlue Loyalty LP   9.88%(a)  09/20/2031   159,531 
 320,000   Kodiak Gas Services LLC   7.25%(a)  02/15/2029   326,717 
 85,000   LBM Acquisition LLC   6.25%(a)  01/15/2029   78,272 
 200,000   Leeward Renewable Energy Operations LLC   4.25%(a)  07/01/2029   183,286 
 200,000   Level 3 Financing, Inc.   10.50%(a)  04/15/2029   223,880 
 115,000   Level 3 Financing, Inc.   3.75%(a)  07/15/2029   89,511 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 75,000   Level 3 Financing, Inc.   4.50%(a)  04/01/2030   62,561 
 150,000   LFS Topco LLC   5.88%(a)  10/15/2026   149,006 
 335,000   Life Time, Inc.   6.00%(a)  11/15/2031   331,873 
 215,000   LifePoint Health, Inc.   4.38%(a)  02/15/2027   206,233 
 280,000   LifePoint Health, Inc.   10.00%(a)  06/01/2032   285,039 
 220,000   Light & Wonder International, Inc.   7.25%(a)  11/15/2029   224,776 
 135,000   Lightning Power LLC   7.25%(a)  08/15/2032   139,201 
 25,000   Lions Gate Capital Holdings LLC   5.50%(a)  04/15/2029   19,633 
 95,000   Live Nation Entertainment, Inc.   6.50%(a)  05/15/2027   96,130 
 460,000   M/I Homes, Inc.   4.95%  02/01/2028   446,796 
 96,000   Macy’s Retail Holdings LLC   5.88%(a)  04/01/2029   94,149 
 245,000   Madison IAQ LLC   5.88%(a)  06/30/2029   231,607 
 180,000   Matador Resources Co.   6.50%(a)  04/15/2032   178,268 
 210,000   Match Group Holdings II LLC   5.00%(a)  12/15/2027   203,281 
 130,000   Mativ Holdings, Inc.   8.00%(a)  10/01/2029   125,378 
 165,000   Mavis Tire Express Services Topco Corp.   6.50%(a)  05/15/2029   158,412 
 70,000   McAfee Corp.   7.38%(a)  02/15/2030   68,074 
 120,000   McGraw-Hill Education, Inc.   5.75%(a)  08/01/2028   117,298 
 45,000   McGraw-Hill Education, Inc.   7.38%(a)  09/01/2031   46,111 
 345,000   Medline Borrower LP   5.25%(a)  10/01/2029   333,275 
 135,000   Medline Borrower LP/Medline Co.-Issuer, Inc.   6.25%(a)  04/01/2029   136,592 
 100,000   Michaels Cos., Inc.   5.25%(a)  05/01/2028   75,616 
 85,000   Michaels Cos., Inc.   7.88%(a)  05/01/2029   51,987 
 160,000   Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp.   4.88%(a)  05/01/2029   150,952 
 220,000   Miter Brands Acquisition Holdco, Inc. / MIWD Borrower LLC   6.75%(a)  04/01/2032   221,168 
 35,000   ModivCare, Inc.   5.00%(a)  10/01/2029   20,626 
 145,000   Nabors Industries, Inc.   9.13%(a)  01/31/2030   147,593 
 55,000   Nabors Industries, Inc.   8.88%(a)  08/15/2031   51,127 
 230,000   Nationstar Mortgage Holdings, Inc.   6.00%(a)  01/15/2027   228,968 
 275,000   Nationstar Mortgage Holdings, Inc.   5.75%(a)  11/15/2031   263,140 
 150,000   Navient Corp.   5.00%  03/15/2027   147,133 
 255,000   NCL Corp. Ltd.   5.88%(a)  03/15/2026   254,841 
 155,000   NCL Corp. Ltd.   8.38%(a)  02/01/2028   162,184 
 500,000   NCL Corp. Ltd.   6.25%(a)  03/01/2030   494,462 
 165,000   NGL Energy Operating LLC / NGL Energy Finance Corp.   8.13%(a)  02/15/2029   167,328 
 150,000   NRG Energy, Inc.   6.00%(a)  02/01/2033   145,803 
 200,000   Olympus Water US Holding Corp.   9.75%(a)  11/15/2028   212,453 
 60,000   OneMain Finance Corp.   7.13%  03/15/2026   61,123 
 220,000   OneMain Finance Corp.   6.63%  01/15/2028   222,895 
 265,000   OneMain Finance Corp.   7.50%  05/15/2031   272,271 
 190,000   Outfront Media Capital LLC / Outfront Media Capital Corp.   7.38%(a)  02/15/2031   198,762 
 125,000   Owens & Minor, Inc.   6.63%(a)  04/01/2030   117,330 
 170,000   Pactiv Evergreen Group Issuer LLC / Pactiv Evergreen Group Issuer, Inc.   4.38%(a)  10/15/2028   170,023 
 170,000   Panther Escrow Issuer LLC   7.13%(a)  06/01/2031   171,884 
 310,000   Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co.-Issuer   7.00%(a)  02/01/2030   314,854 
 55,000   PBF Holding Co. LLC / PBF Finance Corp.   6.00%  02/15/2028   52,792 
 75,000   Penn Entertainment, Inc.   4.13%(a)  07/01/2029   67,329 
 110,000   PennyMac Financial Services, Inc.   4.25%(a)  02/15/2029   102,025 
 120,000   PennyMac Financial Services, Inc.   7.88%(a)  12/15/2029   125,838 
 215,000   Performance Food Group, Inc.   6.13%(a)  09/15/2032   215,259 
 190,000   Permian Resources Operating LLC   7.00%(a)  01/15/2032   193,057 
 115,000   Permian Resources Operating LLC   6.25%(a)  02/01/2033   113,610 
 250,000   PetSmart, Inc. / PetSmart Finance Corp.   7.75%(a)  02/15/2029   241,969 
 175,000   Pike Corp.   5.50%(a)  09/01/2028   168,436 
 100,000   Pike Corp.   8.63%(a)  01/31/2031   105,621 
 185,000   Post Holdings, Inc.   6.38%(a)  03/01/2033   181,552 
 60,000   Premier Entertainment Sub LLC / Premier Entertainment Finance Corp.   5.63%(a)  09/01/2029   47,158 
 95,000   Prime Security Services Borrower LLC / Prime Finance, Inc.   6.25%(a)  01/15/2028   94,589 
 35,000   Radiate Holdco LLC / Radiate Finance, Inc.   4.50%(a)  09/15/2026   30,593 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 218,603   Radiology Partners, Inc.
 4.28% Cash and 3.50% PIK		   7.78%(a)  01/31/2029   216,143 
 38,416   Radiology Partners, Inc.
 9.78% PIK		   9.78%(a)  02/15/2030   35,896 
 255,000   Royal Caribbean Cruises Ltd.   5.50%(a)  08/31/2026   254,935 
 95,000   Royal Caribbean Cruises Ltd.   5.63%(a)  09/30/2031   93,509 
 130,000   Royal Caribbean Cruises Ltd.   6.25%(a)  03/15/2032   131,658 
 70,000   Sabre GLBL, Inc.   8.63%(a)  06/01/2027   69,108 
 30,000   Sabre GLBL, Inc.   10.75%(a)  11/15/2029   31,062 
 105,000   Scientific Games Holdings LP/Scientific Games US FinCo, Inc.   6.63%(a)  03/01/2030   100,568 
 210,000   Sealed Air Corp./Sealed Air Corp. US   7.25%(a)  02/15/2031   216,731 
 200,000   Select Medical Corp.   6.25%(a)  12/01/2032   192,771 
 50,000   Service Properties Trust   5.50%  12/15/2027   46,990 
 105,000   Service Properties Trust   8.88%  06/15/2032   97,284 
 355,000   Sirius XM Radio LLC   5.50%(a)  07/01/2029   340,780 
 90,000   Sitio Royalties Operating Partnership LP / Sitio Finance Corp.   7.88%(a)  11/01/2028   92,996 
 265,000   Six Flags Entertainment Corp. / Six Flags Theme Parks, Inc.   6.63%(a)  05/01/2032   268,796 
 230,000   SM Energy Co.   7.00%(a)  08/01/2032   226,986 
 140,000   Sonic Automotive, Inc.   4.63%(a)  11/15/2029   129,382 
 180,000   Sotera Health Holdings LLC   7.38%(a)  06/01/2031   182,583 
 85,000   Spirit AeroSystems, Inc.   9.75%(a)  11/15/2030   94,168 
 115,000   Standard Building Solutions, Inc.   6.50%(a)  08/15/2032   115,283 
 155,000   Staples, Inc.   10.75%(a)  09/01/2029   152,681 
 35,000   Staples, Inc.   12.75%(a)  01/15/2030   27,410 
 140,000   Starwood Property Trust, Inc.   7.25%(a)  04/01/2029   143,788 
 155,000   Starwood Property Trust, Inc.   6.00%(a)  04/15/2030   152,248 
 330,000   Station Casinos LLC   6.63%(a)  03/15/2032   328,253 
 135,000   Suburban Propane Partners LP/Suburban Energy Finance Corp.   5.00%(a)  06/01/2031   120,937 
 205,000   SunCoke Energy, Inc.   4.88%(a)  06/30/2029   187,131 
 115,000   Sunoco LP / Sunoco Finance Corp.   6.00%  04/15/2027   114,856 
 40,000   SWF Holdings I Corp.   6.50%(a)  10/01/2029   25,230 
 190,000   Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.   7.38%(a)  02/15/2029   190,785 
 80,000   Tenet Healthcare Corp.   6.25%  02/01/2027   80,000 
 85,000   Tenet Healthcare Corp.   6.13%  10/01/2028   84,918 
 220,000   Tenet Healthcare Corp.   6.13%  06/15/2030   218,541 
 275,000   Townsquare Media, Inc.   6.88%(a)  02/01/2026   274,395 
 205,000   TransDigm, Inc.   5.50%  11/15/2027   201,608 
 215,000   TransDigm, Inc.   6.88%(a)  12/15/2030   218,351 
 93,000   Transocean Poseidon Ltd.   6.88%(a)  02/01/2027   93,353 
 70,000   Transocean, Inc.   8.00%(a)  02/01/2027   70,207 
 350,000   Trident TPI Holdings, Inc.   12.75%(a)  12/31/2028   386,519 
 515,000   Triton Water Holdings, Inc.   6.25%(a)  04/01/2029   511,783 
 225,000   UKG, Inc.   6.88%(a)  02/01/2031   228,512 
 225,000   United Airlines, Inc.   4.63%(a)  04/15/2029   214,109 
 405,000   United Natural Foods, Inc.   6.75%(a)  10/15/2028   399,565 
 95,000   Uniti Group LP / Uniti Group Finance 2019, Inc. / CSL Capital LLC   10.50%(a)  02/15/2028   101,395 
 160,000   Univision Communications, Inc.   4.50%(a)  05/01/2029   143,398 
 90,000   Upbound Group, Inc.   6.38%(a)  02/15/2029   87,599 
 335,000   US Foods, Inc.   5.75%(a)  04/15/2033   326,389 
 435,000   Vail Resorts, Inc.   6.50%(a)  05/15/2032   440,239 
 155,000   Venture Global LNG, Inc.   8.13%(a)  06/01/2028   161,363 
 100,000   Venture Global LNG, Inc.   8.38%(a)  06/01/2031   104,396 
 90,000   Venture Global LNG, Inc.   9.88%(a)  02/01/2032   98,811 
 100,000   Veritiv Operating Co.   10.50%(a)  11/30/2030   107,823 
 200,000   Victra Holdings LLC / Victra Finance Corp.   8.75%(a)  09/15/2029   210,078 
 230,000   Viking Cruises Ltd.   5.88%(a)  09/15/2027   229,025 
 195,000   Viking Cruises Ltd.   9.13%(a)  07/15/2031   209,889 
 115,000   Vistra Operations Co. LLC   7.75%(a)  10/15/2031   120,749 
 135,000   Vistra Operations Co. LLC   6.88%(a)  04/15/2032   138,357 
 90,000   Vital Energy, Inc.   7.88%(a)  04/15/2032   86,685 
 21,945   Vortex Opco LLC   8.00%(a)  04/30/2030   8,120 
 

 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 5,040   Vortex Opco LLC
 (3 mo. Term SOFR + 6.25%, 0.50% Floor)		   10.56%(a)  04/30/2030   4,964 
 200,000   VT Topco, Inc.   8.50%(a)  08/15/2030   212,078 
 120,000   Wand NewCo 3, Inc.   7.63%(a)  01/30/2032   123,377 
 170,000   WASH Multifamily Acquisition, Inc.   5.75%(a)  04/15/2026   169,482 
 235,000   Watco Cos. LLC / Watco Finance Corp.   7.13%(a)  08/01/2032   242,461 
 120,000   Wayfair LLC   7.25%(a)  10/31/2029   120,240 
 240,000   Weatherford International Ltd.   8.63%(a)  04/30/2030   248,002 
 150,000   Windstream Services LLC / Windstream Escrow Finance Corp.   8.25%(a)  10/01/2031   155,099 
 260,000   WR Grace Holdings LLC   5.63%(a)  08/15/2029   239,417 
 630,000   XHR LP   6.63%(a)  05/15/2030   632,855 
 215,000   XPO, Inc.   7.13%(a)  06/01/2031   221,326 
     Total US Corporate Bonds (Cost $44,644,717)           43,956,340 
 US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS - 10.2%       
     Federal Home Loan Mortgage Corp.             
 4,623,021   Pool RJ1071   6.00%  03/01/2054   4,701,892 
 4,764,241   Pool SD5141   6.00%  04/01/2054   4,822,284 
 3,073,055   Pool SD5964   5.50%  11/01/2053   3,066,091 
 2,767,863   Pool SD7100   5.50%  12/01/2054   2,733,896 
 516,783   Series 3926-HS (-1 x 30 day avg SOFR US + 6.34%, 0.00% Floor, 6.45% Cap)   1.74%(k)(l)  09/15/2041   57,394 
 2,143,147   Series 4631-FA (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap)   5.21%  11/15/2046   2,110,654 
 12,372,926   Series 4851-PF (30 day avg SOFR US + 0.51%, 0.40% Floor, 6.50% Cap)   5.11%  08/15/2057   12,070,525 
 1,311,393   Series 4981-GF (30 day avg SOFR US + 0.51%, 0.40% Floor, 6.50% Cap)   5.08%  06/25/2050   1,284,469 
 9,833,961   Series 5142-QI   3.00%(k)  09/25/2051   1,668,676 
 3,231,185   Series 5481-FC (30 day avg SOFR US + 1.50%, 1.50% Floor, 6.50% Cap)   6.07%  12/25/2054   3,267,861 
     Federal National Mortgage Association             
 3,532,386   Pool CB7268   6.00%  10/01/2053   3,584,297 
 2,958,994   Pool CB7996   6.00%  02/01/2054   3,008,595 
 4,035,724   Pool CB8845   5.50%  07/01/2054   4,035,922 
 4,598,599   Pool FS6422   6.00%  11/01/2053   4,710,097 
 1,997,208   Pool FS7738   6.00%  03/01/2054   2,045,634 
 2,968,013   Pool FS8152   6.00%  06/01/2054   3,003,133 
 5,681,765   Series 2013-12-FT (30 day avg SOFR US + 0.46%, 0.35% Floor, 6.50% Cap)   5.03%  02/25/2043   5,562,969 
 7,381,712   Series 2017-11-SK (-1 x 30 day avg SOFR US + 5.94%, 0.00% Floor, 6.05% Cap)   1.37%(k)(l)  03/25/2047   733,155 
 3,977,154   Series 2019-57-LF (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap)   5.18%  10/25/2049   3,893,490 
 19,856,859   Series 2019-M7-X   0.33%(j)(k)  04/25/2029   233,660 
 6,964,767   Series 2020-54-AS (-1 x 30 day avg SOFR US + 6.04%, 0.00% Floor, 6.15% Cap)   1.47%(k)(l)  08/25/2050   772,194 
 8,344,861   Series 2021-32-AI   3.00%(k)  05/25/2046   926,956 
 21,849,723   Series 2021-M8-X   0.24%(j)(k)  11/25/2035   399,026 
 4,812,389   Series 2022-43-FA (30 day avg SOFR US + 0.55%, 0.55% Floor, 6.00% Cap)   5.12%  07/25/2052   4,687,564 
 3,400,000   Series 2024-100-FD (30 day avg SOFR US + 1.45%, 1.45% Floor, 6.50% Cap)   6.05%  06/25/2054   3,400,664 
 2,605,924   Series 2024-76-FD (30 day avg SOFR US + 1.25%, 1.25% Floor, 6.50% Cap)   5.82%  11/25/2054   2,607,264 
 4,361,469   Series 2024-89-FD (30 day avg SOFR US + 1.40%, 1.40% Floor, 6.50% Cap)   5.97%  09/25/2053   4,364,730 
 4,323,675   Series 2024-93-FL (30 day avg SOFR US + 1.45%, 1.45% Floor, 6.50% Cap)   6.02%  12/25/2054   4,365,206 
 6,830,060   Series 427-C7   2.50%(k)  08/25/2035   564,699 
 

 

 

PRINCIPAL AMOUNT $/SHARES   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
     FREMF Mortgage Trust             
 639,609   Series 2016-KF18-B (30 day avg SOFR US + 5.61%, 5.50% Floor)   10.28%(a)  05/25/2026   635,616 
 700,066   Series 2017-KF30-B (30 day avg SOFR US + 3.36%, 3.25% Floor)   8.03%(a)  03/25/2027   691,561 
 392,798   Series 2018-KF44-B (30 day avg SOFR US + 2.26%, 2.15% Floor)   6.93%(a)  02/25/2025   391,838 
 2,240,176   Series 2019-KF71-C (30 day avg SOFR US + 6.11%, 6.00% Floor)   10.78%(a)  10/25/2029   2,162,207 
     Government National Mortgage Association             
 7,216,805   Series 2019-128-KS (-1 x 1 mo. Term SOFR + 2.74%, 0.00% Floor, 2.85% Cap)   0.00%(k)(l)  10/20/2049   40,348 
 6,166,027   Series 2020-104-SB (-1 x 1 mo. Term SOFR + 6.04%, 0.00% Floor, 6.15% Cap)   1.67%(k)(l)  07/20/2050   776,802 
 13,512,163   Series 2020-115-YS (-1 x 1 mo. Term SOFR + 4.09%, 0.00% Floor, 4.20% Cap)   0.00%(k)(l)  08/20/2050   348,558 
 26,804,232   Series 2020-129-SA (-1 x 1 mo. Term SOFR + 3.64%, 0.00% Floor, 3.75% Cap)   0.00%(k)(l)  09/20/2050   262,038 
 33,629,626   Series 2020-146-IJ   2.50%(k)  10/20/2050   4,735,045 
 3,342,629   Series 2020-154-MI   3.00%(k)  10/20/2050   556,166 
 13,398,059   Series 2020-189-SU (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap)   1.82%(k)(l)  12/20/2050   1,769,432 
 7,499,608   Series 2021-1-SH (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap)   1.82%(k)(l)  01/20/2051   940,376 
 11,177,984   Series 2021-193-DS (-1 x 30 day avg SOFR US + 2.60%, 0.00% Floor, 2.60% Cap)   0.00%(k)(l)  11/20/2051   34,220 
 26,819,272   Series 2021-35-IO   1.03%(j)(k)  12/16/2062   2,006,280 
 3,070,595   Series 2022-137-IO   3.00%(k)  01/20/2052   408,454 
 46,733,321   Series 2022-192-IO   0.67%(j)(k)  09/16/2064   2,721,344 
 24,373,932   Series 2023-15-IO   0.92%(j)(k)  08/16/2064   1,727,632 
 46,921,416   Series 2024-15-BI   0.74%(j)(k)  10/16/2065   2,882,364 
 42,462,685   Series 2024-35-IB   0.80%(j)(k)  07/16/2065   2,779,183 
     Total US Government and Agency Mortgage Backed Obligations (Cost $119,804,084)      114,552,461 
 US GOVERNMENT AND AGENCY OBLIGATIONS - 8.9%        
 46,200,000   United States Treasury Note/Bond   0.50%  03/31/2025   45,789,495 
 32,900,000   United States Treasury Note/Bond   0.25%  08/31/2025   32,044,223 
 23,080,000   United States Treasury Note/Bond   0.75%  04/30/2026   22,048,427 
     Total US Government and Agency Obligations (Cost $99,432,543)      99,882,145 
 COMMON STOCKS - 0.0%(m)         
 9,228   Flame Aggregator - Series R(d)(n)           38,942 
 917   Flame Aggregator - Series U(d)(n)           3,870 
     Total Common Stocks (Cost $20,803)          42,812 
 WARRANTS - 0.0%(m)         
 3,500   Avation PLC, Expires 10/31/2026 at GBP 1.15(n)           2,410 
     Total Warrants (Cost $–)           2,410 
 SHORT TERM INVESTMENTS - 9.2%        
 34,438,785   First American Government Obligations Fund - U   4.41%(o)      34,438,785 
 34,438,785   JPMorgan US Government Money Market Fund - IM   4.44%(o)      34,438,785 
 34,438,786   MSILF Government Portfolio - Institutional   4.42%(o)      34,438,786 
     Total Short Term Investments (Cost $103,316,356)        103,316,356 
     Total Investments - 99.9% (Cost $1,190,692,072)        1,120,566,507 
     Other Assets in Excess of Liabilities - 0.1%           1,255,017 
     NET ASSETS - 100.0%          $1,121,821,524 

 

 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:    
Collateralized Loan Obligations   17.0%
Non-Agency Residential Collateralized Mortgage Obligations   16.1%
Non-Agency Commercial Mortgage Backed Obligations   11.5%
Bank Loans   11.5%
US Government and Agency Mortgage Backed Obligations   10.2%
Short Term Investments   9.2%
US Government and Agency Obligations   8.9%
Asset Backed Obligations   5.8%
Foreign Corporate Bonds   4.7%
US Corporate Bonds   3.9%
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations   1.1%
Common Stocks   0.0%(m)
Warrants   0.0%(m)
Other Assets and Liabilities   0.1%
Net Assets   100.0%
      

 

 

INVESTMENT BREAKDOWN as a % of Net Assets:    
Collateralized Loan Obligations   17.0%
Non-Agency Residential Collateralized Mortgage Obligations   16.1%
Non-Agency Commercial Mortgage Backed Obligations   11.5%
US Government and Agency Mortgage Backed Obligations   10.2%
Short Term Investments   9.2%
US Government and Agency Obligations   8.9%
Asset Backed Obligations   5.8%
Electronics/Electric   2.0%
Healthcare   1.8%
Energy   1.5%
Transportation   1.1%
Banking   1.0%
Hotels/Motels/Inns and Casinos   1.0%
Utilities   1.0%
Industrial Equipment   1.0%
Finance   0.9%
Commercial Services   0.8%
Retailers (other than Food/Drug)   0.8%
Media   0.6%
Chemicals/Plastics   0.6%
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations   0.6%
Insurance   0.6%
Mining   0.6%
Telecommunications   0.6%
Business Equipment and Services   0.5%
Consumer Products   0.5%
Construction   0.5%
Technology   0.4%
Aerospace & Defense   0.4%
Containers and Glass Products   0.3%
Leisure   0.3%
Building and Development (including Steel/Metals)   0.3%
Food Products   0.3%
Automotive   0.2%
Beverage and Tobacco   0.2%
Chemical Products   0.2%
Diversified Manufacturing   0.2%
Real Estate   0.1%
Pharmaceuticals   0.1%
Conglomerates   0.1%
Pulp & Paper   0.1%
IT Services   0.0%(m)
Consumer Staples   0.0%(m)
 

 

 

Financials   0.0%(m)
Food Service   0.0%(m)
Financial Intermediaries   0.0%(m)
Other Assets and Liabilities   0.1%
Net Assets   100.0%
      

 

 

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of December 31, 2024, the value of these securities total $557,945,524 or 49.7% of the Fund’s net assets.
(b) Principal only security
(c) Security pays interest at rates that represent residual cashflows available after more senior tranches have been paid. The interest rate disclosed reflects the estimated rate in effect as of period end.
(d) Value determined using significant unobservable inputs.
(e) Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end.
(f) Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date.
(g) Security is in default or has failed to make a scheduled payment. Income is not being accrued.
(h) Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of period end.
(i) Perpetual maturity. The date disclosed is the next call date of the security.
(j) Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end.
(k) Interest only security
(l) Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.
(m) Represents less than 0.05% of net assets.
(n) Non-income producing security.
(o) Seven-day yield as of period end.

  

 

CMT

Constant Maturity Treasury Rate

GBP

British Pound

LIBOR London Interbank Offered Rate
PIK A payment-in-kind security in which the issuer may make interest or dividend payments in cash or additional securities. These additional securities generally have the same terms as the original holdings.
SOFR Secured Overnight Financing Rate
 

 

 

DoubleLine Low Duration Emerging Markets Fixed Income Fund   (Unaudited)
     
Schedule of Investments   December 31, 2024

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
FOREIGN CORPORATE BONDS - 78.4% 
 BRAZIL - 9.8%             
 376,000   BRF GmbH   4.35%  09/29/2026   368,389 
 3,100,000   Cosan Luxembourg SA   7.00%  01/20/2027   3,094,064 
 2,675,478   Guara Norte Sarl   5.20%  06/15/2034   2,444,239 
 105,102   Invepar Holdings   0.00%(a)(b)  12/30/2028   —   
 1,600,000   Minerva Luxembourg SA   5.88%  01/19/2028   1,576,557 
 2,380,397   MV24 Capital BV   6.75%  06/01/2034   2,259,278 
 800,000   NBM US Holdings, Inc.   7.00%  05/14/2026   800,768 
 2,259,197   Prumo Participacoes e Investimentos S/A   7.50%  12/31/2031   2,245,914 
 700,000   Suzano International Finance BV   4.00%  01/14/2025   698,738 
                 13,487,947 
 CHILE - 6.8%             
 900,000   Cencosud SA   4.38%  07/17/2027   880,028 
 4,792,264   Chile Electricity PEC SpA   0.00%(c)  01/25/2028   4,039,879 
 312,800   Empresa Electrica Angamos SA   4.88%  05/25/2029   284,348 
 1,115,050   Empresa Electrica Cochrane SpA   5.50%  05/14/2027   1,080,221 
 1,412,160   GNL Quintero SA   4.63%  07/31/2029   1,394,011 
 1,588,000   Sociedad Quimica y Minera de Chile SA   4.38%  01/28/2025   1,588,455 
                 9,266,942 
 COLOMBIA - 4.7%             
 3,290,198   AL Candelaria Spain SA   7.50%  12/15/2028   3,251,443 
 2,100,000   Banco de Bogota SA   6.25%  05/12/2026   2,101,098 
 1,100,000   Grupo de Inversiones Suramericana SA   5.50%  04/29/2026   1,087,142 
                 6,439,683 
 GUATEMALA - 3.7%             
 2,300,000   Banco Industrial SA/Guatemala
 (5 yr. CMT Rate + 4.44%)		   4.88%  01/29/2031   2,257,450 
 400,000   Energuate Trust   5.88%  05/03/2027   391,732 
 1,503,000   Millicom International Cellular SA   5.13%  01/15/2028   1,449,423 
 965,700   Millicom International Cellular SA   6.25%  03/25/2029   950,867 
                 5,049,472 
 INDIA - 7.2%             
 913,000   Adani International Container Terminal Pvt Ltd.   3.00%  02/16/2031   752,312 
 2,200,000   Adani Ports & Special Economic Zone Ltd.   4.00%  07/30/2027   1,989,586 
 2,400,000   Adani Transmission Step-One Ltd.   4.00%  08/03/2026   2,207,312 
 200,000   Bharti Airtel Ltd.   4.38%  06/10/2025   199,238 
 590,000   JSW Hydro Energy Ltd.   4.13%  05/18/2031   532,784 
 1,100,000   Network i2i Ltd.
 (5 yr. CMT Rate + 4.27%)		   5.65%(d)  01/15/2025   1,102,587 
 3,150,000   Reliance Industries Ltd.   4.13%  01/28/2025   3,147,273 
                 9,931,092 
 INDONESIA - 4.8%             
 1,700,000   Freeport Indonesia PT   4.76%  04/14/2027   1,685,397 
 400,000   Freeport Indonesia PT   4.76%(c)  04/14/2027   396,564 
 2,500,000   Freeport-McMoRan, Inc.   4.13%  03/01/2028   2,434,099 
 2,000,000   Medco Oak Tree Pte Ltd.   7.38%  05/14/2026   2,037,814 
                 6,553,874 
 JAMAICA - 0.0%(e)             
 192,469   Digicel Group Holdings Ltd.   0.00%(b)(c)  12/31/2030   34,192 
 464   Digicel Group Holdings Ltd.   0.00%(b)(c)  12/31/2030   462 
 56,495   Digicel Group Holdings Ltd.   0.00%(b)(c)  12/31/2030   1,304 
                 35,958 
 KUWAIT - 2.8%             
 400,000   MEGlobal BV   4.25%  11/03/2026   391,428 
 3,400,000   MEGlobal Canada ULC   5.00%  05/18/2025   3,394,594 
                 3,786,022 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 MALAYSIA - 0.6%             
 800,000   Axiata SPV2 Bhd   4.36%  03/24/2026   794,495 
 MEXICO - 12.5%               
 1,200,000   Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand
 (5 yr. CMT Rate + 3.00%)		   7.53%  10/01/2028   1,252,817 
 2,450,000   BBVA Bancomer SA/Texas
 (5 yr. CMT Rate + 2.65%)		   5.13%  01/18/2033   2,280,868 
 1,185,000   BBVA Bancomer SA/Texas
 (5 yr. CMT Rate + 4.31%)		   5.88%  09/13/2034   1,125,363 
 2,700,000   Cemex SAB de CV
 (5 yr. CMT Rate + 4.53%)		   5.13%(d)  06/08/2026   2,646,955 
 1,000,000   Cemex SAB de CV   5.45%  11/19/2029   987,149 
 2,500,000   Comision Federal de Electricidad   4.75%  02/23/2027   2,451,489 
 1,800,000   Industrias Penoles SAB de CV   4.15%  09/12/2029   1,692,250 
 2,300,000   KUO SAB De CV   5.75%  07/07/2027   2,236,864 
 2,616,347   Mexico Generadora de Energia S de RL   5.50%  12/06/2032   2,536,810 
                 17,210,565 
 PANAMA - 1.9%               
 1,877,000   Global Bank Corp.
 (3 mo. LIBOR US + 3.30%)		   5.25%(f)  04/16/2029   1,767,721 
 800,000   Multibank, Inc.   7.75%(c)  02/03/2028   811,628 
                 2,579,349 
 PARAGUAY - 1.9%               
 1,100,000   Banco Continental SAECA   2.75%  12/10/2025   1,064,274 
 1,600,000   Telefonica Celular del Paraguay SA   5.88%  04/15/2027   1,587,352 
                 2,651,626 
 PERU - 15.1%               
 2,100,000   Banco de Credito del Peru SA
 (5 yr. CMT Rate + 3.00%)		   3.13%  07/01/2030   2,060,532 
 1,800,000   Banco de Credito del Peru SA
 (5 yr. CMT Rate + 2.45%)		   3.25%(c)  09/30/2031   1,706,806 
 1,400,000   Banco Internacional del Peru SAA Interbank
 (5 yr. CMT Rate + 3.71%)		   4.00%  07/08/2030   1,382,702 
 500,000   Camposol SA   6.00%  02/03/2027   480,882 
 2,000,000   Cia de Minas Buenaventura SAA   5.50%  07/23/2026   1,999,849 
 2,525,000   Fenix Power Peru SA   4.32%  09/20/2027   2,457,165 
 282,400   Hunt Oil Co. of Peru LLC Sucursal Del Peru   6.38%(c)  06/01/2028   284,390 
 1,500,000   InRetail Shopping Malls   5.75%  04/03/2028   1,485,398 
 700,000   Intercorp Financial Services, Inc.   4.13%  10/19/2027   670,079 
 45,206   Interoceanica IV Finance Ltd.
Series 2007		   0.00%(b)  11/30/2025   43,511 
 2,300,000   Kallpa Generacion SA   4.88%  05/24/2026   2,281,497 
 1,000,000   Nexa Resources SA   5.38%  05/04/2027   990,757 
 600,000   Nexa Resources SA   6.50%  01/18/2028   609,037 
 1,885,000   Orazul Energy Peru SA   5.63%  04/28/2027   1,838,855 
 808,000   Southern Copper Corp.   3.88%  04/23/2025   804,534 
 1,600,000   Transportadora de Gas del Peru SA   4.25%  04/30/2028   1,569,139 
                 20,665,133 
 SINGAPORE - 5.5%            
 2,500,000   DBS Group Holdings Ltd.
 (5 yr. CMT Rate + 1.10%)		   1.82%  03/10/2031   2,407,041 
 2,800,000   Oversea-Chinese Banking Corp. Ltd.
 (5 yr. CMT Rate + 1.58%)		   1.83%  09/10/2030   2,735,105 
 2,500,000   United Overseas Bank Ltd.
 (5 yr. CMT Rate + 1.52%)		   1.75%  03/16/2031   2,403,898 
                 7,546,044 
 SOUTH AFRICA - 0.6%             
 800,000   Gold Fields Orogen Holdings BVI Ltd.   6.13%  05/15/2029   810,646 
 VIETNAM - 0.5%             
 762,451   Mong Duong Finance Holdings BV   5.13%  05/07/2029   733,423 
     Total Foreign Corporate Bonds (Cost $108,558,704)       107,542,271 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 20.3% 
 BRAZIL - 2.1%                 
 1,100,000   Petrobras Global Finance BV   7.38%  01/17/2027   1,132,055 
 1,750,000   Petrobras Global Finance BV   6.00%  01/27/2028   1,749,335 
                 2,881,390 
 COLOMBIA - 2.1%             
 600,000   Colombia Government International Bond   4.50%  01/28/2026   593,850 
 2,500,000   Oleoducto Central SA   4.00%  07/14/2027   2,366,274 
                 2,960,124 
 DOMINICAN REPUBLIC - 1.8%             
 2,500,000   Dominican Republic International Bond   5.50%  02/22/2029   2,426,875 
 GUATEMALA - 2.3%             
 2,900,000   Guatemala Government Bond   4.50%  05/03/2026   2,847,800 
 300,000   Guatemala Government Bond   5.25%  08/10/2029   288,975 
                 3,136,775 
 INDIA - 1.4%             
 2,000,000   ONGC Videsh Vankorneft Pte Ltd.   3.75%  07/27/2026   1,961,404 
 INDONESIA - 3.5%             
 1,500,000   Bank Negara Indonesia Persero Tbk PT   3.75%  03/30/2026   1,465,038 
 2,400,000   Indonesia Asahan Aluminium PT / Mineral Industri Indonesia Persero PT   4.75%  05/15/2025   2,395,844 
 1,000,000   Pertamina Persero PT   1.40%  02/09/2026   958,513 
                 4,819,395 
 MALAYSIA - 1.1%             
 1,500,000   TNB Global Ventures Capital Bhd   3.24%  10/19/2026   1,458,886 
 MEXICO - 2.7%             
 3,000,000   Banco Nacional de Comercio Exterior SNC/Cayman Islands (5 yr. CMT Rate + 2.00%)   2.72%  08/11/2031   2,765,933 
 500,000   Comision Federal de Electricidad   4.69%  05/15/2029   469,903 
 500,000   Comision Federal de Electricidad   5.70%(c)  01/24/2030   480,375 
                 3,716,211 
 PARAGUAY - 2.0%             
 2,019,059   Bioceanico Sovereign Certificate Ltd.   0.00%  06/05/2034   1,560,732 
 1,000,000   Paraguay Government International Bond   5.00%  04/15/2026   994,500 
 200,000   Paraguay Government International Bond   4.70%  03/27/2027   196,700 
                 2,751,932 
 PERU - 0.9%             
 1,282,288   Lima Metro Line 2 Finance Ltd.   5.88%  07/05/2034   1,280,037 
 SOUTH AFRICA - 0.4%             
 500,000   Republic of South Africa Government International Bond   4.88%  04/14/2026   494,380 
     Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $27,880,588)   27,887,409 
 SHORT TERM INVESTMENTS - 0.4%             
 178,306   First American Government Obligations Fund - U   4.41%(g)      178,306 
 178,305   JPMorgan US Government Money Market Fund - IM   4.44%(g)      178,305 
 178,306   MSILF Government Portfolio - Institutional   4.42%(g)      178,306 
     Total Short Term Investments (Cost $534,917)       534,917 
     Total Investments - 99.1% (Cost $136,974,209)           135,964,597 
     Other Assets in Excess of Liabilities - 0.9%           1,232,313 
     NET ASSETS - 100.0%          $137,196,910 

  

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:    
Foreign Corporate Bonds   78.4%
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations   20.3%
Short Term Investments   0.4%
Other Assets and Liabilities   0.9%
Net Assets   100.0%

 

 

 

INVESTMENT BREAKDOWN as a % of Net Assets:    
Banking   21.0%
Utilities   16.2%
Transportation   12.0%
Energy   10.4%
Mining   10.1%
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations   8.8%
Telecommunications   4.4%
Consumer Products   4.3%
Chemical Products   2.8%
Building and Development (including Steel/Metals)   2.6%
Retailers (other than Food/Drug)   1.7%
Conglomerates   1.6%
Chemicals/Plastics   1.2%
Finance   0.8%
Pulp & Paper   0.5%
Short Term Investments   0.4%
Food Products   0.3%
Other Assets and Liabilities   0.9%
Net Assets   100.0%
      
COUNTRY BREAKDOWN as a % of Net Assets:    
Peru   16.0%
Mexico   15.2%
Brazil   11.9%
India   8.6%
Indonesia   8.3%
Colombia   6.8%
Chile   6.8%
Guatemala   6.0%
Singapore   5.5%
Paraguay   3.9%
Kuwait   2.8%
Panama   1.9%
Dominican Republic   1.8%
Malaysia   1.7%
South Africa   1.0%
Vietnam   0.5%
United States   0.4%
Jamaica   0.0%(e)
Other Assets and Liabilities   0.9%
Net Assets   100.0%

 

 

(a) Security is in default or has failed to make a scheduled payment. Income is not being accrued.
(b) Value determined using significant unobservable inputs.
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of December 31, 2024, the value of these securities total $7,755,600 or 5.7% of the Fund’s net assets.
(d) Perpetual maturity. The date disclosed is the next call date of the security.
(e) Represents less than 0.05% of net assets.
(f) Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date.
(g) Seven-day yield as of period end.
   

 

CMT Constant Maturity Treasury Rate
LIBOR London Interbank Offered Rate
 

 

 

DoubleLine Long Duration Total Return Bond Fund   (Unaudited)
     
Schedule of Investments   December 31, 2024

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS - 79.0%         
     Fannie Mae or Freddie Mac             
 730,000   TBA   2.50%(g)  01/15/2047   594,665 
     Federal Home Loan Mortgage Corp.             
 1,523,098   Pool SD7512   3.00%  02/01/2050   1,319,299 
 1,544,150   Pool SD7553   3.00%  03/01/2052   1,331,140 
 3,045,278   Series 4390-NZ   3.00%(a)  09/15/2044   2,645,392 
 1,061,513   Series 4460-KB   3.50%  03/15/2045   940,124 
 547,677   Series 4839-WO   0.00%(b)  08/15/2056   348,610 
 2,000,000   Series 4994-AV   2.00%  12/25/2045   1,536,019 
 1,312,500   Series 5145-HZ   3.00%(a)  09/25/2051   759,707 
 1,927,332   Series 5155-JZ   3.00%(a)  10/25/2051   1,103,353 
 1,755,448   Series 5155-KZ   3.00%(a)  10/25/2051   1,049,740 
 1,566,299   Series 5160-ZY   3.00%(a)  10/25/2050   1,064,898 
 1,872,410   Series 5171-Z   2.00%(a)  12/25/2051   977,787 
 1,293,127   Series 5319-PO   0.00%(b)  08/25/2050   864,003 
 340,209   Series 5326-UO   0.00%(b)  10/25/2050   225,697 
     Federal National Mortgage Association             
 1,546,250   Pool 310233   3.50%  03/01/2044   1,401,102 
 967,000   Pool BS7220   5.23%  11/01/2032   982,998 
 1,603,403   Pool BU5836   2.00%  11/01/2051   1,264,658 
 1,518,361   Pool BV9867   3.00%  05/01/2052   1,292,179 
 287,000   Pool BZ1178   5.81%  06/01/2031   293,646 
 1,310,130   Pool FM8691   2.50%  09/01/2051   1,081,783 
 2,065,712   Pool FS0176   2.50%  01/01/2052   1,698,732 
 1,498,450   Pool FS3826   3.00%  01/01/2052   1,274,750 
 1,438,577   Pool FS5984   3.00%  12/01/2050   1,246,096 
 1,303,476   Pool FS7149   2.50%  03/01/2052   1,076,189 
 1,478,140   Pool FS8304   3.00%  05/01/2052   1,276,428 
 1,260,000   Series 2012-128-UC   2.50%  11/25/2042   915,189 
 655,758   Series 2013-66-ZK   3.00%(a)  07/25/2043   467,563 
 1,583,214   Series 2014-42-BZ   3.00%(a)  07/25/2044   1,358,707 
 370,097   Series 2014-68-TD   3.00%  11/25/2044   328,368 
 487,724   Series 2014-80-KL   2.00%  05/25/2043   315,832 
 695,439   Series 2016-64-SA (-1 x 30 day avg SOFR US + 5.89%, 0.00% Floor, 6.00% Cap)   1.32%(c)(d)  09/25/2046   68,916 
 209,470   Series 2018-21-PO   0.00%(b)  04/25/2048   156,955 
 2,844,317   Series 2019-68-ZL   2.50%(a)  11/25/2049   2,095,023 
 1,662,341   Series 2021-17-SB (-1 x 30 day avg SOFR US + 3.30%, 0.00% Floor, 3.30% Cap)   0.00%(c)(d)  04/25/2051   18,039 
 1,822,302   Series 2021-93-Z   3.00%(a)  08/25/2051   1,163,085 
 3,178,000   Series 2023-M1-2A2   3.95%(e)  07/25/2040   2,771,820 
     Freddie Mac Seasoned Credit Risk Transfer Trust             
 1,005,000   Series 2021-2-MBU   2.50%  11/25/2060   666,404 
     Government National Mortgage Association             
 211,818   Series 2013-180-LO   0.00%(b)  11/16/2043   160,210 
 3,549,883   Series 2015-79-VZ   2.50%(a)  05/20/2045   3,048,090 
 352,991   Series 2016-12-MZ   3.00%(a)  01/20/2046   269,055 
 1,204,625   Series 2017-122-CZ   3.00%(a)  08/20/2047   909,898 
 1,510,174   Series 2021-105-JS (-1 x 30 day avg SOFR US + 3.65%, 0.00% Floor, 3.65% Cap)   0.00%(c)(d)  06/20/2051   32,373 
 1,387,960   Series 2021-223-EZ   3.00%(a)  12/20/2051   975,002 
 708,939   Series 2021-42-SB (-1 x 1 mo. Term SOFR + 6.24%, 0.00% Floor, 6.35% Cap)   1.87%(c)(d)  03/20/2051   96,855 
 1,569,397   Series 2021-89-SA (-1 x 1 mo. Term SOFR + 3.64%, 0.00% Floor, 3.75% Cap)   0.00%(c)(d)  05/20/2051   37,094 
 376,761   Series 2022-160-DZ   4.50%(a)  09/20/2052   285,939 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 8,737,250   Series 2022-85-SA (-1 x 30 day avg SOFR US + 2.60%, 0.00% Floor, 2.60% Cap)   0.00%(c)(d)  05/20/2052   26,980 
 1,811,376   Series 2022-9-MZ   3.50%(a)  01/20/2052   1,301,849 
 1,052,000   Series 2022-99-QG   3.50%  01/20/2052   873,670 
 849,549   Series 2023-140-PO   0.00%(b)  06/20/2048   546,844 
     Total US Government and Agency Mortgage Backed Obligations (Cost $50,830,161)           46,538,755 
                   
 SHORT TERM INVESTMENTS - 21.8%            
 985,514   First American Government Obligations Fund - U   4.41%(f)      985,514 
 985,513   JPMorgan US Government Money Market Fund - IM   4.44%(f)      985,513 
 985,514   MSILF Government Portfolio - Institutional   4.42%(f)      985,514 
 10,000,000   United States Treasury Bill   0.00%  03/20/2025   9,911,097 
     Total Short Term Investments (Cost $12,863,325)           12,867,638 
     Total Investments - 100.8% (Cost $63,693,486)           59,406,393 
     Other Liabilities in Excess of Assets - (0.8)%           (472,025)
     NET ASSETS - 100.0%          $58,934,368 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:    
US Government and Agency Mortgage Backed Obligations   79.0%
Short Term Investments   21.8%
Other Assets and Liabilities   (0.8)%
Net Assets   100.0%

 

 

(a)   This security accrues interest which is added to the outstanding principal balance. The interest payment will be deferred until all other tranches in the structure are paid off. The rate disclosed is as of period end.
(b)   Principal only security
(c)   Interest only security
(d)   Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.
(e)   Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end.
(f)   Seven-day yield as of period end.
(g)   Represents or includes a TBA Transaction.

 

SOFR Secured Overnight Financing Rate
TBA To be announced
   

 

Futures Contracts    
Description  Long/ Short  Contract Quantity   Expiration
 Date		  Notional   
Amount(1)		   Unrealized Appreciation (Depreciation)/ Value 
10 Year U.S. Ultra Treasury Notes  Short   (340)  3/20/2025  $(38,369,765)  $523,515 
U.S. Treasury 5 Year Notes  Short   (95)  3/31/2025   (10,157,568)   58,623 
U.S. Treasury 2 Year Notes  Long   84   3/31/2025   17,281,010    (9,822)
U.S. Treasury Long Bonds  Long   221   3/20/2025   25,800,174    (640,705)
U.S. Treasury Ultra Bonds  Long   198   3/20/2025   24,400,419    (856,982)
                   $(925,371)

 

(1)   Notional Amount is determined based on the number of contracts multiplied by the contract size and the quoted daily settlement price in US dollars.
 

 

 

DoubleLine Strategic Commodity Fund   (Unaudited)
     
Schedule of Investments (Consolidated)   December 31, 2024

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 SHORT TERM INVESTMENTS - 100.0%             
 1,087,883   First American Government Obligations Fund - U   4.41%(a)(b)      1,087,883 
 1,087,883   JPMorgan US Government Money Market Fund - IM   4.44%(a)(b)      1,087,883 
 1,087,883   MSILF Government Portfolio - Institutional   4.42%(a)(b)      1,087,883 
 79,500,000   United States Treasury Bill   0.00%(a)  01/09/2025   79,435,010 
 5,000,000   United States Treasury Bill   0.00%(c)  01/28/2025   4,984,860 
 19,500,000   United States Treasury Bill   0.00%(a)(c)  05/08/2025   19,217,993 
     Total Short Term Investments (Cost $106,873,452)           106,901,512 
     Total Investments - 100.0% (Cost $106,873,452)           106,901,512 
     Other Assets in Excess of Liabilities - 0.0%(d)       19,059 
     NET ASSETS - 100.0%          $106,920,571 

 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:    
Short Term Investments   100.0%
Other Assets and Liabilities   0.0%(d)
Net Assets   100.0%
      

 

(a)   All or a portion of this security is owned by DoubleLine Strategic Commodity Ltd., which is a wholly owned subsidiary of the DoubleLine Strategic Commodity Fund.
(b)   Seven-day yield as of period end.
(c)   All or a portion of security has been pledged as collateral.
(d)   Represents less than 0.05% of net assets.

 

SWAP AGREEMENTS 
EXCESS RETURN SWAPS

 

Reference Entity  Counterparty  Long/
Short		  Financing Rate  Payment Frequency  Termination Date  Notional Amount  Value  Upfront Premiums Paid/
(Received)		  Unrealized Appreciation (Depreciation)
Long Commodity Basket Swap(1)(2)  Canadian Imperial Bank of Commerce   Long    0.20%  Termination  01-02-2025  $8,600,000   $733,378   $—     $733,378 
Long Commodity Basket Swap(1)(3)  Bank of America Merrill Lynch   Long    0.20%  Termination  01-02-2025   7,700,000    656,628    —      656,628 
Commodity Beta Basket Swap(1)(4)  Canadian Imperial Bank of Commerce   Long    0.21%  Termination  01-02-2025   20,700,000    (1,616)   —      (1,616)
Commodity Beta Basket Swap(1)(4)  Bank of America Merrill Lynch   Long    0.23%  Termination  01-02-2025   20,700,000    (1,945)   —      (1,945)
Commodity Beta Basket Swap(1)(4)  Barclays Capital, Inc.   Long    0.20%  Termination  01-02-2025   34,500,000    (2,420)   —      (2,420)
Short Commodity Basket Swap(1)(5)  Bank of America Merrill Lynch   Short    0.00%  Termination  01-02-2025   (7,700,000)   (186,435)   —      (186,435)
Short Commodity Basket Swap(1)(6)  Canadian Imperial Bank of Commerce   Short    0.00%  Termination  01-02-2025   (8,600,000)   (208,224)   —      (208,224)
                           $989,366   $—     $989,366 

 

(1) All or a portion of this security is owned by DoubleLine Strategic Commodity Ltd., which is a wholly-owned subsidiary of the DoubleLine Strategic Commodity Fund.
 

 

(2) Long Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the S&P GSCI index. At December 31, 2024, all constituents and their weightings were as follows:

 

Sub-Index  Ticker  Contract Value (7)  Value of Index  Weightings
S&P GSCI 2 Month Forward Cocoa Index ER   SG2MCCP    0.08   $34    22.6%
S&P GSCI 2 Month Forward Natural Gas Index ER   SG2MNGP    6.47    29    19.8%
S&P GSCI 2 Month Forward Heating Oil Index ER   SG2MHOP    0.06    29    19.3%
S&P GSCI 2 Month Forward GasOil Index ER   SG2MGOP    0.23    28    19.2%
S&P GSCI 2 Month Forward Brent Crude Index ER   SG2MBRP    0.02    28    19.1%
             $148    100.0%

 

(3) Long Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the S&P GSCI index. At December 31, 2024, all constituents and their weightings were as follows:

 

Sub-Index  Ticker  Contract Value (7)  Value of Index  Weightings
S&P GSCI 2 Month Forward Cocoa Index ER   SG2MCCP    0.10   $44    22.6%
S&P GSCI 2 Month Forward Natural Gas Index ER   SG2MNGP    8.44    38    19.8%
S&P GSCI 2 Month Forward Heating Oil Index ER   SG2MHOP    0.07    38    19.3%
S&P GSCI 2 Month Forward GasOil Index ER   SG2MGOP    0.30    37    19.2%
S&P GSCI 2 Month Forward Brent Crude Index ER   SG2MBRP    0.03    37    19.1%
             $194    100.0%

 

(4) Commodity Beta Basket Swap represents a swap on a basket of commodity indices designed to approximate the broad commodity market. At December 31, 2024, all constituents and their weightings were as follows:

 

Index  Ticker  Contract Value (7)  Value of Index  Weightings
Electrolytic Copper Future   LP1    0.22   $136    21.7%
Soybean Future   S1    0.35    114    18.2%
Nickel Future   LN1    0.28    79    12.6%
Crude Oil Future   CL1    0.10    66    10.6%
Brent Crude Future   CO1    0.10    65    10.5%
Live Cattle Future   LC1    0.18    36    5.7%
Gasoline RBOB Future   XB1    0.06    32    5.1%
Low Sulphur Gas Oil Future   QS1    0.08    30    4.8%
Sugar No. 11 Future   SB1    0.16    28    4.5%
Cotton No. 2 Future   CT1    0.40    23    3.6%
NY Harbor ULSD Heating Oil Future   HO1    0.06    17    2.7%
             $626    100.0%

 

(5) Short Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the S&P GSCI index. At December 31, 2024, all constituents and their weightings were as follows:

 

Sub-Index  Ticker  Contract Value (7)  Value of Index  Weightings
S&P GSCI 2 Month Forward Corn Index ER   SG2MCNP    1.42   $38    20.7%
S&P GSCI 2 Month Forward Unleaded Gas Index ER   SG2MHUP    0.03    37    20.4%
S&P GSCI 2 Month Forward Kansas Wheat Index ER   SG2MKWP    1.53    36    20.2%
S&P GSCI 2 Month Forward Soybeans Index ER   SG2MSOP    0.11    36    20.0%
S&P GSCI 2 Month Forward Cotton Index ER   SG2MCTP    0.84    34    18.7%
             $181    100.0%

 

(6) Short Commodity Basket Swap represents a swap on a basket of commodity sub-indices of the S&P GSCI index. At December 31, 2024, all constituents and their weightings were as follows:

 

Sub-Index  Ticker  Contract Value (7)  Value of Index  Weightings
S&P GSCI 2 Month Forward Corn Index ER   SG2MCNP    1.55   $41    20.7%
S&P GSCI 2 Month Forward Unleaded Gas Index ER   SG2MHUP    0.03    40    20.4%
S&P GSCI 2 Month Forward Kansas Wheat Index ER   SG2MKWP    1.67    40    20.2%
S&P GSCI 2 Month Forward Soybeans Index ER   SG2MSOP    0.13    40    20.0%
S&P GSCI 2 Month Forward Cotton Index ER   SG2MCTP    0.92    37    18.7%
             $198    100.0%

 

(7) Contract value represents the number of units of the underlying constituent’s index in one unit of the custom basket index at creation. The contract value is calculated by multiplying each constituent’s weight by the starting price of the custom basket index and dividing by the starting price of the constituent’s index. The contract value will differ depending on the date the swap is initiated.
 

 

 

DoubleLine Global Bond Fund   (Unaudited)
     
Schedule of Investments   December 31, 2024

 

PRINCIPAL AMOUNT
$/SHARES		  SECURITY DESCRIPTION  RATE  MATURITY   VALUE $ 
FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 52.6%
AUSTRALIA - 1.0%
2,617,000 AUD  Australia Government Bond   1.50%   06/21/2031    1,381,844 
BELGIUM - 3.7%
3,126,000 EUR  Kingdom of Belgium Government Bond   0.90%(a)   06/22/2029    3,028,047 
2,200,000 EUR  Kingdom of Belgium Government Bond   2.85%(a)   10/22/2034    2,254,463 
                 5,282,510 
CANADA - 0.8%               
1,700,000 CAD  Canadian Government Bond   1.50%   06/01/2031    1,075,451 
CZECH REPUBLIC - 0.8%               
29,600,000 CZK  Czech Republic Government Bond   2.75%   07/23/2029    1,162,731 
FRANCE - 5.3%               
660,000 EUR  French Republic Government Bond OAT   0.00%(a)   11/25/2029    601,643 
2,582,191 EUR  French Republic Government Bond OAT   0.70%(a)   07/25/2030    2,656,304 
2,460,000 EUR  French Republic Government Bond OAT   3.00%(a)   05/25/2033    2,535,200 
1,700,000 EUR  French Republic Government Bond OAT   3.00%(a)   11/25/2034    1,733,698 
                 7,526,845 
GERMANY - 7.2%               
4,390,000 EUR  Bundesrepublik Deutschland Bundesanleihe   0.00%   08/15/2030    4,050,024 
2,500,000 EUR  Bundesrepublik Deutschland Bundesanleihe   0.00%   02/15/2031    2,277,987 
1,630,000 EUR  Bundesrepublik Deutschland Bundesanleihe   1.70%   08/15/2032    1,628,082 
2,650,000 EUR  Bundesrepublik Deutschland Bundesanleihe   1.00%   05/15/2038    2,270,884 
                 10,226,977 
IRELAND - 1.8%               
680,000 EUR  Ireland Government Bond   0.90%   05/15/2028    676,864 
1,910,000 EUR  Ireland Government Bond   1.10%   05/15/2029    1,882,119 
                 2,558,983 
ISRAEL - 4.3%               
9,300,000 ILS  Israel Government Bond   0.50%   02/27/2026    2,453,385 
13,600,000 ILS  Israel Government Bond   3.75%   09/30/2027    3,691,789 
                 6,145,174 
JAPAN - 10.3%               
361,000,000 JPY  Japan Government Ten Year Bond   0.10%   12/20/2026    2,273,457 
812,500,000 JPY  Japan Government Ten Year Bond   0.10%   12/20/2027    5,088,139 
500,000,000 JPY  Japan Government Twenty Year Bond   1.90%   03/20/2031    3,394,490 
418,000,000 JPY  Japan Government Twenty Year Bond   0.50%   03/20/2038    2,367,677 
240,000,000 JPY  Japan Government Twenty Year Bond   1.80%   09/20/2044    1,506,907 
                 14,630,670 
MEXICO - 1.7%               
30,000,000 MXN  Mexican Bonos   5.00%   03/06/2025    1,425,520 
20,300,000 MXN  Mexican Bonos   5.75%   03/05/2026    929,261 
                 2,354,781 
NEW ZEALAND - 1.2%               
3,600,000 NZD  New Zealand Government Bond   1.50%   05/15/2031    1,725,784 
PERU - 2.6%               
13,900,000 PEN  Peru Government Bond   6.15%   08/12/2032    3,670,817 
POLAND - 1.5%               
11,100,000 PLN  Republic of Poland Government Bond   1.75%   04/25/2032    2,065,124 
PORTUGAL - 0.9%               
1,420,000 EUR  Portugal Obrigacoes do Tesouro OT   0.48%(a)   10/18/2030    1,323,015 
SOUTH AFRICA - 2.7%               
38,190,000 ZAR  Republic of South Africa Government Bond   8.00%   01/31/2030    1,938,856 
38,570,000 ZAR  Republic of South Africa Government Bond   8.88%   02/28/2035    1,862,062 
                 3,800,918 
SPAIN - 4.7%               
1,470,000 EUR  Spain Government Bond   1.30%(a)   10/31/2026    1,499,056 
4,440,000 EUR  Spain Government Bond   0.60%(a)   10/31/2029    4,198,953 
970,000 EUR  Spain Government Bond   0.50%(a)   04/30/2030    901,817 
                 6,599,826 
 

 

PRINCIPAL AMOUNT
$/SHARES		  SECURITY DESCRIPTION  RATE  MATURITY   VALUE $ 
UNITED KINGDOM - 2.1%               
2,500,000 GBP  United Kingdom Gilt   4.25%   03/07/2036    3,016,947 
   Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $85,884,846)        74,548,397 
US GOVERNMENT AND AGENCY OBLIGATIONS - 41.2%               
UNITED STATES - 41.2%               
560,000 USD  United States Treasury Note/Bond   0.50%   03/31/2025    555,024 
2,400,000 USD  United States Treasury Note/Bond   0.25%   06/30/2025    2,354,200 
2,410,000 USD  United States Treasury Note/Bond   0.25%   07/31/2025    2,355,319 
3,570,000 USD  United States Treasury Note/Bond   0.38%   11/30/2025    3,447,707 
4,960,000 USD  United States Treasury Note/Bond   0.75%   05/31/2026    4,724,772 
3,840,000 USD  United States Treasury Note/Bond   0.63%   03/31/2027    3,545,888 
3,280,000 USD  United States Treasury Note/Bond   0.50%   10/31/2027    2,952,874 
3,270,000 USD  United States Treasury Note/Bond   0.63%   11/30/2027    2,945,670 
3,620,000 USD  United States Treasury Note/Bond   0.63%   12/31/2027    3,251,494 
5,980,000 USD  United States Treasury Note/Bond   0.75%   01/31/2028    5,374,179 
6,070,000 USD  United States Treasury Note/Bond   0.63%   05/15/2030    4,982,075 
6,470,000 USD  United States Treasury Note/Bond   0.63%   08/15/2030    5,255,767 
6,780,000 USD  United States Treasury Note/Bond   0.88%   11/15/2030    5,548,880 
2,270,000 USD  United States Treasury Note/Bond   1.13%   05/15/2040    1,366,710 
3,110,000 USD  United States Treasury Note/Bond   1.38%   11/15/2040    1,926,227 
2,620,000 USD  United States Treasury Note/Bond   1.75%   08/15/2041    1,697,612 
7,080,000 USD  United States Treasury Note/Bond   1.25%   05/15/2050    3,358,734 
5,440,000 USD  United States Treasury Note/Bond   1.38%   08/15/2050    2,654,566 
   Total US Government and Agency Obligations (Cost $59,064,553)             58,297,698 
SHORT TERM INVESTMENTS - 5.4%               
2,525,147 USD  First American Government Obligations Fund - U   4.41%(b)        2,525,147 
2,525,146 USD  JPMorgan US Government Money Market Fund - IM   4.44%(b)        2,525,146 
2,525,147 USD  MSILF Government Portfolio - Institutional   4.42%(b)        2,525,147 
   Total Short Term Investments (Cost $7,575,440)             7,575,440 
   Total Investments - 99.2% (Cost $152,524,839)             140,421,535 
   Other Assets in Excess of Liabilities - 0.8%             1,090,174 
   NET ASSETS - 100.0%            $141,511,709 

SECURITY TYPE BREAKDOWN as a % of Net Assets:    
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations   52.6%
US Government and Agency Obligations   41.2%
Short Term Investments   5.4%
Other Assets and Liabilities   0.8%
Net Assets   100.0%

 

 

COUNTRY BREAKDOWN as a % of Net Assets:    
United States   46.6%
Japan   10.3%
Germany   7.2%
France   5.3%
Spain   4.7%
Israel   4.3%
Belgium   3.7%
South Africa   2.7%
Peru   2.6%
United Kingdom   2.1%
Ireland   1.8%
Mexico   1.7%
Poland   1.5%
New Zealand   1.2%
Australia   1.0%
Portugal   0.9%
Czech Republic   0.8%
Canada   0.8%
Other Assets and Liabilities   0.8%
Net Assets   100.0%

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of December 31, 2024, the value of these securities total $20,732,196 or 14.7% of the Fund’s net assets.
(b) Seven-day yield as of period end.

AUD Australian Dollar
CAD Canadian Dollar
CZK Czech Republic Koruna
EUR Euro
GBP British Pound
ILS Israeli Shekel
JPY Japanese Yen
MXN Mexican Peso
NZD New Zealand Dollar
PEN Peruvian Sol
PLN Polish Zloty
USD United States Dollar
ZAR South African Rand

Forward Currency Exchange Contracts

Settlement Date  Counterparty  Currency to be Delivered   Value   Currency to be Received   Value   Unrealized Appreciation (Depreciation) 
01/17/2025  State Street Bank & Trust Co.   8,725,139 ILS   $2,400,937    2,337,348  USD   $2,337,348   $(63,589)
01/17/2025  Goldman Sachs   13,600,000 ILS    3,742,376    3,644,981  USD    3,644,981    (97,395)
                                   $(160,984)

 

ILS Israeli Shekel
USD United States Dollar
 

 

 

DoubleLine Infrastructure Income Fund   (Unaudited)
     
Schedule of Investments   December 31, 2024

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
ASSET BACKED OBLIGATIONS - 39.1%             
     Apollo Aviation Securitization Equity Trust             
 8,348,182   Series 2024-1A-B   6.90%(a)  05/16/2049   8,488,907 
     Blackbird Capital Aircraft             
 2,342,976   Series 2016-1A-B   8.20%(a)(b)  12/16/2041   2,346,907 
     Blue Stream Communications LLC             
 2,000,000   Series 2023-1A-C   8.90%(a)  05/20/2053   2,023,217 
     Cloud Capital Holdco LP             
 3,500,000   Series 2024-2A-A2   5.92%(a)  11/22/2049   3,482,766 
     Cologix Data Centers US Issuer LLC             
 2,250,000   Series 2021-1A-B   3.79%(a)  12/26/2051   2,127,121 
     Compass Datacenters LLC             
 5,000,000   Series 2024-1A-A2   5.75%(a)  02/25/2049   4,989,771 
     Cyrusone Holdco LLC             
 2,000,000   Series 2023-1A-A2   4.30%(a)  04/20/2048   1,925,685 
 1,383,331   Series 2023-1A-B   5.45%(a)  04/20/2048   1,357,744 
 1,500,000   Series 2024-3A-A2   4.65%(a)  05/20/2049   1,394,928 
     DataBank Issuer             
 6,900,000   Series 2021-1A-A2   2.06%(a)  02/27/2051   6,643,940 
 2,100,000   Series 2021-1A-C   4.43%(a)  02/27/2051   2,004,024 
 6,000,000   Series 2021-2A-A2   2.40%(a)  10/25/2051   5,676,845 
     Diamond Infrastructure Funding LLC             
 2,250,000   Series 2021-1A-B   2.36%(a)  04/15/2049   2,102,216 
     DigitalBridge Group, Inc.             
 6,250,000   Series 2023-1A-B   5.75%(a)  09/15/2048   6,122,881 
     Falcon Aerospace Ltd.             
 822,996   Series 2017-1-A   4.58%(a)  02/15/2042   828,660 
     Falko Regional Aircraft Ltd.             
 3,181,006   Series 2021-1A-A   5.75%  04/15/2041   3,095,694 
     GAIA Aviation Ltd.             
 2,429,142   Series 2019-1-A   3.97%(a)(b)  12/15/2044   2,339,517 
     Goodgreen Trust             
 2,976,765   Series 2020-1A-A   2.63%(a)  04/15/2055   2,425,932 
     GoodLeap Sustainable Home Solutions Trust             
 3,105,179   Series 2021-3CS-B   2.41%(a)  05/20/2048   2,269,613 
     Helios Issuer LLC             
 2,379,422   Series 2018-1A-A   4.87%(a)  07/20/2048   2,169,330 
 6,974,992   Series 2020-2A-A   2.73%(a)  11/01/2055   5,515,874 
 2,312,973   Series 2021-B-B   2.01%(a)  07/20/2048   1,939,800 
     HERO Funding Trust             
 10,243   Series 2015-2A-A   3.99%(a)  09/20/2040   9,532 
 298,879   Series 2016-3A-A2   3.91%(a)  09/20/2042   274,414 
 739,324   Series 2016-4A-A2   4.29%(a)  09/20/2047   682,969 
     Horizon Aircraft Finance Ltd.             
 2,998,164   Series 2019-1-A   3.72%(a)  07/15/2039   2,859,927 
     ITE Rail Fund LP             
 3,318,969   Series 2021-1A-A   2.25%(a)  02/28/2051   3,020,833 
 2,160,627   Series 2021-3A-A   2.21%(a)  06/28/2051   2,000,691 
     JOL Air Ltd.             
 2,929,859   Series 2019-1-A   3.97%(a)  04/15/2044   2,896,687 
     Kestrel Aircraft Funding USA LLC             
 1,049,060   Series 2018-1A-A   4.25%(a)  12/15/2038   1,037,074 
     Loanpal Solar Loan Ltd.             
 4,658,095   Series 2020-3GS-A   2.47%(a)  12/20/2047   3,701,069 
     Luminace Issuer LLC             
 6,805,960   Series 2024-1-A   5.87%(a)  10/30/2031   6,673,530 
     Mosaic Solar Loans LLC             
 1,319,750   Series 2018-1A-A   4.01%(a)  06/22/2043   1,231,201 
 1,769,195   Series 2019-2A-B   3.28%(a)  09/20/2040   1,573,664 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 1,877,139   Series 2020-1A-A   2.10%(a)  04/20/2046   1,630,523 
 2,847,522   Series 2021-3A-B   1.92%(a)  06/20/2052   2,110,594 
 1,913,356   Series 2022-1A-B   3.16%(a)  01/20/2053   1,453,061 
     NP Railcar Holdings LLC             
 38,796   Series 2016-1A-A1   4.16%(a)  04/20/2046   38,505 
 1,052,800   Series 2017-1A-A1   3.37%(a)  10/21/2047   1,023,168 
 3,978,883   Series 2021-1A-A1   2.23%(a)  03/19/2051   3,768,132 
     Purewest Funding LLC             
 1,701,290   Series 2021-1-A1   4.09%(a)  12/22/2036   1,672,279 
     Shenton Aircraft Investment Ltd.             
 95,409   Series 2015-1A-A   4.75%(a)  10/15/2042   89,731 
     Signal Rail             
 4,339,289   Series 2021-1-A   2.23%(a)  08/17/2051   3,939,048 
     Start/Bermuda             
 707,529   Series 2018-1-A   4.09%(a)  05/15/2043   701,718 
     Sunnova Energy International, Inc.             
 1,961,915   Series 2020-AA-A   2.98%(a)  06/20/2047   1,693,632 
 3,739,320   Series 2021-A-A   1.80%(a)  02/20/2048   2,746,119 
     Sunrun, Inc.             
 5,062,278   Series 2021-2A-A   2.27%(a)  01/30/2057   4,256,132 
     Switch ABS Issuer LLC             
 4,000,000   Series 2024-1A-B   6.50%(a)  03/25/2054   4,032,942 
 5,000,000   Series 2024-2A-C   10.03%(a)  06/25/2054   5,180,783 
     Thunderbolt Aircraft Lease             
 950,110   Series 2018-A-A   4.15%(a)(b)  09/15/2038   921,194 
 2,678,571   Series 2018-A-B   5.07%(a)(b)  09/15/2038   2,306,432 
     Trinity Industries Leasing Co.             
 2,366,137   Series 2010-1A-A   5.19%(a)  10/16/2040   2,347,584 
     Vault DI Issuer LLC             
 5,000,000   Series 2021-1A-A2   2.80%(a)  07/15/2046   4,724,515 
     Vivant Solar Financing V Parent LLC             
 4,225,228   Series 2018-1A-A   4.73%(a)  04/30/2048   3,960,681 
     WAVE USA             
 1,365,276   Series 2017-1A-A   3.84%(a)  11/15/2042   1,323,477 
     Total Asset Backed Obligations (Cost $157,504,854)          147,153,213 
FOREIGN CORPORATE BONDS - 9.1%             
 5,500,000   APA Infrastructure Ltd.   4.25%(a)  07/15/2027   5,413,704 
 2,000,000   Emirates Semb Corp. Water & Power Co. PJSC   4.45%(a)  08/01/2035   1,910,125 
 1,914,340   Energia Eolica SA   6.00%(c)  08/30/2034   1,923,911 
 2,417,736   Fermaca Enterprises S de RL de CV   6.38%(a)  03/30/2038   2,355,334 
 1,317,200   Fermaca Enterprises S de RL de CV   6.38%  03/30/2038   1,283,203 
 433,231   Interoceanica IV Finance Ltd.
Series 2007		   0.00%(c)  11/30/2025   416,985 
 188,361   Interoceanica IV Finance Ltd.
Series 2007		   0.00%(a)(c)  11/30/2025   181,298 
 4,216,000   Sydney Airport Finance Co. Pty Ltd.   3.38%(a)  04/30/2025   4,193,047 
 2,440,000   Sydney Airport Finance Co. Pty Ltd.   3.63%(a)  04/28/2026   2,399,517 
 8,299,000   TransCanada PipeLines Ltd.   4.63%  03/01/2034   7,732,626 
 500,000   Transelec SA   4.25%(a)  01/14/2025   499,245 
 6,000,000   Transelec SA   3.88%(a)  01/12/2029   5,767,352 
     Total Foreign Corporate Bonds (Cost $34,671,343)          34,076,347 
FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 0.8%     
 144,774   Lima Metro Line 2 Finance Ltd.   5.88%  07/05/2034   144,520 
 2,688,667   Lima Metro Line 2 Finance Ltd.   5.88%(a)  07/05/2034   2,683,949 
     Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $2,943,430)   2,828,469 
 

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
US CORPORATE BONDS - 40.6%             
 4,000,000   Ameren Illinois Co.   3.85%  09/01/2032   3,677,019 
 1,500,000   Ameren Illinois Co.   4.95%  06/01/2033   1,475,027 
 11,015,000   AT&T, Inc.   4.30%  12/15/2042   9,177,627 
 5,000,000   Burlington Northern Santa Fe LLC   5.20%  04/15/2054   4,709,557 
 3,500,000   Cheniere Energy, Inc.   5.65%  04/15/2034   3,522,431 
 8,000,000   Crown Castle, Inc.   5.10%  05/01/2033   7,806,943 
 10,250,000   Dominion Energy, Inc.   3.38%  04/01/2030   9,433,687 
 5,000,000   Duke Energy Florida LLC   5.88%  11/15/2033   5,214,250 
 8,000,000   Energy Transfer LP   5.75%  02/15/2033   8,115,023 
 5,000,000   Enterprise Products Operating LLC   5.55%  02/16/2055   4,814,366 
 8,500,000   Eversource Energy   5.13%  05/15/2033   8,262,780 
 7,688,000   Exelon Corp.   4.05%  04/15/2030   7,331,518 
 5,750,000   Flex Intermediate Holdco LLC   4.32%(a)  12/30/2039   4,433,341 
 2,000,000   Foundry JV Holdco LLC   6.15%(a)  01/25/2032   2,019,535 
 2,000,000   Foundry JV Holdco LLC   5.88%(a)  01/25/2034   1,958,575 
 6,000,000   HA Sustainable Infrastructure Capital, Inc.   6.38%(a)  07/01/2034   5,846,326 
 7,500,000   ITC Holdings Corp.   5.40%(a)  06/01/2033   7,450,970 
 8,000,000   MPLX LP   5.00%  03/01/2033   7,687,032 
 9,900,000   NiSource, Inc.   3.60%  05/01/2030   9,239,803 
 8,500,000   Ohio Power Co.   5.00%  06/01/2033   8,224,964 
 3,500,000   ONEOK, Inc.   6.63%  09/01/2053   3,683,316 
 5,000,000   Pluto 2 (GIP Sharon Finco)   6.64%(c)  09/30/2046   5,041,500 
 5,000,000   Sempra   5.50%  08/01/2033   5,014,151 
 10,000,000   Southern Co.   3.70%  04/30/2030   9,396,478 
 4,500,000   T-Mobile USA, Inc.   5.50%  01/15/2055   4,249,774 
 5,000,000   Venture Global Calcasieu Pass LLC   6.25%(a)  01/15/2030   5,050,160 
     Total US Corporate Bonds (Cost $158,420,319)           152,836,153 
US GOVERNMENT AND AGENCY OBLIGATIONS - 9.1%             
 18,920,000   United States Treasury Note/Bond   4.25%  06/30/2029   18,819,702 
 15,800,000   United States Treasury Note/Bond   4.63%  05/15/2054   15,356,182 
     Total US Government and Agency Obligations (Cost $35,494,699)           34,175,884 
SHORT TERM INVESTMENTS - 0.9%             
 1,180,224   First American Government Obligations Fund - U   4.41%(d)      1,180,224 
 1,180,224   JPMorgan US Government Money Market Fund - IM   4.44%(d)      1,180,224 
 1,180,224   MSILF Government Portfolio - Institutional   4.42%(d)      1,180,224 
     Total Short Term Investments (Cost $3,540,672)           3,540,672 
     Total Investments - 99.6% (Cost $392,575,317)           374,610,738 
     Other Assets in Excess of Liabilities - 0.4%           1,397,662 
     NET ASSETS - 100.0%          $376,008,400 

SECURITY TYPE BREAKDOWN as a % of Net Assets:    
US Corporate Bonds   40.6%
Asset Backed Obligations   39.1%
US Government and Agency Obligations   9.1%
Foreign Corporate Bonds   9.1%
Short Term Investments   0.9%
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations   0.8%
Other Assets and Liabilities   0.4%
Net Assets   100.0%

 

 

INVESTMENT BREAKDOWN as a % of Net Assets:    
Asset Backed Obligations   39.1%
Utilities   18.8%
Energy   18.5%
US Government and Agency Obligations   9.1%
Telecommunications   5.7%
Transportation   4.9%
Finance   1.6%
Technology   1.0%
Short Term Investments   0.9%
Other Assets and Liabilities   0.4%
Net Assets   100.0%

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of December 31, 2024, the value of these securities total $196,219,997 or 52.2% of the Fund’s net assets.
(b) Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end.
(c) Value determined using significant unobservable inputs.
(d) Seven-day yield as of period end.
 

 

DoubleLine Shiller Enhanced International CAPE®   (Unaudited)
     
Schedule of Investments   December 31, 2024

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
ASSET BACKED OBLIGATIONS - 8.3%
     Bridgecrest Lending Auto Securitization Trust             
 14,715   Series 2024-1-A2   5.82%  09/15/2026   14,719 
     Commonbond Student Loan Trust             
 298,115   Series 2017-BGS-B   3.26%(a)  09/25/2042   257,992 
     Diamond Resorts Owner Trust             
 237,481   Series 2021-1A-A   1.51%(a)  11/21/2033   232,042 
     DigitalBridge Group, Inc.             
 500,000   Series 2023-1A-A2A   5.00%(a)  09/15/2048   492,479 
     Marlette Funding Trust             
 202,279   Series 2022-3A-B   5.95%(a)  11/15/2032   202,526 
     Mosaic Solar Loans LLC             
 354,358   Series 2021-3A-A   1.44%(a)  06/20/2052   283,477 
     National Collegiate Student Loan Trust             
 292,568   Series 2006-1-A5 (1 mo. Term SOFR + 0.46%, 0.00% Floor)   4.80%  03/25/2033   282,813 
     Navient Student Loan Trust             
 313,412   Series 2018-A-B   3.68%(a)  02/18/2042   306,157 
     Pagaya AI Debt Selection Trust             
 110,427   Series 2024-1-A   6.66%(a)  07/15/2031   111,791 
     Tesla Sustainable Energy Trust             
 125,000   Series 2024-1A-A2   5.08%(a)  06/21/2050   124,975 
     United Airlines Pass Through Trust             
 108,729   Series 2020-1-A   5.88%  10/15/2027   111,142 
     Total Asset Backed Obligations (Cost $2,439,200)           2,420,113 
COLLATERALIZED LOAN OBLIGATIONS - 16.3%
     CBAM Ltd.             
 500,000   Series 2017-2A-AR (3 mo. Term SOFR + 1.45%, 1.19% Floor)   6.10%(a)  07/17/2034   500,958 
     CFIP CLO Ltd.             
 500,000   Series 2021-1A-A (3 mo. Term SOFR + 1.48%, 1.22% Floor)   6.10%(a)  01/20/2035   500,981 
     Highbridge Loan Management Ltd.             
 500,000   Series 3A-2014-CR (3 mo. Term SOFR + 3.86%, 0.00% Floor)   8.49%(a)  07/18/2029   503,736 
     Palmer Square CLO Ltd.             
 500,000   Series 2021-2A-A (3 mo. Term SOFR + 1.41%, 1.41% Floor)   6.07%(a)  07/15/2034   500,869 
     RR Ltd./Cayman Islands             
 500,000   Series 2021-14A-A1 (3 mo. Term SOFR + 1.38%, 1.38% Floor)   6.04%(a)  04/15/2036   500,999 
     Sound Point CLO Ltd.             
 500,000   Series 2019-2A-AR (3 mo. Term SOFR + 1.43%, 1.17% Floor)   6.09%(a)  07/15/2034   500,800 
 1,000,000   Series 2020-1A-AR (3 mo. Term SOFR + 1.43%, 1.43% Floor)   6.05%(a)  07/20/2034   1,001,926 
     Venture CDO Ltd.             
 264,187   Series 2017-29A-AR (3 mo. Term SOFR + 1.25%, 0.99% Floor)   5.78%(a)  09/07/2030   264,618 
     Wellfleet CLO Ltd.             
 500,000   Series 2020-2A-AR (3 mo. Term SOFR + 1.48%, 1.22% Floor)   6.14%(a)  07/15/2034   500,273 
     Total Collateralized Loan Obligations (Cost $4,755,817)           4,775,160 
FOREIGN CORPORATE BONDS - 1.2%
 10,000   Algonquin Power & Utilities Corp.   5.37%(b)  06/15/2026   10,056 
 61,000   Avolon Holdings Funding Ltd.   2.13%(a)  02/21/2026   59,031 
 2,000   BAT Capital Corp.   4.91%  04/02/2030   1,976 
 2,000   BMW US Capital LLC   4.65%(a)  08/13/2029   1,964 
 47,000   Commonwealth Bank of Australia
 (SOFR + 0.63%)		   5.12%(a)  09/12/2025   47,094 
 4,000   Freeport-McMoRan, Inc.   4.25%  03/01/2030   3,805 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 56,000   Glencore Funding LLC   4.00%(a)  04/16/2025   55,860 
 42,000   Glencore Funding LLC
 (SOFR + 1.06%)		   5.75%(a)  04/04/2027   42,160 
 3,000   LYB Finance Co. BV   8.10%(a)  03/15/2027   3,168 
 48,000   Marex Group PLC   6.40%  11/04/2029   48,508 
 13,000   South Bow USA Infrastructure Holdings LLC   4.91%(a)  09/01/2027   12,960 
 7,000   TransCanada PipeLines Ltd.   4.88%  01/15/2026   7,002 
 55,000   Videotron Ltd.   5.13%(a)  04/15/2027   54,921 
     Total Foreign Corporate Bonds (Cost $347,402)           348,505 
NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS - 14.3%
     280 Park Avenue Mortgage Trust             
 100,000   Series 2017-280P-A (1 mo. Term SOFR + 1.18%, 1.13% Floor)   5.66%(a)  09/15/2034   99,315 
     Arbor Multifamily Mortgage Securities Trust             
 1,624,710   Series 2021-MF2-XA   1.11%(a)(c)(d)  06/15/2054   85,501 
     Arbor Realty Trust, Inc.             
 79,043   Series 2022-FL2-A (1 mo. Term SOFR + 1.85%, 1.85% Floor)   6.25%(a)  05/15/2037   79,208 
     AREIT Trust             
 62,312   Series 2022-CRE6-A (30 day avg SOFR US + 1.25%, 1.25% Floor)   5.85%(a)  01/20/2037   62,331 
     BANK             
 2,721,219   Series 2021-BN36-XA   0.89%(c)(d)  09/15/2064   96,723 
     BDS Ltd.             
 63,724   Series 2021-FL10-A (1 mo. Term SOFR + 1.46%, 1.46% Floor)   5.84%(a)  12/16/2036   64,110 
     Benchmark Mortgage Trust             
 4,356,182   Series 2018-B2-XA   0.45%(c)(d)  02/15/2051   46,070 
 2,271,000   Series 2021-B26-XB   0.64%(a)(c)(d)  06/15/2054   75,222 
 1,782,398   Series 2021-B28-XA   1.26%(c)(d)  08/15/2054   102,708 
     BPR Trust             
 120,000   Series 2021-TY-A (1 mo. Term SOFR + 1.16%, 1.05% Floor)   5.56%(a)  09/15/2038   119,626 
   BrightSpire Capital, Inc.         
 62,733   Series 2021-FL1-A (1 mo. Term SOFR + 1.26%, 1.15% Floor)   5.63%(a)  08/19/2038   62,540 
 100,000   Series 2024-FL2-A (1 mo. Term SOFR + 1.95%, 1.95% Floor)   6.31%(a)  08/19/2037   100,194 
     BX Trust             
 95,001   Series 2021-CIP-A (1 mo. Term SOFR + 1.04%, 0.92% Floor)   5.43%(a)  12/15/2038   95,046 
 61,630   Series 2021-XL2-A (1 mo. Term SOFR + 0.80%, 0.69% Floor)   5.20%(a)  10/15/2038   61,588 
 66,423   Series 2022-PSB-A (1 mo. Term SOFR + 2.45%, 2.45% Floor)   6.85%(a)  08/15/2039   66,817 
     Citigroup Commercial Mortgage Trust             
 2,585,346   Series 2016-C1-XA   1.81%(c)(d)  05/10/2049   42,680 
 100,000   Series 2016-P3-A4   3.33%  04/15/2049   97,643 
     Citigroup/Deutsche Bank Commercial Mortgage Trust             
 165,000   Series 2016-C1-B   4.20%(c)  05/10/2049   154,302 
     Commercial Mortgage Pass Through Certificates             
 5,752,126   Series 2015-CR27-XA   0.90%(c)(d)  10/10/2048   18,547 
 5,899,257   Series 2015-LC21-XD   1.06%(a)(c)(d)  07/10/2048   19,084 
     Commercial Mortgage Trust             
 2,400,000   Series 2021-PF1-XD   1.11%(a)(c)(d)  11/15/2054   145,722 
     Computershare Corporate Trust             
 5,550,381   Series 2015-NXS2-XA   0.58%(c)(d)  07/15/2058   10,938 
 3,338,457   Series 2015-P2-XA   0.91%(c)(d)  12/15/2048   17,376 
 2,431,011   Series 2018-C48-XA   0.93%(c)(d)  01/15/2052   71,006 
 844,412   Series 2021-C59-XA   1.50%(c)(d)  04/15/2054   56,193 
     Credit Suisse Mortgage Capital Certificates             
 164,000   Series 2017-TIME-A   3.65%(a)  11/13/2039   143,889 
     Extended Stay America Trust             
 105,695   Series 2021-ESH-A (1 mo. Term SOFR + 1.19%, 1.08% Floor)   5.59%(a)  07/15/2038   105,834 
     Franklin BSP Realty Trust, Inc.             
 76,366   Series 2022-FL8-A (30 day avg SOFR US + 1.50%, 1.50% Floor)   6.10%(a)  02/15/2037   76,235 
     FS Rialto             
 72,055   Series 2021-FL2-A (1 mo. Term SOFR + 1.33%, 1.33% Floor)   5.73%(a)  05/16/2038   72,045 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 64,570   Series 2021-FL3-A (1 mo. Term SOFR + 1.36%, 1.36% Floor)   5.76%(a)  11/16/2036   64,608 
     Granite Point Mortgage Trust, Inc.             
 30,220   Series 2021-FL3-A (1 mo. Term SOFR + 1.36%, 1.36% Floor)   5.74%(a)  07/16/2035   29,944 
     Great Wolf Trust             
 100,000   Series 2024-WOLF-A (1 mo. Term SOFR + 1.54%, 1.54% Floor)   5.94%(a)  03/15/2039   100,296 
     Greystone Commercial Real Estate Notes             
 65,625   Series 2021-FL3-A (1 mo. Term SOFR + 1.13%, 1.02% Floor)   5.53%(a)  07/15/2039   65,636 
     GS Mortgage Securities Corp. II             
 4,141,644   Series 2016-GS4-XA   0.56%(c)(d)  11/10/2049   31,155 
     KREF             
 76,478   Series 2021-FL2-A (1 mo. Term SOFR + 1.18%, 1.07% Floor)   5.57%(a)  02/15/2039   76,378 
     Ladder Capital Commercial Mortgage Securities LLC             
 125,000   Series 2021-FL3-AS (1 mo. Term SOFR + 1.91%, 1.91% Floor)   6.31%(a)  11/15/2038   124,230 
 125,000   Series 2021-FL3-B (1 mo. Term SOFR + 2.31%, 2.31% Floor)   6.71%(a)  11/15/2038   123,279 
     LoanCore             
 60,480   Series 2021-CRE5-A (1 mo. Term SOFR + 1.41%, 1.41% Floor)   5.81%(a)  07/15/2036   60,525 
 46,044   Series 2021-CRE6-A (1 mo. Term SOFR + 1.41%, 1.30% Floor)   5.81%(a)  11/15/2038   46,056 
 87,409   Series 2022-CRE7-A (30 day avg SOFR US + 1.55%, 1.55% Floor)   6.15%(a)  01/17/2037   87,585 
     Lument Finance Trust, Inc.             
 43,728   Series 2021-FL1-A (1 mo. Term SOFR + 1.28%, 1.28% Floor)   5.68%(a)  06/15/2039   43,823 
     MF1 Multifamily Housing Mortgage Loan Trust             
 91,987   Series 2022-FL8-A (1 mo. Term SOFR + 1.35%, 1.35% Floor)   5.72%(a)  02/19/2037   92,084 
 59,479   Series 2022-FL9-A (1 mo. Term SOFR + 2.15%, 2.15% Floor)   6.52%(a)  06/19/2037   59,589 
 100,000   Series 2024-FL14-A (1 mo. Term SOFR + 1.74%, 1.74% Floor)   6.10%(a)  03/19/2039   100,472 
     MFT Trust             
 186,000   Series 2020-ABC-D   3.48%(a)(c)  02/10/2042   90,250 
     Morgan Stanley Bank of America Merrill Lynch Trust             
 90,000   Series 2015-C23-AS   4.00%(c)  07/15/2050   89,190 
 4,953,748   Series 2017-C34-XE   0.87%(a)(c)(d)  11/15/2052   104,982 
     Morgan Stanley Capital I, Inc.             
 15,277,000   Series 2017-ASHF-XCP   0.00%(a)(c)(d)  11/15/2025   15 
     Ready Capital Corp.             
 39,194   Series 2021-FL7-A (1 mo. Term SOFR + 1.31%, 1.20% Floor)   5.65%(a)  11/25/2036   39,356 
     SG Commercial Mortgage Securities LLC             
 1,952,767   Series 2016-C5-XA   1.82%(c)(d)  10/10/2048   36,000 
     SLG Office Trust             
 18,169,000   Series 2021-OVA-X   0.26%(a)(c)(d)  07/15/2041   236,926 
     TPG Real Estate Finance Issuer Ltd.             
 45,884   Series 2021-FL4-A (1 mo. Term SOFR + 1.31%, 1.20% Floor)   5.70%(a)  03/15/2038   45,873 
 96,794   Series 2022-FL5-A (1 mo. Term SOFR + 1.65%, 1.65% Floor)   6.03%(a)  02/15/2039   96,637 
     UBS Commercial Mortgage Trust             
 5,378,000   Series 2017-C3-XB   0.42%(c)(d)  08/15/2050   60,803 
     VMC Finance LLC             
 34,057   Series 2022-FL5-A (30 day avg SOFR US + 1.90%, 1.90% Floor)   6.50%(a)  02/18/2039   34,108 
     Total Non-Agency Commercial Mortgage Backed Obligations (Cost $6,040,322)           4,188,293 
NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS - 18.1%
     AJAX Mortgage Loan Trust             
 191,653   Series 2021-C-A   5.12%(a)(b)  01/25/2061   191,854 
     Chase Mortgage Finance Corp.             
 591,382   Series 2006-A1-2A2   5.72%(c)  09/25/2036   508,035 
     Citigroup Mortgage Loan Trust, Inc.             
 36,266   Series 2006-AR2-1A2   5.57%(c)  03/25/2036   35,428 
     COLT Funding LLC             
 435,231   Series 2021-HX1-A1   1.11%(a)(c)  10/25/2066   365,199 
     Countrywide Alternative Loan Trust             
 310,993   Series 2007-9T1-1A6   6.00%  05/25/2037   150,360 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
     Credit Suisse Mortgage Capital Certificates             
 634,128   Series 2022-NQM1-A1   2.27%(a)(c)  11/25/2066   565,137 
     Deutsche ALT-A Securities, Inc.             
 294,361   Series 2006-AR6-A6 (1 mo. Term SOFR + 0.49%, 0.38% Floor, 10.50% Cap)   4.83%  02/25/2037   250,736 
     Lehman XS Trust             
 126,732   Series 2007-6-2A1 (1 mo. Term SOFR + 0.53%, 0.42% Floor)   4.87%  05/25/2037   104,635 
     Merrill Lynch Alternative Note Asset             
 768,209   Series 2007-OAR5-1A1   3.83%(c)  10/25/2047   216,847 
     Merrill Lynch Mortgage Backed Securities Trust             
 810,618   Series 2007-2-1A1 (1 yr. CMT Rate + 2.40%, 2.40% Floor)   6.74%  08/25/2036   682,942 
     Onslow Bay Mortgage Loan Trust             
 166,637   Series 2020-EXP2-A3   2.50%(a)(c)  05/25/2060   136,629 
     PRPM LLC             
 271,114   Series 2021-4-A1   4.87%(a)(b)  04/25/2026   270,724 
     RALI Trust             
 626,802   Series 2007-QS8-A3 (1 mo. Term SOFR + 0.71%, 0.60% Floor, 6.00% Cap)   5.05%  06/25/2037   461,491 
     Starwood Mortgage Residential Trust             
 500,000   Series 2020-2-M1E   3.00%(a)  04/25/2060   484,993 
 325,041   Series 2021-5-A1   1.92%(a)(c)  09/25/2066   270,705 
     Velocity Commercial Capital Loan Trust             
 166,439   Series 2018-2-A   4.05%(a)(c)  10/26/2048   161,071 
 453,375   Series 2021-2-M2   2.20%(a)(c)  08/25/2051   357,282 
     Vericrest Opportunity Loan Transferee             
 62,000   Series 2021-NPL1-A1   4.89%(a)(b)  02/27/2051   62,001 
     Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $6,135,635)           5,276,069 
US CORPORATE BONDS - 13.4%
 17,000   AGCO Corp.   5.45%  03/21/2027   17,172 
 4,000   Agilent Technologies, Inc.   4.20%  09/09/2027   3,952 
 28,000   Albemarle Corp.   4.65%  06/01/2027   27,786 
 8,000   Ally Financial, Inc.
 (SOFR + 3.26%)		   6.99%  06/13/2029   8,337 
 6,000   Ally Financial, Inc.
 (SOFR + 2.82%)		   6.85%  01/03/2030   6,223 
 12,000   Altria Group, Inc.   6.20%  11/01/2028   12,475 
 56,000   American Electric Power Co., Inc.   5.20%  01/15/2029   56,443 
 53,000   American Express Co.
 (SOFR + 1.00%)		   5.53%  02/16/2028   53,303 
 14,000   American Homes 4 Rent LP   4.25%  02/15/2028   13,667 
 11,000   American National Group, Inc.   5.75%  10/01/2029   11,021 
 4,000   American Water Capital Corp.   3.75%  09/01/2028   3,849 
 58,000   Amgen, Inc.   5.51%  03/02/2026   58,003 
 41,000   Apache Corp.   4.25%  01/15/2030   38,565 
 80,000   Apollo Debt Solutions BDC   6.90%(a)  04/13/2029   82,832 
 25,000   AppLovin Corp.   5.13%  12/01/2029   24,949 
 9,000   Ares Strategic Income Fund   5.70%(a)  03/15/2028   9,002 
 29,000   Arrow Electronics, Inc.   5.15%  08/21/2029   28,893 
 64,000   Athene Global Funding   4.72%(a)  10/08/2029   62,468 
 8,000   Avery Dennison Corp.   4.88%  12/06/2028   7,988 
 59,000   Aviation Capital Group LLC   1.95%(a)  01/30/2026   57,156 
 7,000   Bank of America Corp.
 (SOFR + 1.75%)		   4.83%  07/22/2026   7,001 
 26,000   Bank of America Corp.
 (3 mo. Term SOFR + 1.32%)		   3.56%  04/23/2027   25,590 
 32,000   Blackstone Private Credit Fund   5.60%(a)  11/22/2029   31,613 
 23,000   Blackstone Secured Lending Fund   5.88%  11/15/2027   23,369 
 80,000   Blue Owl Capital Corp.   5.95%  03/15/2029   80,352 
 48,000   Blue Owl Credit Income Corp.   7.75%  09/16/2027   50,419 
 83,000   Blue Owl Credit Income Corp.   5.80%(a)  03/15/2030   81,780 
 30,000   Blue Owl Technology Finance Corp.   3.75%(a)  06/17/2026   29,038 
 74,000   Blue Owl Technology Finance Corp. II   6.75%(a)  04/04/2029   74,488 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 31,000   Bristol-Myers Squibb Co.
 (SOFR + 0.49%)		   5.01%  02/20/2026   31,081 
 5,000   Brixmor Operating Partnership LP   4.13%  06/15/2026   4,950 
 46,000   Broadcom, Inc.   3.15%  11/15/2025   45,418 
 19,000   Broadcom, Inc.   4.35%  02/15/2030   18,491 
 7,000   Bunge Ltd. Finance Corp.   3.75%  09/25/2027   6,818 
 5,000   Cabot Corp.   4.00%  07/01/2029   4,786 
 108,000   Capital One Financial Corp.
 (SOFR + 2.16%)		   4.99%  07/24/2026   107,946 
 24,000   CenterPoint Energy, Inc.   5.40%  06/01/2029   24,289 
 29,000   Cheniere Energy Partners LP   4.50%  10/01/2029   28,097 
 50,000   Citigroup, Inc.
 (SOFR + 1.34%)		   4.54%  09/19/2030   48,596 
 4,000   Citizens Financial Group, Inc.   4.30%  12/03/2025   3,976 
 12,000   CNA Financial Corp.   3.90%  05/01/2029   11,498 
 25,000   CNH Industrial Capital LLC   4.50%  10/08/2027   24,778 
 48,000   Corebridge Global Funding   5.75%(a)  07/02/2026   48,710 
 5,000   Coterra Energy, Inc.   3.90%  05/15/2027   4,889 
 3,000   Coterra Energy, Inc.   4.38%  03/15/2029   2,902 
 69,000   Crown Castle, Inc.   4.90%  09/01/2029   68,275 
 24,000   CubeSmart LP   4.38%  02/15/2029   23,320 
 12,000   Darden Restaurants, Inc.   4.35%  10/15/2027   11,841 
 10,000   DCP Midstream Operating LP   5.13%  05/15/2029   10,023 
 9,000   Delta Air Lines, Inc.   7.38%  01/15/2026   9,201 
 2,000   Delta Air Lines, Inc. / SkyMiles IP Ltd.   4.75%(a)  10/20/2028   1,974 
 12,000   Devon Energy Corp.   5.25%  10/15/2027   12,016 
 7,000   DOC DR LLC   4.30%  03/15/2027   6,927 
 42,000   Edwards Lifesciences Corp.   4.30%  06/15/2028   41,117 
 28,000   Elevance Health, Inc.   5.15%  06/15/2029   28,163 
 51,000   Energy Transfer LP   6.05%  12/01/2026   52,125 
 27,000   EnLink Midstream LLC   5.38%  06/01/2029   27,018 
 3,000   EOG Resources, Inc.   4.15%  01/15/2026   2,986 
 7,000   EPR Properties   4.95%  04/15/2028   6,888 
 7,000   EQT Corp.   3.90%  10/01/2027   6,811 
 8,000   EQT Corp.   7.00%  02/01/2030   8,516 
 27,000   Equifax, Inc.   4.80%  09/15/2029   26,674 
 18,000   Essential Utilities, Inc.   4.80%  08/15/2027   17,988 
 2,000   Essential Utilities, Inc.   3.57%  05/01/2029   1,885 
 8,000   Eversource Energy   4.75%  05/15/2026   7,999 
 26,000   Exelon Corp.   5.15%  03/15/2029   26,143 
 57,000   Expedia Group, Inc.   6.25%(a)  05/01/2025   57,041 
 2,000   FirstEnergy Transmission LLC   4.55%(a)  01/15/2030   1,948 
 66,000   Fiserv, Inc.   4.75%  03/15/2030   65,211 
 54,000   Ford Motor Co.   4.35%  12/08/2026   53,185 
 2,000   GATX Corp.   4.00%  06/30/2030   1,897 
 57,000   GE HealthCare Technologies, Inc.   4.80%  08/14/2029   56,488 
 56,000   General Motors Financial Co., Inc.   5.25%  03/01/2026   56,183 
 48,000   Genuine Parts Co.   4.95%  08/15/2029   47,882 
 18,000   Global Payments, Inc.   5.30%  08/15/2029   18,041 
 34,000   Goldman Sachs Bank USA/New York NY
 (SOFR + 0.77%)		   5.25%  03/18/2027   34,068 
 51,000   HCA, Inc.   5.38%  02/01/2025   51,012 
 56,000   Hewlett Packard Enterprise Co.   4.55%  10/15/2029   54,608 
 7,000   Huntington Bancshares, Inc./OH
 (SOFR + 1.28%)		   5.27%  01/15/2031   7,008 
 26,000   Hyatt Hotels Corp.   5.25%  06/30/2029   26,031 
 28,000   Hyundai Capital America   4.55%(a)  09/26/2029   27,193 
 46,000   IDEX Corp.   4.95%  09/01/2029   45,829 
 19,000   Illumina, Inc.   4.65%  09/09/2026   18,941 
 17,000   Interstate Power and Light Co.   3.60%  04/01/2029   16,131 
 4,000   ITC Holdings Corp.   4.95%(a)  09/22/2027   4,010 
 48,000   JPMorgan Chase & Co.
 (SOFR + 0.92%)		   5.54%  04/22/2028   48,296 
 15,000   Keysight Technologies, Inc.   3.00%  10/30/2029   13,685 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 29,000   Laboratory Corp. of America Holdings   4.35%  04/01/2030   27,987 
 31,000   Lear Corp.   4.25%  05/15/2029   29,834 
 13,000   Lennar Corp.   5.25%  06/01/2026   13,071 
 3,000   Lennox International, Inc.   5.50%  09/15/2028   3,052 
 27,000   LPL Holdings, Inc.   4.63%(a)  11/15/2027   26,590 
 12,000   M&T Bank Corp.
 (SOFR + 0.93%)		   4.83%  01/16/2029   11,952 
 28,000   Marriott International, Inc./MD   4.80%  03/15/2030   27,804 
 52,000   MasTec, Inc.   4.50%(a)  08/15/2028   50,460 
 47,000   Merck Sharp & Dohme Corp.   5.95%  12/01/2028   49,132 
 5,000   Meritage Homes Corp.   3.88%(a)  04/15/2029   4,677 
 10,000   Microchip Technology, Inc.   4.25%  09/01/2025   9,962 
 4,000   Micron Technology, Inc.   4.98%  02/06/2026   4,006 
 18,000   Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.   6.50%(a)  06/20/2027   18,126 
 2,000   Mohawk Industries, Inc.   5.85%  09/18/2028   2,057 
 2,000   MPLX LP   4.80%  02/15/2029   1,984 
 5,000   New York Life Global Funding
 (SOFR + 0.48%)		   4.98%(a)  06/09/2026   5,010 
 6,000   New York Life Global Funding   4.70%(a)  01/29/2029   5,988 
 6,000   Newmont Corp. / Newcrest Finance Pty Ltd.   5.30%  03/15/2026   6,045 
 28,000   NGPL PipeCo LLC   4.88%(a)  08/15/2027   27,798 
 43,000   NiSource, Inc.   5.20%  07/01/2029   43,369 
 24,000   Norfolk Southern Corp.   7.80%  05/15/2027   25,697 
 7,000   Northwestern Mutual Global Funding   4.11%(a)  09/12/2027   6,908 
 25,000   Occidental Petroleum Corp.   5.20%  08/01/2029   24,821 
 17,000   Omega Healthcare Investors, Inc.   4.75%  01/15/2028   16,781 
 52,000   Oracle Corp.   5.80%  11/10/2025   52,534 
 2,000   O’Reilly Automotive, Inc.   4.20%  04/01/2030   1,924 
 8,000   Owens Corning   3.50%  02/15/2030   7,438 
 51,000   Pacific Gas and Electric Co.   6.10%  01/15/2029   52,814 
 4,000   Pacific Life Global Funding II
 (SOFR + 0.62%)		   5.12%(a)  06/04/2026   4,013 
 49,000   Penske Truck Leasing Co. Lp / PTL Finance Corp.   4.40%(a)  07/01/2027   48,379 
 29,000   PNC Financial Services Group, Inc.
 (SOFR + 1.32%)		   5.81%  06/12/2026   29,127 
 9,000   Public Service Co. of Colorado   3.70%  06/15/2028   8,696 
 26,000   Quanta Services, Inc.   4.75%  08/09/2027   25,975 
 44,000   Quest Diagnostics, Inc.   4.20%  06/30/2029   42,728 
 4,000   RGA Global Funding   6.00%(a)  11/21/2028   4,128 
 3,000   Ryder System, Inc.   5.25%  06/01/2028   3,034 
 11,000   Ryder System, Inc.   4.95%  09/01/2029   10,967 
 12,000   Sempra   5.40%  08/01/2026   12,114 
 12,000   Sherwin-Williams Co.   4.55%  03/01/2028   11,905 
 16,000   Sonoco Products Co.   4.45%  09/01/2026   15,898 
 40,000   State Street Corp.
 (SOFR + 1.35%)		   5.75%  11/04/2026   40,332 
 53,000   Take-Two Interactive Software, Inc.   4.95%  03/28/2028   52,986 
 22,000   Targa Resources Partners LP / Targa Resources Partners Finance Corp.   6.50%  07/15/2027   22,173 
 54,000   Targa Resources Partners LP / Targa Resources Partners Finance Corp.   6.88%  01/15/2029   55,376 
 55,000   Targa Resources Partners LP / Targa Resources Partners Finance Corp.   5.50%  03/01/2030   55,208 
 4,000   Timken Co.   4.50%  12/15/2028   3,930 
 7,000   Toll Brothers Finance Corp.   4.88%  03/15/2027   6,999 
 54,000   Truist Financial Corp.
 (SOFR + 1.46%)		   4.26%  07/28/2026   53,803 
 18,000   Uber Technologies, Inc.   6.25%(a)  01/15/2028   18,167 
 5,000   US Bancorp
 (SOFR + 1.43%)		   5.73%  10/21/2026   5,035 
 43,000   Utah Acquisition Sub, Inc.   3.95%  06/15/2026   42,353 
 48,000   Veralto Corp.   5.50%  09/18/2026   48,579 
 59,000   VICI Properties LP / VICI Note Co., Inc.   4.25%(a)  12/01/2026   58,061 
 

 

PRINCIPAL AMOUNT
$/SHARES		 SECURITY DESCRIPTION RATE MATURITY VALUE $
 41,000   Wells Fargo & Co.
 (SOFR + 1.07%)		   5.69%  04/22/2028   41,359 
 53,000   Welltower OP LLC   4.00%  06/01/2025   52,814 
 5,000   Western Midstream Operating LP   6.35%  01/15/2029   5,178 
 21,000   Western Midstream Operating LP   4.05%  02/01/2030   19,711 
 28,000   Williams Cos., Inc.   4.80%  11/15/2029   27,640 
 10,000   Xcel Energy, Inc.   4.00%  06/15/2028   9,682 
     Total US Corporate Bonds (Cost $3,911,567)           3,901,708 
US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS - 4.5%
     Federal National Mortgage Association             
 1,338,852   Series 2013-92-FA (30 day avg SOFR US + 0.66%, 0.55% Floor, 6.50% Cap)   5.23%  09/25/2043   1,322,345 
     Total US Government and Agency Mortgage Backed Obligations (Cost $1,295,548)           1,322,345 
US GOVERNMENT AND AGENCY OBLIGATIONS - 23.8%
 2,000,000   United States Treasury Note/Bond   0.38%  01/31/2026   1,919,295 
 510,000   United States Treasury Note/Bond   0.75%(e)  03/31/2026   488,578 
 600,000   United States Treasury Note/Bond   0.75%  05/31/2026   571,545 
 450,000   United States Treasury Note/Bond   0.63%  07/31/2026   425,341 
 1,000,000   United States Treasury Note/Bond   0.88%(e)  09/30/2026   943,847 
 400,000   United States Treasury Note/Bond   0.63%  03/31/2027   369,363 
 400,000   United States Treasury Note/Bond   0.50%  06/30/2027   364,758 
 2,300,000   United States Treasury Note/Bond   0.88%(e)  11/15/2030   1,882,364 
     Total US Government and Agency Obligations (Cost $7,027,092)           6,965,091 
AFFILIATED MUTUAL FUNDS - 2.2%
 72,135   DoubleLine Floating Rate Fund - Class I           649,933 
     Total Affiliated Mutual Funds (Cost $686,722)           649,933 
SHORT TERM INVESTMENTS - 4.2%
 405,553   First American Government Obligations Fund - U   4.41%(f)      405,553 
 405,554   JPMorgan US Government Money Market Fund - IM   4.44%(f)      405,554 
 405,554   MSILF Government Portfolio - Institutional   4.42%(f)      405,554 
     Total Short Term Investments (Cost $1,216,661)           1,216,661 
     Total Investments - 106.3% (Cost $33,855,966)           31,063,878 
     Other Liabilities in Excess of Assets - (6.3)%           (1,833,609)
     NET ASSETS - 100.0%          $29,230,269 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:   
US Government and Agency Obligations   23.8%
Non-Agency Residential Collateralized Mortgage Obligations   18.1%
Collateralized Loan Obligations   16.3%
Non-Agency Commercial Mortgage Backed Obligations   14.3%
US Corporate Bonds   13.4%
Asset Backed Obligations   8.3%
US Government and Agency Mortgage Backed Obligations   4.5%
Short Term Investments   4.2%
Affiliated Mutual Funds   2.2%
Foreign Corporate Bonds   1.2%
Other Assets and Liabilities   (6.3)%
Net Assets   100.0%
 

 

INVESTMENT BREAKDOWN as a % of Net Assets:   
US Government and Agency Obligations   23.8%
Non-Agency Residential Collateralized Mortgage Obligations   18.1%
Collateralized Loan Obligations   16.3%
Non-Agency Commercial Mortgage Backed Obligations   14.3%
Asset Backed Obligations   8.3%
US Government and Agency Mortgage Backed Obligations   4.5%
Short Term Investments   4.2%
Finance   2.2%
Affiliated Mutual Funds   2.2%
Banking   2.0%
Energy   1.8%
Technology   1.1%
Healthcare   0.8%
Utilities   0.8%
Pharmaceuticals   0.6%
Automotive   0.6%
Insurance   0.5%
Media   0.5%
Real Estate   0.4%
Hotels/Motels/Inns and Casinos   0.4%
Mining   0.4%
Diversified Manufacturing   0.4%
Transportation   0.3%
Industrial Equipment   0.3%
Construction   0.3%
Commercial Services   0.3%
Telecommunications   0.2%
Retailers (other than Food/Drug)   0.2%
Chemicals/Plastics   0.2%
Aerospace & Defense   0.1%
Containers and Glass Products   0.1%
Beverage and Tobacco   0.1%
Food Service   0.0%(g)
Food Products   0.0%(g)
Other Assets and Liabilities   (6.3)%
Net Assets   100.0%

 

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of December 31, 2024, the value of these securities total $14,033,869 or 48.0% of the Fund’s net assets.
(b) Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end.
(c) Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end.
(d) Interest only security
(e) All or a portion of security has been pledged as collateral.
(f) Seven-day yield as of period end.
(g) Represents less than 0.05% of net assets.
 

 

CMT Constant Maturity Treasury Rate
SOFR Secured Overnight Financing Rate

 

Swap Agreements                        
Excess Return Swaps                        
Reference Entity  Counterparty  Long/ Short  Financing Rate  Payment Frequency  Termination Date  Notional Amount      Value  Upfront Premiums Paid/ (Received)  Unrealized Appreciation (Depreciation)
Shiller Barclays CAPE® Europe Sector Net ER NoC Index(1)  Barclays Capital, Inc.  Long   0.20%  Termination  01/09/2025   2,500,000   EUR    $11,742   $—     $11,742 
Shiller Barclays CAPE® Europe Sector Net ER NoC Index(1)  Barclays Capital, Inc.  Long   0.20%  Termination  02/06/2025   1,200,000   EUR     (1,810)   —      (1,810)
Shiller Barclays CAPE® Europe Sector Net ER NoC Index(1)  BNP Paribas Securities Corp.  Long   0.20%  Termination  01/09/2025   10,000,000   EUR     (15,085)   —      (15,085)
Shiller Barclays CAPE® Europe Sector Net ER NoC Index(1)  BNP Paribas Securities Corp.  Long   0.20%  Termination  04/24/2025   14,900,000   EUR     (312,169)   —      (312,169)
                              $(317,322)  $—     $(317,322)

 

(1)   Shiller Barclays CAPE® Europe Sector Net ER NoC Index aims to provide notional long exposure to the top four European equity sectors that are relatively undervalued, as defined by a modified version of the classic CAPE® Ratio (the “Relative CAPE® Indicator”) and that possess relatively strong price momentum over the prior twelve months. Each European sector is represented by an index of equity securities of companies in the relevant sector. Information on the sector constituents as of December 31, 2024, is available on the Barclays Capital, Inc. website https://indices.barclays/IM/12/en/indices/details.app;ticker=BXIIESAE.

 

EUR Euro
   
Forward Currency Exchange Contracts           
Settlement Date  Counterparty  Currency to be Delivered  Value  Currency to be Received  Value  Unrealized Appreciation (Depreciation)
02/05/2025  Barclays Capital, Inc.   3,400,000   EUR   $3,527,121    3,713,203   USD   $3,713,203   $186,082 
06/04/2025  Goldman Sachs   2,000,000   EUR    2,087,924    2,214,004   USD    2,214,004    126,080 
06/04/2025  J.P. Morgan Securities, Inc.   1,600,000   EUR    1,670,339    1,748,996   USD    1,748,996    78,657 
02/05/2025  J.P. Morgan Securities, Inc.   1,000,000   EUR    1,037,388    1,096,918   USD    1,096,919    59,530 
06/04/2025  Barclays Capital, Inc.   500,000   EUR    521,981    551,509   USD    551,509    29,528 
10/08/2025  J.P. Morgan Securities, Inc.   500,000   EUR    525,957    535,651   USD    535,651    9,694 
02/05/2025  J.P. Morgan Securities, Inc.   432,499   USD    432,499    400,000   EUR    414,956    (17,544)
10/08/2025  Barclays Capital, Inc.   334,578   USD    334,578    300,000   EUR    315,574    (19,003)
06/04/2025  J.P. Morgan Securities, Inc.   665,006   USD    665,006    600,000   EUR    626,377    (38,629)
10/08/2025  Goldman Sachs   3,347,491   USD    3,347,491    3,000,000   EUR    3,155,741    (191,750)
02/05/2025  Goldman Sachs   5,675,472   USD    5,675,472    5,200,000   EUR    5,394,420    (281,052)
10/08/2025  J.P. Morgan Securities, Inc.   7,473,552   USD    7,473,552    6,700,000   EUR    7,047,822    (425,730)
02/05/2025  Barclays Capital, Inc.   9,383,377   USD    9,383,377    8,600,000   EUR    8,921,541    (461,835)
06/04/2025  Goldman Sachs   14,123,231   USD    14,123,231    12,800,000   EUR    13,362,711    (760,520)
                                  $(1,706,492)

 

EUR Euro
USD US Dollar

 

A summary of the DoubleLine Shiller Enhanced International CAPE®’s investments in affiliated mutual funds for the period ended December 31, 2024 is as follows:

 

Fund  Value at March 31, 2024  Gross Purchases  Gross
Sales		  Net Realized Gain (Loss) for the Period Ended December 31, 2024  Change in Unrealized for the Period Ended December 31, 2024  Value at December 31, 2024  Shares Held at December 31, 2024  Dividend Income Earned for the Period Ended December 31, 2024
DoubleLine Floating Rate Fund (Class I)  $2,347,465   $—     $(1,700,000)  $(85,988)  $88,456   $649,933    72,135    102,196 
 

 

 

DoubleLine Emerging Markets Local Currency Bond Fund   (Unaudited)
     
Schedule of Investments   December 31, 2024

 

  PRINCIPAL AMOUNT
$/SHARES		    SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
  FOREIGN CORPORATE BONDS - 22.4%             
  BRAZIL - 0.6%             
  550,000 BRL    Simpar Finance SARL   10.75%(a)  02/12/2028   72,112 
  CHINA - 5.1%                  
  2,000,000 CNY    European Bank for Reconstruction & Development   2.75%  04/27/2032   281,258 
  2,210,000 CNY    International Bank for Reconstruction & Development   2.00%  02/18/2026   301,725 
                   582,983 
  COLOMBIA - 1.5%             
  833,000,000 COP    Empresas Publicas de Medellin ESP   8.38%(a)  11/08/2027   168,999 
  INDIA - 8.3%             
  11,500,000 INR    Asian Development Bank   6.20%  10/06/2026   132,952 
  33,500,000 INR    European Investment Bank   6.95%(a)  03/01/2029   387,494 
  20,000,000 INR    Inter-American Development Bank   7.00%  01/25/2029   232,194 
  18,000,000 INR    International Bank for Reconstruction & Development   6.85%  04/24/2028   209,118 
                   961,758 
  INDONESIA - 2.4%             
  4,800,000,000 IDR    European Bank for Reconstruction & Development   4.25%  02/07/2028   278,572 
  MEXICO - 4.5%             
  4,500,000 MXN    America Movil SAB de CV   10.30%  01/30/2034   206,063 
  6,900,000 MXN    International Finance Corp.   7.50%  01/18/2028   314,043 
                   520,106 
       Total Foreign Corporate Bonds (Cost $2,880,989)   2,584,530 
  FOREIGN GOVERNMENT BONDS, FOREIGN AGENCIES AND FOREIGN GOVERNMENT SPONSORED CORPORATIONS - 71.3% 
  BRAZIL - 8.5%               
  1,000,000 BRL    Brazil Notas de Tesouro Nacional - Serie F   10.00%  01/01/2025   161,791 
  2,000,000 BRL    Brazil Notas de Tesouro Nacional - Serie F   10.00%  01/01/2027   293,868 
  2,000,000 BRL    Brazil Notas de Tesouro Nacional - Serie F   10.00%  01/01/2029   272,200 
  2,000,000 BRL    Brazil Notas de Tesouro Nacional - Serie F   10.00%  01/01/2031   258,072 
                   985,931 
  CHILE - 0.8%             
  90,000,000 CLP    Bonos de la Tesoreria de la Republica en pesos   4.50%  03/01/2026   89,958 
  COLOMBIA - 1.3%             
  350,000,000 COP    Colombian TES   6.25%  11/26/2025   77,769 
  350,000,000 COP    Colombian TES   7.50%  08/26/2026   77,380 
                   155,149 
  CZECH REPUBLIC - 4.6%            
  10,600,000 CZK    Czech Republic Government Bond   2.75%  07/23/2029   416,383 
  2,700,000 CZK    Czech Republic Government Bond   4.90%  04/14/2034   117,399 
                   533,782 
  HUNGARY - 1.0%             
  53,000,000 HUF    Hungary Government Bond   4.75%  11/24/2032   118,990 
  INDIA - 1.3%             
  12,000,000 INR    Export-Import Bank of Korea   8.10%  10/16/2030   143,658 
  INDONESIA - 11.6%             
  6,065,000,000 IDR    Indonesia Treasury Bond   8.25%  05/15/2029   394,536 
  4,700,000,000 IDR    Indonesia Treasury Bond   7.00%  02/15/2033   291,529 
  6,170,000,000 IDR    Indonesia Treasury Bond   8.38%  03/15/2034   417,275 
  3,662,000,000 IDR    Indonesia Treasury Bond   7.50%  06/15/2035   234,464 
                   1,337,804 
  MALAYSIA - 3.6%             
  1,900,000 MYR    Malaysia Government Bond   3.58%  07/15/2032   418,533 
  MEXICO - 5.8%             
  2,600,000 MXN    Mexican Bonos   5.00%  03/06/2025   123,545 
  6,250,000 MXN    Mexican Bonos   5.75%  03/05/2026   286,103 
  5,980,000 MXN    Mexican Bonos   7.75%  05/29/2031   256,009 
                   665,657 
 

 

  PRINCIPAL AMOUNT
$/SHARES		    SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
  PERU - 4.3%            
  1,670,000 PEN    Peru Government Bond   5.40%  08/12/2034   405,491 
  350,000 PEN    Peruvian Government International Bond   6.90%  08/12/2037   92,496 
                   497,987 
  PHILIPPINES - 0.7%             
  4,500,000 PHP    Philippine Government Bond   6.88%  01/10/2029   79,862 
  POLAND - 4.5%             
  1,575,000 PLN    Republic of Poland Government Bond   1.75%  04/25/2032   293,024 
  1,000,000 PLN    Republic of Poland Government Bond   5.00%  10/25/2034   227,143 
                   520,167 
  ROMANIA - 4.0%             
  1,100,000 RON    Romania Government Bond   6.30%  04/26/2028   223,150 
  1,100,000 RON    Romania Government Bond   8.00%  04/29/2030   236,338 
                   459,488 
  SINGAPORE - 2.7%             
  400,000 SGD    Singapore Government Bond   3.38%  05/01/2034   305,412 
  SOUTH AFRICA - 11.4%             
  8,000,000 ZAR    Republic of South Africa Government Bond   8.00%  01/31/2030   406,150 
  9,360,000 ZAR    Republic of South Africa Government Bond   8.88%  02/28/2035   451,877 
  10,120,000 ZAR    Republic of South Africa Government Bond   8.50%  01/31/2037   455,506 
                   1,313,533 
  THAILAND - 5.2%             
  6,150,000 THB    Thailand Government Bond   3.85%  12/12/2025   183,651 
  6,250,000 THB    Thailand Government Bond   3.35%  06/17/2033   198,567 
  8,000,000 THB    Thailand Government Bond   1.59%  12/17/2035   218,420 
                   600,638 
       Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations (Cost $9,258,816)   8,226,549 
  SHORT TERM INVESTMENTS - 4.0%            
  155,073 USD    BlackRock Liquidity FedFund - Institutional   4.34%(b)      155,073 
  155,063 USD    Fidelity Government Portfolio - Institutional   4.35%(b)      155,063 
  155,082 USD    MSILF Government Portfolio - Institutional   4.42%(b)      155,082 
       Total Short Term Investments (Cost $465,218)       465,218 
       Total Investments - 97.7% (Cost $12,605,023)       11,276,297 
       Other Assets in Excess of Liabilities - 2.3%       264,208 
       NET ASSETS - 100.0%      $11,540,505 

  

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:    
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations   71.3%
Foreign Corporate Bonds   22.4%
Short Term Investments   4.0%
Other Assets and Liabilities   2.3%
Net Assets   100.0%

 

 

INVESTMENT BREAKDOWN as a % of Net Assets:    
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations   71.3%
Finance   18.5%
Short Term Investments   4.0%
Telecommunications   1.8%
Utilities   1.5%
Transportation   0.6%
Other Assets and Liabilities   2.3%
Net Assets   100.0%
 
 
COUNTRY BREAKDOWN as a % of Net Assets:    
Indonesia   14.0%
South Africa   11.4%
Mexico   10.3%
India   9.6%
Brazil   9.1%
Thailand   5.2%
China   5.1%
Czech Republic   4.6%
Poland   4.5%
Peru   4.3%
United States   4.0%
Romania   4.0%
Malaysia   3.6%
Colombia   2.8%
Singapore   2.7%
Hungary   1.0%
Chile   0.8%
Philippines   0.7%
Other Assets and Liabilities   2.3%
Net Assets   100.0%

 

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of December 31, 2024, the value of these securities total $628,605 or 5.4% of the Fund’s net assets.
(b) Seven-day yield as of period end.

 

BRL Brazilian Real
CLP Chilean Peso
CNY Chinese Yuan Renminbi
COP Colombian Peso
CZK Czech Republic Koruna
HUF Hungarian Forint
IDR Indonesian Rupiah
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DoubleLine Income Fund   (Unaudited)
     
Schedule of Investments   December 31, 2024

 

 PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION   RATE  MATURITY   VALUE $ 
 ASSET BACKED OBLIGATIONS - 7.5%             
     Affirm, Inc.             
 500,000   Series 2023-B-D   8.78%(a)  09/15/2028   510,486 
     APL Finance DAC             
 548,000   Series 2023-1A-C   8.50%(a)  07/21/2031   557,104 
     Apollo Aviation Securitization Equity Trust             
 491,070   Series 2024-1A-B   6.90%(a)  05/16/2049   499,347 
 491,382   Series 2024-2A-B   6.61%(a)  09/16/2049   487,314 
     Compass Datacenters LLC             
 500,000   Series 2024-1A-B   7.00%(a)  02/25/2049   504,210 
     DigitalBridge Group, Inc.             
 500,000   Series 2023-1A-B   5.75%(a)  09/15/2048   489,830 
     Hardee’s Funding             
 496,250   Series 2024-1A-A2   7.25%(a)  03/20/2054   507,933 
     Helios Issuer LLC             
 1,056,062   Series 2019-AA-B   4.49%(a)  06/20/2046   918,889 
     Hotwire Funding LLC             
 1,000,000   Series 2021-1-B   2.66%(a)  11/20/2051   941,335 
     Lunar Structured Aircraft Portfolio Notes             
 657,024   Series 2021-1-C   5.68%(a)  10/15/2046   638,065 
     MAPS Ltd.             
 26,095   Series 2021-1A-C   5.44%(a)  06/15/2046   25,081 
     Marlette Funding Trust             
 500,000   Series 2022-3A-C   6.89%(a)  11/15/2032   505,803 
     Start Ltd./Bermuda             
 189,516   Series 2019-1-C   6.41%(a)  03/15/2044   178,889 
     Switch ABS Issuer LLC             
 500,000   Series 2024-1A-B   6.50%(a)  03/25/2054   504,118 
 750,000   Series 2024-2A-C   10.03%(a)  06/25/2054   777,117 
     Willis Lease Finance Corp.             
 308,686   Series 2020-A-C   6.66%(a)  03/15/2045   306,625 
     Total Asset Backed Obligations (Cost $8,264,330)           8,352,146 
 COLLATERALIZED LOAN OBLIGATIONS - 20.1%             
     Aimco CDO             
 700,000   Series 2021-15A-E (3 mo. Term SOFR + 6.21%, 5.95% Floor)   10.86%(a)  10/17/2034   705,512 
     Bain Capital Credit CLO             
 500,000   Series 2024-1A-D1 (3 mo. Term SOFR + 3.85%, 3.85% Floor)   8.50%(a)  04/16/2037   512,235 
     Battalion CLO Ltd.             
 1,000,000   Series 2021-21A-B (3 mo. Term SOFR + 2.01%, 1.75% Floor)   6.67%(a)  07/15/2034   1,003,179 
     Canyon Capital CLO Ltd.             
 500,000   Series 2021-1A-E (3 mo. Term SOFR + 6.67%, 6.41% Floor)   11.33%(a)  04/15/2034   494,709 
     Canyon CLO             
 500,000   Series 2021-3A-E (3 mo. Term SOFR + 6.46%, 6.20% Floor)   11.12%(a)  07/15/2034   504,008 
     Carlyle Global Market Strategies             
 500,000   Series 2018-4A-D1R (3 mo. Term SOFR + 3.10%, 3.10% Floor)   7.97%(a)  10/17/2037   510,123 
 500,000   Series 2024-2A-D (3 mo. Term SOFR + 3.85%, 3.85% Floor)   8.48%(a)  04/25/2037   512,196 
     CarVal CLO             
 500,000   Series 2024-1A-B (3 mo. Term SOFR + 2.10%, 2.10% Floor)   6.72%(a)  04/20/2037   507,745 
 1,000,000   Series 2024-1A-D (3 mo. Term SOFR + 3.90%, 3.90% Floor)   8.52%(a)  04/20/2037   1,025,184 
     Clover CLO             
 500,000   Series 2018-1A-A1RR (3 mo. Term SOFR + 1.53%, 1.53% Floor)   6.15%(a)  04/20/2037   504,073 
     Elmwood CLO Ltd.             
 500,000   Series 2024-4A-E (3 mo. Term SOFR + 6.00%, 6.00% Floor)   11.34%(a)  04/17/2037   511,369 
     Empower CLO Ltd.             
 

 

PRINCIPAL AMOUNT
$/SHARES		  SECURITY DESCRIPTION  RATE  MATURITY  VALUE $
 500,000   Series 2024-1A-D1 (3 mo. Term SOFR + 3.75%, 3.75% Floor)   8.38%(a)  04/25/2037   512,163 
     Goldentree Loan Opportunities Ltd.             
 1,000,000   Series 2022-14A-DR (3 mo. Term SOFR + 3.00%, 3.00% Floor)   7.62%(a)  07/20/2037   1,020,100 
 500,000   Series 2024-19A-D (3 mo. Term SOFR + 3.40%, 3.40% Floor)   8.02%(a)  04/20/2037   507,024 
     Harvest US CLO             
 500,000   Series 2024-1A-D (3 mo. Term SOFR + 4.50%, 4.50% Floor)   9.13%(a)  04/18/2037   515,432 
     Katayma CLO Ltd.             
 1,000,000   Series 2023-1A-D (3 mo. Term SOFR + 5.25%, 5.25% Floor)   9.87%(a)  10/20/2036   1,029,324 
 500,000   Series 2024-2A-A1 (3 mo. Term SOFR + 1.65%, 1.65% Floor)   6.27%(a)  04/20/2037   502,264 
 500,000   Series 2024-2A-D (3 mo. Term SOFR + 4.50%, 4.50% Floor)   9.12%(a)  04/20/2037   512,842 
     MidOcean Credit CLO             
 500,000   Series 2018-9A-D (3 mo. Term SOFR + 3.56%, 3.30% Floor)   8.18%(a)  07/20/2031   503,869 
     Octagon Investment Partners Ltd.             
 1,000,000   Series 2012-1A-CRR (3 mo. Term SOFR + 4.16%, 3.90% Floor)   8.82%(a)  07/15/2029   1,007,260 
 500,000   Series 2018-2A-C (3 mo. Term SOFR + 3.11%, 0.00% Floor)   7.74%(a)  07/25/2030   503,977 
 500,000   Series 2021-1A-E (3 mo. Term SOFR + 6.76%, 6.50% Floor)   11.42%(a)  04/15/2034   476,156 
     Point Au Roche Park CLO             
 500,000   Series 2021-1A-E (3 mo. Term SOFR + 6.36%, 6.10% Floor)   10.98%(a)  07/20/2034   504,188 
     Rockford Tower CLO Ltd.             
 1,000,000   Series 2024-1A-A1 (3 mo. Term SOFR + 1.61%, 1.61% Floor)   6.23%(a)  04/20/2037   1,009,555 
     RR Ltd./Cayman Islands             
 1,000,000   Series 2017-2A-DR (3 mo. Term SOFR + 6.06%, 5.80% Floor)   10.72%(a)  04/15/2036   1,009,046 
     Sound Point CLO Ltd.             
 500,000   Series 2019-3A-DR (3 mo. Term SOFR + 3.76%, 3.76% Floor)   8.39%(a)  10/25/2034   500,295 
 1,000,000   Series 2020-1A-ER (3 mo. Term SOFR + 7.12%, 7.12% Floor)   11.74%(a)  07/20/2034   940,242 
 500,000   Series 2021-3A-D (3 mo. Term SOFR + 3.51%, 3.25% Floor)   8.14%(a)  10/25/2034   502,795 
     Steele Creek CLO Ltd.             
 940,000   Series 2014-1RA-D (3 mo. Term SOFR + 3.06%, 2.80% Floor)   7.68%(a)  04/21/2031   946,956 
     Trimaran CAVU LLC             
 2,000,000   Series 2019-2A-C (3 mo. Term SOFR + 4.98%, 4.72% Floor)   9.61%(a)  11/26/2032   2,016,148 
     Wellfleet CLO Ltd.             
 500,000   Series 2019-1A-CR (3 mo. Term SOFR + 3.81%, 3.55% Floor)   8.43%(a)  07/20/2032   504,144 
 500,000   Series 2021-3A-D (3 mo. Term SOFR + 3.76%, 3.50% Floor)   8.42%(a)  01/15/2035   504,600 
     Total Collateralized Loan Obligations (Cost $21,988,682)           22,318,713 
 NON-AGENCY COMMERCIAL MORTGAGE BACKED OBLIGATIONS - 18.6%             
     ACREC Trust             
 300,000   Series 2023-FL2-B (1 mo. Term SOFR + 3.48%, 3.48% Floor)   7.88%(a)  02/19/2038   302,337 
     Arbor Realty Trust, Inc.             
 260,095   Series 2022-FL1-A (30 day avg SOFR US + 1.45%, 1.45% Floor)   6.05%(a)  01/15/2037   260,430 
 316,173   Series 2022-FL2-A (1 mo. Term SOFR + 1.85%, 1.85% Floor)   6.25%(a)  05/15/2037   316,832 
     AREIT Trust             
 400,000   Series 2021-CRE5-B (1 mo. Term SOFR + 1.93%, 1.82% Floor)   6.32%(a)  11/17/2038   400,181 
 246,491   Series 2023-CRE8-A (1 mo. Term SOFR + 2.11%, 2.11% Floor)   6.49%(a)  08/17/2041   248,252 
     Banc of America Re-Remic Trust             
 200,000   Series 2015-200P-D   3.60%(a)(b)  04/14/2033   197,274 
     BANK             
 350,000   Series 2019-BN19-A2   2.93%  08/15/2061   316,177 
 350,000   Series 2021-BN34-ASB   2.19%  06/15/2063   314,991 
     BANK5 Trust             
 350,000   Series 2024-5YR9-C   6.42%(b)  08/15/2057   351,625 
     BBCMS Trust             
 11,271,754   Series 2024-5C27-XA   0.82%(a)(b)(c)  07/15/2057   359,359 
     BDS Ltd.             
 62,347   Series 2021-FL7-A (1 mo. Term SOFR + 1.18%, 1.07% Floor)   5.56%(a)  06/16/2036   62,396 
     Benchmark Mortgage Trust             
 375,000   Series 2019-B13-A3   2.70%  08/15/2057   338,690 
 350,000   Series 2024-V9-A3   5.60%  08/15/2057   356,084 
 

 

 PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY   VALUE $ 
     BFLD Trust             
 125,000   Series 2024-VICT-A (1 mo. Term SOFR + 1.89%, 1.89% Floor)   6.29%(a)  07/15/2041   125,538 
     BLP Commercial Mortgage Trust             
 172,490   Series 2024-IND2-A (1 mo. Term SOFR + 1.34%, 1.34% Floor)   5.74%(a)  03/15/2041   172,759 
     BMO Mortgage Trust             
 250,000   Series 2024-5C6-A3   5.32%  09/15/2057   250,971 
     BrightSpire Capital, Inc.             
 156,832   Series 2021-FL1-A (1 mo. Term SOFR + 1.26%, 1.15% Floor)   5.63%(a)  08/19/2038   156,350 
     BSPRT Co.-Issuer LLC             
 250,000   Series 2023-FL10-B (1 mo. Term SOFR + 3.27%, 3.27% Floor)   7.66%(a)  09/15/2035   252,423 
     BX Trust             
 269,966   Series 2021-21M-A (1 mo. Term SOFR + 0.84%, 0.73% Floor)   5.24%(a)  10/15/2036   268,580 
 300,000   Series 2021-ARIA-C (1 mo. Term SOFR + 1.76%, 1.65% Floor)   6.16%(a)  10/15/2036   299,397 
 380,003   Series 2021-CIP-A (1 mo. Term SOFR + 1.04%, 0.92% Floor)   5.43%(a)  12/15/2038   380,184 
 41,748   Series 2021-VINO-A (1 mo. Term SOFR + 0.77%, 0.77% Floor)   5.16%(a)  05/15/2038   41,729 
 240,000   Series 2021-VOLT-B (1 mo. Term SOFR + 1.06%, 0.95% Floor)   5.46%(a)  09/15/2036   239,225 
 88,043   Series 2021-XL2-A (1 mo. Term SOFR + 0.80%, 0.69% Floor)   5.20%(a)  10/15/2038   87,983 
 179,344   Series 2022-LP2-A (1 mo. Term SOFR + 1.01%, 1.01% Floor)   5.41%(a)  02/15/2039   179,489 
 190,000   Series 2024-AIRC-A (1 mo. Term SOFR + 1.69%, 1.69% Floor)   6.09%(a)  08/15/2039   191,602 
 442,727   Series 2024-MF-A (1 mo. Term SOFR + 1.44%, 1.44% Floor)   5.84%(a)  02/15/2039   444,393 
     CEDR Commercial Mortgage Trust             
 350,000   Series 2022-SNAI-A (1 mo. Term SOFR + 0.99%, 0.99% Floor)   5.39%(a)  02/15/2039   335,165 
     CENT Trust             
 250,000   Series 2023-CITY-A (1 mo. Term SOFR + 2.62%, 2.62% Floor)   7.02%(a)  09/15/2038   251,437 
     Commercial Mortgage Pass Through Certificates             
 350,000   Series 2014-CR14-C   3.71%(b)  02/10/2047   326,294 
     Computershare Corporate Trust             
 180,000   Series 2015-C28-A4   3.54%  05/15/2048   178,986 
 539,000   Series 2015-LC22-A4   3.84%  09/15/2058   534,327 
 489,610   Series 2019-C50-A4   3.47%  05/15/2052   465,009 
 200,000   Series 2019-JWDR-C   3.04%(a)(b)  09/15/2031   192,121 
 2,050,000   Series 2024-C63-XD   2.30%(a)(b)(c)  08/15/2057   337,899 
     Credit Suisse Mortgage Capital Certificates             
 510,000   Series 2017-PFHP-A (1 mo. Term SOFR + 1.00%, 0.95% Floor)   5.40%(a)  12/15/2030   502,253 
 139,000   Series 2021-B33-A2   3.17%(a)  10/10/2043   118,080 
     CSAIL Commercial Mortgage Trust             
 367,924   Series 2017-CX9-A4   3.18%  09/15/2050   355,086 
     Extended Stay America Trust             
 440,395   Series 2021-ESH-A (1 mo. Term SOFR + 1.19%, 1.08% Floor)   5.59%(a)  07/15/2038   440,974 
     FS Rialto             
 288,221   Series 2021-FL2-A (1 mo. Term SOFR + 1.33%, 1.33% Floor)   5.73%(a)  05/16/2038   288,180 
 322,850   Series 2021-FL3-A (1 mo. Term SOFR + 1.36%, 1.36% Floor)   5.76%(a)  11/16/2036   323,040 
     Granite Point Mortgage Trust, Inc.             
 300,000   Series 2021-FL4-B (1 mo. Term SOFR + 2.06%, 1.95% Floor)   6.42%(a)  12/15/2036   288,937 
     Great Wolf Trust             
 200,000   Series 2024-WLF2-A (1 mo. Term SOFR + 1.69%)   6.09%(a)  05/15/2041   201,057 
     Greystone Commercial Real Estate Notes             
 196,875   Series 2021-FL3-A (1 mo. Term SOFR + 1.13%, 1.02% Floor)   5.53%(a)  07/15/2039   196,908 
     GS Mortgage Securities Corp. II             
 125,000   Series 2021-IP-C (1 mo. Term SOFR + 1.66%, 1.55% Floor)   6.06%(a)  10/15/2036   123,587 
 125,000   Series 2021-STAR-D (1 mo. Term SOFR + 2.01%, 1.90% Floor)   6.42%(a)  12/15/2036   122,077 
     JP Morgan Chase Commercial Mortgage Securities             
 1,000,000   Series 2019-UES-G   4.45%(a)(b)  05/05/2032   877,435 
     JPMBB Commercial Mortgage Securities Trust             
 260,925   Series 2014-C21-C   4.56%(b)  08/15/2047   257,403 
 300,000   Series 2014-C23-UH5   4.71%(a)  09/15/2047   287,448 
 

 

 PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY   VALUE $ 
 186,943   Series 2015-C27-A4   3.18%  02/15/2048   186,299 
 286,681   Series 2015-C31-A3   3.80%  08/15/2048   284,106 
 250,000   Series 2015-C33-AS   4.02%  12/15/2048   246,025 
     LoanCore             
 300,000   Series 2021-CRE5-AS (1 mo. Term SOFR + 1.86%, 1.86% Floor)   6.26%(a)  07/15/2036   300,119 
 138,132   Series 2021-CRE6-A (1 mo. Term SOFR + 1.41%, 1.30% Floor)   5.81%(a)  11/15/2038   138,168 
     Lument Finance Trust, Inc.             
 218,639   Series 2021-FL1-A (1 mo. Term SOFR + 1.28%, 1.28% Floor)   5.68%(a)  06/15/2039   219,113 
 300,000   Series 2021-FL1-B (1 mo. Term SOFR + 1.86%, 1.86% Floor)   6.26%(a)  06/15/2039   296,719 
     MF1 Multifamily Housing Mortgage Loan Trust             
 214,036   Series 2021-FL6-A (1 mo. Term SOFR + 1.21%, 1.10% Floor)   5.59%(a)  07/16/2036   213,562 
 250,000   Series 2021-FL7-B (1 mo. Term SOFR + 1.86%, 1.75% Floor)   6.24%(a)  10/16/2036   246,039 
 297,396   Series 2022-FL9-A (1 mo. Term SOFR + 2.15%, 2.15% Floor)   6.52%(a)  06/19/2037   297,943 
 300,000   Series 2024-FL14-A (1 mo. Term SOFR + 1.74%, 1.74% Floor)   6.10%(a)  03/19/2039   301,417 
 250,000   Series 2024-FL15-B (1 mo. Term SOFR + 2.49%, 2.49% Floor)   6.87%(a)  08/18/2041   251,189 
     MHC Commercial Mortgage Trust             
 109,696   Series 2021-MHC-A (1 mo. Term SOFR + 0.92%, 0.80% Floor)   5.31%(a)  04/15/2038   109,660 
     Morgan Stanley Capital I, Inc.             
 300,000   Series 2016-UB11-AS   2.98%  08/15/2049   285,278 
     PFP III Ltd.             
 298,659   Series 2024-11-B (1 mo. Term SOFR + 2.49%, 2.49% Floor)   6.97%(a)  09/17/2039   299,211 
     Ready Capital Corp.             
 274,360   Series 2021-FL7-A (1 mo. Term SOFR + 1.31%, 1.20% Floor)   5.65%(a)  11/25/2036   275,489 
 73,039   Series 2022-FL9-A (1 mo. Term SOFR + 2.47%, 2.47% Floor)   6.81%(a)  06/25/2037   73,534 
 57,263   Series 2023-FL12-A (1 mo. Term SOFR + 2.34%, 2.34% Floor)   6.67%(a)  05/25/2038   57,520 
     ROCK Trust             
 100,000   Series 2024-CNTR-D   7.11%(a)  11/13/2041   101,742 
     SREIT Trust             
 500,000   Series 2021-MFP2-A (1 mo. Term SOFR + 0.94%, 0.82% Floor)   5.33%(a)  11/15/2036   498,987 
     Starwood Property Mortgage Trust             
 162,501   Series 2021-FL2-A (1 mo. Term SOFR + 1.31%, 1.20% Floor)   5.69%(a)  04/18/2038   161,943 
 256,345   Series 2022-FL3-A (30 day avg SOFR US + 1.35%, 1.35% Floor)   5.95%(a)  11/15/2038   255,981 
 400,000   Series 2022-FL3-B (30 day avg SOFR US + 1.95%, 1.95% Floor)   6.55%(a)  11/15/2038   391,113 
     TPG Real Estate Finance Issuer Ltd.             
 137,653   Series 2021-FL4-A (1 mo. Term SOFR + 1.31%, 1.20% Floor)   5.70%(a)  03/15/2038   137,619 
 300,000   Series 2021-FL4-B (1 mo. Term SOFR + 1.96%, 1.85% Floor)   6.35%(a)  03/15/2038   298,208 
 250,000   Series 2022-FL5-AS (1 mo. Term SOFR + 2.15%, 2.15% Floor)   6.53%(a)  02/15/2039   248,832 
     UBS-Barclays Commercial Mortgage Trust             
 281,000   Series 2013-C5-D   3.72%(a)(b)  03/10/2046   210,291 
     VEGAS Trust             
 175,000   Series 2024-TI-A   5.52%(a)  11/10/2039   175,574 
     VMC Finance LLC             
 250,000   Series 2021-FL4-B (1 mo. Term SOFR + 1.91%, 1.91% Floor)   6.29%(a)  06/16/2036   243,982 
     Total Non-Agency Commercial Mortgage Backed Obligations (Cost $20,782,660)           20,724,617 
 NON-AGENCY RESIDENTIAL COLLATERALIZED MORTGAGE OBLIGATIONS - 26.2%             
     Connecticut Avenue Securities Trust             
 1,500,000   Series 2024-R05-2M2 (30 day avg SOFR US + 1.70%, 1.90% Floor)   6.27%(a)  07/25/2044   1,509,648 
     Credit Suisse Mortgage Capital Certificates             
 1,372,000   Series 2021-NQM4-B2   4.18%(a)(b)  05/25/2066   993,838 
     Cross Mortgage Trust             
 962,862   Series 2024-H1-A1   6.09%(a)(d)  12/25/2068   966,067 
     Fannie Mae Connecticut Avenue Securities             
 

 

 PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY   VALUE $ 
 1,300,000   Series 2022-R01-1M2 (30 day avg SOFR US + 1.90%, 0.00% Floor)   6.47%(a)  12/25/2041   1,319,439 
 1,250,000   Series 2023-R01-1M2 (30 day avg SOFR US + 3.75%, 0.00% Floor)   8.31%(a)  12/25/2042   1,335,532 
 1,300,000   Series 2024-R01-1M2 (30 day avg SOFR US + 1.80%, 1.80% Floor)   6.37%(a)  01/25/2044   1,314,388 
 1,000,000   Series 2024-R02-1B1 (30 day avg SOFR US + 2.50%, 2.50% Floor)   7.07%(a)  02/25/2044   1,019,223 
 1,200,000   Series 2024-R03-2M2 (30 day avg SOFR US + 1.95%, 0.00% Floor)   6.51%(a)  03/25/2044   1,214,739 
 1,250,000   Series 2024-R04-1B1 (30 day avg SOFR US + 2.20%, 0.00% Floor)   6.77%(a)  05/25/2044   1,259,736 
     Freddie Mac Structured Agency Credit Risk Debt Notes             
 1,200,000   Series 2024-DNA1-M2 (30 day avg SOFR US + 1.95%, 0.00% Floor)   6.52%(a)  02/25/2044   1,217,331 
 1,000,000   Series 2024-HQA1-M2 (30 day avg SOFR US + 2.00%, 0.00% Floor)   6.57%(a)  03/25/2044   1,016,415 
     Onslow Bay Mortgage Loan Trust             
 872,703   Series 2024-NQM10-A1   6.18%(a)(d)  05/25/2064   880,392 
 1,028,495   Series 2024-NQM2-A1   5.88%(a)(d)  12/25/2063   1,032,873 
     Pretium Mortgage Credit Partners LLC             
 1,018,397   Series 2024-NPL2-A1   7.02%(a)(d)  02/25/2054   1,023,408 
 1,408,873   Series 2024-NPL3-A1   7.52%(a)(d)  04/27/2054   1,424,676 
 1,219,014   Series 2024-NPL4-A1   7.00%(a)(d)  07/25/2054   1,225,206 
     Progress Residential Trust             
 1,200,000   Series 2024-SFR2-D   3.40%(a)(b)  04/17/2041   1,083,048 
     PRPM LLC             
 1,429,456   Series 2024-4-A1   6.41%(a)(d)  08/25/2029   1,433,914 
     SGR Residential Mortgage Trust             
 1,250,000   Series 2021-1-B2   4.30%(a)(b)  07/25/2061   896,258 
     Velocity Commercial Capital Loan Trust             
 158,158   Series 2019-1-M4   4.61%(a)(b)  03/25/2049   133,919 
 87,243   Series 2019-1-M5   5.70%(a)(b)  03/25/2049   75,403 
 142,644   Series 2019-1-M6   6.79%(a)(b)  03/25/2049   112,012 
     Vericrest Opportunity Loan Transferee             
 1,149,655   Series 2021-NPL5-A2   4.83%(a)(d)  03/27/2051   1,141,718 
     Verus Securitization Trust             
 1,400,000   Series 2020-5-B2   4.71%(a)(b)  05/25/2065   1,329,328 
 1,500,000   Series 2021-3-B2   3.96%(a)(b)  06/25/2066   1,075,772 
 872,229   Series 2023-1-A1   5.85%(a)(d)  12/25/2067   873,645 
 1,000,000   Series 2024-1-M1   6.67%(a)(b)  01/25/2069   1,006,588 
 1,250,000   Series 2024-6-M1   6.18%(a)(b)  07/25/2069   1,250,492 
     Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $30,138,079)           29,165,008 
 US GOVERNMENT AND AGENCY MORTGAGE BACKED OBLIGATIONS - 15.6%             
     Federal Home Loan Mortgage Corp.             
 2,089,142   Pool SD6570   5.50%  10/01/2054   2,080,859 
 3,029,004   Series 413-F24 (30 day avg SOFR US + 1.10%, 1.10% Floor, 7.00% Cap)   5.67%  05/25/2054   3,033,496 
 1,514,502   Series 413-F25 (30 day avg SOFR US + 1.15%, 1.15% Floor, 7.00% Cap)   5.72%  05/25/2054   1,519,441 
 1,133,585   Series 5004-LS (-1 x 30 day avg SOFR US + 6.04%, 0.00% Floor, 6.15% Cap)   1.47%(c)(e)  07/25/2050   134,301 
 3,842,113   Series 5112-SC (-1 x 30 day avg SOFR US + 2.50%, 0.00% Floor, 2.50% Cap)   0.00%(c)(e)  06/25/2051   9,361 
 3,612,565   Series 5166-DI   3.00%(c)  09/15/2048   444,738 
     Federal National Mortgage Association             
 3,748,073   Series 2019-57-LF (30 day avg SOFR US + 0.61%, 0.50% Floor, 6.50% Cap)   5.18%  10/25/2049   3,669,227 
 1,016,435   Series 2020-54-AS (-1 x 30 day avg SOFR US + 6.04%, 0.00% Floor, 6.15% Cap)   1.47%(c)(e)  08/25/2050   112,694 
 1,196,536   Series 2020-77-S (-1 x 30 day avg SOFR US + 4.15%, 0.00% Floor, 4.15% Cap)   0.00%(c)(e)  11/25/2050   36,962 
 

 

 PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY   VALUE $ 
 2,118,999   Series 2020-77-SB (-1 x 30 day avg SOFR US + 4.10%, 0.00% Floor, 4.10% Cap)   0.00%(c)(e)  11/25/2050   68,098 
 956,664   Series 2020-M10-X2   1.72%(b)(c)  12/25/2030   58,488 
 1,904,507   Series 2020-M17-X1   1.36%(b)(c)  01/25/2028   44,599 
 5,625,232   Series 437-C2   1.50%(c)  03/25/2052   493,627 
     Government National Mortgage Association             
 1,224,408   Series 2015-124-AF (1 mo. Term SOFR + 0.36%, 0.25% Floor, 6.50% Cap)   4.73%  09/20/2045   1,193,768 
 2,105,149   Series 2020-138-IL   3.50%(c)  09/20/2050   357,644 
 1,557,934   Series 2020-142-SD (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap)   1.82%(c)(e)  09/20/2050   188,562 
 2,855,416   Series 2020-151-TI   2.50%(c)  10/20/2050   415,365 
 916,201   Series 2020-189-SP (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap)   1.82%(c)(e)  12/20/2050   111,273 
 2,109,094   Series 2020-196-DI   2.50%(c)  12/20/2050   295,238 
 3,477,905   Series 2021-125-AS (-1 x 30 day avg SOFR US + 3.25%, 0.00% Floor, 3.25% Cap)   0.00%(c)(e)  07/20/2051   31,757 
 2,543,038   Series 2021-15-PI   3.00%(c)  01/20/2051   394,879 
 2,168,845   Series 2021-189-IO   0.88%(b)(c)  06/16/2061   144,841 
 1,692,854   Series 2021-197-IB   3.50%(c)  11/20/2051   317,947 
 2,393,909   Series 2021-2-IO   0.88%(b)(c)  06/16/2063   155,944 
 2,692,633   Series 2021-46-ES (-1 x 1 mo. Term SOFR + 2.69%, 0.00% Floor, 2.80% Cap)   0.00%(c)(e)  03/20/2051   12,800 
 4,042,745   Series 2021-59-S (-1 x 30 day avg SOFR US + 2.60%, 0.00% Floor, 2.60% Cap)   0.00%(c)(e)  04/20/2051   10,562 
 3,314,158   Series 2021-80-IO   0.90%(b)(c)  12/16/2062   226,891 
 1,484,411   Series 2021-98-SB (-1 x 1 mo. Term SOFR + 6.19%, 0.00% Floor, 6.30% Cap)   1.82%(c)(e)  06/20/2051   164,345 
 3,176,104   Series 2022-204-IO   3.50%(c)  04/20/2052   524,407 
 3,382,525   Series 2023-19-GI   3.00%(c)  11/20/2051   490,108 
 2,339,162   Series 2023-79-JI   2.50%(c)  02/20/2051   289,857 
 1,882,594   Series 2024-13-IA   3.00%(c)  05/20/2051   317,070 
     Total US Government and Agency Mortgage Backed Obligations (Cost $18,460,043)           17,349,149 
 SHORT TERM INVESTMENTS - 11.4%             
 4,238,461   First American Government Obligations Fund - U   4.41%(f)      4,238,461 
 4,238,462   JPMorgan US Government Money Market Fund - IM   4.44%(f)      4,238,462 
 4,238,462   MSILF Government Portfolio - Institutional   4.42%(f)      4,238,462 
     Total Short Term Investments (Cost $12,715,385)           12,715,385 
     Total Investments - 99.4% (Cost $112,349,179)           110,625,018 
     Other Assets in Excess of Liabilities - 0.6%           693,646 
     NET ASSETS - 100.0%          $111,318,664 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:     
Non-Agency Residential Collateralized Mortgage Obligations   26.2%  
Collateralized Loan Obligations   20.1%  
Non-Agency Commercial Mortgage Backed Obligations   18.6%  
US Government and Agency Mortgage Backed Obligations   15.6%  
Short Term Investments   11.4%  
Asset Backed Obligations   7.5%  
Other Assets and Liabilities   0.6%  
Net Assets   100.0%  

 

 

 

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of December 31, 2024, the value of these securities total $75,513,133 or 67.8% of the Fund’s net assets.
(b) Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end.
(c) Interest only security
(d) Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate in effect as of period end.
(e) Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.
(f) Seven-day yield as of period end.

 

SOFR Secured Overnight Financing Rate
 

 

 

DoubleLine Multi-Asset Trend Fund   (Unaudited)
     
Schedule of Investments (Consolidated)   December 31, 2024

 

PRINCIPAL AMOUNT
$/SHARES		   SECURITY DESCRIPTION  RATE  MATURITY  VALUE $ 
 US GOVERNMENT AND AGENCY OBLIGATIONS - 5.0%         
 230,000   United States Treasury Note/Bond   0.75%(a)  01/31/2028   206,699 
 350,000   United States Treasury Note/Bond   0.88%(a)  11/15/2030   286,447 
     Total US Government and Agency Obligations (Cost $495,338)           493,146 
 AFFILIATED MUTUAL FUNDS - 78.6%            
 151,278   DoubleLine Income Fund - Class I           1,199,636 
 689,286   DoubleLine Low Duration Bond Fund - Class R6           6,603,356 
     Total Affiliated Mutual Funds (Cost $8,014,901)           7,802,992 
 SHORT TERM INVESTMENTS - 21.1%            
 536,297   First American Government Obligations Fund - U   4.41%(b)(c)      536,297 
 536,297   JPMorgan US Government Money Market Fund - IM   4.44%(b)(c)      536,297 
 536,298   MSILF Government Portfolio - Institutional   4.42%(b)(c)      536,298 
 500,000   United States Treasury Bill   0.00%(a)(b)  10/30/2025   483,350 
     Total Short Term Investments (Cost $2,091,722)           2,092,242 
     Total Investments - 104.7% (Cost $10,601,961)           10,388,380 
     Other Liabilities in Excess of Assets - (4.7)%           (465,578)
     NET ASSETS - 100.0%          $9,922,802 

 

 

SECURITY TYPE BREAKDOWN as a % of Net Assets:    
Affiliated Mutual Funds   78.6%
Short Term Investments   21.1%
US Government and Agency Obligations   5.0%
Other Assets and Liabilities   (4.7)%
Net Assets   100.0%

 

 

(a)   All or a portion of security has been pledged as collateral.
(b)   All or a portion of this security is owned by DoubleLine Multi-Asset Trend Ltd., which is a wholly owned subsidiary of the DoubleLine Multi-Asset Trend Fund.
(c)   Seven-day yield as of period end.
 
 
SWAP AGREEMENTS                          
                           
EXCESS RETURN SWAPS                          
Reference Entity  Counterparty  Long/ Short  Financing Rate   Payment Frequency  Termination Date  Notional Amount   Value   Upfront Premiums Paid/ (Received)   Unrealized Appreciation (Depreciation) 
BNP Paribas Multi-Asset Trend Index ER USD ex-Commodity Sub-Basket(1)(2)(3)  BNP Paribas Securities Corp.  Long   0.00%  Termination  05/15/2025  $8,178,181   $(291,661)  $—     $(291,661)
BNP Paribas Multi-Asset Trend Index ER USD Commodity Sub-Basket(2)(3)(4)(5)  BNP Paribas Securities Corp.  Long   0.00%  Termination  05/15/2025   2,717,258    (540,485)   —      (540,485)
                         $(832,146)  $—     $(832,146)

 

(1)   The BNP Paribas Multi-Asset Trend Index aims to generate excess return by using a trend following strategy and to offer diversification in a multi-asset class universe. Ex-Commodity Sub-Basket Swap represents a swap on a basket of indices without commodities. Information on the sector constituents as of December 31, 2024, is available on the BNP Paribas website https://marketing-indx.bnpparibas.com/multi-asset-trend/.
(2)   Entry fee incurs when the Fund puts on new swap exposure. It is a trading cost and incorporated in the cost of the swap. The entry fee is 0.05%.
(3)   Exit fee incurs when the Fund terminates the swap exposure. It is incorporated into daily valuation of the swap. The exit fee is 0.05%.
(4)   The BNP Paribas Multi-Asset Trend Index aims to generate excess return by using a trend following strategy and to offer diversification in a multi-asset class universe.  Commodity Sub-Basket Swap represents a swap on a basket of commodity indices.  Information on the sector constituents as of December 31, 2024, is available on the BNP Paribas website https://marketing-indx.bnpparibas.com/multi-asset-trend/.
(5)   All or a portion of this security is owned by DoubleLine Multi-Asset Trend Ltd., which is a wholly-owned subsidiary of the DoubleLine Multi-Asset Trend Fund.

 

A summary of the DoubleLine Multi-Asset Trend Fund’s investments in affiliated mutual funds for the period ended December 31, 2024 is as follows:

 

Fund  Value at March 31, 2024  Gross Purchases  Gross
Sales		  Net Realized Gain (Loss) for the Period Ended December 31, 2024  Change in Unrealized for the Period Ended December 31, 2024  Value at December 31, 2024  Shares Held at December 31, 2024  Dividend Income Earned for the Period Ended December 31, 2024
DoubleLine Low Duration Bond Fund (Class R6)  $6,603,356   $—     $—     $—     $—     $6,603,356    689,286   $258,989 
DoubleLine Floating Rate Fund (Class I)   1,944,818    —      (1,949,121)   (104,879)   109,182    —      —      104,152 
Doubleline Income Fund (Class I)   1,376,443    —      (200,000)   (34,508)   57,701    1,199,636    151,278    69,784 
   $9,924,617   $—     $(2,149,121)  $(139,387)  $166,883   $7,802,992    840,564   $432,925 
 

 

Notes to Schedule of Investments

December 31, 2024 (Unaudited)

 

1. Significant Accounting Policies

 

Each Fund is an investment company that applies the accounting and reporting guidance issued in Topic 946, “Financial Services—Investment Companies,” by the Financial Accounting Standards Board (“FASB”). The following is a summary of the significant accounting policies of the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“US GAAP”).

 

A. Security Valuation. The Funds have adopted US GAAP fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:

 

• Level 1—Unadjusted quoted market prices in active markets for identical securities
• Level 2—Quoted prices for identical or similar assets in markets that are not active, or inputs derived from observable market data
• Level 3—Significant unobservable inputs (including the reporting entity’s estimates and assumptions)

  

Valuations for domestic and foreign fixed income securities are normally determined on the basis of evaluations provided by independent pricing services. Vendors typically value such securities based on one or more inputs described in the following table which is not intended to be a complete list. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed income securities in which the Funds are authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income securities. Securities that use similar valuation techniques and inputs as described in the following table are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable, the values generally would be categorized as Level 3. Assets and liabilities may be transferred between levels.

 

 

Fixed-income class Examples of Inputs
All Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among data (collectively referred to as “standard inputs”) comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference
Corporate bonds and notes; convertible securities Standard inputs and underlying equity of the issuer
US bonds and notes of government and government agencies Standard inputs
Residential and commercial mortgage-backed obligations; asset-backed obligations (including collateralized loan obligations) Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information, trustee reports
Bank loans Standard inputs

 

Investments in registered open-end management investment companies will be valued based upon the net asset value (“NAV”) of such investments and are categorized as Level 1 of the fair value hierarchy.

 

Common stocks, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts, that are traded on a national securities or commodities exchange, are typically valued at the last reported sales price, in the case of common stocks and exchange-traded funds, or, in the case of futures contracts or options contracts, the settlement price determined by the relevant exchange. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

 

Over-the-counter financial derivative instruments, such as forward currency exchange contracts, options contracts, or swap agreements, derive their values from underlying asset prices, indices, reference rates, other inputs or a combination of these factors. These instruments are normally valued on the basis of valuations obtained from counterparties, published index closing levels or evaluated prices supplied by independent pricing services, some or all of which may be based on market data from trading on exchanges that closed significantly before the time as of which a Fund calculates its NAV. Forward foreign currency contracts are generally valued based on rates provided by independent data providers. Exchange traded futures and options on futures are generally valued at the settlement price determined by the relevant exchange on which they principally trade, and exchange traded options are generally valued at the last trade price on the exchange on which they principally trade. A Fund does not normally take into account trading, clearances or settlements that take place after the close of the principal exchange or market on which such securities are traded. Depending on the instrument and the terms of the transaction, the value of the derivative instruments can be estimated by a pricing service provider using a series of techniques, such as simulation pricing models. The pricing models use issuer details and other inputs that are observed from actively quoted markets such as indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are normally categorized as Level 2 of the fair value hierarchy.

 

The Board of Trustees (the “Board”) has adopted a pricing and valuation policy for use by each Fund and its Valuation Designee (as defined below) in calculating each Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, each Fund has designated its primary investment, either DoubleLine Capital LP (“DoubleLine Capital”) or DoubleLine Alternatives LP (“DoubleLine Alternatives”) (each, an “Adviser” and collectively, the “Advisers”), as applicable, as the “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. Each Adviser, as Valuation Designee, is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

Category  DoubleLine Total Return Bond Fund DoubleLine Core Fixed Income Fund DoubleLine Emerging Markets Fixed Income Fund DoubleLine Low Duration Bond Fund DoubleLine Floating Rate Fund   DoubleLine Shiller Enhanced CAPE®
Investments in Securities                             
Level 1                             
Short Term Investments  $353,933,260   $397,814,142   $11,113,713   $152,706,048   $6,562,676   $205,948,241
Affiliated Mutual Funds   –    443,315,030    –    –    –    –
Warrants   –    21,388    –    –    –    –
Total Level 1   353,933,260    841,150,560    11,113,713    152,706,048    6,562,676    205,948,241
Level 2                             
US Government and Agency Mortgage Backed Obligations   15,496,249,008    1,366,556,564    –    177,946,274    –    94,803,591
Non-Agency Residential Collateralized Mortgage Obligations   7,287,586,244    770,906,887    –    768,341,282    –    419,042,994
US Government and Agency Obligations   956,639,293    1,185,347,764    –    1,463,344,627    –    1,061,448,267
Non-Agency Commercial Mortgage Backed Obligations   2,327,161,627    350,760,308    –    873,668,065    –    437,927,602
Collateralized Loan Obligations   1,495,034,118    243,007,005    –    800,805,136    5,041,245    518,004,777
Asset Backed Obligations   1,641,304,449    238,112,775    –    418,183,879    –    267,353,033
US Corporate Bonds   –    1,040,201,896    –    630,093,789    6,766,575    381,343,438
Foreign Corporate Bonds   –    382,140,699    324,461,382    434,004,911    356,233    154,833,861
Bank Loans   –    222,847,890    –    47,057,879    152,190,517    98,397,357
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations   –    55,688,797    88,350,578    78,269,975    –    13,777,157
Total Level 2   29,203,974,739    5,855,570,585    412,811,960    5,691,715,817    164,354,570    3,446,932,077
Level 3                             
Asset Backed Obligations   26,068,681    6,076,419    –    13,251,163    –    –
Foreign Corporate Bonds   –    430,144    313,109    353,240    –    164,795
Bank Loans   –    382,831    –    –    306,239    1,833
Common Stocks   –    173,695    –    –    102,078    42,352
Total Level 3   26,068,681    7,063,089    313,109    13,604,403    408,317    208,980
Total  $29,583,976,680   $6,703,784,234   $424,238,782   $5,858,026,268   $171,325,563   $3,653,089,298
Other Financial Instruments                             
Level 1                             
Futures  $(41,469,189)  $2,776,546   $–   $–   $–   $–
Total Level 1   (41,469,189)   2,776,546    –    –    –    –
Level 2                             
Excess Return Swaps   –    –    –    –    –    154,539,386
Unfunded Commitments   –    3,370    –    –    2,813    –
Total Level 2   –    3,370    –    –    2,813    154,539,386
Level 3   –    –    –    –    –    –
Total  $(41,469,189)  $2,779,916   $–   $–   $2,813   $154,539,386

 

See the Schedule of Investments for further disaggregation of investment categories.

 

 

Category  DoubleLine Flexible Income Fund DoubleLine Low Duration Emerging Markets Fixed Income Fund DoubleLine Long Duration Total Return Bond Fund DoubleLine Strategic Commodity Fund (Consolidated) DoubleLine Global Bond Fund   DoubleLine Infrastructure Income Fund
Investments in Securities                             
Level 1                             
Short Term Investments  $103,316,356   $534,917   $2,956,541   $3,263,649   $7,575,440   $3,540,672
Warrants   2,410    –    –    –    –    –
Total Level 1   103,318,766    534,917    2,956,541    3,263,649    7,575,440    3,540,672
Level 2                             
Asset Backed Obligations   64,482,705    –    –    –    –    147,153,213
US Government and Agency Obligations   99,882,145    –    –    –    58,297,698    34,175,884
US Corporate Bonds   43,956,340    –    –    –    –    147,794,653
Collateralized Loan Obligations   191,107,035    –    –    –    –    –
Foreign Corporate Bonds   52,060,278    107,462,803    –    –    –    31,554,153
Non-Agency Residential Collateralized Mortgage Obligations   180,404,083    –    –    –    –    –
US Government and Agency Mortgage Backed Obligations   114,552,461    –    46,538,755    –    –    –
Non-Agency Commercial Mortgage Backed Obligations   129,360,263    –    –    –    –    –
Bank Loans   128,611,678    –    –    –    –    –
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations   12,610,672    27,887,409    –    –    74,548,397    2,828,469
Short Term Investments   –    –    9,911,097    103,637,863    –    –
Total Level 2   1,017,027,660    135,350,212    56,449,852    103,637,863    132,846,095    363,506,372
Level 3                             
US Corporate Bonds   –    –    –    –    –    5,041,500
Foreign Corporate Bonds   42,801    79,468    –    –    –    2,522,194
Bank Loans   83,825    –    –    –    –    –
Asset Backed Obligations   50,643    –    –    –    –    –
Common Stocks   42,812    –    –    –    –    –
Total Level 3   220,081    79,468    –    –    –    7,563,694
Total  $1,120,566,507   $135,964,597   $59,406,393   $106,901,512   $140,421,535   $374,610,738
Other Financial Instruments                             
Level 1                             
Futures  $–   $–   $(925,371)  $–   $–   $–
Total Level 1   –    –    (925,371)   –    –    –
Level 2                             
Excess Return Swaps   –    –    –    989,366    –    –
Forward Currency Exchange Contracts   –    –    –    –    (160,984)   –
Unfunded Commitments   1,644    –    –    –    –    –
Total Level 2   1,644    –    –    989,366    (160,984)   –
Level 3   –    –    –    –    –    –
Total  $1,644   $–   $(925,371)  $989,366   $(160,984)  $–

 

See the Schedule of Investments for further disaggregation of investment categories.

 

 

Category  DoubleLine Shiller Enhanced International CAPE® DoubleLine Emerging
Markets Local
Currency Bond
Fund		 DoubleLine
Income Fund		 DoubleLine
Multi-Asset
Trend Fund
(Consolidated)		 
Investments in Securities                 
Level 1                 
Short Term Investments  $1,216,661 $ 465,218 $ 12,715,385 $ 1,608,892 
Affiliated Mutual Funds   649,933   –   –   7,802,992 
Total Level 1   1,866,594   465,218   12,715,385   9,411,884 
Level 2                 
Non-Agency Residential Collateralized Mortgage Obligations   5,276,069   –   29,165,008   – 
Collateralized Loan Obligations   4,775,160   –   22,318,713   – 
Non-Agency Commercial Mortgage Backed Obligations   4,188,293   –   20,724,617   – 
US Government and Agency Mortgage Backed Obligations   1,322,345   –   17,349,149   – 
Asset Backed Obligations   2,420,113   –   8,352,146   – 
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations   –   8,226,549   –   – 
US Government and Agency Obligations   6,965,091   –   –   493,146 
US Corporate Bonds   3,901,708   –   –   – 
Foreign Corporate Bonds   348,505   2,584,530   –   – 
Short Term Investments   –   –   –   483,350 
Total Level 2   29,197,284   10,811,079   97,909,633   976,496 
Level 3   –   –   –   – 
Total  $31,063,878 $ 11,276,297 $ 110,625,018 $ 10,388,380 
Other Financial Instruments                 
Level 2                
Forward Currency Exchange Contracts  $(1,706,492)$ – $ – $ – 
Excess Return Swaps   (317,322)  –   –   (832,146)
Total Level 2   (2,023,814)  –   –   (832,146)
Level 3   –   –   –   – 
Total  $(2,023,814)$ – $ – $ (832,146)

 

See the Schedule of Investments for further disaggregation of investment categories.

 

 

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

 

DoubleLine Infrastructure Income Fund  Fair Value as of
March 31, 2024		   Net Realized Gain (Loss)   Net Change in
Unrealized
Appreciation
(Depreciation)(c)		   Net Accretion (Amortization)   Purchases(a)   Sales(b)   Transfers Into
Level 3(d)		   Transfers Out of
Level 3(d)		   Fair Value as of December 31, 2024   Net Change in Unrealized Appreciation (Depreciation) on securities held at December 31, 2024(c)
Investments in Securities                                                 
Corporate Bonds  $—   $—   $41,500   $—   $5,000,000   $—   $—   $—   $5,041,500   $—
Foreign Corporate Bonds   1,969,965    (466)   45,689    (563)   —    (90,714)   598,283    —    2,522,194    43,617
Total  $1,969,965   $(466)  $87,189   $(563)  $5,000,000   $(90,714)  $598,283   $—   $7,563,694   $43,617

 

(a)   Purchases include all purchases of securities, payups and corporate actions.

(b)  Sales include all sales of securities, maturities, and paydowns.

(c)  Any difference between Net Change in Unrealized Appreciation (Depreciation) and Net Change in Unrealized Appreciation (Depreciation) on securities held at December 31, 2024 may be due to a security that was not held or categorized as Level 3 at either period end.

(d)  Transfers into or out of Level 3 can be attributed to changes in the availability of pricing sources and/or in the observability of significant inputs used to measure the fair value of those instruments.

 
 
The following is a summary of quantitative information about Level 3 Fair Value Measurements:

 

DoubleLine Infrastructure Income Fund Fair Value as of December 31, 2024   Valuation Techniques  Unobservable Input  Unobservable Input Values
(Weighted Average)(e)		  Impact to valuation from an increase to input
Corporate Bonds  $5,041,500   Market Comparables  Market Quotes  $100.83 ($100.83)  Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security
Foreign Corporate Bonds  $2,522,194   Market Comparables  Market Quotes  $96.25 - $100.50 ($99.49)  Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

 

(e)  Unobservable inputs were weighted by the relative fair value of the instruments.