Loading...
Docoh

Pioneer Series Trust X

Filed: 28 Feb 20, 12:54pm




   
   
  Pioneer Multi-Asset
  Ultrashort Income Fund
   
   
   
   
   
   
   
  
Schedule of Investments | December 31, 2019
   
   
  
Ticker Symbols:
Class A  MAFRX
Class C  MCFRX
Class C2 MAUCX
Class K  MAUKX
Class Y  MYFRX


Schedule of Investments | 12/31/19 (unaudited)

 Shares   Value
   UNAFFILIATED ISSUERS - 99.3%  
   COMMON STOCK - 0.0%† of Net Assets
 2,377(a) 
Syncreon Group
$32,684
   TOTAL COMMON STOCK 
   
(Cost $33,278)
$32,684
 Principal
Amount
USD ($)
   Value
   ASSET BACKED SECURITIES - 39.5% of Net Assets
 259,484(b) 
321 Henderson Receivables I LLC, Series 2004-A, Class A1, 2.09% (1 Month USD LIBOR + 35 bps), 9/15/45 (144A)
 $254,937
 2,148,153(b) 
321 Henderson Receivables I LLC, Series 2005-1A, Class A1, 1.97% (1 Month USD LIBOR + 23 bps), 11/15/40 (144A)
 2,091,869
 486,974(b) 
321 Henderson Receivables I LLC, Series 2006-1A, Class A1, 1.94% (1 Month USD LIBOR + 20 bps), 3/15/41 (144A)
 481,752
 1,058,379(b) 
321 Henderson Receivables I LLC, Series 2006-2A, Class A1, 1.94% (1 Month USD LIBOR + 20 bps), 6/15/41 (144A)
 1,036,397
 1,557,745(b) 
321 Henderson Receivables I LLC, Series 2006-4A, Class A1, 1.94% (1 Month USD LIBOR + 20 bps), 12/15/41 (144A)
 1,543,269
 394,983(b) 
321 Henderson Receivables I LLC, Series 2007-1A, Class A1, 1.94% (1 Month USD LIBOR + 20 bps), 3/15/42 (144A)
 380,939
 1,367,798(b) 
321 Henderson Receivables II LLC, Series 2006-3A, Class A1, 1.94% (1 Month USD LIBOR + 20 bps), 9/15/41 (144A)
 1,331,103
 2,076,605(b) 
ABFC Trust, Series 2004-OPT2, Class M1, 2.617% (1 Month USD LIBOR + 83 bps), 8/25/33
 2,045,897
 672,257(b) 
ABFC Trust, Series 2005-WMC1, Class M2, 2.467% (1 Month USD LIBOR + 68 bps), 6/25/35
 674,088
 129,381 
ACC Trust, Series 2018-1, Class A, 3.7%, 12/21/20 (144A)
 129,465
 9,135,989 
ACC Trust, Series 2019-2, Class A, 2.82%, 2/21/23 (144A)
 9,151,150
 102,148 
Access Point Funding I LLC, Series 2017-A, Class A, 3.06%, 4/15/29 (144A)
 102,142
 1,106,444(b) 
ACE Securities Corp. Home Equity Loan Trust, Series 2005-WF1, Class M2, 2.452% (1 Month USD LIBOR + 66 bps), 5/25/35
 1,117,107
 1,634,086(b) 
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs, Series 2004-3, Class M1, 2.692% (1 Month USD LIBOR + 90 bps), 9/25/34
 1,639,946
 2,610,352(b) 
Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs, Series 2004-4, Class M1, 2.692% (1 Month USD LIBOR + 90 bps), 10/25/34
 2,613,939
 50,574 
American Credit Acceptance Receivables Trust, Series 2017-2, Class C, 2.86%, 6/12/23 (144A)
 50,614
 1,136,229 
American Credit Acceptance Receivables Trust, Series 2017-3, Class C, 2.72%, 6/10/22 (144A)
 1,136,520
 1,300,667 
American Credit Acceptance Receivables Trust, Series 2018-3, Class B, 3.49%, 6/13/22 (144A)
 1,302,876
 4,900,275 
American Credit Acceptance Receivables Trust, Series 2019-1, Class A, 3.06%, 7/12/22 (144A)
 4,911,670
 2,499,771 
American Credit Acceptance Receivables Trust, Series 2019-2, Class A, 2.85%, 7/12/22 (144A)
 2,504,787
 6,762,528 
American Credit Acceptance Receivables Trust, Series 2019-4, Class A, 2.18%, 2/13/23 (144A)
 6,761,826
 7,000,000(b) 
American Express Credit Account Master Trust, Series 2018-3, Class A, 2.06% (1 Month USD LIBOR + 32 bps), 10/15/25
 6,997,424
 22,000,000(b) 
American Express Credit Account Master Trust, Series 2019-4, Class A, 1.98% (1 Month USD LIBOR + 24 bps), 4/15/24
 22,023,855
 1,798,181(b) 
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs, Series 2005-R3, Class M2, 2.497% (1 Month USD LIBOR + 71 bps), 5/25/35
 1,798,722
 20,833(b) 
Ameriquest Mortgage Securities, Inc. Asset Backed Pass-Through Ctfs, Series 2005-R5, Class M2, 2.482% (1 Month USD LIBOR + 69 bps), 7/25/35
 20,837
 34,835(b) 
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs, Series 2005-R10, Class M1, 2.202% (1 Month USD LIBOR + 41 bps), 1/25/36
 34,827
 71,306(b) 
Amortizing Residential Collateral Trust, Series 2002-BC5, Class M1, 2.827% (1 Month USD LIBOR + 104 bps), 7/25/32
 70,929
 4,883,222 
Amur Equipment Finance Receivables V LLC, Series 2018-1A, Class A2, 3.24%, 12/20/23 (144A)
 4,911,763
 3,503,303 
Amur Equipment Finance Receivables VI LLC, Series 2018-2A, Class A2, 3.89%, 7/20/22 (144A)
 3,557,908
 4,000,000 
Amur Equipment Finance Receivables VII LLC, Series 2019-1A, Class B, 2.8%, 3/20/25 (144A)
 4,013,288
 825,000(b) 
Annisa CLO, Ltd., Series 2016-2A, Class X, 2.566% (3 Month USD LIBOR + 60 bps), 7/20/31 (144A)
 824,993
 15,000,000(b) 
Apex Credit CLO, Ltd., Series 2016-1A, Class AS1R, 3.236% (3 Month USD LIBOR + 130 bps), 10/27/28 (144A)
 14,978,235
 562,500(b) 
Apidos CLO XV, Series 2013-15A, Class XRR, 2.566% (3 Month USD LIBOR + 60 bps), 4/20/31 (144A)
 562,495
 500,000(b) 
Apidos CLO XVI, Series 2013-16A, Class CR, 4.966% (3 Month USD LIBOR + 300 bps), 1/19/25 (144A)
 500,438
 1,285,714(b) 
Apidos CLO XXIX, Series 2018-29A, Class X, 2.49% (3 Month USD LIBOR + 55 bps), 7/25/30 (144A)
 1,285,703
 2,600,000(b) 
Apidos CLO XXXII, Series 2019-32A, Class X, 0.0% (3 Month USD LIBOR + 65 bps), 1/20/33 (144A)
 2,600,000
 12,670,439(b) 
Apres Static CLO, Ltd., Series 2019-1A, Class A1, 3.171% (3 Month USD LIBOR + 117 bps), 1/15/27 (144A)
 12,673,720
 Principal
Amount
USD ($)
   Value
   ASSET BACKED SECURITIES - (continued)
 15,350,714 
Aqua Finance Trust, Series 2019-A, Class A, 3.14%, 7/16/40 (144A)
  $15,386,352
 293,750(b) 
Ares XXXVIII CLO, Ltd., Series 2015-38A, Class X, 2.466% (3 Month USD LIBOR + 50 bps), 4/20/30 (144A)
 293,748
 337,500(b) 
Ares XXXVR CLO, Ltd., Series 2015-35RA, Class X, 2.651% (3 Month USD LIBOR + 65 bps), 7/15/30 (144A)
 337,498
 1,120,535(b) 
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M2, 2.842% (1 Month USD LIBOR + 105 bps), 11/25/34
 1,129,316
 113,365(b) 
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-W2, Class A1, 2.052% (1 Month USD LIBOR + 26 bps), 10/25/35
 113,393
 106,157(b) 
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-W3, Class A2D, 2.132% (1 Month USD LIBOR + 34 bps), 11/25/35
 106,255
 524,742 
ARI Fleet Lease Trust, Series 2016-A, Class A3, 2.11%, 7/15/24 (144A)
 525,136
 548,123 
ARI Fleet Lease Trust, Series 2017-A, Class A2, 1.91%, 4/15/26 (144A)
 547,560
 10,300,189 
Arivo Acceptance Auto Loan Receivables Trust, Series 2019-1, Class A, 2.99%, 7/15/24 (144A)
 10,282,801
 1,500,000 
Ascentium Equipment Receivables Trust, Series 2016-2A, Class D, 4.2%, 9/12/22 (144A)
 1,506,790
 600,139 
Ascentium Equipment Receivables Trust, Series 2018-1A, Class A2, 2.92%, 12/10/20 (144A)
 600,611
 6,275,000 
Ascentium Equipment Receivables Trust, Series 2019-1A, Class A2, 2.84%, 6/10/22 (144A)
 6,307,279
 20,000,000 
Ascentium Equipment Receivables Trust, Series 2019-2A, Class A2, 2.24%, 6/10/22 (144A)
 19,990,356
 401,826(b) 
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE4, Class M4, 2.737% (1 Month USD LIBOR + 95 bps), 5/25/35
 402,984
 116,160(b) 
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE1, Class A3, 1.992% (1 Month USD LIBOR + 20 bps), 1/25/36
 115,923
 25,308(b) 
Asset-Backed Pass-Through Certificates, Series 2004-R2, Class A1A, 2.482% (1 Month USD LIBOR + 69 bps), 4/25/34
 25,302
 266,458(b) 
Asset-Backed Pass-Through Certificates, Series 2004-R2, Class A1B, 2.412% (1 Month USD LIBOR + 62 bps), 4/25/34
 266,188
 2,211,429(b) 
ASSURANT CLO III, Ltd., Series 2018-2A, Class X, 2.666% (3 Month USD LIBOR + 70 bps), 10/20/31 (144A)
 2,211,409
 16,590,000(b) 
Atlas Senior Loan Fund III, Ltd., Series 2013-1A, Class AR, 2.734% (3 Month USD LIBOR + 83 bps), 11/17/27 (144A)
 16,571,502
 1,064,963(b) 
Atlas Senior Loan Fund XII, Ltd., Series 2018-12A, Class X, 2.686% (3 Month USD LIBOR + 75 bps), 10/24/31 (144A)
 1,064,952
 2,540,182 
Avant Loans Funding Trust, Series 2018-B, Class A, 3.42%, 1/18/22 (144A)
 2,545,549
 6,484,016 
Avant Loans Funding Trust, Series 2019-A, Class A, 3.48%, 7/15/22 (144A)
 6,507,583
 8,317,853 
Avant Loans Funding Trust, Series 2019-B, Class A, 2.72%, 10/15/26 (144A)
 8,325,319
 1,501,072 
Avid Automobile Receivables Trust, Series 2018-1, Class A, 2.84%, 8/15/23 (144A)
 1,502,514
 7,943,638 
Avid Automobile Receivables Trust, Series 2019-1, Class A, 2.62%, 2/15/24 (144A)
 7,941,301
 1,583,333(b) 
Babson CLO, Ltd., Series 2015-IA, Class XR, 2.516% (3 Month USD LIBOR + 55 bps), 1/20/31 (144A)
 1,583,321
 6,975,000(b) 
Barclays Dryrock Issuance Trust, Series 2017-2, Class A, 2.04% (1 Month USD LIBOR + 30 bps), 5/15/23
 6,980,687
 7,190,165(b) 
Barings BDC Static CLO, Ltd., Series 2019-1A, Class A1, 3.021% (3 Month USD LIBOR + 102 bps), 4/15/27 (144A)
 7,193,199
 200,000(b) 
Barings CLO, Ltd., Series 2018-2A, Class X, 2.601% (3 Month USD LIBOR + 60 bps), 4/15/30 (144A)
 199,999
 1,285,714(b) 
Barings CLO, Ltd., Series 2018-3A, Class X, 2.466% (3 Month USD LIBOR + 50 bps), 7/20/29 (144A)
 1,285,705
 2,083,333(b) 
Barings CLO, Ltd., Series 2019-1A, Class X, 2.751% (3 Month USD LIBOR + 75 bps), 4/15/31 (144A)
 2,083,318
 1,500,000(b) 
Battery Park CLO, Series 2019-1A, Class X, 2.854% (3 Month USD LIBOR + 65 bps), 7/15/32 (144A)
 1,499,978
 2,999(c) 
Bayview Financial Acquisition Trust, Series 2007-A, Class 1A2, 6.205%, 5/28/37
 2,992
 215,263 
BCC Funding XIII LLC, Series 2016-1, Class B, 2.73%, 4/20/22 (144A)
 215,297
 18,167,403 
BCC Funding XVI LLC, Series 2019-1A, Class A1, 2.3%, 10/20/20 (144A)
 18,168,072
 1,718,750(b) 
Bean Creek CLO, Ltd., Series 2015-1A, Class XR, 2.566% (3 Month USD LIBOR + 60 bps), 4/20/31 (144A)
 1,718,640
 342,297(b) 
Bear Stearns Asset Backed Securities Trust, Series 2001-3, Class A1, 2.692% (1 Month USD LIBOR + 90 bps), 10/27/32
 335,596
 384,010(b) 
Bear Stearns Asset Backed Securities Trust, Series 2005-TC1, Class M1, 2.452% (1 Month USD LIBOR + 66 bps), 5/25/35
 384,309
 861,575(b) 
Bear Stearns Asset Backed Securities Trust, Series 2006-SD1, Class A, 2.162% (1 Month USD LIBOR + 37 bps), 4/25/36
 860,950
 10,634(b) 
Bear Stearns Asset Backed Securities Trust, Series 2006-SD2, Class A1, 2.172% (1 Month USD LIBOR + 38 bps), 6/25/36
 10,624
 1,712(b) 
Bear Stearns Asset Backed Securities Trust, Series 2006-SD2, Class A3, 2.282% (1 Month USD LIBOR + 49 bps), 6/25/36
 1,710
 1,583,333(b) 
BlueMountain CLO, Ltd., Series 2013-2A, Class X, 2.603% (3 Month USD LIBOR + 65 bps), 10/22/30 (144A)
 1,583,181
 Principal
Amount
USD ($)
   Value
   ASSET BACKED SECURITIES - (continued)
 1,028,571(b) 
BlueMountain CLO, Ltd., Series 2018-2A, Class X, 2.56% (3 Month USD LIBOR + 65 bps), 8/15/31 (144A)
  $1,028,559
 5,325,000(b) 
Cabela’s Credit Card Master Note Trust, Series 2015-2, Class A2, 2.41% (1 Month USD LIBOR + 67 bps), 7/17/23
 5,337,981
 3,000,000(b) 
California Street CLO IX LP, Series 2012-9A, Class XR2, 9.281% (3 Month USD LIBOR + 70 bps), 7/16/32 (144A)
 2,999,979
 7,726,545(b) 
Canadian Pacer Auto Receivables Trust, Series 2018-2A, Class A2B, 1.944% (1 Month USD LIBOR + 18 bps), 6/21/21 (144A)
 7,725,014
 15,000,000(b) 
CARDS II Trust, Series 2019-1A, Class A, 2.13% (1 Month USD LIBOR + 39 bps), 5/15/24 (144A)
 15,020,673
 850,000(b) 
Carlyle US CLO, Ltd., Series 2019-4A, Class M, 0.0% (3 Month USD LIBOR + 65 bps), 1/15/33 (144A)
 850,000
 121,102(b) 
CarMax Auto Owner Trust, Series 2018-1, Class A2B, 1.89% (1 Month USD LIBOR + 15 bps), 5/17/21
 121,102
 45,153 
Carnow Auto Receivables Trust, Series 2017-1A, Class A, 2.92%, 9/15/22 (144A)
 45,151
 5,042,915 
Carnow Auto Receivables Trust, Series 2018-1A, Class A, 3.61%, 10/15/21 (144A)
 5,053,000
 14,947,221 
Carnow Auto Receivables Trust, Series 2019-1A, Class A, 2.72%, 11/15/22 (144A)
 14,951,528
 14,401,145 
Carvana Auto Receivables Trust, Series 2019-2A, Class A2, 2.6%, 1/18/22 (144A)
 14,422,103
 15,000,000 
Carvana Auto Receivables Trust, Series 2019-3A, Class A2, 2.42%, 4/15/22 (144A)
 15,006,255
 3,000,000 
Carvana Auto Receivables Trust, Series 2019-4A, Class A2, 2.2%, 7/15/22 (144A)
 2,999,351
 935,000(b) 
Catamaran CLO, Ltd., Series 2013-1A, Class X, 2.486% (3 Month USD LIBOR + 55 bps), 1/27/28 (144A)
 934,935
 1,719 
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A, 2.0%, 12/10/23 (144A)
 1,716
 1,048 
Cazenovia Creek Funding I LLC, Series 2015-1A, Class B, 2.773%, 12/10/23 (144A)
 1,043
 977,874 
Cazenovia Creek Funding II LLC, Series 2018-1A, Class B, 3.984%, 7/15/30 (144A)
 982,623
 1,628,571(b) 
CBAM, Ltd., Series 2018-5A, Class X, 2.552% (3 Month USD LIBOR + 55 bps), 4/17/31 (144A)
 1,628,559
 2,750,000(b) 
Cent CLO 21, Ltd., Series 2014-21A, Class XR2, 2.586% (3 Month USD LIBOR + 65 bps), 7/27/30 (144A)
 2,749,975
 96,837(d) 
Centex Home Equity Loan Trust, Series 2003-A, Class AF6, 3.654%, 3/25/33
 97,423
 375,000(b) 
CFIP CLO, Ltd., Series 2018-1A, Class X, 2.753% (3 Month USD LIBOR + 75 bps), 7/18/31 (144A)
 374,996
 10,645,000(b) 
Chase Issuance Trust, Series 2017-A1, Class A, 2.04% (1 Month USD LIBOR + 30 bps), 1/15/22
 10,646,386
 4,645,000(b) 
Chase Issuance Trust, Series 2017-A2, Class A, 2.14% (1 Month USD LIBOR + 40 bps), 3/15/24
 4,657,170
 13,250,000(b) 
Chase Issuance Trust, Series 2018-A1, Class A1, 1.94% (1 Month USD LIBOR + 20 bps), 4/17/23
 13,263,218
 1,020,738 
Chesapeake Funding II LLC, Series 2017-2A, Class A1, 1.99%, 5/15/29 (144A)
 1,019,899
 2,235,417(b) 
Chesapeake Funding II LLC, Series 2017-2A, Class A2, 2.19% (1 Month USD LIBOR + 45 bps), 5/15/29 (144A)
 2,237,118
 3,505,158(b) 
Chesapeake Funding II LLC, Series 2017-3A, Class A2, 2.08% (1 Month USD LIBOR + 34 bps), 8/15/29 (144A)
 3,503,185
 6,919,723(b) 
Chesapeake Funding II LLC, Series 2017-4A, Class A2, 2.08% (1 Month USD LIBOR + 34 bps), 11/15/29 (144A)
 6,915,012
 4,425,790(b) 
Chesapeake Funding II LLC, Series 2018-1A, Class A2, 2.19% (1 Month USD LIBOR + 45 bps), 4/15/30 (144A)
 4,429,011
 1,687,500(b) 
CIFC Funding, Ltd., Series 2013-4A, Class XRR, 2.486% (3 Month USD LIBOR + 55 bps), 4/27/31 (144A)
 1,687,485
 5,250,000(b) 
CIFC Funding, Ltd., Series 2014-2RA, Class X, 2.786% (3 Month USD LIBOR + 85 bps), 4/24/30 (144A)
 5,249,947
 2,857,143(b) 
CIFC Funding, Ltd., Series 2014-4RA, Class X, 2.552% (3 Month USD LIBOR + 55 bps), 10/17/30 (144A)
 2,857,123
 890,675 
CIG Auto Receivables Trust, Series 2017-1A, Class A, 2.71%, 5/15/23 (144A)
 891,655
 9,544,059 
CIG Auto Receivables Trust, Series 2019-1A, Class A, 3.33%, 8/15/24 (144A)
 9,601,509
 3,499,741(b) 
CIM Small Business Loan Trust, Series 2018-1A, Class A, 3.165% (1 Month USD LIBOR + 140 bps), 3/20/43 (144A)
 3,491,799
 4,500,000(b) 
Citibank Credit Card Issuance Trust, Series 2017-A4, Class A4, 1.93% (1 Month USD LIBOR + 22 bps), 4/7/22
 4,501,581
 18,445,000(b) 
Citibank Credit Card Issuance Trust, Series 2017-A7, Class A7, 2.08% (1 Month USD LIBOR + 37 bps), 8/8/24
 18,492,439
 2,249,491(b) 
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH1, Class M3, 2.392% (1 Month USD LIBOR + 60 bps), 1/25/36
 2,248,393
 2,398,269(b) 
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A3, 2.012% (1 Month USD LIBOR + 22 bps), 8/25/36
 2,394,541
 500,000(b) 
Clear Creek CLO, Series 2015-1A, Class X, 2.966% (3 Month USD LIBOR + 100 bps), 10/20/30 (144A)
 499,989
 Principal
Amount
USD ($)
   Value
   ASSET BACKED SECURITIES - (continued)
 2,187,500(b) 
Columbia Cent CLO 28, Ltd., Series 2018-28A, Class X, 2.544% (3 Month USD LIBOR + 65 bps), 11/7/30 (144A)
  $2,187,476
 2,045,718 
Commonbond Student Loan Trust, Series 2016-B, Class A1, 2.73%, 10/25/40 (144A)
 2,056,989
 270,415(b) 
Commonbond Student Loan Trust, Series 2016-B, Class A2, 3.242% (1 Month USD LIBOR + 145 bps), 10/25/40 (144A)
 273,105
 2,463,669(b) 
Commonbond Student Loan Trust, Series 2017-AGS, Class A2, 2.642% (1 Month USD LIBOR + 85 bps), 5/25/41 (144A)
 2,450,762
 4,976,723(b) 
Commonbond Student Loan Trust, Series 2017-BGS, Class A2, 2.442% (1 Month USD LIBOR + 65 bps), 9/25/42 (144A)
 4,918,366
 4,245,863(b) 
Commonbond Student Loan Trust, Series 2018-AGS, Class A2, 2.292% (1 Month USD LIBOR + 50 bps), 2/25/44 (144A)
 4,176,106
 8,674,245(b) 
Commonbond Student Loan Trust, Series 2018-BGS, Class A2, 2.362% (1 Month USD LIBOR + 57 bps), 9/25/45 (144A)
 8,452,589
 6,899,127(b) 
Commonbond Student Loan Trust, Series 2018-CGS, Class A2, 2.592% (1 Month USD LIBOR + 80 bps), 2/25/46 (144A)
 6,796,595
 9,606,713(b) 
Commonbond Student Loan Trust, Series 2019-AGS, Class A2, 2.692% (1 Month USD LIBOR + 90 bps), 1/25/47 (144A)
 9,571,504
 1,067,533 
Conn’s Receivables Funding LLC, Series 2018-A, Class A, 3.25%, 1/15/23 (144A)
 1,071,384
 724,188 
Conn’s Receivables Funding LLC, Series 2018-A, Class B, 4.65%, 1/15/23 (144A)
 728,194
 3,073,065 
Conn’s Receivables Funding LLC, Series 2019-A, Class A, 3.4%, 10/16/23 (144A)
 3,093,556
 5,200,000 
Conn’s Receivables Funding LLC, Series 2019-A, Class B, 4.36%, 10/16/23 (144A)
 5,246,538
 12,417,908 
Conn’s Receivables Funding LLC, Series 2019-B, Class A, 2.66%, 6/17/24 (144A)
 12,424,264
 190,387(b) 
Conseco Finance Home Equity Loan Trust, Series 2002-B, Class M2, 4.24% (1 Month USD LIBOR + 250 bps), 5/15/33
 191,380
 123,176(b) 
Conseco Finance Home Equity Loan Trust, Series 2002-C, Class MV1, 3.24% (1 Month USD LIBOR + 150 bps), 5/15/32
 122,853
 4,747,889 
Consumer Lending Receivables Trust, Series 2019-A, Class A, 3.52%, 4/15/26 (144A)
 4,771,336
 29,270,000 
Consumer Loan Underlying Bond Club Certificate Issuer Trust, Series 2019-HP1, Class A, 2.59%, 12/15/26 (144A)
 29,281,541
 2,450,278 
Consumer Loan Underlying Bond Credit Trust, Series 2018-P2, Class A, 3.47%, 10/15/25 (144A)
 2,463,920
 4,805,600 
Consumer Loan Underlying Bond Credit Trust, Series 2019-P1, Class A, 2.94%, 7/15/26 (144A)
 4,823,539
 78,309(b) 
Countrywide Asset-Backed Certificates, Series 2004-8, Class M1, 2.842% (1 Month USD LIBOR + 105 bps), 1/25/35
 78,399
 187,971(b) 
Countrywide Asset-Backed Certificates, Series 2005-9, Class M1, 2.312% (1 Month USD LIBOR + 52 bps), 1/25/36
 188,347
 284,212(b) 
Countrywide Asset-Backed Certificates, Series 2005-BC1, Class M4, 2.692% (1 Month USD LIBOR + 90 bps), 5/25/35
 284,303
 312,109(b) 
Countrywide Asset-Backed Certificates, Series 2006-3, Class 2A3, 2.082% (1 Month USD LIBOR + 29 bps), 6/25/36
 311,867
 14,219(b) 
Countrywide Asset-Backed Certificates, Series 2006-4, Class 1A1M, 2.052% (1 Month USD LIBOR + 26 bps), 7/25/36
 14,216
 4,228,239(b) 
Countrywide Asset-Backed Certificates, Series 2006-4, Class 2A3, 2.082% (1 Month USD LIBOR + 29 bps), 7/25/36
 4,180,578
 574,803 
CPS Auto Receivables Trust, Series 2015-A, Class C, 4.0%, 2/16/21 (144A)
 575,905
 2,036,767 
CPS Auto Receivables Trust, Series 2018-D, Class A, 3.06%, 1/18/22 (144A)
 2,040,116
 1,353,665(b) 
Credit Suisse Seasoned Loan Trust, Series 2006-1, Class A, 2.032% (1 Month USD LIBOR + 24 bps), 10/25/34 (144A)
 1,353,164
 195,560(b) 
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB3, Class M2, 2.722% (1 Month USD LIBOR + 93 bps), 5/25/35
 195,574
 1,312,302(b) 
CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-AGE1, Class M3, 2.442% (1 Month USD LIBOR + 65 bps), 2/25/32
 1,312,967
 3,248,576(b) 
CWABS Asset-Backed Certificates Trust, Series 2004-10, Class MV3, 2.917% (1 Month USD LIBOR + 113 bps), 12/25/34
 3,267,019
 214,823(b) 
CWABS Asset-Backed Certificates Trust, Series 2005-17, Class 3AV2, 2.132% (1 Month USD LIBOR + 34 bps), 5/25/36
 214,474
 932,773(b) 
CWABS Asset-Backed Certificates Trust, Series 2005-AB1, Class M1, 2.422% (1 Month USD LIBOR + 63 bps), 8/25/35
 932,865
 2,943,525(b) 
CWHEQ Revolving Home Equity Loan Resuritization Trust, Series 2006-RES, Class 4M1A, 2.02% (1 Month USD LIBOR + 28 bps), 2/15/34 (144A)
 2,905,886
 3,460,054(b) 
CWHEQ Revolving Home Equity Loan Resuritization Trust, Series 2006-RES, Class 4N1A, 2.02% (1 Month USD LIBOR + 28 bps), 2/15/34 (144A)
 3,409,079
 2,260,059 
Dell Equipment Finance Trust, Series 2018-2, Class A2, 3.16%, 2/22/21 (144A)
 2,268,436
 195,000 
Dell Equipment Finance Trust, Series 2018-2, Class A3, 3.37%, 10/22/23 (144A)
 197,679
 131 
Delta Funding Home Equity Loan Trust, Series 1997-2, Class A6, 7.04%, 6/25/27
 122
 Principal
Amount
USD ($)
   Value
   ASSET BACKED SECURITIES - (continued)
 4,091,698 
Diamond Resorts Owner Trust, Series 2016-1, Class B, 3.37%, 11/20/28 (144A)
  $4,095,694
 3,338,246 
DLL LLC, Series 2018-ST2, Class A2, 3.14%, 10/20/20 (144A)
 3,340,861
 13,000,000 
DLL LLC, Series 2018-ST2, Class A3, 3.46%, 1/20/22 (144A)
 13,124,102
 12,167,187 
DLL LLC, Series 2019-MT3, Class A1, 2.062%, 10/20/20 (144A)
 12,165,162
 676,408(b) 
DRB Prime Student Loan Trust, Series 2015-D, Class A1, 3.403% (1 Month USD LIBOR + 170 bps), 1/25/40 (144A)
 680,895
 413,311(b) 
DRB Prime Student Loan Trust, Series 2016-B, Class A1, 3.592% (1 Month USD LIBOR + 180 bps), 6/25/40 (144A)
 419,533
 545,252 
DRB Prime Student Loan Trust, Series 2016-B, Class A3, 2.23%, 6/25/36 (144A)
 543,060
 2,109,399(b) 
DRB Prime Student Loan Trust, Series 2017-A, Class A1, 2.642% (1 Month USD LIBOR + 85 bps), 5/27/42 (144A)
 2,109,646
 6,456,849 
Drive Auto Receivables Trust, Series 2018-2, Class C, 3.63%, 8/15/24
 6,487,398
 87,642 
Drive Auto Receivables Trust, Series 2019-1, Class A2A, 3.08%, 9/15/21
 87,677
 2,360,722(b) 
Drive Auto Receivables Trust, Series 2019-2, Class A2B, 2.02% (1 Month USD LIBOR + 28 bps), 3/15/22
 2,360,722
 122,876(b) 
Drug Royalty II LP 2, Series 2014-1, Class A1, 5.153% (3 Month USD LIBOR + 285 bps), 7/15/23 (144A)
 122,939
 3,877,512(b) 
Drug Royalty III LP 1, Series 2017-1A, Class A1, 4.803% (3 Month USD LIBOR + 250 bps), 4/15/27 (144A)
 3,896,008
 2,137,644(b) 
Drug Royalty III LP 1, Series 2018-1A, Class A1, 3.903% (3 Month USD LIBOR + 160 bps), 10/15/31 (144A)
 2,134,504
 1,500,000(b) 
Dryden 80 CLO, Ltd., Series 2019-80A, Class X, 2.784% (3 Month USD LIBOR + 90 bps), 1/17/33 (144A)
 1,499,966
 112,718 
DT Auto Owner Trust, Series 2017-4A, Class C, 2.86%, 7/17/23 (144A)
 112,742
 3,026,987 
DT Auto Owner Trust, Series 2018-3A, Class A, 3.02%, 2/15/22 (144A)
 3,033,149
 7,936,744 
DT Auto Owner Trust, Series 2019-1A, Class A, 3.08%, 9/15/22 (144A)
 7,965,262
 373,494(b) 
Earnest Student Loan Program LLC, Series 2016-C, Class A1, 3.642% (1 Month USD LIBOR + 185 bps), 10/27/36 (144A)
 376,594
 360,847(b) 
Earnest Student Loan Program LLC, Series 2016-D, Class A1, 3.192% (1 Month USD LIBOR + 140 bps), 1/25/41 (144A)
 361,660
 1,137,225(b) 
Earnest Student Loan Program LLC, Series 2017-A, Class A1, 2.792% (1 Month USD LIBOR + 100 bps), 1/25/41 (144A)
 1,135,624
 6,276,303(b) 
Elevation CLO, Ltd., Series 2015-4A, Class AR, 2.993% (3 Month USD LIBOR + 99 bps), 4/18/27 (144A)
 6,276,968
 15,950,000(b) 
Elevation CLO, Ltd., Series 2015-4A, Class CR, 4.203% (3 Month USD LIBOR + 220 bps), 4/18/27 (144A)
 15,951,898
 596,742 
Engs Commercial Finance Trust, Series 2016-1A, Class A2, 2.63%, 2/22/22 (144A)
 597,042
 152,869(b) 
EquiFirst Mortgage Loan Trust, Series 2004-2, Class M1, 2.617% (1 Month USD LIBOR + 83 bps), 10/25/34
 152,894
 12,000,000(b) 
Evergreen Credit Card Trust, Series 2018-2, Class A, 2.09% (1 Month USD LIBOR + 35 bps), 7/15/22 (144A)
 12,008,806
 16,000,000(b) 
Evergreen Credit Card Trust, Series 2019-1, Class A, 2.22% (1 Month USD LIBOR + 48 bps), 1/15/23 (144A)
 16,041,490
 19,000,000(b) 
Evergreen Credit Card Trust, Series 2019-3, Class A, 2.11% (1 Month USD LIBOR + 37 bps), 10/16/23 (144A)
 19,014,197
 331,518 
Exeter Automobile Receivables Trust, Series 2015-3A, Class C, 4.83%, 8/16/21 (144A)
 331,814
 802,480 
Exeter Automobile Receivables Trust, Series 2017-2A, Class B, 2.82%, 5/16/22 (144A)
 803,451
 758,988 
Exeter Automobile Receivables Trust, Series 2018-1A, Class B, 2.75%, 4/15/22 (144A)
 759,270
 170,631 
Exeter Automobile Receivables Trust, Series 2018-3A, Class A, 2.9%, 1/18/22 (144A)
 170,672
 4,510,351 
Exeter Automobile Receivables Trust, Series 2019-1A, Class A, 3.2%, 4/15/22 (144A)
 4,519,403
 4,875,000 
Exeter Automobile Receivables Trust, Series 2019-2A, Class C, 3.3%, 3/15/24 (144A)
 4,947,115
 2,617,439 
FCI Funding LLC, Series 2019-1A, Class A, 3.63%, 2/18/31 (144A)
 2,628,530
 2,805,877(d) 
Finance of America Structured Securities Trust, Series 2018-HB1, Class A, 3.375%, 9/25/28 (144A)
 2,805,598
 9,613,349(d) 
Finance of America Structured Securities Trust, Series 2019-HB1, Class A, 3.279%, 4/25/29 (144A)
 9,659,490
 1,331,000(d) 
Finance of America Structured Securities Trust, Series 2019-HB1, Class M1, 3.396%, 4/25/29 (144A)
 1,330,998
 48,056(b) 
First Franklin Mortgage Loan Trust, Series 2004-FF4, Class M1, 2.647% (1 Month USD LIBOR + 86 bps), 6/25/34
 48,108
 8,381,565(b) 
First Franklin Mortgage Loan Trust, Series 2005-FF12, Class M1, 2.242% (1 Month USD LIBOR + 45 bps), 11/25/36
 8,396,085
 273,036(b) 
First Franklin Mortgage Loan Trust, Series 2005-FFH2, Class M2, 2.602% (1 Month USD LIBOR + 81 bps), 4/25/35 (144A)
 273,853
 1,379,257 
First Investors Auto Owner Trust, Series 2018-2A, Class A1, 3.23%, 12/15/22 (144A)
 1,384,663
 4,618,163 
First Investors Auto Owner Trust, Series 2019-1A, Class A, 2.89%, 3/15/24 (144A)
 4,651,523
 Principal
Amount
USD ($)
   Value
   ASSET BACKED SECURITIES - (continued)
 15,877,456 
First Investors Auto Owner Trust, Series 2019-2A, Class A, 2.21%, 9/16/24 (144A)
  $15,871,926
 9,000,000(b) 
First National Master Note Trust, Series 2017-2, Class A, 2.18% (1 Month USD LIBOR + 44 bps), 10/16/23
 9,011,070
 9,250,000(b) 
First National Master Note Trust, Series 2018-1, Class A, 2.2% (1 Month USD LIBOR + 46 bps), 10/15/24
 9,225,541
 612,402 
Flagship Credit Auto Trust, Series 2017-4, Class A, 2.07%, 4/15/22 (144A)
 611,937
 5,910,000(b) 
Ford Credit Floorplan Master Owner Trust A, Series 2017-2, Class A2, 2.09% (1 Month USD LIBOR + 35 bps), 9/15/22
 5,914,168
 27,000,000(b) 
Ford Credit Floorplan Master Owner Trust A, Series 2019-3, Class A2, 2.34% (1 Month USD LIBOR + 60 bps), 9/15/24
 27,101,704
 16,500,000(b) 
Fort CRE LLC, Series 2018-1A, Class A1, 3.135% (1 Month USD LIBOR + 135 bps), 11/16/35 (144A)
 16,513,172
 7,542,028 
Foundation Finance Trust, Series 2019-1A, Class A, 3.86%, 11/15/34 (144A)
 7,653,693
 330,122 
Foursight Capital Automobile Receivables Trust, Series 2016-1, Class A2, 2.87%, 10/15/21 (144A)
 330,276
 1,984,743 
Foursight Capital Automobile Receivables Trust, Series 2017-1, Class A, 2.37%, 4/15/22 (144A)
 1,985,588
 1,550,393 
Foursight Capital Automobile Receivables Trust, Series 2018-2, Class A2, 3.32%, 4/15/22 (144A)
 1,554,287
 7,223,352 
Foursight Capital Automobile Receivables Trust, Series 2019-1, Class A2, 2.58%, 3/15/23 (144A)
 7,233,709
 2,982,525 
FREED ABS Trust, Series 2018-1, Class A, 3.61%, 7/18/24 (144A)
 2,995,508
 8,264,003 
FREED ABS Trust, Series 2018-2, Class A, 3.99%, 10/20/25 (144A)
 8,320,974
 3,881,278 
FREED ABS Trust, Series 2019-1, Class A, 3.42%, 6/18/26 (144A)
 3,897,144
 3,000,000 
FREED ABS Trust, Series 2019-1, Class B, 3.87%, 6/18/26 (144A)
 3,038,695
 15,378,583 
FREED ABS Trust, Series 2019-2, Class A, 2.62%, 11/18/26 (144A)
 15,378,505
 31,684(b) 
Fremont Home Loan Trust, Series 2005-2, Class M2, 2.512% (1 Month USD LIBOR + 72 bps), 6/25/35
 31,706
 3,320,332(b) 
Fremont Home Loan Trust, Series 2005-E, Class 1A1, 2.022% (1 Month USD LIBOR + 23 bps), 1/25/36
 3,315,869
 6,416,998(b) 
Fremont Home Loan Trust, Series 2006-2, Class 1A1, 1.952% (1 Month USD LIBOR + 16 bps), 2/25/36
 6,377,492
 125,000(b) 
Galaxy XXI CLO, Ltd., Series 2015-21A, Class X, 2.466% (3 Month USD LIBOR + 50 bps), 4/20/31 (144A)
 124,998
 1,537,542(b) 
GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-2, Class A1, 2.017% (1 Month USD LIBOR + 23 bps), 12/25/35
 1,538,244
 4,707,694 
GLS Auto Receivables Issuer Trust, Series 2019-1A, Class A, 3.37%, 1/17/23 (144A)
 4,735,516
 11,980,223 
GLS Auto Receivables Issuer Trust, Series 2019-2A, Class A, 3.06%, 4/17/23 (144A)
 12,042,954
 10,774,086 
GLS Auto Receivables Issuer Trust, Series 2019-3A, Class A, 2.58%, 7/17/23 (144A)
 10,778,921
 9,161,418 
GLS Auto Receivables Issuer Trust, Series 2019-4A, Class A, 2.47%, 11/15/23 (144A)
 9,163,272
 2,394,162 
GLS Auto Receivables Trust, Series 2018-1A, Class A, 2.82%, 7/15/22 (144A)
 2,399,553
 800,000 
GLS Auto Receivables Trust, Series 2018-1A, Class B, 3.52%, 8/15/23 (144A)
 805,066
 1,803,452 
GLS Auto Receivables Trust, Series 2018-2A, Class A, 3.25%, 4/18/22 (144A)
 1,807,549
 3,404,038 
GLS Auto Receivables Trust, Series 2018-3A, Class A, 3.35%, 8/15/22 (144A)
 3,418,280
 8,500,000(b) 
GM Financial Automobile Leasing Trust, Series 2019-3, Class A2B, 2.035% (1 Month USD LIBOR + 27 bps), 10/20/21
 8,502,508
 37,068(c) 
GMAT Trust, Series 2013-1A, Class A, 6.967%, 11/25/43 (144A)
 37,061
 4,700,000(b) 
GMF Floorplan Owner Revolving Trust, Series 2017-1, Class A2, 2.31% (1 Month USD LIBOR + 57 bps), 1/18/22 (144A)
 4,700,611
 6,500,000(b) 
GMF Floorplan Owner Revolving Trust, Series 2018-3, Class A, 2.06% (1 Month USD LIBOR + 32 bps), 9/15/22 (144A)
 6,502,551
 15,750,000(b) 
GMF Floorplan Owner Revolving Trust, Series 2018-4, Class A2, 2.15% (1 Month USD LIBOR + 41 bps), 9/15/23 (144A)
 15,754,646
 1,250,000(b) 
Goldentree Loan Management US CLO 3, Ltd., Series 2018-3A, Class X, 2.516% (3 Month USD LIBOR + 55 bps), 4/20/30 (144A)
 1,249,990
 1,400,000(b) 
Goldentree Loan Management US CLO 5, Ltd., Series 2019-5A, Class X, 2.688% (3 Month USD LIBOR + 50 bps), 10/20/32 (144A)
 1,399,976
 1,004,599(b) 
Golub Capital BDC CLO LLC, Series 2014-1A, Class A1R, 2.89% (3 Month USD LIBOR + 95 bps), 4/25/26 (144A)
 1,004,587
 3,000,000(b) 
Golub Capital Partners CLO 24M-R, Ltd., Series 2015-24A, Class AR, 3.491% (3 Month USD LIBOR + 160 bps), 11/5/29 (144A)
 2,992,143
 1,821,000(b) 
Golub Capital Partners CLO 25M, Ltd., Series 2015-25A, Class AR, 3.271% (3 Month USD LIBOR + 138 bps), 5/5/30 (144A)
 1,805,766
 10,000,000(b) 
Golub Capital Partners CLO 34M, Ltd., Series 2017-34A, Class AR, 3.591% (3 Month USD LIBOR + 170 bps), 3/14/31 (144A)
 9,931,130
 5,000,000(b) 
Golub Capital Partners CLO 46M, Ltd., Series 2019-46A, Class A1A, 0.0% (3 Month USD LIBOR + 180 bps), 4/20/32 (144A)
 5,000,000
 14,900,000(b) 
GPMT, Ltd., Series 2019-FL2, Class A, 3.04% (1 Month USD LIBOR + 130 bps), 2/22/36 (144A)
 14,937,845
 7,201,344 
Great American Auto Leasing, Inc., Series 2019-1, Class A2, 2.97%, 6/15/21 (144A)
 7,230,405
 Principal
Amount
USD ($)
   Value
   ASSET BACKED SECURITIES - (continued)
 106,250(b) 
Greywolf CLO II, Ltd., Series 2013-1A, Class X, 2.701% (3 Month USD LIBOR + 70 bps), 10/15/29 (144A)
  $106,249
 4,143(b) 
GSAA Home Equity Trust, Series 2004-11, Class 2A1, 2.452% (1 Month USD LIBOR + 66 bps), 12/25/34
 4,145
 2,238,471(b) 
GSAA Home Equity Trust, Series 2005-6, Class A3, 2.162% (1 Month USD LIBOR + 37 bps), 6/25/35
 2,239,757
 118,393(b) 
GSAA Home Equity Trust, Series 2005-9, Class 2A3, 2.162% (1 Month USD LIBOR + 37 bps), 8/25/35
 118,420
 4,800,407(b) 
GSAMP Trust, Series 2005-HE4, Class M2, 2.527% (1 Month USD LIBOR + 74 bps), 7/25/45
 4,807,318
 426,341(b) 
GSRPM Mortgage Loan Trust, Series 2006-1, Class A1, 2.092% (1 Month USD LIBOR + 30 bps), 3/25/35 (144A)
 424,768
 4,836,242(b) 
HANA SBA LOAN TRUST, Series 2019-1, Class A, 3.792% (1 Month USD LIBOR + 200 bps), 8/25/45 (144A)
 4,836,224
 1,083,333(b) 
Harbor Park CLO, Ltd., Series 2018-1A, Class X, 2.866% (3 Month USD LIBOR + 90 bps), 1/20/31 (144A)
 1,083,323
 4,470,000 
Harley-Davidson Motorcycle Trust, Series 2019-A, Class A2, 2.37%, 5/15/22
 4,475,344
 322,853 
Hero Residual Funding, Series 2016-1R, Class A1, 4.5%, 9/21/42 (144A)
 322,146
 3,600,000(b) 
Hertz Fleet Lease Funding LP, Series 2016-1, Class D, 5.065% (1 Month USD LIBOR + 335 bps), 4/10/30 (144A)
 3,604,662
 2,400,000(b) 
Hertz Fleet Lease Funding LP, Series 2016-1, Class E, 5.215% (1 Month USD LIBOR + 350 bps), 4/10/30 (144A)
 2,406,810
 1,718,633(b) 
Hertz Fleet Lease Funding LP, Series 2017-1, Class A1, 2.365% (1 Month USD LIBOR + 65 bps), 4/10/31 (144A)
 1,719,113
 5,745,305(b) 
Hertz Fleet Lease Funding LP, Series 2018-1, Class A1, 2.215% (1 Month USD LIBOR + 50 bps), 5/10/32 (144A)
 5,749,113
 52,316 
Hilton Grand Vacations Trust, Series 2014-AA, Class B, 2.07%, 11/25/26 (144A)
 52,097
 4,000,000 
HOA Funding LLC, Series 2015-1A, Class B, 9.0%, 8/20/44 (144A)
 4,018,340
 163,491(b) 
Home Equity Asset Trust, Series 2004-8, Class M1, 2.662% (1 Month USD LIBOR + 87 bps), 3/25/35
 163,883
 2,607,059(b) 
Home Equity Asset Trust, Series 2005-3, Class M4, 2.432% (1 Month USD LIBOR + 64 bps), 8/25/35
 2,621,054
 1,244,746(b) 
Home Equity Asset Trust, Series 2005-6, Class M2, 2.282% (1 Month USD LIBOR + 49 bps), 12/25/35
 1,245,377
 114,046(b) 
Home Equity Asset Trust, Series 2005-7, Class M1, 2.242% (1 Month USD LIBOR + 45 bps), 1/25/36
 114,339
 4,381,780(b) 
Home Equity Asset Trust, Series 2006-3, Class 2A4, 2.102% (1 Month USD LIBOR + 31 bps), 7/25/36
 4,380,166
 3,000,000(b) 
Home Partners of America Trust, Series 2017-1, Class C, 3.287% (1 Month USD LIBOR + 155 bps), 7/17/34 (144A)
 3,002,882
 2,500,000(b) 
Home Partners of America Trust, Series 2017-1, Class D, 3.637% (1 Month USD LIBOR + 190 bps), 7/17/34 (144A)
 2,502,402
 11,000,000 
HPEFS Equipment Trust, Series 2019-1A, Class A2, 2.19%, 9/20/29 (144A)
 11,009,545
 1,320,287(b) 
HSI Asset Securitization Corp. Trust, Series 2006-OPT1, Class 2A4, 2.092% (1 Month USD LIBOR + 30 bps), 12/25/35
 1,320,659
 483,443(b) 
HSI Asset Securitization Corp. Trust, Series 2006-OPT2, Class M1, 2.162% (1 Month USD LIBOR + 37 bps), 1/25/36
 482,994
 2,067,000(b) 
Invitation Homes Trust, Series 2017-SFR2, Class C, 3.187% (1 Month USD LIBOR + 145 bps), 12/17/36 (144A)
 2,067,973
 11,497,802(b) 
Invitation Homes Trust, Series 2018-SFR1, Class A, 2.437% (1 Month USD LIBOR + 70 bps), 3/17/37 (144A)
 11,400,997
 4,000,000(b) 
Invitation Homes Trust, Series 2018-SFR1, Class B, 2.687% (1 Month USD LIBOR + 95 bps), 3/17/37 (144A)
 3,962,734
 7,165,000(b) 
Invitation Homes Trust, Series 2018-SFR1, Class D, 3.187% (1 Month USD LIBOR + 145 bps), 3/17/37 (144A)
 7,151,063
 5,479,251(b) 
Invitation Homes Trust, Series 2018-SFR1, Class E, 3.737% (1 Month USD LIBOR + 200 bps), 3/17/37 (144A)
 5,484,494
 1,750,000(b) 
Invitation Homes Trust, Series 2018-SFR2, Class C, 3.02% (1 Month USD LIBOR + 128 bps), 6/17/37 (144A)
 1,748,212
 10,000,000(b) 
Invitation Homes Trust, Series 2018-SFR2, Class D, 3.19% (1 Month USD LIBOR + 145 bps), 6/17/37 (144A)
 10,012,432
 6,856,743(b) 
Invitation Homes Trust, Series 2018-SFR3, Class E, 3.737% (1 Month USD LIBOR + 200 bps), 7/17/37 (144A)
 6,878,214
 13,821,000(b) 
Invitation Homes Trust, Series 2018-SFR4, Class E, 3.687% (1 Month USD LIBOR + 195 bps), 1/17/38 (144A)
 13,855,074
 5,900,000(b) 
Ivy Hill Middle Market Credit Fund X, Ltd., Series 10A, Class A1AR, 3.253% (3 Month USD LIBOR + 125 bps), 7/18/30 (144A)
 5,814,043
 285,714(b) 
Jefferson Mill CLO, Ltd., Series 2015-1I, Class XR, 2.566% (3 Month USD LIBOR + 60 bps), 10/20/31
 285,712
 15,741(b) 
JP Morgan Mortgage Acquisition Trust, Series 2006-CH1, Class A5, 2.022% (1 Month USD LIBOR + 23 bps), 7/25/36
 15,739
 22,600,000 
Kabbage Funding LLC, Series 2019-1, Class A, 3.825%, 3/15/24 (144A)
 22,849,445
 1,400,000 
Kabbage Funding LLC, Series 2019-1, Class C, 4.611%, 3/15/24 (144A)
 1,416,158
 4,758,460(b) 
Laurel Road Prime Student Loan Trust, Series 2017-C, Class A1, 2.342% (1 Month USD LIBOR + 55 bps), 11/25/42 (144A)
 4,736,463
 Principal
Amount
USD ($)
   Value
   ASSET BACKED SECURITIES - (continued)
 425,000(b) 
LCM 28, Ltd., Series 28A, Class X, 2.866% (3 Month USD LIBOR + 90 bps), 10/20/30 (144A)
  $424,996
 854,345(b) 
Lehman XS Trust, Series 2005-4, Class 1A3, 2.592% (1 Month USD LIBOR + 80 bps), 10/25/35
 852,746
 16,642,764 
Lendingpoint Asset Securitization Trust, Series 2019-1, Class A, 3.154%, 8/15/25 (144A)
 16,668,888
 2,500,000 
Lendingpoint Asset Securitization Trust, Series 2019-1, Class B, 3.613%, 8/15/25 (144A)
 2,495,107
 15,000,000 
LL ABS Trust, Series 2019-1A, Class A, 2.87%, 3/15/27 (144A)
 14,998,905
 12,000,000(b) 
LoanCore Issuer, Ltd., Series 2018-CRE1, Class A, 2.87% (1 Month USD LIBOR + 113 bps), 5/15/28 (144A)
 12,005,734
 7,500,000(b) 
LoanCore Issuer, Ltd., Series 2019-CRE2, Class A, 2.87% (1 Month USD LIBOR + 113 bps), 5/15/36 (144A)
 7,499,990
 12,300,000(b) 
M360 LLC, Series 2019-CRE2, Class A, 3.14% (1 Month USD LIBOR + 140 bps), 9/15/34 (144A)
 12,298,369
 1,000,000(b) 
Madison Park Funding XII, Ltd., Series 2014-12A, Class CR, 4.316% (3 Month USD LIBOR + 235 bps), 7/20/26 (144A)
 1,002,611
 6,000,000(b) 
Madison Park Funding XXI, Ltd., Series 2016-21A, Class X, 2.84% (3 Month USD LIBOR + 90 bps), 10/15/32 (144A)
 5,999,976
 333,335(b) 
Magnetite XV, Ltd., Series 2015-15A, Class X, 2.49% (3 Month USD LIBOR + 55 bps), 7/25/31 (144A)
 333,332
 15,700,000(b) 
Marathon CRE, Ltd., Series 2018-FL1, Class A, 2.89% (1 Month USD LIBOR + 115 bps), 6/15/28 (144A)
 15,695,174
 5,109,795 
Marlette Funding Trust, Series 2017-1A, Class C, 6.658%, 3/15/24 (144A)
 5,118,172
 692,638 
Marlette Funding Trust, Series 2018-2A, Class A, 3.06%, 7/17/28 (144A)
 693,057
 2,427,842 
Marlette Funding Trust, Series 2018-3A, Class A, 3.2%, 9/15/28 (144A)
 2,432,555
 2,500,000 
Marlette Funding Trust, Series 2018-3A, Class B, 3.86%, 9/15/28 (144A)
 2,521,916
 5,912,145 
Marlette Funding Trust, Series 2019-1A, Class A, 3.44%, 4/16/29 (144A)
 5,955,043
 13,809,381 
Marlette Funding Trust, Series 2019-2A, Class A, 3.13%, 7/16/29 (144A)
 13,897,845
 8,259,804 
Marlette Funding Trust, Series 2019-3A, Class A, 2.69%, 9/17/29 (144A)
 8,281,822
 16,772,756 
Marlette Funding Trust, Series 2019-4A, Class A, 2.39%, 12/17/29 (144A)
 16,784,819
 863,199 
Marlin Receivables LLC, Series 2018-1A, Class A2, 3.05%, 10/20/20 (144A)
 863,803
 27,000,000 
Marlin Receivables LLC, Series 2018-1A, Class A3, 3.36%, 4/20/23 (144A)
 27,156,543
 15,500,000(b) 
Master Credit Card Trust, Series 2019-1A, Class A, 2.265% (1 Month USD LIBOR + 48 bps), 7/21/22 (144A)
 15,527,982
 9,300,000(b) 
Master Credit Card Trust II, Series 2018-3A, Class A, 2.125% (1 Month USD LIBOR + 34 bps), 1/21/22 (144A)
 9,307,405
 12,000,000(b) 
Master Credit Card Trust II, Series 2019-2A, Class A, 2.175% (1 Month USD LIBOR + 39 bps), 1/21/23 (144A)
 12,005,575
 331,513(b) 
Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1B, 2.652% (1 Month USD LIBOR + 86 bps), 6/25/35
 330,284
 2,473,794(b) 
Merrill Lynch Mortgage Investors Trust, Series 2005-AR1, Class M1, 2.542% (1 Month USD LIBOR + 75 bps), 6/25/36
 2,481,301
 6,154,976(c) 
MFA Trust, Series 2017-NPL1, Class A1, 3.352%, 11/25/47 (144A)
 6,154,365
 6,137,982(d) 
Mill City Mortgage Trust, Series 2015-1, Class A3, 3.0%, 6/25/56 (144A)
 6,134,260
 5,750,000 
MMAF Equipment Finance LLC, Series 2019-B, Class A2, 2.07%, 10/12/22 (144A)
 5,750,990
 4,500,000(b) 
Monroe Capital Mml CLO, Ltd., Series 2017-1A, Class A, 3.553% (3 Month USD LIBOR + 160 bps), 4/22/29 (144A)
 4,486,325
 45,723(b) 
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE6, Class M1, 2.182% (1 Month USD LIBOR + 39 bps), 11/25/35
 45,722
 1,917,494(b) 
Morgan Stanley Capital I, Inc. Trust, Series 2006-NC2, Class A2D, 2.082% (1 Month USD LIBOR + 29 bps), 2/25/36
 1,890,755
 624,772(b) 
Morgan Stanley Home Equity Loan Trust, Series 2006-2, Class A4, 2.072% (1 Month USD LIBOR + 28 bps), 2/25/36
 620,358
 962,500(b) 
Motor Plc, Series 2017-1A, Class A1, 2.322% (1 Month USD LIBOR + 53 bps), 9/25/24 (144A)
 962,194
 2,963,455(b) 
National Collegiate Trust, Series 2007-A, Class A, 2.087% (1 Month USD LIBOR + 30 bps), 5/25/31 (144A)
 2,857,235
 8,666,467(d) 
Nationstar HECM Loan Trust, Series 2019-1A, Class A, 2.651%, 6/25/29 (144A)
 8,670,176
 7,830,418(b) 
Nationstar Home Equity Loan Trust, Series 2006-B, Class AV4, 2.072% (1 Month USD LIBOR + 28 bps), 9/25/36
 7,776,649
 19,393,080(b) 
Navient Student Loan Trust, Series 2019-4A, Class A1, 2.072% (1 Month USD LIBOR + 28 bps), 7/25/68 (144A)
 19,364,256
 6,500,000(b) 
Navistar Financial Dealer Note Master Owner Trust II, Series 2018-1, Class A, 2.422% (1 Month USD LIBOR + 63 bps), 9/25/23 (144A)
 6,510,735
 1,100,000(b) 
Navistar Financial Dealer Note Master Owner Trust II, Series 2018-1, Class C, 2.842% (1 Month USD LIBOR + 105 bps), 9/25/23 (144A)
 1,101,511
 3,108,099 
Nelnet Private Education Loan Trust, Series 2016-A, Class A1B, 3.6%, 12/26/40 (144A)
 3,136,866
 9,227,551(b) 
Nelnet Student Loan Trust, Series 2005-2, Class A5, 2.028% (3 Month USD LIBOR + 10 bps), 3/23/37
 8,948,611
 5,000,000(b) 
Neuberger Berman CLO XVIII, Ltd., Series 2014-18A, Class XR2, 2.866% (3 Month USD LIBOR + 90 bps), 10/21/30 (144A)
 4,999,950
 2,750,000(b) 
Neuberger Berman CLO XXII, Ltd., Series 2016-22A, Class XR, 2.902% (3 Month USD LIBOR + 90 bps), 10/17/30 (144A)
 2,749,975
 Principal
Amount
USD ($)
   Value
   ASSET BACKED SECURITIES - (continued)
 5,675,618(b) 
New Century Home Equity Loan Trust, Series 2005-1, Class M1, 2.467% (1 Month USD LIBOR + 68 bps), 3/25/35
  $5,682,624
 1,699,136(b) 
New Century Home Equity Loan Trust, Series 2005-2, Class M2, 2.467% (1 Month USD LIBOR + 68 bps), 6/25/35
 1,699,535
 896,157(b) 
Newtek Small Business Loan Trust, Series 2016-1A, Class A, 4.792% (1 Month USD LIBOR + 300 bps), 2/25/42 (144A)
 909,879
 4,489,472(b) 
Newtek Small Business Loan Trust, Series 2017-1, Class A, 3.792% (1 Month USD LIBOR + 200 bps), 2/15/43 (144A)
 4,520,321
 5,337,316(b) 
Newtek Small Business Loan Trust, Series 2018-1, Class A, 3.408% (1 Month USD LIBOR + 170 bps), 2/25/44 (144A)
 5,343,966
 4,105,627(b) 
Newtek Small Business Loan Trust, Series 2018-1, Class B, 4.708% (1 Month USD LIBOR + 300 bps), 2/25/44 (144A)
 4,138,522
 12,861,124(b) 
Newtek Small Business Loan Trust, Series 2019-1, Class A, 3.442% (1 Month USD LIBOR + 165 bps), 12/25/44 (144A)
 12,861,108
 2,743,706(b) 
Newtek Small Business Loan Trust, Series 2019-1, Class B, 4.292% (1 Month USD LIBOR + 250 bps), 12/25/44 (144A)
 2,743,701
 5,300,000(b) 
NextGear Floorplan Master Owner Trust, Series 2017-2A, Class A1, 2.42% (1 Month USD LIBOR + 68 bps), 10/17/22 (144A)
 5,311,838
 25,000,000(b) 
NextGear Floorplan Master Owner Trust, Series 2019-2A, Class A1, 2.44% (1 Month USD LIBOR + 70 bps), 10/15/24 (144A)
 25,022,905
 19,015,000(b) 
Nissan Master Owner Trust Receivables, Series 2017-C, Class A, 2.06% (1 Month USD LIBOR + 32 bps), 10/17/22
 19,027,953
 15,000,000 
NMEF Funding 2015-A LLC, Series 2019-A, Class A, 2.73%, 8/15/26 (144A)
 14,986,446
 183,856(b) 
NovaStar Mortgage Funding Trust, Series 2003-1, Class A2, 2.572% (1 Month USD LIBOR + 78 bps), 5/25/33
 183,981
 2,446,028(b) 
NovaStar Mortgage Funding Trust, Series 2005-1, Class M4, 2.728% (1 Month USD LIBOR + 102 bps), 6/25/35
 2,447,512
 3,254,399(b) 
NovaStar Mortgage Funding Trust, Series 2005-3, Class M1, 2.467% (1 Month USD LIBOR + 68 bps), 1/25/36
 3,251,532
 16,145,328(b) 
OCP CLO, Ltd., Series 2015-8A, Class A1R, 2.852% (3 Month USD LIBOR + 85 bps), 4/17/27 (144A)
 16,146,797
 2,000,000(b) 
Octagon Investment Partners XVI, Ltd., Series 2013-1A, Class XR, 2.552% (3 Month USD LIBOR + 55 bps), 7/17/30 (144A)
 1,999,986
 6,175,000(b) 
Octagon Investment Partners XVII, Ltd., Series 2013-1A, Class A1R2, 2.94% (3 Month USD LIBOR + 100 bps), 1/25/31 (144A)
 6,138,018
 3,750,000(b) 
Octagon Investment Partners XXI, Ltd., Series 2014-1A, Class XRR, 2.659% (3 Month USD LIBOR + 75 bps), 2/14/31 (144A)
 3,749,955
 4,062,500(b) 
Octagon Investment Partners XXII, Ltd., Series 2014-1A, Class XRR, 2.603% (3 Month USD LIBOR + 65 bps), 1/22/30 (144A)
 4,062,415
 8,500,000 
Ocwen Master Advance Receivables Trust, Series 2019-T1, Class AT1, 2.514%, 8/15/50 (144A)
 8,523,424
 1,250,000 
Ocwen Master Advance Receivables Trust, Series 2019-T1, Class DT1, 3.107%, 8/15/50 (144A)
 1,253,425
 2,250,000(b) 
OHA Credit Funding 3, Ltd., Series 2019-3A, Class X, 3.275% (3 Month USD LIBOR + 65 bps), 7/20/32 (144A)
 2,249,946
 5,395,941(b) 
OneMain Financial Issuance Trust, Series 2017-1A, Class A2, 2.54% (1 Month USD LIBOR + 80 bps), 9/14/32 (144A)
 5,398,818
 6,405,700(b) 
Option One Mortgage Loan Trust, Series 2005-3, Class M2, 2.527% (1 Month USD LIBOR + 74 bps), 8/25/35
 6,409,429
 2,129,086(b) 
Option One Mortgage Loan Trust, Series 2005-4, Class M1, 2.232% (1 Month USD LIBOR + 44 bps), 11/25/35
 2,130,885
 601,238(b) 
Option One Mortgage Loan Trust, Series 2006-1, Class 2A3, 1.982% (1 Month USD LIBOR + 19 bps), 1/25/36
 601,226
 4,592(c) 
Option One Mortgage Loan Trust, Series 2007-FXD2, Class 2A1, 5.9%, 3/25/37
 4,529
 29,159 
Oscar US Funding Trust VIII LLC, Series 2018-1A, Class A2A, 2.91%, 4/12/21 (144A)
 29,182
 662,700(b) 
Oscar US Funding Trust VIII LLC, Series 2018-1A, Class A2B, 2.205% (1 Month USD LIBOR + 49 bps), 4/12/21 (144A)
 662,808
 3,264,542 
Oscar US Funding Trust IX LLC, Series 2018-2A, Class A2A, 3.15%, 8/10/21 (144A)
 3,272,508
 6,838,040 
Oscar US Funding Trust X LLC, Series 2019-1A, Class A2, 3.1%, 4/11/22 (144A)
 6,867,548
 13,500,000(b) 
Owl Rock CLO II, Ltd., Series 2019-2A, Class A1L, 3.636% (3 Month USD LIBOR + 175 bps), 1/20/31 (144A)
 13,499,703
 49,087 
Oxford Finance Funding LLC, Series 2016-1A, Class A, 3.968%, 6/17/24 (144A)
 49,313
 2,187,500(b) 
OZLM VIII, Ltd., Series 2014-8A, Class XRR, 2.702% (3 Month USD LIBOR + 70 bps), 10/17/29 (144A)
 2,187,483
 1,000,000(b) 
OZLM XXII, Ltd., Series 2018-22A, Class X, 2.552% (3 Month USD LIBOR + 55 bps), 1/17/31 (144A)
 999,768
 13,624,995(b) 
Palmer Square CLO, Ltd., Series 2018-3A, Class A1, 2.76% (3 Month USD LIBOR + 85 bps), 8/15/26 (144A)
 13,631,304
 3,396,791(b) 
Palmer Square Loan Funding, Ltd., Series 2017-1A, Class A1, 2.741% (3 Month USD LIBOR + 74 bps), 10/15/25 (144A)
 3,396,866
 13,662,112(b) 
Palmer Square Loan Funding, Ltd., Series 2018-1A, Class A1, 2.601% (3 Month USD LIBOR + 60 bps), 4/15/26 (144A)
 13,634,460
 Principal
Amount
USD ($)
   Value
   ASSET BACKED SECURITIES - (continued)
 4,250,000(b) 
Palmer Square Loan Funding, Ltd., Series 2018-1A, Class A2, 3.051% (3 Month USD LIBOR + 105 bps), 4/15/26 (144A)
  $4,197,572
 3,685,427(b) 
Palmer Square Loan Funding, Ltd., Series 2018-2A, Class A1, 2.651% (3 Month USD LIBOR + 65 bps), 7/15/26 (144A)
 3,673,151
 1,000,000(b) 
Palmer Square Loan Funding, Ltd., Series 2018-2A, Class D, 5.951% (3 Month USD LIBOR + 395 bps), 7/15/26 (144A)
 974,994
 10,319,126(b) 
Palmer Square Loan Funding, Ltd., Series 2018-4A, Class A1, 2.81% (3 Month USD LIBOR + 90 bps), 11/15/26 (144A)
 10,322,490
 21,146,286 
Pawnee Equipment Receivables LLC, Series 2019-1, Class A1, 2.294%, 10/15/20 (144A)
 21,152,042
 10,000,000 
Pawnee Equipment Receivables LLC, Series 2019-1, Class A2, 2.29%, 10/15/24 (144A)
 9,961,944
 6,700,000(b) 
PFS Financing Corp., Series 2017-BA, Class A1, 2.34% (1 Month USD LIBOR + 60 bps), 7/15/22 (144A)
 6,699,446
 17,500,000(b) 
PFS Financing Corp., Series 2018-E, Class A, 2.19% (1 Month USD LIBOR + 45 bps), 10/17/22 (144A)
 17,497,076
 30,000,000(b) 
PFS Financing Corp., Series 2019-B, Class A, 2.29% (1 Month USD LIBOR + 55 bps), 9/15/23 (144A)
 30,012,873
 113,316(b) 
Popular ABS Mortgage Pass-Through Trust, Series 2005-A, Class M1, 2.222% (1 Month USD LIBOR + 43 bps), 6/25/35
 113,351
 1,595,015 
Prosper Marketplace Issuance Trust, Series 2019-1A, Class A, 3.54%, 4/15/25 (144A)
 1,600,574
 6,554,263 
Prosper Marketplace Issuance Trust, Series 2019-4A, Class A, 2.48%, 2/17/26 (144A)
 6,551,210
 8,200,000 
Purchasing Power Funding LLC, Series 2018-A, Class A, 3.34%, 8/15/22 (144A)
 8,212,043
 2,600,000 
Purchasing Power Funding LLC, Series 2018-A, Class B, 3.58%, 8/15/22 (144A)
 2,602,641
 7,592,118(b) 
RAAC Trust, Series 2006-RP1, Class M2, 2.992% (1 Month USD LIBOR + 120 bps), 10/25/45 (144A)
 7,668,559
 787,726(b) 
RAMP Trust, Series 2005-EFC6, Class M2, 2.437% (1 Month USD LIBOR + 65 bps), 11/25/35
 788,245
 5,350,627(b) 
RAMP Trust, Series 2005-RS7, Class M1, 2.292% (1 Month USD LIBOR + 50 bps), 7/25/35
 5,360,222
 105,572(b) 
RAMP Trust, Series 2006-EFC2, Class A3, 1.952% (1 Month USD LIBOR + 16 bps), 12/25/36
 105,229
 18,545(b) 
RAMP Trust, Series 2006-RZ3, Class A3, 2.082% (1 Month USD LIBOR + 29 bps), 8/25/36
 18,541
 3,684,152(b) 
RAMP Trust, Series 2006-RZ4, Class A3, 2.062% (1 Month USD LIBOR + 27 bps), 10/25/36
 3,674,535
 1,262,408(b) 
RASC Trust, Series 2001-KS3, Class AII, 2.252% (1 Month USD LIBOR + 46 bps), 9/25/31
 1,250,396
 367,287(b) 
RASC Trust, Series 2005-EMX3, Class M3, 2.252% (1 Month USD LIBOR + 46 bps), 9/25/35
 367,289
 819,764(b) 
RASC Trust, Series 2005-EMX4, Class M2, 2.452% (1 Month USD LIBOR + 66 bps), 11/25/35
 820,757
 1,386,512(b) 
RASC Trust, Series 2005-KS1, Class M1, 2.467% (1 Month USD LIBOR + 68 bps), 2/25/35
 1,386,005
 1,525,036(b) 
RASC Trust, Series 2005-KS2, Class M1, 2.437% (1 Month USD LIBOR + 65 bps), 3/25/35
 1,524,597
 865,695(b) 
RASC Trust, Series 2005-KS7, Class M4, 2.578% (1 Month USD LIBOR + 87 bps), 8/25/35
 867,233
 757,498(b) 
RASC Trust, Series 2005-KS8, Class M3, 2.272% (1 Month USD LIBOR + 48 bps), 8/25/35
 758,075
 170,459(b) 
RASC Trust, Series 2005-KS11, Class M1, 2.192% (1 Month USD LIBOR + 40 bps), 12/25/35
 170,605
 2,756,532(b) 
RASC Trust, Series 2005-KS12, Class M1, 2.232% (1 Month USD LIBOR + 44 bps), 1/25/36
 2,759,045
 4,817,463(b) 
Ready Capital Mortgage Financing LLC, Series 2018-FL2, Class A, 2.642% (1 Month USD LIBOR + 85 bps), 6/25/35 (144A)
 4,808,673
 12,000,000(d) 
ReadyCap Lending Small Business Loan Trust, Series 2019-2, Class A, 4.25%, 12/27/44 (144A)
 12,000,000
 6,400,000 
Republic Finance Issuance Trust, Series 2019-A, Class A, 3.43%, 11/22/27 (144A)
 6,388,991
 3,221,890(d) 
RMF Buyout Issuance Trust, Series 2018-1, Class A, 3.436%, 11/25/28 (144A)
 3,223,075
 2,000,000(d) 
RMF Buyout Issuance Trust, Series 2018-1, Class M1, 3.912%, 11/25/28 (144A)
 2,000,000
 7,500,000(b) 
Rosy, Series 2018-1, Class A2, 4.99% (1 Month USD LIBOR + 325 bps), 12/15/25 (144A)
 7,500,000
 42,464(b) 
Salomon Mortgage Loan Trust, Series 2001-CB4, Class 1A1, 2.692% (1 Month USD LIBOR + 90 bps), 11/25/33
 41,986
 66,515 
Santander Drive Auto Receivables Trust, Series 2016-1, Class C, 3.09%, 4/15/22
 66,542
 2,106,579(b) 
Santander Drive Auto Receivables Trust, Series 2019-1, Class A2B, 2.01% (1 Month USD LIBOR + 27 bps), 1/18/22
 2,106,662
 3,182,656(b) 
Saxon Asset Securities Trust, Series 2006-2, Class A3C, 1.942% (1 Month USD LIBOR + 15 bps), 9/25/36
 3,170,334
 Principal
Amount
USD ($)
   Value
   ASSET BACKED SECURITIES - (continued)
 737,122 
SCF Equipment Leasing LLC, Series 2017-1A, Class A, 3.77%, 1/20/23 (144A)
  $740,958
 3,197,389 
SCF Equipment Leasing LLC, Series 2017-2A, Class A, 3.41%, 12/20/23 (144A)
 3,199,414
 10,507,203 
SCF Equipment Leasing LLC, Series 2019-1A, Class A1, 3.04%, 3/20/23 (144A)
 10,535,605
 15,742,549 
SCF Equipment Leasing LLC, Series 2019-2A, Class A1, 2.22%, 6/20/24 (144A)
 15,735,237
 23,646(b) 
Securitized Asset Backed Receivables LLC Trust, Series 2005-OP2, Class M1, 2.222% (1 Month USD LIBOR + 43 bps), 10/25/35
 23,488
 4,732,830 
Securitized Term Auto Receivables Trust, Series 2019-1A, Class A2, 2.862%, 5/25/21 (144A)
 4,742,839
 746,705(b) 
Security National Mortgage Loan Trust, Series 2007-1A, Class 2A, 2.142% (1 Month USD LIBOR + 35 bps), 4/25/37 (144A)
 739,281
 3,054,592(b) 
SG Mortgage Securities Trust, Series 2005-OPT1, Class M1, 2.222% (1 Month USD LIBOR + 43 bps), 10/25/35
 3,054,697
 220,427 
Sierra Timeshare Receivables Funding LLC, Series 2015-2A, Class A, 2.43%, 6/20/32 (144A)
 220,331
 15,027,164 
Skopos Auto Receivables Trust, Series 2019-1A, Class A, 2.9%, 12/15/22 (144A)
 15,051,174
 8,750,154(b) 
SLM Private Credit Student Loan Trust, Series 2007-A, Class A4A, 2.134% (3 Month USD LIBOR + 24 bps), 12/16/41
 8,500,008
 14,000,000(b) 
SLM Student Loan Trust, Series 2006-10, Class A6, 2.09% (3 Month USD LIBOR + 15 bps), 3/25/44
 13,124,642
 9,254,898 
Small Business Lending Trust, Series 2019-A, Class A, 2.85%, 7/15/26 (144A)
 9,255,431
 10,883,196 
Sofi Consumer Loan Program LLC, Series 2016-1, Class A, 3.26%, 8/25/25 (144A)
 10,965,067
 763,992 
Sofi Consumer Loan Program LLC, Series 2016-2, Class A, 3.09%, 10/27/25 (144A)
 765,824
 369,480 
Sofi Consumer Loan Program LLC, Series 2016-3, Class A, 3.05%, 12/26/25 (144A)
 370,101
 1,386,591 
Sofi Consumer Loan Program LLC, Series 2016-4, Class A, 3.18%, 11/25/25 (144A)
 1,392,882
 3,846,608 
Sofi Consumer Loan Program LLC, Series 2017-1, Class A, 3.28%, 1/26/26 (144A)
 3,858,425
 158,136 
Sofi Consumer Loan Program LLC, Series 2017-3, Class A, 2.77%, 5/25/26 (144A)
 158,689
 84,634 
Sofi Consumer Loan Program Trust, Series 2018-2, Class A1, 2.93%, 4/26/27 (144A)
 84,662
 1,066,461 
Sofi Consumer Loan Program Trust, Series 2018-3, Class A1, 3.2%, 8/25/27 (144A)
 1,068,103
 7,094,223 
Sofi Consumer Loan Program Trust, Series 2018-4, Class A, 3.54%, 11/26/27 (144A)
 7,151,282
 5,600,566 
Sofi Consumer Loan Program Trust, Series 2019-1, Class A, 3.24%, 2/25/28 (144A)
 5,639,714
 4,705,652 
Sofi Consumer Loan Program Trust, Series 2019-2, Class A, 3.01%, 4/25/28 (144A)
 4,736,082
 769,195(b) 
Sofi Professional Loan Program LLC, Series 2015-B, Class A1, 2.842% (1 Month USD LIBOR + 105 bps), 4/25/35 (144A)
 772,640
 844,207(b) 
Sofi Professional Loan Program LLC, Series 2015-C, Class A1, 2.842% (1 Month USD LIBOR + 105 bps), 8/27/35 (144A)
 846,524
 1,428,297(b) 
Sofi Professional Loan Program LLC, Series 2015-D, Class A1, 3.292% (1 Month USD LIBOR + 150 bps), 10/27/36 (144A)
 1,440,762
 1,469,730(b) 
Sofi Professional Loan Program LLC, Series 2016-A, Class A1, 3.542% (1 Month USD LIBOR + 175 bps), 8/25/36 (144A)
 1,487,649
 1,104,991(b) 
Sofi Professional Loan Program LLC, Series 2016-B, Class A1, 2.992% (1 Month USD LIBOR + 120 bps), 6/25/33 (144A)
 1,112,322
 2,943,799(b) 
Sofi Professional Loan Program LLC, Series 2016-C, Class A1, 2.892% (1 Month USD LIBOR + 110 bps), 10/27/36 (144A)
 2,953,540
 782,338(b) 
Sofi Professional Loan Program LLC, Series 2016-D, Class A1, 2.742% (1 Month USD LIBOR + 95 bps), 1/25/39 (144A)
 785,462
 2,135,355(b) 
Sofi Professional Loan Program LLC, Series 2016-E, Class A1, 2.642% (1 Month USD LIBOR + 85 bps), 7/25/39 (144A)
 2,135,481
 534,138(b) 
Sofi Professional Loan Program LLC, Series 2017-A, Class A1, 2.492% (1 Month USD LIBOR + 70 bps), 3/26/40 (144A)
 534,928
 667,099(b) 
Sofi Professional Loan Program LLC, Series 2017-C, Class A1, 2.392% (1 Month USD LIBOR + 60 bps), 7/25/40 (144A)
 664,907
 1,195,333(b) 
Sofi Professional Loan Program LLC, Series 2017-E, Class A1, 2.292% (1 Month USD LIBOR + 50 bps), 11/26/40 (144A)
 1,192,521
 389,794 
Sofi Professional Loan Program LLC, Series 2017-F, Class A1FX, 2.05%, 1/25/41 (144A)
 389,515
 1,609,368(b) 
Sofi Professional Loan Program LLC, Series 2018-A, Class A1, 2.142% (1 Month USD LIBOR + 35 bps), 2/25/42 (144A)
 1,603,474
 1,165,363 
Sofi Professional Loan Program LLC, Series 2018-A, Class A2A, 2.39%, 2/25/42 (144A)
 1,167,679
 9,895,088 
Sofi Professional Loan Program LLC, Series 2019-C, Class A1FX, 2.13%, 11/16/48 (144A)
 9,891,548
 Principal
Amount
USD ($)
   Value
   ASSET BACKED SECURITIES - (continued)
 5,323,554 
Sofi Professional Loan Program Trust, Series 2018-B, Class A1FX, 2.64%, 8/25/47 (144A)
  $5,331,456
 2,000,000(b) 
Sound Point CLO XXV, Ltd., Series 2019-4A, Class X, 0.0% (3 Month USD LIBOR + 65 bps), 1/15/33 (144A)
 2,000,000
 18,500,000 
Springleaf Funding Trust, Series 2015-BA, Class A, 3.48%, 5/15/28 (144A)
 18,543,586
 4,500,000(b) 
Starwood Waypoint Homes Trust, Series 2017-1, Class E, 4.34% (1 Month USD LIBOR + 260 bps), 1/17/35 (144A)
 4,503,367
 1,375,000(b) 
Stewart Park CLO, Ltd., Series 2015-1A, Class X, 2.601% (3 Month USD LIBOR + 60 bps), 1/15/30 (144A)
 1,374,990
 1,787,545(b) 
Structured Asset Investment Loan Trust, Series 2003-BC1, Class A1, 2.552% (1 Month USD LIBOR + 76 bps), 1/25/33
 1,788,225
 5,587,039(b) 
Structured Asset Investment Loan Trust, Series 2003-BC10, Class A4, 2.792% (1 Month USD LIBOR + 100 bps), 10/25/33
 5,559,044
 160,564(b) 
Structured Asset Investment Loan Trust, Series 2004-10, Class A4, 2.792% (1 Month USD LIBOR + 100 bps), 11/25/34
 160,652
 70,585(b) 
Structured Asset Investment Loan Trust, Series 2004-10, Class A7, 2.852% (1 Month USD LIBOR + 106 bps), 11/25/34
 70,752
 216,052(b) 
Structured Asset Investment Loan Trust, Series 2005-HE1, Class M1, 2.262% (1 Month USD LIBOR + 47 bps), 7/25/35
 216,438
 3,483,776(b) 
Structured Asset Investment Loan Trust, Series 2005-HE3, Class M1, 2.512% (1 Month USD LIBOR + 72 bps), 9/25/35
 3,474,934
 100,000(b) 
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-NC2, Class M4, 2.262% (1 Month USD LIBOR + 47 bps), 5/25/35
 100,318
 4,303,713(b) 
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-OPT1, Class A1, 1.972% (1 Month USD LIBOR + 18 bps), 4/25/36
 4,239,433
 1,913,261(b) 
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-TC1, Class A, 2.092% (1 Month USD LIBOR + 30 bps), 4/25/31 (144A)
 1,908,098
 375,785(b) 
Structured Asset Securities Corp. Mortgage Pass-Through Ctfs, Series 2003-BC2, Class M1, 3.292% (1 Month USD LIBOR + 150 bps), 2/25/33
 379,019
 680,164(b) 
Structured Asset Securities Corp. Trust, Series 2005-AR1, Class M1, 2.222% (1 Month USD LIBOR + 43 bps), 9/25/35
 680,797
 35,737(b) 
Structured Asset Securities Corp. Trust, Series 2005-WF1, Class A3, 2.452% (1 Month USD LIBOR + 66 bps), 2/25/35
 35,743
 750,000(b) 
Symphony CLO XIX, Ltd., Series 2018-19A, Class X, 2.501% (3 Month USD LIBOR + 50 bps), 4/16/31 (144A)
 749,995
 875,000 
Synchrony Credit Card Master Note Trust, Series 2015-1, Class A, 2.37%, 3/15/23
 875,681
 1,750,611 
Tax Ease Funding LLC, Series 2016-1A, Class A, 3.131%, 6/15/28 (144A)
 1,749,621
 764,444 
TCF Auto Receivables Owner Trust, Series 2016-PT1A, Class A, 1.93%, 6/15/22 (144A)
 763,551
 462,444(b) 
Terwin Mortgage Trust, Series 2006-1, Class 1A3, 2.172% (1 Month USD LIBOR + 38 bps), 1/25/37 (144A)
 462,895
 5,200,447(b) 
Terwin Mortgage Trust, Series 2006-3, Class 1A2, 2.022% (1 Month USD LIBOR + 23 bps), 4/25/37 (144A)
 5,196,997
 750,000(b) 
THL Credit Wind River CLO, Ltd., Series 2015-1A, Class X, 2.616% (3 Month USD LIBOR + 65 bps), 10/20/30 (144A)
 745,628
 3,279,111 
Tidewater Auto Receivables Trust, Series 2016-AA, Class D, 5.86%, 11/15/21 (144A)
 3,279,328
 1,017,393 
Tidewater Auto Receivables Trust, Series 2018-AA, Class A2, 3.12%, 7/15/22 (144A)
 1,018,679
 3,367,879 
TLF National Tax Lien Trust, Series 2017-1A, Class A, 3.09%, 12/15/29 (144A)
 3,375,737
 14,543,322(b) 
Towd Point Asset Trust, Series 2018-SL1, Class A, 2.308% (1 Month USD LIBOR + 60 bps), 1/25/46 (144A)
 14,316,220
 11,000,000(b) 
Towd Point Asset Trust, Series 2018-SL1, Class B, 2.758% (1 Month USD LIBOR + 105 bps), 1/25/46 (144A)
 10,398,284
 6,747,683(d) 
Towd Point Mortgage Trust, Series 2015-2, Class 1A12, 2.75%, 11/25/60 (144A)
 6,753,514
 618,921(d) 
Towd Point Mortgage Trust, Series 2015-4, Class A1, 3.5%, 4/25/55 (144A)
 621,804
 2,925,765(d) 
Towd Point Mortgage Trust, Series 2015-5, Class A1B, 2.75%, 5/25/55 (144A)
 2,923,540
 15,389,035(d) 
Towd Point Mortgage Trust, Series 2015-6, Class A1B, 2.75%, 4/25/55 (144A)
 15,394,761
 1,856,809(d) 
Towd Point Mortgage Trust, Series 2016-1, Class A1, 3.5%, 2/25/55 (144A)
 1,873,742
 12,125,114(b) 
Towd Point Mortgage Trust, Series 2017-5, Class A1, 2.392% (1 Month USD LIBOR + 60 bps), 2/25/57 (144A)
 12,095,158
 2,077,689(d) 
Towd Point Mortgage Trust, Series 2017-5, Class XA, 3.5%, 2/25/57 (144A)
 2,068,829
 8,194,079(d) 
Towd Point Mortgage Trust, Series 2018-SJ1, Class XA, 5.0%, 10/25/58 (144A)
 8,158,445
 16,221,964(b) 
Towd Point Mortgage Trust, Series 2019-HY1, Class A1, 2.792% (1 Month USD LIBOR + 100 bps), 10/25/48 (144A)
 16,257,143
 3,108,129(b) 
Towd Point Mortgage Trust, Series 2019-HY2, Class A1, 2.792% (1 Month USD LIBOR + 100 bps), 5/25/58 (144A)
 3,118,481
 5,665,824(d) 
Towd Point Mortgage Trust, Series 2019-HY2, Class XA, 5.0%, 5/25/58 (144A)
 5,658,148
 17,139,364(b) 
Towd Point Mortgage Trust, Series 2019-HY3, Class A1A, 2.792% (1 Month USD LIBOR + 100 bps), 10/25/59 (144A)
 17,160,274
 5,318,000(b) 
Towd Point Mortgage Trust, Series 2019-HY3, Class A1B, 2.792% (1 Month USD LIBOR + 100 bps), 10/25/59 (144A)
 5,297,595
 18,000,000(d) 
Towd Point Mortgage Trust, Series 2019-SJ3, Class A1, 3.0%, 11/25/59 (144A)
 18,031,261
 Principal
Amount
USD ($)
   Value
   ASSET BACKED SECURITIES - (continued)
 8,000,000(b) 
Trafigura Securitisation Finance Plc, Series 2017-1A, Class A1, 2.59% (1 Month USD LIBOR + 85 bps), 12/15/20 (144A)
  $8,003,832
 2,000,000(b) 
Trafigura Securitisation Finance Plc, Series 2017-1A, Class B, 3.44% (1 Month USD LIBOR + 170 bps), 12/15/20 (144A)
 2,003,042
 13,750,000(b) 
Trafigura Securitisation Finance Plc, Series 2018-1A, Class A1, 2.47% (1 Month USD LIBOR + 73 bps), 3/15/22 (144A)
 13,714,346
 2,500,000 
Trafigura Securitisation Finance Plc, Series 2018-1A, Class B, 4.29%, 3/15/22 (144A)
 2,553,667
 2,692,308(b) 
Tralee CLO V, Ltd., Series 2018-5A, Class AX, 2.666% (3 Month USD LIBOR + 70 bps), 10/20/28 (144A)
 2,692,283
 18,500,000(b) 
Trillium Credit Card Trust II, Series 2018-2A, Class A, 2.142% (1 Month USD LIBOR + 35 bps), 9/26/23 (144A)
 18,512,469
 20,000,000(b) 
Trillium Credit Card Trust II, Series 2019-1A, Class A, 2.272% (1 Month USD LIBOR + 48 bps), 1/26/24 (144A)
 20,059,998
 16,400,000(b) 
TRTX Issuer, Ltd., Series 2019-FL3, Class C, 3.84% (1 Month USD LIBOR + 210 bps), 9/15/34 (144A)
 16,399,998
 12,000,000 
United Auto Credit Securitization Trust, Series 2018-1, Class E, 4.84%, 8/10/23 (144A)
 12,186,866
 1,415,984 
United Auto Credit Securitization Trust, Series 2018-2, Class B, 3.56%, 8/10/22 (144A)
 1,417,645
 6,365,672 
United Auto Credit Securitization Trust, Series 2019-1, Class A, 2.82%, 7/12/21 (144A)
 6,376,245
 8,680,000 
United Auto Credit Securitization Trust, Series 2019-1, Class B, 3.03%, 4/10/24 (144A)
 8,735,855
 2,107,478 
Upstart Securitization Trust, Series 2019-1, Class A, 3.45%, 4/20/26 (144A)
 2,110,554
 14,682,790 
Upstart Securitization Trust, Series 2019-2, Class A, 2.897%, 9/20/29 (144A)
 14,723,463
 20,000,000 
Upstart Securitization Trust, Series 2019-3, Class A, 2.684%, 1/21/30 (144A)
 19,993,122
 13,567,109 
US Auto Funding LLC, Series 2019-1A, Class A, 3.61%, 4/15/22 (144A)
 13,630,252
 197,368(b) 
Venture 32 CLO, Ltd., Series 2018-32RR, Class AX, 2.716% (3 Month USD LIBOR + 75 bps), 7/19/31 (144A)
 197,366
 1,439,210(b) 
Venture XXI CLO, Ltd., Series 2015-21A, Class AR, 2.881% (3 Month USD LIBOR + 88 bps), 7/15/27 (144A)
 1,439,204
 3,534,067(b) 
Verizon Owner Trust, Series 2017-3A, Class A1B, 1.994% (1 Month USD LIBOR + 27 bps), 4/20/22 (144A)
 3,535,604
 12,300,000(b) 
Verizon Owner Trust, Series 2018-1A, Class A1B, 2.025% (1 Month USD LIBOR + 26 bps), 9/20/22 (144A)
 12,307,107
 10,000,000(b) 
Verizon Owner Trust, Series 2019-A, Class A1B, 2.095% (1 Month USD LIBOR + 33 bps), 9/20/23
 10,003,905
 23,500,000(b) 
Verizon Owner Trust, Series 2019-C, Class A1B, 2.144% (1 Month USD LIBOR + 42 bps), 4/22/24
 23,526,508
 4,831,414 
Veros Automobile Receivables Trust, Series 2018-1, Class A, 3.63%, 5/15/23 (144A)
 4,842,880
 6,500,000 
Volvo Financial Equipment LLC, Series 2019-2A, Class A2, 2.02%, 8/15/22 (144A)
 6,498,931
 5,850,000(b) 
Volvo Financial Equipment Master Owner Trust, Series 2017-A, Class A, 2.24% (1 Month USD LIBOR + 50 bps), 11/15/22 (144A)
 5,863,319
 11,250,000(b) 
Volvo Financial Equipment Master Owner Trust, Series 2018-A, Class A, 2.26% (1 Month USD LIBOR + 52 bps), 7/17/23 (144A)
 11,289,388
 130,355(b) 
Wells Fargo Home Equity Asset-Backed Securities Trust, Series 2006-2, Class A4, 2.042% (1 Month USD LIBOR + 25 bps), 7/25/36
 130,294
 153,754 
Westgate Resorts LLC, Series 2016-1A, Class A, 3.5%, 12/20/28 (144A)
 154,212
 3,893,358 
Westgate Resorts LLC, Series 2017-1A, Class A, 3.05%, 12/20/30 (144A)
 3,908,485
 1,825,012 
Westgate Resorts LLC, Series 2017-1A, Class B, 4.05%, 12/20/30 (144A)
 1,839,936
 3,858,837 
Westgate Resorts LLC, Series 2018-1A, Class B, 3.58%, 12/20/31 (144A)
 3,899,119
 598,269 
Westgate Resorts LLC, Series 2018-1A, Class C, 4.1%, 12/20/31 (144A)
 604,197
 1,630,334 
Westlake Automobile Receivables Trust, Series 2018-1A, Class B, 2.67%, 5/17/21 (144A)
 1,630,720
 1,185,309(b) 
Westlake Automobile Receivables Trust, Series 2018-2A, Class A2B, 2.07% (1 Month USD LIBOR + 33 bps), 9/15/21 (144A)
 1,185,401
 11,840,854(b) 
Westlake Automobile Receivables Trust, Series 2019-1A, Class A2B, 2.14% (1 Month USD LIBOR + 40 bps), 5/16/22 (144A)
 11,845,780
 20,000,000 
Westlake Automobile Receivables Trust, Series 2019-3A, Class A2, 2.15%, 2/15/23 (144A)
 20,000,870
 246,446 
Wheels SPV 2 LLC, Series 2017-1A, Class A2, 1.88%, 4/20/26 (144A)
 246,380
 10,284(b) 
Wilshire Mortgage Loan Trust, Series 1997-2, Class A6, 2.072% (1 Month USD LIBOR + 28 bps), 5/25/28
 10,213
 25,000,000(b) 
World Omni Auto Receivables Trust, Series 2019-C, Class A2B, 1.97% (1 Month USD LIBOR + 23 bps), 2/15/23
 25,000,195
 1,231,944 
World Omni Select Auto Trust, Series 2018-1A, Class A2, 3.24%, 4/15/22 (144A)
 1,234,226
 17,500,000(b) 
World Omni Select Auto Trust, Series 2019-A, Class A2B, 2.08% (1 Month USD LIBOR + 34 bps), 8/15/23
 17,495,181
   TOTAL ASSET BACKED SECURITIES 
   
(Cost $2,611,345,966)
$2,611,940,147
   COLLATERALIZED MORTGAGE OBLIGATIONS - 27.3% of Net Assets
 11,500,000(b) 
280 Park Avenue Mortgage Trust, Series 2017-280P, Class C, 2.99% (1 Month USD LIBOR + 125 bps), 9/15/34 (144A)
 $11,486,236
 Principal
Amount
USD ($)
   Value
   COLLATERALIZED MORTGAGE OBLIGATIONS - (continued)
 301,659(d) 
Agate Bay Mortgage Trust, Series 2014-3, Class A4, 3.0%, 11/25/44 (144A)
  $302,903
 206,264(b) 
Alternative Loan Trust, Series 2004-6CB, Class A, 2.372% (1 Month USD LIBOR + 58 bps), 5/25/34
 207,084
 10,139,846 
Amur Equipment Finance Receivables VII LLC, Series 2019-1A, Class A1, 2.45%, 7/20/20 (144A)
 10,139,606
 12,500,000(b) 
Austin Fairmont Hotel Trust, Series 2019-FAIR, Class E, 3.99% (1 Month USD LIBOR + 225 bps), 9/15/32 (144A)
 12,514,916
 15,635,000(b) 
BAMLL Commercial Mortgage Securities Trust, Series 2019-RLJ, Class C, 3.34% (1 Month USD LIBOR + 160 bps), 4/15/36 (144A)
 15,615,986
 3,928,023(b) 
Bancorp Commercial Mortgage Trust, Series 2018-CRE4, Class A, 2.64% (1 Month USD LIBOR + 90 bps), 9/15/35 (144A)
 3,928,156
 9,787,481(b) 
Bancorp Commercial Mortgage Trust, Series 2019-CRE6, Class A, 2.815% (1 Month USD LIBOR + 105 bps), 9/15/36 (144A)
 9,795,632
 12,433,024(b) 
BDS, Series 2018-FL2, Class A, 2.687% (1 Month USD LIBOR + 95 bps), 8/15/35 (144A)
 12,425,289
 837,119(b) 
Bear Stearns ALT-A Trust, Series 2004-4, Class A1, 2.392% (1 Month USD LIBOR + 60 bps), 6/25/34
 840,947
 2,751,866(b) 
Bear Stearns ALT-A Trust, Series 2004-12, Class 1A1, 2.492% (1 Month USD LIBOR + 70 bps), 1/25/35
 2,750,621
 466,808(b) 
Bear Stearns ALT-A Trust, Series 2004-12, Class 1A2, 2.632% (1 Month USD LIBOR + 84 bps), 1/25/35
 466,381
 819,920(b) 
Bear Stearns ALT-A Trust, Series 2004-12, Class 1A3, 2.492% (1 Month USD LIBOR + 70 bps), 1/25/35
 820,181
 404,451(b) 
Bear Stearns ALT-A Trust, Series 2004-12, Class 1A4, 2.632% (1 Month USD LIBOR + 84 bps), 1/25/35
 404,304
 5,349,758(b) 
Bear Stearns ALT-A Trust, Series 2005-7, Class 11A1, 2.332% (1 Month USD LIBOR + 54 bps), 8/25/35
 5,396,648
 105,349(d) 
Bear Stearns Mortgage Securities, Inc., Series 1997-6, Class 3B1, 4.118%, 6/25/30
 107,963
 1,984,927(b) 
Bellemeade Re, Ltd., Series 2017-1, Class M1, 3.492% (1 Month USD LIBOR + 170 bps), 10/25/27 (144A)
 1,989,265
 4,200,000(b) 
Bellemeade Re, Ltd., Series 2017-1, Class M2, 5.142% (1 Month USD LIBOR + 335 bps), 10/25/27 (144A)
 4,296,409
 13,445,782(b) 
Bellemeade Re, Ltd., Series 2018-1A, Class M1B, 3.392% (1 Month USD LIBOR + 160 bps), 4/25/28 (144A)
 13,464,146
 1,532,431(b) 
Bellemeade Re, Ltd., Series 2018-2A, Class M1A, 2.742% (1 Month USD LIBOR + 95 bps), 8/25/28 (144A)
 1,532,553
 3,444,809(b) 
Bellemeade Re, Ltd., Series 2018-3A, Class M1A, 2.992% (1 Month USD LIBOR + 120 bps), 10/25/28 (144A)
 3,445,554
 4,250,000(b) 
Bellemeade Re, Ltd., Series 2018-3A, Class M1B, 3.642% (1 Month USD LIBOR + 185 bps), 10/25/28 (144A)
 4,258,056
 6,125,000(b) 
Bellemeade Re, Ltd., Series 2018-3A, Class M2, 4.542% (1 Month USD LIBOR + 275 bps), 10/25/28 (144A)
 6,193,781
 69,565(b) 
Bellemeade Re, Ltd., Series 2019-1A, Class M1A, 3.092% (1 Month USD LIBOR + 130 bps), 3/25/29 (144A)
 69,621
 5,140,000(b) 
Bellemeade Re, Ltd., Series 2019-1A, Class M1B, 3.542% (1 Month USD LIBOR + 175 bps), 3/25/29 (144A)
 5,127,947
 2,800,000(b) 
Bellemeade Re, Ltd., Series 2019-3A, Class B1, 4.292% (1 Month USD LIBOR + 250 bps), 7/25/29 (144A)
 2,811,776
 10,511,000(b) 
Bellemeade Re, Ltd., Series 2019-3A, Class M1B, 3.392% (1 Month USD LIBOR + 160 bps), 7/25/29 (144A)
 10,522,187
 10,000,000(b) 
Bellemeade Re, Ltd., Series 2019-4A, Class M1B, 3.792% (1 Month USD LIBOR + 200 bps), 10/25/29 (144A)
 9,994,730
 13,500,000(b) 
BHP Trust, Series 2019-BXHP, Class D, 3.511% (1 Month USD LIBOR + 177 bps), 8/15/36 (144A)
 13,424,678
 8,000,000(b) 
Brass NO 8 PLC, Series 8A, Class A1, 2.806% (3 Month USD LIBOR + 70 bps), 11/16/66 (144A)
 7,996,428
 12,300,000(b) 
BTH-3 Mortgage-Backed Securities Trust, Series 2018-3, Class A, 4.209% (1 Month USD LIBOR + 250 bps), 7/6/20
 12,307,314
 7,750,000(b) 
BTH-13 Mortgage Backed Securities Trust, Series 2018-13, Class A, 4.209% (1 Month USD LIBOR + 250 bps), 8/18/21 (144A)
 7,758,582
 5,700,000(b) 
BTH-16 Mortgage-Backed Securities Trust, Series 2018-16, Class A, 4.209% (1 Month USD LIBOR + 250 bps), 8/4/21 (144A)
 5,700,000
 5,700,000(b) 
BTH-20 Mortgage-Backed Securities Trust, Series 2018-20, Class A, 4.209% (1 Month USD LIBOR + 250 bps), 9/24/20 (144A)
 5,703,942
 7,625,000(b) 
BTH-21 Mortgage-Backed Securities Trust, Series 2018-21, Class A, 4.209% (1 Month USD LIBOR + 250 bps), 10/7/21 (144A)
 7,633,436
 15,097,944(b) 
BTH-24 Mortgage-Backed Securities Trust, Series 2018-24, Class A, 4.091% (1 Month USD LIBOR + 240 bps), 12/5/20 (144A)
 15,116,817
 14,500,000(b) 
BTH-25 Mortgage-Backed Securities Trust, Series 2019-25, Class A, 4.197% (1 Month USD LIBOR + 250 bps), 2/14/20 (144A)
 14,520,333
 6,219,471(b) 
BX Commercial Mortgage Trust, Series 2018-IND, Class A, 2.49% (1 Month USD LIBOR + 75 bps), 11/15/35 (144A)
 6,215,750
 5,810,000(b) 
BX Commercial Mortgage Trust, Series 2018-IND, Class D, 3.04% (1 Month USD LIBOR + 130 bps), 11/15/35 (144A)
 5,811,739
 19,600,000(b) 
BX Commercial Mortgage Trust, Series 2019-XL, Class G, 4.04% (1 Month USD LIBOR + 230 bps), 10/15/36 (144A)
 19,618,365
 Principal
Amount
USD ($)
   Value
   COLLATERALIZED MORTGAGE OBLIGATIONS - (continued)
 7,413,564(b) 
BX Trust, Series 2017-APPL, Class B, 2.89% (1 Month USD LIBOR + 115 bps), 7/15/34 (144A)
  $7,411,183
 9,300,000(b) 
BX Trust, Series 2019-ATL, Class B, 3.126% (1 Month USD LIBOR + 139 bps), 10/15/36 (144A)
 9,294,451
 7,719,594(b) 
BXMT, Ltd., Series 2017-FL1, Class A, 2.607% (1 Month USD LIBOR + 87 bps), 6/15/35 (144A)
 7,717,585
 8,000,000(b) 
BXP Trust, Series 2017-CQHP, Class B, 2.84% (1 Month USD LIBOR + 110 bps), 11/15/34 (144A)
 7,974,394
 2,171,167(b) 
CG-CCRE Commercial Mortgage Trust, Series 2014-FL1, Class B, 2.89% (1 Month USD LIBOR + 115 bps), 6/15/31 (144A)
 2,171,209
 722,572(b) 
CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class A, 3.594% (1 Month USD LIBOR + 185 bps), 11/15/31 (144A)
 721,242
 10,000,000(b) 
CGDB Commercial Mortgage Trust, Series 2019-MOB, Class C, 3.19% (1 Month USD LIBOR + 145 bps), 11/15/36 (144A)
 9,984,393
 9,409,497(b) 
CGDBB Commercial Mortgage Trust, Series 2017-BIOC, Class B, 2.71% (1 Month USD LIBOR + 97 bps), 7/15/32 (144A)
 9,391,907
 5,700,000(b) 
CGMS Commercial Mortgage Trust, Series 2017-MDRC, Class C, 3.04% (1 Month USD LIBOR + 130 bps), 7/15/30 (144A)
 5,671,013
 15,000,000(b) 
CHC Commercial Mortgage Trust, Series 2019-CHC, Class C, 3.49% (1 Month USD LIBOR + 175 bps), 6/15/34 (144A)
 14,962,448
 89,237(b) 
CHL Mortgage Pass-Through Trust, Series 2003-15, Class 1A1, 2.292% (1 Month USD LIBOR + 50 bps), 6/25/18
 89,237
 9,500,000(b) 
CHT Mortgage Trust, Series 2017-CSMO, Class C, 3.24% (1 Month USD LIBOR + 150 bps), 11/15/36 (144A)
 9,502,992
 1,020,833(b) 
CIFC Funding, Ltd., Series 2013-1A, Class X, 2.851% (3 Month USD LIBOR + 85 bps), 7/16/30 (144A)
 1,020,903
 725 
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust, Series 2005-4, Class 2A1, 5.0%, 7/25/20
 739
 8,750,000(b) 
Citigroup Commercial Mortgage Trust, Series 2019-SST2, Class B, 2.84% (1 Month USD LIBOR + 110 bps), 12/15/36 (144A)
 8,706,842
 5,500,000(b) 
Citigroup Commercial Mortgage Trust, Series 2019-SST2, Class C, 3.04% (1 Month USD LIBOR + 130 bps), 12/15/36 (144A)
 5,504,215
 15,000,000(b) 
CLNY Trust, Series 2019-IKPR, Class B, 3.218% (1 Month USD LIBOR + 148 bps), 11/15/38 (144A)
 14,859,558
 5,000,000(b) 
CLNY Trust, Series 2019-IKPR, Class E, 4.461% (1 Month USD LIBOR + 272 bps), 11/15/38 (144A)
 4,953,181
 334,770(b) 
COMM Mortgage Trust, Series 2014-FL5, Class B, 3.152% (1 Month USD LIBOR + 215 bps), 10/15/31 (144A)
 334,801
 7,000,000(d) 
COMM Mortgage Trust, Series 2015-CR23, Class CMD, 3.685%, 5/10/48 (144A)
 7,003,086
 20,588,250(b) 
Connecticut Avenue Securities Trust, Series 2019-HRP1, Class M2, 3.858% (1 Month USD LIBOR + 215 bps), 11/25/39 (144A)
 20,680,872
 3,490,170(b) 
Connecticut Avenue Securities Trust, Series 2019-R01, Class 2M1, 2.642% (1 Month USD LIBOR + 85 bps), 7/25/31 (144A)
 3,491,257
 701,943(b) 
Connecticut Avenue Securities Trust, Series 2019-R02, Class 1M1, 2.642% (1 Month USD LIBOR + 85 bps), 8/25/31 (144A)
 701,991
 10,745,847(b) 
Connecticut Avenue Securities Trust, Series 2019-R06, Class 2M1, 2.542% (1 Month USD LIBOR + 75 bps), 9/25/39 (144A)
 10,748,071
 6,750,000(b) 
Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class B, 3.64% (1 Month USD LIBOR + 190 bps), 1/15/34 (144A)
 6,764,679
 10,000,000(b) 
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class E, 3.89% (1 Month USD LIBOR + 215 bps), 5/15/36 (144A)
 10,015,662
 91,756(b) 
CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-AR5, Class 11A2, 2.532% (1 Month USD LIBOR + 74 bps), 6/25/34
 92,171
 373,183(d) 
CSMC Trust, Series 2014-SAF1, Class A12, 4.0%, 3/25/44 (144A)
 375,581
 10,380,000(b) 
CSMC Trust, Series 2017-HD, Class B, 3.09% (1 Month USD LIBOR + 135 bps), 2/15/31 (144A)
 10,367,166
 1,226,665(b) 
Deer Creek CLO, Ltd., Series 2017-1A, Class X, 2.966% (3 Month USD LIBOR + 100 bps), 10/20/30 (144A)
 1,226,638
 6,829,269(b) 
Eagle Re, Ltd., Series 2018-1, Class M1, 3.492% (1 Month USD LIBOR + 170 bps), 11/25/28 (144A)
 6,838,758
 10,460,000(b) 
Eagle Re, Ltd., Series 2019-1, Class M1B, 3.592% (1 Month USD LIBOR + 180 bps), 4/25/29 (144A)
 10,474,682
 13,270,262(b) 
Fannie Mae Connecticut Avenue Securities, Series 2014-C02, Class 1M2, 4.392% (1 Month USD LIBOR + 260 bps), 5/25/24
 13,818,546
 6,162,218(b) 
Fannie Mae Connecticut Avenue Securities, Series 2014-C04, Class 1M2, 6.692% (1 Month USD LIBOR + 490 bps), 11/25/24
 6,767,884
 8,747,800(b) 
Fannie Mae Connecticut Avenue Securities, Series 2016-C01, Class 1M2, 8.542% (1 Month USD LIBOR + 675 bps), 8/25/28
 9,732,300
 6,948,428(b) 
Fannie Mae Connecticut Avenue Securities, Series 2016-C02, Class 1M2, 7.792% (1 Month USD LIBOR + 600 bps), 9/25/28
 7,645,653
 18,122,722(b) 
Fannie Mae Connecticut Avenue Securities, Series 2016-C03, Class 2M2, 7.692% (1 Month USD LIBOR + 590 bps), 10/25/28
 19,572,650
 11,541,773(b) 
Fannie Mae Connecticut Avenue Securities, Series 2016-C05, Class 2M2, 6.242% (1 Month USD LIBOR + 445 bps), 1/25/29
 12,190,179
 444,616(b) 
Fannie Mae Connecticut Avenue Securities, Series 2017-C01, Class 1M1, 3.092% (1 Month USD LIBOR + 130 bps), 7/25/29
 445,026
 Principal
Amount
USD ($)
   Value
   COLLATERALIZED MORTGAGE OBLIGATIONS - (continued)
 15,517,000(b) 
Fannie Mae Connecticut Avenue Securities, Series 2017-C01, Class 1M2, 5.342% (1 Month USD LIBOR + 355 bps), 7/25/29
  $16,421,390
 497,370(b) 
Fannie Mae Connecticut Avenue Securities, Series 2017-C02, Class 2M1, 2.942% (1 Month USD LIBOR + 115 bps), 9/25/29
 
 497,755
 4,397,615(b) 
Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M1, 2.742% (1 Month USD LIBOR + 95 bps), 10/25/29
 4,403,706
 987,221(b) 
Fannie Mae Connecticut Avenue Securities, Series 2017-C04, Class 2M1, 2.642% (1 Month USD LIBOR + 85 bps), 11/25/29
 987,471
 29,596(b) 
Fannie Mae Connecticut Avenue Securities, Series 2017-C05, Class 1M1, 2.342% (1 Month USD LIBOR + 55 bps), 1/25/30
 29,593
 10,800,000(b) 
Fannie Mae Connecticut Avenue Securities, Series 2017-C05, Class 1M2, 3.992% (1 Month USD LIBOR + 220 bps), 1/25/30
 10,985,960
 10,526,604(b) 
Fannie Mae Connecticut Avenue Securities, Series 2017-C05, Class 1M2B, 3.992% (1 Month USD LIBOR + 220 bps), 1/25/30
 10,717,619
 99,459(b) 
Fannie Mae Connecticut Avenue Securities, Series 2017-C06, Class 1M1, 2.542% (1 Month USD LIBOR + 75 bps), 2/25/30
 99,459
 9,703,093(b) 
Fannie Mae Connecticut Avenue Securities, Series 2017-C06, Class 2M2, 4.592% (1 Month USD LIBOR + 280 bps), 2/25/30
 9,965,237
 5,638,345(b) 
Fannie Mae Connecticut Avenue Securities, Series 2017-C06, Class 2M2A, 4.592% (1 Month USD LIBOR + 280 bps), 2/25/30
 5,684,441
 9,873,392(b) 
Fannie Mae Connecticut Avenue Securities, Series 2017-C07, Class 1M2A, 4.192% (1 Month USD LIBOR + 240 bps), 5/25/30
 10,077,083
 1,852,096(b) 
Fannie Mae Connecticut Avenue Securities, Series 2018-C01, Class 1M1, 2.392% (1 Month USD LIBOR + 60 bps), 7/25/30
 1,851,606
 1,772,894(b) 
Fannie Mae Connecticut Avenue Securities, Series 2018-C03, Class 1M1, 2.472% (1 Month USD LIBOR + 68 bps), 10/25/30
 1,773,294
 2,875,582(b) 
Fannie Mae Connecticut Avenue Securities, Series 2018-C04, Class 2M1, 2.542% (1 Month USD LIBOR + 75 bps), 12/25/30
 2,876,047
 18,710,000(b) 
Fannie Mae Connecticut Avenue Securities, Series 2018-C04, Class 2M2, 4.342% (1 Month USD LIBOR + 255 bps), 12/25/30
 19,040,892
 3,323,786(b) 
Fannie Mae Connecticut Avenue Securities, Series 2018-C05, Class 1M1, 2.512% (1 Month USD LIBOR + 72 bps), 1/25/31
 3,324,574
 18,890,680(b) 
Fannie Mae Connecticut Avenue Securities, Series 2018-C06, Class 1M2, 3.792% (1 Month USD LIBOR + 200 bps), 3/25/31
 18,969,923
 1,337,602(b) 
Fannie Mae Connecticut Avenue Securities, Series 2018-C06, Class 2M1, 2.342% (1 Month USD LIBOR + 55 bps), 3/25/31
 1,337,342
 341,250(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 1695, Class EG, 2.815% (1 Month USD LIBOR + 105 bps), 3/15/24
 346,821
 172,211(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2106, Class F, 2.19% (1 Month USD LIBOR + 45 bps), 12/15/28
 172,200
 100,963(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2122, Class FD, 2.09% (1 Month USD LIBOR + 35 bps), 2/15/29
 100,901
 37,257(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2156, Class FQ, 2.09% (1 Month USD LIBOR + 35 bps), 5/15/29
 37,481
 198,164(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2186, Class FY, 2.34% (1 Month USD LIBOR + 60 bps), 4/15/28
 198,862
 39,872(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2368, Class AF, 2.69% (1 Month USD LIBOR + 95 bps), 10/15/31
 40,801
 45,024(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2377, Class FE, 2.34% (1 Month USD LIBOR + 60 bps), 11/15/31
 45,516
 1,520,672(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2396, Class FE, 2.34% (1 Month USD LIBOR + 60 bps), 12/15/31
 1,529,286
 121,351(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2411, Class FR, 2.34% (1 Month USD LIBOR + 60 bps), 6/15/31
 121,921
 80,973(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2432, Class FH, 2.44% (1 Month USD LIBOR + 70 bps), 3/15/32
 80,274
 260,347(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2439, Class F, 2.74% (1 Month USD LIBOR + 100 bps), 3/15/32
 265,686
 354,981(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2470, Class AF, 2.74% (1 Month USD LIBOR + 100 bps), 3/15/32
 362,355
 219,964(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2471, Class FD, 2.74% (1 Month USD LIBOR + 100 bps), 3/15/32
 224,474
 53,470(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2498, Class FQ, 2.34% (1 Month USD LIBOR + 60 bps), 9/15/32
 54,065
 44,949(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2543, Class EF, 2.09% (1 Month USD LIBOR + 35 bps), 12/15/32
 44,782
 415,167(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2551, Class FD, 2.14% (1 Month USD LIBOR + 40 bps), 1/15/33
 414,317
 238,407(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2567, Class FJ, 2.14% (1 Month USD LIBOR + 40 bps), 2/15/33
 237,831
 119,508(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2577, Class FA, 2.29% (1 Month USD LIBOR + 55 bps), 2/15/33
 119,985
 9,807(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2585, Class FD, 2.24% (1 Month USD LIBOR + 50 bps), 12/15/32
 9,826
 145,569(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2614, Class FV, 3.191% (1 Month USD LIBOR + 150 bps), 5/15/33
 149,893
 Principal
Amount
USD ($)
   Value
   COLLATERALIZED MORTGAGE OBLIGATIONS - (continued)
 199,568(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2631, Class FC, 2.14% (1 Month USD LIBOR + 40 bps), 6/15/33
  $199,153
 469(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2647, Class XF, 1.99% (1 Month USD LIBOR + 25 bps), 7/15/21
 
 469
 117,105(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2711, Class FA, 2.74% (1 Month USD LIBOR + 100 bps), 11/15/33
 
 120,466
 237,108(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2916, Class NF, 1.99% (1 Month USD LIBOR + 25 bps), 1/15/35
 235,646
 380,604(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 2976, Class LF, 2.08% (1 Month USD LIBOR + 34 bps), 5/15/35
 378,731
 210,905(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3012, Class FE, 1.99% (1 Month USD LIBOR + 25 bps), 8/15/35
 210,782
 131,644(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3042, Class PF, 1.99% (1 Month USD LIBOR + 25 bps), 8/15/35
 130,864
 71,063(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3067, Class FA, 2.09% (1 Month USD LIBOR + 35 bps), 11/15/35
 70,745
 87,972(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3102, Class FG, 2.04% (1 Month USD LIBOR + 30 bps), 1/15/36
 87,252
 106,785(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3117, Class EF, 2.09% (1 Month USD LIBOR + 35 bps), 2/15/36
 106,296
 340,394(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3117, Class FE, 2.04% (1 Month USD LIBOR + 30 bps), 2/15/36
 337,917
 247,147(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3122, Class FP, 2.04% (1 Month USD LIBOR + 30 bps), 3/15/36
 246,076
 3,439,394(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3147, Class FD, 2.09% (1 Month USD LIBOR + 35 bps), 4/15/36
 3,426,746
 154,463(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3147, Class PF, 2.04% (1 Month USD LIBOR + 30 bps), 4/15/36
 153,816
 1,483,770(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3173, Class F, 2.44% (1 Month USD LIBOR + 70 bps), 8/15/35
 1,498,224
 367,701(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3173, Class FC, 2.16% (1 Month USD LIBOR + 42 bps), 6/15/36
 368,887
 729,430(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3175, Class FE, 2.05% (1 Month USD LIBOR + 31 bps), 6/15/36
 735,310
 394,843(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3181, Class HF, 2.24% (1 Month USD LIBOR + 50 bps), 7/15/36
 395,647
 18,477(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3191, Class FE, 2.14% (1 Month USD LIBOR + 40 bps), 7/15/36
 18,515
 153,018(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3221, Class FW, 2.16% (1 Month USD LIBOR + 42 bps), 9/15/36
 152,812
 82,101(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3222, Class FN, 2.14% (1 Month USD LIBOR + 40 bps), 9/15/36
 82,210
 294,478(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3239, Class EF, 2.09% (1 Month USD LIBOR + 35 bps), 11/15/36
 293,254
 155,310(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3239, Class FB, 2.09% (1 Month USD LIBOR + 35 bps), 11/15/36
 154,673
 842(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3244, Class TF, 1.94% (1 Month USD LIBOR + 20 bps), 7/15/36
 842
 252,922(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3247, Class FA, 1.99% (1 Month USD LIBOR + 25 bps), 8/15/36
 250,835
 636,889(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3266, Class F, 2.04% (1 Month USD LIBOR + 30 bps), 1/15/37
 634,961
 215,593(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3307, Class FT, 1.98% (1 Month USD LIBOR + 24 bps), 7/15/34
 213,433
 35,353(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3315, Class F, 2.08% (1 Month USD LIBOR + 34 bps), 5/15/37
 35,202
 483,610(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3373, Class FB, 2.32% (1 Month USD LIBOR + 58 bps), 10/15/37
 486,169
 92,004(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3376, Class FM, 2.36% (1 Month USD LIBOR + 62 bps), 10/15/37
 92,618
 27,882 
Federal Home Loan Mortgage Corp. REMICS, Series 3455, Class BD, 4.5%, 6/15/23
 27,917
 26,970(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3560, Class FA, 2.99% (1 Month USD LIBOR + 125 bps), 5/15/37
 27,285
 292,975(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3610, Class FA, 2.44% (1 Month USD LIBOR + 70 bps), 12/15/39
 297,262
 131,056 
Federal Home Loan Mortgage Corp. REMICS, Series 3706, Class C, 2.0%, 8/15/20
 130,852
 160,638(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3708, Class PF, 2.09% (1 Month USD LIBOR + 35 bps), 7/15/40
 160,116
 61,883 
Federal Home Loan Mortgage Corp. REMICS, Series 3760, Class KH, 2.0%, 11/15/20
 61,796
 84,892(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3767, Class JF, 2.04% (1 Month USD LIBOR + 30 bps), 2/15/39
 84,956
 517,988 
Federal Home Loan Mortgage Corp. REMICS, Series 3778, Class D, 3.5%, 3/15/25
 519,345
 Principal
Amount
USD ($)
   Value
   COLLATERALIZED MORTGAGE OBLIGATIONS - (continued)
 7,365(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3780, Class FE, 2.14% (1 Month USD LIBOR + 40 bps), 12/15/20
  $7,375
 112,199(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3784, Class F, 2.14% (1 Month USD LIBOR + 40 bps), 7/15/23
 112,138
 28,395(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3792, Class DF, 2.14% (1 Month USD LIBOR + 40 bps), 11/15/40
 
 28,388
 33,667(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3867, Class FD, 2.09% (1 Month USD LIBOR + 35 bps), 5/15/41
 33,528
 673,687(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3867, Class PF, 2.14% (1 Month USD LIBOR + 40 bps), 3/15/41
 675,684
 111,041(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3914, Class LF, 1.94% (1 Month USD LIBOR + 20 bps), 8/15/26
 111,222
 144,203(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3960, Class FB, 2.04% (1 Month USD LIBOR + 30 bps), 2/15/30
 144,286
 238,520(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3970, Class GF, 2.04% (1 Month USD LIBOR + 30 bps), 9/15/26
 239,243
 492,054(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 3982, Class FL, 2.29% (1 Month USD LIBOR + 55 bps), 12/15/39
 494,731
 188,471(b) 
Federal Home Loan Mortgage Corp. REMICS, Series 4056, Class QF, 2.09% (1 Month USD LIBOR + 35 bps), 12/15/41
 187,944
 159,867(b) 
Federal Home Loan Mortgage Corp. Strips, Series 237, Class F14, 2.14% (1 Month USD LIBOR + 40 bps), 5/15/36
 159,383
 139,892(b) 
Federal Home Loan Mortgage Corp. Strips, Series 239, Class F29, 1.99% (1 Month USD LIBOR + 25 bps), 8/15/36
 139,381
 604,756(b) 
Federal Home Loan Mortgage Corp. Strips, Series 239, Class F30, 2.04% (1 Month USD LIBOR + 30 bps), 8/15/36
 599,894
 178,488(b) 
Federal Home Loan Mortgage Corp. Strips, Series 244, Class F22, 2.09% (1 Month USD LIBOR + 35 bps), 12/15/36
 178,477
 14,555(b) 
Federal National Mortgage Association REMICS, Series 1991-124, Class FA, 2.692% (1 Month USD LIBOR + 90 bps), 9/25/21
 14,627
 28,511(b) 
Federal National Mortgage Association REMICS, Series 1993-230, Class FA, 2.308% (1 Month USD LIBOR + 60 bps), 12/25/23
 28,338
 77,789(b) 
Federal National Mortgage Association REMICS, Series 1993-247, Class FA, 2.5% (11th District Cost of Funds Index + 140 bps), 12/25/23
 79,147
 77,789(b) 
Federal National Mortgage Association REMICS, Series 1993-247, Class FE, 2.792% (1 Month USD LIBOR + 100 bps), 12/25/23
 78,382
 150,342(b) 
Federal National Mortgage Association REMICS, Series 1994-40, Class FC, 2.292% (1 Month USD LIBOR + 50 bps), 3/25/24
 151,638
 20,405(b) 
Federal National Mortgage Association REMICS, Series 1997-46, Class FA, 2.245% (1 Month USD LIBOR + 50 bps), 7/18/27
 20,622
 72,313(b) 
Federal National Mortgage Association REMICS, Series 1998-21, Class F, 1.94% (1 Year T1Y + 35 bps), 3/25/28
 72,577
 6,637(b) 
Federal National Mortgage Association REMICS, Series 1999-49, Class FB, 2.292% (1 Month USD LIBOR + 50 bps), 3/25/23
 6,639
 40,222(b) 
Federal National Mortgage Association REMICS, Series 2000-47, Class FD, 2.342% (1 Month USD LIBOR + 55 bps), 12/25/30
 40,351
 161,338(b) 
Federal National Mortgage Association REMICS, Series 2001-35, Class F, 2.392% (1 Month USD LIBOR + 60 bps), 7/25/31
 162,110
 65,055(b) 
Federal National Mortgage Association REMICS, Series 2001-37, Class F, 2.292% (1 Month USD LIBOR + 50 bps), 8/25/31
 65,449
 333,407(b) 
Federal National Mortgage Association REMICS, Series 2001-50, Class FQ, 2.392% (1 Month USD LIBOR + 60 bps), 11/25/31
 335,001
 146,699(b) 
Federal National Mortgage Association REMICS, Series 2001-65, Class F, 2.392% (1 Month USD LIBOR + 60 bps), 11/25/31
 147,400
 105,883(b) 
Federal National Mortgage Association REMICS, Series 2001-69, Class FA, 2.392% (1 Month USD LIBOR + 60 bps), 7/25/31
 106,471
 290,911(b) 
Federal National Mortgage Association REMICS, Series 2001-72, Class FB, 2.692% (1 Month USD LIBOR + 90 bps), 12/25/31
 295,500
 82,076(b) 
Federal National Mortgage Association REMICS, Series 2001-81, Class FL, 2.395% (1 Month USD LIBOR + 65 bps), 1/18/32
 82,588
 136,778(b) 
Federal National Mortgage Association REMICS, Series 2002-1, Class FC, 2.492% (1 Month USD LIBOR + 70 bps), 1/25/32
 138,099
 430,844(b) 
Federal National Mortgage Association REMICS, Series 2002-13, Class FD, 2.692% (1 Month USD LIBOR + 90 bps), 3/25/32
 436,411
 1,179,873(b) 
Federal National Mortgage Association REMICS, Series 2002-23, Class FA, 2.692% (1 Month USD LIBOR + 90 bps), 4/25/32
 1,200,797
 145,501(b) 
Federal National Mortgage Association REMICS, Series 2002-34, Class FA, 2.245% (1 Month USD LIBOR + 50 bps), 5/18/32
 145,892
 68,334(b) 
Federal National Mortgage Association REMICS, Series 2002-56, Class FN, 2.792% (1 Month USD LIBOR + 100 bps), 7/25/32
 69,764
 29,921(b) 
Federal National Mortgage Association REMICS, Series 2002-58, Class FD, 2.392% (1 Month USD LIBOR + 60 bps), 8/25/32
 30,098
 666,067(b) 
Federal National Mortgage Association REMICS, Series 2002-75, Class FD, 2.745% (1 Month USD LIBOR + 100 bps), 11/18/32
 679,892
 140,264(b) 
Federal National Mortgage Association REMICS, Series 2002-77, Class F, 2.392% (1 Month USD LIBOR + 60 bps), 12/25/32
 141,108
 Principal
Amount
USD ($)
   Value
   COLLATERALIZED MORTGAGE OBLIGATIONS - (continued)
 101,391(b) 
Federal National Mortgage Association REMICS, Series 2002-82, Class FB, 2.292% (1 Month USD LIBOR + 50 bps), 12/25/32
  $101,587
 128,752(b) 
Federal National Mortgage Association REMICS, Series 2002-90, Class FH, 2.292% (1 Month USD LIBOR + 50 bps), 9/25/32
 
 128,997
 65,588(b) 
Federal National Mortgage Association REMICS, Series 2002-92, Class FB, 2.442% (1 Month USD LIBOR + 65 bps), 4/25/30
 66,020
 145,007(b) 
Federal National Mortgage Association REMICS, Series 2002-93, Class FH, 2.292% (1 Month USD LIBOR + 50 bps), 1/25/33
 145,291
 118,366(b) 
Federal National Mortgage Association REMICS, Series 2003-7, Class FA, 2.542% (1 Month USD LIBOR + 75 bps), 2/25/33
 119,797
 249,675(b) 
Federal National Mortgage Association REMICS, Series 2003-8, Class FJ, 2.142% (1 Month USD LIBOR + 35 bps), 2/25/33
 249,973
 351,758(b) 
Federal National Mortgage Association REMICS, Series 2003-31, Class FM, 2.292% (1 Month USD LIBOR + 50 bps), 4/25/33
 352,473
 158,518(b) 
Federal National Mortgage Association REMICS, Series 2003-42, Class JF, 2.292% (1 Month USD LIBOR + 50 bps), 5/25/33
 158,842
 114,709(b) 
Federal National Mortgage Association REMICS, Series 2003-49, Class FY, 2.192% (1 Month USD LIBOR + 40 bps), 6/25/23
 115,038
 678,440(b) 
Federal National Mortgage Association REMICS, Series 2003-91, Class FD, 2.292% (1 Month USD LIBOR + 50 bps), 9/25/33
 679,570
 255,340(b) 
Federal National Mortgage Association REMICS, Series 2003-107, Class FD, 2.292% (1 Month USD LIBOR + 50 bps), 11/25/33
 255,760
 2,921,040(b) 
Federal National Mortgage Association REMICS, Series 2003-126, Class FC, 2.092% (1 Month USD LIBOR + 30 bps), 12/25/33
 2,900,305
 658,234(b) 
Federal National Mortgage Association REMICS, Series 2004-14, Class F, 2.108% (1 Month USD LIBOR + 40 bps), 3/25/34
 656,219
 1,743,330(b) 
Federal National Mortgage Association REMICS, Series 2004-25, Class FA, 2.192% (1 Month USD LIBOR + 40 bps), 4/25/34
 1,739,482
 204,572(b) 
Federal National Mortgage Association REMICS, Series 2004-52, Class FW, 2.192% (1 Month USD LIBOR + 40 bps), 7/25/34
 204,089
 60,574(b) 
Federal National Mortgage Association REMICS, Series 2004-54, Class FN, 2.242% (1 Month USD LIBOR + 45 bps), 7/25/34
 60,305
 226,400(b) 
Federal National Mortgage Association REMICS, Series 2004-79, Class FM, 2.092% (1 Month USD LIBOR + 30 bps), 11/25/24
 227,089
 74,808(b) 
Federal National Mortgage Association REMICS, Series 2004-91, Class HF, 2.092% (1 Month USD LIBOR + 30 bps), 11/25/34
 74,875
 838,306(b) 
Federal National Mortgage Association REMICS, Series 2005-66, Class FD, 2.092% (1 Month USD LIBOR + 30 bps), 7/25/35
 831,894
 576,322(b) 
Federal National Mortgage Association REMICS, Series 2005-66, Class PF, 2.042% (1 Month USD LIBOR + 25 bps), 7/25/35
 572,953
 222,191(b) 
Federal National Mortgage Association REMICS, Series 2005-83, Class KT, 2.092% (1 Month USD LIBOR + 30 bps), 10/25/35
 220,784
 281,868(b) 
Federal National Mortgage Association REMICS, Series 2005-83, Class LF, 2.102% (1 Month USD LIBOR + 31 bps), 2/25/35
 281,837
 44,711(b) 
Federal National Mortgage Association REMICS, Series 2006-11, Class FB, 2.092% (1 Month USD LIBOR + 30 bps), 3/25/36
 44,454
 118,705(b) 
Federal National Mortgage Association REMICS, Series 2006-33, Class FH, 2.142% (1 Month USD LIBOR + 35 bps), 5/25/36
 118,606
 361,507(b) 
Federal National Mortgage Association REMICS, Series 2006-34, Class FA, 2.102% (1 Month USD LIBOR + 31 bps), 5/25/36
 360,676
 269,654(b) 
Federal National Mortgage Association REMICS, Series 2006-42, Class CF, 2.242% (1 Month USD LIBOR + 45 bps), 6/25/36
 269,639
 104,393(b) 
Federal National Mortgage Association REMICS, Series 2006-56, Class FC, 2.082% (1 Month USD LIBOR + 29 bps), 7/25/36
 103,736
 46,580(b) 
Federal National Mortgage Association REMICS, Series 2006-70, Class BF, 2.342% (1 Month USD LIBOR + 55 bps), 8/25/36
 46,947
 88,334(b) 
Federal National Mortgage Association REMICS, Series 2006-82, Class F, 2.362% (1 Month USD LIBOR + 57 bps), 9/25/36
 88,770
 751,981(b) 
Federal National Mortgage Association REMICS, Series 2006-93, Class FN, 2.192% (1 Month USD LIBOR + 40 bps), 10/25/36
 753,009
 126,091(b) 
Federal National Mortgage Association REMICS, Series 2006-104, Class GF, 2.112% (1 Month USD LIBOR + 32 bps), 11/25/36
 125,374
 46,363(b) 
Federal National Mortgage Association REMICS, Series 2006-115, Class BF, 2.032% (1 Month USD LIBOR + 24 bps), 12/25/36
 46,150
 2,375,861(b) 
Federal National Mortgage Association REMICS, Series 2007-1, Class NF, 2.042% (1 Month USD LIBOR + 25 bps), 2/25/37
 2,360,248
 156,451(b) 
Federal National Mortgage Association REMICS, Series 2007-2, Class FT, 2.042% (1 Month USD LIBOR + 25 bps), 2/25/37
 155,069
 2,035,097(b) 
Federal National Mortgage Association REMICS, Series 2007-4, Class FM, 2.042% (1 Month USD LIBOR + 25 bps), 2/25/37
 2,026,485
 191,153(b) 
Federal National Mortgage Association REMICS, Series 2007-7, Class FJ, 1.992% (1 Month USD LIBOR + 20 bps), 2/25/37
 189,935
 65,377(b) 
Federal National Mortgage Association REMICS, Series 2007-13, Class FA, 2.042% (1 Month USD LIBOR + 25 bps), 3/25/37
 65,028
 154,906(b) 
Federal National Mortgage Association REMICS, Series 2007-24, Class FD, 2.042% (1 Month USD LIBOR + 25 bps), 3/25/37
 153,611
 Principal
Amount
USD ($)
   Value
   COLLATERALIZED MORTGAGE OBLIGATIONS - (continued)
 206,083(b) 
Federal National Mortgage Association REMICS, Series 2007-41, Class FA, 2.192% (1 Month USD LIBOR + 40 bps), 5/25/37
  $206,345
 316,724(b) 
Federal National Mortgage Association REMICS, Series 2007-50, Class FN, 2.032% (1 Month USD LIBOR + 24 bps), 6/25/37
 
 313,496
 29,037(b) 
Federal National Mortgage Association REMICS, Series 2007-57, Class FA, 2.022% (1 Month USD LIBOR + 23 bps), 6/25/37
 28,779
 88,536(b) 
Federal National Mortgage Association REMICS, Series 2007-58, Class FA, 2.042% (1 Month USD LIBOR + 25 bps), 6/25/37
 88,144
 87,270(b) 
Federal National Mortgage Association REMICS, Series 2007-66, Class FB, 2.192% (1 Month USD LIBOR + 40 bps), 7/25/37
 87,140
 295,228(b) 
Federal National Mortgage Association REMICS, Series 2007-85, Class FG, 2.292% (1 Month USD LIBOR + 50 bps), 9/25/37
 295,838
 315,093(b) 
Federal National Mortgage Association REMICS, Series 2007-91, Class FB, 2.392% (1 Month USD LIBOR + 60 bps), 10/25/37
 317,010
 133,219(b) 
Federal National Mortgage Association REMICS, Series 2007-92, Class OF, 2.362% (1 Month USD LIBOR + 57 bps), 9/25/37
 133,871
 73,658(b) 
Federal National Mortgage Association REMICS, Series 2007-93, Class FD, 2.342% (1 Month USD LIBOR + 55 bps), 9/25/37
 72,656
 31,835(b) 
Federal National Mortgage Association REMICS, Series 2007-98, Class FD, 2.242% (1 Month USD LIBOR + 45 bps), 6/25/37
 31,944
 45,487(b) 
Federal National Mortgage Association REMICS, Series 2007-100, Class YF, 2.342% (1 Month USD LIBOR + 55 bps), 10/25/37
 45,680
 53,732(b) 
Federal National Mortgage Association REMICS, Series 2007-103, Class AF, 2.792% (1 Month USD LIBOR + 100 bps), 3/25/37
 54,970
 56,075(b) 
Federal National Mortgage Association REMICS, Series 2007-110, Class FA, 2.412% (1 Month USD LIBOR + 62 bps), 12/25/37
 56,232
 44,285(b) 
Federal National Mortgage Association REMICS, Series 2008-6, Class FA, 2.492% (1 Month USD LIBOR + 70 bps), 2/25/38
 44,927
 6,055,394(b) 
Federal National Mortgage Association REMICS, Series 2008-7, Class FA, 2.242% (1 Month USD LIBOR + 45 bps), 2/25/38
 6,052,375
 206,500(b) 
Federal National Mortgage Association REMICS, Series 2008-88, Class FA, 3.012% (1 Month USD LIBOR + 122 bps), 10/25/38
 211,129
 64,906(b) 
Federal National Mortgage Association REMICS, Series 2009-113, Class FB, 2.342% (1 Month USD LIBOR + 55 bps), 1/25/40
 65,462
 3,747 
Federal National Mortgage Association REMICS, Series 2010-17, Class DE, 3.5%, 6/25/21
 3,738
 3,692(b) 
Federal National Mortgage Association REMICS, Series 2010-38, Class F, 2.092% (1 Month USD LIBOR + 30 bps), 4/25/25
 3,691
 78,798(b) 
Federal National Mortgage Association REMICS, Series 2010-43, Class FD, 2.392% (1 Month USD LIBOR + 60 bps), 5/25/40
 79,267
 125,569(b) 
Federal National Mortgage Association REMICS, Series 2010-43, Class IF, 2.292% (1 Month USD LIBOR + 50 bps), 5/25/40
 125,724
 28,401 
Federal National Mortgage Association REMICS, Series 2010-112, Class AE, 2.0%, 10/25/25
 28,329
 240,237(b) 
Federal National Mortgage Association REMICS, Series 2011-19, Class FM, 2.342% (1 Month USD LIBOR + 55 bps), 5/25/40
 241,397
 2,771,135(b) 
Federal National Mortgage Association REMICS, Series 2011-74, Class FQ, 2.092% (1 Month USD LIBOR + 30 bps), 12/25/33
 2,765,279
 3,555,096(b) 
Federal National Mortgage Association REMICS, Series 2011-124, Class KF, 2.192% (1 Month USD LIBOR + 40 bps), 12/25/40
 3,567,834
 205,661(b) 
Federal National Mortgage Association REMICS, Series 2012-40, Class PF, 2.292% (1 Month USD LIBOR + 50 bps), 4/25/42
 206,270
 1,625,394(b) 
Federal National Mortgage Association Trust, Series 2003-W6, Class F, 2.058% (1 Month USD LIBOR + 35 bps), 9/25/42
 1,609,698
 724,395(b) 
Federal National Mortgage Association Trust, Series 2005-W3, Class 2AF, 2.012% (1 Month USD LIBOR + 22 bps), 3/25/45
 721,621
 57,534(d) 
Federal National Mortgage Association Trust, Series 2005-W3, Class 3A, 4.19%, 4/25/45
 60,624
 89,781(d) 
Federal National Mortgage Association Trust, Series 2005-W4, Class 3A, 4.293%, 6/25/45
 94,827
 686,015(b) 
Federal National Mortgage Association Whole Loan, Series 2007-W1, Class 1AF1, 2.052% (1 Month USD LIBOR + 26 bps), 11/25/46
 676,025
 617,422(d) 
FirstKey Mortgage Trust, Series 2014-1, Class A2, 3.0%, 11/25/44 (144A)
 616,119
 10,511,487(b) 
Freddie Mac Stacr Trust, Series 2018-HQA2, Class M1, 2.542% (1 Month USD LIBOR + 75 bps), 10/25/48 (144A)
 10,511,480
 3,079,024(b) 
Freddie Mac Stacr Trust, Series 2019-HQA1, Class M1, 2.692% (1 Month USD LIBOR + 90 bps), 2/25/49 (144A)
 3,080,386
 14,300,000(b) 
Freddie Mac Stacr Trust, Series 2019-HRP1, Class M2, 3.192% (1 Month USD LIBOR + 140 bps), 2/25/49 (144A)
 14,303,855
 2,004,520(b) 
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-HQA2, Class M2, 4.592% (1 Month USD LIBOR + 280 bps), 5/25/28
 2,014,955
 833,189(b) 
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M2, 4.692% (1 Month USD LIBOR + 290 bps), 7/25/28
 836,651
 17,450,000(b) 
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M3, 7.342% (1 Month USD LIBOR + 555 bps), 7/25/28
 19,244,399
 8,890,302(b) 
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA2, Class M3, 6.442% (1 Month USD LIBOR + 465 bps), 10/25/28
 9,573,796
 Principal
Amount
USD ($)
   Value
   COLLATERALIZED MORTGAGE OBLIGATIONS - (continued)
 17,418,000(b) 
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M3, 6.792% (1 Month USD LIBOR + 500 bps), 12/25/28
  $18,987,364
 320,444(b) 
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M2, 3.092% (1 Month USD LIBOR + 130 bps), 3/25/29
 321,084
 14,967,126(b) 
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M3, 5.592% (1 Month USD LIBOR + 380 bps), 3/25/29
 15,917,040
 2,278,655(b) 
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA3, Class M2, 3.142% (1 Month USD LIBOR + 135 bps), 3/25/29
 2,286,895
 547,288(b) 
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-DNA1, Class M1, 2.992% (1 Month USD LIBOR + 120 bps), 7/25/29
 548,288
 2,359,183(b) 
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-DNA2, Class M1, 2.992% (1 Month USD LIBOR + 120 bps), 10/25/29
 2,367,281
 1,400,000(b) 
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-DNA2, Class M2, 5.242% (1 Month USD LIBOR + 345 bps), 10/25/29
 1,491,210
 588,171(b) 
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-HQA1, Class M1, 2.992% (1 Month USD LIBOR + 120 bps), 8/25/29
 588,592
 5,000,000(b) 
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-HQA1, Class M2, 5.342% (1 Month USD LIBOR + 355 bps), 8/25/29
 5,250,752
 420,196(b) 
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-HQA2, Class M1, 2.592% (1 Month USD LIBOR + 80 bps), 12/25/29
 420,362
 10,431,933(b) 
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-HRP1, Class M2, 4.242% (1 Month USD LIBOR + 245 bps), 12/25/42
 10,530,042
 1,353,639(b) 
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-HRP1, Class M2D, 3.042% (1 Month USD LIBOR + 125 bps), 12/25/42
 1,344,473
 3,679,829(b) 
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2018-HQA1, Class M1, 2.492% (1 Month USD LIBOR + 70 bps), 9/25/30
 3,679,921
 6,034,406(d) 
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2018-SPI2, Class M1, 3.813%, 5/25/48 (144A)
 6,040,431
 1,317,594(d) 
Freddie Mac Whole Loan Securities Trust, Series 2015-SC02, Class M1, 3.668%, 9/25/45
 1,315,932
 5,000,000(d) 
FREMF Mortgage Trust, Series 2010-K6, Class B, 5.397%, 12/25/46 (144A)
 4,991,887
 5,042,070(b) 
FREMF Mortgage Trust, Series 2014-KF03, Class B, 6.197% (1 Month USD LIBOR + 450 bps), 1/25/21 (144A)
 5,104,505
 963,380(b) 
FREMF Mortgage Trust, Series 2014-KF04, Class B, 4.947% (1 Month USD LIBOR + 325 bps), 6/25/21 (144A)
 965,577
 1,715,812(b) 
FREMF Mortgage Trust, Series 2014-KF05, Class B, 5.697% (1 Month USD LIBOR + 400 bps), 9/25/22 (144A)
 1,736,079
 2,930,828(b) 
FREMF Mortgage Trust, Series 2014-KS02, Class B, 6.697% (1 Month USD LIBOR + 500 bps), 8/25/23 (144A)
 2,964,554
 3,907,816(b) 
FREMF Mortgage Trust, Series 2018-KI01, Class B, 4.147% (1 Month USD LIBOR + 245 bps), 9/25/22 (144A)
 3,922,190
 4,297,489(b) 
Gosforth Funding Plc, Series 2018-1A, Class A1, 2.36% (3 Month USD LIBOR + 45 bps), 8/25/60 (144A)
 4,294,382
 144,580(b) 
Government National Mortgage Association, Series 2003-7, Class FB, 1.94% (1 Month USD LIBOR + 20 bps), 1/16/33
 144,572
 925,604(b) 
Government National Mortgage Association, Series 2003-11, Class FA, 2.09% (1 Month USD LIBOR + 35 bps), 2/16/33
 926,035
 485,754(b) 
Government National Mortgage Association, Series 2005-3, Class FC, 1.99% (1 Month USD LIBOR + 25 bps), 1/16/35
 484,415
 8,325,603(b) 
Government National Mortgage Association, Series 2005-7, Class AF, 1.97% (1 Month USD LIBOR + 23 bps), 2/16/35
 8,281,430
 455,753(b) 
Government National Mortgage Association, Series 2005-16, Class FA, 2.015% (1 Month USD LIBOR + 25 bps), 2/20/35
 451,792
 154,412(b) 
Government National Mortgage Association, Series 2008-69, Class FA, 2.265% (1 Month USD LIBOR + 50 bps), 8/20/38
 154,985
 154,285(b) 
Government National Mortgage Association, Series 2009-66, Class UF, 2.74% (1 Month USD LIBOR + 100 bps), 8/16/39
 158,299
 739,140(b) 
Government National Mortgage Association, Series 2009-88, Class MF, 2.365% (1 Month USD LIBOR + 60 bps), 7/20/39
 742,694
 123,709(b) 
Government National Mortgage Association, Series 2009-92, Class FJ, 2.42% (1 Month USD LIBOR + 68 bps), 10/16/39
 124,803
 27,424(b) 
Government National Mortgage Association, Series 2010-17, Class AF, 2.165% (1 Month USD LIBOR + 40 bps), 10/20/38
 27,438
 193,074 
Government National Mortgage Association, Series 2010-138, Class PE, 3.0%, 8/20/38
 193,528
 6,643,255(b) 
Government National Mortgage Association, Series 2017-4, Class FC, 2.059% (1 Month USD LIBOR + 35 bps), 1/20/47
 6,661,220
 7,599,294(b) 
GPMT, Ltd., Series 2018-FL1, Class A, 2.665% (1 Month USD LIBOR + 90 bps), 11/21/35 (144A)
 7,597,059
 3,250,000(b) 
GPMT, Ltd., Series 2018-FL1, Class AS, 2.965% (1 Month USD LIBOR + 120 bps), 11/21/35 (144A)
 3,249,044
 18,000,000(b) 
Great Wolf Trust, Series 2019-WOLF, Class D, 3.655% (1 Month USD LIBOR + 193 bps), 12/15/29 (144A)
 17,971,268
 9,400,000(d) 
GS Mortgage Securities Corp. Trust, Series 2016-RENT, Class E, 4.067%, 2/10/29 (144A)
 9,447,471
 13,000,000(b) 
GS Mortgage Securities Corp. Trust, Series 2017-500K, Class B, 2.64% (1 Month USD LIBOR + 90 bps), 7/15/32 (144A)
 12,977,754
 Principal
Amount
USD ($)
   Value
   COLLATERALIZED MORTGAGE OBLIGATIONS - (continued)
 3,500,000(b) 
GS Mortgage Securities Corp. Trust, Series 2017-STAY, Class B, 2.84% (1 Month USD LIBOR + 110 bps), 7/15/32 (144A)
  $3,503,572
 14,700,000(b) 
GS Mortgage Securities Corp. Trust, Series 2018-TWR, Class A, 2.64% (1 Month USD LIBOR + 90 bps), 7/15/31 (144A)
 14,648,887
 11,000,000(b) 
GS Mortgage Securities Corp. Trust, Series 2019-70P, Class D, 3.49% (1 Month USD LIBOR + 175 bps), 10/15/36 (144A)
 11,001,071
 7,400,000(b) 
GS Mortgage Securities Corp. Trust, Series 2019-SMP, Class D, 3.69% (1 Month USD LIBOR + 195 bps), 8/15/32 (144A)
 7,413,967
 4,300,000(b) 
GS Mortgage Securities Trust, Series 2018-HART, Class A, 2.83% (1 Month USD LIBOR + 109 bps), 10/15/31 (144A)
 4,299,007
 9,729,000(b) 
GS Mortgage Securities Trust, Series 2018-HART, Class B, 3.04% (1 Month USD LIBOR + 130 bps), 10/15/31 (144A)
 9,717,242
 4,007,795(b) 
Holmes Master Issuer Plc, Series 2018-2A, Class A2, 2.421% (3 Month USD LIBOR + 42 bps), 10/15/54 (144A)
 4,006,617
 15,656,349(b) 
Home Partners of America Trust, Series 2017-1, Class A, 2.554% (1 Month USD LIBOR + 82 bps), 7/17/34 (144A)
 15,661,163
 7,200,000(b) 
Home Partners of America Trust, Series 2017-1, Class B, 3.087% (1 Month USD LIBOR + 135 bps), 7/17/34 (144A)
 7,202,436
 7,987,589(b) 
Home Re, Ltd., Series 2018-1, Class M1, 3.392% (1 Month USD LIBOR + 160 bps), 10/25/28 (144A)
 7,990,007
 12,633,510(b) 
Home Re, Ltd., Series 2019-1, Class M1, 3.442% (1 Month USD LIBOR + 165 bps), 5/25/29 (144A)
 12,641,791
 1,839,332(b) 
HomeBanc Mortgage Trust, Series 2005-3, Class A1, 2.032% (1 Month USD LIBOR + 24 bps), 7/25/35
 1,839,551
 9,314,601(b) 
HPLY Trust, Series 2019-HIT, Class C, 3.34% (1 Month USD LIBOR + 160 bps), 11/15/36 (144A)
 9,296,978
 8,300,000(b) 
Hudsons Bay Simon JV Trust, Series 2015-HBFL, Class AFL, 3.605% (1 Month USD LIBOR + 183 bps), 8/5/34 (144A)
 8,309,753
 10,200,000(b) 
Hunt CRE, Ltd., Series 2017-FL1, Class A, 2.74% (1 Month USD LIBOR + 100 bps), 8/15/34 (144A)
 10,197,098
 8,300,000(b) 
IMT Trust, Series 2017-APTS, Class BFL, 2.69% (1 Month USD LIBOR + 95 bps), 6/15/34 (144A)
 8,276,875
 8,665,000(b) 
InTown Hotel Portfolio Trust, Series 2018-STAY, Class A, 2.44% (1 Month USD LIBOR + 70 bps), 1/15/33 (144A)
 8,637,708
 4,230,000(b) 
InTown Hotel Portfolio Trust, Series 2018-STAY, Class B, 2.79% (1 Month USD LIBOR + 105 bps), 1/15/33 (144A)
 4,215,879
 1,774,570(b) 
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2017-FL10, Class B, 2.74% (1 Month USD LIBOR + 100 bps), 6/15/32 (144A)
 1,767,326
 3,600,000(b) 
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2019-BKWD, Class C, 3.34% (1 Month USD LIBOR + 160 bps), 9/15/29 (144A)
 3,599,954
 2,078,000(d) 
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-UES, Class C, 3.621%, 9/5/32 (144A)
 2,085,837
 11,900,000(b) 
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2017-FL11, Class B, 2.84% (1 Month USD LIBOR + 110 bps), 10/15/32 (144A)
 11,884,190
 7,300,000(b) 
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PHH, Class B, 2.9% (1 Month USD LIBOR + 116 bps), 6/15/35 (144A)
 7,295,823
 2,800,000(b) 
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class BFL, 2.954% (1 Month USD LIBOR + 125 bps), 7/5/33 (144A)
 2,799,969
 4,000,000(b) 
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class CFL, 3.354% (1 Month USD LIBOR + 165 bps), 7/5/33 (144A)
 4,002,361
 1,650,000(b) 
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class E, 4.34% (1 Month USD LIBOR + 260 bps), 9/15/29 (144A)
 1,651,527
 10,300,000(b) 
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP, Class E, 3.9% (1 Month USD LIBOR + 216 bps), 7/15/36 (144A)
 10,312,303
 10,583,089(d) 
JP Morgan Mortgage Trust, Series 2017-1, Class A4, 3.5%, 1/25/47 (144A)
 10,688,422
 8,530,587(b) 
JP Morgan Mortgage Trust, Series 2018-7FRB, Class A2, 2.458% (1 Month USD LIBOR + 75 bps), 4/25/46 (144A)
 8,525,089
 2,915,244(b) 
JP Morgan Mortgage Trust, Series 2018-7FRB, Class A3, 2.458% (1 Month USD LIBOR + 75 bps), 4/25/46 (144A)
 2,903,995
 2,095,040(b) 
JP Morgan Seasoned Mortgage Trust, Series 2014-1, Class AM, 2.292% (1 Month USD LIBOR + 50 bps), 5/25/33 (144A)
 2,078,286
 6,566,641(d) 
JP Morgan Seasoned Mortgage Trust, Series 2014-1, Class B1, 2.717%, 5/25/33 (144A)
 6,432,515
 585,600(b) 
JP Morgan Trust, Series 2015-1, Class 1A14, 3.321% (1 Month USD LIBOR + 125 bps), 12/25/44 (144A)
 583,853
 194,615 
JPMBB Commercial Mortgage Securities Trust, Series 2014-C19, Class A2, 3.046%, 4/15/47
 195,481
 4,600,000(b) 
KNDL Mortgage Trust, Series 2019-KNSQ, Class D, 3.09% (1 Month USD LIBOR + 135 bps), 5/15/36 (144A)
 4,597,342
 3,100,000(b) 
Lanark Master Issuer Plc, Series 2018-1A, Class 1A, 2.319% (3 Month USD LIBOR + 42 bps), 12/22/69 (144A)
 3,095,260
 814,818(b) 
LMREC, Inc., Series 2016-CRE2, Class A, 3.48% (1 Month USD LIBOR + 170 bps), 11/24/31 (144A)
 814,940
 5,960,165(b) 
LSTAR Securities Investment, Ltd., Series 2019-2, Class A1, 3.209% (1 Month USD LIBOR + 150 bps), 4/1/24 (144A)
 5,947,101
 10,350,975(b) 
LSTAR Securities Investment, Ltd., Series 2019-3, Class A1, 3.209% (1 Month USD LIBOR + 150 bps), 4/1/24 (144A)
 10,331,289
 Principal
Amount
USD ($)
   Value
   COLLATERALIZED MORTGAGE OBLIGATIONS - (continued)
 28,058,485(b) 
LSTAR Securities Investment, Ltd., Series 2019-4, Class A1, 3.209% (1 Month USD LIBOR + 150 bps), 5/1/24 (144A)
  $28,026,047
 14,608,153(b) 
LSTAR Securities Investment, Ltd., Series 2019-5, Class A1, 3.209% (1 Month USD LIBOR + 150 bps), 11/1/24 (144A)
 14,608,153
 18,050,000(b) 
MBRT, Series 2019-MBR, Class B, 2.91% (1 Month USD LIBOR + 115 bps), 11/15/36 (144A)
 17,966,981
 13,503(d) 
Merrill Lynch Mortgage Investors Trust, Series 2003-G, Class A3, 3.564%, 1/25/29
 13,693
 692,117(b) 
Merrill Lynch Mortgage Investors Trust, Series 2003-H, Class A1, 2.432% (1 Month USD LIBOR + 64 bps), 1/25/29
 695,722
 475,871(b) 
Merrill Lynch Mortgage Investors Trust, Series 2004-B, Class A2, 2.434% (6 Month USD LIBOR + 54 bps), 5/25/29
 475,305
 32,744(b) 
Merrill Lynch Mortgage Investors Trust, Series 2004-C, Class A2B, 2.924% (6 Month USD LIBOR + 100 bps), 7/25/29
 32,341
 107,210(d) 
Merrill Lynch Mortgage Investors Trust, Series 2004-D, Class A3, 4.132%, 9/25/29
 107,940
 150,201(b) 
Merrill Lynch Mortgage Investors Trust, Series 2004-G, Class A2, 2.524% (6 Month USD LIBOR + 60 bps), 1/25/30
 148,427
 20,000,000(b) 
MF1, Ltd., Series 2019-FL2, Class A, 2.922% (1 Month USD LIBOR + 113 bps), 12/25/34 (144A)
 20,006,240
 1,511,904(d) 
Mill City Mortgage Loan Trust, Series 2018-4, Class A1A, 3.5%, 4/25/66 (144A)
 1,509,855
 14,095,263(b) 
MMFL Re-REMIC Trust, Series 2019-1, Class A, 3.192% (1 Month USD LIBOR + 140 bps), 1/28/24 (144A)
 14,020,952
 1,804,504(d) 
Morgan Stanley Capital I Trust, Series 2007-T25, Class AJ, 5.574%, 11/12/49
 1,825,057
 8,500,000(b) 
Morgan Stanley Capital I Trust, Series 2017-ASHF, Class B, 2.99% (1 Month USD LIBOR + 125 bps), 11/15/34 (144A)
 8,467,997
 8,250,000(b) 
Morgan Stanley Capital I Trust, Series 2017-CLS, Class C, 2.74% (1 Month USD LIBOR + 100 bps), 11/15/34 (144A)
 8,249,988
 9,975,000(b) 
Morgan Stanley Capital I Trust, Series 2018-BOP, Class B, 2.99% (1 Month USD LIBOR + 125 bps), 8/15/33 (144A)
 9,974,983
 9,280,000(b) 
Morgan Stanley Capital I Trust, Series 2019-AGLN, Class C, 3.19% (1 Month USD LIBOR + 145 bps), 3/15/34 (144A)
 9,274,147
 7,275,000(b) 
Morgan Stanley Capital I Trust, Series 2019-NUGS, Class D, 3.55% (1 Month USD LIBOR + 180 bps), 12/15/36 (144A)
 7,288,673
 14,300,000(b) 
Morgan Stanley Capital I Trust, Series 2019-PLND, Class C, 3.24% (1 Month USD LIBOR + 150 bps), 5/15/36 (144A)
 14,299,973
 611,510(b) 
Morgan Stanley Mortgage Loan Trust, Series 2005-6AR, Class 1A4, 2.162% (1 Month USD LIBOR + 37 bps), 11/25/35
 611,444
 5,303,644(d) 
Morgan Stanley Residential Mortgage Loan Trust, Series 2014-1A, Class A1, 3.077%, 6/25/44 (144A)
 5,310,800
 9,709,619(b) 
Motel 6 Trust, Series 2017-MTL6, Class C, 3.14% (1 Month USD LIBOR + 140 bps), 8/15/34 (144A)
 9,703,957
 5,220,000(b) 
MTRO Commercial Mortgage Trust, Series 2019-TECH, Class C, 3.04% (1 Month USD LIBOR + 130 bps), 12/15/33 (144A)
 5,206,934
 3,662,523(b) 
Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class MCR1, 4.115% (1 Month USD LIBOR + 235 bps), 6/15/35 (144A)
 3,658,713
 11,500,000(b) 
Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, Class B, 3.54% (1 Month USD LIBOR + 180 bps), 7/15/36 (144A)
 11,500,343
 342,845(b) 
NCUA Guaranteed Notes Trust, Series 2011-C1, Class 2A, 2.243% (1 Month USD LIBOR + 53 bps), 3/9/21
 342,612
 23,561,146(b) 
New Residential Mortgage Loan Trust, Series 2018-4A, Class A1S, 2.542% (1 Month USD LIBOR + 75 bps), 1/25/48 (144A)
 23,496,996
 2,168,363(d) 
Oaks Mortgage Trust, Series 2015-1, Class A9, 3.0%, 4/25/46 (144A)
 2,161,426
 15,314,818(b) 
Oaktown Re II, Ltd., Series 2018-1A, Class M1, 3.342% (1 Month USD LIBOR + 155 bps), 7/25/28 (144A)
 15,317,843
 3,620,000(b) 
Oaktown Re III, Ltd., Series 2019-1A, Class B1A, 5.292% (1 Month USD LIBOR + 350 bps), 7/25/29 (144A)
 3,709,546
 13,573,000(b) 
Oaktown Re III, Ltd., Series 2019-1A, Class M1B, 3.742% (1 Month USD LIBOR + 195 bps), 7/25/29 (144A)
 13,548,616
 21,011,478(b) 
OBX Trust, Series 2018-EXP2, Class 2A1A, 2.542% (1 Month USD LIBOR + 75 bps), 7/25/58 (144A)
 21,031,148
 9,972,449(b) 
OBX Trust, Series 2019-EXP1, Class 2A2, 2.942% (1 Month USD LIBOR + 115 bps), 1/25/59 (144A)
 9,952,235
 13,750,000(b) 
OBX Trust, Series 2019-EXP2, Class 2A1B, 2.692% (1 Month USD LIBOR + 90 bps), 6/25/59 (144A)
 13,630,997
 14,586,029(b) 
OBX Trust, Series 2019-EXP3, Class 2A1A, 2.692% (1 Month USD LIBOR + 90 bps), 10/25/59 (144A)
 14,559,505
 1,117,766(b) 
Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates, Series 2005-4, Class 1A2, 2.182% (1 Month USD LIBOR + 39 bps), 11/25/35
 1,123,124
 7,950,000(b) 
Pepper I-Prime Trust, Series 2018-2A, Class A1U2, 2.221% (1 Month USD LIBOR + 48 bps), 10/13/20 (144A)
 7,958,517
 6,144(b) 
Pepper Residential Securities Trust No. 17, Series 17A, Class A1UA, 2.815% (1 Month USD LIBOR + 110 bps), 3/10/58 (144A)
 6,144
 633,202(b) 
Pepper Residential Securities Trust No. 18, Series 18A, Class A1UA, 2.686% (1 Month USD LIBOR + 95 bps), 3/12/47 (144A)
 633,204
 Principal
Amount
USD ($)
   Value
   COLLATERALIZED MORTGAGE OBLIGATIONS - (continued)
 3,588,911(b) 
Pepper Residential Securities Trust No. 21, Series 21A, Class A1U, 2.62% (1 Month USD LIBOR + 88 bps), 1/16/60 (144A)
  $3,587,020
 7,806,010(b) 
Pepper Residential Securities Trust No. 22, Series 22A, Class A1U, 2.765% (1 Month USD LIBOR + 100 bps), 6/20/60 (144A)
 7,810,953
 12,007,231(b) 
Pepper Residential Securities Trust No. 25, Series 25A, Class A1U, 2.666% (1 Month USD LIBOR + 93 bps), 3/12/61 (144A)
 11,998,610
 7,250,000(b) 
Permanent Master Issuer Plc, Series 2018-1A, Class 1A1, 2.683% (3 Month USD LIBOR + 38 bps), 7/15/58 (144A)
 7,249,087
 5,000,000(b) 
Permanent Master Issuer Plc, Series 2019-1A, Class 1A1, 2.536% (3 Month USD LIBOR + 55 bps), 7/15/58 (144A)
 4,998,865
 8,464,537(b) 
Radnor Re, Ltd., Series 2018-1, Class M1, 3.192% (1 Month USD LIBOR + 140 bps), 3/25/28 (144A)
 8,464,531
 1,067,680(b) 
Radnor Re, Ltd., Series 2019-1, Class M1A, 3.042% (1 Month USD LIBOR + 125 bps), 2/25/29 (144A)
 1,067,301
 7,780,000(b) 
Radnor Re, Ltd., Series 2019-1, Class M1B, 3.742% (1 Month USD LIBOR + 195 bps), 2/25/29 (144A)
 7,770,515
 17,250,000(b) 
Radnor Re, Ltd., Series 2019-2, Class M1B, 3.542% (1 Month USD LIBOR + 175 bps), 6/25/29 (144A)
 17,270,414
 572(b) 
RALI Trust, Series 2002-QS16, Class A2, 2.258% (1 Month USD LIBOR + 55 bps), 3/31/20
 572
 2,169,113(b) 
RESI Finance LP, Series 2003-CB1, Class B3, 3.165% (1 Month USD LIBOR + 145 bps), 6/10/35 (144A)
 2,013,709
 6,399,497(b) 
Resimac MBS Trust, Series 2018-2A, Class A1A, 2.565% (1 Month USD LIBOR + 85 bps), 4/10/50 (144A)
 6,408,470
 1,822,887(b) 
Resimac Premier, Series 2017-1A, Class A1A, 2.668% (1 Month USD LIBOR + 95 bps), 9/11/48 (144A)
 1,821,529
 3,060,335(b) 
Resimac Premier, Series 2018-1A, Class A1, 2.515% (1 Month USD LIBOR + 80 bps), 11/10/49 (144A)
 3,051,751
 12,266,023(b) 
Resimac Premier, Series 2019-2A, Class A1, 2.665% (1 Month USD LIBOR + 95 bps), 2/10/51 (144A)
 12,252,886
 6,901,886(b) 
RETL, Series 2019-RVP, Class A, 2.89% (1 Month USD LIBOR + 115 bps), 3/15/36 (144A)
 6,906,167
 14,238,375(d) 
RMF Buyout Issuance Trust, Series 2019-1, Class A, 2.475%, 7/25/29 (144A)
 14,241,920
 4,500,000(d) 
RMF Buyout Issuance Trust, Series 2019-1, Class M2, 2.872%, 7/25/29 (144A)
 4,503,047
 5,243,349(b) 
Shelter Growth CRE Issuer, Ltd., Series 2018-FL1, Class A, 2.74% (1 Month USD LIBOR + 100 bps), 1/15/35 (144A)
 5,242,556
 3,808,000(b) 
Silverstone Master Issuer Plc, Series 2018-1A, Class 1A, 2.356% (3 Month USD LIBOR + 39 bps), 1/21/70 (144A)
 3,791,614
 4,575,000(b) 
Silverstone Master Issuer Plc, Series 2019-1A, Class 1A, 2.536% (3 Month USD LIBOR + 57 bps), 1/21/70 (144A)
 4,572,594
 7,055,034(b) 
SLIDE, Series 2018-FUN, Class B, 2.99% (1 Month USD LIBOR + 125 bps), 6/15/31 (144A)
 7,053,127
 4,917,754(b) 
STACR Trust, Series 2018-DNA3, Class M1, 2.542% (1 Month USD LIBOR + 75 bps), 9/25/48 (144A)
 4,919,746
 6,621,404(b) 
STACR Trust, Series 2018-HRP1, Class M2, 3.442% (1 Month USD LIBOR + 165 bps), 4/25/43 (144A)
 6,642,237
 717,915(b) 
STACR Trust, Series 2018-HRP1, Class M2A, 3.442% (1 Month USD LIBOR + 165 bps), 4/25/43 (144A)
 718,874
 5,520,000(b) 
STACR Trust, Series 2018-HRP2, Class M2, 3.042% (1 Month USD LIBOR + 125 bps), 2/25/47 (144A)
 5,528,682
 17,605,000(b) 
STACR Trust, Series 2018-HRP2, Class M3, 4.192% (1 Month USD LIBOR + 240 bps), 2/25/47 (144A)
 18,023,860
 7,500,000(b)��
Starwood Waypoint Homes Trust, Series 2017-1, Class B, 2.91% (1 Month USD LIBOR + 117 bps), 1/17/35 (144A)
 7,491,289
 7,233,404(b) 
Stonemont Portfolio Trust, Series 2017-MONT, Class B, 2.865% (1 Month USD LIBOR + 110 bps), 8/20/30 (144A)
 7,224,950
 2,257,157(d) 
Sutherland Commercial Mortgage Loans, Series 2017-SBC6, Class A, 3.192%, 5/25/37 (144A)
 2,234,562
 5,095,596(d) 
Sutherland Commercial Mortgage Loans, Series 2018-SBC7, Class A, 4.72%, 5/25/39 (144A)
 5,122,544
 4,374,433(b) 
Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class C, 3.06% (1 Month USD LIBOR + 135 bps), 11/11/34 (144A)
 4,371,976
 14,638,358(b) 
Towd Point HE Trust, Series 2019-HE1, Class A1, 2.692% (1 Month USD LIBOR + 90 bps), 4/25/48 (144A)
 14,624,369
 6,500,000(d) 
Verus Securitization Trust, Series 2018-1, Class B1, 3.801%, 1/25/58 (144A)
 6,523,849
 7,400,000(b) 
VMC Finance LLC, Series 2018-FL2, Class B, 3.087% (1 Month USD LIBOR + 135 bps), 10/15/35 (144A)
 7,381,485
 3,308,911(d) 
WaMu Commercial Mortgage Securities Trust, Series 2006-SL1, Class C, 3.745%, 11/23/43 (144A)
 3,325,015
 12,800,000(b) 
Wells Fargo Commercial Mortgage Trust, Series 2017-SMP, Class C, 2.94% (1 Month USD LIBOR + 120 bps), 12/15/34 (144A)
 12,779,158
 4,070,176(d) 
WinWater Mortgage Loan Trust, Series 2015-2, Class A5, 3.0%, 2/20/45 (144A)
 4,049,829
 Principal
Amount
USD ($)
   Value
   COLLATERALIZED MORTGAGE OBLIGATIONS - (continued)
 17,500,000(b) 
XCAL Mortgage Trust, Series 2019-1, Class A, 4.4% (1 Month USD LIBOR + 225 bps), 11/6/21 (144A)
  $17,498,028
   TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS 
   
(Cost $1,799,608,179)
$1,797,242,993
   CORPORATE BONDS - 16.9% of Net Assets
   
Aerospace & Defense - 0.0%†
 
 2,423,000(b) 
United Technologies Corp., 2.554% (3 Month USD LIBOR + 65 bps), 8/16/21
$2,423,311
   Total Aerospace & Defense $2,423,311
   
Agriculture - 0.2%
 
 13,812,000(b) 
BAT Capital Corp., 2.499% (3 Month USD LIBOR + 59 bps), 8/14/20
$13,836,032
 1,180,000 
Reynolds American, Inc., 3.25%, 6/12/20
1,185,371
   Total Agriculture $15,021,403
   
Auto Manufacturers - 1.3%
 
 4,275,000(b) 
American Honda Finance Corp., 2.111% (3 Month USD LIBOR + 21 bps), 2/12/21
$4,277,216
 8,833,000(b) 
American Honda Finance Corp., 2.154% (3 Month USD LIBOR + 26 bps), 6/16/20
 8,837,524
 2,000,000(b) 
American Honda Finance Corp., 2.249% (3 Month USD LIBOR + 34 bps), 2/14/20
 2,000,924
 2,850,000(b) 
American Honda Finance Corp., 2.487% (3 Month USD LIBOR + 54 bps), 6/27/22
 2,864,710
 7,500,000(b) 
BMW US Capital LLC, 2.279% (3 Month USD LIBOR + 37 bps), 8/14/20 (144A)
 7,509,511
 2,015,000(b) 
Ford Motor Credit Co. LLC, 2.881% (3 Month USD LIBOR + 88 bps), 10/12/21
 1,997,711
 2,980,000(b) 
Ford Motor Credit Co. LLC, 3.012% (3 Month USD LIBOR + 100 bps), 1/9/20
 2,980,417
 6,214,000(b) 
General Motors Co., 2.694% (3 Month USD LIBOR + 80 bps), 8/7/20
 6,223,031
 1,970,000(b) 
Nissan Motor Acceptance Corp., 2.351% (3 Month USD LIBOR + 39 bps), 9/28/20 (144A)
 1,970,616
 3,530,000(b) 
Nissan Motor Acceptance Corp., 2.391% (3 Month USD LIBOR + 39 bps), 7/13/20 (144A)
 3,531,254
 6,750,000(b) 
Nissan Motor Acceptance Corp., 2.414% (3 Month USD LIBOR + 52 bps), 3/15/21 (144A)
 6,750,922
 6,020,000 
Nissan Motor Acceptance Corp., 2.55%, 3/8/21 (144A)
 6,034,864
 8,889,000(b) 
PACCAR Financial Corp., 2.161% (3 Month USD LIBOR + 26 bps), 5/10/21
 8,899,994
 5,950,000(b) 
Toyota Motor Credit Corp., 2.069% (3 Month USD LIBOR + 17 bps), 9/18/20
 5,953,530
 3,000,000(b) 
Toyota Motor Credit Corp., 2.257% (3 Month USD LIBOR + 37 bps), 3/12/20
 3,002,125
 5,487,000(b) 
Toyota Motor Credit Corp., 2.262% (3 Month USD LIBOR + 26 bps), 4/17/20
 5,491,414
 8,725,000(b) 
Volkswagen Group of America Finance LLC, 2.795% (3 Month USD LIBOR + 86 bps), 9/24/21 (144A)
 8,786,035
 5,550,000(b) 
Volkswagen Group of America Finance LLC, 2.841% (3 Month USD LIBOR + 94 bps), 11/12/21 (144A)
 5,598,334
   Total Auto Manufacturers $92,710,132
   
Banks - 8.2%
 
 17,388,000 
ABN AMRO Bank NV, 2.45%, 6/4/20 (144A)
$17,414,708
 14,585,000(b) 
Bank of America Corp., 2.626% (3 Month USD LIBOR + 66 bps), 7/21/21
 14,621,366
 3,100,000(b) 
Bank of America Corp., 3.126% (3 Month USD LIBOR + 116 bps), 1/20/23
 3,144,928
 2,082,000(b) 
Bank of America Corp., 3.386% (3 Month USD LIBOR + 142 bps), 4/19/21
 2,114,751
 4,214,000(b) 
Bank of Montreal, 2.334% (3 Month USD LIBOR + 44 bps), 6/15/20
 4,220,868
 2,820,000(b) 
Bank of Montreal, 2.341% (3 Month USD LIBOR + 34 bps), 7/13/20
 2,823,925
 1,000,000 
Bank of New York Mellon Corp., 2.6%, 8/17/20
 1,004,041
 15,811,000(b) 
Bank of Nova Scotia, 2.406% (3 Month USD LIBOR + 44 bps), 4/20/21
 15,863,438
 10,699,000 
Banque Federative du Credit Mutuel SA, 2.2%, 7/20/20 (144A)
 10,708,537
 8,050,000(b) 
Banque Federative du Credit Mutuel SA, 2.456% (3 Month USD LIBOR + 49 bps), 7/20/20 (144A)
 8,064,066
 6,210,000(b) 
Banque Federative du Credit Mutuel SA, 2.696% (3 Month USD LIBOR + 73 bps), 7/20/22 (144A)
 6,246,398
 9,510,000(b) 
Barclays Plc, 3.34% (3 Month USD LIBOR + 143 bps), 2/15/23
 9,586,708
 3,827,000(b) 
Barclays Plc, 4.011% (3 Month USD LIBOR + 211 bps), 8/10/21
 3,917,614
 2,526,000(b) 
BNP Paribas SA, 2.284% (3 Month USD LIBOR + 39 bps), 8/7/21 (144A)
 2,532,098
 9,140,000 
BNP Paribas SA, 2.375%, 5/21/20
 9,152,374
 13,061,000(b) 
BPCE SA, 3.119% (3 Month USD LIBOR + 122 bps), 5/22/22 (144A)
 13,246,284
 4,450,000(b) 
Citibank NA, 2.229% (3 Month USD LIBOR + 32 bps), 5/1/20
 4,452,928
 5,765,000(b) 
Citibank NA, 2.504% (3 Month USD LIBOR + 57 bps), 7/23/21
 5,789,596
 2,975,000 
Citigroup, Inc., 2.65%, 10/26/20
 2,991,238
 11,345,000(b) 
Citizens Bank NA, 2.447% (3 Month USD LIBOR + 54 bps), 3/2/20
 11,349,825
 4,410,000(b) 
Citizens Bank NA, 2.487% (3 Month USD LIBOR + 57 bps), 5/26/20
 4,417,564
 1,675,000(b) 
Citizens Bank NA, 2.727% (3 Month USD LIBOR + 81 bps), 5/26/22
 1,688,996
 9,820,000(b) 
Cooperatieve Rabobank UA, 2.366% (3 Month USD LIBOR + 43 bps), 4/26/21
 9,853,810
 10,490,000 
Credit Suisse Group Funding Guernsey, Ltd., 2.75%, 3/26/20
 10,502,993
 640,000 
Credit Suisse Group Funding Guernsey, Ltd., 3.125%, 12/10/20
   645,705
 5,015,000 
Discover Bank, 3.1%, 6/4/20
 5,033,667
 14,546,000(b) 
DNB Bank ASA, 2.279% (3 Month USD LIBOR + 37 bps), 10/2/20 (144A)
 14,570,144
 6,400,000(b) 
DNB Bank ASA, 2.527% (3 Month USD LIBOR + 62 bps), 12/2/22 (144A)
 6,431,198
 6,198,000 
Federation des Caisses Desjardins du Quebec, 2.25%, 10/30/20 (144A)
 6,212,744
 8,505,000(b) 
Federation des Caisses Desjardins du Quebec, 2.266% (3 Month USD LIBOR + 33 bps), 10/30/20 (144A)
 8,520,760
 4,005,000(b) 
Fifth Third Bank, 2.186% (3 Month USD LIBOR + 25 bps), 10/30/20
 4,007,932
 6,250,000(b) 
Fifth Third Bank, 2.376% (3 Month USD LIBOR + 44 bps), 7/26/21
 6,270,869
 2,995,000(b) 
Goldman Sachs Group, Inc., 3.094% (3 Month USD LIBOR + 120 bps), 9/15/20
 3,014,184
 8,535,000(b) 
Goldman Sachs Group, Inc., 3.3% (3 Month USD LIBOR + 136 bps), 4/23/21
 8,647,233
 6,770,000(b) 
HSBC Holdings Plc, 2.504% (3 Month USD LIBOR + 60 bps), 5/18/21
 6,776,893
 8,180,000(b) 
HSBC Holdings Plc, 2.537% (3 Month USD LIBOR + 65 bps), 9/11/21
 8,197,912
 3,072,000(b) 
HSBC Holdings Plc, 3.543% (3 Month USD LIBOR + 150 bps), 1/5/22
 3,132,809
 700,000(b) 
ING Bank NV, 2.874% (3 Month USD LIBOR + 97 bps), 8/17/20 (144A)
   703,637
 8,708,000(b) 
JPMorgan Chase & Co., 2.435% (3 Month USD LIBOR + 55 bps), 3/9/21
 8,709,187
 Principal
Amount
USD ($)
   Value
   Banks - (continued) 
 5,885,000(b) 
JPMorgan Chase Bank NA, 2.276% (3 Month USD LIBOR + 34 bps), 4/26/21
$5,888,105
 2,905,000(b) 
KeyBank NA, 2.569% (3 Month USD LIBOR + 66 bps), 2/1/22
 2,925,103
 16,177,000(b) 
Lloyds Bank Plc, 2.384% (3 Month USD LIBOR + 49 bps), 5/7/21
 16,229,652
 8,000,000(b) 
Macquarie Bank, Ltd., 2.358% (3 Month USD LIBOR + 45 bps), 8/6/21 (144A)
 8,003,666
 6,005,000(b) 
Mitsubishi UFJ Financial Group, Inc., 2.585% (3 Month USD LIBOR + 70 bps), 3/7/22
 6,029,538
 12,345,000(b) 
Mitsubishi UFJ Financial Group, Inc., 2.586% (3 Month USD LIBOR + 65 bps), 7/26/21
 12,399,098
 3,735,000(b) 
Mitsubishi UFJ Financial Group, Inc., 2.73% (3 Month USD LIBOR + 79 bps), 7/25/22
 3,758,431
 5,075,000 
Mizuho Financial Group, Inc., 2.273%, 9/13/21
 5,095,813
 12,195,000(b) 
Mizuho Financial Group, Inc., 2.854% (3 Month USD LIBOR + 94 bps), 2/28/22
 12,299,868
 9,345,000(b) 
Morgan Stanley, 2.372% (SOFRRATE + 83 bps), 6/10/22
 9,398,606
 12,465,000(b) 
Morgan Stanley, 2.883% (3 Month USD LIBOR + 93 bps), 7/22/22
 12,582,981
 5,242,000(b) 
Nordea Bank Abp, 2.384% (3 Month USD LIBOR + 47 bps), 5/29/20 (144A)
 5,250,626
 2,265,000 
Nordea Bank Abp, 2.5%, 9/17/20 (144A)
 2,275,261
 9,220,000 
PNC Bank NA, 2.3%, 6/1/20
 9,231,976
 6,000,000(b) 
PNC Bank NA, 2.403% (3 Month USD LIBOR + 45 bps), 7/22/22
 6,009,922
 3,960,000(b) 
Royal Bank of Canada, 2.176% (3 Month USD LIBOR + 24 bps), 10/26/20
 3,964,978
 12,295,000(b) 
Royal Bank of Canada, 2.287% (3 Month USD LIBOR + 38 bps), 3/2/20
 12,301,796
 3,000,000(b) 
Royal Bank of Canada, 2.398% (3 Month USD LIBOR + 47 bps), 4/29/22
 3,014,834
 5,435,000(b) 
Skandinaviska Enskilda Banken AB, 2.334% (3 Month USD LIBOR + 43 bps), 5/17/21 (144A)
 5,446,794
 9,300,000(b) 
Skandinaviska Enskilda Banken AB, 2.532% (3 Month USD LIBOR + 65 bps), 12/12/22 (144A)
 9,327,761
 3,779,000(b) 
State Street Corp., 2.804% (3 Month USD LIBOR + 90 bps), 8/18/20
 3,798,697
 5,020,000(b) 
Sumitomo Mitsui Banking Corp., 2.352% (3 Month USD LIBOR + 35 bps), 1/17/20
 5,020,979
 3,150,000(b) 
Sumitomo Mitsui Banking Corp., 2.371% (3 Month USD LIBOR + 37 bps), 10/16/20
 3,155,478
 12,840,000(b) 
Sumitomo Mitsui Financial Group, Inc., 2.781% (3 Month USD LIBOR + 78 bps), 7/12/22
 12,914,630
 6,265,000 
Svenska Handelsbanken AB, 1.95%, 9/8/20
 6,262,129
 5,700,000(b) 
Svenska Handelsbanken AB, 2.245% (3 Month USD LIBOR + 36 bps), 9/8/20
 5,708,943
 11,387,000(b) 
Toronto-Dominion Bank, 2.16% (3 Month USD LIBOR + 26 bps), 9/17/20
 11,402,773
 6,200,000(b) 
Toronto-Dominion Bank, 2.437% (3 Month USD LIBOR + 53 bps), 12/1/22
 6,234,222
 1,000,000(b) 
Toronto-Dominion Bank, 2.606% (3 Month USD LIBOR + 64 bps), 7/19/23
 1,008,183
 6,950,000(b) 
Truist Bank, 2.494% (3 Month USD LIBOR + 59 bps), 5/17/22
 6,983,224
 3,970,000(b) 
Truist Financial Corp., 2.129% (3 Month USD LIBOR + 22 bps), 2/1/21
 3,969,384
 4,849,000(b) 
UBS AG, 2.387% (3 Month USD LIBOR + 48 bps), 12/1/20 (144A)
 4,861,365
 3,960,000(b) 
US Bank NA, 2.074% (3 Month USD LIBOR + 14 bps), 10/23/20
 3,961,645
 9,195,000(b) 
US Bank NA, 2.212% (3 Month USD LIBOR + 31 bps), 2/4/21
 9,210,958
 4,450,000(b) 
US Bank NA, 2.256% (3 Month USD LIBOR + 32 bps), 4/26/21
 4,460,792
 3,795,000(b) 
Wells Fargo & Co., 2.616% (3 Month USD LIBOR + 68 bps), 1/30/20
 3,797,107
 3,125,000(b) 
Wells Fargo & Co., 3.046% (3 Month USD LIBOR + 111 bps), 1/24/23
 3,165,787
 4,450,000(b) 
Wells Fargo & Co., 3.24% (3 Month USD LIBOR + 134 bps), 3/4/21
 4,504,649
 3,224,000(b) 
Wells Fargo Bank NA, 2.231% (3 Month USD LIBOR + 23 bps), 1/15/20
 3,224,486
 6,000,000(b) 
Wells Fargo Bank NA, 2.539% (3 Month USD LIBOR + 62 bps), 5/27/22
 6,025,759
   Total Banks $527,689,927
   
Biotechnology - 0.2%
 
 14,510,000(b) 
Amgen, Inc., 2.351% (3 Month USD LIBOR + 45 bps), 5/11/20
$14,528,589
   Total Biotechnology $14,528,589
   
Chemicals - 0.5%
 
 13,788,000(b) 
Albemarle Corp., 2.941% (3 Month USD LIBOR + 105 bps), 11/15/22 (144A)
$13,813,575
 6,435,000 
DowDuPont, Inc., 3.766%, 11/15/20
 6,524,182
 15,830,000(b) 
DuPont de Nemours, Inc., 2.62% (3 Month USD LIBOR + 71 bps), 11/15/20
 15,897,958
   Total Chemicals $36,235,715
   
Diversified Financial Services - 1.0%
 
 7,510,000(b) 
AIG Global Funding, 2.389% (3 Month USD LIBOR + 48 bps), 7/2/20 (144A)
$7,523,848
 19,388,000(b) 
American Express Co., 2.266% (3 Month USD LIBOR + 33 bps), 10/30/20
 19,413,704
 1,855,000(b) 
American Express Co., 2.519% (3 Month USD LIBOR + 61 bps), 8/1/22
 1,864,980
 5,880,000(b) 
American Express Credit Corp., 2.336% (3 Month USD LIBOR + 43 bps), 3/3/20
 5,881,951
 4,005,000(b) 
Capital One Financial Corp., 2.386% (3 Month USD LIBOR + 45 bps), 10/30/20
 4,013,069
 15,850,000(b) 
Capital One Financial Corp., 2.656% (3 Month USD LIBOR + 72 bps), 1/30/23
 15,865,822
 12,910,000(b) 
Charles Schwab Corp., 2.215% (3 Month USD LIBOR + 32 bps), 5/21/21
 12,921,309
   Total Diversified Financial Services $67,484,683
   
Electric - 0.3%
 
 2,085,000 
American Electric Power Co., Inc., 2.15%, 11/13/20
$2,089,080
 6,923,000 
Dominion Energy, Inc., 2.579%, 7/1/20
 6,937,396
 7,460,000(b) 
Duke Energy Corp., 2.409% (3 Month USD LIBOR + 50 bps), 5/14/21 (144A)
 7,487,340
 4,967,000(b) 
Duke Energy Progress LLC, 2.065% (3 Month USD LIBOR + 18 bps), 9/8/20
 4,969,600
   Total Electric $21,483,416
   
Electronics - 0.2%
 
 3,784,000 
Amphenol Corp., 2.2%, 4/1/20
$3,784,489
 6,351,000(b) 
Honeywell International, Inc., 2.274% (3 Month USD LIBOR + 37 bps), 8/8/22
 6,386,207
   Total Electronics $10,170,696
   
Food - 0.0%†
 
 2,795,000(b) 
Conagra Brands, Inc., 2.703% (3 Month USD LIBOR + 75 bps), 10/22/20
$2,795,253
 900,000(b) 
Tyson Foods, Inc., 2.457% (3 Month USD LIBOR + 55 bps), 6/2/20
   901,195
   Total Food $3,696,448
   
Gas - 0.1%
 
 6,225,000(b) 
Dominion Energy Gas Holdings LLC, 2.494% (3 Month USD LIBOR + 60 bps), 6/15/21
$6,249,444
   Total Gas $6,249,444
 Principal
Amount
USD ($)
   Value
   
Healthcare-Products - 0.0%†
 
 2,680,000(b) 
Medtronic, Inc., 2.694% (3 Month USD LIBOR + 80 bps), 3/15/20
$2,683,796
   Total Healthcare-Products $2,683,796
   
Healthcare-Services - 0.1%
 
 5,945,000(b) 
UnitedHealth Group, Inc., 2.071% (3 Month USD LIBOR + 7 bps), 10/15/20
$5,941,058
 890,000 
UnitedHealth Group, Inc., 2.7%, 7/15/20
893,702
   Total Healthcare-Services $6,834,760
   
Insurance - 0.8%
 
 6,440,000(b) 
Allstate Corp., 2.391% (3 Month USD LIBOR + 43 bps), 3/29/21
$6,455,106
 1 
Ambac Assurance Corp., 5.1%, 6/7/20 (144A)
   1
 3(b) 
Ambac LSNI LLC, 6.945% (3 Month USD LIBOR + 500 bps), 2/12/23 (144A)
   3
 6,040,000 
Metropolitan Life Global Funding I, 2.05%, 6/12/20 (144A)
 6,043,549
 5,090,000(b) 
Metropolitan Life Global Funding I, 2.287% (3 Month USD LIBOR + 40 bps), 6/12/20 (144A)
 5,097,690
 6,190,000 
Metropolitan Life Global Funding I, 2.4%, 1/8/21 (144A)
 6,220,617
 9,215,000(b) 
New York Life Global Funding, 2.216% (3 Month USD LIBOR + 28 bps), 1/28/21 (144A)
 9,232,945
 4,531,000(b) 
New York Life Global Funding, 2.228% (3 Month USD LIBOR + 32 bps), 8/6/21 (144A)
 4,543,035
 2,211,000(b) 
New York Life Global Funding, 2.282% (3 Month USD LIBOR + 27 bps), 4/9/20 (144A)
 2,213,054
 2,982,000 
Principal Life Global Funding II, 2.2%, 4/8/20 (144A)
 2,983,624
 4,185,000 
Protective Life Global Funding, 2.161%, 9/25/20 (144A)
 4,191,182
 4,765,000(b) 
Protective Life Global Funding, 2.481% (3 Month USD LIBOR + 52 bps), 6/28/21 (144A)
 4,786,811
   Total Insurance $51,767,617
   
Machinery-Construction & Mining - 0.4%
 
 5,495,000(b) 
Caterpillar Financial Services Corp., 2.09% (3 Month USD LIBOR + 18 bps), 5/15/20
$5,497,913
 4,480,000(b) 
Caterpillar Financial Services Corp., 2.124% (3 Month USD LIBOR + 23 bps), 3/15/21
 4,481,319
 2,600,000(b) 
Caterpillar Financial Services Corp., 2.165% (3 Month USD LIBOR + 28 bps), 9/7/21
 2,600,598
 4,597,000(b) 
Caterpillar Financial Services Corp., 2.294% (3 Month USD LIBOR + 39 bps), 5/17/21
 4,610,550
 8,620,000 
Caterpillar Financial Services Corp., 2.95%, 5/15/20
 8,652,827
   Total Machinery-Construction & Mining $25,843,207
   
Machinery-Diversified - 0.4%
 
 7,295,000(b) 
John Deere Capital Corp., 2.151% (3 Month USD LIBOR + 26 bps), 9/10/21
$7,302,873
 5,512,000(b) 
John Deere Capital Corp., 2.265% (3 Month USD LIBOR + 38 bps), 3/7/22
 5,521,386
 4,500,000(b) 
John Deere Capital Corp., 2.285% (3 Month USD LIBOR + 40 bps), 6/7/21
 4,516,051
 3,000,000(b) 
John Deere Capital Corp., 2.43% (3 Month USD LIBOR + 42 bps), 7/10/20
 3,005,423
   Total Machinery-Diversified $20,345,733
   
Media - 0.3%
 
 8,000,000(b) 
Comcast Corp., 2.239% (3 Month USD LIBOR + 33 bps), 10/1/20
$8,013,776
 11,499,000(b) 
NBCUniversal Enterprise, Inc., 2.309% (3 Month USD LIBOR + 40 bps), 4/1/21 (144A)
 11,527,754
   Total Media $19,541,530
   
Oil & Gas - 0.7%
 
 5,685,000 
BP Capital Markets Plc, 2.315%, 2/13/20
$5,686,291
 5,766,000(b) 
BP Capital Markets Plc, 2.764% (3 Month USD LIBOR + 87 bps), 9/16/21
 5,829,333
 3,115,000(b) 
Chevron Corp., 2.116% (3 Month USD LIBOR + 21 bps), 3/3/20
 3,115,639
 2,295,000(b) 
Chevron Corp., 2.436% (3 Month USD LIBOR + 53 bps), 3/3/22
 2,313,036
 3,652,000(b) 
Chevron Corp., 2.854% (3 Month USD LIBOR + 95 bps), 5/16/21
 3,694,939
 10,913,000(b) 
Exxon Mobil Corp., 2.234% (3 Month USD LIBOR + 33 bps), 8/16/22
 10,963,935
 8,710,000(b) 
Phillips 66, 2.517% (3 Month USD LIBOR + 60 bps), 2/26/21
 8,710,521
 5,345,000 
Total Capital SA, 4.45%, 6/24/20
 5,407,976
   Total Oil & Gas $45,721,670
   
Pharmaceuticals - 1.2%
 
 17,275,000 
AbbVie, Inc., 2.5%, 5/14/20
$17,300,955
 7,636,000(b) 
AbbVie, Inc., 2.545% (3 Month USD LIBOR + 65 bps), 11/21/22 (144A)
 7,673,770
 4,670,000(b) 
Bayer US Finance II LLC, 2.577% (3 Month USD LIBOR + 63 bps), 6/25/21 (144A)
 4,684,736
 5,800,000 
Becton Dickinson & Co., 2.404%, 6/5/20
 5,806,167
 2,990,000(b) 
Becton Dickinson & Co., 2.836% (3 Month USD LIBOR + 88 bps), 12/29/20
 2,991,469
 6,000,000(b) 
Becton Dickinson & Co., 2.917% (3 Month USD LIBOR + 103 bps), 6/6/22
 6,044,173
 9,125,000 
Bristol-Myers Squibb Co., 2.875%, 8/15/20
 9,176,126
 6,730,000(b) 
Cigna Corp., 2.55% (3 Month USD LIBOR + 65 bps), 9/17/21
 6,730,377
 1,555,000(b) 
CVS Health Corp., 2.515% (3 Month USD LIBOR + 63 bps), 3/9/20
 1,556,233
 11,060,000(b) 
Zoetis, Inc., 2.339% (3 Month USD LIBOR + 44 bps), 8/20/21
 11,069,806
   Total Pharmaceuticals $73,033,812
   
Pipelines - 0.4%
 
 15,605,000(b) 
MPLX LP, 2.985% (3 Month USD LIBOR + 110 bps), 9/9/22
$15,667,355
 15,900,000(b) 
Spectra Energy Partners LP, 2.592% (3 Month USD LIBOR + 70 bps), 6/5/20
 15,927,984
   Total Pipelines $31,595,339
   
Retail - 0.1%
 
 4,517,000(b) 
Home Depot, Inc., 2.042% (3 Month USD LIBOR + 15 bps), 6/5/20
$4,520,760
   Total Retail $4,520,760
   
Savings & Loans - 0.0%†
 
 962,000 
Nationwide Building Society, 2.35%, 1/21/20 (144A)
$962,109
   Total Savings & Loans $962,109
   
Semiconductors - 0.1%
 
 8,637,000 
Broadcom Corp./Broadcom Cayman Finance, Ltd., 2.2%, 1/15/21
$8,643,629
 1,009,000 
Broadcom Corp./Broadcom Cayman Finance, Ltd., 2.375%, 1/15/20
 1,009,045
   Total Semiconductors $9,652,674
   
Telecommunications - 0.1%
 
 6,249,000(b) 
AT&T, Inc., 2.891% (3 Month USD LIBOR + 93 bps), 6/30/20
$6,271,173
 2,885,000 
Deutsche Telekom International Finance BV, 2.225%, 1/17/20 (144A)
 2,885,160
 Principal
Amount
USD ($)
   Value
   Telecommunications - (continued) 
 2,990,000(b) 
Deutsche Telekom International Finance BV, 2.582% (3 Month USD LIBOR + 58 bps), 1/17/20 (144A)
$2,990,746
   Total Telecommunications $12,147,079
   
Transportation - 0.1%
 
 4,524,000 
Union Pacific Corp., 1.8%, 2/1/20
$4,523,608
   Total Transportation $4,523,608
   
Trucking & Leasing - 0.2%
 
 1,400,000(b) 
Aviation Capital Group LLC, 2.606% (3 Month USD LIBOR + 67 bps), 7/30/21 (144A)
$1,399,972
 4,854,000 
GATX Corp., 2.6%, 3/30/20
 4,856,920
 5,010,000(b) 
GATX Corp., 2.611% (3 Month USD LIBOR + 72 bps), 11/5/21
 5,031,444
   Total Trucking & Leasing $11,288,336
   TOTAL CORPORATE BONDS 
   
(Cost $1,117,188,299)
$1,118,155,794
   FOREIGN GOVERNMENT BONDS - 1.0% of Net Assets
   
United States - 1.0%
 
 1,490,000(b) 
Federal Home Loan Banks, 1.58% (SOFRRATE + 4 bps), 8/25/20
$1,489,830
 12,000,000(b) 
Federal Home Loan Banks, 1.625% (SOFRRATE + 9 bps), 9/10/21
 11,994,157
 10,320,000(b) 
Federal Home Loan Banks, 1.64% (SOFRRATE + 10 bps), 12/23/20
 10,318,961
 14,900,000(b) 
Federal Home Loan Banks, 1.955% (1 Month USD LIBOR + 15 bps), 9/28/20
 14,921,013
 15,175,000(b) 
Federal Home Loan Mortgage Corp., 1.57% (SOFRRATE + 3 bps), 6/2/20
 15,173,304
 14,455,000(b) 
Federal National Mortgage Association, 1.7% (SOFRRATE + 16 bps), 1/30/20
 14,455,619
   Total United States $68,352,884
   TOTAL FOREIGN GOVERNMENT BONDS 
   
(Cost $68,367,776)
$68,352,884
   INSURANCE-LINKED SECURITIES - 3.3% of Net Assets(e)
   
Event Linked Bonds - 1.9%
 
   Earthquakes - California - 0.2%  
 3,750,000(b) 
Ursa Re, 5.046% (3 Month U.S. Treasury Bill + 350 bps), 5/27/20 (144A)
$3,708,375
 1,600,000(b) 
Ursa Re, 5.626% (3 Month U.S. Treasury Bill + 408 bps), 12/10/20 (144A)
 1,589,120
 750,000(b) 
Ursa Re, 6.786% (3 Month U.S. Treasury Bill + 524 bps), 9/24/21 (144A)
   724,650
 1,500,000(b) 
Ursa Re, 7.296% (3 Month U.S. Treasury Bill + 575 bps), 12/10/22 (144A)
 1,501,500
    $7,523,645
   Earthquakes - Chile - 0.0%†  
 1,800,000(b) 
International Bank for Reconstruction & Development, 4.21% (3 Month USD LIBOR + 250 bps), 2/15/21 (144A)
$1,771,920
   Earthquakes - Colombia - 0.0%†  
 1,300,000(b) 
International Bank for Reconstruction & Development, 4.71% (3 Month USD LIBOR + 300 bps), 2/15/21 (144A)
$1,289,990
   Earthquakes - Japan - 0.1%  
 500,000(b) 
Kizuna Re II, 3.419% (3 Month U.S. Treasury Bill + 188 bps), 4/11/23 (144A)
$494,050
 2,500,000(b) 
Nakama Re, 3.805% (6 Month USD LIBOR + 220 bps), 10/13/21 (144A)
 2,483,750
 2,500,000(b) 
Nakama Re, 3.939% (3 Month USD LIBOR + 200 bps), 4/13/23 (144A)
 2,464,750
    $5,442,550
   Earthquakes - Mexico - 0.0%†  
 1,400,000(b) 
International Bank for Reconstruction & Development, 4.21% (3 Month USD LIBOR + 250 bps), 2/14/20 (144A)
$1,393,560
   Earthquakes - Peru - 0.0%†  
 700,000(b) 
International Bank for Reconstruction & Development, 7.71% (3 Month USD LIBOR + 600 bps), 2/15/21 (144A)
$689,780
   Earthquakes - U.S. - 0.1%  
 4,000,000(b) 
Acorn Re, 4.551% (3 Month USD LIBOR + 275 bps), 11/10/21 (144A)
$3,946,800
   Earthquakes - U.S. Regional - 0.0%†  
 500,000(b) 
Merna Re, 3.544% (3 Month U.S. Treasury Bill + 200 bps), 4/8/21 (144A)
$498,550
   Health - U.S. - 0.1%  
 2,000,000(b) 
Vitality Re VII, 3.696% (3 Month U.S. Treasury Bill + 215 bps), 1/7/20 (144A)
$1,999,600
 1,000,000(b) 
Vitality Re VII, 4.196% (3 Month U.S. Treasury Bill + 265 bps), 1/7/20 (144A)
   999,800
    $2,999,400
   Inland Flood - U.S. - 0.0%†  
 500,000(b) 
FloodSmart Re, 12.794% (3 Month U.S. Treasury Bill + 1,125 bps), 3/7/22 (144A)
$499,750
   Multiperil - Japan - 0.0%†  
 250,000(b) 
Akibare Re, 3.989% (3 Month USD LIBOR + 190 bps), 4/7/22 (144A)
$221,875
 500,000(b) 
Akibare Re, 3.989% (3 Month USD LIBOR + 190 bps), 4/7/22 (144A)
   444,750
    $666,625
   Multiperil - U.S. - 0.7%  
 4,500,000(b) 
Bowline Re, 6.046% (3 Month U.S. Treasury Bill + 450 bps), 5/23/22 (144A)
$4,442,850
 2,250,000(b) 
Caelus Re IV, 6.794% (3 Month U.S. Treasury Bill + 525 bps), 3/6/20 (144A)
 2,258,100
 1,250,000(b) 
Caelus Re V, 2.044% (1 Month U.S. Treasury Bill + 50 bps), 6/5/20 (144A)
   512,500
 1,000,000(b) 
Caelus Re V, 4.674% (3 Month U.S. Treasury Bill + 313 bps), 6/5/20 (144A)
   979,300
 500,000(b) 
Caelus Re V, 5.474% (3 Month U.S. Treasury Bill + 393 bps), 6/7/21 (144A)
   471,050
 750,000(b) 
Caelus Re V, 6.184% (3 Month U.S. Treasury Bill + 464 bps), 6/7/21 (144A)
   689,325
 500,000(b) 
Fortius Re II, 5.221% (6 Month USD LIBOR + 342 bps), 7/7/21 (144A)
   500,000
 4,350,000(b) 
Kilimanjaro Re, 6.783% (3 Month USD LIBOR + 494 bps), 5/6/22 (144A)
 4,280,400
 Principal
Amount
USD ($)
   Value
   Multiperil - U.S. - (continued)  
 3,000,000(b) 
Kilimanjaro II Re, 7.909% (6 Month USD LIBOR + 630 bps), 4/20/21 (144A)
 $2,970,000
 500,000(b) 
Kilimanjaro II Re, 7.929% (6 Month USD LIBOR + 630 bps), 4/21/22 (144A)
   495,000
 1,700,000(b) 
Kilimanjaro II Re, 9.539% (6 Month USD LIBOR + 791 bps), 4/21/22 (144A)
1,675,350
 1,000,000(b) 
Northshore Re II, 9.074% (3 Month U.S. Treasury Bill + 753 bps), 7/6/20 (144A)
 1,004,200
 2,000,000+(b) 
Panthera Re, 5.044% (3 Month U.S. Treasury Bill + 350 bps), 3/9/20 (144A)
 2,028,600
 2,350,000(b) 
Residential Reinsurance 2016, 5.514% (3 Month U.S. Treasury Bill + 397 bps), 12/6/20 (144A)
 2,327,440
 2,100,000(b) 
Residential Reinsurance 2017, 4.714% (3 Month U.S. Treasury Bill + 317 bps), 6/6/21 (144A)
 2,089,920
 2,900,000(b) 
Residential Reinsurance 2017, 7.304% (3 Month U.S. Treasury Bill + 576 bps), 12/6/21 (144A)
 2,838,520
 1,250,000(b) 
Residential Reinsurance 2018, 4.794% (3 Month U.S. Treasury Bill + 325 bps), 6/6/22 (144A)
 1,228,500
 500,000(b) 
Residential Reinsurance 2019, 6.044% (3 Month U.S. Treasury Bill + 450 bps), 6/6/23 (144A)
   500,600
 1,300,000(b) 
Sanders Re, 4.591% (6 Month USD LIBOR + 299 bps), 12/6/21 (144A)
 1,269,320
 2,500,000(b) 
Skyline Re, 4.044% (3 Month U.S. Treasury Bill + 250 bps), 1/6/20 (144A)
 2,487,500
 3,350,000(b) 
Tailwind Re, 8.514% (3 Month U.S. Treasury Bill + 697 bps), 1/8/22 (144A)
 3,358,375
    $38,406,850
   Multiperil - U.S. Regional - 0.1%  
 4,000,000(b) 
Long Point Re III, 4.294% (3 Month U.S. Treasury Bill + 275 bps), 6/1/22 (144A)
$3,961,200
 2,600,000(b) 
MetroCat Re, 5.244% (3 Month U.S. Treasury Bill + 370 bps), 5/8/20 (144A)
 2,620,020
    $6,581,220
   Multiperil - U.S. & Canada - 0.0%†  
 2,500,000(b) 
Kilimanjaro III Re, 11.044% (3 Month U.S. Treasury Bill + 950 bps), 12/19/23 (144A)
$2,496,250
 500,000(b) 
Mona Lisa Re, (3 Month U.S. Treasury Bill + 750 bps), 1/9/23
500,000
    $2,996,250
   Multiperil - Worldwide - 0.2%  
 1,250,000(b) 
Galilei Re, 6.421% (6 Month USD LIBOR + 479 bps), 1/8/21 (144A)
$1,245,500
 3,300,000(b) 
Galilei Re, 6.651% (6 Month USD LIBOR + 479 bps), 1/8/20 (144A)
 3,299,670
 2,300,000(b) 
Galilei Re, 7.231% (6 Month USD LIBOR + 560 bps), 1/8/21 (144A)
 2,290,800
 2,800,000(b) 
Galilei Re, 7.461% (6 Month USD LIBOR + 560 bps), 1/8/20 (144A)
 2,799,720
 1,500,000(b) 
Galilei Re, 8.641% (6 Month USD LIBOR + 678 bps), 1/8/20 (144A)
 1,499,700
 1,550,000(b) 
Galilei Re, 8.661% (6 Month USD LIBOR + 678 bps), 1/8/21 (144A)
 1,541,940
 250,000(b) 
Galileo Re, 9.228% (3 Month USD LIBOR + 750 bps), 11/6/20 (144A)
   247,150
 1,250,000(b) 
Kendall Re, 6.998% (3 Month USD LIBOR + 525 bps), 5/6/21 (144A)
 1,217,000
    $14,141,480
   Pandemic - Worldwide - 0.0%†  
 1,250,000(b) 
International Bank for Reconstruction & Development, 8.713% (6 Month USD LIBOR + 690 bps), 7/15/20 (144A)
$1,252,875
   Windstorm - Bermuda - 0.2%  
 11,150,000(b) 
Everglades Re II, 6.774% (3 Month U.S. Treasury Bill + 523 bps), 5/8/20 (144A)
$11,228,050
   Windstorm - Florida - 0.1%  
 2,500,000(b) 
Casablanca Re, 5.516% (6 Month USD LIBOR + 402 bps), 6/4/20 (144A)
$2,525,000
 2,500,000(b) 
Integrity Re, 4.767% (6 Month USD LIBOR + 328 bps), 6/10/20 (144A)
 2,494,250
 2,500,000(b) 
Integrity Re, 5.74% (3 Month USD LIBOR + 401 bps), 6/10/22 (144A)
 2,471,250
 500,000(b) 
Integrity Re, 5.847% (6 Month USD LIBOR + 436 bps), 6/10/20 (144A)
   503,300
    $7,993,800
   Windstorm - Japan - 0.0%†  
 1,500,000(b) 
Aozora Re, 3.685% (6 Month USD LIBOR + 200 bps), 4/7/21 (144A)
$1,303,500
 500,000(b) 
Aozora Re, 4.193% (6 Month USD LIBOR + 229 bps), 4/7/20 (144A)
   465,000
    $1,768,500
   Windstorm - Louisiana - 0.0%†  
 1,500,000(b) 
Pelican IV Re, 3.545% (6 Month USD LIBOR + 204 bps), 5/5/20 (144A)
$1,494,750
   Windstorm - Massachusetts - 0.0%†  
 3,000,000(b) 
Cranberry Re, 3.468% (6 Month USD LIBOR + 198 bps), 7/13/20 (144A)
$2,976,000
   Windstorm - Texas - 0.1%  
 2,300,000(b) 
Alamo Re, 5.026% (1 Month U.S. Treasury Bill + 348 bps), 6/7/21 (144A)
$2,289,650
 2,000,000(b) 
Alamo Re, 5.356% (3 Month U.S. Treasury Bill + 381 bps), 6/8/20 (144A)
 2,009,800
    $4,299,450
   Windstorm - U.S. - 0.0%†  
 250,000(b) 
Bowline Re, 10.046% (3 Month U.S. Treasury Bill + 850 bps), 3/20/23 (144A)
$250,600
   Windstorm - U.S. Multistate - 0.0%†  
 3,475,000(b) 
Citrus Re, 2.044% (1 Month U.S. Treasury Bill + 50 bps), 4/9/20 (144A)
$868,750
   Windstorm - U.S. Regional - 0.0%†  
 2,500,000(b) 
Cape Lookout Re, 5.794% (1 Month U.S. Treasury Bill + 425 bps), 2/25/22 (144A)
$2,448,750
 500,000(f) 
Matterhorn Re, 12/7/20 (144A)
   474,250
    $2,923,000
   Total Event Linked Bonds $123,904,145
 Face
Amount
USD ($)
   Value
   
Collateralized Reinsurance - 0.3%
 
   Earthquakes - California - 0.0%†  
 2,500,000+(a) 
Adare Re 2020-1, 1/31/21
$2,406,675
   Multiperil - Massachusetts - 0.1%  
 3,000,000+(a)(g) 
Denning Re 2019, 7/31/20
$3,012,910
   Multiperil - U.S. - 0.1%  
 500,000+(a)(g) 
Dingle Re 2019, 2/1/20
$510,263
 Face
Amount
USD ($)
   Value
   Multiperil - U.S. - (continued)  
 1,500,000+(a)(g) 
Kingsbarns Re 2017, 5/19/20
$1,500
 4,000,000+(a)(g) 
Port Royal Re 2019, 5/31/20
 4,040,119
 2,000,000+(a)(g) 
Riviera Re 2019, 5/31/20
2,014,663
    $6,566,545
   Multiperil - U.S. Regional - 0.1%  
 1,563,421+(a)(g) 
Ailsa Re 2018, 6/15/20
$176,667
 2,750,000+(a)(g) 
Ailsa Re 2019, 6/30/20
 2,858,120
 2,500,000+(a)(g) 
Ocean View Re 2019, 6/30/20
 2,503,259
    $5,538,046
   Multiperil - Worldwide - 0.0%†  
 1,000,000+(a)(g) 
Cypress Re 2017, 1/10/20
$18,200
 3,688,762+(a)(g) 
Kilarney Re 2018, 4/15/20
 1,862,087
 24,000+(g) 
Limestone Re 2016-1, 8/31/21
   29,081
 40,000+(g) 
Limestone Re 2016-1, 8/31/21
   48,468
 2,000,000+(a)(g) 
Limestone Re 2019-2, 3/1/23 (144A)
 2,000,200
 1,500,000+(a)(g) 
Mid Ocean Re 2019, 7/31/20
 1,468,043
 2,000,000+(a)(g) 
Resilience Re, 4/6/20
   200
 2,500,000+(a) 
Resilience Re, 5/1/20
   1,750
 500,000+(a)(g) 
Wentworth Re 2019-1, 12/31/22
   511,033
    $5,939,062
   Windstorm - Florida - 0.0%†  
 2,000,000+(a)(g) 
Formby Re 2018, 2/28/20
$633,728
 685,024+(a)(g) 
Formby Re 2018, 3/31/20
   5,617
 800,000+(a)(g) 
Portrush Re 2017, 6/15/20
   510,480
    $1,149,825
   Windstorm - North Carolina - 0.0%†  
 1,998,900+(a)(g) 
Lahinch Re 2019, 5/31/20
$2,028,491
   Windstorm - U.S. Regional - 0.0%†  
 500,000+(a)(g) 
Oakmont Re 2017, 4/15/20
$14,700
 2,500,000+(a)(g) 
Oakmont Re 2019, 9.976%, 4/30/20
 1,730,750
 1,500,000+(g) 
Resilience Re, 6/15/20
   727,500
    $2,472,950
   Total Collateralized Reinsurance $29,114,504
   
Industry Loss Warranties - 0.1%
 
   Multiperil - U.S. - 0.1%  
 5,250,000+(a)(g) 
Cypress Re 2019, 1/31/20
$5,354,366
   Total Industry Loss Warranties $5,354,366
   
Reinsurance Sidecars - 1.0%
 
   Multiperil - U.S. - 0.1%  
 750,000+(a)(g) 
Carnoustie Re 2016, 11/30/20
$20,250
 2,000,000+(a)(g) 
Carnoustie Re 2017, 11/30/21
   271,700
 1,500,000+(g) 
Carnoustie Re 2018, 12/31/21
   16,800
 1,100,000+(a)(g) 
Carnoustie Re 2019, 12/31/22
 1,216,490
 1,500,000+(a)(g) 
Castle Stuart Re 2018, 12/1/21
 1,265,100
 2,000,000+(a)(h) 
Harambee Re 2018, 12/31/21
   310,200
 4,000,000+(a)(h) 
Harambee Re 2019, 12/31/22
 4,442,000
 625,004+(a)(g) 
Sector Re V, Series 7, Class G, 3/1/22 (144A)
   99,517
    $7,642,057
   Multiperil - Worldwide - 0.9%  
 3,000,000+(a)(g) 
Alturas Re, 3/10/22
$3,281,100
 500,000+(a)(g) 
Alturas Re 2019-1, 3/10/23
   568,900
 500,000+(a)(g) 
Arlington Re 2015, 2/1/20
   24,300
 2,500,000+(a)(g) 
Bantry Re 2016, 3/30/20
   201,500
 2,000,000+(a)(g) 
Bantry Re 2017, 3/31/20
   472,200
 2,000,000+(a)(g) 
Bantry Re 2018, 12/31/21
   22,800
 4,000,000+(a)(g) 
Bantry Re 2019, 12/31/22
 4,234,279
 1,250,000+(a)(g) 
Berwick Re 2017-1, 2/1/20
   41,375
 5,120,164+(a)(g) 
Berwick Re 2018-1, 12/31/21
   817,690
 3,658,035+(a)(g) 
Berwick Re 2019-1, 12/31/22
 3,786,432
 1,500,000+(a)(h) 
Blue Lotus Re 2018, 12/31/21
 1,646,550
 75,000+(g) 
Eden Re II, 3/22/22 (144A)
   97,980
 113,405+(g) 
Eden Re II, 3/22/22 (144A)
   127,082
 400,000+(a)(g) 
Eden Re II, 3/22/23 (144A)
   416,160
 3,579,693+(a)(g) 
Eden Re II, 3/22/23 (144A)
 3,721,807
 1,300,000+(g) 
Gleneagles Re 2016, 11/30/20
   40,560
 2,118,314+(a)(g) 
Gullane Re 2018, 12/31/21
 1,988,044
 72,000+(g) 
Limestone Re 2018, 3/1/22
   246,650
 500,000+(a)(h) 
Lion Rock Re 2019, 1/31/20
   550,800
 4,000,000+(a)(h) 
Lorenz Re 2018, 7/1/21
   406,000
 2,744,544+(a)(h) 
Lorenz Re 2019, 6/30/22
 2,392,968
 3,000,000+(a)(g) 
Merion Re 2018-2, 12/31/21
 3,054,000
 977,820+(a)(h) 
NCM Re 2019, 12/31/22
 1,048,810
 2,500,000+(g) 
Pangaea Re 2015-1, 2/1/20
   3,270
 2,800,000+(g) 
Pangaea Re 2015-2, 5/29/20
   4,175
 2,500,000+(g) 
Pangaea Re 2016-1, 11/30/20
   5,549
 Face
Amount
USD ($)
   Value
   Multiperil - Worldwide - (continued)  
 1,500,000+(g) 
Pangaea Re 2016-2, 11/30/20
$4,464
 2,000,000+(a)(g) 
Pangaea Re 2017-1, 11/30/21
   32,200
 1,500,000+(g) 
Pangaea Re 2017-3, 5/31/22
   76,486
 2,000,000+(a)(g) 
Pangaea Re 2018-1, 12/31/21
   117,600
 4,000,000+(a)(g) 
Pangaea Re 2018-3, 7/1/22
   82,974
 2,800,000+(a)(g) 
Pangaea Re 2019-1, 2/1/23
 2,785,440
 2,941,254+(a)(g) 
Pangaea Re 2019-3, 7/1/23
 2,860,958
 4,000,000+(a)(g) 
Sector Re V, 12/1/23 (144A)
 3,242,244
 300,000+(a)(g) 
Sector Re V, Series 7, Class C, 12/1/22 (144A)
   64,309
 300,000+(a)(g) 
Sector Re V, Series 7, Class C, 12/1/22 (144A)
   64,309
 379+(g) 
Sector Re V, Series 8, Class F, 3/1/23 (144A)
   23,179
 1,331+(g) 
Sector Re V, Series 8, Class G, 3/1/23 (144A)
   58,620
 2,000,000+(a)(g) 
Sector Re V, Series 9, Class A, 3/1/24 (144A)
 1,585,661
 874,996+(a)(g) 
Sector Re V, Series 9, Class G, 3/1/24 (144A)
 1,005,985
 1,250,000+(a)(g) 
St. Andrews Re 2017-1, 2/1/20
   84,750
 1,737,984+(a)(g) 
St. Andrews Re 2017-4, 6/1/20
   171,018
 750,000+(a)(g) 
Thopas Re 2018, 12/31/21
   55,575
 3,000,000+(a)(g) 
Thopas Re 2019, 12/31/22
 2,961,600
 2,600,000+(a)(g) 
Versutus Re 2017, 11/30/21
   34,320
 2,000,000+(a)(g) 
Versutus Re 2018, 12/31/21
   
 1,765,095+(a)(g) 
Versutus Re 2019-A, 12/31/21
1,964,551
 1,434,906+(a)(g) 
Versutus Re 2019-B, 12/31/21
 1,597,050
 750,000+(a)(g) 
Viribus Re 2018, 12/31/21
   41,475
 2,500,000+(a)(g) 
Viribus Re 2019, 12/31/22
 3,081,750
 1,724,784+(a)(g) 
Woburn Re 2018, 12/31/21
   345,302
 809,418+(a)(g) 
Woburn Re 2019, 12/31/22
   837,343
    $52,380,144
   Total Reinsurance Sidecars $60,022,201
   TOTAL INSURANCE-LINKED SECURITIES 
   
(Cost $216,434,093)
$218,395,216
 Principal
Amount
USD ($)
   Value
   MUNICIPAL BOND - 0.0%† of Net Assets(i)
   
Municipal Student Loan - 0.0%†
 
 145,363(b) 
Louisiana Public Facilities Authority, Student Loan Backed, Series A, 2.84% (3 Month USD LIBOR + 90 bps), 4/26/27
$145,499
   Total Municipal Student Loan $145,499
   TOTAL MUNICIPAL BOND 
   
(Cost $145,949)
$145,499
   SENIOR SECURED FLOATING RATE LOAN INTERESTS - 3.6% of Net Assets*(b)
   
Aerospace & Defense - 0.0%†
 
 2,424,514 
American Airlines, Inc., 2018 Replacement Term Loan, 3.542% (LIBOR + 175 bps), 6/27/25
$2,429,734
 746,250 
MRO Holdings, Inc., Initial Term Loan, 6.945% (LIBOR + 500 bps), 6/4/26
   745,317
 234,008 
United Airlines, Inc., Refinanced Term Loan, 3.549% (LIBOR + 175 bps), 4/1/24
   212,362
   Total Aerospace & Defense $3,387,413
   
Automobile - 0.3%
 
 2,518,595 
Cooper-Standard Automotive, Inc., Additional Term B-1 Loan, 3.799% (LIBOR + 200 bps), 11/2/23
$2,378,813
 610,101 
CWGS Group LLC (aka Camping World, Inc.), Term Loan, 4.444% (LIBOR + 275 bps), 11/8/23
   577,689
 266,667 
Goodyear Tire & Rubber Co., Second Lien Term Loan, 3.97% (LIBOR + 200 bps), 3/3/25
   267,334
 2,962,312 
Navistar, Inc., Tranche B Term Loan, 5.24% (LIBOR + 350 bps), 11/6/24
 2,958,609
 3,526,837 
Thor Industries, Inc., Initial USD Term Loan, 5.5% (LIBOR + 375 bps), 2/1/26
 3,543,371
 605,447 
TI Group Automotive Systems LLC, Initial US Term Loan, 4.299% (LIBOR + 250 bps), 6/30/22
   608,600
 291,667 
Visteon Corp., New Term Loan, 3.57% (LIBOR + 175 bps), 3/25/24
   292,396
   Total Automobile $10,626,812
   
Beverage, Food & Tobacco - 0.1%
 
 900,515 
Albertson’s LLC, 2019 Term B-8 Loan, 4.549% (LIBOR + 275 bps), 8/17/26
$910,030
 2,424,408 
Albertson’s LLC, 2019-1 Term B-7 Loan, 4.549% (LIBOR + 275 bps), 11/17/25
 2,449,556
 1,317,996 
Darling Ingredients, Inc. (fka Darling International, Inc.), Term B Loan, 3.8% (LIBOR + 200 bps), 12/18/24
 1,322,609
 997,500 
US Foods, Inc. (aka U.S. Foodservice, Inc.), Incremental B-2019 Term Loan, 3.799% (LIBOR + 200 bps), 9/13/26
 1,002,997
   Total Beverage, Food & Tobacco $5,685,192
   
Broadcasting & Entertainment - 0.2%
 
 1,087,297 
Gray Television, Inc., Term B-2 Loan, 3.947% (LIBOR + 225 bps), 2/7/24
$1,091,459
 5,029,886 
Gray Television, Inc., Term C Loan, 4.197% (LIBOR + 250 bps), 1/2/26
 5,061,951
 4,988,422 
Sinclair Television Group, Inc., Tranche B Term Loan, 4.05% (LIBOR + 225 bps), 1/3/24
 4,998,773
   Total Broadcasting & Entertainment $11,152,183
   
Building Materials - 0.1%
 
 1,124,455 
Circor International, Inc., Initial Term Loan, 5.236% (LIBOR + 350 bps), 12/11/24
$1,132,538
 2,746,970 
Summit Materials LLC, New Term Loan, 3.799% (LIBOR + 200 bps), 11/21/24
 2,763,281
   Total Building Materials $3,895,819
   
Buildings & Real Estate - 0.1%
 
 2,436,058 
Beacon Roofing Supply, Inc., Initial Term Loan, 4.049% (LIBOR + 225 bps), 1/2/25
$2,450,524
 Principal
Amount
USD ($)
   Value
   Buildings & Real Estate - (continued) 
 1,012,188 
DTZ U.S. Borrower LLC (aka Cushman & Wakafield), Closing Date Term Loan, 5.049% (LIBOR + 325 bps), 8/21/25
$1,017,406
 1,280,500 
Southwire Co. LLC (f.k.a Southwire Co.), Initial Term Loan, 3.549% (LIBOR + 175 bps), 5/19/25
1,282,635
 437,846 
Uniti Group, Inc., Shortfall Term Loan, 6.799% (LIBOR + 500 bps), 10/24/22
   430,950
 2,100,000 
VICI Properties 1 LLC, Term B Loan, 3.785% (LIBOR + 200 bps), 12/20/24
 2,112,104
 645,102 
WireCo WorldGroup, Inc. (WireCo WorldGroup Finance LP), First Lien Initial Term Loan, 6.799% (LIBOR + 500 bps), 9/29/23
   614,782
   Total Buildings & Real Estate $7,908,401
   
Chemicals, Plastics & Rubber - 0.3%
 
 2,765,560 
Axalta Coating Systems Dutch Holding B BV (Axalta Coating Systems U.S. Holdings, Inc.), Term B-3 Dollar Loan, 3.695% (LIBOR + 175 bps), 6/1/24
$2,775,585
 4,477,500 
Berry Global, Inc. (fka Berry Plastics Corp.), Term Loan U, 4.215% (LIBOR + 250 bps), 7/1/26
 4,497,712
 542,731 
Core & Main LP, Initial Term Loan, 4.528% (LIBOR + 275 bps), 8/1/24
   542,952
 1,897,792 
PQ Corp., Third Amendment Tranche B-1 Term Loan, 4.427% (LIBOR + 250 bps), 2/8/25
 1,910,128
 967,575 
Reynolds Group Holdings, Inc., Incremental US Term Loan, 4.549% (LIBOR + 275 bps), 2/5/23
   971,959
 916,716 
Tata Chemicals North America, Term Loan, 4.563% (LIBOR + 275 bps), 8/7/20
   914,424
 4,471,317 
Tronox Finance LLC, First Lien Initial Dollar Term Loan, 4.609% (LIBOR + 275 bps), 9/23/24
 4,484,592
 293,276 
Twist Beauty International Holdings SA, Facility B2, 4.907% (LIBOR + 300 bps), 4/22/24
   286,311
   Total Chemicals, Plastics & Rubber $16,383,663
   
Computers & Electronics - 0.1%
 
 990,000 
Celestica, Inc., Incremental Term B–2 Loan, 4.292% (LIBOR + 250 bps), 6/27/25
$990,929
 1,000,000(j) 
Edgewell Personal Care Co., Term Loan B, 9/18/26
 1,003,750
 1,231,560 
Energizer Holdings, Inc., Term Loan B, 4.0% (LIBOR + 225 bps), 12/17/25
 1,239,627
 1,694,813 
Iron Mountain Information Management LLC, Incremental Term B Loan, 3.549% (LIBOR + 175 bps), 1/2/26
 1,693,386
 1,995,000 
NCR Corp., Initial Term Loan, 4.3% (LIBOR + 250 bps), 8/28/26
 2,007,469
   Total Computers & Electronics $6,935,161
   
Construction & Building - 0.0%†
 
 593,090 
Quikrete Holdings, Inc., First Lien Initial Term Loan, 4.549% (LIBOR + 275 bps), 11/15/23
$596,849
   Total Construction & Building $596,849
   
Consumer Services - 0.0%†
 
 1,038,778 
Prime Security Services Borrower LLC (aka Protection 1 Security Solutions), First Lien 2019 Refinancing Term B-1 Loan, 4.944% (LIBOR + 325 bps), 9/23/26
$1,042,818
   Total Consumer Services $1,042,818
   
Containers, Packaging & Glass - 0.1%
 
 2,986,806 
Plastipak Holdings, Inc., Tranche B Term Loan, 4.3% (LIBOR + 250 bps), 10/14/24
$2,987,737
   Total Containers, Packaging & Glass $2,987,737
   
Diversified & Conglomerate Manufacturing - 0.1%
 
 904,422 
Delos Finance S.a.r.l., New Term Loan, 3.695% (LIBOR + 175 bps), 10/6/23
$909,025
 2,948,445 
Garda World Security Corp., Initial Term Loan, 6.66% (LIBOR + 475 bps), 10/30/26
 2,969,329
   Total Diversified & Conglomerate Manufacturing $3,878,354
   
Diversified & Conglomerate Service - 0.1%
 
 567,226 
ASGN Incorporated (fka On Assignment, Inc.), Initial Term B-3 Loan, 3.549% (LIBOR + 175 bps), 4/2/25
$571,126
 2,005,842 
Avis Budget Car Rental LLC, Tranche B Term Loan, 3.8% (LIBOR + 200 bps), 2/13/25
 2,019,946
 103,138 
AVSC Holding Corp. (aka PSAV, Inc.), First Lien Initial Term Loan, 5.091% (LIBOR + 325 bps), 3/3/25
   103,267
 1,872,714 
Bright Horizons Family Solutions LLC (fka Bright Horizons Family Solutions, Inc.), Term B Loan, 3.549% (LIBOR + 175 bps), 11/7/23
 1,890,271
 1,047,555 
Change Healthcare Holdings, Inc. (fka Emdeon, Inc.), Closing Date Term Loan, 4.299% (LIBOR + 250 bps), 3/1/24
 1,052,684
 491,455 
DG Investment Intermediate Holdings 2, Inc. (aka Convergint Technologies Holdings LLC), First Lien Initial Term Loan, 4.799% (LIBOR + 300 bps), 2/3/25
   490,226
 467,317 
DTI Holdco, Inc., Replacement B-1 Term Loan, 6.677% (LIBOR + 475 bps), 9/29/23
   438,889
 1,975,000 
DynCorp International, Inc., Term Loan, 7.74% (LIBOR + 600 bps), 8/18/25
 1,937,969
 492,424 
GHX Ultimate Parent Corp., First Lien Initial Term Loan, 5.211% (LIBOR + 325 bps), 6/28/24
   493,347
 1,955,000 
Iqvia, Inc. (Quintiles IMS), Incremental Term B-2 Dollar Loan, 3.695% (LIBOR + 175 bps), 1/17/25
 1,966,730
 871,438 
Jaguar Holding Co. I LLC (fka Jaguar Holding Co. I) (aka Pharmaceutical Product Development LLC), 2018 Term Loan, 4.299% (LIBOR + 250 bps), 8/18/22
   877,126
 389,103 
NVA Holdings, Inc., First Lien Term B-3 Loan, 6.5% (PRIME + 175 bps), 2/2/25
   389,255
 1,592,000 
NVA Holdings, Inc., Incremental Term B-4 Loan, 7.25% (PRIME + 250 bps), 2/2/25
 1,593,990
 1,475,298 
Outfront Media Capital LLC (Outfront Media Capital Corp.), Extended Term Loan, 3.486% (LIBOR + 175 bps), 11/18/26
 1,485,177
 684,211 
Tempo Acquisition LLC, Initial Term Loan, 4.549% (LIBOR + 275 bps), 5/1/24
   689,342
 411,853 
West Corp., Initial Term B Loan, 5.927% (LIBOR + 400 bps), 10/10/24
   350,076
   Total Diversified & Conglomerate Service $16,349,421
   
Electric & Electrical - 0.0%†
 
 1,604,681 
Dell International LLC (EMC Corp.), Refinancing Term B-1 Loan, 3.8% (LIBOR + 200 bps), 9/19/25
$1,617,354
 392,878 
Rackspace Hosting, Inc., First Lien Term B Loan, 4.902% (LIBOR + 300 bps), 11/3/23
   385,020
   Total Electric & Electrical $2,002,374
   
Electronics - 0.1%
 
 675,736 
Leidos, Inc. (fka Leidos Innovations Corp.), B Term Loan, 3.563% (LIBOR + 175 bps), 8/22/25
$681,119
 2,370,054 
Scientific Games International, Inc., Initial Term B-5 Loan, 4.549% (LIBOR + 275 bps), 8/14/24
 2,379,788
 300,279 
Verint Systems, Inc., Refinancing Term Loan, 3.796% (LIBOR + 200 bps), 6/28/24
   302,531
 Principal
Amount
USD ($)
   Value
   Electronics - (continued) 
 1,815,787 
Western Digital Corp., US Term B-4 Loan, 3.452% (LIBOR + 175 bps), 4/29/23
$1,827,506
   Total Electronics $5,190,944
   
Entertainment & Leisure - 0.0%†
 
 875,250 
Cedar Fair LP, US Term B Loan, 3.549% (LIBOR + 175 bps), 4/13/24
$880,857
   Total Entertainment & Leisure $880,857
   
Environmental Services - 0.0%†
 
 2,615,365 
GFL Environmental, Inc., Effective Date Incremental Term Loan, 4.799% (LIBOR + 300 bps), 5/30/25
$2,622,604
   Total Environmental Services $2,622,604
   
Financial Services - 0.0%†
 
 2,123,929 
RPI Finance Trust, Initial Term Loan B-6, 3.799% (LIBOR + 200 bps), 3/27/23
$2,143,694
   Total Financial Services $2,143,694
   
Healthcare - 0.0%†
 
 526,604 
Grifols Worldwide Operations, Ltd., Dollar Tranche B Term Loan, 3.74% (LIBOR + 200 bps), 11/15/27
$531,573
 358,343 
Horizon Therapeutics USA, Inc., Seventh Amendment Refinancing Term Loan, 4.0% (LIBOR + 225 bps), 5/22/26
361,479
   Total Healthcare $893,052
   
Healthcare & Pharmaceuticals - 0.0%†
 
 1,269,678 
Acadia Healthcare Co., Inc., Tranche B-4 Term Loan, 4.299% (LIBOR + 250 bps), 2/16/23
$1,275,233
 992,500 
Agiliti Health, Inc., Initial Term Loan, 4.75% (LIBOR + 300 bps), 1/4/26
   999,944
 1,071,963 
Alkermes, Inc., 2023 Term Loan, 3.99% (LIBOR + 225 bps), 3/27/23
 1,068,614
 977,500 
Alphabet Holding Co., Inc. (aka Nature’s Bounty), First Lien Initial Term Loan, 5.299% (LIBOR + 350 bps), 9/26/24
   944,917
 1,995,000 
DaVita, Inc. (fka DaVita HealthCare Partners, Inc.), Tranche B Term Loan, 4.049% (LIBOR + 225 bps), 8/12/26
 2,011,728
 2,122,121 
Gentiva Health Services, Inc., First Lien Closing Date Initial Term Loan, 5.563% (LIBOR + 375 bps), 7/2/25
 2,136,047
 987,500 
Kindred Healthcare LLC, Closing Date Term Loan, 6.813% (LIBOR + 500 bps), 7/2/25
   996,141
 1,511,896 
NMN Holdings III Corp., First Lien Closing Date Term Loan, 5.549% (LIBOR + 375 bps), 11/13/25
 1,483,548
 1,840,750 
Phoenix Guarantor, Inc. (aka Brightspring), First Lien Initial Term Loan, 6.21% (LIBOR + 450 bps), 3/5/26
 1,853,405
 311,185 
Prestige Brands, Inc., Term B-4 Loan, 3.799% (LIBOR + 200 bps), 1/26/24
   313,762
 1,430,000 
Sotera Health Holdings LLC, First Lien Initial Term Loan, 6.289% (LIBOR + 450 bps), 12/11/26
 1,436,554
   Total Healthcare & Pharmaceuticals $14,519,893
   
Healthcare, Education & Childcare - 0.4%
 
 1,032,833 
ATI Holdings Acquisition, Inc., First Lien Initial Term Loan, 5.299% (LIBOR + 350 bps), 5/10/23
$1,031,542
 2,337,500 
Bausch Health Cos., Inc. (fka Valeant Pharmaceuticals International, Inc.), First Incremental Term Loan, 4.49% (LIBOR + 275 bps), 11/27/25
 2,354,739
 2,736,614 
Bausch Health Cos., Inc. (fka Valeant Pharmaceuticals International, Inc.), Initial Term Loan, 4.74% (LIBOR + 300 bps), 6/2/25
 2,756,712
 5,480,969 
Regionalcare Hospital Partners Holdings, Inc., First Lien Term B Loan, 6.304% (LIBOR + 450 bps), 11/16/25
 5,531,783
 4,236,318 
Select Medical Corp., Tranche B Term Loan, 4.58% (LIBOR + 250 bps), 3/6/25
 4,250,827
 1,488,750 
Vizient, Inc., Term B-5 Loan, 4.549% (LIBOR + 275 bps), 5/6/26
 1,502,086
   Total Healthcare, Education & Childcare $17,427,689
   
Hotel, Gaming & Leisure - 0.0%†
 
 1,212,222 
1011778 BC Unlimited Liability Co. (New Red Finance, Inc.) (aka Burger King/Tim Hortons), Term B-4 Loan, 3.549% (LIBOR + 175 bps), 11/19/26
$1,215,246
 2,069,182 
Boyd Gaming Corp., Refinancing Term B Loan, 3.853% (LIBOR + 225 bps), 9/15/23
 2,086,201
 1,000,000 
Hanjin International Corp. (aka Wilshire Grand Center), Initial Term Loan, 4.299% (LIBOR + 250 bps), 10/19/20
   998,750
 1 
Hilton Worldwide Finance LLC, Refinanced Series B-2 Term Loan, 3.768% (LIBOR + 175 bps), 6/22/26
   1
 800,405 
MGM Growth Properties Operating Partnership LP, Term B Loan, 3.799% (LIBOR + 200 bps), 3/21/25
   805,337
   Total Hotel, Gaming & Leisure $5,105,535
   
Insurance - 0.1%
 
 995,000 
Alliant Holdings Intermediate LLC, 2019 New Term Loan, 4.99% (LIBOR + 325 bps), 5/9/25
$998,109
 69,438 
Alliant Holdings Intermediate LLC, Initial Term Loan, 4.799% (LIBOR + 300 bps), 5/9/25
   69,546
 4,278,658 
Asurion LLC (fka Asurion Corp.), New B-7 Term Loan, 4.799% (LIBOR + 300 bps), 11/3/24
 4,307,184
 552,946 
Confie Seguros Holding II Co., Term B Loan, 6.659% (LIBOR + 475 bps), 4/19/22
   539,468
 497,364 
Integro Parent, Inc., First Lien Initial Term Loan, 7.541% (LIBOR + 575 bps), 10/31/22
   489,904
 342,125 
USI, Inc. (fka Compass Investors, Inc.), 2017 New Term Loan, 4.945% (LIBOR + 300 bps), 5/16/24
   342,510
   Total Insurance $6,746,721
   
Leasing - 0.2%
 
 2,064,593 
Avolon TLB Borrower 1 (US) LLC, Term B-3 Loan, 3.515% (LIBOR + 175 bps), 1/15/25
$2,080,078
 2,574,170 
Fly Funding II S.a.r.l., Replacement Loan, 3.65% (LIBOR + 175 bps), 8/9/25
 2,582,215
 2,922,481 
Hertz Corp., Tranche B-1 Term Loan, 4.55% (LIBOR + 275 bps), 6/30/23
 2,939,834
 982,500 
IBC Capital I, Ltd. (aka Goodpack, Ltd.), First Lien Tranche B-1 Term Loan, 5.649% (LIBOR + 375 bps), 9/11/23
   984,956
   Total Leasing $8,587,083
   
Leisure & Entertainment - 0.2%
 
 985,000 
24 Hour Fitness Worldwide, Inc., Term Loan, 5.299% (LIBOR + 350 bps), 5/30/25
$750,886
 Principal
Amount
USD ($)
   Value
   Leisure & Entertainment - (continued) 
 2,357,075 
AMC Entertainment Holdings, Inc. (fka AMC Entertainment, Inc.), Term B-1 Loan, 4.8% (LIBOR + 300 bps), 4/22/26
$2,377,110
 731,250 
CityCenter Holdings LLC, Term B Loan, 4.049% (LIBOR + 225 bps), 4/18/24
   735,295
 2,023,622 
Fitness International LLC, Term B Loan, 5.049% (LIBOR + 325 bps), 4/18/25
2,025,520
 954,269 
Six Flags Theme Parks, Inc., Tranche B Term Loan, 3.55% (LIBOR + 175 bps), 4/17/26
   959,994
   Total Leisure & Entertainment $6,848,805
   
Machinery - 0.1%
 
 97,697 
Clark Equipment Co. (aka Doosan Bobcat, Inc.), Repriced 2019 Term Loan, 3.695% (LIBOR + 175 bps), 5/18/24
$98,262
 1,234,571 
CTC AcquiCo GmbH, Facility B2, 4.664% (LIBOR + 275 bps), 3/7/25
 1,209,880
 140,772 
Gardner Denver, Inc., Tranche B-1 Dollar Term Loan, 4.549% (LIBOR + 275 bps), 7/30/24
   141,814
 246,799 
NN, Inc., Tranche B Term Loan, 7.049% (LIBOR + 525 bps), 10/19/22
   241,246
 2,114,308 
Shape Technologies Group, Inc., Initial Term Loan, 4.934% (LIBOR + 300 bps), 4/21/25
 1,908,163
 1,736,875 
Terex Corp., 2019 US Term Loan Commitments, 4.594% (LIBOR + 275 bps), 1/31/24
 1,748,272
 294,270 
Terex Corp., Incremental US Term Loan, 3.844% (LIBOR + 200 bps), 1/31/24
   295,336
   Total Machinery $5,642,973
   
Media - 0.1%
 
 3,975,000 
CSC Holdings LLC (fka CSC Holdings Inc. (Cablevision)), September 2019 Initial Term Loan, 4.24% (LIBOR + 250 bps), 4/15/27
$4,001,501
 639,844 
CSC Holdings LLC (fka CSC Holdings, Inc. (Cablevision)), March 2017 Refinancing Term Loan, 3.99% (LIBOR + 225 bps), 7/17/25
   641,443
 1,355,799 
CSC Holdings LLC (fka CSC Holdings, Inc. (Cablevision)), October 2018 Incremental Term Loan, 3.99% (LIBOR + 225 bps), 1/15/26
 1,360,544
 1,365,573 
Quincy Media, Inc. (fka Quincy Newspapers, Inc.), Term Loan B, 4.802% (LIBOR + 300 bps), 11/2/22
 1,366,427
 2,450,000 
Ziggo Secured Finance Partnership, Term Loan E Facility, 4.24% (LIBOR + 250 bps), 4/15/25
 2,461,343
   Total Media $9,831,258
   
Metals & Mining - 0.0%†
 
 949,352 
Atkore International, Inc., First Lien Initial Incremental Term Loan, 4.7% (LIBOR + 275 bps), 12/22/23
$954,573
 987,342 
BWay Holding Co., Initial Term Loan, 5.234% (LIBOR + 325 bps), 4/3/24
   985,645
 225,000 
Oxbow Carbon LLC, First Lien Tranche B Term Loan, 5.549% (LIBOR + 375 bps), 1/4/23
   225,562
 120,134 
TMS International Corp. (aka Tube City IMS Corp.), Term B-2 Loan, 4.625% (LIBOR + 275 bps), 8/14/24
   118,782
   Total Metals & Mining $2,284,562
   
Oil & Gas - 0.1%
 
 296,928 
Apergy Corp., Initial Term Loan, 4.422% (LIBOR + 250 bps/PRIME + 150 bps), 5/9/25
$297,917
 497,500 
BCP Raptor II LLC, Initial Term Loan, 6.549% (LIBOR + 475 bps), 11/3/25
   461,017
 4,950,000 
Centurion Pipeline Co. LLC (fka Lotus Midstream LLC), Initial Term Loan, 5.049% (LIBOR + 325 bps), 9/29/25
 4,956,187
 694,714 
Delek US Holdings, Inc., Initial Term Loan, 4.049% (LIBOR + 225 bps), 3/31/25
   694,570
 248,365 
Encino Acquisition Partners Holdings LLC, Second Lien Initial Term Loan, 8.549% (LIBOR + 675 bps), 10/29/25
   180,271
 247,296 
Gulf Finance LLC, Tranche B Term Loan, 7.044% (LIBOR + 525 bps), 8/25/23
   194,746
 560,531 
St. Joseph Energy Center LLC, Term B Advance, 5.31% (LIBOR + 350 bps), 4/10/25
   555,626
   Total Oil & Gas $7,340,334
   
Personal, Food & Miscellaneous Services - 0.0%†
 
 1,425,087 
Diamond (BC) BV (aka Diversey), Initial USD Term Loan, 4.927% (LIBOR + 300 bps), 9/6/24
$1,401,929
 1,225,000 
Option Care Health, Inc., Term B Loan, 6.299% (LIBOR + 450 bps), 8/6/26
 1,221,555
   Total Personal, Food & Miscellaneous Services $2,623,484
   
Printing & Publishing - 0.0%†
 
 1,210,922 
Red Ventures LLC (New Imagitas, Inc.), First Lien Term B-1 Loan, 4.799% (LIBOR + 300 bps), 11/8/24
$1,223,157
   Total Printing & Publishing $1,223,157
   
Professional & Business Services - 0.1%
 
 997,500 
Clear Channel Outdoor Holdings, Inc., Term B Loan, 5.299% (LIBOR + 350 bps), 8/21/26
$1,004,670
 3,180,070 
Lamar Media Corp., Term B Loan, 3.563% (LIBOR + 175 bps), 3/14/25
 3,207,896
 1,243,750 
MYOB US Borrower LLC, First Lien Initial US Term Loan, 5.799% (LIBOR + 400 bps), 5/6/26
 1,256,188
   Total Professional & Business Services $5,468,754
   
Retail - 0.2%
 
 2,000,000(j) 
Aramark Services, Inc., Term Loan, 1/27/27
$2,013,124
 733,125 
Bass Pro Group LLC, Initial Term Loan, 6.799% (LIBOR + 500 bps), 9/25/24
731,475
 1,592,310 
CDW LLC (aka AP Exhaust Acquisition LLC) (fka CDW Corp.), Term Loan, 3.55% (LIBOR + 175 bps), 10/13/26
 1,603,265
 2,468,750 
HD Supply, Inc., Term B-5 Loan, 3.549% (LIBOR + 175 bps), 10/17/23
 2,489,179
 2,390,764 
KFC Holding Co. (aka Yum! Brands), 2018 Term B Loan, 3.495% (LIBOR + 175 bps), 4/3/25
 2,401,972
 933,004 
Michaels Stores, Inc., 2018 New Replacement Term B Loan, 4.301% (LIBOR + 250 bps), 1/30/23
   905,014
 990,000 
Resideo Funding, Inc., Tranche B Term Loan, 4.2% (LIBOR + 225 bps), 10/24/25
   985,669
   Total Retail $11,129,698
   
Telecommunications - 0.5%
 
 3,235,477 
CenturyLink, Inc., Initial Term B Loan, 4.549% (LIBOR + 275 bps), 1/31/25
$3,252,554
 2,499,750 
Ciena Corp., Refinancing Term Loan, 3.765% (LIBOR + 200 bps), 9/26/25
 2,514,853
 2,747,115 
Commscope, Inc., Initial Term Loan, 5.049% (LIBOR + 325 bps), 4/6/26
 2,768,391
 2,457,121 
Go Daddy Operating Co. LLC (GD Finance Co., Inc.), Tranche B-2 Term Loan, 3.549% (LIBOR + 175 bps), 2/15/24
 2,473,571
 Principal
Amount
USD ($)
   Value
   Telecommunications - (continued) 
 1,990,234 
Level 3 Financing, Inc., Tranche B 2027 Term Loan, 3.549% (LIBOR + 175 bps), 3/1/27
$2,002,259
 899,461 
Plantronics, Inc., Initial Term B Loan, 4.299% (LIBOR + 250 bps), 7/2/25
   881,472
 5,544,000 
Sprint Communications, Inc., 2019 Incremental Term Loan, 4.813% (LIBOR + 300 bps), 2/2/24
 5,537,004
 2,555,296 
Sprint Communications, Inc., Initial Term Loan, 4.313% (LIBOR + 250 bps), 2/2/24
 2,538,510
 1,484,673 
Virgin Media Bristol LLC, N Facility, 4.24% (LIBOR + 250 bps), 1/31/28
 1,495,808
 680,541 
Windstream Services LLC (fka Windstream Corp.), Tranche B-7 Term Loan, 9.0% (PRIME + 425 bps), 2/17/24
   646,301
   Total Telecommunications $24,110,723
   
Transportation - 0.0%†
 
 2,425,500 
Envision Healthcare Corp., Initial Term Loan, 5.549% (LIBOR + 375 bps), 10/10/25
$2,077,846
 62,461 
Syncreon Group BV, Second Out Term Loan, 7.799% (LIBOR + 600 bps), 4/1/25
   54,653
 1,615,950 
Travelport Finance (Luxembourg) S.a.r.l., First Lien Initial Term Loan, 6.945% (LIBOR + 500 bps), 5/29/26
 1,513,337
   Total Transportation $3,645,836
   
Utilities - 0.0%†
 
 1,276,395 
APLP Holdings, Ltd. Partnership, Term Loan, 4.549% (LIBOR + 275 bps), 4/13/23
$1,281,711
 759,500 
Calpine Construction Finance Co., LP, Term B Loan, 4.299% (LIBOR + 250 bps), 1/15/25
   763,772
 498,750 
Calpine Corp., Term Loan, 4.299% (LIBOR + 250 bps), 8/12/26
   502,387
 489,940 
Eastern Power LLC (Eastern Covert Midco LLC) (aka TPF II LC LLC), Term Loan, 5.549% (LIBOR + 375 bps), 10/2/23
   491,969
 570,446 
Vistra Operations Co. LLC (fka Tex Operations Co. LLC), 2018 Incremental Term Loan, 3.537% (LIBOR + 175 bps), 12/31/25
   574,475
   Total Utilities $3,614,314
   TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS 
   
(Cost $240,110,783)
$240,714,167
   U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 2.5% of Net Assets
 7,236(b) 
Fannie Mae, 4.005% (2 Month USD LIBOR + 168 bps), 1/1/48
$7,645
 8,262(b) 
Fannie Mae, 4.106% (1 Year CMT Index + 211 bps), 9/1/32
   8,747
 278(b) 
Fannie Mae, 4.308% (1 Year CMT Index + 231 bps), 11/1/23
   283
 1,455,109(b) 
Fannie Mae, 4.318% (1 Year CMT Index + 213 bps), 8/1/37
 1,544,632
 7,305(b) 
Fannie Mae, 4.558% (1 Year CMT Index + 219 bps), 10/1/32
   7,419
 6,379(b) 
Fannie Mae, 4.92% (1 Year CMT Index + 217 bps), 2/1/34
   6,354
 10,200(b) 
Federal Home Loan Mortgage Corp., 4.125% (2 Month USD LIBOR + 200 bps), 11/1/33
   10,637
 1,834,795(b) 
Federal Home Loan Mortgage Corp., 4.267% (2 Month USD LIBOR + 177 bps), 9/1/35
 1,928,159
 1,252(b) 
Federal Home Loan Mortgage Corp., 4.371% (5 Year CMT Index + 212 bps), 6/1/35
   1,261
 896(b) 
Federal Home Loan Mortgage Corp., 4.582% (1 Year CMT Index + 230 bps), 10/1/23
   912
 2,036(b) 
Government National Mortgage Association II, 4.0% (1 Year CMT Index + 150 bps), 1/20/22
   2,053
 31,000,000(b) 
U.S. Treasury Floating Rate Notes, 1.746% (3 Month U.S. Treasury Bill Money Market Yield + 22 bps), 7/31/21
 31,013,266
 132,000,000(b) 
U.S. Treasury Floating Rate Notes, 1.826% (3 Month U.S. Treasury Bill Money Market Yield + 30 bps), 10/31/21
 132,221,768
   TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS 
   
(Cost $166,656,697)
$166,753,136
   TEMPORARY CASH INVESTMENTS - 5.2% of Net Assets 
   CERTIFICATES OF DEPOSIT - 0.5%
 6,100,000(b) 
Lloyds Bank Corporate Markets Plc, 2.516% (3 Month USD LIBOR + 55 bps), 7/19/21
$6,104,601
 13,000,000 
Nordea Bank, 2.14%, 1/31/20
13,003,504
 6,000,000(b) 
Svenska Handelsbanken AB, 1.894% (1 Month USD LIBOR + 19 bps), 5/5/20
6,000,129
 1,135,000(b) 
Swedbank AB, 2.23% (3 Month USD LIBOR + 32 bps), 8/24/20
1,136,663
 6,000,000(b) 
Toronto-Dominion Bank, 1.85% (French CPI Ex Tobacco Daily Reference Index + 30 bps), 2/27/20
6,000,334
    $32,245,231
   COMMERCIAL PAPERS - 4.3%
 14,000,000 
American Electric Power Co., Inc., 2.094%, 1/16/20
$13,987,947
 6,500,000 
American Electric Power Co., Inc., 2.094%, 1/22/20
6,492,131
 15,100,000 
Bell Canada, Inc., 1.896%, 1/9/20
15,093,084
 7,025,000 
Bell Canada, Inc., 1.858%, 1/15/20
7,019,526
 16,000,000 
Boeing Co., 2.03%, 2/18/20
15,959,166
 402,000 
Boston Scientific Corp., 2.112%, 1/6/20
401,879
 16,000,000 
Boston Scientific Corp., 2.073%, 1/9/20
15,992,608
 6,425,000 
Broadcom, Inc., 2.178%, 1/21/20
6,415,503
 16,400,000 
Canadian Natural Resources, Ltd., 2.103%, 1/21/20
16,380,082
 15,500,000 
Consolidated Edison, Inc., 1.825%, 1/6/20
15,495,314
 6,285,000 
EI du Pont de Nemours & Co., 2.109%, 1/3/20
6,284,075
 4,235,000 
Enable Midstream Partners LP, 2.055%, 1/9/20
4,232,251
 5,770,000 
Enel Finance America LLC, 2.242%, 1/14/20
5,765,701
 2,509,000 
Enel Finance America LLC, 2.153%, 1/16/20
2,506,840
 3,560,000 
Enel Finance America LLC, 2.09%, 2/20/20
3,549,348
 6,200,000 
Eni Finance USA, Inc., 2.201%, 1/2/20
6,199,378
 3,900,000 
Eni Finance USA, Inc., 2.037%, 1/17/20
3,896,591
 6,990,000 
Eni Finance USA, Inc., 2.057%, 1/22/20
6,981,982
 7,850,000 
ERAC USA Finance LLC, 1.855%, 1/7/20
7,847,222
 8,500,000 
ERAC USA Finance LLC, 2.243%, 1/14/20
8,493,667
 16,000,000 
Eversource Energy, 2.052%, 1/3/20
15,997,606
 6,500,000 
General Motors Financial, Inc., 2.374%, 1/6/20
6,497,150
 8,400,000 
Kinder Morgan, Inc., 1.85%, 1/2/20
8,398,751
 Principal
Amount
USD ($)
   Value
   COMMERCIAL PAPERS - (continued)
 6,000,000 
Mohawk Industries, Inc., 2.002%, 1/9/20
$5,997,228
 16,300,000 
NextEra Energy Capital Holdings, Inc., 2.003%, 1/15/20
16,286,892
 7,110,000 
Puget Sound Energy, Inc., 1.936%, 1/6/20
7,107,860
 6,000,000 
Puget Sound Energy, Inc., 1.874%, 1/8/20
5,997,554
 2,700,000 
Puget Sound Energy, Inc., 2.053%, 1/13/20
2,698,146
 13,000,000 
Sherwin Williams, 2.103%, 1/6/20
12,996,611
 10,000,000 
UDR, Inc., 1.903%, 1/6/20
9,996,990
 12,000,000 
UDR, Inc., 2.008%, 1/14/20
11,991,059
 9,600,000 
Volkswagen Credit, Inc., 2.191%, 1/6/20
9,597,110
    $282,557,252
   REPURCHASE AGREEMENTS - 0.4%
 6,590,000 
$6,590,000 Merrill Lynch, Pierce, Fenner & Smith, Inc., 1.57%, dated 12/31/19 plus accrued interest on 1/2/20 collateralized by $6,721,800 Federal National Mortgage Association, 3.28%, 6/1/46
6,590,000
 6,590,000 
$6,590,000 RBC Capital Markets LLC, 1.56%, dated 12/31/19 plus accrued interest on 1/2/20 collateralized by $6,772,383 Federal National Mortgage Association, 3.0%, 6/1/49
6,590,000
 6,590,000 
$6,590,000 ScotiaBank, 1.56%, dated 12/31/19 plus accrued interest on 1/2/20 collateralized by the following:
$1,361,072 Federal National Mortgage Association, 3.5%, 8/1/32-7/1/42
$5,413,928 U.S. Treasury Notes, 3.0%, 11/15/45
$6,590,000
 3,295,000 
$3,295,000 TD Securities USA LLC, 1.57%, dated 12/31/19 plus accrued interest on 1/2/20 collateralized by $3,360,901 Federal National Mortgage Association, 3.0%, 6/1/49
3,295,000
 3,295,000 
$3,295,000 TD Securities USA LLC, 1.55%, dated 12/31/19 plus accrued interest on 1/2/20 collateralized by $3,360,951 U.S. Treasury Notes, 6.63%, 1/14/20-2/15/27
3,295,000
    $26,360,000
   TOTAL TEMPORARY CASH INVESTMENTS  
   
(Cost $341,159,795)
 $341,162,483
   TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS - 99.3% 
   
(Cost $6,561,050,815)
$6,562,895,003
   OTHER ASSETS AND LIABILITIES - 0.7% $45,287,319
   NET ASSETS - 100.0%$6,608,182,322
 

bps
Basis Points.
CMT
Constant Maturity Treasury.
FREMF
Freddie Mac Multifamily Fixed-Rate Mortgage Loans.
LIBOR
London Interbank Offered Rate.
PRIME
U.S. Federal Funds Rate.
REMICS
Real Estate Mortgage Investment Conduits.
SOFRRATE
Secured Overnight Financing Rate.
Strips
T1Y
Separate trading of Registered interest and principal of securities.
U.S. Treasury Yield Curve Rate T Note Constant Maturity 1 Year.
(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 December 31, 2019, the value of these securities amounted to $3,984,364,995, or 60.3% of net assets.
Amount rounds to less than 0.1%.
*
Senior secured floating rate loan interests in which the Fund invests generally pay interest at rates that are periodically redetermined 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 December 31, 2019.
+
Security that used significant unobservable inputs to determine its value.
(a)
Non-income producing security.
(b)
Floating rate note. Coupon rate, reference index and spread shown at December 31, 2019.
(c)
Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at December 31, 2019.
(d)
The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at December 31, 2019.
(e)
Securities are restricted as to resale.
(f)
Security issued with a zero coupon. Income is recognized through accretion of discount.
(g)
Issued as participation notes.
(h)
Issued as preference shares.
(i)
Consists of Revenue Bonds unless otherwise indicated.
(j)
This term loan will settle after December 31, 2019, at which time the interest rate will be determined.

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels below.
 
Level 1 - 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).
 
The following is a summary of the inputs used as of December 31, 2019, in valuing the Fund’s investments:

  Level 1  Level 2  Level 3  Total 
Common Stock
 
$
  
$
32,684
  
$
  
$
32,684
 
Asset Backed Securities
  
   
2,611,940,147
   
   
2,611,940,147
 
Collateralized Mortgage Obligations
  
   
1,797,242,993
   
   
1,797,242,993
 
Corporate Bonds
  
   
1,118,155,794
   
   
1,118,155,794
 
Foreign Government Bonds
  
   
68,352,884
   
   
68,352,884
 
Insurance-Linked Securities
                
Event Linked Bonds                
Multiperil - U.S.  
   
36,378,250
   
2,028,600
   
38,406,850
 
Collateralized Reinsurance                
Earthquakes - California  
   
   
2,406,675
   
2,406,675
 
Multiperil - Massachusetts  
   
   
3,012,910
   
3,012,910
 
Multiperil - U.S.  
   
   
6,566,545
   
6,566,545
 
Multiperil - U.S. Regional  
   
   
5,538,046
   
5,538,046
 
Multiperil - Worldwide  
   
   
5,939,062
   
5,939,062
 
Windstorm - Florida  
   
   
1,149,825
   
1,149,825
 
Windstorm - North Carolina  
   
   
2,028,491
   
2,028,491
 
Windstorm - U.S. Regional  
   
   
2,472,950
   
2,472,950
 
Industry Loss Warranties                
Multiperil - U.S.  
   
   
5,354,366
   
5,354,366
 
Reinsurance Sidecars                
Multiperil - U.S.  
   
   
7,642,057
   
7,642,057
 
Multiperil - Worldwide  
   
   
52,380,144
   
52,380,144
 
All Other Insurance-Linked Securities  
   
85,497,295
   
   
85,497,295
 
Municipal Bond
  
   
145,499
   
   
145,499
 
Senior Secured Floating Rate Loan Interests  
   
240,714,167
   
   
240,714,167
 
U.S. Government and Agency Obligations
  
   
166,753,136
   
   
166,753,136
 
Certificates of Deposit
  
   
32,245,231
   
   
32,245,231
 
Commercial Papers
  
   
282,557,252
   
   
282,557,252
 
Repurchase Agreements
  
   
26,360,000
   
   
26,360,000
 
Total Investments in Securities $  $6,466,375,332  $96,519,671  $6,562,895,003 

The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):

  
Insurance-
Linked
Securities
 
Balance as of 3/31/19
 
$
90,513,904
 
Realized gain (loss)
  
(128,996
)
Change in unrealized appreciation (depreciation)
  
(186,946
)
Accrued discounts/premiums
  
--
 
Purchases
  
40,180,721
 
Sales
  
(33,859,012
)
Transfers in to Level 3*
  
 
Transfers out of Level 3*
  
 
Balance as of 12/31/19 $96,519,671 

*
Transfers are calculated on the beginning of period value. For the nine months ended December 31, 2019, there were no transfers between Levels 1, 2 and 3.

Net change in unrealized appreciation (depreciation) of Level 3 investments still held and considered Level 3 at December 31, 2019: $1,031,059.