A: PIOBX | C: PCYBX | K: PBFKX | R: PBFRX | Y: PICYX |
Principal Amount USD ($) | Value | |||||
UNAFFILIATED ISSUERS — 124.9% | ||||||
Senior Secured Floating Rate Loan Interests — 0.5% of Net Assets*(a) | ||||||
Chemicals-Diversified — 0.0%† | ||||||
1,415,000 | LSF11 A5 HoldCo LLC, Term Loan, 4.114% (SOFR + 375 bps), 10/15/28 | $ 1,396,134 | ||||
Total Chemicals-Diversified | $1,396,134 | |||||
Distribution & Wholesale — 0.1% | ||||||
2,215,000(b) | Owens & Minor, Inc., Term B-1 Facility, 3/29/29 | $ 2,212,231 | ||||
Total Distribution & Wholesale | $2,212,231 | |||||
Electric-Generation — 0.0%† | ||||||
729,422 | Eastern Power, LLC (Eastern Covert Midco, LLC), Term Loan, 4.756% (LIBOR + 375 bps), 10/2/25 | $ 523,725 | ||||
Total Electric-Generation | $523,725 | |||||
Electronic Composition — 0.0%† | ||||||
1,016,954 | Energy Acquisition LP, First Lien Initial Term Loan, 4.699% (LIBOR + 425 bps), 6/26/25 | $ 996,191 | ||||
Total Electronic Composition | $996,191 | |||||
Finance-Leasing Company — 0.0%† | ||||||
619,232 | Avolon TLB Borrower 1 (US) LLC, Term B-4 Loan, 2.25% (LIBOR + 150 bps), 2/12/27 | $ 606,240 | ||||
Total Finance-Leasing Company | $606,240 | |||||
Gambling (Non-Hotel) — 0.1% | ||||||
4,810,388 | Scientific Games International, Inc., Initial Term B-5 Loan, 3.207% (LIBOR + 275 bps), 8/14/24 | $ 4,793,018 | ||||
Total Gambling (Non-Hotel) | $4,793,018 | |||||
Human Resources — 0.0%† | ||||||
934,019 | Team Health Holdings, Inc., Extended Term Loan, 6.25% (Term SOFR + 525 bps), 3/2/27 | $ 892,279 | ||||
Total Human Resources | $892,279 | |||||
Insurance Brokers — 0.0%† | ||||||
811,750 | USI, Inc. (fka Compass Investors Inc.), 2017 New Term Loan, 4.006% (LIBOR + 300 bps), 5/16/24 | $ 807,874 | ||||
Total Insurance Brokers | $807,874 | |||||
Metal Processors & Fabrication — 0.1% | ||||||
3,507,375 | Grinding Media, Inc. (Molycop, Ltd.), First Lien Term Loan, 4.796% (LIBOR + 400 bps), 10/12/28 | $ 3,483,262 | ||||
Total Metal Processors & Fabrication | $3,483,262 |
Principal Amount USD ($) | Value | |||||
Paper & Related Products — 0.1% | ||||||
4,332,263 | Schweitzer-Mauduit International, Inc., Term B Loan, 4.50% (LIBOR + 375 bps), 4/20/28 | $ 4,256,448 | ||||
Total Paper & Related Products | $4,256,448 | |||||
Recreational Centers — 0.0%† | ||||||
190,787 | Fitness International LLC, Term B Loan, 4.256% (LIBOR + 325 bps), 4/18/25 | $ 177,384 | ||||
Total Recreational Centers | $177,384 | |||||
Rental Auto & Equipment — 0.0%† | ||||||
1,117,200 | PECF USS Intermediate Holding III Corp., Initial Term Loan, 4.758% (LIBOR + 425 bps), 12/15/28 | $ 1,108,422 | ||||
Total Rental Auto & Equipment | $1,108,422 | |||||
Retail — 0.0%† | ||||||
520,288 | Staples, Inc., 2019 Refinancing New Term B-2 Loan, 4.817% (LIBOR + 450 bps), 9/12/24 | $ 507,714 | ||||
Total Retail | $507,714 | |||||
Retail-Restaurants — 0.0%† | ||||||
1,383,603 | 1011778 B.C. Unlimited Liability Co., Term B-4 Loan, 2.207% (LIBOR + 175 bps), 11/19/26 | $ 1,356,623 | ||||
Total Retail-Restaurants | $1,356,623 | |||||
Schools — 0.0%† | ||||||
1,066,530 | KUEHG Corp. (fka KC MergerSub, Inc.), Term B-3 Loan, 4.756% (LIBOR + 375 bps), 2/21/25 | $ 1,053,864 | ||||
Total Schools | $1,053,864 | |||||
Telephone-Integrated — 0.0%† | ||||||
809,587 | Level 3 Financing, Inc., Tranche B 2027 Term Loan, 2.207% (LIBOR + 175 bps), 3/1/27 | $ 795,780 | ||||
Total Telephone-Integrated | $795,780 | |||||
Transport-Equipment & Leasing — 0.1% | ||||||
2,640,000 | IBC Capital I, Ltd., First Lien Tranche B-1 Term Loan, 4.667% (LIBOR + 375 bps), 9/11/23 | $ 2,588,301 | ||||
Total Transport-Equipment & Leasing | $2,588,301 | |||||
Total Senior Secured Floating Rate Loan Interests (Cost $27,955,538) | $27,555,490 | |||||
Asset Backed Securities — 8.3% of Net Assets | ||||||
500,000 | 321 Henderson Receivables III LLC, Series 2008-1A, Class B, 8.37%, 1/15/46 (144A) | $ 551,078 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
382,564(a) | 321 Henderson Receivables LLC, Series 2005-1A, Class A1, 0.627% (1 Month USD LIBOR + 23 bps), 11/15/40 (144A) | $ 377,009 | ||||
1,318,473 | A10 Bridge Asset Financing LLC, Series 2019-B, Class A1, 3.085%, 8/15/40 (144A) | 1,318,617 | ||||
2,000,000(a) | ABPCI Direct Lending Fund CLO X LP, Series 2020-10A, Class A1A, 2.204% (3 Month USD LIBOR + 195 bps), 1/20/32 (144A) | 1,993,226 | ||||
3,393,232 | Accelerated LLC, Series 2021-1H, Class C, 2.35%, 10/20/40 (144A) | 3,215,722 | ||||
4,000,000 | American Credit Acceptance Receivables Trust, Series 2019-2, Class E, 4.29%, 6/12/25 (144A) | 4,044,075 | ||||
2,800,000 | American Homes 4 Rent Trust, Series 2014-SFR3, Class C, 4.596%, 12/17/36 (144A) | 2,809,569 | ||||
700,000 | American Homes 4 Rent Trust, Series 2014-SFR3, Class D, 5.04%, 12/17/36 (144A) | 705,597 | ||||
1,300,000 | American Homes 4 Rent Trust, Series 2015-SFR1, Class C, 4.11%, 4/17/52 (144A) | 1,294,430 | ||||
1,675,000 | Amur Equipment Finance Receivables VI LLC, Series 2018-2A, Class C, 4.27%, 1/20/23 (144A) | 1,682,460 | ||||
5,784,000 | Amur Equipment Finance Receivables VI LLC, Series 2018-2A, Class D, 4.45%, 6/20/23 (144A) | 5,802,003 | ||||
3,833,000 | Amur Equipment Finance Receivables VII LLC, Series 2019-1A, Class B, 2.80%, 3/20/25 (144A) | 3,829,056 | ||||
2,676,000 | Amur Equipment Finance Receivables VII LLC, Series 2019-1A, Class E, 4.47%, 3/20/25 (144A) | 2,633,261 | ||||
5,900,000 | Aqua Finance Trust, Series 2019-A, Class C, 4.01%, 7/16/40 (144A) | 5,782,478 | ||||
2,300,000 | Aqua Finance Trust, Series 2020-AA, Class C, 3.97%, 7/17/46 (144A) | 2,209,980 | ||||
7,600,000(a) | Arbor Realty Commercial Real Estate Notes, Ltd., Series 2021-FL3, Class C, 2.247% (1 Month USD LIBOR + 185 bps), 8/15/34 (144A) | 7,497,727 | ||||
10,000,000(a) | Arbor Realty Commercial Real Estate Notes, Ltd., Series 2021-FL4, Class D, 3.297% (1 Month USD LIBOR + 290 bps), 11/15/36 (144A) | 9,868,610 | ||||
12,795,000(a) | Arbor Realty Commercial Real Estate Notes, Ltd., Series 2022-FL1, Class C, 2.35% (SOFR30A + 230 bps), 1/15/37 (144A) | 12,737,501 | ||||
3,000,000(a) | ASSURANT CLO, Ltd., Series 2018-3A, Class E, 6.404% (3 Month USD LIBOR + 615 bps), 10/20/31 (144A) | 2,841,021 | ||||
2,000,000 | Avid Automobile Receivables Trust, Series 2019-1, Class C, 3.14%, 7/15/26 (144A) | 2,003,397 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
2,000,000(a) | Benefit Street Partners CLO XIX, Ltd., Series 2019-19A, Class E, 7.261% (3 Month USD LIBOR + 702 bps), 1/15/33 (144A) | $ 1,967,184 | ||||
10,046,875 | Blackbird Capital Aircraft, Series 2021-1A, Class A, 2.443%, 7/15/46 (144A) | 9,188,929 | ||||
5,425,000(a) | BSPRT Issuer, Ltd., Series 2022-FL8, Class C, 2.35% (SOFR30A + 230 bps), 2/15/37 (144A) | 5,400,514 | ||||
320,544 | BXG Receivables Note Trust, Series 2015-A, Class A, 2.88%, 5/2/30 (144A) | 320,552 | ||||
2,750,000(a) | Carlyle US CLO, Ltd., Series 2019-4A, Class CR, 3.433% (3 Month Term SOFR + 320 bps), 4/15/35 (144A) | 2,735,788 | ||||
6,942,346(c) | Cascade MH Asset Trust, Series 2019-MH1, Class A, 4.00%, 11/25/44 (144A) | 6,948,531 | ||||
4,800,000 | Commercial Equipment Finance LLC, Series 2021-A, Class C, 3.55%, 12/15/28 (144A) | 4,567,745 | ||||
406,143(a) | Commonbond Student Loan Trust, Series 2017-BGS, Class A2, 1.107% (1 Month USD LIBOR + 65 bps), 9/25/42 (144A) | 403,106 | ||||
5,463,233 | Continental Credit Card ABS LLC, Series 2019-1A, Class A, 3.83%, 8/15/26 (144A) | 5,480,786 | ||||
2,400,000 | DataBank Issuer, Series 2021-1A, Class B, 2.65%, 2/27/51 (144A) | 2,254,706 | ||||
584,286 | Diamond Resorts Owner Trust, Series 2019-1A, Class B, 3.53%, 2/20/32 (144A) | 578,557 | ||||
9,114,000 | Domino's Pizza Master Issuer LLC, Series 2019-1A, Class A2, 3.668%, 10/25/49 (144A) | 8,755,446 | ||||
1,650,000 | Drive Auto Receivables Trust, Series 2020-2, Class D, 3.05%, 5/15/28 | 1,653,915 | ||||
4,200,000(a) | Dryden 78 CLO, Ltd., Series 2020-78A, Class E, 6.841% (3 Month USD LIBOR + 660 bps), 4/17/33 (144A) | 4,103,774 | ||||
1,800,000 | Elm Trust, Series 2020-3A, Class A2, 2.954%, 8/20/29 (144A) | 1,723,213 | ||||
4,000,000 | ExteNet LLC, Series 2019-1A, Class C, 5.219%, 7/26/49 (144A) | 4,001,098 | ||||
214,203 | FCI Funding LLC, Series 2019-1A, Class A, 3.63%, 2/18/31 (144A) | 214,524 | ||||
263,635 | FCI Funding LLC, Series 2019-1A, Class B, 0.000%, 2/18/31 (144A) | 263,783 | ||||
13,700,000(c) | Finance of America HECM Buyout, Series 2022-HB1, Class M3, 5.084%, 2/25/32 (144A) | 13,482,034 | ||||
6,201,294 | Finance of America Structured Securities Trust, Series 2019-JR2, 2.00%, 5/25/50 | 6,363,918 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
7,433,358 | Finance of America Structured Securities Trust, Series 2021-S2, Class A1, 1.25%, 9/25/51 | $ 7,047,688 | ||||
5,883,274 | Finance of America Structured Securities Trust, Series 2021-S2, Class A2, 1.75%, 9/25/51 | 5,578,933 | ||||
8,127,446 | Finance of America Structured Securities Trust, Series 2022-S1, Class A1, 2.00%, 2/25/52 | 7,761,711 | ||||
8,457,407 | Finance of America Structured Securities Trust, Series 2022-S1, Class A2, 3.00%, 2/25/52 | 8,208,971 | ||||
4,500,000(a) | First Eagle BSL CLO, Ltd., Series 2019-1A, Class C, 4.604% (3 Month USD LIBOR + 435 bps), 1/20/33 (144A) | 4,470,750 | ||||
1,000,000(a) | First Eagle BSL CLO, Ltd., Series 2019-1A, Class D, 7.954% (3 Month USD LIBOR + 770 bps), 1/20/33 (144A) | 967,463 | ||||
1,000,000(a) | Fort Washington CLO, Series 2019-1A, Class ER, 7.004% (3 Month USD LIBOR + 675 bps), 10/20/32 (144A) | 976,598 | ||||
3,750,000 | Foundation Finance Trust, Series 2019-1A, Class B, 4.22%, 11/15/34 (144A) | 3,781,535 | ||||
4,390,820 | Foundation Finance Trust, Series 2021-1A, Class A, 1.27%, 5/15/41 (144A) | 4,149,932 | ||||
4,200,000 | Four Seas LP, Series 2017-1A, Class A2, 5.927%, 8/28/27 (144A) | 3,610,094 | ||||
3,000,000(a) | Goldentree Loan Management US CLO 6, Ltd., Series 2019-6A, Class DR, 3.341% (3 Month Term SOFR + 310 bps), 4/20/35 (144A) | 2,970,303 | ||||
4,183,275 | Hardee's Funding LLC, Series 2018-1A, Class A2II, 4.959%, 6/20/48 (144A) | 4,209,362 | ||||
3,750,000(a) | HGI CRE CLO, Ltd., Series 2021-FL2, Class C, 2.231% (1 Month USD LIBOR + 180 bps), 9/17/36 (144A) | 3,700,777 | ||||
646,800 | HIN Timeshare Trust, Series 2020-A, Class D, 5.50%, 10/9/39 (144A) | 636,268 | ||||
6,467,500 | HOA Funding LLC - HOA, Series 2021-1A, Class A2, 4.723%, 8/20/51 (144A) | 5,991,143 | ||||
3,247,295 | Home Partners of America Trust, Series 2019-1, Class D, 3.406%, 9/17/39 (144A) | 3,035,951 | ||||
4,700,659 | Home Partners of America Trust, Series 2019-2, Class E, 3.32%, 10/19/39 (144A) | 4,290,665 | ||||
3,052,886 | Horizon Funding LLC, Series 2019-1A, Class A1, 4.21%, 9/15/27 (144A) | 3,058,133 | ||||
666,243 | Icon Brand Holdings LLC, Series 2012-1A, Class A, 4.229%, 1/25/43 (144A) | 254,500 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
183,300 | Icon Brand Holdings LLC, Series 2013-1A, Class A2, 4.352%, 1/25/43 (144A) | $ 70,479 | ||||
3,649,477(a) | Invitation Homes Trust, Series 2018-SFR1, Class C, 1.691% (1 Month USD LIBOR + 125 bps), 3/17/37 (144A) | 3,639,026 | ||||
3,337,834 | J.G. Wentworth XLI LLC, Series 2018-1A, Class A, 3.74%, 10/17/72 (144A) | 3,416,259 | ||||
5,418,248 | JG Wentworth XLIII LLC, Series 2019-1A, Class A, 3.82%, 8/17/71 (144A) | 5,548,604 | ||||
190,398 | JG Wentworth XXII LLC, Series 2010-3A, Class A, 3.82%, 12/15/48 (144A) | 191,768 | ||||
1,950,000 | JPMorgan Chase Bank NA - CACLN, Series 2021-3, Class F, 3.694%, 2/26/29 (144A) | 1,836,516 | ||||
802,456(a) | M360 LLC, Series 2019-CRE2, Class A, 1.564% (SOFR30A + 151 bps), 9/15/34 (144A) | 789,284 | ||||
4,850,000(a) | Madison Park Funding XXII, Ltd., Series 2016-22A, Class ER, 6.941% (3 Month USD LIBOR + 670 bps), 1/15/33 (144A) | 4,805,201 | ||||
5,950,000 | Marlette Funding Trust, Series 2019-2A, Class C, 4.11%, 7/16/29 (144A) | 5,940,493 | ||||
7,550,000 | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.54%, 3/20/26 (144A) | 7,326,771 | ||||
10,500,000(a) | MF1, Ltd., Series 2021-FL7, Class D, 2.981% (1 Month USD LIBOR + 255 bps), 10/16/36 (144A) | 10,247,548 | ||||
3,196,902(c) | Mill City Mortgage Loan Trust, Series 2017-3, Class B2, 3.25%, 1/25/61 (144A) | 3,013,191 | ||||
2,186,655 | Mosaic Solar Loan Trust, Series 2019-2A, Class A, 2.88%, 9/20/40 (144A) | 2,123,166 | ||||
523,204 | Mosaic Solar Loan Trust, Series 2019-2A, Class C, 4.35%, 9/20/40 (144A) | 521,940 | ||||
956,956 | Mosaic Solar Loan Trust, Series 2020-1A, Class A, 2.10%, 4/20/46 (144A) | 905,166 | ||||
572,813 | MVW LLC, Series 2020-1A, Class C, 4.21%, 10/20/37 (144A) | 563,330 | ||||
5,550,000 | Nelnet Student Loan Trust, Series 2021-A, Class B1, 2.85%, 4/20/62 (144A) | 5,166,657 | ||||
2,850,000(a) | Newark BSL CLO 1, Ltd., Series 2016-1A, Class CR, 3.268% (3 Month USD LIBOR + 300 bps), 12/21/29 (144A) | 2,836,876 | ||||
1,359,944(a) | Newtek Small Business Loan Trust, Series 2017-1, Class A, 2.457% (1 Month USD LIBOR + 200 bps), 2/25/43 (144A) | 1,359,943 | ||||
1,221,419 | NMEF Funding LLC, Series 2019-A, Class B, 3.06%, 8/17/26 (144A) | 1,222,773 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
3,000,000 | NMEF Funding LLC, Series 2019-A, Class C, 3.30%, 8/17/26 (144A) | $ 2,984,544 | ||||
3,000,000 | NMEF Funding LLC, Series 2019-A, Class D, 4.39%, 8/17/26 (144A) | 2,976,801 | ||||
2,300,000 | NMEF Funding LLC, Series 2021-A, Class C, 2.58%, 12/15/27 (144A) | 2,172,893 | ||||
4,700,000 | Oportun Funding XIV LLC, Series 2021-A, Class C, 3.44%, 3/8/28 (144A) | 4,556,630 | ||||
2,792,913 | Orange Lake Timeshare Trust, Series 2019-A, Class D, 4.93%, 4/9/38 (144A) | 2,683,289 | ||||
2,143,082 | Oxford Finance Funding LLC, Series 2019-1A, Class B, 5.438%, 2/15/27 (144A) | 2,165,118 | ||||
4,000,000(a) | Palmer Square Loan Funding, Ltd., Series 2020-1A, Class B, 2.38% (3 Month USD LIBOR + 190 bps), 2/20/28 (144A) | 3,923,700 | ||||
4,000,000(a) | Palmer Square Loan Funding, Ltd., Series 2020-1A, Class D, 5.33% (3 Month USD LIBOR + 485 bps), 2/20/28 (144A) | 3,958,992 | ||||
3,000,000(a) | Palmer Square Loan Funding, Ltd., Series 2022-1A, Class C, 2.834% (3 Month Term SOFR + 260 bps), 4/15/30 (144A) | 2,982,717 | ||||
5,500,000 | Perimeter Master Note Business Trust, Series 2019-2A, Class B, 5.21%, 5/15/24 (144A) | 5,464,878 | ||||
5,000,000 | PG Receivables Finance, Series 2020-1, Class A1, 3.968%, 7/20/25 (144A) | 4,921,875 | ||||
2,350,000 | PG Receivables Finance, Series 2020-1, Class B, 4.705%, 7/20/25 (144A) | 2,313,281 | ||||
8,370,000 | Progress Residential Trust, Series 2019-SFR2, Class E, 4.142%, 5/17/36 (144A) | 8,170,154 | ||||
8,500,000(a) | Race Point VIII CLO, Ltd., Series 2013-8A, Class CR2, 2.53% (3 Month USD LIBOR + 205 bps), 2/20/30 (144A) | 8,316,179 | ||||
4,000,000(a) | Race Point VIII CLO, Ltd., Series 2013-8A, Class DR2, 3.98% (3 Month USD LIBOR + 350 bps), 2/20/30 (144A) | 3,956,512 | ||||
3,200,000(a) | Rad CLO 7, Ltd., Series 2020-7A, Class E, 6.741% (3 Month USD LIBOR + 650 bps), 4/17/33 (144A) | 3,102,947 | ||||
9,010,000 | Republic Finance Issuance Trust, Series 2021-A, Class A, 2.30%, 12/22/31 (144A) | 8,556,856 | ||||
2,300,000 | Republic Finance Issuance Trust, Series 2021-A, Class C, 3.53%, 12/22/31 (144A) | 2,166,246 | ||||
4,521,931 | Santander Bank NA - SBCLN, Series 2021-1A, Class B, 1.833%, 12/15/31 (144A) | 4,441,585 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
1,076,650 | Santander Bank NA - SBCLN, Series 2021-1A, Class C, 3.268%, 12/15/31 (144A) | $ 1,058,369 | ||||
1,925,000 | Santander Bank NA - SBCLN, Series 2021-1A, Class D, 5.004%, 12/15/31 (144A) | 1,849,519 | ||||
4,600,000 | SCF Equipment Leasing LLC, Series 2019-2A, Class C, 3.11%, 6/21/27 (144A) | 4,539,597 | ||||
5,000,000(a) | Signal Peak CLO 2 LLC, Series 2015-1A, Class DR2, 3.104% (3 Month USD LIBOR + 285 bps), 4/20/29 (144A) | 4,981,825 | ||||
1,750,000(a) | Sound Point CLO XXV, Ltd., Series 2019-4A, Class ER, 0.000% (3 Month Term SOFR + 725 bps), 4/25/33 (144A) | 1,726,538 | ||||
2,750,000(a) | Sound Point CLO XXVIII, Ltd., Series 2020-3A, Class D, 3.908% (3 Month USD LIBOR + 365 bps), 1/25/32 (144A) | 2,737,053 | ||||
6,986,078 | SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.97%, 9/25/37 (144A) | 6,732,470 | ||||
11,275,000(a) | STWD, Ltd., Series 2022-FL3, Class B, 2.00% (SOFR30A + 195 bps), 11/15/38 (144A) | 11,224,393 | ||||
688,831 | Tidewater Auto Receivables Trust, Series 2018-AA, Class D, 4.30%, 11/15/24 (144A) | 688,714 | ||||
3,700,000 | Tricolor Auto Securitization Trust, Series 2021-1A, Class D, 1.92%, 5/15/26 (144A) | 3,612,051 | ||||
9,378,166 | Tricon American Homes Trust, Series 2019-SFR1, Class A, 2.75%, 3/17/38 (144A) | 9,073,006 | ||||
5,650,000 | Tricon American Homes Trust, Series 2020-SFR2, Class E1, 2.73%, 11/17/39 (144A) | 5,056,662 | ||||
54,743 | United States Small Business Administration, Series 2005-20B, Class 1, 4.625%, 2/1/25 | 55,146 | ||||
58,283 | United States Small Business Administration, Series 2005-20E, Class 1, 4.84%, 5/1/25 | 58,843 | ||||
109,295 | United States Small Business Administration, Series 2008-20D, Class 1, 5.37%, 4/1/28 | 113,296 | ||||
87,500 | United States Small Business Administration, Series 2008-20H, Class 1, 6.02%, 8/1/28 | 91,432 | ||||
73,138 | United States Small Business Administration, Series 2008-20J, Class 1, 5.63%, 10/1/28 | 75,664 | ||||
64,395 | United States Small Business Administration, Series 2008-20L, Class 1, 6.22%, 12/1/28 | 67,577 | ||||
25,203 | United States Small Business Administration, Series 2009-20A, Class 1, 5.72%, 1/1/29 | 26,053 | ||||
61,492 | United States Small Business Administration, Series 2009-20I, Class 1, 4.20%, 9/1/29 | 62,239 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
4,000,000 | Upstart Securitization Trust, Series 2020-1, Class C, 4.899%, 4/22/30 (144A) | $ 4,000,128 | ||||
662,941 | Welk Resorts LLC, Series 2017-AA, Class B, 3.41%, 6/15/33 (144A) | 650,370 | ||||
1,141,987 | Welk Resorts LLC, Series 2019-AA, Class C, 3.34%, 6/15/38 (144A) | 1,130,205 | ||||
548,079 | Welk Resorts LLC, Series 2019-AA, Class D, 4.03%, 6/15/38 (144A) | 544,631 | ||||
3,133,120 | Westgate Resorts LLC, Series 2020-1A, Class C, 6.213%, 3/20/34 (144A) | 3,203,380 | ||||
13,938,113 | Westgate Resorts LLC, Series 2022-1A, Class C, 2.488%, 8/20/36 (144A) | 13,533,618 | ||||
3,220,000 | Westlake Automobile Receivables Trust, Series 2020-2A, Class D, 2.76%, 1/15/26 (144A) | 3,206,827 | ||||
1,800,000(a) | Whitebox CLO II, Ltd., Series 2020-2A, Class ER, 7.359% (3 Month USD LIBOR + 710 bps), 10/24/34 (144A) | 1,719,967 | ||||
1,500,000(a) | Woodmont Trust, Series 2020-7A, Class A1A, 2.141% (3 Month USD LIBOR + 190 bps), 1/15/32 (144A) | 1,497,583 | ||||
Total Asset Backed Securities (Cost $463,838,146) | $452,963,041 | |||||
Collateralized Mortgage Obligations—15.2% of Net Assets | ||||||
2,320,000(c) | Angel Oak Mortgage Trust I LLC, Series 2019-1, Class M1, 4.50%, 11/25/48 (144A) | $ 2,274,733 | ||||
6,700,000(c) | Angel Oak Mortgage Trust I LLC, Series 2019-2, Class M1, 4.065%, 3/25/49 (144A) | 6,606,018 | ||||
3,667,248(a) | Bellemeade Re, Ltd., Series 2018-3A, Class M1B, 2.307% (1 Month USD LIBOR + 185 bps), 10/25/28 (144A) | 3,655,128 | ||||
7,640,000(a) | Bellemeade Re, Ltd., Series 2018-3A, Class M2, 3.207% (1 Month USD LIBOR + 275 bps), 10/25/28 (144A) | 7,560,293 | ||||
2,484,216(a) | Bellemeade Re, Ltd., Series 2019-1A, Class M1B, 2.207% (1 Month USD LIBOR + 175 bps), 3/25/29 (144A) | 2,484,760 | ||||
4,060,000(a) | Bellemeade Re, Ltd., Series 2019-1A, Class M2, 3.157% (1 Month USD LIBOR + 270 bps), 3/25/29 (144A) | 4,018,864 | ||||
6,170,000(a) | Bellemeade Re, Ltd., Series 2020-3A, Class M1C, 4.157% (1 Month USD LIBOR + 370 bps), 10/25/30 (144A) | 6,263,000 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
5,350,000(a) | Bellemeade Re, Ltd., Series 2020-3A, Class M2, 5.307% (1 Month USD LIBOR + 485 bps), 10/25/30 (144A) | $ 5,438,629 | ||||
5,384,753(a) | Bellemeade Re, Ltd., Series 2020-4A, Class M2B, 4.057% (1 Month USD LIBOR + 360 bps), 6/25/30 (144A) | 5,390,746 | ||||
10,690,000(a) | Bellemeade Re, Ltd., Series 2021-3A, Class M2, 3.249% (SOFR30A + 315 bps), 9/25/31 (144A) | 10,162,069 | ||||
4,410,000(a) | Bellemeade Re, Ltd., Series 2022-1, Class M1C, 3.799% (SOFR30A + 370 bps), 1/26/32 (144A) | 4,235,982 | ||||
13,684,000(c) | BINOM Securitization Trust, Series 2022-RPL1, Class M2, 3.00%, 2/25/61 (144A) | 12,888,446 | ||||
3,938,389(c) | Brean Asset Backed Securities Trust, Series 2021-RM1, Class A, 1.40%, 10/25/63 (144A) | 3,562,947 | ||||
3,250,000(c) | Bunker Hill Loan Depositary Trust, Series 2020-1, Class A3, 3.253%, 2/25/55 (144A) | 3,198,558 | ||||
2,085,801(c) | Cascade Funding Mortgage Trust, Series 2018-RM2, Class A, 4.00%, 10/25/68 (144A) | 2,088,995 | ||||
3,418,818(c) | Cascade Funding Mortgage Trust, Series 2018-RM2, Class C, 4.00%, 10/25/68 (144A) | 3,378,488 | ||||
3,900,000(c) | Cascade Funding Mortgage Trust, Series 2021-HB6, Class M3, 3.735%, 6/25/36 (144A) | 3,693,474 | ||||
4,113,000 | Cascade MH Asset Trust, Series 2021-MH1, Class M1, 2.992%, 2/25/46 (144A) | 3,775,485 | ||||
2,076,000 | Cascade MH Asset Trust, Series 2021-MH1, Class M2, 3.693%, 2/25/46 (144A) | 1,943,553 | ||||
3,800,000(c) | CFMT LLC, Series 2021-HB5, Class M3, 2.91%, 2/25/31 (144A) | 3,628,778 | ||||
7,600,000(c) | CFMT LLC, Series 2021-HB7, Class M3, 3.849%, 10/27/31 (144A) | 7,273,041 | ||||
7,514,000(c) | CIM Trust, Series 2019-R5, Class M3, 3.50%, 9/25/59 (144A) | 7,313,224 | ||||
5,170,000(c) | CIM Trust, Series 2020-R2, Class M3, 3.00%, 10/25/59 (144A) | 4,518,615 | ||||
5,826,261(c) | CIM Trust, Series 2021-J1, Class B1, 2.661%, 3/25/51 (144A) | 5,230,468 | ||||
6,671,613(c) | CIM Trust, Series 2021-J2, Class B1, 2.674%, 4/25/51 (144A) | 6,182,978 | ||||
3,396,334(c) | CIM Trust, Series 2021-J2, Class B2, 2.674%, 4/25/51 (144A) | 3,107,584 | ||||
3,248,775(c) | Citigroup Mortgage Loan Trust, Series 2021-INV1, Class B1W, 2.706%, 5/25/51 (144A) | 2,932,537 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
524,789(a) | Connecticut Avenue Securities Trust, Series 2019-R03, Class 1M2, 2.607% (1 Month USD LIBOR + 215 bps), 9/25/31 (144A) | $ 524,789 | ||||
12,580,000(a) | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2, 3.099% (SOFR30A + 300 bps), 1/25/42 (144A) | 12,280,359 | ||||
2,490,163(c) | CSMC Trust, Series 2021-RPL2, Class M1, 2.75%, 1/25/60 (144A) | 2,217,365 | ||||
2,350,000(c) | CSMC Trust, Series 2021-RPL2, Class M2, 3.25%, 1/25/60 (144A) | 2,115,339 | ||||
1,450,000(c) | Deephaven Residential Mortgage Trust, Series 2020-2, Class M1, 4.112%, 5/25/65 (144A) | 1,450,501 | ||||
1,882,384(a) | Eagle Re, Ltd., Series 2018-1, Class M1, 2.157% (1 Month USD LIBOR + 170 bps), 11/25/28 (144A) | 1,878,802 | ||||
6,677,369(a) | Eagle Re, Ltd., Series 2019-1, Class M1B, 2.257% (1 Month USD LIBOR + 180 bps), 4/25/29 (144A) | 6,635,673 | ||||
6,229,867(a) | Eagle Re, Ltd., Series 2020-2, Class M2, 6.057% (1 Month USD LIBOR + 560 bps), 10/25/30 (144A) | 6,245,835 | ||||
3,130,000(a) | Eagle Re, Ltd., Series 2021-2, Class M1C, 3.549% (SOFR30A + 345 bps), 4/25/34 (144A) | 2,974,729 | ||||
1,450,000(a) | Fannie Mae Connecticut Avenue Securities, Series 2021-R02, Class 2B2, 6.299% (SOFR30A + 620 bps), 11/25/41 (144A) | 1,341,177 | ||||
240,147(c) | Fannie Mae Grantor Trust, Series 2004-T2, Class 2A, 3.327%, 7/25/43 | 247,540 | ||||
80,023 | Fannie Mae REMICS, Series 2009-36, Class HX, 4.50%, 6/25/29 | 81,599 | ||||
3,169,275(d) | Fannie Mae REMICS, Series 2020-83, Class EI, 4.00%, 11/25/50 | 599,999 | ||||
6,381,060(a)(d) | Federal Home Loan Mortgage Corp. REMICS, Series 4091, Class SH, 6.153% (1 Month USD LIBOR + 655 bps), 8/15/42 | 1,184,872 | ||||
4,581,449(c) | Flagstar Mortgage Trust, Series 2021-3INV, Class A16, 2.50%, 6/25/51 (144A) | 4,180,411 | ||||
198,558,859(c)(d) | Flagstar Mortgage Trust, Series 2021-4, Class AX1, 0.214%, 6/1/51 (144A) | 1,859,782 | ||||
3,803,970(d) | Freddie Mac REMICS, Series 4999, Class QI, 4.00%, 5/25/50 | 698,411 | ||||
7,260,482(d) | Freddie Mac REMICS, Series 5018, Class EI, 4.00%, 10/25/50 | 1,340,204 | ||||
3,950,816(d) | Freddie Mac REMICS, Series 5067, Class GI, 4.00%, 12/25/50 | 762,257 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
6,940,000(a) | Freddie Mac Stacr Remic Trust, Series 2019-HRP1, Class M3, 2.707% (1 Month USD LIBOR + 225 bps), 2/25/49 (144A) | $ 6,774,877 | ||||
8,479,927(a) | Freddie Mac Stacr Remic Trust, Series 2020-DNA3, Class B1, 5.557% (1 Month USD LIBOR + 510 bps), 6/25/50 (144A) | 8,777,868 | ||||
8,960,000(a) | Freddie Mac Stacr Remic Trust, Series 2020-DNA4, Class B1, 6.457% (1 Month USD LIBOR + 600 bps), 8/25/50 (144A) | 9,409,313 | ||||
427,720(a) | Freddie Mac Stacr Remic Trust, Series 2020-DNA4, Class M2, 4.207% (1 Month USD LIBOR + 375 bps), 8/25/50 (144A) | 428,227 | ||||
4,835,000(a) | Freddie Mac Stacr Remic Trust, Series 2020-DNA5, Class B1, 4.899% (SOFR30A + 480 bps), 10/25/50 (144A) | 4,907,584 | ||||
4,076,512(a) | Freddie Mac Stacr Remic Trust, Series 2020-DNA5, Class M2, 2.899% (SOFR30A + 280 bps), 10/25/50 (144A) | 4,084,275 | ||||
3,400,000(a) | Freddie Mac Stacr Remic Trust, Series 2020-DNA6, Class B2, 5.749% (SOFR30A + 565 bps), 12/25/50 (144A) | 3,127,842 | ||||
4,290,000(a) | Freddie Mac Stacr Remic Trust, Series 2020-HQA4, Class B1, 5.707% (1 Month USD LIBOR + 525 bps), 9/25/50 (144A) | 4,386,604 | ||||
1,070,000(a) | Freddie Mac Stacr Remic Trust, Series 2021-DNA1, Class B1, 2.749% (SOFR30A + 265 bps), 1/25/51 (144A) | 947,499 | ||||
7,470,000(a) | Freddie Mac Stacr Remic Trust, Series 2021-DNA1, Class B2, 4.849% (SOFR30A + 475 bps), 1/25/51 (144A) | 6,497,648 | ||||
1,230,000(a) | Freddie Mac Stacr Remic Trust, Series 2021-DNA5, Class B1, 3.149% (SOFR30A + 305 bps), 1/25/34 (144A) | 1,146,729 | ||||
4,150,000(a) | Freddie Mac Stacr Remic Trust, Series 2021-HQA1, Class B2, 5.099% (SOFR30A + 500 bps), 8/25/33 (144A) | 3,687,767 | ||||
11,170,000(a) | Freddie Mac Stacr Remic Trust, Series 2021-HQA4, Class B1, 3.849% (SOFR30A + 375 bps), 12/25/41 (144A) | 10,039,541 | ||||
3,060,000(a) | Freddie Mac Stacr Remic Trust, Series 2022-DNA1, Class B1, 3.499% (SOFR30A + 340 bps), 1/25/42 (144A) | 2,776,788 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
5,600,000(a) | Freddie Mac Stacr Remic Trust, Series 2022-HQA1, Class M1B, 3.55% (SOFR30A + 350 bps), 3/25/42 (144A) | $ 5,731,540 | ||||
5,000,000(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2020-HQA5, Class B2, 7.499% (SOFR30A + 740 bps), 11/25/50 (144A) | 5,262,868 | ||||
2,540,000(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2021-DNA2, Class B2, 6.099% (SOFR30A + 600 bps), 8/25/33 (144A) | 2,381,075 | ||||
4,320,000(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2021-DNA7, Class B1, 3.749% (SOFR30A + 365 bps), 11/25/41 (144A) | 4,089,845 | ||||
18,000,000(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2022-DNA2, Class M2, 3.849% (SOFR30A + 375 bps), 2/25/42 (144A) | 17,600,848 | ||||
2,145,164(c) | FWD Securitization Trust, Series 2019-INV1, Class A1, 2.81%, 6/25/49 (144A) | 2,138,624 | ||||
2,150,000(c) | FWD Securitization Trust, Series 2019-INV1, Class M1, 3.48%, 6/25/49 (144A) | 2,132,953 | ||||
1,800,000(c) | FWD Securitization Trust, Series 2020-INV1, Class M1, 2.85%, 1/25/50 (144A) | 1,746,868 | ||||
254,492 | Government National Mortgage Association, Series 2005-61, Class UZ, 5.25%, 8/16/35 | 258,681 | ||||
427,955 | Government National Mortgage Association, Series 2013-169, Class TE, 3.25%, 4/16/27 | 427,601 | ||||
18,579,657(d) | Government National Mortgage Association, Series 2019-159, Class CI, 3.50%, 12/20/49 | 2,919,942 | ||||
15,582,154(a)(d) | Government National Mortgage Association, Series 2020-9, Class SA, 2.901% (1 Month USD LIBOR + 335 bps), 1/20/50 | 858,697 | ||||
85,007 | Government National Mortgage Association, Series 2012-130, Class PA, 3.00%, 4/20/41 | 85,615 | ||||
6,071,000(c) | GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class B1, 2.75%, 12/25/60 (144A) | 5,486,223 | ||||
259,270(c) | GS Mortgage-Backed Securities Trust, Series 2020-NQM1, Class A3, 2.352%, 9/27/60 (144A) | 255,390 | ||||
2,324,030(c) | GS Mortgage-Backed Securities Trust, Series 2021-GR3, Class B2, 3.395%, 4/25/52 (144A) | 2,098,816 | ||||
3,309,670(c) | GS Mortgage-Backed Securities Trust, Series 2021-PJ9, Class B3, 2.94%, 2/26/52 (144A) | 2,870,447 | ||||
8,277,756(c) | GS Mortgage-Backed Securities Trust, Series 2022-MM1, Class A4, 2.50%, 7/25/52 (144A) | 7,566,241 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
11,069,220(c) | GS Mortgage-Backed Securities Trust, Series 2022-PJ1, Class A4, 2.50%, 5/28/52 (144A) | $ 10,109,131 | ||||
671,773(a) | Home Re Ltd., Series 2018-1, Class M1, 2.057% (1 Month USD LIBOR + 160 bps), 10/25/28 (144A) | 670,640 | ||||
1,942,129(a) | Home Re Ltd., Series 2019-1, Class M1, 2.107% (1 Month USD LIBOR + 165 bps), 5/25/29 (144A) | 1,941,131 | ||||
4,640,000(a) | Home Re Ltd., Series 2020-1, Class M1C, 4.607% (1 Month USD LIBOR + 415 bps), 10/25/30 (144A) | 4,658,655 | ||||
4,580,000(a) | Home Re Ltd., Series 2020-1, Class M2, 5.707% (1 Month USD LIBOR + 525 bps), 10/25/30 (144A) | 4,624,898 | ||||
6,975,000(a) | Home Re Ltd., Series 2021-1, Class M2, 3.307% (1 Month USD LIBOR + 285 bps), 7/25/33 (144A) | 6,412,288 | ||||
4,350,000(c) | Homeward Opportunities Fund I Trust, Series 2020-2, Class A3, 3.196%, 5/25/65 (144A) | 4,278,165 | ||||
2,380,000(c) | Homeward Opportunities Fund I Trust, Series 2020-2, Class M1, 3.897%, 5/25/65 (144A) | 2,311,185 | ||||
71,098,701(c)(d) | Hundred Acre Wood Trust, Series 2021-INV1, Class AX1, 0.231%, 7/25/51 (144A) | 635,466 | ||||
5,152,371(c) | Hundred Acre Wood Trust, Series 2021-INV1, Class B1, 3.231%, 7/25/51 (144A) | 4,691,878 | ||||
14,102,707(c) | Hundred Acre Wood Trust, Series 2021-INV3, Class A3, 2.50%, 10/25/51 (144A) | 13,084,505 | ||||
1,800,000(c) | Imperial Fund Mortgage Trust, Series 2021-NQM2, Class B1, 3.295%, 9/25/56 (144A) | 1,570,399 | ||||
2,250,000(c) | Imperial Fund Mortgage Trust, Series 2021-NQM2, Class M1, 2.489%, 9/25/56 (144A) | 1,982,907 | ||||
15,150,000 | IMS Ecuadorian Mortgage Trust, Series 2021-1, Class GA, 3.40%, 8/18/43 (144A) | 15,168,937 | ||||
131,605,791(c)(d) | JP Morgan Mortgage Trust, Series 2021-10, Class AX1, 0.13%, 12/25/51 (144A) | 693,707 | ||||
10,868,253(c) | JP Morgan Mortgage Trust, Series 2021-10, Class B1, 2.817%, 12/25/51 (144A) | 9,610,455 | ||||
4,198,582(c) | JP Morgan Mortgage Trust, Series 2021-11, Class B1, 3.033%, 1/25/52 (144A) | 3,768,961 | ||||
4,602,610(c) | JP Morgan Mortgage Trust, Series 2021-12, Class B1, 3.175%, 2/25/52 (144A) | 4,193,040 | ||||
4,391,848(c) | JP Morgan Mortgage Trust, Series 2021-13, Class B1, 3.15%, 4/25/52 (144A) | 4,007,408 | ||||
10,826,043(c) | JP Morgan Mortgage Trust, Series 2021-14, Class B1, 3.167%, 5/25/52 (144A) | 9,899,130 | ||||
3,880,040(c) | JP Morgan Mortgage Trust, Series 2021-15, Class B1, 3.125%, 6/25/52 (144A) | 3,532,383 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
5,493,438(c) | JP Morgan Mortgage Trust, Series 2021-7, Class B2, 2.806%, 11/25/51 (144A) | $ 4,717,857 | ||||
114,489,184(c)(d) | JP Morgan Mortgage Trust, Series 2021-8, Class AX1, 0.127%, 12/25/51 (144A) | 569,332 | ||||
771,581(c) | JP Morgan Mortgage Trust, Series 2021-8, Class B1, 2.852%, 12/25/51 (144A) | 684,600 | ||||
10,085,593(c) | JP Morgan Mortgage Trust, Series 2021-8, Class B2, 2.852%, 12/25/51 (144A) | 8,680,336 | ||||
6,705,621(c) | JP Morgan Mortgage Trust, Series 2021-INV1, Class B1, 2.99%, 10/25/51 (144A) | 5,958,678 | ||||
5,149,586(c) | JP Morgan Mortgage Trust, Series 2021-INV4, Class B2, 3.232%, 1/25/52 (144A) | 4,551,082 | ||||
5,457,554(c) | JP Morgan Mortgage Trust, Series 2021-INV4, Class B3, 3.232%, 1/25/52 (144A) | 4,651,299 | ||||
1,047,647(c) | JP Morgan Mortgage Trust, Series 2021-INV6, Class A5A, 2.50%, 4/25/52 (144A) | 959,398 | ||||
7,771,926(c) | JP Morgan Mortgage Trust, Series 2022-1, Class B1, 3.105%, 7/25/52 (144A) | 7,057,250 | ||||
4,391,993(c) | JP Morgan Mortgage Trust, Series 2022-2, Class B1, 3.138%, 8/25/52 (144A) | 4,007,764 | ||||
7,875,000(c) | JP Morgan Mortgage Trust, Series 2022-3, Class B2, 3.122%, 8/25/52 (144A) | 6,868,339 | ||||
9,642,706(c) | JP Morgan Mortgage Trust, Series 2022-INV1, Class A15, 3.00%, 3/25/52 (144A) | 9,075,820 | ||||
6,659,070(c) | JP Morgan Mortgage Trust, Series 2022-INV1, Class B2, 3.302%, 3/25/52 (144A) | 6,028,788 | ||||
7,754,000(c) | JP Morgan Mortgage Trust, Series 2022-LTV1, Class M1, 3.529%, 7/25/52 (144A) | 6,907,168 | ||||
3,700,397(c) | JP Mortgage Trust, Series 2021-INV1, Class B2, 2.99%, 10/25/51 (144A) | 3,219,329 | ||||
1,364,750 | La Hipotecaria El Salvadorian Mortgage Trust, Series 2016-1A, Class A, 3.358%, 1/15/46 (144A) | 1,422,751 | ||||
500,060(a) | La Hipotecaria Panamanian Mortgage Trust, Series 2010-1GA, Class A, 2.75% (Panamanian Mortgage Reference Rate -300 bps), 9/8/39 (144A) | 508,811 | ||||
2,055,884(a) | La Hipotecaria Panamanian Mortgage Trust, Series 2014-1A, Class A1, 3.508% (Panamanian Mortgage Reference Rate + -224 bps), 11/24/42 (144A) | 2,125,270 | ||||
8,781,685 | La Hipotecaria Panamanian Mortgage Trust, Series 2021-1, Class GA, 4.35%, 7/13/52 (144A) | 8,869,502 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
5,950,337(a) | LSTAR Securities Investment, Ltd., Series 2019-3, Class A1, 2.955% (1 Month USD LIBOR + 250 bps), 4/1/24 (144A) | $ 5,993,883 | ||||
12,131,957(c) | Mello Mortgage Capital Acceptance, Series 2021-INV2, Class A15, 2.50%, 8/25/51 (144A) | 11,086,000 | ||||
4,307,008(c) | Mello Mortgage Capital Acceptance, Series 2021-MTG1, Class B1, 2.652%, 4/25/51 (144A) | 3,773,995 | ||||
4,118,601(c) | Mello Mortgage Capital Acceptance, Series 2021-MTG1, Class B2, 2.652%, 4/25/51 (144A) | 3,571,103 | ||||
5,190,561(c) | Mello Mortgage Capital Acceptance, Series 2021-MTG2, Class B1, 2.682%, 6/25/51 (144A) | 4,566,190 | ||||
5,354,364(c) | Mello Mortgage Capital Acceptance, Series 2022-INV1, Class B1, 3.329%, 3/25/52 (144A) | 4,781,792 | ||||
210,048(c) | MFA Trust, Series 2020-NQM1, Class A3, 2.30%, 8/25/49 (144A) | 206,546 | ||||
7,800,000(c) | Mill City Mortgage Loan Trust, Series 2019-GS1, Class M3, 3.25%, 7/25/59 (144A) | 7,229,765 | ||||
8,957,745(c) | Morgan Stanley Residential Mortgage Loan Trust, Series 2021-1, Class B1, 2.951%, 3/25/51 (144A) | 8,004,428 | ||||
10,950,000(c) | New Residential Mortgage Loan Trust, Series 2019-RPL2, Class M2, 3.75%, 2/25/59 (144A) | 10,753,432 | ||||
4,550,000 | NYMT Loan Trust, Series 2022-CP1, Class M1, 3.215%, 7/25/61 (144A) | 4,318,061 | ||||
2,817,204(a) | Oaktown Re V, Ltd., Series 2020-2A, Class M1B, 4.057% (1 Month USD LIBOR + 360 bps), 10/25/30 (144A) | 2,819,130 | ||||
3,550,000(a) | Oaktown Re V, Ltd., Series 2020-2A, Class M2, 5.707% (1 Month USD LIBOR + 525 bps), 10/25/30 (144A) | 3,573,740 | ||||
4,772,246(c) | Oceanview Mortgage Trust, Series 2021-1, Class B1, 3.246%, 6/25/51 (144A) | 4,378,863 | ||||
8,749,938(c) | Oceanview Mortgage Trust, Series 2021-1, Class B2, 3.246%, 6/25/51 (144A) | 7,946,143 | ||||
3,150,501(c) | Oceanview Mortgage Trust, Series 2021-5, Class B2, 2.981%, 10/25/51 (144A) | 2,800,835 | ||||
7,419,801(c) | PRMI Securitization Trust, Series 2021-1, Class B1, 2.479%, 4/25/51 (144A) | 6,427,282 | ||||
3,040,213(c) | PRMI Securitization Trust, Series 2021-1, Class B2, 2.479%, 4/25/51 (144A) | 2,606,172 | ||||
7,067,454(c) | Provident Funding Mortgage Trust, Series 2021-1, Class A5, 2.50%, 4/25/51 (144A) | 6,451,278 | ||||
3,497,787(c) | Provident Funding Mortgage Trust, Series 2021-1, Class B1, 2.385%, 4/25/51 (144A) | 3,096,441 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
3,842,451(c) | Provident Funding Mortgage Trust, Series 2021-2, Class B1, 2.365%, 4/25/51 (144A) | $ 3,261,953 | ||||
3,221,562(c) | Provident Funding Mortgage Trust, Series 2021-J1, Class B1, 2.639%, 10/25/51 (144A) | 2,855,173 | ||||
3,046,091(c) | Provident Funding Mortgage Trust, Series 2021-J1, Class B2, 2.639%, 10/25/51 (144A) | 2,673,900 | ||||
213,139(a) | Radnor Re, Ltd., Series 2018-1, Class M1, 1.857% (1 Month USD LIBOR + 140 bps), 3/25/28 (144A) | 213,190 | ||||
7,125,977(a) | Radnor Re, Ltd., Series 2019-1, Class M1B, 2.407% (1 Month USD LIBOR + 195 bps), 2/25/29 (144A) | 7,135,454 | ||||
3,437,000(a) | Radnor Re, Ltd., Series 2019-1, Class M2, 3.657% (1 Month USD LIBOR + 320 bps), 2/25/29 (144A) | 3,328,334 | ||||
12,000,000(a) | Radnor Re, Ltd., Series 2020-1, Class M1C, 2.207% (1 Month USD LIBOR + 175 bps), 1/25/30 (144A) | 11,430,888 | ||||
3,039,177(c) | Rate Mortgage Trust, Series 2021-HB1, Class B1, 2.708%, 12/25/51 (144A) | 2,666,624 | ||||
4,551,325(c) | Rate Mortgage Trust, Series 2021-HB1, Class B2, 2.708%, 12/25/51 (144A) | 3,950,379 | ||||
4,489,857(c) | Rate Mortgage Trust, Series 2021-J3, Class B2, 2.715%, 10/25/51 (144A) | 3,939,760 | ||||
4,481,988(c) | Rate Mortgage Trust, Series 2021-J4, Class B3, 2.634%, 11/25/51 (144A) | 3,808,179 | ||||
5,265,274(c) | RCKT Mortgage Trust, Series 2021-1, Class B2A, 2.723%, 3/25/51 (144A) | 4,684,521 | ||||
6,007,275(c) | RCKT Mortgage Trust, Series 2021-2, Class B1A, 2.565%, 6/25/51 (144A) | 5,243,609 | ||||
4,276,865(c) | RCKT Mortgage Trust, Series 2021-2, Class B2A, 2.565%, 6/25/51 (144A) | 3,694,636 | ||||
4,045,748(c) | RCKT Mortgage Trust, Series 2021-3, Class A25, 2.50%, 7/25/51 (144A) | 3,698,926 | ||||
16,117,468(c) | RCKT Mortgage Trust, Series 2021-4, Class B1A, 3.017%, 9/25/51 (144A) | 14,503,462 | ||||
3,000,000(c) | RMF Buyout Issuance Trust, Series 2021-HB1, Class M3, 3.69%, 11/25/31 (144A) | 2,794,800 | ||||
6,144,766(c) | RMF Proprietary Issuance Trust, Series 2021-2, Class A, 2.125%, 9/25/61 (144A) | 5,667,309 | ||||
19,493,698(c) | Saluda Grade Alternative Mortgage Trust, Series 2021-FIG2, Class A2, 3.50%, 10/25/51 (144A) | 18,908,887 | ||||
710,042(c) | Sequoia Mortgage Trust, Series 2012-6, Class B3, 3.704%, 12/25/42 | 708,090 | ||||
261,657(c) | Sequoia Mortgage Trust, Series 2018-CH3, Class A1, 4.50%, 8/25/48 (144A) | 263,058 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
2,923,741(c) | Sequoia Mortgage Trust, Series 2021-1, Class B2, 2.665%, 3/25/51 (144A) | $ 2,503,761 | ||||
1,591,196(c) | Sequoia Mortgage Trust, Series 2021-4, Class A1, 2.50%, 6/25/51 (144A) | 1,467,466 | ||||
11,220,000(a) | STACR Trust, Series 2018-HRP2, Class B1, 4.657% (1 Month USD LIBOR + 420 bps), 2/25/47 (144A) | 10,883,600 | ||||
3,135,000(a) | STACR Trust, Series 2018-HRP2, Class M3, 2.857% (1 Month USD LIBOR + 240 bps), 2/25/47 (144A) | 3,127,165 | ||||
5,810,000(c) | Towd Point Mortgage Trust, Series 2015-2, Class 1B3, 3.306%, 11/25/60 (144A) | 5,501,313 | ||||
6,130,000(c) | Towd Point Mortgage Trust, Series 2017-1, Class B2, 3.752%, 10/25/56 (144A) | 5,983,619 | ||||
10,000,000(c) | Towd Point Mortgage Trust, Series 2019-3, Class M2D, 3.25%, 2/25/59 (144A) | 9,626,743 | ||||
10,300,000(c) | Towd Point Mortgage Trust, Series 2019-4, Class M2B, 3.25%, 10/25/59 (144A) | 9,450,657 | ||||
2,000,000(a) | Towd Point Mortgage Trust, Series 2019-HY2, Class B1, 2.707% (1 Month USD LIBOR + 225 bps), 5/25/58 (144A) | 2,038,602 | ||||
7,500,000(c) | Towd Point Mortgage Trust, Series 2021-1, Class M1, 3.25%, 11/25/61 (144A) | 7,013,119 | ||||
12,330,903(c) | Towd Point Mortgage Trust, Series 2021-R1, Class A1, 2.918%, 11/30/60 (144A) | 11,997,118 | ||||
4,348,359(a) | Traingle Re, Ltd., Series 2020-1, Class M1C, 4.957% (1 Month USD LIBOR + 450 bps), 10/25/30 (144A) | 4,347,283 | ||||
3,080,000(a) | Traingle Re, Ltd., Series 2020-1, Class M2, 6.057% (1 Month USD LIBOR + 560 bps), 10/25/30 (144A) | 3,095,108 | ||||
14,070,000(a) | Traingle Re, Ltd., Series 2021-1, Class M1C, 3.857% (1 Month USD LIBOR + 340 bps), 8/25/33 (144A) | 14,080,676 | ||||
4,370,846(c) | UWM Mortgage Trust, Series 2021-INV4, Class B1, 3.234%, 12/25/51 (144A) | 3,931,740 | ||||
8,791,362(c) | UWM Mortgage Trust, Series 2021-INV4, Class B2, 3.234%, 12/25/51 (144A) | 7,878,948 | ||||
5,559,413(c) | UWM Mortgage Trust, Series 2021-INV5, Class B1, 3.247%, 1/25/52 (144A) | 4,996,617 | ||||
970,000(c) | Verus Securitization Trust, Series 2020-INV1, Class M1, 5.50%, 3/25/60 (144A) | 977,588 | ||||
Total Collateralized Mortgage Obligations (Cost $879,263,139) | $825,757,850 | |||||
Principal Amount USD ($) | Value | |||||
Commercial Mortgage-Backed Securities—8.1% of Net Assets | ||||||
4,750,000(a) | AREIT Trust, Series 2022-CRE6, Class D, 2.90% (SOFR30A + 285 bps), 12/17/24 (144A) | $ 4,655,926 | ||||
11,600,000(a) | Austin Fairmont Hotel Trust, Series 2019-FAIR, Class A, 1.447% (1 Month USD LIBOR + 105 bps), 9/15/32 (144A) | 11,476,879 | ||||
7,460,000 | BANK, Series 2017-BNK5, Class AS, 3.624% , 6/15/60 | 7,420,602 | ||||
10,350,000 | BANK, Series 2017-BNK7, Class AS, 3.748% , 9/15/60 | 10,406,444 | ||||
2,670,456(d)(e) | Bayview Commercial Asset Trust, Series 2007-2A, Class IO, 0.000% , 7/25/37 (144A) | — | ||||
6,200,000(a) | Beast Mortgage Trust, Series 2021-1818, Class A, 1.447% (1 Month USD LIBOR + 105 bps), 3/15/36 (144A) | 6,102,810 | ||||
4,200,000 | Benchmark Mortgage Trust, Series 2018-B5, Class A3, 3.944% , 7/15/51 | 4,308,197 | ||||
8,000,000 | Benchmark Mortgage Trust, Series 2018-B8, Class A4, 3.963% , 1/15/52 | 8,167,462 | ||||
2,850,000(c) | Benchmark Mortgage Trust, Series 2020-IG3, Class B, 3.289% , 9/15/48 (144A) | 2,661,964 | ||||
3,300,000(c) | Benchmark Mortgage Trust, Series 2022-B34, Class AM, 3.833% , 4/15/55 | 3,355,875 | ||||
1,500,000(a) | BSREP Commercial Mortgage Trust, Series 2021-DC, Class B, 1.747% (1 Month USD LIBOR + 135 bps), 8/15/38 (144A) | 1,469,954 | ||||
3,200,000(c) | BX Commercial Mortgage Trust, Series 2020-VIV3, Class B, 3.544% , 3/9/44 (144A) | 3,039,372 | ||||
8,300,000(c) | BX Commercial Mortgage Trust, Series 2021-VIV5, Class A, 2.843% , 3/9/44 (144A) | 7,832,301 | ||||
6,650,000(a) | BX Commercial Mortgage Trust, Series 2021-VOLT, Class F, 2.797% (1 Month USD LIBOR + 240 bps), 9/15/36 (144A) | 6,414,219 | ||||
18,960,000 | BX Trust, Series 2019-OC11, Class A, 3.202% , 12/9/41 (144A) | 18,322,286 | ||||
30,345,000(a) | BX Trust, Series 2021-ARIA, Class D, 2.292% (1 Month USD LIBOR + 190 bps), 10/15/36 (144A) | 29,659,215 | ||||
3,894,661 | CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A2, 3.597% , 1/10/48 | 3,900,247 | ||||
4,194,385(a) | CHC Commercial Mortgage Trust, Series 2019-CHC, Class D, 2.447% (1 Month USD LIBOR + 205 bps), 6/15/34 (144A) | 4,078,264 | ||||
3,400,000(c) | Citigroup Commercial Mortgage Trust, Series 2014-GC19, Class B, 4.805% , 3/10/47 | 3,461,397 |
Principal Amount USD ($) | Value | |||||
Commercial Mortgage-Backed Securities—(continued) | ||||||
6,000,000(c) | Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class B, 4.345% , 10/10/47 | $ 6,031,051 | ||||
6,052,000(c) | Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class B, 4.575% , 9/10/58 | 6,046,645 | ||||
4,621,000 | Citigroup Commercial Mortgage Trust, Series 2016-P5, Class D, 3.00% , 10/10/49 (144A) | 3,901,482 | ||||
4,000,000 | Citigroup Commercial Mortgage Trust, Series 2017-C4, Class A4, 3.471% , 10/12/50 | 4,009,371 | ||||
3,000,000(c) | Citigroup Commercial Mortgage Trust, Series 2018-B2, Class AS, 4.179% , 3/10/51 | 3,066,551 | ||||
7,700,000 | Citigroup COmmercial Mortgage Trust, Series 2019-SMRT, Class A, 4.149% , 1/10/36 (144A) | 7,791,076 | ||||
3,931,962(a) | Cold Storage Trust, Series 2020-ICE5, Class D, 2.497% (1 Month USD LIBOR + 210 bps), 11/15/37 (144A) | 3,887,731 | ||||
7,140,000(c) | COLEM Mortgage Trust, Series 2022-HLNE, Class D, 2.543% , 4/12/42 (144A) | 6,216,327 | ||||
2,360,325 | COMM Mortgage Trust, Series 2012-CR3, Class A3, 2.822% , 10/15/45 | 2,359,087 | ||||
6,301,981 | COMM Mortgage Trust, Series 2014-UBS3, Class A3, 3.546% , 6/10/47 | 6,260,162 | ||||
4,100,000 | COMM Mortgage Trust, Series 2014-UBS4, Class A4, 3.42% , 8/10/47 | 4,068,535 | ||||
6,206,073 | COMM Mortgage Trust, Series 2015-CR26, Class A3, 3.359% , 10/10/48 | 6,165,588 | ||||
4,500,000(c) | COMM Mortgage Trust, Series 2015-DC1, Class B, 4.035% , 2/10/48 | 4,452,986 | ||||
1,500,000(c) | COMM Mortgage Trust, Series 2018-COR3, Class B, 4.513% , 5/10/51 | 1,519,894 | ||||
8,375,000(a) | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class E, 2.547% (1 Month USD LIBOR + 215 bps), 5/15/36 (144A) | 8,217,740 | ||||
2,000,000(c) | CSAIL Commercial Mortgage Trust, Series 2016-C6, Class D, 4.921% , 1/15/49 (144A) | 1,745,432 | ||||
1,030,479(a) | Freddie Mac Multifamily Structured Credit Risk, Series 2021-MN1, Class M1, 2.099% (SOFR30A + 200 bps), 1/25/51 (144A) | 996,004 | ||||
7,400,000(a) | Freddie Mac Multifamily Structured Credit Risk, Series 2021-MN3, Class M2, 4.099% (SOFR30A + 400 bps), 11/25/51 (144A) | 7,039,300 | ||||
2,623,000(c) | FREMF Mortgage Trust, Series 2017-K66, Class B, 4.036% , 7/25/27 (144A) | 2,647,243 |
Principal Amount USD ($) | Value | |||||
Commercial Mortgage-Backed Securities—(continued) | ||||||
2,500,000(c) | FREMF Mortgage Trust, Series 2017-KW03, Class B, 4.064% , 7/25/27 (144A) | $ 2,455,951 | ||||
5,384,768(a) | FREMF Mortgage Trust, Series 2018-KSW4, Class B, 2.691% (1 Month USD LIBOR + 245 bps), 10/25/28 | 5,340,929 | ||||
2,896,010(a) | FREMF Mortgage Trust, Series 2018-KSW4, Class C, 5.241% (1 Month USD LIBOR + 500 bps), 10/25/28 | 2,786,753 | ||||
5,000,000(c) | FREMF Mortgage Trust, Series 2019-K88, Class C, 4.382% , 2/25/52 (144A) | 5,050,297 | ||||
2,902,157(a) | FREMF Mortgage Trust, Series 2019-KF64, Class B, 2.541% (1 Month USD LIBOR + 230 bps), 6/25/26 (144A) | 2,890,892 | ||||
3,258,837(c) | FREMF Mortgage Trust, Series 2019-KJ24, Class B, 7.60% , 10/25/27 (144A) | 2,704,848 | ||||
5,000,000(a) | FREMF Mortgage Trust, Series 2019-KS12, Class C, 7.141% (1 Month USD LIBOR + 690 bps), 8/25/29 | 4,422,821 | ||||
9,000,000(f) | FREMF Mortgage Trust, Series 2021-KG05, Class C, 0.000% , 1/25/31 (144A) | 4,424,031 | ||||
110,999,571 | FREMF Mortgage Trust, Series 2021-KG05, Class X2A, 0.10% , 1/25/31 (144A) | 745,784 | ||||
9,000,000 | FREMF Mortgage Trust, Series 2021-KG05, Class X2B, 0.10% , 1/25/31 (144A) | 54,035 | ||||
4,348,922(c) | FRESB Mortgage Trust, Series 2018-SB52, Class A7F, 3.39% , 6/25/25 | 4,342,146 | ||||
18,935,216(c)(d) | Government National Mortgage Association, Series 2017-21, Class IO, 0.652% , 10/16/58 | 799,250 | ||||
4,250,000(a) | GS Mortgage Securities Corportation Trust, Series 2021-IP, Class D, 2.497% (1 Month USD LIBOR + 210 bps), 10/15/36 (144A) | 4,118,824 | ||||
6,500,000 | GS Mortgage Securities Trust, Series 2015-GC28, Class A5, 3.396% , 2/10/48 | 6,482,073 | ||||
8,951,000 | ILPT Trust, Series 2019-SURF, Class A, 4.145% , 2/11/41 (144A) | 9,238,701 | ||||
4,597,183 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class A4, 2.822% , 8/15/49 | 4,497,615 | ||||
5,925,000(c) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-BCON, Class C, 3.881% , 1/5/31 (144A) | 5,914,262 | ||||
6,700,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class AFX, 4.248% , 7/5/33 (144A) | 6,777,195 | ||||
3,450,000(c) | JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class B, 3.99% , 6/15/49 | 3,271,777 |
Principal Amount USD ($) | Value | |||||
Commercial Mortgage-Backed Securities—(continued) | ||||||
6,650,000 | JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Class A3, 3.141% , 12/15/49 | $ 6,609,816 | ||||
2,000,000(c) | JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Class D, 3.071% , 12/15/49 (144A) | 1,712,876 | ||||
7,640,000 | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class A4, 4.211% , 6/15/51 | 7,965,629 | ||||
45,714,000(c) | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class XB, 0.10% , 6/15/51 | 331,212 | ||||
7,150,000 | Key Commercial Mortgage Securities Trust, Series 2019-S2, Class A3, 3.469% , 6/15/52 (144A) | 6,911,338 | ||||
12,700,000(a) | Med Trust, Series 2021-MDLN, Class E, 3.547% (1 Month USD LIBOR + 315 bps), 11/15/38 (144A) | 12,381,127 | ||||
5,900,000(a) | Med Trust, Series 2021-MDLN, Class F, 4.397% (1 Month USD LIBOR + 400 bps), 11/15/38 (144A) | 5,759,336 | ||||
2,863,500(c) | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C21, Class C, 4.132% , 3/15/48 | 2,543,011 | ||||
6,900,000(c) | Morgan Stanley Capital I Trust, Series 2018-MP, Class A, 4.276% , 7/11/40 (144A) | 7,053,524 | ||||
1,163,024(a) | Multifamily Connecticut Avenue Securities Trust, Series 2019-01, Class M7, 2.157% (1 Month USD LIBOR + 170 bps), 10/15/49 (144A) | 1,140,528 | ||||
17,365,000(a) | NCMF Trust, Series 2022-MFP, Class B, 2.69% (1 Month Term SOFR + 239 bps), 3/15/39 (144A) | 17,234,090 | ||||
2,180,000 | Palisades Center Trust, Series 2016-PLSD, Class A, 2.713% , 4/13/33 (144A) | 2,008,316 | ||||
6,950,000(a) | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class D, 3.407% (1 Month USD LIBOR + 295 bps), 11/25/36 (144A) | 6,836,155 | ||||
6,850,000(a) | Ready Capital Mortgage Financing LLC, Series 2022-FL8, Class D, 3.806% (SOFR30A + 370 bps), 1/25/37 (144A) | 6,842,441 | ||||
358,289 | ReadyCap Commercial Mortgage Trust, Series 2019-6, Class A, 2.833% , 10/25/52 (144A) | 349,805 | ||||
17,700,000 | SLG Office Trust, Series 2021-OVA, Class E, 2.851% , 7/15/41 (144A) | 15,151,674 | ||||
4,650,000(c) | Soho Trust, Series 2021-SOHO, Class A, 2.697% , 8/10/38 (144A) | 4,193,084 | ||||
1,774,000(c) | UBS Commercial Mortgage Trust, Series 2018-C9, Class C, 4.88% , 3/15/51 | 1,769,620 | ||||
3,810,000 | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class A4, 3.617% , 9/15/57 | 3,838,496 | ||||
7,443,420 | Wells Fargo Commercial Mortgage Trust, Series 2016-C32, Class A3, 3.294% , 1/15/59 | 7,409,346 |
Principal Amount USD ($) | Value | |||||
Commercial Mortgage-Backed Securities—(continued) | ||||||
9,319,826 | Wells Fargo Commercial Mortgage Trust, Series 2016-LC24, Class A3, 2.684% , 10/15/49 | $ 9,068,531 | ||||
10,050,000(c) | Wells Fargo Commercial Mortgage Trust, Series 2018-C43, Class A4, 4.012% , 3/15/51 | 10,371,720 | ||||
3,045,000 | Wells Fargo Commercial Mortgage Trust, Series 2019-C51, Class A4, 3.311% , 6/15/52 | 3,028,780 | ||||
1,750,000(c) | WFRBS Commercial Mortgage Trust, Series 2014-C25, Class D, 3.803% , 11/15/47 (144A) | 1,575,012 | ||||
Total Commercial Mortgage-Backed Securities (Cost $460,023,835) | $441,559,270 | |||||
Corporate Bonds — 28.7% of Net Assets | ||||||
Advertising — 0.4% | ||||||
12,959,000 | Interpublic Group of Cos., Inc., 4.75%, 3/30/30 | $ 13,915,237 | ||||
9,105,000 | Stagwell Global LLC, 5.625%, 8/15/29 (144A) | 8,629,082 | ||||
Total Advertising | $22,544,319 | |||||
Aerospace & Defense — 1.0% | ||||||
21,700,000 | Boeing Co., 3.75%, 2/1/50 | $ 19,312,171 | ||||
14,425,000 | Boeing Co., 3.90%, 5/1/49 | 13,009,208 | ||||
8,710,000 | Boeing Co., 5.805%, 5/1/50 | 10,052,999 | ||||
13,992,000 | Teledyne Technologies, Inc., 2.25%, 4/1/28 | 12,959,457 | ||||
Total Aerospace & Defense | $55,333,835 | |||||
Airlines — 0.8% | ||||||
810,000 | Air Canada, 3.875%, 8/15/26 (144A) | $ 764,438 | ||||
5,680,757 | Air Canada 2017-1 Class AA Pass Through Trust, 3.30%, 1/15/30 (144A) | 5,426,226 | ||||
11,026,690 | Alaska Airlines 2020-1 Class A Pass Through Trust, 4.80%, 8/15/27 (144A) | 11,287,491 | ||||
1,440,000 | American Airlines 2021-1 Class B Pass Through Trust, 3.95%, 7/11/30 | 1,304,379 | ||||
5,150,923 | British Airways 2019-1 Class A Pass Through Trust, 3.35%, 6/15/29 (144A) | 4,882,400 | ||||
4,630,560 | British Airways 2019-1 Class AA Pass Through Trust, 3.30%, 12/15/32 (144A) | 4,381,823 | ||||
1,559,240 | British Airways 2020-1 Class A Pass Through Trust, 4.25%, 11/15/32 (144A) | 1,559,315 | ||||
1,977,751 | British Airways 2020-1 Class B Pass Through Trust, 8.375%, 11/15/28 (144A) | 2,185,405 | ||||
2,715,000 | Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28 (144A) | 2,739,867 |
Principal Amount USD ($) | Value | |||||
Airlines — (continued) | ||||||
4,745,204 | JetBlue 2019-1 Class AA Pass Through Trust, 2.75%, 5/15/32 | $ 4,446,712 | ||||
1,819,594 | JetBlue 2020-1 Class A Pass Through Trust, 4.00%, 11/15/32 | 1,820,415 | ||||
2,587,680 | United Airlines 2020-1 Class B Pass Through Trust, 4.875%, 1/15/26 | 2,555,268 | ||||
1,440,000 | United Airlines, Inc., 4.375%, 4/15/26 (144A) | 1,417,500 | ||||
1,440,000 | United Airlines, Inc., 4.625%, 4/15/29 (144A) | 1,369,368 | ||||
Total Airlines | $46,140,607 | |||||
Auto Manufacturers — 0.7% | ||||||
6,060,000 | BMW US Capital LLC, 3.70%, 4/1/32 (144A) | $ 6,124,418 | ||||
6,700,000 | Ford Motor Credit Co. LLC, 3.625%, 6/17/31 | 6,073,751 | ||||
890,000 | Ford Motor Credit Co. LLC, 4.95%, 5/28/27 | 906,047 | ||||
6,885,000 | Ford Motor Credit Co. LLC, 5.584%, 3/18/24 | 7,081,429 | ||||
7,044,000 | General Motors Co., 6.60%, 4/1/36 | 8,181,557 | ||||
1,750,000 | General Motors Financial Co., Inc., 3.10%, 1/12/32 | 1,573,162 | ||||
8,597,000 | General Motors Financial Co., Inc., 4.00%, 1/15/25 | 8,710,784 | ||||
Total Auto Manufacturers | $38,651,148 | |||||
Auto Parts & Equipment — 0.1% | ||||||
3,130,000 | Dana, Inc., 4.25%, 9/1/30 | $ 2,864,576 | ||||
Total Auto Parts & Equipment | $2,864,576 | |||||
Banks — 6.9% | ||||||
17,800,000(c) | ABN AMRO Bank NV, 2.47% (1 Year CMT Index + 110 bps), 12/13/29 (144A) | $ 16,301,455 | ||||
2,800,000(c) | ABN AMRO Bank NV, 3.324% (5 Year CMT Index + 190 bps), 3/13/37 (144A) | 2,545,037 | ||||
16,040,000(c) | AIB Group Plc, 4.263% (3 Month USD LIBOR + 187 bps), 4/10/25 (144A) | 16,082,425 | ||||
3,980,000 | Banco do Brasil SA, 3.25%, 9/30/26 (144A) | 3,830,790 | ||||
10,258,000 | Banco Santander Chile, 2.70%, 1/10/25 (144A) | 10,026,580 | ||||
3,955,000 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.375%, 4/17/25 (144A) | 4,098,705 | ||||
9,000,000(c) | Banco Santander SA, 1.722% (1 Year CMT Index + 90 bps), 9/14/27 | 8,140,003 | ||||
3,000,000 | Banco Santander SA, 2.749%, 12/3/30 | 2,640,885 | ||||
18,600,000(c) | Banco Santander SA, 3.225% (1 Year CMT Index + 160 bps), 11/22/32 | 16,696,470 | ||||
12,045,000(c) | Bank of America Corp., 2.572% (SOFR + 121 bps), 10/20/32 | 10,946,507 |
Principal Amount USD ($) | Value | |||||
Banks — (continued) | ||||||
20,595,000(c) | Bank of America Corp., 2.884% (3 Month USD LIBOR + 119 bps), 10/22/30 | $ 19,532,251 | ||||
7,930,000(c) | BNP Paribas SA, 2.159% (SOFR + 122 bps), 9/15/29 (144A) | 7,068,704 | ||||
12,500,000(c) | BPCE SA, 3.116% (SOFR + 173 bps), 10/19/32 (144A) | 11,315,132 | ||||
6,130,000(c) | BPCE SA, 3.648% (5 Year CMT Index + 190 bps), 1/14/37 (144A) | 5,732,217 | ||||
8,105,000(c) | Citigroup, Inc., 2.52% (SOFR + 118 bps), 11/3/32 | 7,272,545 | ||||
2,295,000(c)(g) | Credit Suisse Group AG, 5.25% (5 Year CMT Index + 489 bps) (144A) | 2,122,875 | ||||
11,725,000(c)(g) | Credit Suisse Group AG, 7.125% (5 Year USD Swap Rate + 511 bps) | 11,739,656 | ||||
5,337,000 | Danske Bank AS, 5.375%, 1/12/24 (144A) | 5,506,195 | ||||
7,630,000(c) | Goldman Sachs Group, Inc., 2.65% (SOFR + 126 bps), 10/21/32 | 6,936,616 | ||||
7,891,000(c) | Goldman Sachs Group, Inc., 3.272% (3 Month USD LIBOR + 120 bps), 9/29/25 | 7,900,040 | ||||
6,335,000(c) | Goldman Sachs Group, Inc., 4.223% (3 Month USD LIBOR + 130 bps), 5/1/29 | 6,497,683 | ||||
1,305,000 | HSBC Bank Plc, 7.65%, 5/1/25 | 1,443,459 | ||||
11,160,000(c) | HSBC Holdings Plc, 2.206% (SOFR + 129 bps), 8/17/29 | 10,057,222 | ||||
12,000,000(c) | HSBC Holdings Plc, 2.871% (SOFR + 141 bps), 11/22/32 | 10,909,722 | ||||
2,000,000(c) | ING Groep NV, 4.252% (SOFR + 207 bps), 3/28/33 | 2,059,060 | ||||
16,969,000(c)(g) | ING Groep NV, 4.25% (5 Year CMT Index + 286 bps) | 14,444,861 | ||||
900,000(c) | Intesa Sanpaolo S.p.A., 4.198% (1 Year CMT Index + 260 bps), 6/1/32 (144A) | 797,153 | ||||
9,870,000(c) | JPMorgan Chase & Co., 2.545% (SOFR + 118 bps), 11/8/32 | 9,020,047 | ||||
8,675,000 | Lloyds Banking Group Plc, 4.65%, 3/24/26 | 8,885,781 | ||||
10,745,000(c) | Macquarie Group, Ltd., 2.691% (SOFR + 144 bps), 6/23/32 (144A) | 9,458,650 | ||||
6,745,000(c) | Macquarie Group, Ltd., 2.871% (SOFR + 153 bps), 1/14/33 (144A) | 5,987,546 | ||||
3,805,000(c) | Mitsubishi UFJ Financial Group, Inc., 2.494% (1 Year CMT Index + 97 bps), 10/13/32 | 3,423,668 | ||||
11,906,000(c)(g) | Nordea Bank Abp, 3.75% (5 Year CMT Index + 260 bps) (144A) | 10,219,277 | ||||
6,765,000(c) | Santander Holdings USA, Inc., 2.49% (SOFR + 125 bps), 1/6/28 | 6,320,878 |
Principal Amount USD ($) | Value | |||||
Banks — (continued) | ||||||
2,395,000(c) | Societe Generale SA, 2.797% (1 Year CMT Index + 130 bps), 1/19/28 (144A) | $ 2,244,714 | ||||
3,375,000(c) | Societe Generale SA, 4.027% (1 Year CMT Index + 190 bps), 1/21/43 (144A) | 2,936,904 | ||||
4,960,000(c)(g) | Societe Generale SA, 5.375% (5 Year CMT Index + 451 bps) (144A) | 4,619,000 | ||||
18,660,000(c) | Standard Chartered Plc, 3.603% (1 Year CMT Index + 190 bps), 1/12/33 (144A) | 17,272,445 | ||||
11,891,000 | Sumitomo Mitsui Financial Group, Inc., 3.202%, 9/17/29 | 11,399,059 | ||||
13,435,000(c) | UBS Group AG, 2.746% (1 Year CMT Index + 110 bps), 2/11/33 (144A) | 12,209,991 | ||||
21,025,000(c) | UniCredit S.p.A., 2.569% (1 Year CMT Index + 230 bps), 9/22/26 (144A) | 19,449,738 | ||||
4,988,000(c) | UniCredit S.p.A., 5.459% (5 Year CMT Index + 475 bps), 6/30/35 (144A) | 4,766,828 | ||||
8,153,000(c) | UniCredit S.p.A., 7.296% (5 Year USD 1100 Run ICE Swap Rate + 491 bps), 4/2/34 (144A) | 8,636,386 | ||||
19,370,000(c) | US Bancorp, 2.491% (5 Year CMT Index + 95 bps), 11/3/36 | 17,362,022 | ||||
Total Banks | $376,857,182 | |||||
Beverages — 0.6% | ||||||
25,000,000 | Anheuser-Busch InBev Worldwide, Inc., 5.55%, 1/23/49 | $ 30,467,129 | ||||
Total Beverages | $30,467,129 | |||||
Biotechnology — 0.3% | ||||||
1,835,000 | Amgen, Inc., 4.20%, 2/22/52 | $ 1,896,702 | ||||
4,595,000 | Amgen, Inc., 4.40%, 2/22/62 | 4,767,458 | ||||
5,660,000 | Bio-Rad Laboratories, Inc., 3.70%, 3/15/32 | 5,594,023 | ||||
4,355,000 | Grifols Escrow Issuer SA, 4.75%, 10/15/28 (144A) | 4,099,144 | ||||
Total Biotechnology | $16,357,327 | |||||
Building Materials — 0.2% | ||||||
4,890,000 | Fortune Brands Home & Security, Inc., 4.50%, 3/25/52 | $ 4,783,392 | ||||
680,000 | MIWD Holdco II LLC/MIWD Finance Corp., 5.50%, 2/1/30 (144A) | 632,502 | ||||
6,255,000 | Standard Industries, Inc., 4.375%, 7/15/30 (144A) | 5,754,600 | ||||
400,000 | Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 1/15/29 (144A) | 396,304 | ||||
Total Building Materials | $11,566,798 |
Principal Amount USD ($) | Value | |||||
Chemicals — 0.4% | ||||||
2,470,000 | Ingevity Corp., 3.875%, 11/1/28 (144A) | $ 2,232,460 | ||||
3,493,000 | NOVA Chemicals Corp., 5.25%, 6/1/27 (144A) | 3,497,261 | ||||
10,491,000 | Olin Corp., 5.00%, 2/1/30 | 10,307,408 | ||||
900,000 | Olin Corp., 5.625%, 8/1/29 | 917,059 | ||||
5,820,000 | Tronox, Inc., 4.625%, 3/15/29 (144A) | 5,441,700 | ||||
Total Chemicals | $22,395,888 | |||||
Commercial Services — 0.5% | ||||||
3,971,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.625%, 7/15/26 (144A) | $ 4,017,977 | ||||
2,115,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l., 4.625%, 6/1/28 (144A) | 2,009,250 | ||||
1,230,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l., 4.625%, 6/1/28 (144A) | 1,149,681 | ||||
3,355,000 | CoreLogic, Inc., 4.50%, 5/1/28 (144A) | 3,163,094 | ||||
4,375,000 | Element Fleet Management Corp., 1.60%, 4/6/24 (144A) | 4,222,389 | ||||
7,255,000 | Garda World Security Corp., 4.625%, 2/15/27 (144A) | 6,950,653 | ||||
2,095,000 | HealthEquity, Inc., 4.50%, 10/1/29 (144A) | 1,985,012 | ||||
5,870,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 1/15/28 (144A) | 5,749,078 | ||||
Total Commercial Services | $29,247,134 | |||||
Cosmetics/Personal Care — 0.1% | ||||||
3,825,000 | Edgewell Personal Care Co., 5.50%, 6/1/28 (144A) | $ 3,818,440 | ||||
Total Cosmetics/Personal Care | $3,818,440 | |||||
Diversified Financial Services — 1.3% | ||||||
7,310,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, 1/30/32 | $ 6,590,653 | ||||
8,420,000 | Air Lease Corp., 2.10%, 9/1/28 | 7,376,611 | ||||
5,355,000 | Air Lease Corp., 2.875%, 1/15/32 | 4,795,254 | ||||
6,795,000 | Air Lease Corp., 3.125%, 12/1/30 | 6,282,965 | ||||
985,000 | Avolon Holdings Funding, Ltd., 3.95%, 7/1/24 (144A) | 982,618 | ||||
7,100,000 | B3 SA - Brasil Bolsa Balcao, 4.125%, 9/20/31 (144A) | 6,363,446 | ||||
9,299,000 | Bread Financial Holdings, Inc., 7.00%, 1/15/26 (144A) | 9,450,109 | ||||
15,610,000 | Nomura Holdings, Inc., 2.999%, 1/22/32 | 14,381,520 | ||||
4,380,000 | OneMain Finance Corp., 3.50%, 1/15/27 | 4,051,500 |
Principal Amount USD ($) | Value | |||||
Diversified Financial Services — (continued) | ||||||
3,000,000(c) | OWS Cre Funding I LLC, 5.355% (1 Month USD LIBOR + 490 bps), 9/1/23 (144A) | $ 2,989,795 | ||||
9,329,000 | United Wholesale Mortgage LLC, 5.50%, 4/15/29 (144A) | 8,312,326 | ||||
Total Diversified Financial Services | $71,576,797 | |||||
Electric — 1.7% | ||||||
5,106,044 | Adani Renewable Energy RJ, Ltd./Kodangal Solar Parks Pvt, Ltd./Wardha Solar Maharash, 4.625%, 10/15/39 (144A) | $ 4,448,089 | ||||
8,905,000 | AES Corp., 2.45%, 1/15/31 | 7,982,951 | ||||
3,220,000 | AES Corp., 3.95%, 7/15/30 (144A) | 3,189,914 | ||||
6,870,000(c) | Algonquin Power & Utilities Corp., 4.75% (5 Year CMT Index + 325 bps), 1/18/82 | 6,396,314 | ||||
1,040,000 | Clearway Energy Operating LLC, 3.75%, 1/15/32 (144A) | 956,800 | ||||
4,170,000(c) | Enel S.p.A., 8.75% (5 Year USD Swap Rate + 588 bps), 9/24/73 (144A) | 4,482,750 | ||||
9,635,000 | NRG Energy, Inc., 2.45%, 12/2/27 (144A) | 8,894,841 | ||||
8,075,000 | NRG Energy, Inc., 3.875%, 2/15/32 (144A) | 7,106,000 | ||||
1,255,000 | Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 8/15/28 (144A) | 1,217,350 | ||||
7,485,000 | Puget Energy, Inc., 2.379%, 6/15/28 | 6,855,941 | ||||
7,830,000 | Puget Energy, Inc., 4.10%, 6/15/30 | 7,816,001 | ||||
2,310,000 | Puget Energy, Inc., 4.224%, 3/15/32 | 2,314,981 | ||||
7,056,000 | Sempra Energy, 3.40%, 2/1/28 | 7,050,572 | ||||
19,115,000 | Vistra Operations Co. LLC, 3.70%, 1/30/27 (144A) | 18,372,178 | ||||
5,950,000 | Vistra Operations Co. LLC, 4.375%, 5/1/29 (144A) | 5,622,750 | ||||
Total Electric | $92,707,432 | |||||
Electrical Components & Equipments — 0.0%† | ||||||
2,170,000 | Energizer Holdings, Inc., 6.50%, 12/31/27 (144A) | $ 2,148,300 | ||||
Total Electrical Components & Equipments | $2,148,300 | |||||
Electronics — 0.0%† | ||||||
2,055,000 | Atkore, Inc., 4.25%, 6/1/31 (144A) | $ 1,911,150 | ||||
Total Electronics | $1,911,150 | |||||
Energy-Alternate Sources — 0.0%† | ||||||
282,762 | Alta Wind Holdings LLC, 7.00%, 6/30/35 (144A) | $ 308,215 | ||||
Total Energy-Alternate Sources | $308,215 |
Principal Amount USD ($) | Value | |||||
Engineering & Construction — 0.2% | ||||||
6,385,000 | Dycom Industries, Inc., 4.50%, 4/15/29 (144A) | $ 6,017,863 | ||||
3,300,000 | TopBuild Corp., 4.125%, 2/15/32 (144A) | 2,990,625 | ||||
Total Engineering & Construction | $9,008,488 | |||||
Entertainment — 0.3% | ||||||
3,751,000 | International Game Technology Plc, 6.50%, 2/15/25 (144A) | $ 3,954,998 | ||||
9,100,000 | Resorts World Las Vegas LLC/RWLV Capital, Inc., 4.625%, 4/16/29 (144A) | 8,231,636 | ||||
2,900,000 | Resorts World Las Vegas LLC/RWLV Capital, Inc., 4.625%, 4/6/31 (144A) | 2,544,297 | ||||
Total Entertainment | $14,730,931 | |||||
Food — 0.6% | ||||||
2,525,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.875%, 2/15/30 (144A) | $ 2,455,563 | ||||
1,930,000 | Bimbo Bakeries USA, Inc., 4.00%, 5/17/51 (144A) | 1,804,569 | ||||
3,740,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.00%, 2/2/29 (144A) | 3,454,825 | ||||
3,500,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.00%, 5/15/32 (144A) | 3,123,785 | ||||
5,890,000 | Minerva Luxembourg SA, 4.375%, 3/18/31 (144A) | 5,328,683 | ||||
1,960,000 | Pilgrim's Pride Corp., 5.875%, 9/30/27 (144A) | 1,980,864 | ||||
6,615,000 | Smithfield Foods, Inc., 2.625%, 9/13/31 (144A) | 5,801,779 | ||||
6,465,000 | Smithfield Foods, Inc., 3.00%, 10/15/30 (144A) | 5,868,175 | ||||
728,000 | Smithfield Foods, Inc., 5.20%, 4/1/29 (144A) | 763,228 | ||||
Total Food | $30,581,471 | |||||
Forest Products & Paper — 0.0%† | ||||||
2,728,000 | Inversiones CMPC SA, 3.85%, 1/13/30 (144A) | $ 2,650,279 | ||||
Total Forest Products & Paper | $2,650,279 | |||||
Gas — 0.1% | ||||||
3,060,000 | Boston Gas Co., 3.15%, 8/1/27 (144A) | $ 2,963,016 | ||||
1,673,317 | Nakilat, Inc., 6.267%, 12/31/33 (144A) | 2,009,989 | ||||
Total Gas | $4,973,005 | |||||
Hand/Machine Tools — 0.1% | ||||||
3,879,000 | Kennametal, Inc., 2.80%, 3/1/31 | $ 3,537,439 | ||||
Total Hand/Machine Tools | $3,537,439 |
Principal Amount USD ($) | Value | |||||
Healthcare-Products — 0.2% | ||||||
2,329,000 | Edwards Lifesciences Corp., 4.30%, 6/15/28 | $ 2,430,352 | ||||
11,088,000 | Smith & Nephew Plc, 2.032%, 10/14/30 | 9,639,667 | ||||
Total Healthcare-Products | $12,070,019 | |||||
Healthcare-Services — 0.3% | ||||||
16,810,000 | Fresenius Medical Care US Finance III, Inc., 2.375%, 2/16/31 (144A) | $ 14,632,792 | ||||
2,230,000 | ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29 (144A) | 2,078,828 | ||||
Total Healthcare-Services | $16,711,620 | |||||
Insurance — 1.8% | ||||||
1,833,000 | Aon Corp./Aon Global Holdings Plc, 2.60%, 12/2/31 | $ 1,686,568 | ||||
2,335,000 | AXA SA, 8.60%, 12/15/30 | 3,081,313 | ||||
6,455,000 | Brown & Brown, Inc., 4.20%, 3/17/32 | 6,559,616 | ||||
15,230,000 | CNO Global Funding, 2.65%, 1/6/29 (144A) | 14,092,192 | ||||
2,960,000(c) | Farmers Exchange Capital III, 5.454% (3 Month USD LIBOR + 345 bps), 10/15/54 (144A) | 3,365,484 | ||||
9,710,000(c) | Farmers Insurance Exchange, 4.747% (3 Month USD LIBOR + 323 bps), 11/1/57 (144A) | 10,170,348 | ||||
18,482,000 | Liberty Mutual Insurance Co., 7.697%, 10/15/97 (144A) | 25,015,133 | ||||
15,460,000 | Nationwide Mutual Insurance Co., 4.35%, 4/30/50 (144A) | 15,373,342 | ||||
11,070,000(c) | Nippon Life Insurance Co., 2.90% (5 Year CMT Index + 260 bps), 9/16/51 (144A) | 10,022,781 | ||||
6,524,000 | Primerica, Inc., 2.80%, 11/19/31 | 6,019,504 | ||||
690,000 | Teachers Insurance & Annuity Association of America, 6.85%, 12/16/39 (144A) | 903,810 | ||||
Total Insurance | $96,290,091 | |||||
Iron & Steel — 0.1% | ||||||
2,380,000 | Cleveland-Cliffs, Inc., 4.875%, 3/1/31 (144A) | $ 2,348,394 | ||||
3,115,000 | Commercial Metals Co., 4.375%, 3/15/32 | 2,893,056 | ||||
Total Iron & Steel | $5,241,450 | |||||
Lodging — 0.5% | ||||||
2,780,000 | Genting New York LLC/GENNY Capital, Inc., 3.30%, 2/15/26 (144A) | $ 2,632,496 | ||||
140,000 | Marriott International, Inc. Series EE, 5.75%, 5/1/25 | 148,803 | ||||
3,100,000 | Marriott International, Inc. Series FF, 4.625%, 6/15/30 | 3,211,029 |
Principal Amount USD ($) | Value | |||||
Lodging — (continued) | ||||||
16,130,000 | Marriott International, Inc. Series GG, 3.50%, 10/15/32 | $ 15,356,069 | ||||
4,300,000 | Sands China, Ltd., 4.375%, 6/18/30 | 3,882,857 | ||||
Total Lodging | $25,231,254 | |||||
Machinery-Construction & Mining — 0.1% | ||||||
5,615,000 | Weir Group Plc, 2.20%, 5/13/26 (144A) | $ 5,250,631 | ||||
Total Machinery-Construction & Mining | $5,250,631 | |||||
Media — 0.4% | ||||||
1,185,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, 6/1/33 (144A) | $ 1,057,613 | ||||
8,500,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, 3/1/30 (144A) | 8,156,982 | ||||
4,770,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.40%, 4/1/33 | 4,756,640 | ||||
5,800,000 | CSC Holdings LLC, 4.625%, 12/1/30 (144A) | 4,850,482 | ||||
2,325,000 | CSC Holdings LLC, 5.00%, 11/15/31 (144A) | 1,948,025 | ||||
Total Media | $20,769,742 | |||||
Mining — 0.4% | ||||||
6,420,000 | Anglo American Capital Plc, 2.25%, 3/17/28 (144A) | $ 5,873,724 | ||||
4,875,000 | Anglo American Capital Plc, 4.75%, 3/16/52 (144A) | 5,080,175 | ||||
4,457,000 | AngloGold Ashanti Holdings Plc, 3.75%, 10/1/30 | 4,169,523 | ||||
7,821,000 | FMG Resources August 2006 Pty, Ltd., 4.375%, 4/1/31 (144A) | 7,397,884 | ||||
2,055,000 | Novelis Corp., 3.875%, 8/15/31 (144A) | 1,879,626 | ||||
Total Mining | $24,400,932 | |||||
Miscellaneous Manufacturing — 0.0%† | ||||||
1,437,000 | Hillenbrand, Inc., 3.75%, 3/1/31 | $ 1,314,855 | ||||
Total Miscellaneous Manufacturing | $1,314,855 | |||||
Multi-National — 0.3% | ||||||
6,065,000 | African Export-Import Bank, 3.994%, 9/21/29 (144A) | $ 5,741,032 | ||||
7,150,000 | Banque Ouest Africaine de Developpement, 4.70%, 10/22/31 (144A) | 7,052,045 | ||||
2,230,000 | Banque Ouest Africaine de Developpement, 5.00%, 7/27/27 (144A) | 2,245,209 | ||||
Total Multi-National | $15,038,286 | |||||
Oil & Gas — 1.2% | ||||||
13,089,000 | Cenovus Energy, Inc., 6.75%, 11/15/39 | $ 16,173,926 | ||||
1,425,000 | Harbour Energy Plc, 5.50%, 10/15/26 (144A) | 1,407,188 |
Principal Amount USD ($) | Value | |||||
Oil & Gas — (continued) | ||||||
2,810,000 | Lundin Energy Finance BV, 2.00%, 7/15/26 (144A) | $ 2,620,149 | ||||
20,680,000 | Lundin Energy Finance BV, 3.10%, 7/15/31 (144A) | 19,154,131 | ||||
5,000,000 | MEG Energy Corp., 7.125%, 2/1/27 (144A) | 5,235,000 | ||||
4,090,000 | Petroleos Mexicanos, 6.70%, 2/16/32 | 3,885,500 | ||||
3,835,000 | Phillips 66, 2.15%, 12/15/30 | 3,406,806 | ||||
1,900,000 | Phillips 66, 3.30%, 3/15/52 | 1,671,493 | ||||
2,580,000 | Valero Energy Corp., 4.00%, 6/1/52 | 2,423,357 | ||||
8,468,000 | Valero Energy Corp., 6.625%, 6/15/37 | 10,433,569 | ||||
Total Oil & Gas | $66,411,119 | |||||
Oil & Gas Services — 0.0%† | ||||||
2,250,000 | Halliburton Co., 7.60%, 8/15/96 (144A) | $ 2,680,898 | ||||
Total Oil & Gas Services | $2,680,898 | |||||
Pharmaceuticals — 0.7% | ||||||
1,930,000 | AdaptHealth LLC, 5.125%, 3/1/30 (144A) | $ 1,792,488 | ||||
5,265,000 | Bausch Health Americas, Inc., 9.25%, 4/1/26 (144A) | 5,400,863 | ||||
308,499 | CVS Pass-Through Trust, 5.298%, 1/11/27 (144A) | 320,818 | ||||
2,148,374 | CVS Pass-Through Trust, 5.773%, 1/10/33 (144A) | 2,351,646 | ||||
1,513,872 | CVS Pass-Through Trust, 5.926%, 1/10/34 (144A) | 1,674,130 | ||||
2,407,234 | CVS Pass-Through Trust, 6.036%, 12/10/28 | 2,580,409 | ||||
3,927,784 | CVS Pass-Through Trust, 8.353%, 7/10/31 (144A) | 4,714,966 | ||||
9,309,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/1/26 | 8,437,491 | ||||
2,965,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.75%, 5/9/27 | 2,860,298 | ||||
2,965,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/9/29 | 2,849,721 | ||||
5,175,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/25 | 5,443,789 | ||||
Total Pharmaceuticals | $38,426,619 | |||||
Pipelines — 2.3% | ||||||
2,470,000 | Boardwalk Pipelines LP, 3.60%, 9/1/32 | $ 2,355,209 | ||||
3,450,000 | DCP Midstream Operating LP, 5.375%, 7/15/25 | 3,576,615 | ||||
3,367,000 | DCP Midstream Operating LP, 5.60%, 4/1/44 | 3,537,909 | ||||
3,190,000 | Energy Transfer LP, 4.15%, 9/15/29 | 3,199,786 | ||||
14,441,000 | Energy Transfer LP, 4.95%, 5/15/28 | 14,980,634 | ||||
5,230,000 | Energy Transfer LP, 5.35%, 5/15/45 | 5,386,590 | ||||
4,085,000 | Energy Transfer LP, 6.00%, 6/15/48 | 4,526,210 | ||||
17,361,000(c)(g) | Energy Transfer LP, 7.125% (5 Year CMT Index + 531 bps) | 17,013,780 |
Principal Amount USD ($) | Value | |||||
Pipelines — (continued) | ||||||
510,000 | EnLink Midstream LLC, 5.375%, 6/1/29 | $ 510,000 | ||||
8,316,000 | EnLink Midstream Partners LP, 5.45%, 6/1/47 | 7,027,020 | ||||
4,299,000 | EnLink Midstream Partners LP, 5.60%, 4/1/44 | 3,707,887 | ||||
11,489,000 | Midwest Connector Capital Co. LLC, 4.625%, 4/1/29 (144A) | 11,611,494 | ||||
9,940,000 | MPLX LP, 4.25%, 12/1/27 | 10,271,052 | ||||
8,420,000 | MPLX LP, 4.95%, 3/14/52 | 8,789,584 | ||||
6,860,000 | NGPL PipeCo LLC, 3.25%, 7/15/31 (144A) | 6,405,697 | ||||
12,125,000 | Phillips 66 Partners LP, 3.75%, 3/1/28 | 12,171,740 | ||||
2,475,000 | Williams Cos., Inc., 7.75%, 6/15/31 | 3,101,136 | ||||
8,020,000 | Williams Cos., Inc. Series A, 7.50%, 1/15/31 | 9,966,305 | ||||
Total Pipelines | $128,138,648 | |||||
Real Estate — 0.1% | ||||||
5,590,000 | Kennedy-Wilson, Inc., 4.75%, 2/1/30 | $ 5,315,587 | ||||
Total Real Estate | $5,315,587 | |||||
REITs — 1.5% | ||||||
4,380,000 | Corporate Office Properties LP, 2.00%, 1/15/29 | $ 3,853,964 | ||||
5,715,000 | Corporate Office Properties LP, 2.75%, 4/15/31 | 5,131,157 | ||||
4,850,000 | Corporate Office Properties LP, 2.90%, 12/1/33 | 4,282,093 | ||||
2,130,000 | GLP Capital LP/GLP Financing II, Inc., 3.25%, 1/15/32 | 1,932,549 | ||||
6,000,000 | HAT Holdings I LLC/HAT Holdings II LLC, 3.375%, 6/15/26 (144A) | 5,700,000 | ||||
8,904,000 | Healthcare Trust of America Holdings LP, 3.10%, 2/15/30 | 8,465,101 | ||||
3,160,000 | Highwoods Realty LP, 2.60%, 2/1/31 | 2,867,669 | ||||
3,390,000 | Highwoods Realty LP, 3.625%, 1/15/23 | 3,405,658 | ||||
7,105,000 | Highwoods Realty LP, 4.125%, 3/15/28 | 7,213,592 | ||||
6,291,000 | Iron Mountain, Inc., 4.50%, 2/15/31 (144A) | 5,809,802 | ||||
1,289,000 | iStar, Inc., 4.25%, 8/1/25 | 1,274,131 | ||||
8,575,000 | LXP Industrial Trust, 2.375%, 10/1/31 | 7,607,283 | ||||
5,320,000 | LXP Industrial Trust, 2.70%, 9/15/30 | 4,909,214 | ||||
6,975,000 | SBA Tower Trust Series 2014-2A Class C, 3.869%, 10/8/24 (144A) | 7,045,458 | ||||
1,979,000 | Starwood Property Trust, Inc., 4.375%, 1/15/27 (144A) | 1,919,630 | ||||
3,725,000 | Sun Communities Operating LP, 2.30%, 11/1/28 | 3,381,383 | ||||
5,300,000 | UDR, Inc., 4.40%, 1/26/29 | 5,569,442 | ||||
Total REITs | $80,368,126 |
Principal Amount USD ($) | Value | |||||
Retail — 0.7% | ||||||
1,825,000 | AutoNation, Inc., 1.95%, 8/1/28 | $ 1,636,496 | ||||
1,825,000 | AutoNation, Inc., 2.40%, 8/1/31 | 1,589,132 | ||||
7,990,000 | AutoNation, Inc., 3.85%, 3/1/32 | 7,735,913 | ||||
4,115,000 | AutoNation, Inc., 4.75%, 6/1/30 | 4,289,480 | ||||
750,000 | Beacon Roofing Supply, Inc., 4.125%, 5/15/29 (144A) | 692,858 | ||||
12,060,000 | Dollar Tree, Inc., 2.65%, 12/1/31 | 11,028,068 | ||||
9,690,000 | Lowe's Cos., Inc., 3.75%, 4/1/32 | 9,802,342 | ||||
Total Retail | $36,774,289 | |||||
Semiconductors — 0.6% | ||||||
1,068,000 | Broadcom, Inc., 3.137%, 11/15/35 (144A) | $ 941,191 | ||||
15,388,000 | Broadcom, Inc., 3.187%, 11/15/36 (144A) | 13,496,297 | ||||
4,285,000 | Broadcom, Inc., 4.15%, 4/15/32 (144A) | 4,275,616 | ||||
3,225,000 | Broadcom, Inc., 4.30%, 11/15/32 | 3,277,057 | ||||
9,347,000 | Skyworks Solutions, Inc., 3.00%, 6/1/31 | 8,374,839 | ||||
Total Semiconductors | $30,365,000 | |||||
Software — 0.5% | ||||||
15,525,000 | Autodesk, Inc., 2.40%, 12/15/31 | $ 13,973,048 | ||||
13,527,000 | Broadridge Financial Solutions, Inc., 2.60%, 5/1/31 | 12,249,694 | ||||
Total Software | $26,222,742 | |||||
Telecommunications — 0.7% | ||||||
1,945,000 | Altice France SA, 5.125%, 7/15/29 (144A) | $ 1,743,206 | ||||
8,264,000 | Altice France SA, 5.50%, 1/15/28 (144A) | 7,663,207 | ||||
2,913,000 | Level 3 Financing, Inc., 4.625%, 9/15/27 (144A) | 2,763,461 | ||||
1,260,000 | Lumen Technologies, Inc., 4.00%, 2/15/27 (144A) | 1,174,950 | ||||
10,275,000 | Motorola Solutions, Inc., 2.30%, 11/15/30 | 9,030,784 | ||||
6,224,000 | Plantronics, Inc., 4.75%, 3/1/29 (144A) | 6,409,849 | ||||
4,600,000 | T-Mobile USA, Inc., 2.55%, 2/15/31 | 4,171,878 | ||||
5,720,000 | T-Mobile USA, Inc., 2.70%, 3/15/32 (144A) | 5,194,307 | ||||
Total Telecommunications | $38,151,642 | |||||
Total Corporate Bonds (Cost $1,650,017,981) | $1,565,551,440 | |||||
Shares | Value | |||||
Convertible Preferred Stocks — 1.5% of Net Assets | ||||||
Banks — 1.5% | ||||||
8,805(g) | Bank of America Corp., 7.25% | $ 11,556,563 | ||||
52,347(g) | Wells Fargo & Co., 7.50% | 69,359,775 | ||||
Total Banks | $80,916,338 | |||||
Total Convertible Preferred Stocks (Cost $85,093,630) | $80,916,338 | |||||
Principal Amount USD ($) | ||||||
Municipal Bonds — 0.1% of Net Assets(h) | ||||||
Virginia — 0.1% | ||||||
2,335,000 | Virginia Commonwealth Transportation Board, Transportation Capital Projects, 4.00%, 5/15/32 | $ 2,419,340 | ||||
Total Virginia | $2,419,340 | |||||
Total Municipal Bonds (Cost $2,453,151) | $2,419,340 | |||||
Insurance-Linked Securities — 2.3% of Net Assets# | ||||||
Event Linked Bonds — 0.7% | ||||||
Earthquakes – California — 0.0%† | ||||||
1,000,000(a) | Phoenician Re, 3.155%, (3 Month U.S. Treasury Bill + 250 bps), 12/14/24 (144A) | $ 993,600 | ||||
Earthquakes – Mexico — 0.0%† | ||||||
250,000(a) | International Bank for Reconstruction & Development, 4.223%, (3 Month USD LIBOR + 350 bps), 3/13/24 (144A) | $ 252,600 | ||||
Health – U.S. — 0.0%† | ||||||
2,500,000(a) | Vitality Re X, 2.405%, (3 Month U.S. Treasury Bill + 175 bps), 1/10/23 (144A) | $ 2,477,750 | ||||
Inland Flood – U.S. — 0.1% | ||||||
2,000,000(a) | FloodSmart Re, 11.905%, (3 Month U.S. Treasury Bill + 1,125 bps), 2/25/25 (144A) | $ 1,989,800 | ||||
1,250,000(a) | FloodSmart Re, 14.235%, (3 Month U.S. Treasury Bill + 1,358 bps), 3/1/24 (144A) | 1,226,875 | ||||
750,000(a) | FloodSmart Re, 15.735%, (3 Month U.S. Treasury Bill + 1,508 bps), 2/27/23 (144A) | 730,425 | ||||
$3,947,100 |
Principal Amount USD ($) | Value | |||||
Multiperil - Japan — 0.0%† | ||||||
500,000(a) | Akibare Re, 2.897%, (3 Month USD LIBOR + 193 bps), 4/7/22 | $ 498,500 | ||||
Multiperil - Texas — 0.0%† | ||||||
2,000,000(a) | Alamo Re, 5.695%, (1 Month U.S. Treasury Bill + 504 bps), 6/8/22 (144A) | $ 2,005,600 | ||||
Multiperil – U.S. — 0.2% | ||||||
2,000,000(a) | Bowline Re 2018-1, 5.415%, (3 Month U.S. Treasury Bill + 476 bps), 5/23/22 (144A) | $ 2,004,800 | ||||
100,000(a) | Caelus Re V, 0.755%, (1 Month U.S. Treasury Bill + 10 bps), 6/5/24 (144A) | 75,000 | ||||
500,000(a) | Four Lakes Re, 5.405%, (3 Month U.S. Treasury Bill + 475 bps), 1/7/25 (144A) | 496,000 | ||||
500,000(a) | Herbie Re, 10.375%, (3 Month U.S. Treasury Bill + 900 bps), 1/8/25 (144A) | 510,750 | ||||
2,000,000(a) | Matterhorn Re, 5.875%, (SOFR + 525 bps), 3/24/25 (144A) | 1,999,000 | ||||
1,000,000(a) | Matterhorn Re, 8.371%, (SOFR + 775 bps), 3/24/25 (144A) | 999,500 | ||||
2,750,000(a) | Sanders Re II, 3.905%, (3 Month U.S. Treasury Bill + 325 bps), 4/7/25 (144A) | 2,740,100 | ||||
$8,825,150 | ||||||
Multiperil – U.S. & Canada — 0.0%† | ||||||
250,000(a) | Matterhorn Re, 6.017%, (SOFR + 575 bps), 12/8/25 (144A) | $ 248,275 | ||||
Multiperil – U.S. Regional — 0.2% | ||||||
7,900,000(a) | Long Point Re III, 3.405%, (3 Month U.S. Treasury Bill + 275 bps), 6/1/22 (144A) | $ 7,896,050 | ||||
1,250,000(a) | Matterhorn Re, 5.655%, (3 Month U.S. Treasury Bill + 500 bps), 1/8/24 (144A) | 1,194,625 | ||||
$9,090,675 | ||||||
Pandemic – U.S — 0.0%† | ||||||
1,000,000(a) | Vitality Re XI, 2.455%, (3 Month U.S. Treasury Bill + 180 bps), 1/9/24 (144A) | $ 980,000 | ||||
Windstorm – Florida — 0.1% | ||||||
3,500,000(a) | Integrity Re, 4.38%, (3 Month USD LIBOR + 438 bps), 6/10/22 (144A) | $ 3,505,250 | ||||
Windstorm - North Carolina — 0.1% | ||||||
3,550,000(a) | Cape Lookout Re, 6.885%, (1 Month U.S. Treasury Bill + 623 bps), 5/9/22 (144A) | $ 3,561,005 |
Principal Amount USD ($) | Value | |||||
Windstorm – U.S — 0.0%† | ||||||
250,000(a) | Bonanza Re, 5.75%, (3 Month U.S. Treasury Bill + 575 bps), 3/16/25 (144A) | $ 249,875 | ||||
Total Event Linked Bonds | $36,635,380 |
Face Amount USD ($) | ||||||
Collateralized Reinsurance — 0.3% | ||||||
Earthquakes – California — 0.0%† | ||||||
1,006,000(i)+ | Adare Re 2022, 12/31/27 | $ 1,018,071 | ||||
Multiperil – Massachusetts — 0.1%† | ||||||
2,000,000(i)(j)+ | Denning Re 2021, 7/31/25 | $ 2,003,334 | ||||
Multiperil – U.S. — 0.1% | ||||||
8,000,000(i)(j)+ | Ballybunion Re 2020, 2/28/23 | $ 903,792 | ||||
2,250,000(i)(j)+ | Ballybunion Re 2021-3, 7/31/25 | 2,281,500 | ||||
1,750,000(i)(j)+ | Ballybunion Re 2022, 12/31/27 | 1,767,500 | ||||
750,000(i)(j)+ | Dingle Re 2020, 12/31/22 | 72,205 | ||||
$5,024,997 | ||||||
Multiperil – Worldwide — 0.0%† | ||||||
20,000(i)(j)+ | Limestone Re, 9/9/22 (144A) | $ — | ||||
167,000(i)+ | Limestone Re, 3/1/23 (144A) | — | ||||
1,420,000(i)(j)+ | Limestone Re 2020-1, 3/1/24 (144A) | 59,924 | ||||
480,000(i)(j)+ | Limestone Re 2020-1, 3/1/24 (144A) | 20,256 | ||||
250,000(i)(j)+ | Merion Re 2022-1, 12/31/27 | 222,804 | ||||
250,000(i)(j)+ | Old Head Re 2022, 12/31/27 | 203,516 | ||||
1,000,000(i)(j)+ | Pine Valley Re 2022, 12/31/27 | 923,050 | ||||
553,333(i)(j)+ | Walton Health Re 2018, 6/15/22 | 44,047 | ||||
350,000(i)(j)+ | Walton Health Re 2019, 6/30/22 | 292,110 | ||||
$1,765,707 | ||||||
Windstorm – Florida — 0.0%† | ||||||
1,500,000(i)(j)+ | Formby Re 2018, 2/28/23 | $ 184,200 | ||||
Windstorm – U.S — 0.0%† | ||||||
500,000(i)+ | Shadow Creek Re 2021, 7/31/25 | $ 7,593 | ||||
Windstorm – U.S. Regional — 0.1% | ||||||
1,000,000(i)(j)+ | Oakmont Re 2017, 4/30/23 | $ 29,400 | ||||
7,255,240(i)(j)+ | Oakmont Re 2020, 4/30/24 | 5,858,892 | ||||
$5,888,292 | ||||||
Total Collateralized Reinsurance | $15,892,194 |
Face Amount USD ($) | Value | |||||
Windstorm – U.S. Regional — (continued) | ||||||
Reinsurance Sidecars — 1.3% | ||||||
Multiperil – U.S. — 0.0%† | ||||||
2,000,000(i)(j)+ | Carnoustie Re 2020, 12/31/23 | $ 271,200 | ||||
1,853,719(i)(j)+ | Carnoustie Re 2021, 12/31/24 | 87,865 | ||||
1,000,000(i)(j)+ | Carnoustie Re 2022, 12/31/27 | 1,021,302 | ||||
2,000,000(j)(k)+ | Harambee Re 2018, 12/31/22 | 1,600 | ||||
5,000,000(k)+ | Harambee Re 2019, 12/31/22 | 3,500 | ||||
4,000,000(j)(k)+ | Harambee Re 2020, 12/31/23 | 136,400 | ||||
$1,521,867 | ||||||
Multiperil – Worldwide — 1.3% | ||||||
2,200(i)+ | Alturas Re 2019-1, 3/10/23 (144A) | $ 10,061 | ||||
34,018(k)+ | Alturas Re 2019-2, 3/10/23 | 11,716 | ||||
24,550(j)(k)+ | Alturas Re 2019-3, 9/12/23 | 5,775 | ||||
285,668(i)(j)+ | Alturas Re 2020-1A, 3/10/23 (144A) | 9,827 | ||||
363,577(i)+ | Alturas Re 2020-1B, 3/10/23 (144A) | 12,507 | ||||
540,698(k)+ | Alturas Re 2020-2, 3/10/23 | 255,682 | ||||
225,450(j)(k)+ | Alturas Re 2020-3, 9/30/24 | 3,428 | ||||
3,959,302(j)(k)+ | Alturas Re 2021-2, 12/31/24 | — | ||||
213,682(j)(k)+ | Alturas Re 2021-3, 7/31/25 | 195,198 | ||||
3,752,400(j)(k)+ | Alturas Re 2022-2, 12/31/27 | 3,801,181 | ||||
2,000,000(i)(j)+ | Bantry Re 2016, 3/31/23 | 120,900 | ||||
5,000,000(i)(j)+ | Bantry Re 2019, 12/31/22 | 169,818 | ||||
4,776,758(i)(j)+ | Bantry Re 2020, 12/31/23 | 310,864 | ||||
5,000,000(i)(j)+ | Bantry Re 2021, 12/31/24 | 757,000 | ||||
4,171,573(i)(j)+ | Bantry Re 2022, 12/31/27 | 4,243,048 | ||||
10,192,268(i)(j)+ | Berwick Re 2018-1, 12/31/22 | 787,862 | ||||
7,281,734(i)(j)+ | Berwick Re 2019-1, 12/31/22 | 870,167 | ||||
3,000,000(i)+ | Berwick Re 2020-1, 12/31/23 | 300 | ||||
4,500,000(i)+ | Berwick Re 2022, 12/31/27 | 4,566,216 | ||||
59,061(i)+ | Eden Re II, 3/22/23 (144A) | 146,371 | ||||
6,000(i)+ | Eden Re II, 3/22/23 (144A) | 15,014 | ||||
640,000(i)+ | Eden Re II, 3/22/24 (144A) | 340,480 | ||||
210,000(i)(j)+ | Eden Re II, 3/22/24 (144A) | 106,470 | ||||
2,250,000(i)(j)+ | Eden Re II, 3/21/25 (144A) | 1,946,250 | ||||
5,200,000(i)+ | Eden Re II, 3/20/26 (144A) | 5,200,000 | ||||
1,000,000(i)(j)+ | Gleneagles Re 2018, 12/31/22 | 118,300 | ||||
886,832(i)(j)+ | Gleneagles Re 2019, 12/31/22 | 19,818 | ||||
1,250,000(i)(j)+ | Gleneagles Re 2020, 12/31/23 | 124,929 | ||||
1,250,000(i)(j)+ | Gleneagles Re 2021, 12/31/24 | 299,430 | ||||
1,250,000(i)(j)+ | Gleneagles Re 2022, 12/31/27 | 1,266,317 | ||||
2,118,314(i)(j)+ | Gullane Re 2018, 12/31/22 | 131,133 |
Face Amount USD ($) | Value | |||||
Multiperil – Worldwide — (continued) | ||||||
6,000,000(i)(j)+ | Gullane Re 2022, 12/31/27 | $ 6,223,274 | ||||
500,000(k)+ | Lion Rock Re 2019, 1/31/23 | — | ||||
500,000(k)+ | Lion Rock Re 2020, 1/31/23 | — | ||||
500,000(j)(k)+ | Lion Rock Re 2021, 12/31/24 | 320,000 | ||||
5,000,000(j)(k)+ | Lorenz Re 2018, 7/1/22 | — | ||||
2,993,180(j)(k)+ | Lorenz Re 2019, 6/30/22 | 347,209 | ||||
2,480,490(j)(k)+ | Lorenz Re 2020, 6/30/23 | 169,914 | ||||
2,019,510(j)(k)+ | Lorenz Re 2020, 6/30/23 | 138,538 | ||||
7,000,000(i)(j)+ | Merion Re 2018-2, 12/31/22 | 1,158,500 | ||||
9,000,000(i)(j)+ | Merion Re 2021-2, 12/31/24 | 1,953,900 | ||||
6,551,154(i)(j)+ | Merion Re 2022-2, 12/31/27 | 6,639,303 | ||||
3,000,000(i)(j)+ | Pangaea Re 2016-2, 11/30/22 | 5,350 | ||||
3,800,000(i)(j)+ | Pangaea Re 2018-1, 12/31/22 | 80,007 | ||||
6,500,000(i)(j)+ | Pangaea Re 2018-3, 7/1/22 | 134,832 | ||||
4,017,011(i)(j)+ | Pangaea Re 2019-1, 2/1/23 | 83,704 | ||||
4,779,537(i)(j)+ | Pangaea Re 2019-3, 7/1/23 | 171,924 | ||||
3,974,837(i)+ | Pangaea Re 2020-1, 2/1/24 | 84,354 | ||||
5,000,000(i)+ | Pangaea Re 2020-3, 7/1/24 | 70,391 | ||||
5,000,000(i)(j)+ | Pangaea Re 2021-1, 12/31/24 | 144,254 | ||||
4,727,246(i)(j)+ | Pangaea Re 2022-1, 12/31/27 | 4,727,246 | ||||
1,250,000(i)(j)+ | Phoenix One Re, 1/4/27 | 1,335,000 | ||||
1,260,000(j)+ | Sector Re V, 12/1/23 (144A) | 153,293 | ||||
240,014(i)(j)+ | Sector Re V, 12/1/23 (144A) | 35,760 | ||||
600,000(i)+ | Sector Re V, 3/1/24 (144A) | 455,036 | ||||
1,914(i)+ | Sector Re V, 3/1/24 (144A) | 45,432 | ||||
99,999(i)+ | Sector Re V, 12/1/24 (144A) | 290,016 | ||||
200,000(i)+ | Sector Re V, 12/1/24 (144A) | 580,038 | ||||
533(i)+ | Sector Re V, 3/1/25 (144A) | 28,830 | ||||
959(i)+ | Sector Re V, 3/1/25 (144A) | 51,873 | ||||
3,490(i)+ | Sector Re V, 3/1/25 (144A) | 46,927 | ||||
3,326(i)(j)+ | Sector Re V, 12/1/25 (144A) | 161,345 | ||||
5,986(i)(j)+ | Sector Re V, 12/1/25 (144A) | 290,382 | ||||
500,000(a)(i)(j)+ | Sector Re V, 12/1/26 (144A) | 509,343 | ||||
4,199,987(a)(i)+ | Sector Re V, 12/1/26 (144A) | 4,278,471 | ||||
3,609,700(i)+ | Sussex Re 2020-1, 12/31/22 | 77,248 | ||||
1,250,000(i)(j)+ | Sussex Re 2021-1, 12/31/24 | 192,500 | ||||
3,000,000(j)(k)+ | Thopas Re 2019, 12/31/22 | — | ||||
6,000,000(k)+ | Thopas Re 2020, 12/31/23 | — | ||||
7,000,000(j)(k)+ | Thopas Re 2021, 12/31/24 | — | ||||
4,000,000(i)(j)+ | Thopas Re 2022, 12/31/27 | 4,082,400 | ||||
4,228,426(j)(k)+ | Torricelli Re 2021, 7/31/25 | 4,127,367 |
Face Amount USD ($) | Value | ||||||
Multiperil – Worldwide — (continued) | |||||||
2,000,000(i)+ | Versutus Re 2018, 12/31/22 | $ 2,400 | |||||
1,765,095(i)+ | Versutus Re 2019-A, 12/31/22 | 1,059 | |||||
1,734,905(i)+ | Versutus Re 2019-B, 12/31/22 | — | |||||
1,000,000(j)(k)+ | Viribus Re 2018, 12/31/22 | — | |||||
3,650,000(j)(k)+ | Viribus Re 2019, 12/31/22 | 95,630 | |||||
4,139,570(j)(k)+ | Viribus Re 2020, 12/31/23 | 182,141 | |||||
3,717,666(j)(k)+ | Viribus Re 2021, 12/31/24 | 3,763,021 | |||||
1,623,326(i)(j)+ | Woburn Re 2018, 12/31/22 | 89,824 | |||||
4,979,452(i)(j)+ | Woburn Re 2019, 12/31/22 | 1,124,567 | |||||
$70,298,665 | |||||||
Total Reinsurance Sidecars | $71,820,532 | ||||||
Industry Loss Warranties — 0.0% | |||||||
Earthquakes - U.S. — 0.0% | |||||||
3,000,000(i)+ | Vermillion Re 2022, 12/31/27 | $ 2,899,788 | |||||
Total Industry Loss Warranties | $2,899,788 | ||||||
Total Insurance-Linked Securities (Cost $130,118,592) | $127,247,894 | ||||||
Principal Amount USD ($) | ||||||
Foreign Government Bonds — 0.5% of Net Assets | ||||||
Chile — 0.2% | ||||||
9,555,000 | Chile Government International Bond, 3.100%, 5/7/41 | $ 8,435,823 | ||||
Total Chile | $8,435,823 | |||||
Mexico — 0.3% | ||||||
5,715,000 | Mexico Government International Bond, 3.500%, 2/12/34 | $ 5,310,949 | ||||
13,425,000 | Mexico Government International Bond, 4.600%, 2/10/48 | 12,803,691 | ||||
Total Mexico | $18,114,640 | |||||
Total Foreign Government Bonds (Cost $27,596,257) | $26,550,463 | |||||
U.S. Government and Agency Obligations — 58.4% of Net Assets | ||||||
146,463 | Fannie Mae, 1.500%, 3/1/41 | $ 132,844 | ||||
42,994,774 | Fannie Mae, 1.500%, 11/1/41 | 38,988,168 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
1,432,087 | Fannie Mae, 1.500%, 1/1/42 | $ 1,298,571 | ||||
21,904,741 | Fannie Mae, 1.500%, 1/1/42 | 19,862,105 | ||||
14,446,487 | Fannie Mae, 1.500%, 1/1/42 | 13,100,399 | ||||
17,726,981 | Fannie Mae, 1.500%, 2/1/42 | 16,076,347 | ||||
4,805,493 | Fannie Mae, 1.500%, 3/1/42 | 4,357,465 | ||||
564,110 | Fannie Mae, 2.500%, 7/1/30 | 558,842 | ||||
518,086 | Fannie Mae, 2.500%, 7/1/30 | 513,408 | ||||
879,763 | Fannie Mae, 2.500%, 7/1/30 | 871,815 | ||||
110,407 | Fannie Mae, 2.500%, 12/1/42 | 106,407 | ||||
115,522 | Fannie Mae, 2.500%, 12/1/42 | 111,652 | ||||
110,107 | Fannie Mae, 2.500%, 1/1/43 | 106,432 | ||||
1,312,426 | Fannie Mae, 2.500%, 2/1/43 | 1,268,464 | ||||
44,805 | Fannie Mae, 2.500%, 2/1/43 | 42,974 | ||||
46,202 | Fannie Mae, 2.500%, 2/1/43 | 44,215 | ||||
159,043 | Fannie Mae, 2.500%, 3/1/43 | 153,729 | ||||
79,944 | Fannie Mae, 2.500%, 4/1/43 | 76,555 | ||||
139,666 | Fannie Mae, 2.500%, 8/1/43 | 135,008 | ||||
72,544 | Fannie Mae, 2.500%, 12/1/43 | 69,736 | ||||
104,565 | Fannie Mae, 2.500%, 3/1/44 | 100,257 | ||||
727,749 | Fannie Mae, 2.500%, 4/1/45 | 700,878 | ||||
723,968 | Fannie Mae, 2.500%, 4/1/45 | 697,179 | ||||
241,503 | Fannie Mae, 2.500%, 4/1/45 | 231,433 | ||||
142,415 | Fannie Mae, 2.500%, 4/1/45 | 137,173 | ||||
207,270 | Fannie Mae, 2.500%, 4/1/45 | 199,606 | ||||
278,036 | Fannie Mae, 2.500%, 4/1/45 | 267,765 | ||||
72,665 | Fannie Mae, 2.500%, 4/1/45 | 69,943 | ||||
103,167 | Fannie Mae, 2.500%, 4/1/45 | 98,812 | ||||
29,705 | Fannie Mae, 2.500%, 5/1/45 | 28,606 | ||||
55,119 | Fannie Mae, 2.500%, 7/1/45 | 53,076 | ||||
99,472 | Fannie Mae, 2.500%, 8/1/45 | 95,702 | ||||
40,651 | Fannie Mae, 2.500%, 1/1/46 | 38,925 | ||||
20,284,941 | Fannie Mae, 2.500%, 10/1/51 | 19,405,446 | ||||
12,620,006 | Fannie Mae, 2.500%, 12/1/51 | 12,090,026 | ||||
26,676,642 | Fannie Mae, 2.500%, 1/1/52 | 25,572,670 | ||||
53,900,000 | Fannie Mae, 2.500%, 4/1/52 (TBA) | 51,491,344 | ||||
1,515,530 | Fannie Mae, 3.000%, 10/1/30 | 1,531,775 | ||||
555,662 | Fannie Mae, 3.000%, 4/1/31 | 561,620 | ||||
210,593 | Fannie Mae, 3.000%, 6/1/40 | 209,269 | ||||
9,238,573 | Fannie Mae, 3.000%, 8/1/42 | 9,240,067 | ||||
2,148,297 | Fannie Mae, 3.000%, 9/1/42 | 2,148,643 | ||||
3,020,104 | Fannie Mae, 3.000%, 5/1/43 | 3,018,427 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
271,631 | Fannie Mae, 3.000%, 7/1/43 | $ 271,425 | ||||
610,045 | Fannie Mae, 3.000%, 8/1/43 | 608,160 | ||||
1,870,749 | Fannie Mae, 3.000%, 9/1/43 | 1,865,473 | ||||
360,967 | Fannie Mae, 3.000%, 3/1/45 | 359,253 | ||||
3,678,951 | Fannie Mae, 3.000%, 6/1/45 | 3,661,427 | ||||
1,253,407 | Fannie Mae, 3.000%, 3/1/47 | 1,243,625 | ||||
5,427,143 | Fannie Mae, 3.000%, 3/1/52 | 5,327,430 | ||||
320,000,000 | Fannie Mae, 3.000%, 4/1/52 (TBA) | 313,357,798 | ||||
9,000,000 | Fannie Mae, 3.000%, 5/1/52 (TBA) | 8,790,107 | ||||
1,208,135 | Fannie Mae, 3.500%, 6/1/28 | 1,239,905 | ||||
351,916 | Fannie Mae, 3.500%, 11/1/40 | 358,580 | ||||
282,855 | Fannie Mae, 3.500%, 10/1/41 | 288,763 | ||||
1,917,147 | Fannie Mae, 3.500%, 11/1/41 | 1,964,029 | ||||
219,415 | Fannie Mae, 3.500%, 6/1/42 | 223,962 | ||||
1,022,067 | Fannie Mae, 3.500%, 7/1/42 | 1,043,243 | ||||
1,066,508 | Fannie Mae, 3.500%, 8/1/42 | 1,087,604 | ||||
157,606 | Fannie Mae, 3.500%, 10/1/42 | 156,737 | ||||
111,933 | Fannie Mae, 3.500%, 11/1/42 | 113,969 | ||||
280,118 | Fannie Mae, 3.500%, 12/1/42 | 285,938 | ||||
209,733 | Fannie Mae, 3.500%, 12/1/42 | 214,087 | ||||
613,906 | Fannie Mae, 3.500%, 4/1/45 | 626,176 | ||||
2,104,598 | Fannie Mae, 3.500%, 6/1/45 | 2,142,923 | ||||
4,269,596 | Fannie Mae, 3.500%, 8/1/45 | 4,358,267 | ||||
4,024,311 | Fannie Mae, 3.500%, 9/1/45 | 4,118,307 | ||||
1,701,403 | Fannie Mae, 3.500%, 9/1/45 | 1,730,386 | ||||
526,242 | Fannie Mae, 3.500%, 10/1/45 | 535,716 | ||||
6,077,205 | Fannie Mae, 3.500%, 11/1/45 | 6,203,358 | ||||
1,550,142 | Fannie Mae, 3.500%, 5/1/46 | 1,580,320 | ||||
170,170 | Fannie Mae, 3.500%, 10/1/46 | 172,721 | ||||
4,196,629 | Fannie Mae, 3.500%, 1/1/47 | 4,263,349 | ||||
3,332,596 | Fannie Mae, 3.500%, 1/1/47 | 3,393,480 | ||||
1,626,549 | Fannie Mae, 3.500%, 1/1/47 | 1,648,827 | ||||
34,719 | Fannie Mae, 3.500%, 2/1/47 | 35,348 | ||||
130,840 | Fannie Mae, 3.500%, 7/1/47 | 132,234 | ||||
94,443 | Fannie Mae, 3.500%, 10/1/47 | 96,128 | ||||
303,326 | Fannie Mae, 3.500%, 12/1/47 | 310,126 | ||||
3,018,033 | Fannie Mae, 3.500%, 12/1/47 | 3,061,174 | ||||
29,278 | Fannie Mae, 3.500%, 2/1/49 | 28,870 | ||||
33,698 | Fannie Mae, 3.500%, 4/1/49 | 32,764 | ||||
941,895 | Fannie Mae, 3.500%, 5/1/49 | 960,077 | ||||
1,432,267 | Fannie Mae, 3.500%, 5/1/49 | 1,461,709 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
34,044 | Fannie Mae, 3.500%, 7/1/49 | $ 34,515 | ||||
218,000,000 | Fannie Mae, 3.500%, 4/1/52 (TBA) | 218,549,258 | ||||
21,000,000 | Fannie Mae, 3.500%, 5/1/52 (TBA) | 20,973,340 | ||||
3,335 | Fannie Mae, 4.000%, 10/1/25 | 3,432 | ||||
90,111 | Fannie Mae, 4.000%, 11/1/34 | 93,881 | ||||
849,389 | Fannie Mae, 4.000%, 4/1/39 | 884,907 | ||||
3,291,654 | Fannie Mae, 4.000%, 10/1/40 | 3,447,127 | ||||
570,992 | Fannie Mae, 4.000%, 12/1/40 | 597,939 | ||||
483,991 | Fannie Mae, 4.000%, 4/1/41 | 506,644 | ||||
394,660 | Fannie Mae, 4.000%, 5/1/41 | 413,104 | ||||
416,189 | Fannie Mae, 4.000%, 10/1/41 | 434,652 | ||||
305,621 | Fannie Mae, 4.000%, 12/1/41 | 316,724 | ||||
925,344 | Fannie Mae, 4.000%, 1/1/42 | 968,682 | ||||
121,799 | Fannie Mae, 4.000%, 1/1/42 | 127,504 | ||||
713,692 | Fannie Mae, 4.000%, 2/1/42 | 745,401 | ||||
2,218,126 | Fannie Mae, 4.000%, 2/1/42 | 2,322,224 | ||||
873,727 | Fannie Mae, 4.000%, 4/1/42 | 914,710 | ||||
190,594 | Fannie Mae, 4.000%, 4/1/42 | 196,820 | ||||
1,386,332 | Fannie Mae, 4.000%, 5/1/42 | 1,451,372 | ||||
86,772 | Fannie Mae, 4.000%, 6/1/42 | 89,607 | ||||
32,228 | Fannie Mae, 4.000%, 6/1/42 | 33,026 | ||||
111,114 | Fannie Mae, 4.000%, 7/1/42 | 116,090 | ||||
2,297,052 | Fannie Mae, 4.000%, 8/1/42 | 2,415,305 | ||||
522,805 | Fannie Mae, 4.000%, 10/1/42 | 546,049 | ||||
197,616 | Fannie Mae, 4.000%, 10/1/42 | 206,672 | ||||
1,336,514 | Fannie Mae, 4.000%, 11/1/43 | 1,396,380 | ||||
27,379 | Fannie Mae, 4.000%, 1/1/44 | 28,591 | ||||
65,417 | Fannie Mae, 4.000%, 6/1/45 | 67,258 | ||||
257,134 | Fannie Mae, 4.000%, 7/1/45 | 268,558 | ||||
252,573 | Fannie Mae, 4.000%, 4/1/46 | 261,547 | ||||
1,292,398 | Fannie Mae, 4.000%, 7/1/46 | 1,339,043 | ||||
1,757,773 | Fannie Mae, 4.000%, 7/1/46 | 1,820,951 | ||||
1,094,199 | Fannie Mae, 4.000%, 8/1/46 | 1,136,195 | ||||
1,192,208 | Fannie Mae, 4.000%, 8/1/46 | 1,235,664 | ||||
492,852 | Fannie Mae, 4.000%, 11/1/46 | 510,346 | ||||
1,338,261 | Fannie Mae, 4.000%, 4/1/47 | 1,389,179 | ||||
1,216,347 | Fannie Mae, 4.000%, 4/1/47 | 1,259,382 | ||||
652,150 | Fannie Mae, 4.000%, 6/1/47 | 676,086 | ||||
237,538 | Fannie Mae, 4.000%, 6/1/47 | 245,175 | ||||
690,374 | Fannie Mae, 4.000%, 6/1/47 | 717,793 | ||||
968,324 | Fannie Mae, 4.000%, 6/1/47 | 1,000,983 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
341,039 | Fannie Mae, 4.000%, 7/1/47 | $ 351,117 | ||||
950,999 | Fannie Mae, 4.000%, 7/1/47 | 983,904 | ||||
1,646,517 | Fannie Mae, 4.000%, 12/1/47 | 1,692,473 | ||||
14,093 | Fannie Mae, 4.000%, 6/1/48 | 14,407 | ||||
108,036 | Fannie Mae, 4.000%, 6/1/48 | 110,930 | ||||
176,503 | Fannie Mae, 4.000%, 8/1/48 | 180,654 | ||||
969,130 | Fannie Mae, 4.000%, 8/1/48 | 993,438 | ||||
105,943 | Fannie Mae, 4.000%, 8/1/48 | 108,857 | ||||
258,728 | Fannie Mae, 4.000%, 11/1/48 | 269,318 | ||||
13,521 | Fannie Mae, 4.000%, 2/1/49 | 13,832 | ||||
15,226 | Fannie Mae, 4.000%, 3/1/49 | 15,565 | ||||
14,333 | Fannie Mae, 4.000%, 3/1/49 | 14,650 | ||||
106,761 | Fannie Mae, 4.000%, 6/1/49 | 109,856 | ||||
36,466 | Fannie Mae, 4.000%, 9/1/49 | 37,348 | ||||
175,191 | Fannie Mae, 4.000%, 5/1/50 | 179,273 | ||||
69,899 | Fannie Mae, 4.000%, 6/1/50 | 71,454 | ||||
384,956 | Fannie Mae, 4.000%, 7/1/50 | 395,440 | ||||
144,412 | Fannie Mae, 4.000%, 10/1/50 | 147,731 | ||||
299,135 | Fannie Mae, 4.000%, 11/1/50 | 305,759 | ||||
2,732,155 | Fannie Mae, 4.000%, 11/1/50 | 2,793,512 | ||||
1,121,224 | Fannie Mae, 4.000%, 12/1/50 | 1,146,051 | ||||
100,667 | Fannie Mae, 4.000%, 1/1/51 | 103,320 | ||||
26,363 | Fannie Mae, 4.000%, 1/1/51 | 27,002 | ||||
603,947 | Fannie Mae, 4.000%, 1/1/51 | 617,325 | ||||
273,103 | Fannie Mae, 4.000%, 2/1/51 | 279,637 | ||||
742,932 | Fannie Mae, 4.000%, 2/1/51 | 759,493 | ||||
962,049 | Fannie Mae, 4.000%, 4/1/51 | 983,417 | ||||
141,187 | Fannie Mae, 4.000%, 5/1/51 | 145,002 | ||||
12,389 | Fannie Mae, 4.000%, 6/1/51 | 12,717 | ||||
1,906,883 | Fannie Mae, 4.000%, 6/1/51 | 1,949,472 | ||||
352,667 | Fannie Mae, 4.000%, 7/1/51 | 360,420 | ||||
2,378,947 | Fannie Mae, 4.000%, 7/1/51 | 2,442,017 | ||||
5,046,560 | Fannie Mae, 4.000%, 7/1/51 | 5,158,139 | ||||
214,751 | Fannie Mae, 4.000%, 8/1/51 | 220,246 | ||||
6,695,709 | Fannie Mae, 4.000%, 8/1/51 | 6,845,067 | ||||
196,635 | Fannie Mae, 4.000%, 9/1/51 | 201,042 | ||||
96,095 | Fannie Mae, 4.000%, 10/1/51 | 98,430 | ||||
126,000,000 | Fannie Mae, 4.000%, 4/1/52 (TBA) | 128,716,875 | ||||
70,000,000 | Fannie Mae, 4.000%, 5/1/52 (TBA) | 71,238,890 | ||||
53,039 | Fannie Mae, 4.500%, 10/1/35 | 55,951 | ||||
167,032 | Fannie Mae, 4.500%, 8/1/40 | 176,507 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
545,857 | Fannie Mae, 4.500%, 11/1/40 | $ 579,451 | ||||
145,468 | Fannie Mae, 4.500%, 2/1/41 | 153,280 | ||||
519,032 | Fannie Mae, 4.500%, 4/1/41 | 552,484 | ||||
22,576 | Fannie Mae, 4.500%, 5/1/41 | 24,039 | ||||
959,132 | Fannie Mae, 4.500%, 5/1/41 | 1,018,981 | ||||
1,370,638 | Fannie Mae, 4.500%, 5/1/41 | 1,460,103 | ||||
616,958 | Fannie Mae, 4.500%, 7/1/41 | 656,966 | ||||
1,679,574 | Fannie Mae, 4.500%, 1/1/42 | 1,787,541 | ||||
1,479,662 | Fannie Mae, 4.500%, 1/1/42 | 1,574,614 | ||||
1,076,535 | Fannie Mae, 4.500%, 12/1/43 | 1,146,889 | ||||
171,226 | Fannie Mae, 4.500%, 1/1/47 | 178,154 | ||||
285,845 | Fannie Mae, 4.500%, 2/1/47 | 299,209 | ||||
10,047,182 | Fannie Mae, 4.500%, 5/1/49 | 10,502,644 | ||||
81,712 | Fannie Mae, 4.500%, 6/1/49 | 85,009 | ||||
1,480,344 | Fannie Mae, 4.500%, 2/1/50 | 1,546,129 | ||||
7,070,678 | Fannie Mae, 4.500%, 4/1/50 | 7,387,607 | ||||
1,347,976 | Fannie Mae, 4.500%, 4/1/50 | 1,412,975 | ||||
282,000,000 | Fannie Mae, 4.500%, 4/1/52 (TBA) | 292,530,937 | ||||
502 | Fannie Mae, 5.000%, 9/1/22 | 512 | ||||
6,324 | Fannie Mae, 5.000%, 3/1/23 | 6,448 | ||||
19,353 | Fannie Mae, 5.000%, 5/1/23 | 19,745 | ||||
29,112 | Fannie Mae, 5.000%, 7/1/34 | 30,050 | ||||
120,077 | Fannie Mae, 5.000%, 10/1/34 | 129,550 | ||||
287,501 | Fannie Mae, 5.000%, 2/1/39 | 308,339 | ||||
222,419 | Fannie Mae, 5.000%, 6/1/40 | 240,838 | ||||
159,661 | Fannie Mae, 5.000%, 6/1/40 | 172,780 | ||||
149,625 | Fannie Mae, 5.000%, 7/1/40 | 160,913 | ||||
209,677 | Fannie Mae, 5.000%, 7/1/40 | 225,837 | ||||
331,216 | Fannie Mae, 5.000%, 7/1/40 | 358,421 | ||||
265,691 | Fannie Mae, 5.000%, 8/1/40 | 286,180 | ||||
915,805 | Fannie Mae, 5.000%, 2/1/41 | 987,447 | ||||
3,544,480 | Fannie Mae, 5.000%, 12/1/44 | 3,834,493 | ||||
160,068 | Fannie Mae, 5.000%, 6/1/49 | 168,417 | ||||
807,305 | Fannie Mae, 5.000%, 9/1/49 | 871,499 | ||||
3,791,248 | Fannie Mae, 5.000%, 9/1/49 | 4,137,090 | ||||
238,906 | Fannie Mae, 5.000%, 10/1/49 | 251,664 | ||||
4,893 | Fannie Mae, 5.500%, 6/1/33 | 5,221 | ||||
35,568 | Fannie Mae, 5.500%, 7/1/33 | 38,931 | ||||
213,097 | Fannie Mae, 5.500%, 7/1/34 | 233,378 | ||||
7,865 | Fannie Mae, 5.500%, 10/1/35 | 8,578 | ||||
77,906 | Fannie Mae, 5.500%, 3/1/36 | 83,796 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
53,418 | Fannie Mae, 5.500%, 5/1/36 | $ 57,284 | ||||
61,941 | Fannie Mae, 5.500%, 6/1/36 | 67,815 | ||||
25,696 | Fannie Mae, 5.720%, 11/1/28 | 25,872 | ||||
16,634 | Fannie Mae, 5.720%, 6/1/29 | 16,692 | ||||
7,450 | Fannie Mae, 5.900%, 11/1/27 | 7,476 | ||||
28,824 | Fannie Mae, 5.900%, 4/1/28 | 28,986 | ||||
310 | Fannie Mae, 6.000%, 9/1/29 | 337 | ||||
903 | Fannie Mae, 6.000%, 1/1/32 | 968 | ||||
4,888 | Fannie Mae, 6.000%, 2/1/32 | 5,400 | ||||
2,135 | Fannie Mae, 6.000%, 3/1/32 | 2,363 | ||||
1,284 | Fannie Mae, 6.000%, 8/1/32 | 1,420 | ||||
212 | Fannie Mae, 6.000%, 9/1/32 | 234 | ||||
16,550 | Fannie Mae, 6.000%, 10/1/32 | 18,322 | ||||
4,458 | Fannie Mae, 6.000%, 2/1/33 | 4,759 | ||||
26,838 | Fannie Mae, 6.000%, 3/1/33 | 29,706 | ||||
25,615 | Fannie Mae, 6.000%, 4/1/33 | 27,380 | ||||
46,083 | Fannie Mae, 6.000%, 7/1/33 | 49,236 | ||||
15,382 | Fannie Mae, 6.000%, 11/1/33 | 17,017 | ||||
45,858 | Fannie Mae, 6.000%, 8/1/34 | 50,400 | ||||
12,229 | Fannie Mae, 6.000%, 9/1/34 | 13,150 | ||||
11,879 | Fannie Mae, 6.000%, 9/1/34 | 13,162 | ||||
38,677 | Fannie Mae, 6.000%, 9/1/34 | 41,317 | ||||
1,299 | Fannie Mae, 6.000%, 9/1/34 | 1,395 | ||||
4,398 | Fannie Mae, 6.000%, 10/1/34 | 4,891 | ||||
4,526 | Fannie Mae, 6.000%, 11/1/34 | 5,028 | ||||
33,890 | Fannie Mae, 6.000%, 11/1/34 | 36,216 | ||||
1,457 | Fannie Mae, 6.000%, 2/1/35 | 1,619 | ||||
3,017 | Fannie Mae, 6.000%, 2/1/35 | 3,361 | ||||
66,258 | Fannie Mae, 6.000%, 4/1/35 | 71,908 | ||||
8,922 | Fannie Mae, 6.000%, 5/1/35 | 9,524 | ||||
72,386 | Fannie Mae, 6.000%, 10/1/35 | 77,250 | ||||
35,545 | Fannie Mae, 6.000%, 12/1/35 | 37,930 | ||||
8,659 | Fannie Mae, 6.000%, 12/1/37 | 9,662 | ||||
77,500 | Fannie Mae, 6.000%, 6/1/38 | 85,380 | ||||
6,944 | Fannie Mae, 6.000%, 7/1/38 | 7,410 | ||||
4,614 | Fannie Mae, 6.500%, 7/1/29 | 5,024 | ||||
259 | Fannie Mae, 6.500%, 1/1/31 | 278 | ||||
309 | Fannie Mae, 6.500%, 4/1/31 | 332 | ||||
1,623 | Fannie Mae, 6.500%, 5/1/31 | 1,743 | ||||
2,273 | Fannie Mae, 6.500%, 9/1/31 | 2,441 | ||||
2,217 | Fannie Mae, 6.500%, 9/1/31 | 2,381 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
1,416 | Fannie Mae, 6.500%, 10/1/31 | $ 1,520 | ||||
58,888 | Fannie Mae, 6.500%, 12/1/31 | 63,234 | ||||
3,568 | Fannie Mae, 6.500%, 2/1/32 | 3,832 | ||||
14,046 | Fannie Mae, 6.500%, 3/1/32 | 15,083 | ||||
38,743 | Fannie Mae, 6.500%, 7/1/32 | 41,602 | ||||
11,222 | Fannie Mae, 6.500%, 7/1/34 | 12,245 | ||||
43,494 | Fannie Mae, 6.500%, 11/1/37 | 49,241 | ||||
13,772 | Fannie Mae, 6.500%, 11/1/47 | 14,228 | ||||
100 | Fannie Mae, 7.000%, 12/1/30 | 100 | ||||
3,265 | Fannie Mae, 7.000%, 12/1/30 | 3,426 | ||||
2,913 | Fannie Mae, 7.000%, 4/1/31 | 3,173 | ||||
3,686 | Fannie Mae, 7.000%, 9/1/31 | 4,088 | ||||
11,800 | Fannie Mae, 7.000%, 12/1/31 | 12,057 | ||||
8,510 | Fannie Mae, 7.000%, 1/1/32 | 9,473 | ||||
847,022 | Federal Home Loan Mortgage Corp., 3.000%, 10/1/29 | 856,688 | ||||
587,699 | Federal Home Loan Mortgage Corp., 3.000%, 9/1/42 | 588,199 | ||||
3,255,515 | Federal Home Loan Mortgage Corp., 3.000%, 11/1/42 | 3,258,298 | ||||
454,208 | Federal Home Loan Mortgage Corp., 3.000%, 2/1/43 | 454,128 | ||||
1,107,648 | Federal Home Loan Mortgage Corp., 3.000%, 2/1/43 | 1,108,592 | ||||
1,218,947 | Federal Home Loan Mortgage Corp., 3.000%, 5/1/43 | 1,218,733 | ||||
2,811,570 | Federal Home Loan Mortgage Corp., 3.000%, 6/1/46 | 2,800,098 | ||||
850,730 | Federal Home Loan Mortgage Corp., 3.000%, 12/1/46 | 847,265 | ||||
759,837 | Federal Home Loan Mortgage Corp., 3.000%, 12/1/46 | 756,577 | ||||
2,710,165 | Federal Home Loan Mortgage Corp., 3.000%, 2/1/47 | 2,692,992 | ||||
568,720 | Federal Home Loan Mortgage Corp., 3.000%, 3/1/47 | 562,896 | ||||
432,485 | Federal Home Loan Mortgage Corp., 3.500%, 4/1/42 | 440,753 | ||||
1,167,927 | Federal Home Loan Mortgage Corp., 3.500%, 8/1/43 | 1,193,024 | ||||
208,477 | Federal Home Loan Mortgage Corp., 3.500%, 9/1/44 | 212,597 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
2,928,214 | Federal Home Loan Mortgage Corp., 3.500%, 6/1/45 | $ 2,989,957 | ||||
111,020 | Federal Home Loan Mortgage Corp., 3.500%, 7/1/45 | 113,147 | ||||
2,562,078 | Federal Home Loan Mortgage Corp., 3.500%, 10/1/45 | 2,615,074 | ||||
2,609,206 | Federal Home Loan Mortgage Corp., 3.500%, 11/1/45 | 2,661,920 | ||||
2,983,078 | Federal Home Loan Mortgage Corp., 3.500%, 7/1/46 | 3,043,623 | ||||
4,333,133 | Federal Home Loan Mortgage Corp., 3.500%, 8/1/46 | 4,426,539 | ||||
3,849,453 | Federal Home Loan Mortgage Corp., 3.500%, 8/1/46 | 3,927,448 | ||||
3,529,123 | Federal Home Loan Mortgage Corp., 3.500%, 8/1/46 | 3,600,577 | ||||
5,217,058 | Federal Home Loan Mortgage Corp., 3.500%, 12/1/46 | 5,307,290 | ||||
610,156 | Federal Home Loan Mortgage Corp., 3.500%, 1/1/47 | 621,961 | ||||
300,679 | Federal Home Loan Mortgage Corp., 3.500%, 6/1/47 | 305,458 | ||||
4,635,212 | Federal Home Loan Mortgage Corp., 4.000%, 11/1/41 | 4,855,947 | ||||
65,032 | Federal Home Loan Mortgage Corp., 4.000%, 6/1/42 | 68,061 | ||||
28,022 | Federal Home Loan Mortgage Corp., 4.000%, 7/1/42 | 29,188 | ||||
1,476,964 | Federal Home Loan Mortgage Corp., 4.000%, 10/1/42 | 1,547,487 | ||||
16,952 | Federal Home Loan Mortgage Corp., 4.000%, 11/1/42 | 17,620 | ||||
230,964 | Federal Home Loan Mortgage Corp., 4.000%, 5/1/46 | 239,484 | ||||
53,292 | Federal Home Loan Mortgage Corp., 4.000%, 5/1/46 | 54,521 | ||||
1,327,201 | Federal Home Loan Mortgage Corp., 4.000%, 6/1/46 | 1,382,510 | ||||
1,348,788 | Federal Home Loan Mortgage Corp., 4.000%, 7/1/46 | 1,405,679 | ||||
1,259,887 | Federal Home Loan Mortgage Corp., 4.000%, 8/1/46 | 1,307,987 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
52,384 | Federal Home Loan Mortgage Corp., 4.000%, 10/1/46 | $ 53,592 | ||||
401,314 | Federal Home Loan Mortgage Corp., 4.000%, 3/1/47 | 415,414 | ||||
2,016,102 | Federal Home Loan Mortgage Corp., 4.000%, 4/1/47 | 2,097,949 | ||||
953,333 | Federal Home Loan Mortgage Corp., 4.000%, 4/1/47 | 985,842 | ||||
737,665 | Federal Home Loan Mortgage Corp., 4.000%, 4/1/47 | 764,822 | ||||
332,973 | Federal Home Loan Mortgage Corp., 4.000%, 5/1/49 | 340,997 | ||||
920,767 | Federal Home Loan Mortgage Corp., 4.500%, 11/1/40 | 979,024 | ||||
533,154 | Federal Home Loan Mortgage Corp., 4.500%, 3/1/42 | 567,804 | ||||
54,571 | Federal Home Loan Mortgage Corp., 4.500%, 11/1/43 | 57,913 | ||||
3,960 | Federal Home Loan Mortgage Corp., 5.000%, 11/1/34 | 4,278 | ||||
48,069 | Federal Home Loan Mortgage Corp., 5.000%, 6/1/35 | 50,653 | ||||
116,892 | Federal Home Loan Mortgage Corp., 5.000%, 9/1/38 | 126,551 | ||||
112,945 | Federal Home Loan Mortgage Corp., 5.000%, 10/1/38 | 122,274 | ||||
1,041 | Federal Home Loan Mortgage Corp., 5.000%, 5/1/39 | 1,128 | ||||
2,340 | Federal Home Loan Mortgage Corp., 5.000%, 12/1/39 | 2,535 | ||||
73,968 | Federal Home Loan Mortgage Corp., 5.500%, 9/1/33 | 81,090 | ||||
3,459 | Federal Home Loan Mortgage Corp., 5.500%, 1/1/34 | 3,750 | ||||
36,355 | Federal Home Loan Mortgage Corp., 5.500%, 11/1/34 | 39,859 | ||||
3,848 | Federal Home Loan Mortgage Corp., 5.500%, 11/1/34 | 4,093 | ||||
48,634 | Federal Home Loan Mortgage Corp., 5.500%, 8/1/35 | 52,010 | ||||
13,818 | Federal Home Loan Mortgage Corp., 5.500%, 11/1/35 | 15,128 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
399,724 | Federal Home Loan Mortgage Corp., 5.500%, 6/1/41 | $ 439,972 | ||||
34,608 | Federal Home Loan Mortgage Corp., 6.000%, 1/1/33 | 37,331 | ||||
12,634 | Federal Home Loan Mortgage Corp., 6.000%, 1/1/33 | 13,498 | ||||
17,100 | Federal Home Loan Mortgage Corp., 6.000%, 2/1/33 | 18,937 | ||||
1,407 | Federal Home Loan Mortgage Corp., 6.000%, 2/1/33 | 1,511 | ||||
52,667 | Federal Home Loan Mortgage Corp., 6.000%, 3/1/33 | 58,356 | ||||
8,341 | Federal Home Loan Mortgage Corp., 6.000%, 3/1/33 | 8,911 | ||||
41,360 | Federal Home Loan Mortgage Corp., 6.000%, 9/1/33 | 45,867 | ||||
19,165 | Federal Home Loan Mortgage Corp., 6.000%, 11/1/33 | 20,669 | ||||
5,034 | Federal Home Loan Mortgage Corp., 6.000%, 11/1/33 | 5,483 | ||||
32,978 | Federal Home Loan Mortgage Corp., 6.000%, 12/1/33 | 35,241 | ||||
7,192 | Federal Home Loan Mortgage Corp., 6.000%, 12/1/33 | 7,683 | ||||
28,744 | Federal Home Loan Mortgage Corp., 6.000%, 1/1/34 | 30,904 | ||||
11,735 | Federal Home Loan Mortgage Corp., 6.000%, 1/1/34 | 13,027 | ||||
157,428 | Federal Home Loan Mortgage Corp., 6.000%, 5/1/34 | 174,867 | ||||
27,444 | Federal Home Loan Mortgage Corp., 6.000%, 5/1/34 | 29,320 | ||||
12,936 | Federal Home Loan Mortgage Corp., 6.000%, 4/1/35 | 13,824 | ||||
39,436 | Federal Home Loan Mortgage Corp., 6.000%, 6/1/35 | 42,136 | ||||
42,342 | Federal Home Loan Mortgage Corp., 6.000%, 4/1/36 | 45,481 | ||||
27,433 | Federal Home Loan Mortgage Corp., 6.000%, 7/1/36 | 29,343 | ||||
3,910 | Federal Home Loan Mortgage Corp., 6.000%, 7/1/36 | 4,371 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
8,949 | Federal Home Loan Mortgage Corp., 6.000%, 12/1/36 | $ 9,674 | ||||
23,576 | Federal Home Loan Mortgage Corp., 6.000%, 1/1/38 | 26,356 | ||||
39,784 | Federal Home Loan Mortgage Corp., 6.000%, 7/1/38 | 43,418 | ||||
173 | Federal Home Loan Mortgage Corp., 6.500%, 11/1/30 | 185 | ||||
139 | Federal Home Loan Mortgage Corp., 6.500%, 3/1/31 | 149 | ||||
970 | Federal Home Loan Mortgage Corp., 6.500%, 3/1/31 | 1,082 | ||||
2,584 | Federal Home Loan Mortgage Corp., 6.500%, 5/1/31 | 2,779 | ||||
3,894 | Federal Home Loan Mortgage Corp., 6.500%, 5/1/31 | 4,184 | ||||
256 | Federal Home Loan Mortgage Corp., 6.500%, 8/1/31 | 279 | ||||
2,957 | Federal Home Loan Mortgage Corp., 6.500%, 8/1/31 | 3,177 | ||||
4,386 | Federal Home Loan Mortgage Corp., 6.500%, 7/1/32 | 4,815 | ||||
47 | Federal Home Loan Mortgage Corp., 6.500%, 1/1/33 | 50 | ||||
15,135 | Federal Home Loan Mortgage Corp., 6.500%, 10/1/33 | 16,696 | ||||
2,092 | Federal Home Loan Mortgage Corp., 7.000%, 9/1/22 | 2,099 | ||||
1,223 | Federal Home Loan Mortgage Corp., 7.000%, 11/1/30 | 1,332 | ||||
70,146 | Federal Home Loan Mortgage Corp., 7.000%, 10/1/46 | 70,074 | ||||
15,715,889 | Freddie Mac Pool, 1.500%, 12/1/41 | 14,248,888 | ||||
3,304,741 | Freddie Mac Pool, 1.500%, 1/1/42 | 2,996,351 | ||||
2,548,781 | Freddie Mac Pool, 1.500%, 1/1/42 | 2,310,937 | ||||
16,855,998 | Freddie Mac Pool, 1.500%, 1/1/42 | 15,282,522 | ||||
8,691,240 | Freddie Mac Pool, 1.500%, 2/1/42 | 7,880,210 | ||||
12,066,858 | Freddie Mac Pool, 1.500%, 2/1/42 | 10,940,810 | ||||
1,693,847 | Freddie Mac Pool, 1.500%, 3/1/42 | 1,535,779 | ||||
4,764,624 | Freddie Mac Pool, 2.500%, 8/1/51 | 4,558,518 | ||||
131,492 | Freddie Mac Pool, 3.000%, 2/1/38 | 130,988 | ||||
50,060 | Freddie Mac Pool, 3.000%, 10/1/48 | 49,292 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
3,094,888 | Freddie Mac Pool, 3.000%, 3/1/52 | $ 3,038,026 | ||||
1,851,151 | Freddie Mac Pool, 4.000%, 4/1/47 | 1,912,597 | ||||
2,073,050 | Freddie Mac Pool, 4.000%, 4/1/47 | 2,147,440 | ||||
1,638,436 | Freddie Mac Pool, 4.000%, 5/1/47 | 1,692,823 | ||||
378,420 | Freddie Mac Pool, 4.000%, 6/1/47 | 390,919 | ||||
579,942 | Freddie Mac Pool, 4.000%, 7/1/47 | 601,963 | ||||
1,308,595 | Freddie Mac Pool, 4.000%, 10/1/47 | 1,345,135 | ||||
983,039 | Freddie Mac Pool, 4.000%, 12/1/48 | 1,006,856 | ||||
1,467,181 | Freddie Mac Pool, 4.000%, 12/1/48 | 1,501,419 | ||||
49,166 | Freddie Mac Pool, 4.000%, 3/1/49 | 50,352 | ||||
234,509 | Freddie Mac Pool, 4.000%, 5/1/50 | 239,937 | ||||
434,355 | Freddie Mac Pool, 4.000%, 6/1/50 | 445,958 | ||||
268,309 | Freddie Mac Pool, 4.000%, 8/1/50 | 274,417 | ||||
237,085 | Freddie Mac Pool, 4.000%, 10/1/50 | 242,787 | ||||
449,273 | Freddie Mac Pool, 4.000%, 2/1/51 | 461,355 | ||||
323,960 | Freddie Mac Pool, 4.000%, 4/1/51 | 331,394 | ||||
201,994 | Freddie Mac Pool, 4.000%, 9/1/51 | 206,468 | ||||
1,245,792 | Freddie Mac Pool, 4.000%, 9/1/51 | 1,280,392 | ||||
3,146,508 | Freddie Mac Pool, 4.000%, 10/1/51 | 3,216,141 | ||||
514,970 | Freddie Mac Pool, 4.000%, 10/1/51 | 527,613 | ||||
804,863 | Freddie Mac Pool, 4.000%, 10/1/51 | 827,131 | ||||
392,862 | Freddie Mac Pool, 4.500%, 11/1/48 | 410,231 | ||||
210,799 | Freddie Mac Pool, 4.500%, 6/1/49 | 219,923 | ||||
215,392 | Freddie Mac Pool, 4.500%, 7/1/49 | 223,939 | ||||
1,765,649 | Freddie Mac Pool, 4.500%, 7/1/49 | 1,836,683 | ||||
1,271,412 | Freddie Mac Pool, 4.500%, 8/1/49 | 1,322,732 | ||||
1,109,566 | Freddie Mac Pool, 5.000%, 9/1/49 | 1,171,163 | ||||
2,912,073 | Freddie Mac Pool, 5.000%, 10/1/49 | 3,073,123 | ||||
384,871 | Freddie Mac Pool, 5.000%, 10/1/49 | 405,034 | ||||
4,555,866 | Freddie Mac Pool, 5.000%, 12/1/49 | 4,807,281 | ||||
49,000,000 | Ginnie Mae, 2.500%, 4/20/52 (TBA) | 47,575,937 | ||||
78,000,000 | Ginnie Mae, 3.000%, 4/20/52 (TBA) | 77,160,963 | ||||
38,000,000 | Ginnie Mae, 3.500%, 4/20/52 (TBA) | 38,238,242 | ||||
3,000,000 | Ginnie Mae, 4.500%, 4/20/52 (TBA) | 3,103,594 | ||||
3,037,609 | Government National Mortgage Association I, 3.500%, 11/15/41 | 3,117,725 | ||||
2,070,617 | Government National Mortgage Association I, 3.500%, 7/15/42 | 2,125,240 | ||||
340,410 | Government National Mortgage Association I, 3.500%, 10/15/42 | 350,671 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
580,465 | Government National Mortgage Association I, 3.500%, 1/15/44 | $ 605,857 | ||||
2,122,934 | Government National Mortgage Association I, 3.500%, 1/15/45 | 2,176,709 | ||||
783,634 | Government National Mortgage Association I, 3.500%, 8/15/46 | 793,341 | ||||
6,538 | Government National Mortgage Association I, 4.000%, 5/15/39 | 6,744 | ||||
1,197 | Government National Mortgage Association I, 4.000%, 6/15/39 | 1,268 | ||||
1,719 | Government National Mortgage Association I, 4.000%, 8/15/40 | 1,814 | ||||
136,868 | Government National Mortgage Association I, 4.000%, 8/15/40 | 141,503 | ||||
1,993 | Government National Mortgage Association I, 4.000%, 9/15/40 | 2,079 | ||||
2,090 | Government National Mortgage Association I, 4.000%, 10/15/40 | 2,211 | ||||
7,483 | Government National Mortgage Association I, 4.000%, 11/15/40 | 7,781 | ||||
17,917 | Government National Mortgage Association I, 4.000%, 11/15/40 | 18,982 | ||||
6,027 | Government National Mortgage Association I, 4.000%, 1/15/41 | 6,269 | ||||
21,243 | Government National Mortgage Association I, 4.000%, 1/15/41 | 22,509 | ||||
3,498 | Government National Mortgage Association I, 4.000%, 2/15/41 | 3,707 | ||||
24,425 | Government National Mortgage Association I, 4.000%, 6/15/41 | 25,379 | ||||
44,586 | Government National Mortgage Association I, 4.000%, 7/15/41 | 47,036 | ||||
104,346 | Government National Mortgage Association I, 4.000%, 9/15/41 | 110,125 | ||||
4,284 | Government National Mortgage Association I, 4.000%, 10/15/41 | 4,477 | ||||
4,895 | Government National Mortgage Association I, 4.000%, 10/15/41 | 5,046 | ||||
1,622 | Government National Mortgage Association I, 4.000%, 11/15/41 | 1,689 | ||||
1,343 | Government National Mortgage Association I, 4.000%, 11/15/41 | 1,385 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
1,600 | Government National Mortgage Association I, 4.000%, 12/15/41 | $ 1,676 | ||||
12,676 | Government National Mortgage Association I, 4.000%, 2/15/42 | 13,234 | ||||
278,702 | Government National Mortgage Association I, 4.000%, 8/15/43 | 291,688 | ||||
8,119 | Government National Mortgage Association I, 4.000%, 11/15/43 | 8,376 | ||||
237,524 | Government National Mortgage Association I, 4.000%, 3/15/44 | 250,669 | ||||
1,027,771 | Government National Mortgage Association I, 4.000%, 3/15/44 | 1,084,629 | ||||
22,133 | Government National Mortgage Association I, 4.000%, 3/15/44 | 22,886 | ||||
3,860 | Government National Mortgage Association I, 4.000%, 3/15/44 | 4,090 | ||||
694,081 | Government National Mortgage Association I, 4.000%, 4/15/44 | 725,397 | ||||
3,032 | Government National Mortgage Association I, 4.000%, 4/15/44 | 3,127 | ||||
5,974 | Government National Mortgage Association I, 4.000%, 4/15/44 | 6,212 | ||||
96,391 | Government National Mortgage Association I, 4.000%, 8/15/44 | 101,148 | ||||
704,686 | Government National Mortgage Association I, 4.000%, 9/15/44 | 743,661 | ||||
37,278 | Government National Mortgage Association I, 4.000%, 9/15/44 | 38,445 | ||||
25,883 | Government National Mortgage Association I, 4.000%, 9/15/44 | 26,692 | ||||
55,727 | Government National Mortgage Association I, 4.000%, 9/15/44 | 57,517 | ||||
16,096 | Government National Mortgage Association I, 4.000%, 10/15/44 | 16,595 | ||||
156,628 | Government National Mortgage Association I, 4.000%, 11/15/44 | 163,057 | ||||
566,792 | Government National Mortgage Association I, 4.000%, 12/15/44 | 591,685 | ||||
207,583 | Government National Mortgage Association I, 4.000%, 1/15/45 | 219,886 | ||||
387,073 | Government National Mortgage Association I, 4.000%, 1/15/45 | 399,120 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
141,364 | Government National Mortgage Association I, 4.000%, 1/15/45 | $ 145,788 | ||||
399,809 | Government National Mortgage Association I, 4.000%, 2/15/45 | 412,637 | ||||
497,846 | Government National Mortgage Association I, 4.000%, 2/15/45 | 515,327 | ||||
1,055,933 | Government National Mortgage Association I, 4.000%, 3/15/45 | 1,103,803 | ||||
828,445 | Government National Mortgage Association I, 4.000%, 4/15/45 | 873,992 | ||||
885,069 | Government National Mortgage Association I, 4.000%, 5/15/45 | 925,266 | ||||
1,418,746 | Government National Mortgage Association I, 4.000%, 6/15/45 | 1,496,306 | ||||
189,392 | Government National Mortgage Association I, 4.000%, 7/15/45 | 200,606 | ||||
230,648 | Government National Mortgage Association I, 4.000%, 8/15/45 | 241,057 | ||||
38,533 | Government National Mortgage Association I, 4.500%, 6/15/25 | 38,967 | ||||
19,725 | Government National Mortgage Association I, 4.500%, 7/15/33 | 21,180 | ||||
59,309 | Government National Mortgage Association I, 4.500%, 9/15/33 | 63,707 | ||||
72,283 | Government National Mortgage Association I, 4.500%, 10/15/33 | 77,619 | ||||
65,222 | Government National Mortgage Association I, 4.500%, 10/15/33 | 69,482 | ||||
7,816 | Government National Mortgage Association I, 4.500%, 2/15/34 | 8,330 | ||||
7,529 | Government National Mortgage Association I, 4.500%, 3/15/35 | 8,015 | ||||
73,817 | Government National Mortgage Association I, 4.500%, 4/15/35 | 79,081 | ||||
34,216 | Government National Mortgage Association I, 4.500%, 10/15/35 | 36,683 | ||||
41,374 | Government National Mortgage Association I, 4.500%, 4/15/38 | 44,098 | ||||
397,154 | Government National Mortgage Association I, 4.500%, 12/15/39 | 424,684 | ||||
149,871 | Government National Mortgage Association I, 4.500%, 1/15/40 | 161,548 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
62,766 | Government National Mortgage Association I, 4.500%, 9/15/40 | $ 67,807 | ||||
231,649 | Government National Mortgage Association I, 4.500%, 10/15/40 | 248,715 | ||||
103,433 | Government National Mortgage Association I, 4.500%, 4/15/41 | 110,229 | ||||
314,673 | Government National Mortgage Association I, 4.500%, 5/15/41 | 338,649 | ||||
183,605 | Government National Mortgage Association I, 4.500%, 6/15/41 | 197,083 | ||||
125,934 | Government National Mortgage Association I, 4.500%, 7/15/41 | 135,529 | ||||
108,339 | Government National Mortgage Association I, 4.500%, 8/15/41 | 116,283 | ||||
26,888 | Government National Mortgage Association I, 5.000%, 7/15/33 | 29,227 | ||||
26,925 | Government National Mortgage Association I, 5.000%, 9/15/33 | 29,606 | ||||
29,847 | Government National Mortgage Association I, 5.000%, 4/15/34 | 32,838 | ||||
195,101 | Government National Mortgage Association I, 5.000%, 4/15/35 | 214,675 | ||||
62,066 | Government National Mortgage Association I, 5.000%, 7/15/40 | 68,289 | ||||
32,198 | Government National Mortgage Association I, 5.500%, 1/15/29 | 34,379 | ||||
4,059 | Government National Mortgage Association I, 5.500%, 6/15/33 | 4,354 | ||||
22,718 | Government National Mortgage Association I, 5.500%, 7/15/33 | 25,134 | ||||
18,393 | Government National Mortgage Association I, 5.500%, 7/15/33 | 19,992 | ||||
7,695 | Government National Mortgage Association I, 5.500%, 8/15/33 | 8,563 | ||||
36,244 | Government National Mortgage Association I, 5.500%, 8/15/33 | 38,976 | ||||
11,750 | Government National Mortgage Association I, 5.500%, 8/15/33 | 13,014 | ||||
21,922 | Government National Mortgage Association I, 5.500%, 9/15/33 | 23,428 | ||||
26,210 | Government National Mortgage Association I, 5.500%, 9/15/33 | 28,054 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
24,159 | Government National Mortgage Association I, 5.500%, 10/15/33 | $ 25,896 | ||||
22,784 | Government National Mortgage Association I, 5.500%, 10/15/33 | 25,187 | ||||
111,933 | Government National Mortgage Association I, 5.500%, 7/15/34 | 123,844 | ||||
15,961 | Government National Mortgage Association I, 5.500%, 10/15/34 | 17,217 | ||||
148,935 | Government National Mortgage Association I, 5.500%, 11/15/34 | 165,300 | ||||
64,400 | Government National Mortgage Association I, 5.500%, 1/15/35 | 70,510 | ||||
11,106 | Government National Mortgage Association I, 5.500%, 2/15/35 | 11,999 | ||||
31,462 | Government National Mortgage Association I, 5.500%, 2/15/35 | 33,622 | ||||
25,755 | Government National Mortgage Association I, 5.500%, 6/15/35 | 27,514 | ||||
161,535 | Government National Mortgage Association I, 5.500%, 7/15/35 | 180,303 | ||||
17,184 | Government National Mortgage Association I, 5.500%, 10/15/35 | 18,803 | ||||
46,638 | Government National Mortgage Association I, 5.500%, 10/15/35 | 50,998 | ||||
14,383 | Government National Mortgage Association I, 5.500%, 2/15/37 | 16,066 | ||||
25,927 | Government National Mortgage Association I, 6.000%, 12/15/23 | 26,679 | ||||
1,888 | Government National Mortgage Association I, 6.000%, 1/15/24 | 2,010 | ||||
12,392 | Government National Mortgage Association I, 6.000%, 4/15/28 | 13,597 | ||||
66,176 | Government National Mortgage Association I, 6.000%, 9/15/28 | 71,264 | ||||
2,644 | Government National Mortgage Association I, 6.000%, 10/15/28 | 2,829 | ||||
21,314 | Government National Mortgage Association I, 6.000%, 2/15/29 | 22,787 | ||||
19,032 | Government National Mortgage Association I, 6.000%, 2/15/29 | 20,649 | ||||
7,957 | Government National Mortgage Association I, 6.000%, 11/15/31 | 8,739 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
503 | Government National Mortgage Association I, 6.000%, 3/15/32 | $ 546 | ||||
2,186 | Government National Mortgage Association I, 6.000%, 8/15/32 | 2,383 | ||||
16,739 | Government National Mortgage Association I, 6.000%, 9/15/32 | 17,887 | ||||
69,977 | Government National Mortgage Association I, 6.000%, 9/15/32 | 74,727 | ||||
57,188 | Government National Mortgage Association I, 6.000%, 9/15/32 | 61,067 | ||||
4,927 | Government National Mortgage Association I, 6.000%, 10/15/32 | 5,261 | ||||
14,892 | Government National Mortgage Association I, 6.000%, 10/15/32 | 16,114 | ||||
4,637 | Government National Mortgage Association I, 6.000%, 11/15/32 | 4,950 | ||||
3,220 | Government National Mortgage Association I, 6.000%, 11/15/32 | 3,442 | ||||
119,207 | Government National Mortgage Association I, 6.000%, 12/15/32 | 127,423 | ||||
4,613 | Government National Mortgage Association I, 6.000%, 12/15/32 | 4,935 | ||||
95,498 | Government National Mortgage Association I, 6.000%, 12/15/32 | 102,206 | ||||
27,107 | Government National Mortgage Association I, 6.000%, 12/15/32 | 28,991 | ||||
5,567 | Government National Mortgage Association I, 6.000%, 12/15/32 | 6,020 | ||||
29,134 | Government National Mortgage Association I, 6.000%, 12/15/32 | 31,115 | ||||
78,037 | Government National Mortgage Association I, 6.000%, 12/15/32 | 83,325 | ||||
62,893 | Government National Mortgage Association I, 6.000%, 1/15/33 | 70,539 | ||||
15,020 | Government National Mortgage Association I, 6.000%, 1/15/33 | 16,108 | ||||
42,596 | Government National Mortgage Association I, 6.000%, 2/15/33 | 46,493 | ||||
64,156 | Government National Mortgage Association I, 6.000%, 2/15/33 | 69,763 | ||||
41,644 | Government National Mortgage Association I, 6.000%, 2/15/33 | 44,525 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
12,535 | Government National Mortgage Association I, 6.000%, 2/15/33 | $ 14,039 | ||||
47,189 | Government National Mortgage Association I, 6.000%, 3/15/33 | 52,951 | ||||
45,263 | Government National Mortgage Association I, 6.000%, 3/15/33 | 50,775 | ||||
21,324 | Government National Mortgage Association I, 6.000%, 3/15/33 | 23,188 | ||||
38,700 | Government National Mortgage Association I, 6.000%, 3/15/33 | 41,406 | ||||
11,285 | Government National Mortgage Association I, 6.000%, 3/15/33 | 12,049 | ||||
48,097 | Government National Mortgage Association I, 6.000%, 3/15/33 | 52,554 | ||||
204,069 | Government National Mortgage Association I, 6.000%, 3/15/33 | 223,670 | ||||
88,602 | Government National Mortgage Association I, 6.000%, 3/15/33 | 99,369 | ||||
7,610 | Government National Mortgage Association I, 6.000%, 4/15/33 | 8,123 | ||||
15,988 | Government National Mortgage Association I, 6.000%, 4/15/33 | 17,088 | ||||
47,364 | Government National Mortgage Association I, 6.000%, 5/15/33 | 50,774 | ||||
3,961 | Government National Mortgage Association I, 6.000%, 6/15/33 | 4,360 | ||||
23,193 | Government National Mortgage Association I, 6.000%, 9/15/33 | 25,727 | ||||
2,077 | Government National Mortgage Association I, 6.000%, 9/15/33 | 2,218 | ||||
498 | Government National Mortgage Association I, 6.000%, 9/15/33 | 530 | ||||
11,712 | Government National Mortgage Association I, 6.000%, 10/15/33 | 12,522 | ||||
38,436 | Government National Mortgage Association I, 6.000%, 11/15/33 | 41,049 | ||||
82,889 | Government National Mortgage Association I, 6.000%, 3/15/34 | 89,891 | ||||
17,544 | Government National Mortgage Association I, 6.000%, 6/15/34 | 19,259 | ||||
12,845 | Government National Mortgage Association I, 6.000%, 8/15/34 | 14,304 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
37,450 | Government National Mortgage Association I, 6.000%, 8/15/34 | $ 39,997 | ||||
7,269 | Government National Mortgage Association I, 6.000%, 9/15/34 | 7,849 | ||||
31,304 | Government National Mortgage Association I, 6.000%, 9/15/34 | 33,473 | ||||
56,456 | Government National Mortgage Association I, 6.000%, 9/15/34 | 62,476 | ||||
82,793 | Government National Mortgage Association I, 6.000%, 10/15/34 | 88,503 | ||||
36,540 | Government National Mortgage Association I, 6.000%, 10/15/34 | 39,223 | ||||
39,992 | Government National Mortgage Association I, 6.000%, 10/15/34 | 42,763 | ||||
49,424 | Government National Mortgage Association I, 6.000%, 11/15/34 | 53,599 | ||||
297,574 | Government National Mortgage Association I, 6.000%, 9/15/35 | 329,059 | ||||
79,350 | Government National Mortgage Association I, 6.000%, 8/15/36 | 88,980 | ||||
35,690 | Government National Mortgage Association I, 6.000%, 10/15/36 | 38,811 | ||||
15,407 | Government National Mortgage Association I, 6.000%, 11/15/37 | 17,153 | ||||
12,247 | Government National Mortgage Association I, 6.000%, 8/15/38 | 13,108 | ||||
2,982 | Government National Mortgage Association I, 6.500%, 10/15/24 | 3,083 | ||||
3,245 | Government National Mortgage Association I, 6.500%, 4/15/28 | 3,468 | ||||
22,862 | Government National Mortgage Association I, 6.500%, 4/15/28 | 24,437 | ||||
3,036 | Government National Mortgage Association I, 6.500%, 6/15/28 | 3,269 | ||||
2,460 | Government National Mortgage Association I, 6.500%, 8/15/28 | 2,629 | ||||
3,780 | Government National Mortgage Association I, 6.500%, 10/15/28 | 4,040 | ||||
1,553 | Government National Mortgage Association I, 6.500%, 10/15/28 | 1,659 | ||||
13,962 | Government National Mortgage Association I, 6.500%, 1/15/29 | 14,920 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
2,934 | Government National Mortgage Association I, 6.500%, 2/15/29 | $ 3,135 | ||||
5,087 | Government National Mortgage Association I, 6.500%, 2/15/29 | 5,437 | ||||
506 | Government National Mortgage Association I, 6.500%, 2/15/29 | 541 | ||||
1,098 | Government National Mortgage Association I, 6.500%, 3/15/29 | 1,173 | ||||
1,181 | Government National Mortgage Association I, 6.500%, 3/15/29 | 1,262 | ||||
4,694 | Government National Mortgage Association I, 6.500%, 3/15/29 | 5,017 | ||||
15,805 | Government National Mortgage Association I, 6.500%, 3/15/29 | 16,890 | ||||
10,319 | Government National Mortgage Association I, 6.500%, 3/15/29 | 11,028 | ||||
20,503 | Government National Mortgage Association I, 6.500%, 5/15/29 | 22,241 | ||||
715 | Government National Mortgage Association I, 6.500%, 5/15/29 | 764 | ||||
658 | Government National Mortgage Association I, 6.500%, 5/15/29 | 703 | ||||
20,129 | Government National Mortgage Association I, 6.500%, 4/15/31 | 21,511 | ||||
5,500 | Government National Mortgage Association I, 6.500%, 5/15/31 | 6,058 | ||||
29,013 | Government National Mortgage Association I, 6.500%, 5/15/31 | 31,005 | ||||
5,911 | Government National Mortgage Association I, 6.500%, 5/15/31 | 6,480 | ||||
3,828 | Government National Mortgage Association I, 6.500%, 6/15/31 | 4,091 | ||||
9,871 | Government National Mortgage Association I, 6.500%, 7/15/31 | 10,548 | ||||
20,174 | Government National Mortgage Association I, 6.500%, 8/15/31 | 21,559 | ||||
8,464 | Government National Mortgage Association I, 6.500%, 9/15/31 | 9,045 | ||||
3,241 | Government National Mortgage Association I, 6.500%, 10/15/31 | 3,464 | ||||
27,011 | Government National Mortgage Association I, 6.500%, 10/15/31 | 28,865 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
3,163 | Government National Mortgage Association I, 6.500%, 10/15/31 | $ 3,380 | ||||
2,172 | Government National Mortgage Association I, 6.500%, 11/15/31 | 2,321 | ||||
33,526 | Government National Mortgage Association I, 6.500%, 11/15/31 | 36,188 | ||||
48,074 | Government National Mortgage Association I, 6.500%, 1/15/32 | 51,732 | ||||
10,507 | Government National Mortgage Association I, 6.500%, 1/15/32 | 11,228 | ||||
8,138 | Government National Mortgage Association I, 6.500%, 2/15/32 | 8,894 | ||||
12,938 | Government National Mortgage Association I, 6.500%, 2/15/32 | 14,160 | ||||
2,436 | Government National Mortgage Association I, 6.500%, 2/15/32 | 2,604 | ||||
6,511 | Government National Mortgage Association I, 6.500%, 2/15/32 | 6,970 | ||||
15,411 | Government National Mortgage Association I, 6.500%, 2/15/32 | 16,469 | ||||
7,497 | Government National Mortgage Association I, 6.500%, 3/15/32 | 8,012 | ||||
30,767 | Government National Mortgage Association I, 6.500%, 3/15/32 | 32,879 | ||||
5,145 | Government National Mortgage Association I, 6.500%, 4/15/32 | 5,498 | ||||
7,024 | Government National Mortgage Association I, 6.500%, 4/15/32 | 7,506 | ||||
19,030 | Government National Mortgage Association I, 6.500%, 4/15/32 | 20,772 | ||||
1,841 | Government National Mortgage Association I, 6.500%, 5/15/32 | 1,968 | ||||
2,267 | Government National Mortgage Association I, 6.500%, 5/15/32 | 2,422 | ||||
4,482 | Government National Mortgage Association I, 6.500%, 5/15/32 | 4,888 | ||||
1,756 | Government National Mortgage Association I, 6.500%, 5/15/32 | 1,877 | ||||
2,915 | Government National Mortgage Association I, 6.500%, 6/15/32 | 3,115 | ||||
5,704 | Government National Mortgage Association I, 6.500%, 6/15/32 | 6,095 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
7,659 | Government National Mortgage Association I, 6.500%, 7/15/32 | $ 8,185 | ||||
56,266 | Government National Mortgage Association I, 6.500%, 7/15/32 | 62,063 | ||||
6,864 | Government National Mortgage Association I, 6.500%, 7/15/32 | 7,578 | ||||
15,993 | Government National Mortgage Association I, 6.500%, 8/15/32 | 17,451 | ||||
26,026 | Government National Mortgage Association I, 6.500%, 8/15/32 | 27,813 | ||||
2,974 | Government National Mortgage Association I, 6.500%, 8/15/32 | 3,180 | ||||
23,361 | Government National Mortgage Association I, 6.500%, 9/15/32 | 24,971 | ||||
10,647 | Government National Mortgage Association I, 6.500%, 9/15/32 | 11,555 | ||||
28,649 | Government National Mortgage Association I, 6.500%, 9/15/32 | 30,616 | ||||
15,006 | Government National Mortgage Association I, 6.500%, 10/15/32 | 16,036 | ||||
21,725 | Government National Mortgage Association I, 6.500%, 11/15/32 | 24,010 | ||||
126,609 | Government National Mortgage Association I, 6.500%, 12/15/32 | 139,362 | ||||
140,470 | Government National Mortgage Association I, 6.500%, 1/15/33 | 155,560 | ||||
1,351 | Government National Mortgage Association I, 6.500%, 1/15/33 | 1,474 | ||||
15,678 | Government National Mortgage Association I, 6.500%, 5/15/33 | 16,755 | ||||
713 | Government National Mortgage Association I, 6.500%, 10/15/33 | 762 | ||||
90,458 | Government National Mortgage Association I, 6.500%, 6/15/34 | 96,745 | ||||
31,066 | Government National Mortgage Association I, 6.500%, 4/15/35 | 33,199 | ||||
5,281 | Government National Mortgage Association I, 6.500%, 6/15/35 | 5,727 | ||||
14,894 | Government National Mortgage Association I, 6.500%, 7/15/35 | 16,110 | ||||
53,765 | Government National Mortgage Association I, 6.500%, 7/15/35 | 57,456 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
2,493 | Government National Mortgage Association I, 7.000%, 8/15/23 | $ 2,541 | ||||
10,053 | Government National Mortgage Association I, 7.000%, 9/15/24 | 10,367 | ||||
2,947 | Government National Mortgage Association I, 7.000%, 7/15/25 | 3,029 | ||||
2,010 | Government National Mortgage Association I, 7.000%, 11/15/26 | 2,124 | ||||
4,571 | Government National Mortgage Association I, 7.000%, 6/15/27 | 4,856 | ||||
4,731 | Government National Mortgage Association I, 7.000%, 1/15/28 | 4,979 | ||||
3,575 | Government National Mortgage Association I, 7.000%, 2/15/28 | 3,616 | ||||
3,169 | Government National Mortgage Association I, 7.000%, 4/15/28 | 3,181 | ||||
6,650 | Government National Mortgage Association I, 7.000%, 7/15/28 | 7,030 | ||||
422 | Government National Mortgage Association I, 7.000%, 8/15/28 | 451 | ||||
5,659 | Government National Mortgage Association I, 7.000%, 11/15/28 | 6,161 | ||||
16,798 | Government National Mortgage Association I, 7.000%, 11/15/28 | 18,178 | ||||
15,320 | Government National Mortgage Association I, 7.000%, 4/15/29 | 15,646 | ||||
14,163 | Government National Mortgage Association I, 7.000%, 4/15/29 | 14,825 | ||||
16,044 | Government National Mortgage Association I, 7.000%, 5/15/29 | 16,253 | ||||
3,895 | Government National Mortgage Association I, 7.000%, 7/15/29 | 4,096 | ||||
29,540 | Government National Mortgage Association I, 7.000%, 11/15/29 | 31,263 | ||||
13,191 | Government National Mortgage Association I, 7.000%, 12/15/30 | 14,454 | ||||
326 | Government National Mortgage Association I, 7.000%, 12/15/30 | 327 | ||||
1,361 | Government National Mortgage Association I, 7.000%, 12/15/30 | 1,377 | ||||
28,553 | Government National Mortgage Association I, 7.000%, 12/15/30 | 28,868 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
32,414 | Government National Mortgage Association I, 7.000%, 1/15/31 | $ 32,709 | ||||
3,261 | Government National Mortgage Association I, 7.000%, 3/15/31 | 3,311 | ||||
10,540 | Government National Mortgage Association I, 7.000%, 6/15/31 | 11,715 | ||||
1,290 | Government National Mortgage Association I, 7.000%, 7/15/31 | 1,423 | ||||
63,317 | Government National Mortgage Association I, 7.000%, 8/15/31 | 70,249 | ||||
7,669 | Government National Mortgage Association I, 7.000%, 9/15/31 | 7,857 | ||||
11,899 | Government National Mortgage Association I, 7.000%, 9/15/31 | 12,614 | ||||
6,250 | Government National Mortgage Association I, 7.000%, 11/15/31 | 6,441 | ||||
33,082 | Government National Mortgage Association I, 7.000%, 3/15/32 | 35,373 | ||||
26,875 | Government National Mortgage Association I, 7.000%, 4/15/32 | 28,712 | ||||
41,620 | Government National Mortgage Association I, 7.000%, 5/15/32 | 46,835 | ||||
160 | Government National Mortgage Association I, 7.500%, 3/15/23 | 161 | ||||
5,570 | Government National Mortgage Association I, 7.500%, 10/15/23 | 5,715 | ||||
505 | Government National Mortgage Association I, 7.500%, 6/15/24 | 511 | ||||
4,112 | Government National Mortgage Association I, 7.500%, 8/15/25 | 4,127 | ||||
975 | Government National Mortgage Association I, 7.500%, 9/15/25 | 1,019 | ||||
3,081 | Government National Mortgage Association I, 7.500%, 2/15/27 | 3,129 | ||||
11,434 | Government National Mortgage Association I, 7.500%, 3/15/27 | 12,250 | ||||
19,223 | Government National Mortgage Association I, 7.500%, 10/15/27 | 20,398 | ||||
9,818 | Government National Mortgage Association I, 7.500%, 6/15/29 | 10,472 | ||||
4,959 | Government National Mortgage Association I, 7.500%, 8/15/29 | 4,978 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
8,399 | Government National Mortgage Association I, 7.500%, 9/15/29 | $ 8,431 | ||||
12,103 | Government National Mortgage Association I, 7.500%, 2/15/31 | 12,425 | ||||
10,926 | Government National Mortgage Association I, 7.500%, 2/15/31 | 10,970 | ||||
4,944 | Government National Mortgage Association I, 7.500%, 3/15/31 | 5,064 | ||||
12,983 | Government National Mortgage Association I, 7.500%, 12/15/31 | 13,382 | ||||
1,629 | Government National Mortgage Association I, 7.750%, 2/15/30 | 1,644 | ||||
38 | Government National Mortgage Association I, 9.000%, 6/15/22 | 38 | ||||
162,988 | Government National Mortgage Association II, 3.500%, 3/20/45 | 164,925 | ||||
313,031 | Government National Mortgage Association II, 3.500%, 4/20/45 | 319,333 | ||||
622,690 | Government National Mortgage Association II, 3.500%, 4/20/45 | 631,460 | ||||
237,284 | Government National Mortgage Association II, 3.500%, 4/20/45 | 241,643 | ||||
751,109 | Government National Mortgage Association II, 3.500%, 3/20/46 | 766,368 | ||||
2,288,313 | Government National Mortgage Association II, 4.000%, 7/20/44 | 2,405,912 | ||||
82,529 | Government National Mortgage Association II, 4.000%, 9/20/44 | 86,768 | ||||
551,510 | Government National Mortgage Association II, 4.000%, 10/20/44 | 579,830 | ||||
1,697,218 | Government National Mortgage Association II, 4.000%, 10/20/46 | 1,768,487 | ||||
1,022,709 | Government National Mortgage Association II, 4.000%, 2/20/48 | 1,070,559 | ||||
1,370,367 | Government National Mortgage Association II, 4.000%, 4/20/48 | 1,434,471 | ||||
19,991 | Government National Mortgage Association II, 4.500%, 12/20/34 | 21,267 | ||||
105,833 | Government National Mortgage Association II, 4.500%, 1/20/35 | 112,786 | ||||
17,329 | Government National Mortgage Association II, 4.500%, 3/20/35 | 18,465 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
434,395 | Government National Mortgage Association II, 4.500%, 9/20/41 | $ 463,247 | ||||
1,557,229 | Government National Mortgage Association II, 4.500%, 9/20/44 | 1,645,565 | ||||
585,173 | Government National Mortgage Association II, 4.500%, 10/20/44 | 623,326 | ||||
1,192,525 | Government National Mortgage Association II, 4.500%, 11/20/44 | 1,274,305 | ||||
1,414,418 | Government National Mortgage Association II, 4.500%, 2/20/48 | 1,484,662 | ||||
74,223 | Government National Mortgage Association II, 5.500%, 3/20/34 | 82,406 | ||||
60,382 | Government National Mortgage Association II, 5.500%, 4/20/34 | 67,001 | ||||
38,525 | Government National Mortgage Association II, 5.500%, 10/20/37 | 40,935 | ||||
55,203 | Government National Mortgage Association II, 5.750%, 6/20/33 | 58,525 | ||||
16,096 | Government National Mortgage Association II, 5.900%, 1/20/28 | 17,046 | ||||
27,820 | Government National Mortgage Association II, 5.900%, 7/20/28 | 29,259 | ||||
7,409 | Government National Mortgage Association II, 6.000%, 10/20/31 | 8,032 | ||||
35,223 | Government National Mortgage Association II, 6.000%, 1/20/33 | 39,088 | ||||
39,638 | Government National Mortgage Association II, 6.000%, 10/20/33 | 44,005 | ||||
22,829 | Government National Mortgage Association II, 6.000%, 6/20/34 | 25,346 | ||||
57,983 | Government National Mortgage Association II, 6.450%, 1/20/33 | 61,147 | ||||
2,215 | Government National Mortgage Association II, 6.500%, 1/20/24 | 2,263 | ||||
14,812 | Government National Mortgage Association II, 6.500%, 8/20/28 | 15,876 | ||||
710 | Government National Mortgage Association II, 6.500%, 2/20/29 | 765 | ||||
271 | Government National Mortgage Association II, 6.500%, 3/20/29 | 289 | ||||
8,917 | Government National Mortgage Association II, 6.500%, 4/20/29 | 9,497 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
4,781 | Government National Mortgage Association II, 6.500%, 4/20/31 | $ 5,210 | ||||
3,460 | Government National Mortgage Association II, 6.500%, 6/20/31 | 3,778 | ||||
16,075 | Government National Mortgage Association II, 6.500%, 10/20/32 | 17,844 | ||||
22,270 | Government National Mortgage Association II, 6.500%, 3/20/34 | 24,700 | ||||
2,016 | Government National Mortgage Association II, 7.000%, 5/20/26 | 2,115 | ||||
6,986 | Government National Mortgage Association II, 7.000%, 8/20/27 | 7,500 | ||||
6,623 | Government National Mortgage Association II, 7.000%, 6/20/28 | 7,090 | ||||
27,357 | Government National Mortgage Association II, 7.000%, 11/20/28 | 29,305 | ||||
26,684 | Government National Mortgage Association II, 7.000%, 1/20/29 | 28,901 | ||||
2,500 | Government National Mortgage Association II, 7.000%, 2/20/29 | 2,680 | ||||
734 | Government National Mortgage Association II, 7.000%, 12/20/30 | 798 | ||||
4,017 | Government National Mortgage Association II, 7.000%, 1/20/31 | 4,409 | ||||
2,098 | Government National Mortgage Association II, 7.000%, 3/20/31 | 2,314 | ||||
13,310 | Government National Mortgage Association II, 7.000%, 7/20/31 | 14,930 | ||||
4,579 | Government National Mortgage Association II, 7.000%, 11/20/31 | 5,055 | ||||
4,684 | Government National Mortgage Association II, 7.500%, 5/20/30 | 5,182 | ||||
1,619 | Government National Mortgage Association II, 7.500%, 6/20/30 | 1,768 | ||||
2,146 | Government National Mortgage Association II, 7.500%, 7/20/30 | 2,317 | ||||
4,625 | Government National Mortgage Association II, 7.500%, 8/20/30 | 5,175 | ||||
2,467 | Government National Mortgage Association II, 7.500%, 12/20/30 | 2,765 | ||||
5 | Government National Mortgage Association II, 8.000%, 5/20/25 | 5 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
823 | Government National Mortgage Association II, 9.000%, 11/20/24 | $ 826 | ||||
360,000,000(f) | U.S. Treasury Bills, 4/5/22 | 359,994,398 | ||||
200,000,000(f) | U.S. Treasury Bills, 4/12/22 | 199,991,138 | ||||
40,000,000(f) | U.S. Treasury Bills, 4/14/22 | 39,997,617 | ||||
300,000,000(f) | U.S. Treasury Bills, 4/21/22 | 299,978,751 | ||||
200,000,000(f) | U.S. Treasury Bills, 4/26/22 | 199,982,292 | ||||
200,000,000(f) | U.S. Treasury Bills, 5/17/22 | 199,941,222 | ||||
44,400,000 | U.S. Treasury Notes, 0.125%, 10/31/22 | 44,132,906 | ||||
31,428,700 | U.S. Treasury Notes, 0.625%, 8/15/30 | 27,322,098 | ||||
Total U.S. Government and Agency Obligations (Cost $3,217,625,835) | $3,184,102,326 | |||||
Shares | ||||||
SHORT TERM INVESTMENTS — 1.3% of Net Assets | ||||||
Open-End Fund — 1.3% | ||||||
70,920,440(l) | Dreyfus Government Cash Management, Institutional Shares, 0.19% | $ 70,920,440 | ||||
$70,920,440 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost $70,920,440) | $70,920,440 | |||||
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS — 124.9% (Cost $7,014,906,544) | $6,805,543,892 | |||||
OTHER ASSETS AND LIABILITIES — (24.9)% | $(1,355,568,401) | |||||
net assets — 100.0% | $5,449,975,491 | |||||
(TBA) | “To Be Announced” Securities. |
bps | Basis Points. |
CMT | Constant Maturity Treasury Index. |
FREMF | Freddie Mac Multifamily Fixed-Rate Mortgage Loans. |
FRESB | Freddie Mac Multifamily Small Balance Certificates. |
ICE | Intercontinental Exchange. |
LIBOR | London Interbank Offered Rate. |
REIT | Real Estate Investment Trust. |
REMICS | Real Estate Mortgage Investment Conduits. |
SOFR | Secured Overnight Financing Rate. |
SOFR30A | Secured Overnight Financing Rate 30 Day Average. |
(144A) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At March 31, 2022, the value of these securities amounted to $2,279,177,192, or 41.8% of net assets. |
(a) | Floating rate note. Coupon rate, reference index and spread shown at March 31, 2022. |
(b) | This term loan will settle after March 31, 2022, at which time the interest rate will be determined. |
(c) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at March 31, 2022. |
(d) | Security represents the interest-only portion payments on a pool of underlying mortgages or mortgage-backed securities. |
(e) | Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at March 31, 2022. |
(f) | Security issued with a zero coupon. Income is recognized through accretion of discount. |
(g) | Security is perpetual in nature and has no stated maturity date. |
(h) | Consists of Revenue Bonds unless otherwise indicated. |
(i) | Issued as participation notes. |
(j) | Non-income producing security. |
(k) | Issued as preference shares. |
(l) | Rate periodically changes. Rate disclosed is the 7-day yield at March 31, 2022. |
* | Senior secured floating rate loan interests in which the Fund invests generally pay interest at rates that are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR, (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at March 31, 2022. |
† | Amount rounds to less than 0.1%. |
+ | Security that used significant unobservable inputs to determine its value. |
# | Securities are restricted as to resale. |
Restricted Securities | Acquisition date | Cost | Value |
Adare Re 2022 | 12/30/2021 | $1,006,000 | $1,018,071 |
Akibare Re | 1/24/2022 | 499,916 | 498,500 |
Alamo Re | 11/9/2021 | 2,029,425 | 2,005,600 |
Alturas Re 2019-1 | 12/20/2018 | 2,200 | 10,061 |
Alturas Re 2019-2 | 12/19/2018 | 34,018 | 11,716 |
Alturas Re 2019-3 | 6/26/2019 | 24,550 | 5,775 |
Alturas Re 2020-1A | 12/27/2019 | 285,668 | 9,827 |
Restricted Securities | Acquisition date | Cost | Value |
Alturas Re 2020-1B | 1/1/2020 | $363,577 | $12,507 |
Alturas Re 2020-2 | 1/1/2020 | 540,698 | 255,682 |
Alturas Re 2020-3 | 8/3/2020 | — | 3,428 |
Alturas Re 2021-2 | 2/16/2021 | 206,902 | — |
Alturas Re 2021-3 | 8/16/2021 | 213,682 | 195,198 |
Alturas Re 2022-2 | 1/18/2022 | 3,752,400 | 3,801,181 |
Ballybunion Re 2020 | 12/31/2019 | 548,976 | 903,792 |
Ballybunion Re 2021-3 | 8/4/2021 | 2,250,000 | 2,281,500 |
Ballybunion Re 2022 | 3/9/2022 | 1,750,000 | 1,767,500 |
Bantry Re 2016 | 2/6/2019 | 120,900 | 120,900 |
Bantry Re 2019 | 2/1/2019 | — | 169,818 |
Bantry Re 2020 | 2/4/2020 | — | 310,864 |
Bantry Re 2021 | 1/11/2021 | 828,427 | 757,000 |
Bantry Re 2022 | 2/2/2022 | 4,171,573 | 4,243,048 |
Berwick Re 2018-1 | 1/10/2018 | 1,488,753 | 787,862 |
Berwick Re 2019-1 | 12/31/2018 | 870,105 | 870,167 |
Berwick Re 2020-1 | 9/24/2020 | — | 300 |
Berwick Re 2022 | 12/28/2021 | 4,500,000 | 4,566,216 |
Bonanza Re | 3/11/2022 | 250,000 | 249,875 |
Bowline Re 2018-1 | 5/10/2018 | 2,000,000 | 2,004,800 |
Caelus Re V | 4/27/2017 | 100,000 | 75,000 |
Cape Lookout Re | 11/10/2021 | 3,622,135 | 3,561,005 |
Carnoustie Re 2020 | 7/16/2020 | 91,015 | 271,200 |
Carnoustie Re 2021 | 1/25/2021 | 62,107 | 87,865 |
Carnoustie Re 2022 | 1/20/2022 | 1,000,000 | 1,021,302 |
Denning Re 2021 | 7/28/2021 | 1,956,584 | 2,003,334 |
Dingle Re 2020 | 2/13/2020 | — | 72,205 |
Eden Re II | 1/22/2019 | 6,926 | 146,371 |
Eden Re II | 12/23/2019 | 640,000 | 340,480 |
Eden Re II | 12/16/2019 | 210,000 | 106,470 |
Eden Re II | 12/14/2018 | 1,728 | 15,014 |
Eden Re II | 1/25/2021 | 2,250,000 | 1,946,250 |
Eden Re II | 1/21/2022 | 5,200,000 | 5,200,000 |
FloodSmart Re | 2/9/2021 | 759,375 | 730,425 |
FloodSmart Re | 2/16/2021 | 1,250,000 | 1,226,875 |
FloodSmart Re | 2/14/2022 | 2,000,000 | 1,989,800 |
Formby Re 2018 | 7/9/2018 | 140,826 | 184,200 |
Four Lakes Re | 12/15/2021 | 500,000 | 496,000 |
Gleneagles Re 2018 | 12/27/2017 | 80,273 | 118,300 |
Gleneagles Re 2019 | 12/31/2018 | — | 19,818 |
Gleneagles Re 2020 | 6/16/2020 | 9,838 | 124,929 |
Gleneagles Re 2021 | 1/13/2021 | 322,305 | 299,430 |
Gleneagles Re 2022 | 1/18/2022 | 1,250,000 | 1,266,317 |
Gullane Re 2018 | 3/26/2018 | — | 131,133 |
Restricted Securities | Acquisition date | Cost | Value |
Gullane Re 2022 | 2/14/2022 | $6,000,000 | $6,223,274 |
Harambee Re 2018 | 12/19/2017 | 42,461 | 1,600 |
Harambee Re 2019 | 12/20/2018 | — | 3,500 |
Harambee Re 2020 | 2/27/2020 | 38,121 | 136,400 |
Herbie Re | 10/19/2020 | 500,000 | 510,750 |
Integrity Re | 11/29/2021 | 3,526,125 | 3,505,250 |
International Bank for Reconstruction & Development | 2/28/2020 | 250,000 | 252,600 |
Limestone Re | 6/20/2018 | 1,101 | — |
Limestone Re | 12/15/2016 | 11,622 | — |
Limestone Re 2020-1 | 12/27/2019 | 7,100 | 59,924 |
Limestone Re 2020-1 | 12/15/2016 | 2,400 | 20,256 |
Lion Rock Re 2019 | 12/17/2018 | — | — |
Lion Rock Re 2020 | 3/27/2020 | — | — |
Lion Rock Re 2021 | 3/1/2021 | 429,564 | 320,000 |
Long Point Re III | 11/24/2021 | 7,921,800 | 7,896,050 |
Lorenz Re 2018 | 6/26/2018 | 954,841 | — |
Lorenz Re 2019 | 6/26/2019 | 939,444 | 347,209 |
Lorenz Re 2020 | 8/11/2020 | 149,697 | 169,914 |
Lorenz Re 2020 | 8/12/2020 | 121,877 | 138,538 |
Matterhorn Re | 1/29/2020 | 1,248,112 | 1,194,625 |
Matterhorn Re | 12/15/2021 | 250,000 | 248,275 |
Matterhorn Re | 3/10/2022 | 2,000,000 | 1,999,000 |
Matterhorn Re | 3/10/2022 | 1,000,000 | 999,500 |
Merion Re 2018-2 | 12/28/2017 | 288,065 | 1,158,500 |
Merion Re 2021-2 | 12/28/2020 | 2,448,845 | 1,953,900 |
Merion Re 2022-1 | 1/25/2022 | 214,942 | 222,804 |
Merion Re 2022-2 | 3/1/2022 | 6,551,154 | 6,639,303 |
Oakmont Re 2017 | 5/10/2017 | — | 29,400 |
Oakmont Re 2020 | 12/3/2020 | 5,656,526 | 5,858,892 |
Old Head Re 2022 | 1/6/2022 | 188,289 | 203,516 |
Pangaea Re 2016-2 | 5/31/2016 | — | 5,350 |
Pangaea Re 2018-1 | 12/26/2017 | 543,427 | 80,007 |
Pangaea Re 2018-3 | 5/31/2018 | 1,565,597 | 134,832 |
Pangaea Re 2019-1 | 1/9/2019 | 42,174 | 83,704 |
Pangaea Re 2019-3 | 7/25/2019 | 143,386 | 171,924 |
Pangaea Re 2020-1 | 1/21/2020 | — | 84,354 |
Pangaea Re 2020-3 | 9/2/2020 | — | 70,391 |
Pangaea Re 2021-1 | 1/19/2021 | 272,754 | 144,254 |
Pangaea Re 2022-1 | 1/11/2022 | 4,727,246 | 4,727,246 |
Phoenician Re | 12/1/2021 | 1,000,000 | 993,600 |
Phoenix One Re | 12/21/2020 | 1,250,000 | 1,335,000 |
Pine Valley Re 2022 | 1/12/2022 | 911,513 | 923,050 |
Sanders Re II | 11/23/2021 | 2,754,375 | 2,740,100 |
Restricted Securities | Acquisition date | Cost | Value |
Sector Re V | 12/4/2018 | $258,402 | $153,293 |
Sector Re V | 1/1/2020 | 99,999 | 290,016 |
Sector Re V | 12/14/2018 | 55,780 | 35,760 |
Sector Re V | 4/23/2019 | 600,000 | 455,036 |
Sector Re V | 5/1/2019 | 1,914 | 45,432 |
Sector Re V | 12/4/2019 | 200,000 | 580,038 |
Sector Re V | 4/24/2020 | 533 | 28,830 |
Sector Re V | 4/29/2020 | 959 | 51,873 |
Sector Re V | 4/29/2020 | 3,490 | 46,927 |
Sector Re V | 12/4/2020 | 3,326 | 161,345 |
Sector Re V | 12/21/2020 | 5,986 | 290,382 |
Sector Re V | 12/6/2021 | 500,000 | 509,343 |
Sector Re V | 1/5/2022 | 4,199,987 | 4,278,471 |
Shadow Creek Re 2021 | 8/31/2021 | — | 7,593 |
Sussex Re 2020-1 | 1/21/2020 | — | 77,248 |
Sussex Re 2021-1 | 1/26/2021 | 171,235 | 192,500 |
Thopas Re 2019 | 12/21/2018 | — | — |
Thopas Re 2020 | 12/30/2019 | — | — |
Thopas Re 2021 | 12/30/2020 | — | — |
Thopas Re 2022 | 2/15/2022 | 4,000,000 | 4,082,400 |
Torricelli Re 2021 | 7/2/2021 | 4,228,426 | 4,127,367 |
Vermillion Re 2022 | 2/22/2022 | 2,866,500 | 2,899,788 |
Versutus Re 2018 | 1/31/2018 | — | 2,400 |
Versutus Re 2019-A | 1/28/2019 | — | 1,059 |
Versutus Re 2019-B | 12/24/2018 | — | — |
Viribus Re 2018 | 12/22/2017 | 78,899 | — |
Viribus Re 2019 | 12/27/2018 | — | 95,630 |
Viribus Re 2020 | 3/12/2020 | 421,904 | 182,141 |
Viribus Re 2021 | 2/1/2021 | 3,717,666 | 3,763,021 |
Vitality Re X | 2/3/2020 | 2,499,172 | 2,477,750 |
Vitality Re XI | 1/31/2020 | 996,071 | 980,000 |
Walton Health Re 2018 | 6/25/2018 | 353,440 | 44,047 |
Walton Health Re 2019 | 7/18/2019 | 213,922 | 292,110 |
Woburn Re 2018 | 3/20/2018 | 545,131 | 89,824 |
Woburn Re 2019 | 1/30/2019 | 952,410 | 1,124,567 |
Total Restricted Securities | $127,247,894 | ||
% of Net assets | 2.3% |
Number of Contracts Long | Description | Expiration Date | Notional Amount | Market Value | Unrealized (Depreciation) |
1,071 | U.S. 2 Year Note (CBT) | 6/30/22 | $229,924,484 | $226,968,329 | $(2,956,155) |
6,827 | U.S. 5 Year Note (CBT) | 6/30/22 | 799,075,492 | 782,971,562 | (16,103,930) |
2,189 | U.S. Ultra Bond (CBT) | 6/21/22 | 402,141,835 | 387,726,625 | (14,415,210) |
9 | U.S. Long Bond (CBT) | 6/21/22 | 1,388,911 | 1,350,563 | (38,348) |
$1,432,530,722 | $1,399,017,079 | $(33,513,643) |
Number of Contracts Short | Description | Expiration Date | Notional Amount | Market Value | Unrealized Appreciation |
1,102 | U.S. 10 Year Note (CBT) | 6/21/22 | $(139,633,024) | $(135,408,250) | $4,224,774 |
2,316 | U.S. 10 Year Ultra Bond (CBT) | 6/21/22 | (322,411,733) | (313,745,625) | 8,666,108 |
$(462,044,757) | $(449,153,875) | $12,890,882 | |||
TOTAL FUTURES CONTRACTS | $970,485,965 | $949,863,204 | $(20,622,761) |
Notional Amount ($)(1) | Reference Obligation/Index | Pay/ Receive(2) | Annual Fixed Rate | Expiration Date | Premiums Paid | Unrealized Appreciation | Market Value | |
585,330,000 | Markit CDX North America High Yield Index Series 38 | Pay | 5.00% | 6/20/27 | $(33,207,319) | $822,311 | $(32,385,008) | |
TOTAL CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS – BUY PROTECTION | $(33,207,319) | $822,311 | $(32,385,008) | |||||
TOTAL SWAP CONTRACTS | $(33,207,319) | $822,311 | $(32,385,008) |
(1) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay upon occurrence of a credit event. |
(2) | Pays quarterly. |
Level 1 | – | unadjusted quoted prices in active markets for identical securities. |
Level 2 | – | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
Level 3 | – | significant unobservable inputs (including the Fund's own assumptions in determining fair value of investments). |
Level 1 | Level 2 | Level 3 | Total | |
Senior Secured Floating Rate Loan Interests | $— | $27,555,490 | $— | $27,555,490 |
Asset Backed Securities | — | 452,963,041 | — | 452,963,041 |
Collateralized Mortgage Obligations | — | 825,757,850 | — | 825,757,850 |
Commercial Mortgage-Backed Securities | — | 441,559,270 | — | 441,559,270 |
Corporate Bonds | — | 1,565,551,440 | — | 1,565,551,440 |
Convertible Preferred Stocks | 80,916,338 | — | — | 80,916,338 |
Municipal Bonds | — | 2,419,340 | — | 2,419,340 |
Insurance-Linked Securities | ||||
Collateralized Reinsurance | ||||
Earthquakes – California | — | — | 1,018,071 | 1,018,071 |
Multiperil – Massachusetts | — | — | 2,003,334 | 2,003,334 |
Multiperil – U.S. | — | — | 5,024,997 | 5,024,997 |
Multiperil – Worldwide | — | — | 1,765,707 | 1,765,707 |
Windstorm – Florida | — | — | 184,200 | 184,200 |
Windstorm – U.S | — | — | 7,593 | 7,593 |
Windstorm – U.S. Regional | — | — | 5,888,292 | 5,888,292 |
Reinsurance Sidecars | ||||
Multiperil – U.S. | — | — | 1,521,867 | 1,521,867 |
Multiperil – Worldwide | — | — | 70,298,665 | 70,298,665 |
Industry Loss Warranties | ||||
Earthquakes - U.S. | — | — | 2,899,788 | 2,899,788 |
All Other Insurance-Linked Securities | — | 36,635,380 | — | 36,635,380 |
Foreign Government Bonds | — | 26,550,463 | — | 26,550,463 |
U.S. Government and Agency Obligations | — | 3,184,102,326 | — | 3,184,102,326 |
Open-End Fund | 70,920,440 | — | — | 70,920,440 |
Total Investments in Securities | $151,836,778 | $6,563,094,600 | $90,612,514 | $6,805,543,892 |
Other Financial Instruments | ||||
Net unrealized depreciation on futures contracts | $(20,622,761) | $— | $— | $(20,622,761) |
Swap contracts, at value | — | (32,385,008) | — | (32,385,008) |
Total Other Financial Instruments | $(20,622,761) | $(32,385,008) | $— | $(53,007,769) |
Insurance- Linked Securities | |
Balance as of 6/30/21 | $112,928,295 |
Realized gain (loss) | (177,579) |
Changed in unrealized appreciation (depreciation) | (4,712,310) |
Accrued discounts/premiums | (52,400,972) |
Purchases | 65,912,731 |
Sales | (30,937,651) |
Transfers in to Level 3* | — |
Transfers out of Level 3* | — |
Balance as of 3/31/22 | $90,612,514 |
* | Transfers are calculated on the beginning of period values. During the nine months ended March 31, 2022, there were no transfers in or out of Level 3. | ||
Net change in unrealized appreciation (depreciation) of Level 3 investments still held and considered Level 3 at March 31, 2022: | $(3,691,976) |