NPORT-EX 2 NewIncome_-_Part_F.htm

 

FPA NEW INCOME, INC.

PORTFOLIO OF INVESTMENTS

December 31, 2019

(Unaudited)

 

 

 

Shares or
Principal
Amount

 

Fair Value

 

COMMON STOCKS

 

 

 

 

 

ENERGY — 0.3%

 

 

 

 

 

PHI Group, Inc.(a)(b)(c)

 

2,602,492

 

$

16,916,198

 

PHI Group, Inc., Restricted(a)(b)(c)

 

1,203,928

 

7,825,532

 

 

 

 

 

$

24,741,730

 

INDUSTRIALS — 0.0%

 

 

 

 

 

Boart Longyear Ltd.(c) 

 

874,320

 

$

993,958

 

TOTAL COMMON STOCKS — 0.3% (Cost $31,764,951)

 

 

 

$

25,735,688

 

 

 

 

 

 

 

BONDS & DEBENTURES

 

 

 

 

 

 

 

 

 

 

 

COMMERCIAL MORTGAGE-BACKED SECURITIES — 8.7%

 

 

 

 

 

AGENCY — 1.7%

 

 

 

 

 

Federal Home Loan Mortgage Corp. K042 A1 — 2.267% 6/25/2024

 

$

15,515,508

 

$

15,555,316

 

Federal Home Loan Mortgage Corp. K024 A2 — 2.573% 9/25/2022

 

5,758,105

 

5,835,587

 

Government National Mortgage Association 2009-119 IO — 0.105% 12/16/2049(d)

 

13,437,528

 

88,299

 

Government National Mortgage Association 2014-175 IO — 0.772% 4/16/2056(d)

 

183,045,258

 

8,521,123

 

Government National Mortgage Association 2014-169 A — 2.60% 11/16/2042

 

3,640,800

 

3,649,663

 

Government National Mortgage Association 2015-21 A — 2.60% 11/16/2042

 

6,647,054

 

6,665,791

 

Government National Mortgage Association 2014-148 A — 2.65% 11/16/2043

 

10,916,725

 

10,937,020

 

Government National Mortgage Association 2019-39 A — 3.10% 5/16/2059

 

68,256,565

 

69,185,865

 

Government National Mortgage Association 2011-9 C, VRN — 3.499% 9/16/2041(d)

 

4,607,576

 

4,641,313

 

Government National Mortgage Association 2010-148 AC — 7.00% 12/16/2050(d)

 

22,097

 

22,382

 

 

 

 

 

$

125,102,359

 

AGENCY STRIPPED — 2.8%

 

 

 

 

 

Government National Mortgage Association 2004-10 IO — 0.000% 1/16/2044(d)

 

$

3,869,406

 

$

4

 

Government National Mortgage Association 2012-45 IO — 0.000% 4/16/2053(d)

 

9,037,950

 

43,491

 

Government National Mortgage Association 2002-56 IO — 0.043% 6/16/2042(d)

 

16,555

 

15

 

Government National Mortgage Association 2009-105 IO — 0.183% 11/16/2049(d)

 

4,902,444

 

16,403

 

Government National Mortgage Association 2009-86 IO — 0.249% 10/16/2049(d)

 

11,410,281

 

51,859

 

Government National Mortgage Association 2009-71 IO — 0.264% 7/16/2049(d)

 

3,131,156

 

24,004

 

Government National Mortgage Association 2009-49 IO — 0.347% 6/16/2049(d)

 

7,901,803

 

70,317

 

Government National Mortgage Association 2008-8 IO — 0.351% 11/16/2047(d)

 

4,599,606

 

15,633

 

Government National Mortgage Association 2012-125 IO — 0.387% 2/16/2053(d)

 

69,809,136

 

1,643,586

 

Government National Mortgage Association 2009-4 IO — 0.39% 1/16/2049(d)

 

2,789,808

 

20,342

 

Government National Mortgage Association 2012-25 IO — 0.433% 8/16/2052(d)

 

73,311,392

 

1,011,961

 

Government National Mortgage Association 2010-123 IO — 0.508% 9/16/2050(d)

 

6,212,123

 

93,493

 

Government National Mortgage Association 2005-9 IO — 0.509% 1/16/2045(d)

 

871,429

 

2,614

 

Government National Mortgage Association 2009-60 IO — 0.509% 6/16/2049(d)

 

6,970,506

 

60,883

 

Government National Mortgage Association 2009-30 IO — 0.57% 3/16/2049(d)

 

5,102,069

 

135,730

 

Government National Mortgage Association 2007-77 IO — 0.573% 11/16/2047(d)

 

20,876,328

 

247,940

 

Government National Mortgage Association 2015-41 IO — 0.592% 9/16/2056(d)

 

32,149,607

 

1,284,264

 

Government National Mortgage Association 2013-45 IO — 0.593% 12/16/2053(d)

 

63,995,756

 

1,142,740

 

Government National Mortgage Association 2008-24 IO — 0.602% 11/16/2047(d)

 

282,687

 

1,802

 

Government National Mortgage Association 2014-157 IO — 0.611% 5/16/2055(d)

 

123,452,332

 

4,355,806

 

Government National Mortgage Association 2012-79 IO — 0.663% 3/16/2053(d)

 

113,859,082

 

3,086,071

 

 

 

 

 

Principal
Amount

 

Fair Value

 

BONDS & DEBENTURES - Continued

 

 

 

 

 

 

 

Government National Mortgage Association 2013-125 IO — 0.673% 10/16/2054(d)

 

$

19,663,298

 

$

618,717

 

Government National Mortgage Association 2014-110 IO — 0.69% 1/16/2057(d)

 

65,100,972

 

2,752,677

 

Government National Mortgage Association 2012-58 IO — 0.693% 2/16/2053(d)

 

204,552,746

 

5,017,065

 

Government National Mortgage Association 2012-150 IO — 0.70% 11/16/2052(d)

 

62,315,830

 

2,157,443

 

Government National Mortgage Association 2014-77 IO — 0.716% 12/16/2047(d)

 

45,549,753

 

1,527,443

 

Government National Mortgage Association 2014-138 IO — 0.734% 4/16/2056(d)

 

27,636,821

 

1,210,719

 

Government National Mortgage Association 2015-19 IO — 0.739% 1/16/2057(d)

 

87,128,360

 

4,256,412

 

Government National Mortgage Association 2004-43 IO — 0.744% 6/16/2044(d)

 

9,434,137

 

117,702

 

Government National Mortgage Association 2015-86 IO — 0.748% 5/16/2052(d)

 

66,050,277

 

3,004,733

 

Government National Mortgage Association 2014-153 IO — 0.757% 4/16/2056(d)

 

202,356,352

 

9,046,422

 

Government National Mortgage Association 2015-7 IO — 0.761% 1/16/2057(d)

 

54,392,690

 

2,836,073

 

Government National Mortgage Association 2014-187 IO — 0.771% 5/16/2056(d)

 

134,246,176

 

6,091,675

 

Government National Mortgage Association 2012-114 IO — 0.786% 1/16/2053(d)

 

40,668,425

 

1,731,361

 

Government National Mortgage Association 2014-135 IO — 0.786% 1/16/2056(d)

 

258,445,332

 

11,988,607

 

Government National Mortgage Association 2014-164 IO — 0.789% 1/16/2056(d)

 

227,752,639

 

9,526,141

 

Government National Mortgage Association 2015-47 IO — 0.815% 10/16/2056(d)

 

152,087,905

 

7,179,690

 

Government National Mortgage Association 2015-101 IO — 0.821% 3/16/2052(d)

 

150,286,284

 

6,964,973

 

Government National Mortgage Association 2008-45 IO — 0.852% 2/16/2048(d)

 

2,595,403

 

4,935

 

Government National Mortgage Association 2006-55 IO — 0.855% 8/16/2046(d)

 

6,647,881

 

70,402

 

Government National Mortgage Association 2015-108 IO — 0.869% 10/16/2056(d)

 

29,632,615

 

1,493,641

 

Government National Mortgage Association 2015-150 IO — 0.898% 9/16/2057(d)

 

205,731,838

 

12,225,285

 

Government National Mortgage Association 2015-114 IO — 0.899% 3/15/2057(d)

 

146,764,880

 

7,885,119

 

Government National Mortgage Association 2015-169 IO — 0.916% 7/16/2057(d)

 

217,858,391

 

12,564,068

 

Government National Mortgage Association 2015-128 IO — 0.933% 12/16/2056(d)

 

193,912,633

 

10,186,347

 

Government National Mortgage Association 2015-160 IO — 0.944% 1/16/2056(d)

 

241,072,699

 

14,002,780

 

Government National Mortgage Association 2008-48 IO — 0.968% 4/16/2048(d)

 

8,745,371

 

124,871

 

Government National Mortgage Association 2016-125 IO — 0.986% 12/16/2057(d)

 

118,775,387

 

8,517,977

 

Government National Mortgage Association 2016-65 IO — 0.991% 1/16/2058(d)

 

224,770,809

 

16,099,973

 

Government National Mortgage Association 2016-106 IO — 1.02% 9/16/2058(d)

 

233,562,682

 

16,158,263

 

Government National Mortgage Association 2008-92 IO — 1.198% 10/16/2048(d)

 

12,239,311

 

110,607

 

Government National Mortgage Association 2004-108 IO — 1.922% 12/16/2044(d)

 

383,464

 

2,676

 

Government National Mortgage Association 2006-30 IO — 2.392% 5/16/2046(d)

 

850,613

 

9,218

 

Government National Mortgage Association 2015-41 AF, VRN — 3.051% 9/16/2056(d)

 

18,917,350

 

19,572,362

 

 

 

 

 

$

208,365,335

 

NON-AGENCY — 4.2%

 

 

 

 

 

Aventura Mall Trust 2013-AVM A — 3.743% 12/5/2032(d)(e)

 

$

37,824,000

 

$

38,089,067

 

Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7 B — 5.214% 2/11/2041(d)

 

3,097,961

 

3,097,614

 

Citigroup Commercial Mortgage Trust 2012-GC8 A4 — 3.024% 9/10/2045

 

4,148,778

 

4,229,683

 

Citigroup Commercial Mortgage Trust 2017-C4 A2 — 3.19% 10/12/2050

 

18,524,000

 

18,971,145

 

COMM Mortgage Trust 2013-LC6 A4 — 2.941% 1/10/2046

 

10,597,000

 

10,813,891

 

COMM Mortgage Trust 2014-FL5 B, 1M LIBOR + 2.150% — 3.152% 10/15/2031(d)(e)

 

784,598

 

783,546

 

COMM Mortgage Trust 2014-FL5 C, 1M LIBOR + 2.150% — 3.152% 10/15/2031(d)(e)

 

8,340,000

 

8,308,483

 

DBUBS Mortgage Trust 2011-LC2A A4 — 4.537% 7/10/2044(e)

 

44,816,836

 

45,775,916

 

GS Mortgage Securities Corp. Trust 2012-ALOH A — 3.551% 4/10/2034(e)

 

18,403,000

 

18,813,545

 

J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI A — 2.798% 10/5/2031(e)

 

7,922,000

 

7,970,535

 

 

 

 

 

Principal
Amount

 

Fair Value

 

BONDS & DEBENTURES - Continued

 

 

 

 

 

 

 

J.P. Morgan Chase Commercial Mortgage Securities Trust 2010-C1 A3 — 5.058% 6/15/2043(e)

 

$

7,277,000

 

$

7,303,795

 

JP Morgan Chase Commercial Mortgage Securities Trust C 2012-HSBC A — 3.093% 7/5/2032(e)

 

10,795,966

 

10,992,430

 

JPMBB Commercial Mortgage Securities Trust 2015-C30 ASB — 3.559% 7/15/2048

 

7,605,000

 

7,851,166

 

Latitude Management Real Estate Capita 2016-CRE2 A, 1M LIBOR + 1.700% — 3.48% 11/24/2031(d)(e)

 

2,125,865

 

2,126,183

 

OBP Depositor LLC Trust 2010-OBP A — 4.646% 7/15/2045(e)

 

4,000,000

 

4,003,762

 

UBS Commercial Mortgage Trust 2012-C1 A3 — 3.40% 5/10/2045

 

6,609,027

 

6,752,060

 

VNDO E Mortgage Trust 2012-6AVE B — 3.298% 11/15/2030(e)

 

13,266,000

 

13,512,393

 

Wells Fargo Commercial Mortgage Trust 2019-C51 A1 — 2.276% 6/15/2052

 

10,818,775

 

10,844,092

 

Wells Fargo Commercial Mortgage Trust 2012-LC5 A3 — 2.918% 10/15/2045

 

34,211,085

 

34,778,883

 

WFRBS Commercial Mortgage Trust 2012-C9 A3 — 2.87% 11/15/2045

 

8,109,560

 

8,238,789

 

WFRBS Commercial Mortgage Trust 2012-C8 A3 — 3.001% 8/15/2045

 

21,510,000

 

21,841,011

 

WFRBS Commercial Mortgage Trust 2013-C11 A5 — 3.071% 3/15/2045

 

4,504,000

 

4,607,462

 

WFRBS Commercial Mortgage Trust 2013-UBS1 A3 — 3.591% 3/15/2046

 

30,588,000

 

30,826,427

 

 

 

 

 

$

320,531,878

 

TOTAL COMMERICAL MORTGAGE-BACKED SECURITIES
(Cost $690,330,074)

 

 

 

$

653,999,572

 

 

 

 

 

 

 

RESIDENTIAL MORTGAGE-BACKED SECURITIES — 19.0%

 

 

 

 

 

AGENCY COLLATERALIZED MORTGAGE OBLIGATION — 2.6%

 

 

 

 

 

Federal Home Loan Mortgage Corp. 4170 QE — 2.00% 5/15/2032

 

$

2,190,062

 

$

2,189,353

 

Federal Home Loan Mortgage Corp. 3979 HD — 2.50% 12/15/2026

 

2,166,130

 

2,184,417

 

Federal Home Loan Mortgage Corp. 4304 DA — 2.50% 1/15/2027

 

820,526

 

829,457

 

Federal Home Loan Mortgage Corp. 4010 DE — 2.50% 2/15/2027

 

2,568,152

 

2,596,551

 

Federal Home Loan Mortgage Corp. 3914 MA — 3.00% 6/15/2026

 

1,750,796

 

1,791,386

 

Federal Home Loan Mortgage Corp. 4297 CA — 3.00% 12/15/2030

 

3,009,108

 

3,060,700

 

Federal Home Loan Mortgage Corp. 4664 TA — 3.00% 9/15/2037

 

4,837,493

 

4,910,945

 

Federal Home Loan Mortgage Corp. 4504 DN — 3.00% 10/15/2040

 

9,903,149

 

10,072,748

 

Federal Home Loan Mortgage Corp. 3862 MB — 3.50% 5/15/2026

 

14,659,471

 

15,119,161

 

Federal Home Loan Mortgage Corp. 3828 VE — 4.50% 1/15/2024

 

847,297

 

890,081

 

Federal Home Loan Mortgage Corp. 4395 NT — 4.50% 7/15/2026

 

6,873,469

 

7,189,288

 

Federal National Mortgage Association 2014-80 GD — 2.00% 2/25/2042

 

14,706,721

 

14,618,419

 

Federal National Mortgage Association 2014-21 ED — 2.25% 4/25/2029

 

570,740

 

570,121

 

Federal National Mortgage Association 2013-135 KM — 2.50% 3/25/2028

 

1,291,203

 

1,304,035

 

Federal National Mortgage Association 4387 VA — 3.00% 2/15/2026

 

447,147

 

453,993

 

Federal National Mortgage Association 2017-30 G — 3.00% 7/25/2040

 

7,958,028

 

8,116,810

 

Federal National Mortgage Association 2013-93 PJ — 3.00% 7/25/2042

 

1,653,897

 

1,693,785

 

Federal National Mortgage Association 2017-16 JA — 3.00% 2/25/2043

 

18,741,085

 

19,079,789

 

Federal National Mortgage Association 2018-16 HA — 3.00% 7/25/2043

 

19,373,487

 

19,571,046

 

Federal National Mortgage Association 2011-98 VE — 3.50% 6/25/2026

 

13,677,000

 

13,818,769

 

Federal National Mortgage Association 2011-80 KB — 3.50% 8/25/2026

 

11,563,553

 

11,814,594

 

Federal National Mortgage Association 2012-144 PD — 3.50% 4/25/2042

 

3,592,774

 

3,684,511

 

Federal National Mortgage Association 2017-45 KD — 3.50% 2/25/2044

 

12,266,301

 

12,422,349

 

Federal National Mortgage Association 2017-52 KC — 3.50% 4/25/2044

 

13,875,475

 

14,063,275

 

Federal National Mortgage Association 2017-59 DC — 3.50% 5/25/2044

 

20,713,779

 

20,994,890

 

 

 

 

 

Principal
Amount

 

Fair Value

 

BONDS & DEBENTURES - Continued

 

 

 

 

 

 

 

Federal National Mortgage Association 2012-95 AB — 4.00% 11/25/2040

 

$

1,521

 

$

1,521

 

Federal National Mortgage Association 2012-40 GC — 4.50% 12/25/2040

 

903,534

 

924,923

 

Federal National Mortgage Association 2010-43 MK — 5.50% 5/25/2040

 

1,529,414

 

1,654,639

 

 

 

 

 

$

195,621,556

 

AGENCY POOL ADJUSTABLE RATE — 0.0%

 

 

 

 

 

Federal National Mortgage Association 865963, 12M USD LIBOR + 1.755% — 4.853% 3/1/2036(d)

 

$

540,416

 

$

562,890

 

AGENCY POOL FIXED RATE — 8.5%

 

 

 

 

 

Federal Home Loan Mortgage Corp. J24941 — 2.00% 8/1/2023

 

$

1,502,922

 

$

1,504,832

 

Federal Home Loan Mortgage Corp. J20834 — 2.50% 10/1/2027

 

1,040,075

 

1,052,616

 

Federal Home Loan Mortgage Corp. J21434 — 2.50% 12/1/2027

 

16,778,481

 

16,980,803

 

Federal Home Loan Mortgage Corp. G16178 — 2.50% 11/1/2028

 

19,119,751

 

19,350,305

 

Federal Home Loan Mortgage Corp. J16678 — 3.00% 9/1/2026

 

3,938,442

 

4,040,400

 

Federal Home Loan Mortgage Corp. J17544 — 3.00% 12/1/2026

 

5,631,587

 

5,777,376

 

Federal Home Loan Mortgage Corp. J17774 — 3.00% 1/1/2027

 

1,137,709

 

1,166,807

 

Federal Home Loan Mortgage Corp. G15418 — 3.00% 11/1/2027

 

1,502,890

 

1,541,796

 

Federal Home Loan Mortgage Corp. G16406 — 3.00% 1/1/2028

 

17,600,341

 

18,072,476

 

Federal Home Loan Mortgage Corp. G16476 — 3.00% 4/1/2028

 

25,183,269

 

25,858,818

 

Federal Home Loan Mortgage Corp. G16620 — 3.00% 8/1/2028

 

7,558,819

 

7,771,036

 

Federal Home Loan Mortgage Corp. G16478 — 3.00% 5/1/2030

 

24,747,729

 

25,388,393

 

Federal Home Loan Mortgage Corp. G16592 — 3.00% 2/1/2032

 

14,529,535

 

14,910,214

 

Federal Home Loan Mortgage Corp. G16473 — 3.50% 1/1/2028

 

28,521,556

 

29,631,792

 

Federal Home Loan Mortgage Corp. G16613 — 3.50% 8/1/2028

 

7,653,207

 

7,951,117

 

Federal Home Loan Mortgage Corp. V62149 — 3.50% 9/1/2028

 

5,134,579

 

5,334,449

 

Federal Home Loan Mortgage Corp. J26472 — 3.50% 11/1/2028

 

6,371,888

 

6,645,558

 

Federal Home Loan Mortgage Corp. G15169 — 4.50% 9/1/2026

 

1,272,657

 

1,331,491

 

Federal Home Loan Mortgage Corp. G15272 — 4.50% 9/1/2026

 

558,534

 

577,622

 

Federal Home Loan Mortgage Corp. G15875 — 4.50% 9/1/2026

 

1,904,583

 

1,988,179

 

Federal Home Loan Mortgage Corp. G15036 — 5.00% 6/1/2024

 

464,429

 

473,362

 

Federal Home Loan Mortgage Corp. G13667 — 5.00% 8/1/2024

 

51,074

 

52,261

 

Federal Home Loan Mortgage Corp. G15173 — 5.00% 6/1/2026

 

419,541

 

429,399

 

Federal Home Loan Mortgage Corp. G15407 — 5.00% 6/1/2026

 

1,607,389

 

1,667,277

 

Federal Home Loan Mortgage Corp. J01270 — 5.50% 2/1/2021

 

12,516

 

12,691

 

Federal Home Loan Mortgage Corp. G15230 — 5.50% 12/1/2024

 

1,028,500

 

1,058,918

 

Federal Home Loan Mortgage Corp. G15458 — 5.50% 12/1/2024

 

258,260

 

267,345

 

Federal Home Loan Mortgage Corp. G14460 — 6.00% 1/1/2024

 

94,679

 

97,791

 

Federal Home Loan Mortgage Corporation J16662 — 3.00% 9/1/2026

 

1,453,674

 

1,490,852

 

Federal Home Loan Mortgage Corporation J17197 — 3.00% 11/1/2026

 

2,425,814

 

2,487,855

 

Federal Home Loan Mortgage Corporation ZK3908 — 3.00% 2/1/2027

 

879,146

 

901,416

 

Federal Home Loan Mortgage Corporation ZK3970 — 3.00% 3/1/2027

 

729,570

 

748,052

 

Federal National Mortgage Association AB6251 — 2.00% 9/1/2022

 

252,601

 

252,657

 

Federal National Mortgage Association AB7515 — 2.00% 1/1/2023

 

166,461

 

166,539

 

Federal National Mortgage Association AQ7281 — 2.00% 12/1/2027

 

966,435

 

963,333

 

Federal National Mortgage Association MA2449 — 2.50% 11/1/2025

 

9,641,026

 

9,743,004

 

Federal National Mortgage Association AL1366 — 2.50% 2/1/2027

 

4,187,753

 

4,232,049

 

Federal National Mortgage Association AB4720 — 2.50% 3/1/2027

 

3,805,366

 

3,849,185

 

Federal National Mortgage Association AK7393 — 2.50% 3/1/2027

 

1,721,061

 

1,740,878

 

Federal National Mortgage Association AK7766 — 2.50% 3/1/2027

 

6,252,396

 

6,324,392

 

 

 

 

 

Principal
Amount

 

Fair Value

 

BONDS & DEBENTURES - Continued

 

 

 

 

 

 

 

Federal National Mortgage Association AB6192 — 2.50% 9/1/2027

 

$

1,647,648

 

$

1,666,620

 

Federal National Mortgage Association BM5514 — 2.50% 2/1/2029

 

36,550,460

 

36,971,339

 

Federal National Mortgage Association BM1595 — 2.50% 3/1/2031

 

2,003,056

 

2,026,121

 

Federal National Mortgage Association MA2726 — 3.00% 8/1/2026

 

2,701,709

 

2,773,526

 

Federal National Mortgage Association AJ6973 — 3.00% 11/1/2026

 

1,363,585

 

1,397,701

 

Federal National Mortgage Association AJ9387 — 3.00% 12/1/2026

 

722,414

 

740,488

 

Federal National Mortgage Association AU3826 — 3.00% 12/1/2026

 

20,254,953

 

20,761,719

 

Federal National Mortgage Association MA0953 — 3.00% 1/1/2027

 

3,489,853

 

3,577,167

 

Federal National Mortgage Association AL1345 — 3.00% 2/1/2027

 

1,295,946

 

1,328,369

 

Federal National Mortgage Association AB4673 — 3.00% 3/1/2027

 

1,431,081

 

1,467,780

 

Federal National Mortgage Association AK9467 — 3.00% 3/1/2027

 

1,522,092

 

1,560,649

 

Federal National Mortgage Association AL5254 — 3.00% 11/1/2027

 

1,892,897

 

1,940,256

 

Federal National Mortgage Association AL3773 — 3.00% 6/1/2028

 

2,271,482

 

2,329,733

 

Federal National Mortgage Association AL5638 — 3.00% 6/1/2028

 

1,101,382

 

1,129,282

 

Federal National Mortgage Association AL4693 — 3.00% 8/1/2028

 

1,264,940

 

1,296,983

 

Federal National Mortgage Association MA3480 — 3.00% 8/1/2028

 

5,212,565

 

5,356,012

 

Federal National Mortgage Association AU6681 — 3.00% 9/1/2028

 

12,822,958

 

13,175,838

 

Federal National Mortgage Association MA3485 — 3.00% 9/1/2028

 

2,752,444

 

2,828,189

 

Federal National Mortgage Association 890837 — 3.00% 10/1/2028

 

15,123,808

 

15,511,649

 

Federal National Mortgage Association BM4299 — 3.00% 3/1/2030

 

36,913,184

 

37,836,730

 

Federal National Mortgage Association BM3539 — 3.00% 10/1/2030

 

30,534,539

 

31,336,663

 

Federal National Mortgage Association BM3973 — 3.00% 4/1/2032

 

47,622,190

 

48,932,724

 

Federal National Mortgage Association AB1940 — 3.50% 12/1/2025

 

1,493,618

 

1,548,096

 

Federal National Mortgage Association AJ1758 — 3.50% 9/1/2026

 

2,661,552

 

2,758,629

 

Federal National Mortgage Association AL4229 — 3.50% 2/1/2027

 

19,348,389

 

20,054,102

 

Federal National Mortgage Association MA3075 — 3.50% 7/1/2027

 

24,732,257

 

25,680,714

 

Federal National Mortgage Association MA3132 — 3.50% 9/1/2027

 

5,303,732

 

5,507,125

 

Federal National Mortgage Association AL4237 — 3.50% 10/1/2027

 

16,048,444

 

16,643,825

 

Federal National Mortgage Association MA3251 — 3.50% 1/1/2028

 

6,505,053

 

6,754,515

 

Federal National Mortgage Association CA1631 — 3.50% 10/1/2028

 

6,723,129

 

6,968,349

 

Federal National Mortgage Association MA3514 — 3.50% 11/1/2028

 

17,405,610

 

18,073,098

 

Federal National Mortgage Association MA3542 — 3.50% 12/1/2028

 

16,126,514

 

16,744,950

 

Federal National Mortgage Association AL9783 — 3.50% 2/1/2029

 

17,702,653

 

18,359,404

 

Federal National Mortgage Association BM1231 — 3.50% 11/1/2031

 

13,345,472

 

13,878,109

 

Federal National Mortgage Association AL5956 — 4.00% 5/1/2027

 

592,736

 

617,623

 

Federal National Mortgage Association FM1102 — 4.00% 3/1/2031

 

8,815,587

 

9,196,741

 

Federal National Mortgage Association AL4056 — 5.00% 6/1/2026

 

1,161,562

 

1,194,487

 

Federal National Mortgage Association AL5867 — 5.50% 8/1/2023

 

72,622

 

74,280

 

Federal National Mortgage Association AL0471 — 5.50% 7/1/2025

 

62,075

 

64,832

 

Federal National Mortgage Association AL4433 — 5.50% 9/1/2025

 

389,265

 

401,007

 

Federal National Mortgage Association AL4901 — 5.50% 9/1/2025

 

347,459

 

357,143

 

Federal National Mortgage Association AD0951 — 6.00% 12/1/2021

 

140,572

 

142,318

 

Federal National Mortgage Association AL0294 — 6.00% 10/1/2022

 

26,464

 

27,318

 

Federal National Mortgage Association 890225 — 6.00% 5/1/2023

 

238,748

 

244,179

 

Government National Mortgage Association 782281 — 6.00% 3/15/2023

 

477,486

 

496,098

 

 

 

 

 

$

635,567,816

 

AGENCY STRIPPED — 1.2%

 

 

 

 

 

Federal Home Loan Mortgage Corp. 217 PO — 0.00% 1/1/2032(f)

 

$

155,458

 

$

143,048

 

 

 

 

 

Principal
Amount

 

Fair Value

 

BONDS & DEBENTURES - Continued

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp. 3763 NI — 3.50% 5/15/2025

 

$

814,955

 

$

30,792

 

Federal Home Loan Mortgage Corp. 3917 AI — 4.50% 7/15/2026

 

6,663,237

 

407,974

 

Federal Home Loan Mortgage Corp. 217 IO — 6.50% 1/1/2032

 

149,690

 

33,989

 

Federal National Mortgage Association 2010-25 NI — 5.00% 3/25/2025

 

9,199

 

151

 

Federal National Mortgage Association 2003-64 XI — 5.00% 7/25/2033

 

396,207

 

70,476

 

Resolution Funding Corp. — 0.00% 10/15/2020(f)

 

89,328,000

 

88,105,814

 

 

 

 

 

$

88,792,244

 

NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATION — 6.7%

 

 

 

 

 

BRAVO Residential Funding Trust 2019-1 A1C — 3.50% 3/25/2058(e)

 

$

33,035,854

 

$

33,931,733

 

CIM Trust 2017-7 A, VRN — 3.00% 4/25/2057(d)(e)

 

21,642,738

 

21,739,018

 

CIM Trust 2018-R3 A1, VRN — 5.00% 12/25/2057(d)(e)

 

51,937,358

 

53,699,972

 

Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-5 2A3 — 5.00% 8/25/2020

 

4,864

 

4,845

 

Citigroup Mortgage Loan Trust, Inc. 2014-A A — 4.00% 1/25/2035(d)(e)

 

6,728,946

 

6,833,113

 

Finance of America HECM Buyout — 2.656% 12/27/2049(b)(e)

 

47,549,000

 

47,556,432

 

Finance of America Structured Securities Trust 2018-HB1 M1, VRN — 3.774% 9/25/2028(d)(e)

 

15,845,000

 

15,893,787

 

Mill City Mortgage Loan Trust 2018-2 A1, VRN — 3.50% 5/25/2058(d)(e)

 

36,173,745

 

36,803,451

 

Mill City Mortgage Loan Trust 2018-3 A1, VRN — 3.50% 8/25/2058(d)(e)

 

21,580,369

 

22,074,335

 

Nationstar HECM Loan Trust 2019-2A M1, VRN — 2.359% 11/25/2029(d)(e)

 

7,922,000

 

7,909,320

 

Nationstar HECM Loan Trust 2019-1A M1, VRN — 2.664% 6/25/2029(d)(e)

 

10,270,000

 

10,298,852

 

Nationstar HECM Loan Trust 2018-2A M1, VRN — 3.552% 7/25/2028(d)(e)

 

8,381,000

 

8,406,964

 

Nomura Resecuritization Trust 2016-1R 3A1 — 5.00% 9/28/2036(d)(e)

 

3,254,790

 

3,335,166

 

Towd Point Mortgage Trust 2016-3 A1 — 2.25% 4/25/2056(d)(e)

 

11,651,983

 

11,605,155

 

Towd Point Mortgage Trust 2015-1 AES — 3.00% 10/25/2053(d)(e)

 

5,438,173

 

5,440,196

 

Towd Point Mortgage Trust 2018-1 A1, VRN — 3.00% 1/25/2058(d)(e)

 

27,587,514

 

27,869,450

 

Towd Point Mortgage Trust 2018-2 A1, VRN — 3.25% 3/25/2058(d)(e)

 

58,365,334

 

59,222,009

 

Towd Point Mortgage Trust 2018-5 A1A, VRN — 3.25% 7/25/2058(d)(e)

 

45,847,838

 

46,658,222

 

Towd Point Mortgage Trust 2015-2 1A1 — 3.25% 11/25/2060(d)(e)

 

15,860,300

 

15,990,059

 

Towd Point Mortgage Trust 2015-4 A1 — 3.50% 4/25/2055(d)(e)

 

15,006,928

 

15,123,699

 

Towd Point Mortgage Trust 2015-2 2A1 — 3.75% 11/25/2057(d)(e)

 

8,890,997

 

8,954,781

 

Towd Point Mortgage Trust 2018-6 A1A, VRN — 3.75% 3/25/2058(d)(e)

 

46,939,611

 

48,139,603

 

 

 

 

 

$

507,490,162

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(Cost $1,406,769,723)

 

 

 

$

1,428,034,668

 

 

 

 

 

 

 

 

ASSET-BACKED SECURITIES — 52.0%

 

 

 

 

 

AUTO — 18.2%

 

 

 

 

 

Ally Auto Receivables Trust 2019-3 A3 — 1.93% 5/15/2024

 

$

70,270,000

 

$

70,239,833

 

Ally Auto Receivables Trust 2017-1 B — 2.35% 3/15/2022

 

3,758,000

 

3,756,189

 

Ally Auto Receivables Trust 2017-1 C — 2.48% 5/16/2022

 

7,059,000

 

7,060,084

 

AmeriCredit Automobile Receivables Trust 2017-4 A3 — 2.04% 7/18/2022

 

9,439,880

 

9,439,385

 

AmeriCredit Automobile Receivables Trust 2017-1 C — 2.71% 8/18/2022

 

7,547,000

 

7,592,893

 

BMW Vehicle Lease Trust 2017-2 A4 — 2.19% 3/22/2021

 

9,585,000

 

9,589,034

 

BMW Vehicle Owner Trust 2019-A A3 — 1.92% 1/25/2024

 

32,758,000

 

32,779,011

 

CarMax Auto Owner Trust 2017-4 A3 — 2.11% 10/17/2022

 

7,313,476

 

7,318,848

 

CarMax Auto Owner Trust 2019-3 A3 — 2.18% 8/15/2024

 

41,843,000

 

41,902,476

 

 

 

 

 

Principal
Amount

 

Fair Value

 

BONDS & DEBENTURES - Continued

 

 

 

 

 

CarMax Auto Owner Trust 2018-1 A3 — 2.48% 11/15/2022

 

$

18,953,000

 

$

19,026,636

 

CarMax Auto Owner Trust 2018-2 A3 — 2.98% 1/17/2023

 

22,270,000

 

22,474,773

 

CarMax Auto Owner Trust 2018-2 A4 — 3.16% 7/17/2023

 

6,059,000

 

6,184,070

 

CarMax Auto Owner Trust 2019-1 A4 — 3.26% 8/15/2024

 

24,353,000

 

25,025,094

 

CarMax Auto Owner Trust 2019-1 B — 3.45% 11/15/2024

 

13,090,000

 

13,492,028

 

CarMax Auto Owner Trust 2018-4 A4 — 3.48% 2/15/2024

 

22,031,000

 

22,801,001

 

Credit Acceptance Auto Loan Trust 2017-3A A — 2.65% 6/15/2026(e)

 

13,745,659

 

13,773,228

 

Credit Acceptance Auto Loan Trust 2017-3A B — 3.21% 8/17/2026(e)

 

36,562,000

 

36,825,575

 

First Investors Auto Owner Trust 2017-1A B — 2.67% 4/17/2023(e)

 

4,174,000

 

4,178,352

 

First Investors Auto Owner Trust 2017-1A C — 2.95% 4/17/2023(e)

 

8,149,000

 

8,163,600

 

Ford Credit Auto Lease Trust 2019-B B — 2.36% 1/15/2023

 

32,914,000

 

32,999,497

 

Ford Credit Auto Owner Trust 2019-C A3 — 1.87% 3/15/2024

 

30,639,000

 

30,606,520

 

GM Financial Automobile Leasing Trust 2019-3 A4 — 2.03% 7/20/2023

 

5,929,000

 

5,920,061

 

GM Financial Automobile Leasing Trust 2019-3 B — 2.16% 7/20/2023

 

21,492,000

 

21,430,976

 

GM Financial Automobile Leasing Trust 2018-1 A4 — 2.68% 12/20/2021

 

15,743,000

 

15,787,853

 

GM Financial Automobile Leasing Trust 2017-2 C — 2.84% 6/21/2021

 

3,750,000

 

3,752,908

 

GM Financial Automobile Leasing Trust 2019-2 B — 2.89% 3/20/2023

 

12,206,000

 

12,319,634

 

GM Financial Automobile Leasing Trust 2019-1 B — 3.37% 12/20/2022

 

43,632,000

 

44,290,660

 

Honda Auto Receivables Owner Trust 2019-3 A3 — 1.78% 8/15/2023

 

33,626,000

 

33,537,237

 

Honda Auto Receivables Owner Trust 2019-4 A3 — 1.83% 1/18/2024

 

32,441,000

 

32,359,560

 

Honda Auto Receivables Owner Trust 2019-2 A4 — 2.54% 3/21/2025

 

21,573,000

 

21,856,976

 

Honda Auto Receivables Owner Trust 2018-1I A4 — 2.78% 5/15/2024

 

37,617,000

 

38,039,518

 

Honda Auto Receivables Owner Trust 2019-1 A4 — 2.90% 6/18/2024

 

14,962,000

 

15,291,893

 

Hyundai Auto Lease Securitization Trust 2019-B A4 — 2.03% 6/15/2023(e)

 

10,870,000

 

10,840,215

 

Hyundai Auto Lease Securitization Trust 2019-B B — 2.13% 11/15/2023(e)

 

41,387,000

 

41,266,316

 

Hyundai Auto Lease Securitization Trust 2017-C A4 — 2.21% 9/15/2021(e)

 

10,394,000

 

10,399,806

 

Hyundai Auto Lease Securitization Trust 2018-A A4 — 2.89% 3/15/2022(e)

 

23,622,000

 

23,761,854

 

Hyundai Auto Lease Securitization Trust 2019-A B — 3.25% 10/16/2023(e)

 

12,636,000

 

12,793,366

 

Hyundai Auto Receivables Trust 2019-A A4 — 2.71% 5/15/2025

 

22,000,000

 

22,339,876

 

Hyundai Auto Receivables Trust 2018-A A4 — 2.94% 6/17/2024

 

27,125,000

 

27,568,572

 

Mercedes-Benz Auto Lease Trust 2019-B A4 — 2.05% 8/15/2025

 

20,719,000

 

20,702,516

 

Mercedes-Benz Auto Lease Trust 2018-A A4 — 2.51% 10/16/2023

 

6,318,000

 

6,328,719

 

Mercedes-Benz Auto Receivables Trust 2019-1 A3 — 1.94% 3/15/2024

 

48,937,000

 

48,908,240

 

Mercedes-Benz Auto Receivables Trust 2018-1 A4 — 3.15% 10/15/2024

 

32,591,000

 

33,394,437

 

Nissan Auto Lease Trust 2017-B A4 — 2.17% 12/15/2021

 

11,332,000

 

11,333,477

 

Nissan Auto Lease Trust 2019-B A4 — 2.29% 4/15/2025

 

21,027,000

 

21,075,825

 

Nissan Auto Receivables Owner Trust 2019-C A3 — 1.93% 7/15/2024

 

35,456,000

 

35,482,947

 

Nissan Auto Receivables Owner Trust 2018-A A3 — 2.65% 5/16/2022

 

26,639,631

 

26,741,978

 

Nissan Auto Receivables Owner Trust 2019-A A3 — 2.90% 10/16/2023

 

5,864,000

 

5,957,733

 

Nissan Auto Receivables Owner Trust 2018-B A4 — 3.16% 12/16/2024

 

27,408,000

 

28,102,489

 

Prestige Auto Receivables Trust 2019-1A B — 2.53% 1/16/2024(e)

 

17,546,000

 

17,602,782

 

Prestige Auto Receivables Trust 2017-1A C — 2.81% 1/17/2023(e)

 

30,628,000

 

30,638,043

 

Toyota Auto Receivables Owner Trust 2019-C A3 — 1.91% 9/15/2023

 

37,055,000

 

37,063,823

 

Toyota Auto Receivables Owner Trust 2019-D A3 — 1.92% 1/16/2024

 

34,225,000

 

34,204,465

 

Volkswagen Auto Lease Trust 2019-A A4 — 2.02% 8/20/2024

 

16,152,000

 

16,099,270

 

Westlake Automobile Receivables Trust 2018-1A C — 2.92% 5/15/2023(e)

 

12,425,000

 

12,455,666

 

World Omni Auto Receivables Trust 2019-C A3 — 1.96% 12/16/2024

 

40,212,000

 

40,127,382

 

World Omni Auto Receivables Trust 2018-A A3 — 2.50% 4/17/2023

 

30,967,763

 

31,103,021

 

World Omni Auto Receivables Trust 2018-A B — 2.89% 4/15/2025

 

4,865,000

 

4,928,065

 

 

 

 

 

Principal
Amount

 

Fair Value

 

BONDS & DEBENTURES - Continued

 

 

 

 

 

World Omni Auto Receivables Trust 2018-B A4 — 3.03% 6/17/2024

 

$

1,982,000

 

$

2,023,128

 

World Omni Auto Receivables Trust 2019-A A3 — 3.04% 5/15/2024

 

30,746,000

 

31,288,473

 

World Omni Auto Receivables Trust 2019-A B — 3.34% 6/16/2025

 

10,560,000

 

10,813,806

 

World Omni Automobile Lease Securitization Trust 2019-B A4 — 2.07% 2/18/2025

 

21,951,000

 

21,899,992

 

World Omni Automobile Lease Securitization Trust 2019-B B — 2.13% 2/18/2025

 

12,293,000

 

12,247,061

 

World Omni Automobile Lease Securitization Trust 2018-B B — 3.43% 3/15/2024

 

11,060,000

 

11,221,468

 

 

 

 

 

$

1,370,530,214

 

COLLATERALIZED LOAN OBLIGATION — 9.3%

 

 

 

 

 

Adams Mill CLO Ltd. 2014-1A B2R — 3.35% 7/15/2026(e)

 

$

8,136,000

 

$

8,134,731

 

B&M CLO Ltd. 2014-1A A2R, 3M USD LIBOR + 1.600% — 3.601% 4/16/2026(d)(e)

 

12,409,000

 

12,396,914

 

Black Diamond CLO Ltd. 2014-1A A1R, 3M USD LIBOR + 1.150% — 3.152% 10/17/2026(d)(e)

 

17,428,601

 

17,439,669

 

California Street CLO XII Ltd. 2013-12A B2R — 3.389% 10/15/2025(e)

 

15,800,000

 

15,798,294

 

Cerberus Corporate Credit Solutions Fund, 3M USD LIBOR + 1.530% — 3.531% 10/15/2030(d)(e)

 

13,879,000

 

13,843,359

 

Cerberus Loan Funding XVIII LP 2017-1A A, 3M USD LIBOR + 1.750% — 3.751% 4/15/2027(d)(e)

 

34,796,581

 

34,809,525

 

Cerberus Loan Funding XXI LP 2017-4A A, 3M USD LIBOR + 1.450% — 3.451% 10/15/2027(d)(e)

 

38,840,000

 

38,830,834

 

Elm Trust 2016-1A A2 — 4.163% 6/20/2025(e)

 

3,390,369

 

3,404,065

 

Elm Trust 2018-2A A2 — 4.605% 10/20/2027(e)

 

22,693,000

 

22,793,623

 

Fortress Credit Opportunities IX CLO Ltd. 2017-9A A1T, 3M USD LIBOR + 1.550% — 3.46% 11/15/2029(d)(e)

 

63,296,000

 

62,961,291

 

Fortress Credit Opportunities IX CLO Ltd. 2017-9A E, 3M USD LIBOR + 7.250% — 9.16% 11/15/2029(d)(e)

 

12,772,000

 

12,121,062

 

Fortress Credit Opportunities VII CLO Ltd. 2016-7I E, 3M USD LIBOR + 7.490% — 9.384% 12/15/2028(d)

 

20,977,000

 

20,121,453

 

Halcyon Loan Advisors Funding Ltd. 2015-3A A1R, 3M USD LIBOR + 0.900% — 2.903% 10/18/2027(d)(e)

 

43,913,000

 

43,913,044

 

Halcyon Loan Advisors Funding Ltd. 2015-1A AR, 3M USD LIBOR + 0.920% — 2.886% 4/20/2027(d)(e)

 

36,339,106

 

36,340,451

 

Halcyon Loan Advisors Funding Ltd. 2014-3A AR, 3M USD LIBOR + 1.100% — 3.053% 10/22/2025(d)(e)

 

8,027,863

 

8,029,541

 

Hercules Capital Funding Trust 2018-1A A — 4.605% 11/22/2027(e)

 

21,762,000

 

21,826,485

 

Hercules Capital Funding Trust 2019-1A A — 4.703% 2/20/2028(e)

 

47,606,000

 

47,863,615

 

Ivy Hill Middle Market Credit Fund VII Ltd. 7A AR, 3M USD LIBOR + 1.530% — 3.496% 10/20/2029(d)(e)

 

7,430,000

 

7,422,778

 

Ivy Hill Middle Market Credit Fund X Ltd. 10A A1AR, 3M USD LIBOR + 1.250% — 3.253% 7/18/2030(d)(e)

 

26,085,000

 

25,704,968

 

Saranac CLO III Ltd. 2014-3A ALR, 3M USD LIBOR + 1.100% — 3.028% 6/22/2030(d)(e)

 

26,217,000

 

26,185,539

 

Silvermore CLO Ltd. 2014-1A A1R, 3M USD LIBOR + 1.170% — 3.08% 5/15/2026(d)(e)

 

12,109,757

 

12,121,092

 

Telos CLO Ltd. 2014-5A A1R, 3M USD LIBOR + 0.950% — 2.952% 4/17/2028(d)(e)

 

32,022,000

 

31,916,295

 

Telos CLO Ltd. 2013-3A AR, 3M USD LIBOR + 1.300% — 3.302% 7/17/2026(d)(e)

 

22,264,125

 

22,264,102

 

Telos CLO Ltd. 2013-3A BR, 3M USD LIBOR + 2.000% — 4.002% 7/17/2026(d)(e)

 

20,894,000

 

20,764,541

 

 

 

 

 

Principal
Amount

 

Fair Value

 

BONDS & DEBENTURES - Continued

 

 

 

 

 

THL Credit Wind River CLO Ltd. 2016-1A AR, 3M USD LIBOR + 1.050% — 3.036% 7/15/2028(d)(e)

 

$

27,873,000

 

$

27,824,166

 

VCO CLO LLC 2018-1A A, 3M USD LIBOR + 1.500% — 3.466% 7/20/2030(d)(e)

 

26,276,000

 

26,281,938

 

Venture XXV CLO Ltd. 2016-25A AR, 3M USD LIBOR + 1.230% — 2.992% 4/20/2029(d)(e)

 

35,216,000

 

35,215,472

 

Wellfleet CLO Ltd. 2016-1A AR, 3M USD LIBOR + 0.910% — 2.876% 4/20/2028(d)(e)

 

26,029,000

 

25,954,791

 

West CLO Ltd. 2014-2A A1BR — 2.724% 1/16/2027(e)

 

5,603,859

 

5,603,142

 

West CLO Ltd. 2013-1A A2BR — 3.393% 11/7/2025(e)

 

7,293,544

 

7,292,676

 

Zais CLO 2 Ltd. 2014-2A A1BR — 2.92% 7/25/2026(e)

 

2,454,053

 

2,453,869

 

 

 

 

 

$

697,633,325

 

CREDIT CARD — 3.8%

 

 

 

 

 

American Express Credit Account Master Trust 2017-6 B — 2.20% 5/15/2023

 

$

39,998,000

 

$

40,041,506

 

American Express Credit Account Master Trust 2019-2 A — 2.67% 11/15/2024

 

16,863,000

 

17,160,925

 

American Express Credit Account Master Trust 2019-1 A — 2.87% 10/15/2024

 

15,004,000

 

15,319,125

 

Barclays Dryrock Issuance Trust 2019-1 A — 1.96% 5/15/2025

 

57,546,000

 

57,480,651

 

Golden Credit Card Trust 2018-1A A — 2.62% 1/15/2023(e)

 

32,022,000

 

32,230,117

 

Synchrony Card Funding LLC 2019-A2 A — 2.34% 6/15/2025

 

64,171,000

 

64,747,974

 

Synchrony Card Issuance Trust 2018-A1 A1 — 3.38% 9/15/2024

 

56,311,000

 

57,567,192

 

 

 

 

 

$

284,547,490

 

EQUIPMENT — 16.5%

 

 

 

 

 

ARI Fleet Lease Trust 2019-A A2A — 2.41% 11/15/2027(e)

 

$

23,167,000

 

$

23,246,379

 

ARI Fleet Lease Trust 2018-A A3 — 2.84% 10/15/2026(e)

 

13,974,000

 

14,061,878

 

Ascentium Equipment Receivables 2019-2A A3 — 2.19% 11/10/2026(e)

 

44,282,000

 

44,141,732

 

Ascentium Equipment Receivables Trust 2017-2A A3 — 2.31% 12/10/2021(e)

 

10,371,855

 

10,389,592

 

Ascentium Equipment Receivables Trust 2019-1A A3 — 2.83% 5/12/2025(e)

 

58,897,000

 

59,811,240

 

Avis Budget Rental Car Funding AESOP LLC 2015-1A A — 2.50% 7/20/2021(e)

 

48,657,000

 

48,718,464

 

Avis Budget Rental Car Funding AESOP LLC 2015-2A A — 2.63% 12/20/2021(e)

 

22,666,000

 

22,725,766

 

Avis Budget Rental Car Funding AESOP LLC 2017-2A A — 2.97% 3/20/2024(e)

 

8,580,000

 

8,709,009

 

Avis Budget Rental Car Funding AESOP LLC 2019-1A A — 3.45% 3/20/2023(e)

 

13,010,000

 

13,301,014

 

CCG Receivables Trust 2018-1 A2 — 2.50% 6/16/2025(e)

 

5,680,412

 

5,690,712

 

Chesapeake Funding II LLC 2019-2A A1 — 1.95% 9/15/2031(e)

 

48,772,305

 

48,546,211

 

Chesapeake Funding II LLC 2017-4A A1 — 2.12% 11/15/2029(e)

 

13,554,488

 

13,559,323

 

Coinstar Funding LLC Series 2017-1A A2 — 5.216% 4/25/2047(e)

 

8,247,525

 

8,437,503

 

Daimler Trucks Retail Trust 2019-1 A4 — 2.79% 5/15/2025(e)

 

23,397,000

 

23,733,435

 

Dell Equipment Finance Trust 2019-2 A3 — 1.91% 10/22/2024(e)

 

16,374,000

 

16,317,141

 

Dell Equipment Finance Trust 2019-2 B — 2.06% 10/22/2024(e)

 

21,992,000

 

21,804,613

 

Dell Equipment Finance Trust 2019-1 B — 2.94% 3/22/2024(e)

 

27,810,000

 

28,190,705

 

Enterprise Fleet Financing LLC 2017-3 A2 — 2.13% 5/22/2023(e)

 

6,582,035

 

6,580,555

 

Enterprise Fleet Financing LLC 2017-2 A3 — 2.22% 1/20/2023(e)

 

23,511,000

 

23,546,579

 

Enterprise Fleet Financing LLC 2019-2 A2 — 2.29% 2/20/2025(e)

 

46,144,000

 

46,297,535

 

Enterprise Fleet Financing LLC 2017-1 A3 — 2.60% 7/20/2022(e)

 

9,653,000

 

9,668,911

 

GreatAmerica Leasing Receivables Funding LLC 2019-1 A4 — 3.21% 2/18/2025(e)

 

10,720,000

 

10,954,585

 

GreatAmerica Leasing Receivables Funding LLC Series 2017-1 A4 — 2.36% 1/20/2023(e)

 

6,407,323

 

6,414,240

 

GreatAmerica Leasing Receivables Funding LLC Series 2018-1 A4 — 2.83% 6/17/2024(e)

 

8,631,000

 

8,693,332

 

GreatAmerica Leasing Receivables Funding LLC Series 2017-1 C — 2.89% 1/22/2024(e)

 

2,609,000

 

2,616,050

 

GreatAmerica Leasing Receivables Funding LLC Series 2018-1 B — 2.99% 6/17/2024(e)

 

920,000

 

930,617

 

Hertz Fleet Lease Funding LP 2018-1 A2 — 3.23% 5/10/2032(e)

 

13,897,071

 

13,994,186

 

 

 

 

 

Principal
Amount

 

Fair Value

 

BONDS & DEBENTURES - Continued

 

 

 

 

 

HPEFS Equipment Trust 2019-1A B — 2.32% 9/20/2029(e)

 

$

6,292,000

 

$

6,287,482

 

John Deere Owner Trust 2019-B A3 — 2.21% 12/15/2023

 

15,542,000

 

15,619,458

 

John Deere Owner Trust 2018-A A4 — 2.91% 1/15/2025

 

24,496,000

 

24,687,561

 

John Deere Owner Trust 2019-A A4 — 3.00% 1/15/2026

 

13,310,000

 

13,604,671

 

John Deere Owner Trust 2018-B A4 — 3.23% 6/16/2025

 

26,991,000

 

27,602,713

 

Kubota Credit Owner Trust 2018-1A A3 — 3.10% 8/15/2022(e)

 

41,762,000

 

42,260,906

 

Kubota Credit Owner Trust 2018-1A A4 — 3.21% 1/15/2025(e)

 

6,709,000

 

6,868,598

 

MMAF Equipment Finance LLC 2017-B A4 — 2.41% 11/15/2024(e)

 

16,545,000

 

16,662,135

 

MMAF Equipment Finance LLC 2017-B A3 — 2.21% 10/17/2022(e)

 

16,549,339

 

16,559,619

 

MMAF Equipment Finance LLC 2019-A A3 — 2.84% 11/13/2023(e)

 

23,174,000

 

23,470,426

 

NextGear Floorplan Master Owner Trust 2019-2A A2 — 2.07% 10/15/2024(e)

 

29,251,000

 

28,946,790

 

NextGear Floorplan Master Owner Trust 2017-1A A2 — 2.54% 4/18/2022(e)

 

22,933,000

 

22,952,892

 

NextGear Floorplan Master Owner Trust 2017-2A B — 3.02% 10/17/2022(e)

 

20,252,000

 

20,354,854

 

NextGear Floorplan Master Owner Trust 2018-1A A2 — 3.22% 2/15/2023(e)

 

12,191,000

 

12,329,927

 

Prop Series 2017-1A — 5.30% 3/15/2042(b)

 

21,959,090

 

21,611,841

 

Verizon Owner Trust 2019-A A1A — 2.93% 9/20/2023

 

36,729,000

 

37,263,958

 

Verizon Owner Trust 2019-A B — 3.02% 9/20/2023

 

18,870,000

 

19,249,164

 

Verizon Owner Trust 2019-C A1A — 1.94% 4/22/2024

 

18,616,000

 

18,590,334

 

Verizon Owner Trust 2017-3A A1A — 2.06% 4/20/2022(e)

 

16,239,428

 

16,245,843

 

Verizon Owner Trust 2019-C B — 2.06% 4/22/2024

 

42,152,000

 

41,975,931

 

Verizon Owner Trust 2017-2A B — 2.22% 12/20/2021(e)

 

24,147,000

 

24,164,444

 

Verizon Owner Trust 2017-3A B — 2.38% 4/20/2022(e)

 

19,491,000

 

19,544,468

 

Verizon Owner Trust 2019-B B — 2.40% 12/20/2023

 

42,076,000

 

42,209,924

 

Verizon Owner Trust 2017-1A B — 2.45% 9/20/2021(e)

 

33,818,000

 

33,873,056

 

Verizon Owner Trust 2018-1A B — 3.05% 9/20/2022(e)

 

24,278,000

 

24,572,662

 

Verizon Owner Trust 2018-A B — 3.38% 4/20/2023

 

26,414,000

 

27,077,150

 

Volvo Financial Equipment LLC Series 2017-1A A4 — 2.21% 11/15/2021(e)

 

5,966,000

 

5,971,511

 

Volvo Financial Equipment LLC Series 2018-1A A3 — 2.54% 2/15/2022(e)

 

37,337,209

 

37,427,419

 

Volvo Financial Equipment LLC Series 2019-1A A4 — 3.13% 11/15/2023(e)

 

17,060,000

 

17,418,045

 

Wheels SPV 2 LLC 2019-1A A3 — 2.35% 5/22/2028(e)

 

32,817,000

 

32,859,852

 

Wheels SPV 2 LLC 2018-1A A3 — 3.24% 4/20/2027(e)

 

12,759,000

 

12,936,438

 

 

 

 

 

$

1,252,281,379

 

OTHER — 4.2%

 

 

 

 

 

New Residential Advance Receivables Trust Advance Receivables Backed 2019-T3 AT3 — 2.512% 9/15/2052(e)

 

$

31,799,000

 

$

31,746,827

 

New Residential Mortgage LLC 2018-FNT1 A — 3.61% 5/25/2023(e)

 

23,090,014

 

23,075,583

 

New Residential Mortgage LLC 2018-FNT2 A — 3.79% 7/25/2054(e)

 

28,172,024

 

28,154,417

 

NRZ Excess Spread-Collateralized Notes Series 2018-PLS1 A — 3.193% 1/25/2023(e)

 

10,986,218

 

10,979,351

 

NRZ Excess Spread-Collateralized Notes Series 2018-PLS2 A — 3.265% 2/25/2023(e)

 

12,503,236

 

12,495,421

 

PFS Financing Corp. 2017-BA A2 — 2.22% 7/15/2022(e)

 

22,138,000

 

22,161,783

 

PFS Financing Corp. 2017-D A — 2.40% 10/17/2022(e)

 

16,852,000

 

16,880,712

 

PFS Financing Corp. 2017-BA B — 2.57% 7/15/2022(e)

 

7,305,000

 

7,290,646

 

PFS Financing Corp. 2017-D B — 2.74% 10/17/2022(e)

 

7,798,000

 

7,790,328

 

PFS Financing Corp. 2019-A A2 — 2.86% 4/15/2024(e)

 

20,397,000

 

20,649,419

 

PFS Financing Corp. 2018-B A — 2.89% 2/15/2023(e)

 

28,344,000

 

28,559,627

 

PFS Financing Corp. 2018-B B — 3.08% 2/15/2023(e)

 

7,809,000

 

7,847,359

 

PFS Financing Corp. 2019-A B — 3.13% 4/15/2024(e)

 

4,897,000

 

4,964,641

 

PFS Financing Corp. 2018-D A — 3.19% 4/17/2023(e)

 

35,001,000

 

35,388,895

 

 

 

 

 

Principal
Amount

 

Fair Value

 

BONDS & DEBENTURES - Continued

 

 

 

 

 

PFS Financing Corp. 2018-D B — 3.45% 4/17/2023(e)

 

$

17,375,000

 

$

17,527,919

 

PFS Financing Corp. 2018-F A — 3.52% 10/15/2023(e)

 

31,951,000

 

32,298,288

 

PFS Financing Corp. 2018-F B — 3.77% 10/15/2023(e)

 

5,641,000

 

5,715,579

 

 

 

 

 

$

313,526,795

 

TOTAL ASSET-BACKED SECURITIES (Cost $3,901,470,896)

 

 

 

$

3,918,519,203

 

 

 

 

 

 

 

CORPORATE BONDS & NOTES — 1.7%

 

 

 

 

 

BASIC MATERIALS — 0.9%

 

 

 

 

 

PT Boart Longyear Management Pty Ltd. PIK, 10.00% Cash or 12.00% PIK — 10.00% 12/31/2022

 

$

67,602,030

 

$

67,095,015

 

COMMUNICATIONS — 0.2%

 

 

 

 

 

Cisco Systems, Inc. — 2.45% 6/15/2020

 

$

19,864,000

 

$

19,875,978

 

CONSUMER, CYCLICAL — 0.0%

 

 

 

 

 

Continental Airlines 2000-1 Class B Pass Through Trust — 8.388% 5/1/2022

 

$

2,523

 

$

2,624

 

CONSUMER, NON-CYCLICAL — 0.6%

 

 

 

 

 

StoneMor Partners LP / Cornerstone Family Services of West Virginia Subsidiary — 11.50% 6/30/2024(e)

 

$

44,467,693

 

$

43,661,716

 

TECHNOLOGY — 0.0%

 

 

 

 

 

Oracle Corp. — 3.875% 7/15/2020

 

$

842,000

 

$

850,696

 

TOTAL CORPORATE BONDS & NOTES (Cost $131,300,526)

 

 

 

$

131,486,029

 

 

 

 

 

 

 

CORPORATE BANK DEBT — 4.3%

 

 

 

 

 

ABG Intermediate Holdings 2 LLC, 1M USD LIBOR + 7.750% — 9.549% 9/29/2025(a)(d)

 

$

32,532,986

 

$

32,451,653

 

Boart Longyear Management Pty Ltd. TL, 10.000% Cash or 11.000% PIK — 11.000% 10/23/2020(a)

 

4,891,724

 

4,885,903

 

Frontier Communications Corp., 1M USD LIBOR + 3.000% — 4.799% 2/27/2022(a)(d)

 

26,697,000

 

25,918,249

 

General Nutrition Centers, Inc., 1M USD LIBOR + 7.000% — 8.800% 12/31/2022(a)(d)

 

36,400,000

 

36,218,000

 

Hanjin International Corp., 1M USD LIBOR + 2.500% — 4.299% 10/18/2020(a)(d)

 

3,327,000

 

3,310,365

 

JC Penney Corp., Inc., 3M USD LIBOR + 4.250% — 6.159% 6/23/2023(a)(d)

 

32,827,507

 

28,806,137

 

Logix Holding Co. LLC TL 1L, 1M USD LIBOR + 5.750% — 7.549% 12/22/2024(a)(d)

 

14,058,744

 

14,014,881

 

MB2LTL, 2M USD LIBOR + 9.250% — 11.085% 11/30/2023(a)(b)(d)

 

6,816,000

 

6,786,010

 

MEC Filo TL 1, 1M USD LIBOR + 9.500% — 11.50% 2/12/2021(a)(b)(d)

 

19,768,000

 

19,768,000

 

Mediaco Holding, Inc. Class A, 1M USD LIBOR + 6.400% — 8.400% 11/25/2024(a)(b)(d)

 

12,457,050

 

12,335,008

 

OTGTL, 3M USD LIBOR + 7.000% — 8.981% 8/23/2021(a)(b)(d)

 

25,573,000

 

25,518,274

 

Polyconcept North America Holdings, Inc., 1M USD LIBOR + 4.500% — 6.200% 8/16/2023(a)(d)

 

24,743,000

 

24,681,142

 

SDTL, 11/22/2021(a)(b)(d)

 

 

 

 

 

1M USD LIBOR + 4.500% — 6.299%

 

3,801,411

 

3,782,138

 

3M USD LIBOR + 4.500% — 6.830%

 

6,001,000

 

5,970,575

 

Transform SR Holdings LLC Term Loan B, 3M USD LIBOR + 7.250% — 9.184% 2/12/2024(a)(d)

 

30,268,000

 

30,268,605

 

Xplornet Communication, Inc., 3M USD LIBOR + 4.000% — 5.945% 9/9/2021(a)(d)

 

28,362,729

 

28,080,803

 

ZW1L, 3M USD LIBOR + 5.000% — 6.930% 11/16/2022(a)(b)(d)

 

14,621,100

 

14,546,532

 

ZW2L, 3M USD LIBOR + 9.000% — 10.950% 11/16/2023(a)(b)(d)

 

3,362,964

 

3,361,417

 

 

 

 

 

Principal
Amount

 

Fair Value

 

BONDS & DEBENTURES - Continued

 

 

 

 

 

TOTAL CORPORATE BANK DEBT (Cost $322,472,905)

 

 

 

$

320,703,692

 

U.S. TREASURIES — 13.5%

 

 

 

 

 

U.S. Treasury Bills — 1.516% 1/7/2020

 

$

122,717,000

 

$

122,692,285

 

U.S. Treasury Bills — 1.482% 1/14/2020

 

370,196,000

 

370,013,345

 

U.S. Treasury Notes — 1.75% 7/15/2022

 

521,298,000

 

523,031,942

 

TOTAL U.S. TREASURIES
(Cost $1,015,062,293)

 

 

 

$

1,015,737,572

 

TOTAL BONDS & DEBENTURES — 99.2% (Cost $7,467,406,417)

 

 

 

$

7,468,480,736

 

TOTAL INVESTMENT SECURITIES — 99.5% (Cost $7,499,171,368)

 

 

 

$

7,494,216,424

 

SHORT-TERM INVESTMENTS — 0.2%

 

 

 

 

 

State Street Bank Repurchase Agreement — 0.12% 1/2/2020

 

 

 

 

 

(Dated 12/31/2019, repurchase price of $13,469,090, collateralized by $13,800,000 principal amount U.S. Treasury Notes — 1.250% 2021, fair value $13,743,268)

 

$

13,469,000

 

$

13,469,000

 

TOTAL SHORT-TERM INVESTMENTS (Cost $13,469,000)

 

 

 

$

13,469,000

 

TOTAL INVESTMENTS — 99.7% (Cost $7,512,640,368)

 

 

 

$

7,507,685,424

 

Other Assets and Liabilities, net — 0.3%

 

 

 

25,007,694

 

NET ASSETS — 100.0% — NOTE 2

 

 

 

$

7,532,693,118

 

 

(a)         Restricted securities. These restricted securities constituted 4.59% of total net assets at December 31, 2019, most of which are considered liquid by the Adviser. These securities are not registered and may not be sold to the public. There are legal and/or contractual restrictions on resale. The Fund does not have the right to demand that such securities be registered. The values of these securities are determined by valuations provided by pricing services, brokers, dealers, market makers, or in good faith under policies adopted by authority of the Fund’s Board of Directors.

(b)         Investments categorized as a significant unobservable input (Level 3) (See Note 1 of the Notes to Financial Statements).

(c)          Non-income producing security.

(d)         Variable/Floating Rate Security — The rate shown is based on the latest available information as of December 31, 2019. For Corporate Bank Debt, the rate shown may represent a weighted average interest rate. Certain variable rate securities are not based on a published rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

(e)          Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid.

(f)           Zero coupon bond. Coupon amount represents effective yield to maturity.

 

 

FPA NEW INCOME, INC.

PORTFOLIO OF INVESTMENTS — RESTRICTED SECURITIES

December 31, 2019

(Unaudited)

 

Issuer

 

Acquisition Date (s)

 

Cost

 

Fair Value

 

Fair Value as a % of
Net Assets

 

ABG Intermediate Holdings 2 LLC, 1M USD LIBOR + 7.750% — 9.549% 9/29/2025

 

9/26/2017, 4/11/2018,

6/21/2018, 6/25/2018,

7/3/2018, 11/2/2018,

12/3/2018, 1/11/2019,

2/12/2019, 5/29/2019,

9/20/2019, 9/27/2019,

10/16/2019

 

$

32,485,256

 

$

32,451,653

 

0.44

%

Boart Longyear Management Pty Ltd. TL, 10.000% Cash or 11.000% PIK — 11.000% 10/23/2020

 

9/1/2017, 6/29/2018,

9/29/2018, 12/31/2018,

1/11/2019, 3/29/2019,

6/28/2019, 9/30/2019,

12/31/2019

 

4,844,267

 

4,885,903

 

0.06

%

Frontier Communications Corp., 1M USD LIBOR + 3.000% — 4.799% 2/27/2022

 

12/10/2019

 

25,762,605

 

25,918,249

 

0.34

%

General Nutrition Centers, Inc., 1M USD LIBOR + 7.000% — 8.800% 12/31/2022

 

12/21/2018, 12/04/2019,

12/11/2019

 

36,354,560

 

36,218,000

 

0.49

%

Hanjin International Corp., 1M USD LIBOR + 2.500% — 4.299% 10/18/2020

 

10/31/2019

 

3,301,637

 

3,310,365

 

0.04

%

JC Penney Corp., Inc., 3M USD LIBOR + 4.250% — 6.159% 6/23/2023

 

10/04/2017, 10/5/2017,

10/6/2017, 10/11/2017,

11/19/2018, 11/27/2018,

1/11/2019, 2/8/2019,

3/11/2019, 5/29/2019

 

30,912,414

 

28,806,137

 

0.39

%

Logix Holding Co. LLC TL 1L, 1M USD LIBOR + 5.750% — 7.549% 12/22/2024

 

8/11/2017, 1/11/2019,

6/18/2019, 6/19/2019

 

13,979,680

 

14,014,881

 

0.19

%

MB2LTL, 2M USD LIBOR + 9.250% — 11.085% 11/30/2023

 

12/2/2016, 1/31/2017

 

6,749,921

 

6,786,010

 

0.09

%

MEC Filo TL 1, 1M USD LIBOR + 9.500% — 11.50% 2/12/2021

 

11/7/2019

 

19,592,565

 

19,768,000

 

0.26

%

Mediaco Holding, Inc. Class A, 1M USD LIBOR + 6.400% — 8.400% 11/25/2024

 

11/25/2019, 12/12/2019,

12/13/2019, 12/18/2019,

12/31/2019

 

12,490,354

 

12,335,008

 

0.16

%

OTGTL, 3M USD LIBOR + 7.000% — 8.981% 8/23/2021

 

8/26/2016, 8/26/2016,

2/28/2017, 5/26/2017,

6/14/2017, 8/30/2017,

11/30/2017, 1/26/2018,

1/26/2018, 3/8/2018,

5/09/2018, 5/15/2018,

6/13/2018, 7/13/2018,

8/17/2018, 10/10/2018

 

25,374,411

 

25,518,274

 

0.34

%

PHI GROUP, Inc.

 

8/19/2019

 

21,626,709

 

16,916,198

 

0.22

%

PHI GROUP, Inc., Restricted

 

8/19/2019

 

9,504,696

 

7,825,532

 

0.10

%

Polyconcept North America Holdings, Inc., 1M USD LIBOR + 4.500% — 6.200% 8/16/2023

 

11/18/2019

 

24,495,570

 

24,681,143

 

0.33

%

SDTL, 11/22/2021

 

12/22/2016

 

9,718,649

 

9,752,713

 

0.13

%

 

 

Issuer

 

Acquisition Date (s)

 

Cost

 

Fair Value

 

Fair Value as a% of
Net Assets

 

Transform SR Holdings LLC Term Loan B, 3M USD LIBOR + 7.250% — 9.184% 2/12/2024

 

2/11/2019, 2/19/2019,

8/2/2019, 9/5/2019,

9/11/2019, 11/22/2019,

12/16/2019

 

$

30,376,450

 

$

30,268,605

 

0.40

%

Xplornet Communication, Inc., 3M USD LIBOR + 4.000% — 5.945% 9/9/2021

 

9/8/2016, 5/22/2017,

10/18/2017, 6/13/2019,

6/28/2019, 9/24/2019

 

28,323,351

 

28,080,803

 

0.38

%

ZW1L, 3M USD LIBOR + 5.000% — 6.930% 11/16/2022

 

11/17/2016, 12/10/2019

 

14,538,007

 

14,546,532

 

0.19

%

ZW2L, 3M USD LIBOR + 9.000% — 10.950% 11/16/2023

 

11/17/2016, 12/10/2019

 

3,329,342

 

3,361,417

 

0.04

%

TOTAL RESTRICTED SECURITIES

 

 

 

$

353,760,444

 

$

345,445,423

 

4.59

%

 

See Notes to Financial Statements.

 

 

NOTE 1 — Disclosure of Fair Value Measurements

 

The Fund uses the following methods and inputs to establish the fair value of its assets and liabilities. Use of particular methods and inputs may vary over time based on availability and relevance as market and economic conditions evolve.

 

Equity securities are generally valued each day at the official closing price of, or the last reported sale price on, the exchange or market on which such securities principally are traded, as of the close of business on that day. If there have been no sales that day, equity securities are generally valued at the last available bid price. Securities that are unlisted and fixed-income and convertible securities listed on a national securities exchange for which the over-the-counter (“OTC”) market more accurately reflects the securities’ value in the judgment of the Fund’s officers, are valued at the most recent bid price. However, most fixed income securities are generally valued at prices obtained from pricing vendors and brokers. Vendors value such securities based on one or more of the following inputs: transactions, bids, offers quotations from dealers and trading systems, spreads and other relationships observed in the markets among comparable securities, benchmarks, underlying equity of the issuer, and proprietary pricing models such as cash flows, financial or collateral performance and other reference data (includes prepayments, defaults, collateral, credit enhancements, and interest rate volatility). Short-term corporate notes with maturities of 60 days or less at the time of purchase are valued at amortized cost.

 

Securities for which representative market quotations are not readily available or are considered unreliable by the Adviser are valued as determined in good faith under procedures adopted by the authority of the Fund’s Board of Directors. Various inputs may be reviewed in order to make a good faith determination of a security’s value. These inputs include, but are not limited to, the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; actively traded similar or related securities; conversion or exchange rights on the security; related corporate actions; significant events occurring after the close of trading in the security; and changes in overall market conditions. Fair valuations and valuations of investments that are not actively trading involve judgment and may differ materially from valuations of investments that would have been used had greater market activity occurred.

 

The Fund classifies its assets based on three valuation methodologies. Level 1 values are based on quoted market prices in active markets for identical assets. Level 2 values are based on significant observable market inputs, such as quoted prices for similar assets and quoted prices in inactive markets or other market observable inputs as noted above including spreads, cash flows, financial performance, prepayments, defaults, collateral, credit enhancements, and interest rate volatility. Level 3 values are based on significant unobservable inputs that reflect the Fund’s determination of assumptions that market participants might reasonably use in valuing the assets. These assumptions consider inputs such as proprietary pricing models, cash flows, prepayments, defaults, and collateral. The valuation levels are not necessarily an indication of the risk associated with investing in those securities. The following table presents the valuation levels of the Fund’s investments as of December 31, 2019:

 

 

Investments

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Common Stocks

 

 

 

 

 

 

 

 

 

Energy

 

—

 

—

 

$

24,741,730

 

$

24,741,730

 

Industrials

 

$

993,958

 

—

 

—

 

993,958

 

Commercial Mortgage-Backed Securities

 

 

 

 

 

 

 

 

 

Agency

 

—

 

$

125,102,359

 

—

 

125,102,359

 

Agency Stripped

 

—

 

208,365,335

 

—

 

208,365,335

 

Non-Agency

 

—

 

320,531,878

 

—

 

320,531,878

 

Residential Mortgage-Backed Securities

 

 

 

 

 

 

 

 

 

Agency Collateralized Mortgage Obligation

 

—

 

195,621,556

 

—

 

195,621,556

 

Agency Pool Adjustable Rate

 

—

 

562,890

 

—

 

562,890

 

Agency Pool Fixed Rate

 

—

 

635,567,816

 

—

 

635,567,816

 

Agency Stripped

 

—

 

88,792,244

 

—

 

88,792,244

 

Non-Agency Collateralized Mortgage Obligation

 

—

 

459,933,730

 

47,556,432

 

507,490,162

 

Asset-Backed Securities

 

 

 

 

 

 

 

 

 

Auto

 

—

 

1,370,530,214

 

—

 

1,370,530,214

 

Collateralized Loan Obligation

 

—

 

697,633,325

 

—

 

697,633,325

 

Credit Card

 

—

 

284,547,490

 

—

 

284,547,490

 

Equipment

 

—

 

1,230,669,538

 

21,611,841

 

1,252,281,379

 

Other

 

—

 

313,526,795

 

—

 

313,526,795

 

Corporate Bonds & Notes

 

—

 

131,486,029

 

—

 

131,486,029

 

Corporate Bank Debt

 

—

 

228,635,738

 

92,067,954

 

320,703,692

 

U.S. Treasuries

 

—

 

1,015,737,572

 

—

 

1,015,737,572

 

Short-Term Investment

 

—

 

13,469,000

 

—

 

13,469,000

 

 

 

$

993,958

 

$

7,320,713,509

 

$

185,977,957

 

$

7,507,685,424

 

 

 

The following table summarizes the Fund’s Level 3 investment securities and related transactions during the period ended December 31, 2019:

 

Investments

 

Beginning
Value at
September 30,
2019

 

Net Realized
and Unrealized
Gains
(Losses)*

 

Purchases

 

(Sales)

 

Gross
Transfers
In/(Out)

 

Ending Value
at December
31, 2019

 

Net Change in
Unrealized
Appreciation
(Depreciation)
related to
Investments held at
December 31, 2019

 

Common Stocks

 

$

31,631,350

 

$

(6,889,620

)

—

 

—

 

—

 

$

24,741,730

 

$

(6,889,620

)

Residential Mortgage-Backed Securities Non-Agency Collateralized Mortgage Obligation

 

—

 

7,537

 

$

47,548,895

 

—

 

—

 

47,556,432

 

7,432

 

Asset-Backed Securities Equipment

 

22,765,958

 

25,610

 

—

 

$

(1,179,727

)

—

 

21,611,841

 

24,858

 

Corporate Bank Debt

 

76,885,246

 

97,714

 

$

33,713,543

 

(18,628,549

)

—

 

92,067,954

 

(51,201

)

 

 

$

131,282,554

 

$

(6,758,759

)

$

81,262,438

 

$

(19,808,276

)

—

 

$

185,977,957

 

$

(6,908,531

)

 

* Net realized and unrealized gains (losses) are included in the related amounts in the statement of operations.

 

Level 3 Valuation Process: Investments classified within Level 3 of the fair value hierarchy are valued by the Adviser in good faith under procedures adopted by authority of the Fund’s Board of Directors. The Adviser employs various methods to determine fair valuations including regular review of key inputs and assumptions, and review of related market activity, if any. However, there are generally no observable trade activities in these securities. The Adviser reports to the Board of Directors at their regularly scheduled quarterly meetings, or more often if warranted. The report includes a summary of the results of the process, the key inputs and assumptions noted, and any changes to the inputs and assumptions used. When appropriate, the Adviser will recommend changes to the procedures and process employed. The value determined for an investment using the fair value procedures may differ significantly from the value realized upon the sale of such investment.

 

Transfers of investments between different levels of the fair value hierarchy are recorded at fair value as of the end of the reporting period. There were no transfers between Levels 1, Level 2 or Level 3 during the period ended December 31, 2019.

 

The following table summarizes the quantitative inputs and assumptions used for items categorized as items categorized as Level 3 of the fair value hierarchy as of December 31, 2019:

 

Financial Assets

 

Fair Value at
December 31,
2019

 

Valuation Technique(s)

 

Unobservable Inputs

 

Price/Range

 

Common Stocks

 

$

24,741,730

 

Restricted Assets (a)

 

Quotes/Prices

 

$6.50

 

 

 

 

 

 

 

 

 

 

 

Residential Mortgage-Backed Securities Non-Agency Collateralized Mortgage Obligation

 

$

47,556,432

 

Third-Party Broker Quote (b)

 

Quotes/Prices

 

$100.02

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities - Equipment

 

$

21,611,841

 

Third-Party Broker Quote (b)

 

Quotes/Prices

 

$98.42

 

 

 

 

 

 

 

 

 

 

 

Corporate Bank Debt

 

$

59,964,946

 

Pricing Vendor

 

Prices

 

$99.49 - $99.95

 

 

 

32,103,008

 

Most Recent Capitalization (Funding) (c)

 

Cost

 

$99.02 - $100.00

 

 

(a)         The fair value of the investment is based on the recent trade activity obtained from market makers in the security.

 

(b)         The Third Party Broker Quote technique involves obtaining an independent third-party broker quote for the security.

 

(c)          The significant unobservable inputs used in the fair value measurment are based on the most recent funding.  If the financial condition of the underlying assets were to deteriorate, or if the market comparables were to fall, the value of this investment could be lower.

 

NOTE 2 — Federal Income Tax

 

The cost of investment securities held at December 31, 2019 (excluding short-term investments), was $7,499,175,419 for federal income tax purposes.  Net unrealized depreciation consists of:

 

Gross unrealized appreciation:

 

$

54,835,910

 

Gross unrealized depreciation:

 

(59,794,905

)

Net unrealized depreciation:

 

$

(4,958,995

)