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.