Pioneer Multi-Asset | |||
Ultrashort Income Fund | |||
Schedule of Investments | June 30, 2021 | |||
Ticker Symbols: | |||
Class A Class C Class C2 Class K Class Y | MAFRX MCFRX MAUCX MAUKX MYFRX |
Schedule of Investments | 6/30/21 (unaudited)
Principal Amount USD ($) | Value | ||||
UNAFFILIATED ISSUERS - 102.9% | |||||
ASSET BACKED SECURITIES - 25.9% of Net Assets | |||||
152,590(a) | 321 Henderson Receivables I LLC, Series 2004-A, Class A1, 0.423% (1 Month USD LIBOR + 35 bps), 9/15/45 (144A) | $ 150,340 | |||
223,717(a) | 321 Henderson Receivables I LLC, Series 2006-1A, Class A1, 0.273% (1 Month USD LIBOR + 20 bps), 3/15/41 (144A) | 221,916 | |||
647,687(a) | 321 Henderson Receivables I LLC, Series 2006-2A, Class A1, 0.273% (1 Month USD LIBOR + 20 bps), 6/15/41 (144A) | 633,978 | |||
849,711(a) | 321 Henderson Receivables I LLC, Series 2006-3A, Class A1, 0.273% (1 Month USD LIBOR + 20 bps), 9/15/41 (144A) | 830,733 | |||
616,548(a) | 321 Henderson Receivables I LLC, Series 2006-4A, Class A1, 0.273% (1 Month USD LIBOR + 20 bps), 12/15/41 (144A) | 613,667 | |||
321,664(a) | 321 Henderson Receivables I LLC, Series 2007-1A, Class A1, 0.273% (1 Month USD LIBOR + 20 bps), 3/15/42 (144A) | 310,603 | |||
3,000,000(a) | ABPCI Direct Lending Fund CLO V, Ltd., Series 2019-5A, Class CR, 4.287% (3 Month USD LIBOR + 420 bps), 4/20/31 (144A) | 3,004,605 | |||
5,000,000(a) | ABPCI Direct Lending Fund CLO X LP, Series 2020-10A, Class A1A, 2.138% (3 Month USD LIBOR + 195 bps), 1/20/32 (144A) | 5,011,025 | |||
1,890,199 | ACC Trust, Series 2019-2, Class A, 2.82%, 2/21/23 (144A) | 1,899,667 | |||
7,100,000(a) | Aimco CLO 11, Ltd., Series 2020-11A, Class A1, 1.564% (3 Month USD LIBOR + 138 bps), 10/15/31 (144A) | 7,112,922 | |||
3,325,000(a) | Allegro CLO XIII, Ltd., Series 2021-1A, Class X, 0.0% (3 Month USD LIBOR + 100 bps), 7/20/34 (144A) | 3,325,000 | |||
3,820,000 | AM Capital Funding LLC, Series 2018-1, Class A, 4.98%, 12/15/23 (144A) | 3,984,940 | |||
8,000,000 | American Credit Acceptance Receivables Trust, Series 2020-1, Class B, 2.08%, 12/13/23 (144A) | 8,021,323 | |||
1,334,544 | American Credit Acceptance Receivables Trust, Series 2020-2, Class A, 1.65%, 12/13/23 (144A) | 1,337,961 | |||
47,617(a) | Amortizing Residential Collateral Trust, Series 2002-BC5, Class M1, 1.127% (1 Month USD LIBOR + 104 bps), 7/25/32 | 47,631 | |||
9,850 | Amur Equipment Finance Receivables V LLC, Series 2018-1A, Class A2, 3.24%, 12/20/23 (144A) | 9,862 | |||
1,328,999 | Amur Equipment Finance Receivables V LLC, Series 2018-1A, Class D, 3.98%, 4/22/24 (144A) | 1,330,854 | |||
2,439,962 | Amur Equipment Finance Receivables VI LLC, Series 2018-2A, Class A2, 3.89%, 7/20/22 (144A) | 2,470,879 | |||
4,000,000 | Amur Equipment Finance Receivables VII LLC, Series 2019-1A, Class B, 2.8%, 3/20/25 (144A) | 4,112,395 | |||
1,750,000 | Amur Equipment Finance Receivables IX LLC, Series 2021-1A, Class D, 2.3%, 11/22/27 (144A) | 1,748,642 | |||
1,485,713(a) | Apidos CLO XXXII, Series 2019-32A, Class X, 0.838% (3 Month USD LIBOR + 65 bps), 1/20/33 (144A) | 1,485,712 | |||
6,553,390(a) | Apres Static CLO, Ltd., Series 2019-1A, Class A1R, 1.254% (3 Month USD LIBOR + 107 bps), 10/15/28 (144A) | 6,553,540 | |||
8,030,442 | Aqua Finance Trust, Series 2019-A, Class A, 3.14%, 7/16/40 (144A) | 8,248,964 | |||
7,380,855 | Aqua Finance Trust, Series 2020-AA, Class A, 1.9%, 7/17/46 (144A) | 7,464,747 | |||
7,500,000(a) | Arbor Realty Collateralized Loan Obligation, Ltd., Series 2020-FL1, Class D, 2.574% (1 Month USD LIBOR + 245 bps), 2/15/35 (144A) | 7,481,269 | |||
4,000,000(a) | Ares LVII CLO, Ltd., Series 2020-57A, Class X, 0.926% (3 Month USD LIBOR + 75 bps), 10/25/31 (144A) | 3,999,992 | |||
456,301(a) | Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M2, 1.142% (1 Month USD LIBOR + 105 bps), 11/25/34 | 457,614 | |||
35,627(a) | Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-W3, Class A2D, 0.772% (1 Month USD LIBOR + 68 bps), 11/25/35 | 35,590 | |||
3,317,288 | Arivo Acceptance Auto Loan Receivables Trust, Series 2019-1, Class A, 2.99%, 7/15/24 (144A) | 3,353,499 | |||
8,446,000 | ARM Master Trust, Series 2021-T2, Class A, 1.42%, 1/15/24 (144A) | 8,451,220 | |||
5,654,000 | ARM Master Trust, Series 2021-T2, Class B, 2.17%, 1/15/24 (144A) | 5,653,925 | |||
2,509(a) | Asset-Backed Pass-Through Certificates, Series 2004-R2, Class A1A, 0.782% (1 Month USD LIBOR + 69 bps), 4/25/34 | 2,509 | |||
26,421(a) | Asset-Backed Pass-Through Certificates, Series 2004-R2, Class A1B, 0.712% (1 Month USD LIBOR + 62 bps), 4/25/34 | 26,417 | |||
250,000(a) | ASSURANT CLO, Ltd., Series 2018-2A, Class D, 3.038% (3 Month USD LIBOR + 285 bps), 4/20/31 (144A) | 245,534 | |||
9,433,116(a) | Atlas Senior Loan Fund III, Ltd., Series 2013-1A, Class AR, 0.986% (3 Month USD LIBOR + 83 bps), 11/17/27 (144A) | 9,432,267 | |||
416,457(a) | Atlas Senior Loan Fund XII, Ltd., Series 2018-12A, Class X, 0.926% (3 Month USD LIBOR + 75 bps), 10/24/31 (144A) | 416,443 | |||
1,598,672 | Avid Automobile Receivables Trust, Series 2019-1, Class A, 2.62%, 2/15/24 (144A) | 1,606,525 | |||
6,250,000(a) | Barings Middle Market CLO, Ltd., Series 2018-IA, Class A1, 1.714% (3 Month USD LIBOR + 153 bps), 1/15/31 (144A) | 6,250,556 | |||
562,500(a) | Battery Park CLO, Ltd., Series 2019-1A, Class X, 0.834% (3 Month USD LIBOR + 65 bps), 7/15/32 (144A) | 562,499 | |||
3,500,000(a) | BDS, Ltd., Series 2020-FL5, Class C, 2.174% (1 Month USD LIBOR + 205 bps), 2/16/37 (144A) | 3,500,024 | |||
687,500(a) | Bean Creek CLO, Ltd., Series 2015-1A, Class XR, 0.788% (3 Month USD LIBOR + 60 bps), 4/20/31 (144A) | 687,487 | |||
260,988(a) | Bear Stearns Asset Backed Securities Trust, Series 2001-3, Class A1, 0.992% (1 Month USD LIBOR + 90 bps), 10/27/32 | 258,657 | |||
4,000,000 | Blackbird Capital Aircraft, Series 2021-1A, Class A, 2.443%, 7/15/46 (144A) | 4,023,136 | |||
11,500,000(a) | Blackrock DLF VIII-L CLO Trust, Series 2021-1A, Class A, 0.0% (3 Month USD LIBOR + 135 bps), 4/17/32 (144A) | 11,497,769 | |||
Principal Amount USD ($) | Value | ||||
ASSET BACKED SECURITIES - (continued) | |||||
2,000,000(a) | Brightwood Capital MM CLO, Ltd., Series 2020-1A, Class D, 5.519% (3 Month USD LIBOR + 540 bps), 12/15/28 (144A) | $2,014,228 | |||
607,983 | BXG Receivables Note Trust, Series 2020-A, Class B, 2.49%, 2/28/36 (144A) | 611,146 | |||
1,500,000(a) | California Street CLO IX LP, Series 2012-9A, Class XR2, 0.884% (3 Month USD LIBOR + 70 bps), 7/16/32 (144A) | 1,499,991 | |||
3,000,000(a) | Capital One Multi-Asset Execution Trust, Series 2016-A7, Class A7, 0.583% (1 Month USD LIBOR + 51 bps), 9/16/24 | 3,006,007 | |||
1,277,208 | Carnow Auto Receivables Trust, Series 2019-1A, Class A, 2.72%, 11/15/22 (144A) | 1,279,279 | |||
2,673,352 | CarNow Auto Receivables Trust, Series 2021-1A, Class A, 0.97%, 10/15/24 (144A) | 2,674,825 | |||
1,750,000 | CarNow Auto Receivables Trust, Series 2021-1A, Class B, 1.38%, 2/17/26 (144A) | 1,755,297 | |||
1,150,000 | CarNow Auto Receivables Trust, Series 2021-1A, Class C, 2.16%, 2/17/26 (144A) | 1,154,246 | |||
5,000,000 | Carvana Auto Receivables Trust, Series 2020-N1A, Class D, 3.43%, 1/15/26 (144A) | 5,211,572 | |||
1,000,000 | Carvana Auto Receivables Trust, Series 2021-P2, Class D, 2.02%, 5/10/28 | 997,570 | |||
6,750,000 | Carvana Auto Receivables Trust, Series 2021-P2, Class N, 1.88%, 5/10/28 (144A) | 6,749,837 | |||
5,000,000(a) | CBAM, Ltd., Series 2017-3A, Class A, 1.42% (3 Month USD LIBOR + 123 bps), 10/17/29 (144A) | 5,001,575 | |||
2,978(b) | Centex Home Equity Loan Trust, Series 2003-A, Class AF6, 3.654%, 3/25/33 | 2,985 | |||
1,500,000(a) | Cerberus Loan Funding XXVIII LP, Series 2020-1A, Class A, 2.034% (3 Month USD LIBOR + 185 bps), 10/15/31 (144A) | 1,502,394 | |||
3,961,510 | Chase Auto Credit Linked Notes, Series 2020-1, Class B, 0.991%, 1/25/28 (144A) | 3,972,875 | |||
9,000,000 | Chase Auto Credit Linked Notes, Series 2021-1, Class B, 0.875%, 9/25/28 (144A) | 9,006,044 | |||
2,068,000 | Chase Auto Credit Linked Notes, Series 2021-1, Class C, 1.024%, 9/25/28 (144A) | 2,068,318 | |||
4,000,000 | Chase Auto Credit Linked Notes, Series 2021-1, Class F, 4.28%, 9/25/28 (144A) | 3,991,523 | |||
1,352,775(a) | Chesapeake Funding II LLC, Series 2018-1A, Class A2, 0.523% (1 Month USD LIBOR + 45 bps), 4/15/30 (144A) | 1,352,895 | |||
16,865,000(a) | CIFC Funding, Ltd., Series 2015-3A, Class AR, 1.06% (3 Month USD LIBOR + 87 bps), 4/19/29 (144A) | 16,866,248 | |||
927,624 | CIG Auto Receivables Trust, Series 2019-1A, Class A, 3.33%, 8/15/24 (144A) | 930,460 | |||
1,410,892 | CIG Auto Receivables Trust, Series 2020-1A, Class A, 0.68%, 10/12/23 (144A) | 1,412,321 | |||
1,861,409(a) | CIM Small Business Loan Trust, Series 2018-1A, Class A, 1.493% (1 Month USD LIBOR + 140 bps), 3/20/43 (144A) | 1,842,974 | |||
10,000,000(a) | Citibank Credit Card Issuance Trust, Series 2017-A7, Class A7, 0.451% (1 Month USD LIBOR + 37 bps), 8/8/24 | 10,037,463 | |||
515,000(a) | Citibank Credit Card Issuance Trust, Series 2018-A4, Class A4, 0.42% (1 Month USD LIBOR + 34 bps), 6/7/25 | 517,430 | |||
125,000(a) | Clear Creek CLO, Series 2015-1A, Class X, 1.188% (3 Month USD LIBOR + 100 bps), 10/20/30 (144A) | 124,997 | |||
854,322 | Commonbond Student Loan Trust, Series 2016-B, Class A1, 2.73%, 10/25/40 (144A) | 866,986 | |||
163,945(a) | Commonbond Student Loan Trust, Series 2016-B, Class A2, 1.542% (1 Month USD LIBOR + 145 bps), 10/25/40 (144A) | 164,803 | |||
1,436,661(a) | Commonbond Student Loan Trust, Series 2017-AGS, Class A2, 0.942% (1 Month USD LIBOR + 85 bps), 5/25/41 (144A) | 1,436,847 | |||
2,545,714(a) | Commonbond Student Loan Trust, Series 2017-BGS, Class A2, 0.742% (1 Month USD LIBOR + 65 bps), 9/25/42 (144A) | 2,525,530 | |||
108,526 | Commonbond Student Loan Trust, Series 2017-BGS, Class C, 4.44%, 9/25/42 (144A) | 112,912 | |||
2,111,481(a) | Commonbond Student Loan Trust, Series 2018-AGS, Class A2, 0.592% (1 Month USD LIBOR + 50 bps), 2/25/44 (144A) | 2,097,537 | |||
4,307,263(a) | Commonbond Student Loan Trust, Series 2018-BGS, Class A2, 0.662% (1 Month USD LIBOR + 57 bps), 9/25/45 (144A) | 4,281,356 | |||
2,921,215(a) | Commonbond Student Loan Trust, Series 2018-CGS, Class A2, 0.892% (1 Month USD LIBOR + 80 bps), 2/25/46 (144A) | 2,902,721 | |||
5,134,941(a) | Commonbond Student Loan Trust, Series 2019-AGS, Class A2, 0.992% (1 Month USD LIBOR + 90 bps), 1/25/47 (144A) | 5,149,689 | |||
1,332,815 | Conn's Receivables Funding LLC, Series 2020-A, Class A, 1.71%, 6/16/25 (144A) | 1,333,917 | |||
3,371,985 | Conn's Receivables Funding LLC, Series 2020-A, Class C, 4.2%, 6/16/25 (144A) | 3,385,872 | |||
25,469(a) | Conseco Finance Home Equity Loan Trust, Series 2002-C, Class MV1, 1.573% (1 Month USD LIBOR + 150 bps), 5/15/32 | 25,489 | |||
8,468,418 | Consumer Loan Underlying Bond Club Certificate Issuer Trust, Series 2019-HP1, Class A, 2.59%, 12/15/26 (144A) | 8,544,030 | |||
2,127,463 | Consumer Loan Underlying Bond CLUB Credit Trust, Series 2020-P1, Class A, 2.26%, 3/15/28 (144A) | 2,136,580 | |||
110,347 | Consumer Loan Underlying Bond Credit Trust, Series 2019-P1, Class A, 2.94%, 7/15/26 (144A) | 110,440 | |||
5,000,000 | Credit Acceptance Auto Loan Trust, Series 2020-1A, Class C, 2.59%, 6/15/29 (144A) | 5,140,892 | |||
6,296,267 | Credito Real USA Auto Receivables Trust, Series 2021-1A, Class A, 1.35%, 2/16/27 (144A) | 6,297,364 | |||
7,870,000 | Credito Real USA Auto Receivables Trust, Series 2021-1A, Class B, 2.87%, 2/16/27 (144A) | 7,846,628 | |||
1,350,000 | Crossroads Asset Trust, Series 2021-A, Class B, 1.12%, 6/20/25 (144A) | 1,350,277 | |||
500,000 | Crossroads Asset Trust, Series 2021-A, Class D, 2.52%, 1/20/26 (144A) | 498,099 | |||
403,724(a) | CWHEQ Revolving Home Equity Loan Resuritization Trust, Series 2006-RES, Class 4M1A, 0.353% (1 Month USD LIBOR + 28 bps), 2/15/34 (144A) | 402,204 | |||
1,105,612(a) | CWHEQ Revolving Home Equity Loan Resuritization Trust, Series 2006-RES, Class 4N1A, 0.353% (1 Month USD LIBOR + 28 bps), 2/15/34 (144A) | 1,095,984 | |||
1,031,110 | Dell Equipment Finance Trust, Series 2020-1, Class A2, 2.26%, 6/22/22 (144A) | 1,037,606 | |||
85 | Delta Funding Home Equity Loan Trust, Series 1997-2, Class A6, 7.04%, 6/25/27 | 78 | |||
8,000,000(a) | Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A1, 0.407% (1 Month USD LIBOR + 33 bps), 12/11/34 (144A) | 8,006,052 | |||
178,407(a) | DRB Prime Student Loan Trust, Series 2016-B, Class A1, 1.892% (1 Month USD LIBOR + 180 bps), 6/25/40 (144A) | 178,844 | |||
Principal Amount USD ($) | Value | ||||
ASSET BACKED SECURITIES - (continued) | |||||
1,016,821(a) | DRB Prime Student Loan Trust, Series 2017-A, Class A1, 0.942% (1 Month USD LIBOR + 85 bps), 5/27/42 (144A) | $1,017,294 | |||
195,829 | Drive Auto Receivables Trust, Series 2020-2, Class A2A, 0.85%, 7/17/23 | 195,903 | |||
394,442(a) | Drug Royalty III LP 1, Series 2017-1A, Class A1, 2.741% (3 Month USD LIBOR + 250 bps), 4/15/27 (144A) | 394,439 | |||
1,492,587(a) | Drug Royalty III LP 1, Series 2018-1A, Class A1, 1.841% (3 Month USD LIBOR + 160 bps), 10/15/31 (144A) | 1,479,260 | |||
1,125,000(a) | Dryden 80 CLO, Ltd., Series 2019-80A, Class X, 1.09% (3 Month USD LIBOR + 90 bps), 1/17/33 (144A) | 1,124,998 | |||
190,466(a) | Earnest Student Loan Program LLC, Series 2016-C, Class A1, 1.942% (1 Month USD LIBOR + 185 bps), 10/27/36 (144A) | 190,466 | |||
182,732(a) | Earnest Student Loan Program LLC, Series 2016-D, Class A1, 1.492% (1 Month USD LIBOR + 140 bps), 1/25/41 (144A) | 182,859 | |||
561,852(a) | Earnest Student Loan Program LLC, Series 2017-A, Class A1, 1.092% (1 Month USD LIBOR + 100 bps), 1/25/41 (144A) | 562,362 | |||
7,000,000(a) | Ellington CLO IV, Ltd., Series 2019-4A, Class AR, 0.0% (3 Month USD LIBOR + 158 bps), 4/15/29 (144A) | 7,014,476 | |||
7,000,000(a) | Ellington CLO IV, Ltd., Series 2019-4A, Class BR, 0.0% (3 Month USD LIBOR + 200 bps), 4/15/29 (144A) | 7,007,581 | |||
3,362,500(a) | Ellington CLO IV, Ltd., Series 2019-4A, Class CR, 0.0% (3 Month USD LIBOR + 275 bps), 4/15/29 (144A) | 3,362,830 | |||
1,625,000(a) | Elmwood CLO IV, Ltd., Series 2020-1A, Class X, 0.884% (3 Month USD LIBOR + 70 bps), 4/15/33 (144A) | 1,607,380 | |||
4,187,444 | Encina Equipment Finance LLC, Series 2021-1A, Class A1, 0.5%, 9/15/25 (144A) | 4,187,297 | |||
867,458 | FCI Funding LLC, Series 2019-1A, Class A, 3.63%, 2/18/31 (144A) | 878,118 | |||
6,985,352 | FCI Funding LLC, Series 2021-1A, Class A, 1.13%, 4/15/33 (144A) | 6,985,727 | |||
5,239,014 | FCI Funding LLC, Series 2021-1A, Class B, 1.53%, 4/15/33 (144A) | 5,239,495 | |||
5,892,555 | FHF Trust, Series 2020-1A, Class A, 2.59%, 12/15/23 (144A) | 5,940,469 | |||
9,440,698 | FHF Trust, Series 2021-1A, Class A, 1.27%, 3/15/27 (144A) | 9,435,283 | |||
2,500,000(b) | Finance of America HECM Buyout, Series 2021-HB1, Class M3, 3.64%, 2/25/31 (144A) | 2,486,833 | |||
24,433(a) | First Franklin Mortgage Loan Trust, Series 2004-FF4, Class M1, 0.947% (1 Month USD LIBOR + 86 bps), 6/25/34 | 24,434 | |||
685,553 | First Investors Auto Owner Trust, Series 2019-1A, Class A, 2.89%, 3/15/24 (144A) | 688,603 | |||
9,965,761(a) | Fort CRE LLC, Series 2018-1A, Class A1, 1.446% (1 Month USD LIBOR + 135 bps), 11/16/35 (144A) | 9,971,373 | |||
500,000(a) | Fort Washington CLO, Series 2019-1A, Class A, 1.608% (3 Month USD LIBOR + 142 bps), 10/20/32 (144A) | 500,355 | |||
2,750,000(a) | Fortress Credit Opportunities VI CLO, Ltd., Series 2015-6A, Class A1TR, 1.548% (3 Month USD LIBOR + 136 bps), 7/10/30 (144A) | 2,741,280 | |||
5,040,000(a) | Fortress Credit Opportunities IX CLO, Ltd., Series 2017-9A, Class A1T, 1.706% (3 Month USD LIBOR + 155 bps), 11/15/29 (144A) | 5,040,630 | |||
1,921,416(a) | Fortress Credit Opportunities XIII CLO, Ltd., Series 2020-13A, Class A, 2.434% (3 Month USD LIBOR + 225 bps), 7/15/28 (144A) | 1,922,202 | |||
10,257,228 | Foundation Finance Trust, Series 2021-1A, Class A, 1.27%, 5/15/41 (144A) | 10,269,905 | |||
1,183,915 | Foursight Capital Automobile Receivables Trust, Series 2020-1, Class A2, 1.97%, 9/15/23 (144A) | 1,186,662 | |||
2,500,000 | Foursight Capital Automobile Receivables Trust, Series 2020-1, Class B, 2.27%, 2/18/25 (144A) | 2,547,830 | |||
439,076 | Freed ABS Trust, Series 2020-2CP, Class A, 4.52%, 6/18/27 (144A) | 441,271 | |||
1,593,020 | Freed ABS Trust, Series 2020-FP1, Class A, 2.52%, 3/18/27 (144A) | 1,601,054 | |||
1,300,000 | Freed ABS Trust, Series 2021-1CP, Class C, 2.83%, 3/20/28 (144A) | 1,316,277 | |||
9,263,315 | Freed ABS Trust, Series 2021-2, Class A, 0.68%, 6/19/28 (144A) | 9,267,431 | |||
6,000,000 | Freed ABS Trust, Series 2021-2, Class C, 1.94%, 6/19/28 (144A) | 5,992,817 | |||
872,112 | Genesis Private Label Amortizing Trust, Series 2020-1, Class A, 2.08%, 7/20/30 (144A) | 872,559 | |||
12,000,000 | Genesis Sales Finance Master Trust, Series 2021-AA, Class A, 1.2%, 12/21/26 (144A) | 11,969,437 | |||
1,000,000 | Genesis Sales Finance Master Trust, Series 2021-AA, Class D, 2.09%, 12/21/26 (144A) | 997,391 | |||
3,000,000 | GLS Auto Receivables Issuer Trust, Series 2019-3A, Class B, 2.72%, 6/17/24 (144A) | 3,052,676 | |||
442,980 | GLS Auto Receivables Trust, Series 2018-1A, Class B, 3.52%, 8/15/23 (144A) | 446,617 | |||
1,740,599 | Gold Key Resorts LLC, Series 2014-A, Class B, 3.72%, 3/17/31 (144A) | 1,764,934 | |||
500,000(a) | Goldentree Loan Management US CLO 1, Ltd., Series 2017-1A, Class ER2, 6.7% (3 Month USD LIBOR + 650 bps), 4/20/34 (144A) | 500,570 | |||
233,333(a) | Goldentree Loan Management US CLO 5, Ltd., Series 2019-5A, Class X, 0.688% (3 Month USD LIBOR + 50 bps), 10/20/32 (144A) | 233,333 | |||
583,333(a) | Goldentree Loan Management US CLO 8, Ltd., Series 2020-8A, Class X, 1.038% (3 Month USD LIBOR + 85 bps), 7/20/31 (144A) | 583,332 | |||
3,000,000(a) | Golub Capital Partners CLO 24M-R, Ltd., Series 2015-24A, Class AR, 1.776% (3 Month USD LIBOR + 160 bps), 11/5/29 (144A) | 3,000,855 | |||
1,821,000(a) | Golub Capital Partners CLO 25M, Ltd., Series 2015-25A, Class AR, 1.556% (3 Month USD LIBOR + 138 bps), 5/5/30 (144A) | 1,821,120 | |||
10,000,000(a) | Golub Capital Partners CLO 34M, Ltd., Series 2017-34A, Class AR, 1.895% (3 Month USD LIBOR + 170 bps), 3/14/31 (144A) | 9,940,490 | |||
5,000,000(a) | Golub Capital Partners CLO 46M, Ltd., Series 2019-46A, Class A1A, 1.988% (3 Month USD LIBOR + 180 bps), 4/20/32 (144A) | 5,012,370 | |||
2,499,902(a) | Gracie Point International Funding, Series 2020-B, Class A, 1.492% (1 Month USD LIBOR + 140 bps), 5/2/23 (144A) | 2,523,151 | |||
3,000,000(a) | Gracie Point International Funding, Series 2020-B, Class B, 2.492% (1 Month USD LIBOR + 240 bps), 5/2/23 (144A) | 3,025,715 | |||
Principal Amount USD ($) | Value | ||||
ASSET BACKED SECURITIES - (continued) | |||||
10,000,000(a) | Gracie Point International Funding, Series 2021-1A, Class A, 0.86% (1 Month USD LIBOR + 75 bps), 11/1/23 (144A) | $10,000,000 | |||
1,889,000(a) | Gracie Point International Funding, Series 2021-1A, Class C, 2.51% (1 Month USD LIBOR + 240 bps), 11/1/23 (144A) | 1,888,999 | |||
1,044,444(a) | Greywolf CLO III, Ltd., Series 2020-3RA, Class XR, 0.684% (3 Month USD LIBOR + 50 bps), 4/15/33 (144A) | 1,039,603 | |||
583,333(a) | Harbor Park CLO, Ltd., Series 2018-1A, Class X, 1.088% (3 Month USD LIBOR + 90 bps), 1/20/31 (144A) | 583,332 | |||
4,000,000 | HOA Funding LLC, Series 2015-1A, Class B, 9.0%, 8/20/44 (144A) | 3,940,120 | |||
37,275(a) | Home Equity Asset Trust, Series 2005-7, Class M1, 0.767% (1 Month USD LIBOR + 68 bps), 1/25/36 | 37,247 | |||
3,000,000(a) | Home Partners of America Trust, Series 2017-1, Class C, 1.632% (1 Month USD LIBOR + 155 bps), 7/17/34 (144A) | 3,006,108 | |||
2,500,000(a) | Home Partners of America Trust, Series 2017-1, Class D, 1.982% (1 Month USD LIBOR + 190 bps), 7/17/34 (144A) | 2,499,998 | |||
2,000,000(a) | Home Partners of America Trust, Series 2018-1, Class C, 1.332% (1 Month USD LIBOR + 125 bps), 7/17/37 (144A) | 2,004,874 | |||
4,000,000(a) | ICG US CLO Ltd., Series 2017-1A, Class ERR, 7.456% (3 Month USD LIBOR + 736 bps), 7/28/34 (144A) | 3,954,156 | |||
2,066,652(a) | Invitation Homes Trust, Series 2017-SFR2, Class C, 1.532% (1 Month USD LIBOR + 145 bps), 12/17/36 (144A) | 2,069,333 | |||
10,674,460(a) | Invitation Homes Trust, Series 2018-SFR1, Class A, 0.782% (1 Month USD LIBOR + 70 bps), 3/17/37 (144A) | 10,684,344 | |||
4,000,000(a) | Invitation Homes Trust, Series 2018-SFR1, Class B, 1.032% (1 Month USD LIBOR + 95 bps), 3/17/37 (144A) | 4,005,524 | |||
7,162,394(a) | Invitation Homes Trust, Series 2018-SFR1, Class D, 1.532% (1 Month USD LIBOR + 145 bps), 3/17/37 (144A) | 7,172,167 | |||
1,750,000(a) | Invitation Homes Trust, Series 2018-SFR2, Class C, 1.353% (1 Month USD LIBOR + 128 bps), 6/17/37 (144A) | 1,752,518 | |||
9,998,014(a) | Invitation Homes Trust, Series 2018-SFR2, Class D, 1.523% (1 Month USD LIBOR + 145 bps), 6/17/37 (144A) | 10,017,117 | |||
5,000,000(a) | Ivy Hill Middle Market Credit Fund XII, Ltd., Series 12A, Class A1TR, 1.742% (3 Month USD LIBOR + 160 bps), 7/20/33 (144A) | 4,998,750 | |||
297,051(a) | KVK CLO, Ltd., Series 2018-1A, Class A, 1.085% (3 Month USD LIBOR + 93 bps), 5/20/29 (144A) | 297,160 | |||
15,000,000(a) | KVK CLO, Ltd., Series 2018-1A, Class B, 1.805% (3 Month USD LIBOR + 165 bps), 5/20/29 (144A) | 15,003,945 | |||
5,500,000(a) | Lake Shore MM CLO III LLC, Series 2020-1A, Class A, 2.484% (3 Month USD LIBOR + 230 bps), 10/15/29 (144A) | 5,516,918 | |||
3,121,392(a) | Laurel Road Prime Student Loan Trust, Series 2017-C, Class A1, 0.642% (1 Month USD LIBOR + 55 bps), 11/25/42 (144A) | 3,111,777 | |||
44,966 | Laurel Road Prime Student Loan Trust, Series 2020-A, Class A1FX, 0.72%, 11/25/50 (144A) | 44,972 | |||
275,000(a) | LCM 28, Ltd., Series 28A, Class X, 1.088% (3 Month USD LIBOR + 90 bps), 10/20/30 (144A) | 274,996 | |||
8,000,000(a) | LCM XVIII LP, Series 18A, Class A1R, 1.208% (3 Month USD LIBOR + 102 bps), 4/20/31 (144A) | 7,980,136 | |||
349,586(a) | Lehman XS Trust, Series 2005-4, Class 1A3, 0.892% (1 Month USD LIBOR + 80 bps), 10/25/35 | 349,881 | |||
8,684,000 | Lendingpoint Asset Securitization Trust, Series 2020-1, Class C, 4.143%, 2/10/26 (144A) | 8,768,381 | |||
9,364,024 | LFS 2021A LLC, Series 2021-A, Class A, 2.46%, 4/15/33 (144A) | 9,363,424 | |||
415,708 | LL ABS Trust, Series 2019-1A, Class A, 2.87%, 3/15/27 (144A) | 416,016 | |||
2,385,668 | LL ABS Trust, Series 2020-1A, Class A, 2.33%, 1/17/28 (144A) | 2,402,480 | |||
7,500,000(a) | LoanCore Issuer, Ltd., Series 2019-CRE2, Class A, 1.203% (1 Month USD LIBOR + 113 bps), 5/15/36 (144A) | 7,497,660 | |||
7,094,781(a) | M360 LLC, Series 2019-CRE2, Class A, 1.524% (1 Month USD LIBOR + 140 bps), 9/15/34 (144A) | 7,098,862 | |||
1,000,000(a) | Madison Park Funding XII, Ltd., Series 2014-12A, Class CR, 2.538% (3 Month USD LIBOR + 235 bps), 7/20/26 (144A) | 1,000,411 | |||
1,100,000(a) | Madison Park Funding XLV, Ltd., Series 2020-45A, Class ER, 0.0% (3 Month USD LIBOR + 635 bps), 7/15/34 (144A) | 1,100,000 | |||
248,216(a) | Magnetite VII, Ltd., Series 2012-7A, Class A1R2, 0.984% (3 Month USD LIBOR + 80 bps), 1/15/28 (144A) | 248,231 | |||
8,629,000(a) | Magnetite XVIII, Ltd., Series 2016-18A, Class AR, 1.236% (3 Month USD LIBOR + 108 bps), 11/15/28 (144A) | 8,629,086 | |||
1,085,979 | Marlette Funding Trust, Series 2020-1A, Class A, 2.24%, 3/15/30 (144A) | 1,087,873 | |||
2,500,000(a) | MCF CLO VII LLC, Series 2017-3A, Class ER, 9.291% (3 Month USD LIBOR + 915 bps), 7/20/33 (144A) | 2,437,748 | |||
5,250,000 | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.54%, 3/20/26 (144A) | 5,265,499 | |||
7,000,000 | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class B, 2.33%, 3/20/26 (144A) | 7,040,015 | |||
190,630(a) | Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1B, 0.952% (1 Month USD LIBOR + 86 bps), 6/25/35 | 189,724 | |||
9,000,000(a) | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL6, Class E, 3.05% (1 Month USD LIBOR + 295 bps), 7/16/36 (144A) | 9,011,191 | |||
9,000,000(a) | MF1, Ltd., Series 2020-FL4, Class A, 1.824% (1 Month USD LIBOR + 170 bps), 11/15/35 (144A) | 9,073,108 | |||
9,000,000(a) | MJX Venture Management II LLC, Series 2014-18RR, Class A, 1.404% (3 Month USD LIBOR + 122 bps), 10/16/29 (144A) | 9,000,810 | |||
2,024,154 | MMAF Equipment Finance LLC, Series 2019-B, Class A2, 2.07%, 10/12/22 (144A) | 2,034,704 | |||
4,750,000(a) | Monroe Capital Bsl CLO, Ltd., Series 2015-1A, Class CR, 2.6% (3 Month USD LIBOR + 245 bps), 5/22/27 (144A) | 4,750,019 | |||
Principal Amount USD ($) | Value | ||||
ASSET BACKED SECURITIES - (continued) | |||||
391,626(a) | Morgan Stanley Home Equity Loan Trust, Series 2006-2, Class A4, 0.652% (1 Month USD LIBOR + 56 bps), 2/25/36 | $ 388,646 | |||
4,066,667 | MVW LLC, Series 2021-1WA, Class A, 1.14%, 1/22/41 (144A) | 4,064,759 | |||
2,064,905(a) | National Collegiate Trust, Series 2007-A, Class A, 0.387% (1 Month USD LIBOR + 30 bps), 5/25/31 (144A) | 2,028,460 | |||
3,163,390(b) | Nationstar HECM Loan Trust, Series 2019-1A, Class A, 2.651%, 6/25/29 (144A) | 3,168,103 | |||
3,288,321(b) | Nationstar HECM Loan Trust, Series 2020-1A, Class A1, 1.269%, 9/25/30 (144A) | 3,296,545 | |||
4,842,522(a) | Navient Student Loan Trust, Series 2021-1A, Class A1B, 0.692% (1 Month USD LIBOR + 60 bps), 12/26/69 (144A) | 4,869,190 | |||
4,000,000(a) | Navistar Financial Dealer Note Master Trust, Series 2020-1, Class A, 1.042% (1 Month USD LIBOR + 95 bps), 7/25/25 (144A) | 4,031,205 | |||
1,000,000(a) | Navistar Financial Dealer Note Master Trust, Series 2020-1, Class C, 2.242% (1 Month USD LIBOR + 215 bps), 7/25/25 (144A) | 1,011,017 | |||
1,220,012 | Nelnet Private Education Loan Trust, Series 2016-A, Class A1B, 3.6%, 12/26/40 (144A) | 1,239,744 | |||
7,328,556(a) | Nelnet Student Loan Trust, Series 2005-2, Class A5, 0.235% (3 Month USD LIBOR + 10 bps), 3/23/37 | 7,211,755 | |||
13,575,000 | Nelnet Student Loan Trust, Series 2021-A, Class APT1, 1.36%, 4/20/62 (144A) | 13,580,290 | |||
5,000,000(a) | Neuberger Berman CLO XXI, Ltd., Series 2016-21A, Class XR2, 1.06% (3 Month USD LIBOR + 90 bps), 4/20/34 (144A) | 5,000,050 | |||
2,062,500(a) | Neuberger Berman CLO XXII, Ltd., Series 2016-22A, Class XR, 1.09% (3 Month USD LIBOR + 90 bps), 10/17/30 (144A) | 2,062,496 | |||
503,913(a) | Newtek Small Business Loan Trust, Series 2016-1A, Class A, 3.092% (1 Month USD LIBOR + 300 bps), 2/25/42 (144A) | 504,958 | |||
2,967,698(a) | Newtek Small Business Loan Trust, Series 2017-1, Class A, 2.092% (1 Month USD LIBOR + 200 bps), 2/25/43 (144A) | 2,952,657 | |||
3,925,107(a) | Newtek Small Business Loan Trust, Series 2018-1, Class A, 2.7% (PRIME + -55 bps), 2/25/44 (144A) | 3,864,384 | |||
3,019,313(a) | Newtek Small Business Loan Trust, Series 2018-1, Class B, 4.0% (PRIME + 75 bps), 2/25/44 (144A) | 2,918,641 | |||
9,087,245(a) | Newtek Small Business Loan Trust, Series 2019-1, Class A, 2.35% (PRIME + -90 bps), 12/25/44 (144A) | 8,954,012 | |||
1,938,612(a) | Newtek Small Business Loan Trust, Series 2019-1, Class B, 3.5% (PRIME + 25 bps), 12/25/44 (144A) | 1,846,527 | |||
1,300,000 | NextGear Floorplan Master Owner Trust, Series 2018-2A, Class A2, 3.69%, 10/15/23 (144A) | 1,313,005 | |||
3,189,731 | NMEF Funding LLC, Series 2019-A, Class A, 2.73%, 8/17/26 (144A) | 3,203,143 | |||
1,800,000 | NMEF Funding LLC, Series 2019-A, Class C, 3.3%, 8/17/26 (144A) | 1,840,195 | |||
127,150(a) | NovaStar Mortgage Funding Trust, Series 2003-1, Class A2, 0.872% (1 Month USD LIBOR + 78 bps), 5/25/33 | 126,478 | |||
6,768,826 | Oasis LLC, Series 2020-1A, Class A, 3.82%, 1/15/32 (144A) | 6,799,460 | |||
4,380,636 | Oasis LLC, Series 2020-2A, Class A, 4.262%, 5/15/32 (144A) | 4,417,701 | |||
7,713,306 | Oasis Securitization Funding LLC, Series 2021-1A, Class A, 2.579%, 2/15/33 (144A) | 7,728,862 | |||
1,500,000(a) | Octagon Investment Partners XXI, Ltd., Series 2014-1A, Class XR3, 0.804% (3 Month USD LIBOR + 65 bps), 2/14/31 (144A) | 1,499,997 | |||
1,625,000(a) | Octagon Investment Partners XXII, Ltd., Series 2014-1A, Class XRR, 0.834% (3 Month USD LIBOR + 65 bps), 1/22/30 (144A) | 1,624,964 | |||
5,921,328 | Octane Receivables Trust, Series 2020-1A, Class A, 1.71%, 2/20/25 (144A) | 5,972,211 | |||
10,750,000 | Octane Receivables Trust, Series 2021-1A, Class A, 0.93%, 3/22/27 (144A) | 10,755,424 | |||
2,750,000 | Octane Receivables Trust, Series 2021-1A, Class C, 2.23%, 11/20/28 (144A) | 2,760,452 | |||
642,857(a) | OHA Credit Funding 3, Ltd., Series 2019-3A, Class X, 0.838% (3 Month USD LIBOR + 65 bps), 7/20/32 (144A) | 642,857 | |||
2,250,000(a) | OHA Credit Funding 5, Ltd., Series 2020-5A, Class X, 0.74% (3 Month USD LIBOR + 55 bps), 4/18/33 (144A) | 2,226,373 | |||
929,400 | OneMain Financial Issuance Trust, Series 2019-1A, Class A, 3.48%, 2/14/31 (144A) | 930,496 | |||
170,000 | OneMain Financial Issuance Trust, Series 2019-1A, Class B, 3.79%, 2/14/31 (144A) | 170,596 | |||
7,500,000(a) | OneMain Financial Issuance Trust, Series 2021-1A, Class A2, 0.77% (SOFR30A + 76 bps), 6/16/36 (144A) | 7,606,499 | |||
6,000,000 | Oportun Funding XIV LLC, Series 2021-A, Class B, 1.76%, 3/8/28 (144A) | 5,975,407 | |||
3,000,000 | Oportun Funding XIV LLC, Series 2021-A, Class D, 5.4%, 3/8/28 (144A) | 2,999,790 | |||
5,000,000(a) | Owl Rock CLO I, Ltd., Series 2019-1A, Class B, 2.855% (3 Month USD LIBOR + 270 bps), 5/20/31 (144A) | 5,004,890 | |||
11,000,000(a) | Owl Rock CLO II, Ltd., Series 2019-2A, Class ALR, 1.744% (3 Month USD LIBOR + 155 bps), 4/20/33 (144A) | 11,009,845 | |||
2,000,000(a) | Owl Rock CLO IV, Ltd., Series 2020-4A, Class A1, 2.775% (3 Month USD LIBOR + 262 bps), 5/20/29 (144A) | 2,000,000 | |||
2,000,000(a) | Owl Rock CLO IV, Ltd., Series 2020-4A, Class A1R, 0.0% (3 Month USD LIBOR + 160 bps), 8/20/33 (144A) | 2,000,212 | |||
3,000,000(a) | OZLM XXIII, Ltd., Series 2019-23A, Class X, 1.084% (3 Month USD LIBOR + 90 bps), 4/15/34 (144A) | 2,999,994 | |||
1,465,865 | Pagaya AI Debt Selection Trust, Series 2020-3, Class A, 2.1%, 5/17/27 (144A) | 1,476,461 | |||
7,413,258 | Pagaya AI Debt Selection Trust, Series 2021-1, Class A, 1.18%, 11/15/27 (144A) | 7,428,532 | |||
4,000,000(a) | Palmer Square Loan Funding, Ltd., Series 2020-4A, Class C, 3.747% (3 Month USD LIBOR + 360 bps), 11/25/28 (144A) | 4,013,380 | |||
1,250,000(a) | Palmer Square Loan Funding, Ltd., Series 2021-2A, Class D, 5.146% (3 Month USD LIBOR + 500 bps), 5/20/29 (144A) | 1,250,673 | |||
4,400,000(a) | Parallel, Ltd., Series 2021-1A, Class D, 3.582% (3 Month USD LIBOR + 345 bps), 7/15/34 (144A) | 4,399,943 | |||
4,866,639 | Pawnee Equipment Receivables LLC, Series 2019-1, Class A2, 2.29%, 10/15/24 (144A) | 4,913,696 | |||
Principal Amount USD ($) | Value | ||||
ASSET BACKED SECURITIES - (continued) | |||||
2,636,343 | Pawnee Equipment Receivables LLC, Series 2020-1, Class A, 1.37%, 11/17/25 (144A) | $ 2,649,088 | |||
6,566,811 | PEAR LLC, Series 2020-1, Class A, 3.75%, 12/15/32 (144A) | 6,565,312 | |||
30,000,000(a) | PFS Financing Corp., Series 2019-B, Class A, 0.623% (1 Month USD LIBOR + 55 bps), 9/15/23 (144A) | 30,024,090 | |||
2,500,000 | PFS Financing Corp., Series 2021-A, Class A, 0.71%, 4/15/26 (144A) | 2,498,290 | |||
16,117,000(a) | Pnmac GMSR Issuer Trust, Series 2018-GT2, Class A, 2.742% (1 Month USD LIBOR + 265 bps), 8/25/25 (144A) | 16,092,275 | |||
288,649 | Prosper Marketplace Issuance Trust, Series 2019-4A, Class A, 2.48%, 2/17/26 (144A) | 289,009 | |||
3,500,000 | Purchasing Power Funding LLC, Series 2021-A, Class A, 1.57%, 10/15/25 (144A) | 3,499,408 | |||
4,860,000 | Purchasing Power Funding LLC, Series 2021-A, Class C, 2.53%, 10/15/25 (144A) | 4,857,237 | |||
2,310,000 | Purchasing Power Funding LLC, Series 2021-A, Class D, 4.37%, 10/15/25 (144A) | 2,308,210 | |||
4,745,118(a) | RAAC Trust, Series 2006-RP1, Class M2, 1.292% (1 Month USD LIBOR + 120 bps), 10/25/45 (144A) | 4,785,507 | |||
339,172(a) | RAMP Trust, Series 2005-EFC6, Class M2, 0.737% (1 Month USD LIBOR + 43 bps), 11/25/35 | 338,852 | |||
447,368(a) | RASC Trust, Series 2005-KS1, Class M1, 0.767% (1 Month USD LIBOR + 45 bps), 2/25/35 | 447,582 | |||
8,414,493(a) | ReadyCap Lending Small Business Loan Trust, Series 2019-2, Class A, 2.75% (PRIME + -50 bps), 12/27/44 (144A) | 8,043,357 | |||
4,500,000(a) | Regatta VI Funding, Ltd., Series 2016-1A, Class XR, 0.935% (3 Month USD LIBOR + 80 bps), 4/20/34 (144A) | 4,499,996 | |||
4,500,000(a) | Regatta VII Funding, Ltd., Series 2016-1A, Class X, 0.0% (3 Month USD LIBOR + 85 bps), 6/20/34 (144A) | 4,500,000 | |||
6,400,000 | Republic Finance Issuance Trust, Series 2019-A, Class A, 3.43%, 11/22/27 (144A) | 6,468,138 | |||
7,500,000(a) | Rosy, Series 2018-1, Class A2, 3.377% (1 Month USD LIBOR + 325 bps), 12/15/25 (144A) | 7,200,000 | |||
21,132(a) | Salomon Mortgage Loan Trust, Series 2001-CB4, Class 1A1, 0.992% (1 Month USD LIBOR + 90 bps), 11/25/33 | 21,136 | |||
4,984,179 | SCF Equipment Leasing LLC, Series 2019-2A, Class A1, 2.22%, 6/20/24 (144A) | 5,014,057 | |||
1,500,000 | SCF Equipment Leasing LLC, Series 2021-1A, Class A3, 0.83%, 8/21/28 (144A) | 1,489,907 | |||
7,722(a) | Securitized Asset Backed Receivables LLC Trust, Series 2005-OP2, Class M1, 0.737% (1 Month USD LIBOR + 65 bps), 10/25/35 | 7,717 | |||
263,348(a) | Security National Mortgage Loan Trust, Series 2007-1A, Class 2A, 0.442% (1 Month USD LIBOR + 35 bps), 4/25/37 (144A) | 263,179 | |||
1,291,168 | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class A, 0.99%, 11/20/37 (144A) | 1,287,033 | |||
1,420,284 | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class D, 3.17%, 11/20/37 (144A) | 1,429,951 | |||
6,388,718(a) | SLM Private Credit Student Loan Trust, Series 2007-A, Class A4A, 0.359% (3 Month USD LIBOR + 24 bps), 12/16/41 | 6,228,989 | |||
12,791,755(a) | SLM Student Loan Trust, Series 2006-10, Class A6, 0.326% (3 Month USD LIBOR + 15 bps), 3/25/44 | 12,544,626 | |||
833,212 | Small Business Lending Trust, Series 2019-A, Class A, 2.85%, 7/15/26 (144A) | 832,701 | |||
2,532,599 | Small Business Lending Trust, Series 2020-A, Class A, 2.62%, 12/15/26 (144A) | 2,540,698 | |||
1,500,000 | Small Business Lending Trust, Series 2020-A, Class B, 3.2%, 12/15/26 (144A) | 1,507,378 | |||
1,000,000 | Small Business Lending Trust, Series 2020-A, Class C, 5.01%, 12/15/26 (144A) | 980,650 | |||
2,102,294 | Sofi Consumer Loan Program LLC, Series 2016-1, Class A, 3.26%, 8/25/25 (144A) | 2,106,500 | |||
2,916,242 | Sofi Consumer Loan Program Trust, Series 2018-1, Class B, 3.65%, 2/25/27 (144A) | 2,956,525 | |||
227,140 | Sofi Consumer Loan Program Trust, Series 2019-2, Class A, 3.01%, 4/25/28 (144A) | 227,755 | |||
932,169(a) | Sofi Professional Loan Program LLC, Series 2015-D, Class A1, 1.592% (1 Month USD LIBOR + 150 bps), 10/27/36 (144A) | 939,037 | |||
947,129(a) | Sofi Professional Loan Program LLC, Series 2016-A, Class A1, 1.842% (1 Month USD LIBOR + 175 bps), 8/25/36 (144A) | 954,404 | |||
583,750(a) | Sofi Professional Loan Program LLC, Series 2016-B, Class A1, 1.292% (1 Month USD LIBOR + 120 bps), 6/25/33 (144A) | 587,362 | |||
1,518,304(a) | Sofi Professional Loan Program LLC, Series 2016-C, Class A1, 1.192% (1 Month USD LIBOR + 110 bps), 10/27/36 (144A) | 1,524,458 | |||
379,503(a) | Sofi Professional Loan Program LLC, Series 2016-D, Class A1, 1.042% (1 Month USD LIBOR + 95 bps), 1/25/39 (144A) | 380,982 | |||
695,984(a) | Sofi Professional Loan Program LLC, Series 2016-E, Class A1, 0.942% (1 Month USD LIBOR + 85 bps), 7/25/39 (144A) | 697,197 | |||
256,080(a) | Sofi Professional Loan Program LLC, Series 2017-A, Class A1, 0.792% (1 Month USD LIBOR + 70 bps), 3/26/40 (144A) | 256,448 | |||
301,935(a) | Sofi Professional Loan Program LLC, Series 2017-C, Class A1, 0.692% (1 Month USD LIBOR + 60 bps), 7/25/40 (144A) | 302,125 | |||
351,124(a) | Sofi Professional Loan Program LLC, Series 2017-E, Class A1, 0.592% (1 Month USD LIBOR + 50 bps), 11/26/40 (144A) | 351,348 | |||
778,693(a) | Sofi Professional Loan Program LLC, Series 2018-A, Class A1, 0.442% (1 Month USD LIBOR + 35 bps), 2/25/42 (144A) | 774,869 | |||
513,924 | Sofi Professional Loan Program LLC, Series 2019-C, Class A1FX, 2.13%, 11/16/48 (144A) | 514,353 | |||
5,500,000(a) | Sound Point CLO V-R, Ltd., Series 2014-1RA, Class D, 3.29% (3 Month USD LIBOR + 310 bps), 7/18/31 (144A) | 5,341,996 | |||
3,000,000(a) | Sound Point CLO XVI, Ltd., Series 2017-2A, Class D, 3.776% (3 Month USD LIBOR + 360 bps), 7/25/30 (144A) | 2,959,791 | |||
800,000(a) | Sound Point CLO XXV, Ltd., Series 2019-4A, Class X, 0.834% (3 Month USD LIBOR + 65 bps), 1/15/33 (144A) | 799,999 | |||
3,566,514 | SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.97%, 9/25/37 (144A) | 3,601,756 | |||
2,628,198 | Springleaf Funding Trust, Series 2015-BA, Class A, 3.48%, 5/15/28 (144A) | 2,631,284 | |||
38,834(a) | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-NC2, Class M4, 0.797% (1 Month USD LIBOR + 71 bps), 5/25/35 | 38,866 | |||
9,000,000(a) | STWD, Ltd., Series 2021-FL2, Class A, 1.283% (1 Month USD LIBOR + 120 bps), 4/18/38 (144A) | 9,011,264 | |||
Principal Amount USD ($) | Value | ||||
ASSET BACKED SECURITIES - (continued) | |||||
6,000,000(a) | STWD, Ltd., Series 2021-SIF1, Class A, 1.695% (3 Month USD LIBOR + 150 bps), 4/15/32 (144A) | $ 6,003,780 | |||
1,500,000(a) | STWD, Ltd., Series 2021-SIF1, Class C, 2.545% (3 Month USD LIBOR + 235 bps), 4/15/32 (144A) | 1,500,000 | |||
4,750,000(a) | THL Credit Wind River CLO, Ltd., Series 2019-1A, Class XR, 1.096% (3 Month USD LIBOR + 95 bps), 7/20/34 (144A) | 4,750,000 | |||
1,586,000 | Tidewater Auto Receivables Trust, Series 2018-AA, Class E, 5.48%, 10/15/26 (144A) | 1,604,155 | |||
4,835,184 | Tidewater Auto Receivables Trust, Series 2020-AA, Class A2, 1.39%, 8/15/24 (144A) | 4,856,577 | |||
2,750,000 | Tidewater Auto Receivables Trust, Series 2020-AA, Class E, 3.35%, 7/17/28 (144A) | 2,790,120 | |||
8,406,150(a) | Towd Point Asset Trust, Series 2018-SL1, Class A, 0.692% (1 Month USD LIBOR + 60 bps), 1/25/46 (144A) | 8,357,048 | |||
11,000,000(a) | Towd Point Asset Trust, Series 2018-SL1, Class B, 1.142% (1 Month USD LIBOR + 105 bps), 1/25/46 (144A) | 10,817,932 | |||
136,641(b) | Towd Point Mortgage Trust, Series 2015-5, Class A1B, 2.75%, 5/25/55 (144A) | 136,633 | |||
4,541,212(b) | Towd Point Mortgage Trust, Series 2018-SJ1, Class XA, 5.0%, 10/25/58 (144A) | 4,635,756 | |||
4,040,267(a) | Towd Point Mortgage Trust, Series 2019-HY2, Class A1, 1.092% (1 Month USD LIBOR + 100 bps), 5/25/58 (144A) | 4,071,005 | |||
446,740(b) | Towd Point Mortgage Trust, Series 2019-HY2, Class XA, 5.0%, 5/25/58 (144A) | 446,257 | |||
2,351,349(a) | Towd Point Mortgage Trust, Series 2019-HY3, Class A1A, 1.092% (1 Month USD LIBOR + 100 bps), 10/25/59 (144A) | 2,368,861 | |||
2,745,541 | Towd Point Mortgage Trust, Series 2019-HY3, Class XA, 4.5%, 10/25/59 (144A) | 2,726,638 | |||
1,791,528(b) | Towd Point Mortgage Trust, Series 2019-SJ1, Class XA, 5.0%, 11/25/58 (144A) | 1,794,624 | |||
1,739,007(b) | Towd Point Mortgage Trust, Series 2019-SJ2, Class XA, 5.0%, 11/25/58 (144A) | 1,810,874 | |||
7,074,317(b) | Towd Point Mortgage Trust, Series 2019-SJ3, Class A1, 3.0%, 11/25/59 (144A) | 7,119,416 | |||
8,614,124(b) | Towd Point Mortgage Trust, Series 2019-SJ3, Class XA, 4.5%, 11/25/59 (144A) | 8,614,124 | |||
12,485,642 | Towd Point Mortgage Trust, Series 2020-4, Class XA, 3.25%, 10/25/60 (144A) | 12,416,911 | |||
13,750,000(a) | Trafigura Securitisation Finance Plc, Series 2018-1A, Class A1, 0.803% (1 Month USD LIBOR + 73 bps), 3/15/22 (144A) | 13,748,350 | |||
2,500,000 | Trafigura Securitisation Finance Plc, Series 2018-1A, Class B, 4.29%, 3/15/22 (144A) | 2,501,373 | |||
1,076,923(a) | Tralee CLO V, Ltd., Series 2018-5A, Class AX, 0.888% (3 Month USD LIBOR + 70 bps), 10/20/28 (144A) | 1,076,574 | |||
1,500,000(a) | Trinitas CLO XVI, Ltd., Series 2021-16A, Class D, 0.0% (3 Month USD LIBOR + 330 bps), 7/20/34 (144A) | 1,499,841 | |||
16,400,000(a) | TRTX Issuer, Ltd., Series 2019-FL3, Class C, 2.224% (1 Month USD LIBOR + 210 bps), 10/15/34 (144A) | 16,297,616 | |||
3,415,962 | TVEST LLC, Series 2020-A, Class A, 4.5%, 7/15/32 (144A) | 3,445,226 | |||
42,005 | United Auto Credit Securitization Trust, Series 2020-1, Class A, 0.85%, 5/10/22 (144A) | 42,009 | |||
4,700,000 | United Auto Credit Securitization Trust, Series 2021-1, Class F, 4.3%, 9/10/27 (144A) | 4,705,935 | |||
1,500,000 | Upstart Pass-Through Trust Series, Series 2021-ST4, Class A, 2.0%, 7/20/27 (144A) | 1,499,323 | |||
6,450,000 | Upstart Pass-Through Trust Series, Series 2021-ST5, Class A, 2.0%, 7/20/27 (144A) | 6,443,981 | |||
1,008,968 | Upstart Securitization Trust, Series 2019-2, Class A, 2.897%, 9/20/29 (144A) | 1,010,983 | |||
3,856,522 | Upstart Securitization Trust, Series 2019-3, Class A, 2.684%, 1/21/30 (144A) | 3,878,311 | |||
9,616,884 | Upstart Securitization Trust, Series 2020-1, Class A, 2.322%, 4/22/30 (144A) | 9,681,402 | |||
5,571,184 | Upstart Securitization Trust, Series 2020-3, Class A, 1.702%, 11/20/30 (144A) | 5,603,596 | |||
2,250,000 | Upstart Securitization Trust, Series 2021-1, Class B, 1.89%, 3/20/31 (144A) | 2,263,003 | |||
5,563,539 | USASF Receivables LLC, Series 2020-1A, Class A, 2.47%, 8/15/23 (144A) | 5,596,205 | |||
118,421(a) | Venture 32 CLO, Ltd., Series 2018-32RR, Class AX, 0.94% (3 Month USD LIBOR + 75 bps), 7/19/31 (144A) | 118,418 | |||
694,406(a) | Venture XXI CLO, Ltd., Series 2015-21A, Class AR, 1.064% (3 Month USD LIBOR + 88 bps), 7/15/27 (144A) | 694,423 | |||
6,735,319(a) | Verizon Owner Trust, Series 2019-A, Class A1B, 0.423% (1 Month USD LIBOR + 33 bps), 9/20/23 | 6,743,594 | |||
4,760,391 | Veros Auto Receivables Trust, Series 2021-1, Class A, 0.92%, 10/15/26 (144A) | 4,760,171 | |||
2,000,000 | Veros Auto Receivables Trust, Series 2021-1, Class C, 3.64%, 8/15/28 (144A) | 1,994,922 | |||
5,839,625 | Veros Automobile Receivables Trust, Series 2020-1, Class A, 1.67%, 9/15/23 (144A) | 5,853,831 | |||
2,000,000 | Veros Automobile Receivables Trust, Series 2020-1, Class B, 2.19%, 6/16/25 (144A) | 2,015,835 | |||
1,012,707 | Volvo Financial Equipment LLC, Series 2019-2A, Class A2, 2.02%, 8/15/22 (144A) | 1,014,527 | |||
652,717 | Westgate Resorts LLC, Series 2017-1A, Class B, 4.05%, 12/20/30 (144A) | 650,944 | |||
1,930,670 | Westgate Resorts LLC, Series 2018-1A, Class B, 3.58%, 12/20/31 (144A) | 1,962,031 | |||
299,329 | Westgate Resorts LLC, Series 2018-1A, Class C, 4.1%, 12/20/31 (144A) | 302,703 | |||
1,863,508 | Westgate Resorts LLC, Series 2020-1A, Class A, 2.713%, 3/20/34 (144A) | 1,902,736 | |||
2,236,210 | Westgate Resorts LLC, Series 2020-1A, Class C, 6.213%, 3/20/34 (144A) | 2,360,028 | |||
7,233,488 | Willis Engine Structured Trust VI, Series 2021-A, Class B, 5.438%, 5/15/46 (144A) | 7,445,341 | |||
7,191(a) | Wilshire Mortgage Loan Trust, Series 1997-2, Class A6, 0.372% (1 Month USD LIBOR + 28 bps), 5/25/28 | 7,187 | |||
1,252,248(a) | Wind River CLO, Ltd., Series 2016-1A, Class AR, 1.234% (3 Month USD LIBOR + 105 bps), 7/15/28 (144A) | 1,252,293 | |||
5,000,000(a) | Woodmont Trust, Series 2020-7A, Class A1A, 2.084% (3 Month USD LIBOR + 190 bps), 1/15/32 (144A) | 5,041,835 | |||
TOTAL ASSET BACKED SECURITIES | |||||
(Cost $1,219,929,126) | $1,222,079,961 | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 15.6% of Net Assets | |||||
67,721(b) | Bear Stearns Mortgage Securities, Inc., Series 1997-6, Class 3B1, 2.518%, 6/25/30 | $ 69,510 | |||
8,800,885(a) | Bellemeade Re, Ltd., Series 2017-1, Class M2, 3.442% (1 Month USD LIBOR + 335 bps), 10/25/27 (144A) | 8,823,628 | |||
6,533,876(a) | Bellemeade Re, Ltd., Series 2018-1A, Class M1B, 1.692% (1 Month USD LIBOR + 160 bps), 4/25/28 (144A) | 6,538,080 | |||
Principal Amount USD ($) | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS - (continued) | |||||
2,319,316(a) | Bellemeade Re, Ltd., Series 2018-3A, Class M1B, 1.942% (1 Month USD LIBOR + 185 bps), 10/25/28 (144A) | $2,325,446 | |||
6,125,000(a) | Bellemeade Re, Ltd., Series 2018-3A, Class M2, 2.842% (1 Month USD LIBOR + 275 bps), 10/25/28 (144A) | 6,170,860 | |||
8,448(a) | Bellemeade Re, Ltd., Series 2019-1A, Class M1A, 1.392% (1 Month USD LIBOR + 130 bps), 3/25/29 (144A) | 8,448 | |||
5,290,000(a) | Bellemeade Re, Ltd., Series 2019-1A, Class M1B, 1.842% (1 Month USD LIBOR + 175 bps), 3/25/29 (144A) | 5,289,998 | |||
2,800,000(a) | Bellemeade Re, Ltd., Series 2019-3A, Class B1, 2.592% (1 Month USD LIBOR + 250 bps), 7/25/29 (144A) | 2,799,998 | |||
10,671,000(a) | Bellemeade Re, Ltd., Series 2019-3A, Class M1B, 1.692% (1 Month USD LIBOR + 160 bps), 7/25/29 (144A) | 10,698,199 | |||
10,150,000(a) | Bellemeade Re, Ltd., Series 2019-4A, Class M1B, 2.092% (1 Month USD LIBOR + 200 bps), 10/25/29 (144A) | 10,156,331 | |||
5,000,000(a) | Bellemeade Re, Ltd., Series 2019-4A, Class M1C, 2.592% (1 Month USD LIBOR + 250 bps), 10/25/29 (144A) | 4,999,996 | |||
3,250,000(a) | Bellemeade Re, Ltd., Series 2020-2A, Class M1B, 3.292% (1 Month USD LIBOR + 320 bps), 8/26/30 (144A) | 3,271,401 | |||
3,250,000(a) | Bellemeade Re, Ltd., Series 2020-2A, Class M1C, 4.092% (1 Month USD LIBOR + 400 bps), 8/26/30 (144A) | 3,312,544 | |||
4,567,000(a) | Bellemeade Re, Ltd., Series 2020-3A, Class M1B, 2.942% (1 Month USD LIBOR + 285 bps), 10/25/30 (144A) | 4,665,348 | |||
8,160,000(a) | Bellemeade Re, Ltd., Series 2020-3A, Class M1C, 3.792% (1 Month USD LIBOR + 370 bps), 10/25/30 (144A) | 8,525,658 | |||
4,120,000(a) | Bellemeade Re, Ltd., Series 2020-4A, Class M2B, 3.692% (1 Month USD LIBOR + 360 bps), 6/25/30 (144A) | 4,171,251 | |||
3,523,798(a) | Brass NO 8 Plc, Series 8A, Class A1, 0.856% (3 Month USD LIBOR + 70 bps), 11/16/66 (144A) | 3,538,216 | |||
15,000,000(b) | Cascade Funding Mortgage Trust, Series 2021-HB6, Class A, 0.898%, 6/25/36 (144A) | 14,998,725 | |||
7,500,000(b) | CFMT LLC, Series 2020-HB4, Class M4, 4.948%, 12/26/30 (144A) | 7,500,074 | |||
3,300,000(b) | CFMT LLC, Series 2021-HB5, Class M3, 2.91%, 2/25/31 (144A) | 3,288,501 | |||
4,511,760(a) | Chase Mortgage Finance Corp., Series 2019-CL1, Class M1, 1.442% (1 Month USD LIBOR + 135 bps), 4/25/47 (144A) | 4,545,441 | |||
84,999(a) | CHL Mortgage Pass-Through Trust, Series 2003-15, Class 1A1, 0.592% (1 Month USD LIBOR + 50 bps), 6/25/18 | 84,999 | |||
560 | Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust, Series 2005-4, Class 2A1, 5.0%, 7/25/20 | 570 | |||
17,685,888(a) | Connecticut Avenue Securities Trust, Series 2019-HRP1, Class M2, 2.242% (1 Month USD LIBOR + 215 bps), 11/25/39 (144A) | 17,616,867 | |||
62,863(a) | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-AR5, Class 11A2, 0.832% (1 Month USD LIBOR + 74 bps), 6/25/34 | 63,049 | |||
306,663(a) | Deer Creek CLO, Ltd., Series 2017-1A, Class X, 1.188% (3 Month USD LIBOR + 100 bps), 10/20/30 (144A) | 306,659 | |||
4,410,148(a) | Eagle Re, Ltd., Series 2018-1, Class M1, 1.792% (1 Month USD LIBOR + 170 bps), 11/25/28 (144A) | 4,413,114 | |||
6,292,367(a) | Eagle Re, Ltd., Series 2019-1, Class M1B, 1.892% (1 Month USD LIBOR + 180 bps), 4/25/29 (144A) | 6,313,131 | |||
233,414(a) | Eagle Re, Ltd., Series 2020-2, Class M1A, 3.092% (1 Month USD LIBOR + 300 bps), 10/25/30 (144A) | 233,878 | |||
3,054,000(a) | Eagle Re, Ltd., Series 2020-2, Class M1B, 4.092% (1 Month USD LIBOR + 400 bps), 10/25/30 (144A) | 3,072,935 | |||
2,720,000(a) | Eagle Re, Ltd., Series 2020-2, Class M1C, 4.592% (1 Month USD LIBOR + 450 bps), 10/25/30 (144A) | 2,763,542 | |||
4,000,000(a) | Eagle Re, Ltd., Series 2021-1, Class M1A, 1.718% (SOFR30A + 170 bps), 10/25/33 (144A) | 4,012,400 | |||
4,206,000(a) | Eagle Re, Ltd., Series 2021-1, Class M1B, 2.168% (SOFR30A + 215 bps), 10/25/33 (144A) | 4,258,901 | |||
1,586,401(a) | Fannie Mae Connecticut Avenue Securities, Series 2016-C02, Class 1M2, 6.092% (1 Month USD LIBOR + 600 bps), 9/25/28 | 1,674,215 | |||
8,961,537(a) | Fannie Mae Connecticut Avenue Securities, Series 2016-C03, Class 2M2, 5.992% (1 Month USD LIBOR + 590 bps), 10/25/28 | 9,466,744 | |||
10,526,604(a) | Fannie Mae Connecticut Avenue Securities, Series 2017-C05, Class 1M2B, 2.292% (1 Month USD LIBOR + 220 bps), 1/25/30 | 10,640,686 | |||
704,148(a) | Fannie Mae Connecticut Avenue Securities, Series 2017-C07, Class 1M2A, 2.492% (1 Month USD LIBOR + 240 bps), 5/25/30 | 705,661 | |||
13,069,490(a) | Fannie Mae Connecticut Avenue Securities, Series 2018-C01, Class 1EB1, 0.542% (1 Month USD LIBOR + 45 bps), 7/25/30 | 12,951,938 | |||
8,595,618(a) | Fannie Mae Connecticut Avenue Securities, Series 2018-C04, Class 2M2, 2.642% (1 Month USD LIBOR + 255 bps), 12/25/30 | 8,748,957 | |||
168,048(a) | Federal Home Loan Mortgage Corp. REMICS, Series 1695, Class EG, 1.151% (1 Month USD LIBOR + 105 bps), 3/15/24 | 169,058 | |||
113,298(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2106, Class F, 0.523% (1 Month USD LIBOR + 45 bps), 12/15/28 | 113,743 | |||
70,977(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2122, Class FD, 0.423% (1 Month USD LIBOR + 35 bps), 2/15/29 | 69,451 | |||
22,399(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2156, Class FQ, 0.423% (1 Month USD LIBOR + 35 bps), 5/15/29 | 22,094 | |||
137,144(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2186, Class FY, 0.673% (1 Month USD LIBOR + 60 bps), 4/15/28 | 137,982 | |||
Principal Amount USD ($) | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS - (continued) | |||||
34,975(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2368, Class AF, 1.023% (1 Month USD LIBOR + 95 bps), 10/15/31 | $ 35,666 | |||
35,894(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2377, Class FE, 0.673% (1 Month USD LIBOR + 60 bps), 11/15/31 | 36,248 | |||
88,397(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2411, Class FR, 0.673% (1 Month USD LIBOR + 60 bps), 6/15/31 | 89,232 | |||
74,512(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2432, Class FH, 0.773% (1 Month USD LIBOR + 70 bps), 3/15/32 | 75,751 | |||
183,550(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2439, Class F, 1.073% (1 Month USD LIBOR + 100 bps), 3/15/32 | 187,742 | |||
251,139(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2470, Class AF, 1.073% (1 Month USD LIBOR + 100 bps), 3/15/32 | 257,313 | |||
155,079(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2471, Class FD, 1.073% (1 Month USD LIBOR + 100 bps), 3/15/32 | 158,621 | |||
44,982(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2498, Class FQ, 0.673% (1 Month USD LIBOR + 60 bps), 9/15/32 | 45,444 | |||
67,181(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2543, Class EF, 0.423% (1 Month USD LIBOR + 35 bps), 12/15/32 | 67,277 | |||
298,728(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2551, Class FD, 0.473% (1 Month USD LIBOR + 40 bps), 1/15/33 | 301,492 | |||
175,559(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2567, Class FJ, 0.473% (1 Month USD LIBOR + 40 bps), 2/15/33 | 176,155 | |||
79,051(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2577, Class FA, 0.623% (1 Month USD LIBOR + 55 bps), 2/15/33 | 79,763 | |||
6,880(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2585, Class FD, 0.573% (1 Month USD LIBOR + 50 bps), 12/15/32 | 6,929 | |||
92,904(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2614, Class FV, 1.592% (1 Month USD LIBOR + 150 bps), 5/15/33 | 96,042 | |||
142,379(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2631, Class FC, 0.473% (1 Month USD LIBOR + 40 bps), 6/15/33 | 143,729 | |||
81,379(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2711, Class FA, 1.073% (1 Month USD LIBOR + 100 bps), 11/15/33 | 83,141 | |||
134,368(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2916, Class NF, 0.323% (1 Month USD LIBOR + 25 bps), 1/15/35 | 134,682 | |||
295,806(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2976, Class LF, 0.413% (1 Month USD LIBOR + 34 bps), 5/15/35 | 297,778 | |||
106,371(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3012, Class FE, 0.323% (1 Month USD LIBOR + 25 bps), 8/15/35 | 106,551 | |||
88,573(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3042, Class PF, 0.323% (1 Month USD LIBOR + 25 bps), 8/15/35 | 88,794 | |||
57,766(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3067, Class FA, 0.423% (1 Month USD LIBOR + 35 bps), 11/15/35 | 58,187 | |||
50,995(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3102, Class FG, 0.373% (1 Month USD LIBOR + 30 bps), 1/15/36 | 51,193 | |||
112,476(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3117, Class EF, 0.423% (1 Month USD LIBOR + 35 bps), 2/15/36 | 113,179 | |||
250,351(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3117, Class FE, 0.373% (1 Month USD LIBOR + 30 bps), 2/15/36 | 251,397 | |||
154,516(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3122, Class FP, 0.373% (1 Month USD LIBOR + 30 bps), 3/15/36 | 155,153 | |||
94,092(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3147, Class PF, 0.373% (1 Month USD LIBOR + 30 bps), 4/15/36 | 94,479 | |||
237,472(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3173, Class FC, 0.493% (1 Month USD LIBOR + 42 bps), 6/15/36 | 239,498 | |||
480,002(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3175, Class FE, 0.383% (1 Month USD LIBOR + 31 bps), 6/15/36 | 480,832 | |||
261,950(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3181, Class HF, 0.573% (1 Month USD LIBOR + 50 bps), 7/15/36 | 266,044 | |||
13,397(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3191, Class FE, 0.473% (1 Month USD LIBOR + 40 bps), 7/15/36 | 13,527 | |||
205,266(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3221, Class FW, 0.493% (1 Month USD LIBOR + 42 bps), 9/15/36 | 208,550 | |||
64,238(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3222, Class FN, 0.473% (1 Month USD LIBOR + 40 bps), 9/15/36 | 64,771 | |||
216,417(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3239, Class EF, 0.423% (1 Month USD LIBOR + 35 bps), 11/15/36 | 218,136 | |||
109,947(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3239, Class FB, 0.423% (1 Month USD LIBOR + 35 bps), 11/15/36 | 110,815 | |||
175,222(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3247, Class FA, 0.323% (1 Month USD LIBOR + 25 bps), 8/15/36 | 175,848 | |||
192,352(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3266, Class F, 0.373% (1 Month USD LIBOR + 30 bps), 1/15/37 | 193,133 | |||
155,080(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3307, Class FT, 0.313% (1 Month USD LIBOR + 24 bps), 7/15/34 | 155,376 | |||
20,498(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3315, Class F, 0.413% (1 Month USD LIBOR + 34 bps), 5/15/37 | 20,652 | |||
Principal Amount USD ($) | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS - (continued) | |||||
390,654(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3373, Class FB, 0.653% (1 Month USD LIBOR + 58 bps), 10/15/37 | $ 397,074 | |||
50,022(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3376, Class FM, 0.693% (1 Month USD LIBOR + 62 bps), 10/15/37 | 50,925 | |||
18,060(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3560, Class FA, 1.323% (1 Month USD LIBOR + 125 bps), 5/15/37 | 18,732 | |||
214,953(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3610, Class FA, 0.773% (1 Month USD LIBOR + 70 bps), 12/15/39 | 219,008 | |||
101,368(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3708, Class PF, 0.423% (1 Month USD LIBOR + 35 bps), 7/15/40 | 101,825 | |||
2,096(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3767, Class JF, 0.373% (1 Month USD LIBOR + 30 bps), 2/15/39 | 2,096 | |||
42,489(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3784, Class F, 0.473% (1 Month USD LIBOR + 40 bps), 7/15/23 | 42,416 | |||
11,941(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3792, Class DF, 0.473% (1 Month USD LIBOR + 40 bps), 11/15/40 | 11,887 | |||
24,047(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3867, Class FD, 0.423% (1 Month USD LIBOR + 35 bps), 5/15/41 | 24,202 | |||
57,303(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3914, Class LF, 0.273% (1 Month USD LIBOR + 20 bps), 8/15/26 | 57,109 | |||
121,950(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3970, Class GF, 0.373% (1 Month USD LIBOR + 30 bps), 9/15/26 | 121,917 | |||
179,462(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3982, Class FL, 0.623% (1 Month USD LIBOR + 55 bps), 12/15/39 | 180,305 | |||
89,929(a) | Federal Home Loan Mortgage Corp. REMICS, Series 4056, Class QF, 0.423% (1 Month USD LIBOR + 35 bps), 12/15/41 | 90,333 | |||
108,709(a) | Federal Home Loan Mortgage Corp. Strips, Series 237, Class F14, 0.473% (1 Month USD LIBOR + 40 bps), 5/15/36 | 108,905 | |||
96,916(a) | Federal Home Loan Mortgage Corp. Strips, Series 239, Class F29, 0.323% (1 Month USD LIBOR + 25 bps), 8/15/36 | 97,084 | |||
418,969(a) | Federal Home Loan Mortgage Corp. Strips, Series 239, Class F30, 0.373% (1 Month USD LIBOR + 30 bps), 8/15/36 | 417,837 | |||
122,200(a) | Federal Home Loan Mortgage Corp. Strips, Series 244, Class F22, 0.423% (1 Month USD LIBOR + 35 bps), 12/15/36 | 122,774 | |||
914(a) | Federal National Mortgage Association REMICS, Series 1991-124, Class FA, 0.992% (1 Month USD LIBOR + 90 bps), 9/25/21 | 913 | |||
14,236(a) | Federal National Mortgage Association REMICS, Series 1993-230, Class FA, 0.692% (1 Month USD LIBOR + 60 bps), 12/25/23 | 14,189 | |||
35,702(a) | Federal National Mortgage Association REMICS, Series 1993-247, Class FA, 1.743% (11th District Cost of Funds Index + 140 bps), 12/25/23 | 36,122 | |||
35,702(a) | Federal National Mortgage Association REMICS, Series 1993-247, Class FE, 1.092% (1 Month USD LIBOR + 100 bps), 12/25/23 | 35,975 | |||
73,806(a) | Federal National Mortgage Association REMICS, Series 1994-40, Class FC, 0.592% (1 Month USD LIBOR + 50 bps), 3/25/24 | 74,456 | |||
12,465(a) | Federal National Mortgage Association REMICS, Series 1997-46, Class FA, 0.583% (1 Month USD LIBOR + 50 bps), 7/18/27 | 12,377 | |||
29,113(a) | Federal National Mortgage Association REMICS, Series 1998-21, Class F, 0.42% (1 Year CMT Index + 35 bps), 3/25/28 | 28,985 | |||
22(a) | Federal National Mortgage Association REMICS, Series 1999-49, Class FB, 0.592% (1 Month USD LIBOR + 50 bps), 3/25/23 | 22 | |||
31,652(a) | Federal National Mortgage Association REMICS, Series 2000-47, Class FD, 0.642% (1 Month USD LIBOR + 55 bps), 12/25/30 | 31,899 | |||
120,375(a) | Federal National Mortgage Association REMICS, Series 2001-35, Class F, 0.692% (1 Month USD LIBOR + 60 bps), 7/25/31 | 121,546 | |||
51,448(a) | Federal National Mortgage Association REMICS, Series 2001-37, Class F, 0.592% (1 Month USD LIBOR + 50 bps), 8/25/31 | 51,733 | |||
248,757(a) | Federal National Mortgage Association REMICS, Series 2001-50, Class FQ, 0.692% (1 Month USD LIBOR + 60 bps), 11/25/31 | 251,176 | |||
109,453(a) | Federal National Mortgage Association REMICS, Series 2001-65, Class F, 0.692% (1 Month USD LIBOR + 60 bps), 11/25/31 | 110,517 | |||
74,997(a) | Federal National Mortgage Association REMICS, Series 2001-69, Class FA, 0.692% (1 Month USD LIBOR + 60 bps), 7/25/31 | 75,733 | |||
213,414(a) | Federal National Mortgage Association REMICS, Series 2001-72, Class FB, 0.992% (1 Month USD LIBOR + 90 bps), 12/25/31 | 217,745 | |||
57,773(a) | Federal National Mortgage Association REMICS, Series 2001-81, Class FL, 0.733% (1 Month USD LIBOR + 65 bps), 1/18/32 | 58,309 | |||
96,133(a) | Federal National Mortgage Association REMICS, Series 2002-1, Class FC, 0.792% (1 Month USD LIBOR + 70 bps), 1/25/32 | 97,572 | |||
288,725(a) | Federal National Mortgage Association REMICS, Series 2002-13, Class FD, 0.992% (1 Month USD LIBOR + 90 bps), 3/25/32 | 293,513 | |||
194,345(a) | Federal National Mortgage Association REMICS, Series 2002-34, Class FA, 0.583% (1 Month USD LIBOR + 50 bps), 5/18/32 | 195,822 | |||
154,875(a) | Federal National Mortgage Association REMICS, Series 2002-56, Class FN, 1.092% (1 Month USD LIBOR + 100 bps), 7/25/32 | 158,506 | |||
20,900(a) | Federal National Mortgage Association REMICS, Series 2002-58, Class FD, 0.692% (1 Month USD LIBOR + 60 bps), 8/25/32 | 21,117 | |||
Principal Amount USD ($) | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS - (continued) | |||||
95,757(a) | Federal National Mortgage Association REMICS, Series 2002-77, Class F, 0.692% (1 Month USD LIBOR + 60 bps), 12/25/32 | $ 97,291 | |||
72,585(a) | Federal National Mortgage Association REMICS, Series 2002-82, Class FB, 0.592% (1 Month USD LIBOR + 50 bps), 12/25/32 | 73,092 | |||
92,243(a) | Federal National Mortgage Association REMICS, Series 2002-90, Class FH, 0.592% (1 Month USD LIBOR + 50 bps), 9/25/32 | 92,878 | |||
50,523(a) | Federal National Mortgage Association REMICS, Series 2002-92, Class FB, 0.742% (1 Month USD LIBOR + 65 bps), 4/25/30 | 51,079 | |||
101,546(a) | Federal National Mortgage Association REMICS, Series 2002-93, Class FH, 0.592% (1 Month USD LIBOR + 50 bps), 1/25/33 | 102,536 | |||
82,889(a) | Federal National Mortgage Association REMICS, Series 2003-7, Class FA, 0.842% (1 Month USD LIBOR + 75 bps), 2/25/33 | 84,365 | |||
154,501(a) | Federal National Mortgage Association REMICS, Series 2003-8, Class FJ, 0.442% (1 Month USD LIBOR + 35 bps), 2/25/33 | 154,661 | |||
258,165(a) | Federal National Mortgage Association REMICS, Series 2003-31, Class FM, 0.592% (1 Month USD LIBOR + 50 bps), 4/25/33 | 261,998 | |||
111,416(a) | Federal National Mortgage Association REMICS, Series 2003-42, Class JF, 0.592% (1 Month USD LIBOR + 50 bps), 5/25/33 | 111,944 | |||
44,724(a) | Federal National Mortgage Association REMICS, Series 2003-49, Class FY, 0.492% (1 Month USD LIBOR + 40 bps), 6/25/23 | 44,716 | |||
168,055(a) | Federal National Mortgage Association REMICS, Series 2003-107, Class FD, 0.592% (1 Month USD LIBOR + 50 bps), 11/25/33 | 169,425 | |||
165,993(a) | Federal National Mortgage Association REMICS, Series 2004-52, Class FW, 0.492% (1 Month USD LIBOR + 40 bps), 7/25/34 | 167,327 | |||
46,048(a) | Federal National Mortgage Association REMICS, Series 2004-54, Class FN, 0.542% (1 Month USD LIBOR + 45 bps), 7/25/34 | 46,369 | |||
307,509(a) | Federal National Mortgage Association REMICS, Series 2004-79, Class FM, 0.392% (1 Month USD LIBOR + 30 bps), 11/25/24 | 307,485 | |||
8,979(a) | Federal National Mortgage Association REMICS, Series 2004-91, Class HF, 0.392% (1 Month USD LIBOR + 30 bps), 11/25/34 | 8,985 | |||
158,737(a) | Federal National Mortgage Association REMICS, Series 2005-83, Class KT, 0.392% (1 Month USD LIBOR + 30 bps), 10/25/35 | 159,505 | |||
208,173(a) | Federal National Mortgage Association REMICS, Series 2005-83, Class LF, 0.402% (1 Month USD LIBOR + 31 bps), 2/25/35 | 208,860 | |||
34,718(a) | Federal National Mortgage Association REMICS, Series 2006-11, Class FB, 0.392% (1 Month USD LIBOR + 30 bps), 3/25/36 | 34,022 | |||
112,134(a) | Federal National Mortgage Association REMICS, Series 2006-33, Class FH, 0.442% (1 Month USD LIBOR + 35 bps), 5/25/36 | 112,825 | |||
176,321(a) | Federal National Mortgage Association REMICS, Series 2006-34, Class FA, 0.402% (1 Month USD LIBOR + 31 bps), 5/25/36 | 177,282 | |||
186,883(a) | Federal National Mortgage Association REMICS, Series 2006-42, Class CF, 0.542% (1 Month USD LIBOR + 45 bps), 6/25/36 | 183,934 | |||
77,968(a) | Federal National Mortgage Association REMICS, Series 2006-56, Class FC, 0.382% (1 Month USD LIBOR + 29 bps), 7/25/36 | 78,284 | |||
29,054(a) | Federal National Mortgage Association REMICS, Series 2006-70, Class BF, 0.642% (1 Month USD LIBOR + 55 bps), 8/25/36 | 29,532 | |||
52,150(a) | Federal National Mortgage Association REMICS, Series 2006-82, Class F, 0.662% (1 Month USD LIBOR + 57 bps), 9/25/36 | 53,063 | |||
93,873(a) | Federal National Mortgage Association REMICS, Series 2006-104, Class GF, 0.412% (1 Month USD LIBOR + 32 bps), 11/25/36 | 94,492 | |||
42,366(a) | Federal National Mortgage Association REMICS, Series 2006-115, Class BF, 0.332% (1 Month USD LIBOR + 24 bps), 12/25/36 | 42,447 | |||
132,573(a) | Federal National Mortgage Association REMICS, Series 2007-2, Class FT, 0.342% (1 Month USD LIBOR + 25 bps), 2/25/37 | 133,606 | |||
145,121(a) | Federal National Mortgage Association REMICS, Series 2007-7, Class FJ, 0.292% (1 Month USD LIBOR + 20 bps), 2/25/37 | 145,249 | |||
62,519(a) | Federal National Mortgage Association REMICS, Series 2007-13, Class FA, 0.342% (1 Month USD LIBOR + 25 bps), 3/25/37 | 62,635 | |||
142,824(a) | Federal National Mortgage Association REMICS, Series 2007-41, Class FA, 0.492% (1 Month USD LIBOR + 40 bps), 5/25/37 | 144,054 | |||
224,155(a) | Federal National Mortgage Association REMICS, Series 2007-50, Class FN, 0.332% (1 Month USD LIBOR + 24 bps), 6/25/37 | 224,579 | |||
21,338(a) | Federal National Mortgage Association REMICS, Series 2007-57, Class FA, 0.322% (1 Month USD LIBOR + 23 bps), 6/25/37 | 21,387 | |||
64,473(a) | Federal National Mortgage Association REMICS, Series 2007-58, Class FA, 0.342% (1 Month USD LIBOR + 25 bps), 6/25/37 | 64,590 | |||
57,795(a) | Federal National Mortgage Association REMICS, Series 2007-66, Class FB, 0.492% (1 Month USD LIBOR + 40 bps), 7/25/37 | 58,098 | |||
191,556(a) | Federal National Mortgage Association REMICS, Series 2007-85, Class FG, 0.592% (1 Month USD LIBOR + 50 bps), 9/25/37 | 194,628 | |||
263,892(a) | Federal National Mortgage Association REMICS, Series 2007-91, Class FB, 0.692% (1 Month USD LIBOR + 60 bps), 10/25/37 | 268,445 | |||
90,336(a) | Federal National Mortgage Association REMICS, Series 2007-92, Class OF, 0.662% (1 Month USD LIBOR + 57 bps), 9/25/37 | 91,870 | |||
51,870(a) | Federal National Mortgage Association REMICS, Series 2007-93, Class FD, 0.642% (1 Month USD LIBOR + 55 bps), 9/25/37 | 52,704 | |||
Principal Amount USD ($) | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS - (continued) | |||||
23,948(a) | Federal National Mortgage Association REMICS, Series 2007-98, Class FD, 0.542% (1 Month USD LIBOR + 45 bps), 6/25/37 | $ 24,206 | |||
33,138(a) | Federal National Mortgage Association REMICS, Series 2007-100, Class YF, 0.642% (1 Month USD LIBOR + 55 bps), 10/25/37 | 33,782 | |||
45,000(a) | Federal National Mortgage Association REMICS, Series 2007-103, Class AF, 1.092% (1 Month USD LIBOR + 100 bps), 3/25/37 | 46,059 | |||
47,951(a) | Federal National Mortgage Association REMICS, Series 2007-110, Class FA, 0.712% (1 Month USD LIBOR + 62 bps), 12/25/37 | 48,551 | |||
35,402(a) | Federal National Mortgage Association REMICS, Series 2008-6, Class FA, 0.792% (1 Month USD LIBOR + 70 bps), 2/25/38 | 36,053 | |||
150,403(a) | Federal National Mortgage Association REMICS, Series 2008-88, Class FA, 1.312% (1 Month USD LIBOR + 122 bps), 10/25/38 | 155,561 | |||
62,110(a) | Federal National Mortgage Association REMICS, Series 2009-113, Class FB, 0.642% (1 Month USD LIBOR + 55 bps), 1/25/40 | 63,063 | |||
7(a) | Federal National Mortgage Association REMICS, Series 2010-38, Class F, 0.392% (1 Month USD LIBOR + 30 bps), 4/25/25 | 7 | |||
48,471(a) | Federal National Mortgage Association REMICS, Series 2010-43, Class FD, 0.692% (1 Month USD LIBOR + 60 bps), 5/25/40 | 49,280 | |||
106,626(a) | Federal National Mortgage Association REMICS, Series 2010-43, Class IF, 0.592% (1 Month USD LIBOR + 50 bps), 5/25/40 | 105,630 | |||
59,241(a) | Federal National Mortgage Association REMICS, Series 2011-19, Class FM, 0.642% (1 Month USD LIBOR + 55 bps), 5/25/40 | 59,385 | |||
133,469(a) | Federal National Mortgage Association REMICS, Series 2012-40, Class PF, 0.592% (1 Month USD LIBOR + 50 bps), 4/25/42 | 135,105 | |||
1,304,547(a) | Federal National Mortgage Association Trust, Series 2003-W6, Class F, 0.442% (1 Month USD LIBOR + 35 bps), 9/25/42 | 1,311,876 | |||
556,421(a) | Federal National Mortgage Association Trust, Series 2005-W3, Class 2AF, 0.312% (1 Month USD LIBOR + 22 bps), 3/25/45 | 554,418 | |||
43,847(b) | Federal National Mortgage Association Trust, Series 2005-W3, Class 3A, 3.371%, 4/25/45 | 47,684 | |||
64,864(b) | Federal National Mortgage Association Trust, Series 2005-W4, Class 3A, 2.936%, 6/25/45 | 68,707 | |||
509,298(a) | Federal National Mortgage Association Whole Loan, Series 2007-W1, Class 1AF1, 0.352% (1 Month USD LIBOR + 26 bps), 11/25/46 | 505,494 | |||
1,046,865(a) | Freddie Mac Stacr Remic Trust, Series 2020-DNA4, Class M2, 3.842% (1 Month USD LIBOR + 375 bps), 8/25/50 (144A) | 1,058,139 | |||
5,670,000(a) | Freddie Mac Stacr Remic Trust, Series 2020-HQA2, Class M2, 3.192% (1 Month USD LIBOR + 310 bps), 3/25/50 (144A) | 5,758,583 | |||
6,524,717(a) | Freddie Mac Stacr Remic Trust, Series 2020-HQA3, Class M2, 3.692% (1 Month USD LIBOR + 360 bps), 7/25/50 (144A) | 6,605,831 | |||
7,550,000(a) | Freddie Mac Stacr Remic Trust, Series 2021-HQA1, Class M2, 2.268% (SOFR30A + 225 bps), 8/25/33 (144A) | 7,649,227 | |||
14,263,814(a) | Freddie Mac Stacr Trust, Series 2019-HRP1, Class M2, 1.492% (1 Month USD LIBOR + 140 bps), 2/25/49 (144A) | 14,355,607 | |||
600,000(a) | Freddie Mac Stacr Trust, Series 2019-HRP1, Class M3, 2.342% (1 Month USD LIBOR + 225 bps), 2/25/49 (144A) | 599,004 | |||
12,227,308(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2, 4.342% (1 Month USD LIBOR + 425 bps), 11/25/23 | 12,561,047 | |||
5,065,410(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M3, 4.792% (1 Month USD LIBOR + 470 bps), 4/25/28 | 5,241,735 | |||
13,579,959(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M3, 5.642% (1 Month USD LIBOR + 555 bps), 7/25/28 | 14,227,033 | |||
13,629,652(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M3, 5.092% (1 Month USD LIBOR + 500 bps), 12/25/28 | 14,244,782 | |||
14,018,875(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M3, 3.892% (1 Month USD LIBOR + 380 bps), 3/25/29 | 14,517,156 | |||
162,292(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA3, Class M2, 1.442% (1 Month USD LIBOR + 135 bps), 3/25/29 | 162,292 | |||
3,425,000(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-HRP1, Class B1D, 2.592% (1 Month USD LIBOR + 250 bps), 12/25/42 | 3,342,560 | |||
6,351,735(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-HRP1, Class M2, 2.542% (1 Month USD LIBOR + 245 bps), 12/25/42 | 6,320,025 | |||
981,712(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-HRP1, Class M2D, 1.342% (1 Month USD LIBOR + 125 bps), 12/25/42 | 947,202 | |||
1,752,116(a) | Gosforth Funding Plc, Series 2018-1A, Class A1, 0.597% (3 Month USD LIBOR + 45 bps), 8/25/60 (144A) | 1,755,034 | |||
73,407(a) | Government National Mortgage Association, Series 2003-7, Class FB, 0.946% (1 Month USD LIBOR + 20 bps), 1/16/33 | 73,275 | |||
352,260(a) | Government National Mortgage Association, Series 2005-3, Class FC, 0.325% (1 Month USD LIBOR + 25 bps), 1/16/35 | 352,726 | |||
323,727(a) | Government National Mortgage Association, Series 2005-16, Class FA, 0.343% (1 Month USD LIBOR + 25 bps), 2/20/35 | 324,256 | |||
107,937(a) | Government National Mortgage Association, Series 2008-69, Class FA, 0.593% (1 Month USD LIBOR + 50 bps), 8/20/38 | 108,425 | |||
108,419(a) | Government National Mortgage Association, Series 2009-66, Class UF, 1.075% (1 Month USD LIBOR + 100 bps), 8/16/39 | 110,940 | |||
246,001(a) | Government National Mortgage Association, Series 2009-88, Class MF, 0.693% (1 Month USD LIBOR + 60 bps), 7/20/39 | 246,580 | |||
Principal Amount USD ($) | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS - (continued) | |||||
83,170(a) | Government National Mortgage Association, Series 2009-92, Class FJ, 0.755% (1 Month USD LIBOR + 68 bps), 10/16/39 | $ 84,338 | |||
11,481,795(a) | Home Partners of America Trust, Series 2017-1, Class A, 0.899% (1 Month USD LIBOR + 82 bps), 7/17/34 (144A) | 11,490,579 | |||
7,200,000(a) | Home Partners of America Trust, Series 2017-1, Class B, 1.432% (1 Month USD LIBOR + 135 bps), 7/17/34 (144A) | 7,207,341 | |||
4,406,473(a) | Home Re, Ltd., Series 2018-1, Class M1, 1.692% (1 Month USD LIBOR + 160 bps), 10/25/28 (144A) | 4,407,987 | |||
4,795,459(a) | Home Re, Ltd., Series 2019-1, Class M1, 1.742% (1 Month USD LIBOR + 165 bps), 5/25/29 (144A) | 4,798,789 | |||
6,640,000(a) | Home Re, Ltd., Series 2020-1, Class M1B, 3.342% (1 Month USD LIBOR + 325 bps), 10/25/30 (144A) | 6,708,453 | |||
4,650,000(a) | Home Re, Ltd., Series 2020-1, Class M1C, 4.242% (1 Month USD LIBOR + 415 bps), 10/25/30 (144A) | 4,719,747 | |||
4,700,000 | Home Re, Ltd., Series 2021-1, Class M1B, 1.642%, 7/25/33 (144A) | 4,685,454 | |||
273,400(a) | HomeBanc Mortgage Trust, Series 2005-3, Class A1, 0.572% (1 Month USD LIBOR + 48 bps), 7/25/35 | 273,691 | |||
5,000,000 | IMS Ecuadorian Mortgage Trust, Series 2021-1, Class GA, 3.4%, 8/18/43 (144A) | 5,193,750 | |||
1,867,435(b) | JP Morgan Mortgage Trust, Series 2014-IVR3, Class B4, 2.447%, 9/25/44 (144A) | 1,911,561 | |||
5,019,596(b) | JP Morgan Mortgage Trust, Series 2014-IVR6, Class B1, 2.451%, 7/25/44 (144A) | 5,079,762 | |||
1,962,518(b) | JP Morgan Mortgage Trust, Series 2017-4, Class A9, 3.5%, 11/25/48 (144A) | 1,974,260 | |||
17,610,890(a) | JP Morgan Mortgage Trust, Series 2018-7FRB, Class A2, 0.842% (1 Month USD LIBOR + 75 bps), 4/25/46 (144A) | 17,590,518 | |||
2,886,144(a) | JP Morgan Mortgage Trust, Series 2018-7FRB, Class A3, 0.842% (1 Month USD LIBOR + 75 bps), 4/25/46 (144A) | 2,871,263 | |||
8,151,138(b) | JP Morgan Mortgage Trust, Series 2018-7FRB, Class B1, 2.156%, 4/25/46 (144A) | 8,182,074 | |||
7,709,540(b) | JP Morgan Mortgage Trust, Series 2018-7FRB, Class B2, 2.156%, 4/25/46 (144A) | 7,703,760 | |||
1,475,800(a) | JP Morgan Seasoned Mortgage Trust, Series 2014-1, Class AM, 0.592% (1 Month USD LIBOR + 50 bps), 5/25/33 (144A) | 1,468,519 | |||
5,966,294(b) | JP Morgan Seasoned Mortgage Trust, Series 2014-1, Class B1, 0.833%, 5/25/33 (144A) | 5,931,046 | |||
5,561,533(b) | JP Morgan Seasoned Mortgage Trust, Series 2014-1, Class B2, 0.833%, 5/25/33 (144A) | 5,522,453 | |||
4,287,453(b) | JP Morgan Seasoned Mortgage Trust, Series 2014-1, Class B3, 0.833%, 5/25/33 (144A) | 4,251,917 | |||
321,910(b) | JP Morgan Trust, Series 2015-1, Class 1A14, 1.998% (1 Month USD LIBOR + 0 bps), 12/25/44 (144A) | 326,214 | |||
21,165,222(a) | LSTAR Securities Investment, Ltd., Series 2019-3, Class A1, 2.592% (1 Month USD LIBOR + 250 bps), 4/1/24 (144A) | 21,059,553 | |||
24,169,632(a) | LSTAR Securities Investment, Ltd., Series 2019-4, Class A1, 2.592% (1 Month USD LIBOR + 250 bps), 5/1/24 (144A) | 24,059,129 | |||
13,313,486(a) | LSTAR Securities Investment Ltd., Series 2021-1, Class A, 1.892% (1 Month USD LIBOR + 180 bps), 2/1/26 (144A) | 13,344,378 | |||
11,772,343(a) | LSTAR Securities Investment Ltd., Series 2021-2, Class A1, 1.792% (1 Month USD LIBOR + 170 bps), 3/2/26 (144A) | 11,772,343 | |||
6,000,000(a) | Mello Warehouse Securitization Trust, Series 2020-2, Class G, 4.842% (1 Month USD LIBOR + 475 bps), 11/25/53 (144A) | 6,006,072 | |||
9,589(b) | Merrill Lynch Mortgage Investors Trust, Series 2003-G, Class A3, 1.841%, 1/25/29 | 9,726 | |||
500,180(a) | Merrill Lynch Mortgage Investors Trust, Series 2003-H, Class A1, 0.732% (1 Month USD LIBOR + 64 bps), 1/25/29 | 495,418 | |||
274,665(a) | Merrill Lynch Mortgage Investors Trust, Series 2004-B, Class A2, 0.719% (6 Month USD LIBOR + 54 bps), 5/25/29 | 274,743 | |||
22,201(a) | Merrill Lynch Mortgage Investors Trust, Series 2004-C, Class A2B, 1.159% (6 Month USD LIBOR + 100 bps), 7/25/29 | 22,124 | |||
92,927(b) | Merrill Lynch Mortgage Investors Trust, Series 2004-D, Class A3, 1.988%, 9/25/29 | 93,192 | |||
1,242,875(b) | Morgan Stanley Residential Mortgage Loan Trust, Series 2014-1A, Class A1, 2.377%, 6/25/44 (144A) | 1,270,246 | |||
2,564,000(b) | Morgan Stanley Residential Mortgage Loan Trust, Series 2014-1A, Class B4, 2.377%, 6/25/44 (144A) | 2,725,024 | |||
7,975,000(a) | NewRez Warehouse Securitization Trust, Series 2021-1, Class E, 3.342% (1 Month USD LIBOR + 325 bps), 5/25/55 (144A) | 7,984,595 | |||
5,893,993(a) | Oaktown Re II, Ltd., Series 2018-1A, Class M1, 1.642% (1 Month USD LIBOR + 155 bps), 7/25/28 (144A) | 5,895,382 | |||
3,620,000(a) | Oaktown Re III, Ltd., Series 2019-1A, Class B1A, 3.592% (1 Month USD LIBOR + 350 bps), 7/25/29 (144A) | 3,657,469 | |||
13,573,000(a) | Oaktown Re III, Ltd., Series 2019-1A, Class M1B, 2.042% (1 Month USD LIBOR + 195 bps), 7/25/29 (144A) | 13,572,995 | |||
1,220,887(a) | Oaktown Re IV, Ltd., Series 2020-1A, Class M1B, 4.842% (1 Month USD LIBOR + 475 bps), 7/25/30 (144A) | 1,223,614 | |||
4,300,000(a) | Oaktown Re V, Ltd., Series 2020-2A, Class M1B, 3.692% (1 Month USD LIBOR + 360 bps), 10/25/30 (144A) | 4,375,253 | |||
5,750,000(a) | Oaktown Re VI, Ltd., Series 2021-1A, Class M1B, 2.068% (SOFR30A + 205 bps), 10/25/33 (144A) | 5,823,203 | |||
1,000,000(a) | Oaktown Re VI, Ltd., Series 2021-1A, Class M2, 3.968% (SOFR30A + 395 bps), 10/25/33 (144A) | 1,040,939 | |||
1,693,664(a) | OBX Trust, Series 2019-EXP1, Class 2A1A, 1.042% (1 Month USD LIBOR + 95 bps), 1/25/59 (144A) | 1,696,505 | |||
1,069,361(a) | Pepper Residential Securities Trust, Series 21A, Class A1U, 0.955% (1 Month USD LIBOR + 88 bps), 1/16/60 (144A) | 1,070,735 | |||
Principal Amount USD ($) | Value | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS - (continued) | |||||
2,137,157(a) | Pepper Residential Securities Trust No. 22, Series 22A, Class A1U, 1.091% (1 Month USD LIBOR + 100 bps), 6/20/60 (144A) | $ 2,137,148 | |||
4,959,308(a) | Pepper Residential Securities Trust No. 25, Series 25A, Class A1U, 1.003% (1 Month USD LIBOR + 93 bps), 3/12/61 (144A) | 4,971,325 | |||
6,666,150(a) | PMT Credit Risk Transfer Trust, Series 2021-1R, Class A, 3.011% (1 Month USD LIBOR + 290 bps), 2/27/24 (144A) | 6,727,213 | |||
6,900,000(a) | Provident Funding Mortgage Warehouse Securitization Trust, Series 2021-1, Class G, 5.592% (1 Month USD LIBOR + 550 bps), 2/25/55 (144A) | 6,900,000 | |||
741,471(a) | Radnor Re, Ltd., Series 2018-1, Class M1, 1.492% (1 Month USD LIBOR + 140 bps), 3/25/28 (144A) | 741,632 | |||
4,967,751(a) | Radnor Re, Ltd., Series 2019-1, Class M1B, 2.042% (1 Month USD LIBOR + 195 bps), 2/25/29 (144A) | 4,981,146 | |||
17,250,000(a) | Radnor Re, Ltd., Series 2019-2, Class M1B, 1.842% (1 Month USD LIBOR + 175 bps), 6/25/29 (144A) | 17,351,656 | |||
2,150,000(a) | Radnor Re, Ltd., Series 2020-1, Class M1C, 1.842% (1 Month USD LIBOR + 175 bps), 1/25/30 (144A) | 2,101,718 | |||
7,137,322(a) | Radnor Re, Ltd., Series 2020-2, Class M1B, 4.092% (1 Month USD LIBOR + 400 bps), 10/25/30 (144A) | 7,167,457 | |||
2,740,000(a) | Radnor Re, Ltd., Series 2020-2, Class M1C, 4.692% (1 Month USD LIBOR + 460 bps), 10/25/30 (144A) | 2,776,091 | |||
18,716,000(a) | Radnor Re, Ltd., Series 2021-1, Class M1C, 2.71% (SOFR30A + 270 bps), 12/27/33 (144A) | 18,715,910 | |||
1,790,000(a) | Radnor Re, Ltd., Series 2021-1, Class M2, 3.16% (SOFR30A + 315 bps), 12/27/33 (144A) | 1,789,991 | |||
1,545,152(a) | RESI Finance LP, Series 2003-CB1, Class B3, 1.527% (1 Month USD LIBOR + 145 bps), 6/10/35 (144A) | 1,365,346 | |||
2,789,102(a) | Resimac MBS Trust, Series 2018-2A, Class A1A, 0.927% (1 Month USD LIBOR + 85 bps), 4/10/50 (144A) | 2,791,356 | |||
1,064,081(a) | Resimac Premier, Series 2018-1A, Class A1, 0.877% (1 Month USD LIBOR + 80 bps), 11/10/49 (144A) | 1,065,647 | |||
5,973,796(a) | Resimac Premier, Series 2019-2A, Class A1, 1.027% (1 Month USD LIBOR + 95 bps), 2/10/51 (144A) | 5,997,231 | |||
3,295,740(a) | Resimac Premier, Series 2020-1A, Class A1A, 1.13% (1 Month USD LIBOR + 105 bps), 2/7/52 (144A) | 3,319,749 | |||
3,121,069(b) | RMF Buyout Issuance Trust, Series 2020-1, Class A, 2.158%, 2/25/30 (144A) | 3,123,863 | |||
2,000,000(b) | RMF Buyout Issuance Trust, Series 2020-1, Class M1, 2.332%, 2/25/30 (144A) | 2,002,140 | |||
3,412,592(b) | RMF Buyout Issuance Trust, Series 2020-2, Class A, 1.706%, 6/25/30 (144A) | 3,421,046 | |||
9,350,000(a) | STACR Trust, Series 2018-DNA3, Class M2B, 2.192% (1 Month USD LIBOR + 210 bps), 9/25/48 (144A) | 9,410,742 | |||
7,747,796(a) | STACR Trust, Series 2018-HRP1, Class B1, 3.842% (1 Month USD LIBOR + 375 bps), 4/25/43 (144A) | 7,964,587 | |||
5,312,005(a) | STACR Trust, Series 2018-HRP1, Class M2, 1.742% (1 Month USD LIBOR + 165 bps), 4/25/43 (144A) | 5,319,041 | |||
8,450,000(a) | STACR Trust, Series 2018-HRP2, Class M3, 2.492% (1 Month USD LIBOR + 240 bps), 2/25/47 (144A) | 8,605,883 | |||
5,706,945(a) | Towd Point HE Trust, Series 2019-HE1, Class A1, 0.992% (1 Month USD LIBOR + 90 bps), 4/25/48 (144A) | 5,716,236 | |||
3,913,012(a) | Towd Point HE Trust, Series 2019-HE1, Class M1, 1.192% (1 Month USD LIBOR + 110 bps), 4/25/48 (144A) | 3,901,612 | |||
5,280,000(a) | Traingle Re, Ltd., Series 2020-1, Class M1B, 3.992% (1 Month USD LIBOR + 390 bps), 10/25/30 (144A) | 5,306,402 | |||
4,360,000(a) | Traingle Re, Ltd., Series 2020-1, Class M1C, 4.592% (1 Month USD LIBOR + 450 bps), 10/25/30 (144A) | 4,447,201 | |||
6,440,000(a) | Traingle Re, Ltd., Series 2021-1, Class M1C, 3.492% (1 Month USD LIBOR + 340 bps), 8/25/33 (144A) | 6,455,949 | |||
8,170,000(a) | Traingle Re, Ltd., Series 2021-1, Class M2, 3.992% (1 Month USD LIBOR + 390 bps), 8/25/33 (144A) | 8,190,623 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||||
(Cost $736,206,584) | $735,668,620 | ||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 9.7% of Net Assets | |||||
4,503,561(a) | ACRES Commercial Realty Corp., Series 2020-RSO8, Class A, 1.274% (1 Month USD LIBOR + 115 bps), 3/15/35 (144A) | $4,506,402 | |||
12,500,000(a) | Austin Fairmont Hotel Trust, Series 2019-FAIR, Class E, 2.323% (1 Month USD LIBOR + 225 bps), 9/15/32 (144A) | 12,248,961 | |||
8,000,000(a) | BAMLL Commercial Mortgage Securities Trust, Series 2019-RLJ, Class C, 1.673% (1 Month USD LIBOR + 160 bps), 4/15/36 (144A) | 7,937,687 | |||
1,150,000(a) | BFLD Trust, Series 2020-OBRK, Class A, 2.123% (1 Month USD LIBOR + 205 bps), 11/15/28 (144A) | 1,164,458 | |||
9,450,000(a) | BHP Trust, Series 2019-BXHP, Class D, 1.844% (1 Month USD LIBOR + 177 bps), 8/15/36 (144A) | 9,452,951 | |||
5,884,925(a) | BTH-3 Mortgage-Backed Securities Trust, Series 2018-3, Class A, 2.592% (1 Month USD LIBOR + 250 bps), 7/8/21 | 5,854,293 | |||
7,750,000(a) | BTH-13 Mortgage Backed Securities Trust, Series 2018-13, Class A, 2.59% (1 Month USD LIBOR + 250 bps), 8/18/21 (144A) | 7,743,234 | |||
5,700,000(a) | BTH-16 Mortgage-Backed Securities Trust, Series 2018-16, Class A, 2.592% (1 Month USD LIBOR + 250 bps), 8/4/21 (144A) | 5,720,189 | |||
7,625,000(a) | BTH-21 Mortgage-Backed Securities Trust, Series 2018-21, Class A, 2.592% (1 Month USD LIBOR + 250 bps), 10/7/21 (144A) | 7,621,385 | |||
Principal Amount USD ($) | Value | ||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - (continued) | |||||
5,810,000(a) | BX Commercial Mortgage Trust, Series 2018-IND, Class D, 1.373% (1 Month USD LIBOR + 130 bps), 11/15/35 (144A) | $5,814,522 | |||
14,764,882(a) | BX Commercial Mortgage Trust, Series 2019-XL, Class G, 2.373% (1 Month USD LIBOR + 230 bps), 10/15/36 (144A) | 14,769,530 | |||
9,300,000(a) | BX Trust, Series 2019-ATL, Class B, 1.46% (1 Month USD LIBOR + 139 bps), 10/15/36 (144A) | 9,294,397 | |||
8,000,000(a) | BXP Trust, Series 2017-CQHP, Class B, 1.173% (1 Month USD LIBOR + 110 bps), 11/15/34 (144A) | 7,762,031 | |||
2,171,167(a) | CG-CCRE Commercial Mortgage Trust, Series 2014-FL1, Class B, 1.223% (1 Month USD LIBOR + 115 bps), 6/15/31 (144A) | 2,102,533 | |||
715,800(a) | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class A, 1.927% (1 Month USD LIBOR + 185 bps), 11/15/31 (144A) | 701,658 | |||
10,000,000(a) | CGDB Commercial Mortgage Trust, Series 2019-MOB, Class C, 1.523% (1 Month USD LIBOR + 145 bps), 11/15/36 (144A) | 9,996,847 | |||
5,700,000(a) | CGMS Commercial Mortgage Trust, Series 2017-MDRC, Class C, 1.373% (1 Month USD LIBOR + 130 bps), 7/15/30 (144A) | 5,580,257 | |||
14,891,307(a) | CHC Commercial Mortgage Trust, Series 2019-CHC, Class C, 1.823% (1 Month USD LIBOR + 175 bps), 6/15/34 (144A) | 14,779,102 | |||
9,500,000(a) | CHT Mortgage Trust, Series 2017-CSMO, Class C, 1.573% (1 Month USD LIBOR + 150 bps), 11/15/36 (144A) | 9,511,810 | |||
6,000,000(a) | CLNY Trust, Series 2019-IKPR, Class B, 1.551% (1 Month USD LIBOR + 148 bps), 11/15/38 (144A) | 6,007,432 | |||
2,000,000(a) | CLNY Trust, Series 2019-IKPR, Class E, 2.794% (1 Month USD LIBOR + 272 bps), 11/15/38 (144A) | 1,987,448 | |||
2,598,934(a) | COMM Mortgage Trust, Series 2014-FL5, Class C, 2.223% (1 Month USD LIBOR + 215 bps), 10/15/31 (144A) | 2,518,835 | |||
6,750,000(a) | Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class B, 1.973% (1 Month USD LIBOR + 190 bps), 1/15/34 (144A) | 6,691,898 | |||
10,000,000(a) | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class E, 2.223% (1 Month USD LIBOR + 215 bps), 5/15/36 (144A) | 10,018,829 | |||
1,568,582(a) | Freddie Mac Multifamily Structured Credit Risk, Series 2021-MN1, Class M1, 2.018% (SOFR30A + 200 bps), 1/25/51 (144A) | 1,579,674 | |||
1,715,812(a) | FREMF Mortgage Trust, Series 2014-KF05, Class B, 4.086% (1 Month USD LIBOR + 400 bps), 9/25/22 (144A) | 1,719,935 | |||
1,799,256(a) | GPMT, Ltd., Series 2018-FL1, Class AS, 1.293% (1 Month USD LIBOR + 120 bps), 11/21/35 (144A) | 1,799,815 | |||
8,000,000(a) | Great Wolf Trust, Series 2019-WOLF, Class D, 2.006% (1 Month USD LIBOR + 193 bps), 12/15/36 (144A) | 7,950,152 | |||
3,500,000(a) | GS Mortgage Securities Corp. Trust, Series 2017-STAY, Class B, 1.423% (1 Month USD LIBOR + 135 bps), 7/15/32 (144A) | 3,503,634 | |||
10,900,000(a) | GS Mortgage Securities Corp. Trust, Series 2018-TWR, Class A, 0.973% (1 Month USD LIBOR + 90 bps), 7/15/31 (144A) | 10,872,382 | |||
11,000,000(a) | GS Mortgage Securities Corp. Trust, Series 2019-70P, Class D, 1.823% (1 Month USD LIBOR + 175 bps), 10/15/36 (144A) | 10,889,443 | |||
7,400,000(a) | GS Mortgage Securities Corp. Trust, Series 2019-SMP, Class D, 2.023% (1 Month USD LIBOR + 195 bps), 8/15/32 (144A) | 7,297,733 | |||
10,000,000(a) | GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class A, 1.173% (1 Month USD LIBOR + 110 bps), 12/15/36 (144A) | 10,048,706 | |||
9,000,000(a) | GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class E, 2.573% (1 Month USD LIBOR + 250 bps), 12/15/36 (144A) | 8,746,645 | |||
4,300,000(a) | GS Mortgage Securities Trust, Series 2018-HART, Class A, 1.17% (1 Month USD LIBOR + 109 bps), 10/15/31 (144A) | 4,302,703 | |||
9,729,000(a) | GS Mortgage Securities Trust, Series 2018-HART, Class B, 1.38% (1 Month USD LIBOR + 130 bps), 10/15/31 (144A) | 9,716,760 | |||
8,135,347(a) | HPLY Trust, Series 2019-HIT, Class C, 1.673% (1 Month USD LIBOR + 160 bps), 11/15/36 (144A) | 8,135,343 | |||
4,665,000(a) | InTown Hotel Portfolio Trust, Series 2018-STAY, Class A, 1.023% (1 Month USD LIBOR + 95 bps), 1/15/33 (144A) | 4,677,076 | |||
4,230,000(a) | InTown Hotel Portfolio Trust, Series 2018-STAY, Class B, 1.373% (1 Month USD LIBOR + 130 bps), 1/15/33 (144A) | 4,242,879 | |||
11,900,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2017-FL11, Class B, 1.173% (1 Month USD LIBOR + 110 bps), 10/15/32 (144A) | 11,804,649 | |||
7,300,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PHH, Class B, 2.81% (1 Month USD LIBOR + 116 bps), 6/15/35 (144A) | 7,190,155 | |||
2,800,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class BFL, 1.33% (1 Month USD LIBOR + 125 bps), 7/5/33 (144A) | 2,807,751 | |||
4,000,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class CFL, 1.73% (1 Month USD LIBOR + 165 bps), 7/5/33 (144A) | 4,012,632 | |||
3,600,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class C, 1.673% (1 Month USD LIBOR + 160 bps), 9/15/29 (144A) | 3,596,494 | |||
1,650,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class E, 2.673% (1 Month USD LIBOR + 260 bps), 9/15/29 (144A) | 1,631,309 | |||
10,300,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP, Class E, 2.233% (1 Month USD LIBOR + 216 bps), 7/15/36 (144A) | 10,166,613 | |||
6,735,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class A, 1.443% (1 Month USD LIBOR + 137 bps), 10/15/33 (144A) | 6,751,780 | |||
8,050,000(a) | MBRT, Series 2019-MBR, Class B, 1.223% (1 Month USD LIBOR + 115 bps), 11/15/36 (144A) | 8,057,556 | |||
Principal Amount USD ($) | Value | ||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - (continued) | |||||
7,081,085(a) | MF1, Ltd., Series 2019-FL2, Class A, 1.262% (1 Month USD LIBOR + 113 bps), 12/25/34 (144A) | $7,081,080 | |||
1,722,527(b) | Morgan Stanley Capital I Trust, Series 2007-T25, Class AJ, 5.574%, 11/12/49 | 1,354,337 | |||
8,500,000(a) | Morgan Stanley Capital I Trust, Series 2017-ASHF, Class B, 1.323% (1 Month USD LIBOR + 125 bps), 11/15/34 (144A) | 8,494,100 | |||
8,250,000(a) | Morgan Stanley Capital I Trust, Series 2017-CLS, Class C, 1.073% (1 Month USD LIBOR + 100 bps), 11/15/34 (144A) | 8,252,604 | |||
9,610,247(a) | Morgan Stanley Capital I Trust, Series 2018-BOP, Class B, 1.323% (1 Month USD LIBOR + 125 bps), 8/15/33 (144A) | 9,589,907 | |||
5,220,000(a) | MTRO Commercial Mortgage Trust, Series 2019-TECH, Class C, 1.373% (1 Month USD LIBOR + 130 bps), 12/15/33 (144A) | 5,189,556 | |||
3,662,523(a) | Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class MCR1, 2.423% (1 Month USD LIBOR + 235 bps), 6/15/35 (144A) | 3,612,712 | |||
11,500,000(a) | Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, Class B, 1.873% (1 Month USD LIBOR + 180 bps), 7/15/36 (144A) | 11,493,072 | |||
6,817,435(a) | SLIDE, Series 2018-FUN, Class B, 1.573% (1 Month USD LIBOR + 125 bps), 6/15/31 (144A) | 6,813,149 | |||
947,718(b) | Sutherland Commercial Mortgage Loans, Series 2017-SBC6, Class A, 3.192%, 5/25/37 (144A) | 943,305 | |||
4,374,433(a) | Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class C, 1.58% (1 Month USD LIBOR + 150 bps), 11/11/34 (144A) | 4,374,347 | |||
9,807,955(a) | VMC Finance LLC, Series 2018-FL2, Class B, 1.432% (1 Month USD LIBOR + 135 bps), 10/15/35 (144A) | 9,785,898 | |||
959,824(b) | WaMu Commercial Mortgage Securities Trust, Series 2006-SL1, Class C, 1.649%, 11/23/43 (144A) | 958,775 | |||
12,800,000(a) | Wells Fargo Commercial Mortgage Trust, Series 2017-SMP, Class C, 1.398% (1 Month USD LIBOR + 133 bps), 12/15/34 (144A) | 12,743,151 | |||
13,125,000(a) | XCAL Mortgage Trust, Series 2019-1, Class A, 4.4% (1 Month USD LIBOR + 225 bps), 11/6/21 (144A) | 13,200,885 | |||
14,200,000(a) | XCALI Mortgage Trust, Series 2020-1, Class A, 4.05% (1 Month USD LIBOR + 240 bps), 1/22/23 (144A) | 14,255,555 | |||
13,500,000(a) | XCALI Mortgage Trust, Series 2020-2, Class A, 4.05% (1 Month USD LIBOR + 200 bps), 2/7/23 (144A) | 13,550,208 | |||
4,375,000(a) | XCALI Mortgage Trust, Series 2020-5, Class A, 4.25% (1 Month USD LIBOR + 325 bps), 10/15/23 (144A) | 4,400,948 | |||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | |||||
(Cost $459,110,244) | $457,382,097 | ||||
CORPORATE BONDS - 29.5% of Net Assets | |||||
Aerospace & Defense - 0.2% | |||||
10,000,000 | Boeing Co., 1.167%, 2/4/23 | $10,046,273 | |||
Total Aerospace & Defense | $10,046,273 | ||||
Auto Manufacturers - 3.8% | |||||
6,575,000(a) | American Honda Finance Corp., 0.468% (3 Month USD LIBOR + 28 bps), 1/12/24 | $6,580,194 | |||
3,960,000(a) | American Honda Finance Corp., 0.532% (3 Month USD LIBOR + 37 bps), 5/10/23 | 3,975,858 | |||
9,190,000(a) | American Honda Finance Corp., 0.686% (3 Month USD LIBOR + 54 bps), 6/27/22 | 9,235,086 | |||
6,000,000(a) | American Honda Finance Corp., 0.733% (3 Month USD LIBOR + 61 bps), 9/9/21 | 6,006,319 | |||
12,323,000(a) | BMW US Capital LLC, 0.58% (SOFRRATE + 53 bps), 4/1/24 (144A) | 12,428,436 | |||
15,000,000(a) | Daimler Finance North America LLC, 1.056% (3 Month USD LIBOR + 90 bps), 2/15/22 (144A) | 15,078,682 | |||
9,467,000 | Daimler Finance North America LLC, 2.85%, 1/6/22 (144A) | 9,586,505 | |||
15,000,000 | Daimler Finance North America LLC, 3.4%, 2/22/22 (144A) | 15,294,664 | |||
2,015,000(a) | Ford Motor Credit Co. LLC, 1.068% (3 Month USD LIBOR + 88 bps), 10/12/21 | 2,012,428 | |||
6,360,000(a) | General Motors Financial Co., Inc., 0.804% (SOFRRATE + 76 bps), 3/8/24 | 6,405,009 | |||
11,520,000 | General Motors Financial Co., Inc., 4.375%, 9/25/21 | 11,626,552 | |||
11,000,000(a) | Nissan Motor Acceptance Corp., 0.768% (3 Month USD LIBOR + 64 bps), 3/8/24 (144A) | 11,007,844 | |||
17,904,000(a) | Toyota Motor Credit Corp., 0.337% (SOFRRATE + 32 bps), 4/6/23 | 17,939,629 | |||
11,000,000(a) | Toyota Motor Credit Corp., 0.349% (SOFRRATE + 33 bps), 1/11/24 | 11,035,113 | |||
14,245,000(a) | Volkswagen Group of America Finance LLC, 0.994% (3 Month USD LIBOR + 86 bps), 9/24/21 (144A) | 14,271,243 | |||
9,175,000(a) | Volkswagen Group of America Finance LLC, 1.108% (3 Month USD LIBOR + 94 bps), 11/12/21 (144A) | 9,205,305 | |||
11,255,000 | Volkswagen Group of America Finance LLC, 2.5%, 9/24/21 (144A) | 11,312,472 | |||
6,460,000 | Volkswagen Group of America Finance LLC, 2.9%, 5/13/22 (144A) | 6,596,948 | |||
Total Auto Manufacturers | $179,598,287 | ||||
Banks - 16.4% | |||||
17,999,000(a) | ABN AMRO Bank NV, 0.709% (3 Month USD LIBOR + 57 bps), 8/27/21 (144A) | $18,013,939 | |||
5,650,000 | ABN AMRO Bank NV, 3.4%, 8/27/21 (144A) | 5,677,899 | |||
5,700,000(a) | Bank of America Corp., 0.536% (3 Month BSBY3M + 43 bps), 5/28/24 | 5,703,477 | |||
9,450,000(a) | Bank of America Corp., 0.757% (SOFRRATE + 73 bps), 10/24/24 | 9,518,229 | |||
23,289,000(a) | Bank of America Corp., 0.921% (3 Month USD LIBOR + 79 bps), 3/5/24 | 23,504,470 | |||
5,237,000(a) | Bank of America Corp., 1.176% (3 Month USD LIBOR + 100 bps), 4/24/23 | 5,274,918 | |||
18,812,000(a) | Bank of America Corp., 1.366% (3 Month USD LIBOR + 118 bps), 10/21/22 | 18,876,120 | |||
16,000,000(a) | Bank of Montreal, 0.394% (SOFRRATE + 35 bps), 12/8/23 | 16,058,752 | |||
3,185,000(a) | Bank of Montreal, 0.726% (SOFRRATE + 68 bps), 3/10/23 | 3,216,468 | |||
9,200,000(a) | Bank of Nova Scotia, 0.467% (SOFRRATE + 45 bps), 4/15/24 | 9,234,464 | |||
15,240,000(a) | Banque Federative du Credit Mutuel SA, 0.918% (3 Month USD LIBOR + 73 bps), 7/20/22 (144A) | 15,350,719 | |||
2,620,000(a) | Banque Federative du Credit Mutuel SA, 1.148% (3 Month USD LIBOR + 96 bps), 7/20/23 (144A) | 2,661,327 | |||
5,125,000 | Banque Federative du Credit Mutuel SA, 2.125%, 11/21/22 (144A) | 5,248,175 | |||
Principal Amount USD ($) | Value | ||||
Banks - (continued) | |||||
12,008,000(a) | Barclays Plc, 1.586% (3 Month USD LIBOR + 143 bps), 2/15/23 | $12,095,722 | |||
6,050,000(a) | Barclays Plc, 1.813% (3 Month USD LIBOR + 163 bps), 1/10/23 | 6,095,224 | |||
4,490,000 | Barclays Plc, 3.2%, 8/10/21 | 4,503,909 | |||
18,956,000(a) | BPCE SA, 1.37% (3 Month USD LIBOR + 122 bps), 5/22/22 (144A) | 19,127,228 | |||
9,563,000 | BPCE SA, 3.0%, 5/22/22 (144A) | 9,790,167 | |||
18,400,000(a) | Canadian Imperial Bank of Commerce, 0.447% (SOFRRATE + 40 bps), 12/14/23 | 18,416,027 | |||
10,900,000(a) | Citigroup, Inc., 0.699% (SOFRRATE + 67 bps), 5/1/25 | 10,948,999 | |||
16,729,000(a) | Citigroup, Inc., 1.136% (3 Month USD LIBOR + 96 bps), 4/25/22 | 16,834,041 | |||
13,621,000(a) | Citigroup, Inc., 1.198% (3 Month USD LIBOR + 107 bps), 12/8/21 | 13,670,507 | |||
9,220,000(a) | Citigroup, Inc., 1.366% (3 Month USD LIBOR + 119 bps), 8/2/21 | 9,229,573 | |||
2,350,000(a) | Cooperatieve Rabobank UA, 0.668% (3 Month USD LIBOR + 48 bps), 1/10/23 | 2,364,962 | |||
10,000,000(a) | Credit Suisse AG, 0.418% (SOFRRATE + 39 bps), 2/2/24 | 9,989,600 | |||
6,340,000(a) | Credit Suisse AG, 0.48% (SOFRRATE + 45 bps), 2/4/22 | 6,350,343 | |||
10,765,000(a) | Credit Suisse Group AG, 1.319% (3 Month USD LIBOR + 120 bps), 12/14/23 (144A) | 10,878,542 | |||
6,457,000 | Danske Bank A/S, 2.7%, 3/2/22 (144A) | 6,559,207 | |||
4,046,000 | Discover Bank, 3.2%, 8/9/21 | 4,048,616 | |||
7,000,000(a) | Federation des Caisses Desjardins du Quebec, 0.469% (SOFRRATE + 43 bps), 5/21/24 (144A) | 7,018,340 | |||
16,000,000(a) | Goldman Sachs Group, Inc., 0.547% (SOFRRATE + 50 bps), 9/10/24 | 15,984,293 | |||
13,002,000(a) | Goldman Sachs Group, Inc., 0.575% (SOFRRATE + 54 bps), 11/17/23 | 13,009,649 | |||
5,000,000(a) | Goldman Sachs Group, Inc., 0.9% (3 Month USD LIBOR + 75 bps), 2/23/23 | 5,044,318 | |||
20,000,000 | ING Groep NV, 3.15%, 3/29/22 | 20,429,143 | |||
8,000,000(a) | JPMorgan Chase & Co., 0.578% (SOFRRATE + 54 bps), 6/1/25 | 8,004,620 | |||
11,800,000(a) | JPMorgan Chase & Co., 0.903% (3 Month USD LIBOR + 73 bps), 4/23/24 | 11,911,057 | |||
10,150,000(a) | JPMorgan Chase & Co., 1.076% (3 Month USD LIBOR + 90 bps), 4/25/23 | 10,221,699 | |||
11,294,000(a) | KeyBank NA, 0.39% (SOFRRATE + 34 bps), 1/3/24 | 11,304,375 | |||
2,905,000(a) | KeyBank NA, 0.836% (3 Month USD LIBOR + 66 bps), 2/1/22 | 2,915,683 | |||
15,450,000 | Lloyds Banking Group Plc, 3.0%, 1/11/22 | 15,674,952 | |||
21,000,000(a) | Macquarie Bank, Ltd., 0.625% (3 Month USD LIBOR + 45 bps), 8/6/21 (144A) | 21,008,748 | |||
15,538,000(a) | Mitsubishi UFJ Financial Group, Inc., 0.826% (3 Month USD LIBOR + 65 bps), 7/26/21 | 15,544,576 | |||
3,000,000(a) | Mitsubishi UFJ Financial Group, Inc., 0.831% (3 Month USD LIBOR + 70 bps), 3/7/22 | 3,013,545 | |||
25,302,000(a) | Mitsubishi UFJ Financial Group, Inc., 0.966% (3 Month USD LIBOR + 79 bps), 7/25/22 | 25,491,765 | |||
6,295,000(a) | Mizuho Financial Group, Inc., 0.969% (3 Month USD LIBOR + 85 bps), 9/13/23 | 6,339,236 | |||
7,505,000(a) | Mizuho Financial Group, Inc., 1.005% (3 Month USD LIBOR + 88 bps), 9/11/22 | 7,572,267 | |||
14,679,000(a) | Mizuho Financial Group, Inc., 1.075% (3 Month USD LIBOR + 94 bps), 2/28/22 | 14,763,500 | |||
12,580,000(a) | Morgan Stanley, 1.114% (3 Month USD LIBOR + 93 bps), 7/22/22 | 12,586,434 | |||
11,460,000 | Morgan Stanley, 2.75%, 5/19/22 | 11,715,237 | |||
4,200,000(a) | NatWest Markets Plc, 0.563% (SOFRRATE + 53 bps), 8/12/24 (144A) | 4,214,494 | |||
12,114,000(a) | PNC Bank NA, 0.634% (3 Month USD LIBOR + 45 bps), 7/22/22 | 12,115,958 | |||
13,159,000(a) | PNC Bank NA, 0.681% (3 Month USD LIBOR + 50 bps), 7/27/22 | 13,227,526 | |||
22,000,000(a) | Royal Bank of Canada, 0.322% (SOFRRATE + 30 bps), 1/19/24 | 22,022,660 | |||
12,310,000(a) | Royal Bank of Canada, 0.647% (3 Month USD LIBOR + 47 bps), 4/29/22 | 12,359,597 | |||
4,800,000 | Royal Bank of Canada, 3.35%, 10/22/21 (144A) | 4,846,651 | |||
15,252,000(a) | Skandinaviska Enskilda Banken AB, 0.764% (3 Month USD LIBOR + 65 bps), 12/12/22 (144A) | 15,362,019 | |||
11,850,000(a) | Standard Chartered Plc, 1.271% (SOFRRATE + 125 bps), 10/14/23 (144A) | 11,968,299 | |||
6,450,000(a) | Standard Chartered Plc, 1.328% (3 Month USD LIBOR + 120 bps), 9/10/22 (144A) | 6,461,610 | |||
4,232,000(a) | Sumitomo Mitsui Financial Group, Inc., 0.93% (3 Month USD LIBOR + 74 bps), 10/18/22 | 4,264,290 | |||
22,118,000(a) | Sumitomo Mitsui Financial Group, Inc., 0.968% (3 Month USD LIBOR + 78 bps), 7/12/22 | 22,265,236 | |||
11,400,000 | Sumitomo Mitsui Financial Group, Inc., 2.058%, 7/14/21 | 11,407,637 | |||
5,265,000(a) | Toronto-Dominion Bank, 0.665% (3 Month USD LIBOR + 53 bps), 12/1/22 | 5,301,607 | |||
1,000,000(a) | Toronto-Dominion Bank, 0.83% (3 Month USD LIBOR + 64 bps), 7/19/23 | 1,011,446 | |||
25,014,000(a) | Truist Bank, 0.746% (3 Month USD LIBOR + 59 bps), 5/17/22 | 25,138,189 | |||
5,800,000(a) | UBS AG, 0.391% (SOFRRATE + 36 bps), 2/9/24 (144A) | 5,818,270 | |||
8,110,000 | UBS AG, 7.625%, 8/17/22 | 8,724,056 | |||
10,800,000(a) | UBS AG/London, 0.361% (SOFRRATE + 32 bps), 6/1/23 (144A) | 10,821,056 | |||
16,208,000(a) | UBS Group AG, 1.706% (3 Month USD LIBOR + 153 bps), 2/1/22 (144A) | 16,354,379 | |||
14,665,000(a) | Wells Fargo & Co., 1.201% (3 Month USD LIBOR + 103 bps), 7/26/21 | 14,675,358 | |||
5,332,000(a) | Wells Fargo & Co., 1.286% (3 Month USD LIBOR + 111 bps), 1/24/23 | 5,362,360 | |||
Total Banks | $772,517,759 | ||||
Diversified Financial Services - 1.2% | |||||
15,735,000(a) | Air Lease Corp., 0.484% (3 Month USD LIBOR + 35 bps), 12/15/22 | $15,753,935 | |||
23,740,000(a) | American Express Co., 0.786% (3 Month USD LIBOR + 61 bps), 8/1/22 | 23,866,863 | |||
1,400,000(a) | Aviation Capital Group LLC, 0.856% (3 Month USD LIBOR + 67 bps), 7/30/21 (144A) | 1,400,242 | |||
15,850,000(a) | Capital One Financial Corp., 0.906% (3 Month USD LIBOR + 72 bps), 1/30/23 | 15,988,459 | |||
Total Diversified Financial Services | $57,009,499 | ||||
Electric - 1.9% | |||||
6,440,000(a) | American Electric Power Co., Inc., 0.656% (3 Month USD LIBOR + 48 bps), 11/1/23 | $6,445,091 | |||
7,600,000(a) | CenterPoint Energy, Inc., 0.684% (SOFRRATE + 65 bps), 5/13/24 | 7,631,692 | |||
9,175,000(a) | Dominion Energy, Inc., 0.649% (3 Month USD LIBOR + 53 bps), 9/15/23 | 9,178,577 | |||
7,152,000(c) | Dominion Energy, Inc., 2.715%, 8/15/21 | 7,172,449 | |||
17,130,000 | Dominion Energy, Inc., 2.75%, 1/15/22 | 17,314,101 | |||
3,553,000 | Enel Finance International NV, 2.875%, 5/25/22 (144A) | 3,630,648 | |||
15,000,000 | Eversource Energy, 2.75%, 3/15/22 | 15,218,692 | |||
11,360,000(a) | Florida Power & Light Co., 0.283% (SOFRRATE + 25 bps), 5/10/23 | 11,353,536 | |||
6,600,000(a) | NextEra Energy Capital Holdings, Inc., 0.581% (SOFRRATE + 54 bps), 3/1/23 | 6,633,084 | |||
4,780,000 | Niagara Mohawk Power Corp., 2.721%, 11/28/22 (144A) | 4,916,231 | |||
Total Electric | $89,494,101 | ||||
Principal Amount USD ($) | Value | ||||
Food - 0.1% | |||||
6,885,000 | Danone SA, 2.077%, 11/2/21 (144A) | $6,916,655 | |||
Total Food | $6,916,655 | ||||
Insurance - 0.6% | |||||
1(d) | Ambac Assurance Corp., 5.1% (144A) | $ 1 | |||
2(a) | Ambac LSNI LLC, 6.0% (3 Month USD LIBOR + 500 bps), 2/12/23 (144A) | 2 | |||
5,365,000(a) | Metropolitan Life Global Funding I, 0.59% (SOFRRATE + 57 bps), 1/13/23 (144A) | 5,396,656 | |||
4,531,000(a) | New York Life Global Funding, 0.495% (3 Month USD LIBOR + 32 bps), 8/6/21 (144A) | 4,532,769 | |||
9,350,000(a) | Northwestern Mutual Global Funding, 0.38% (SOFRRATE + 33 bps), 3/25/24 (144A) | 9,371,739 | |||
6,500,000(a) | Principal Life Global Funding II, 0.469% (SOFRRATE + 45 bps), 4/12/24 (144A) | 6,510,983 | |||
Total Insurance | $25,812,150 | ||||
Machinery-Construction & Mining - 0.4% | |||||
11,567,000(a) | Caterpillar Financial Services Corp., 0.28% (SOFRRATE + 25 bps), 5/17/24 | $11,577,793 | |||
9,091,000(a) | Caterpillar Financial Services Corp., 0.895% (3 Month USD LIBOR + 74 bps), 5/13/22 | 9,145,417 | |||
Total Machinery-Constrction & Mining | $20,723,210 | ||||
Machinery-Diversified - 0.0%† | |||||
2,000(a) | John Deere Capital Corp., 0.388% (3 Month USD LIBOR + 26 bps), 9/10/21 | $ 2,001 | |||
Total Machinery-Diversified | $ 2,001 | ||||
Media - 0.5% | |||||
5,092,000(a) | Comcast Corp., 0.585% (3 Month USD LIBOR + 44 bps), 10/1/21 | $5,096,981 | |||
6,870,000(a) | Walt Disney Co., 0.385% (3 Month USD LIBOR + 25 bps), 9/1/21 | 6,873,045 | |||
9,910,000(a) | Walt Disney Co., 0.525% (3 Month USD LIBOR + 39 bps), 9/1/22 | 9,947,668 | |||
Total Media | $21,917,694 | ||||
Oil & Gas - 1.2% | |||||
2,775,000(a) | BP Capital Markets Plc, 0.785% (3 Month USD LIBOR + 65 bps), 9/19/22 | $2,787,276 | |||
5,766,000(a) | BP Capital Markets Plc, 0.988% (3 Month USD LIBOR + 87 bps), 9/16/21 | 5,776,063 | |||
7,045,000 | Canadian Natural Resources, Ltd., 3.45%, 11/15/21 | 7,071,229 | |||
2,295,000(a) | Chevron Corp., 0.659% (3 Month USD LIBOR + 53 bps), 3/3/22 | 2,302,371 | |||
16,885,000(a) | Chevron Corp., 1.06% (3 Month USD LIBOR + 90 bps), 5/11/23 | 17,180,646 | |||
11,405,000(a) | Exxon Mobil Corp., 0.486% (3 Month USD LIBOR + 33 bps), 8/16/22 | 11,441,998 | |||
10,240,000 | Marathon Petroleum Corp., 4.5%, 5/1/23 | 10,919,398 | |||
Total Oil & Gas | $57,478,981 | ||||
Pharmaceuticals - 1.9% | |||||
17,080,000(a) | AbbVie, Inc., 0.799% (3 Month USD LIBOR + 65 bps), 11/21/22 | $17,199,744 | |||
15,240,000 | AbbVie, Inc., 3.45%, 3/15/22 | 15,494,499 | |||
7,317,000 | AbbVie, Inc., 5.0%, 12/15/21 | 7,386,561 | |||
5,890,000 | AmerisourceBergen Corp., 0.737%, 3/15/23 | 5,901,309 | |||
12,890,000(a) | Becton Dickinson & Co., 1.161% (3 Month USD LIBOR + 103 bps), 6/6/22 | 13,001,869 | |||
13,126,000(a) | Cardinal Health, Inc., 0.889% (3 Month USD LIBOR + 77 bps), 6/15/22 | 13,207,250 | |||
15,430,000(a) | Zoetis, Inc., 0.595% (3 Month USD LIBOR + 44 bps), 8/20/21 | 15,438,802 | |||
Total Pharmaceuticals | $87,630,034 | ||||
Pipelines - 0.3% | |||||
15,605,000(a) | MPLX LP, 1.223% (3 Month USD LIBOR + 110 bps), 9/9/22 | $15,614,956 | |||
Total Pipelines | $15,614,956 | ||||
Retail - 0.1% | |||||
6,365,000(a) | 7-Eleven, Inc., 0.612% (3 Month USD LIBOR + 45 bps), 8/10/22 (144A) | $6,367,546 | |||
Total Retail | $6,367,546 | ||||
Semiconductors - 0.1% | |||||
4,600,000 | Skyworks Solutions, Inc., 0.9%, 6/1/23 | $4,613,431 | |||
Total Semiconductors | $4,613,431 | ||||
Telecommunications - 0.5% | |||||
17,944,000(a) | AT&T, Inc., 1.134% (3 Month USD LIBOR + 95 bps), 7/15/21 | $17,950,314 | |||
5,471,000(a) | Verizon Communications, Inc., 0.55% (SOFRRATE + 50 bps), 3/22/24 | 5,512,142 | |||
Total Telecommunications | $23,462,456 | ||||
Trucking & Leasing - 0.3% | |||||
5,010,000(a) | GATX Corp., 0.896% (3 Month USD LIBOR + 72 bps), 11/5/21 | $5,019,374 | |||
10,121,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 3.375%, 2/1/22 (144A) | 10,244,682 | |||
Total Trucking & Leasing | $15,264,056 | ||||
TOTAL CORPORATE BONDS | |||||
(Cost $1,394,043,380) | $1,394,469,089 | ||||
INSURANCE-LINKED SECURITIES - 2.2% of Net Assets# | |||||
Event Linked Bonds - 1.7% | |||||
Earthquakes - California - 0.1% | |||||
1,000,000(a) | Ursa Re, 5.271% (3 Month U.S. Treasury Bill + 523 bps), 9/24/21 (144A) | $1,002,400 | |||
750,000(a) | Ursa Re, 5.791% (3 Month U.S. Treasury Bill + 575 bps), 12/10/22 (144A) | 768,750 | |||
4,000,000(a) | Ursa Re II, 3.791% (3 Month U.S. Treasury Bill + 375 bps), 12/7/23 (144A) | 4,148,400 | |||
$5,919,550 | |||||
Earthquakes - Japan - 0.0%† | |||||
700,000(a) | Nakama Re, 2.2% (6 Month USD LIBOR + 220 bps), 10/13/21 (144A) | $ 699,090 | |||
Earthquakes - Mexico - 0.0%† | |||||
500,000(a) | International Bank for Reconstruction & Development, 3.539% (3 Month USD LIBOR + 350 bps), 3/13/24 (144A) | $ 507,200 | |||
Earthquakes - U.S. - 0.0%† | |||||
1,000,000(a) | Torrey Pines Re Pte, 4.041% (3 Month U.S. Treasury Bill + 400 bps), 6/7/24 (144A) | $ 998,000 | |||
Health - U.S. - 0.1% | |||||
3,500,000(a) | Vitality Re X, 1.791% (3 Month U.S. Treasury Bill + 175 bps), 1/10/23 (144A) | $3,431,820 | |||
Principal Amount USD ($) | Value | ||||
Health - U.S. - (continued) | |||||
1,750,000(a) | Vitality Re X, 2.041% (3 Month U.S. Treasury Bill + 200 bps), 1/10/23 (144A) | $1,697,657 | |||
$5,129,477 | |||||
Inland Flood - U.S. - 0.0%† | |||||
500,000(a) | FloodSmart Re, 11.871% (1 Month U.S. Treasury Bill + 1,183 bps), 3/7/22 (144A) | $ 486,800 | |||
Multiperil - Florida - 0.0%† | |||||
250,000(a) | Sanders Re II, Ltd., 5.541% (3 Month U.S. Treasury Bill + 550 bps), 6/7/23 (144A) | $ 252,325 | |||
Multiperil - Japan - 0.0%† | |||||
250,000(a) | Akibare Re, 2.035% (3 Month USD LIBOR + 190 bps), 4/7/22 (144A) | $ 250,100 | |||
500,000(a) | Akibare Re, 2.045% (3 Month USD LIBOR + 190 bps), 4/7/22 (144A) | 500,150 | |||
$ 750,250 | |||||
Multiperil - U.S. - 0.5% | |||||
1,500,000(a) | Bonanza Re, 4.791% (3 Month U.S. Treasury Bill + 475 bps), 2/20/24 (144A) | $1,509,750 | |||
250,000(a) | Bowline Re, Series 2018-1, 4.801% (3 Month U.S. Treasury Bill + 476 bps), 5/23/22 (144A) | 251,175 | |||
125,000(a) | Caelus Re V, 0.541% (1 Month U.S. Treasury Bill + 50 bps), 6/5/24 (144A) | 62,500 | |||
500,000(a) | Caelus Re V, 3.231% (3 Month U.S. Treasury Bill + 319 bps), 6/9/25 (144A) | 350,000 | |||
750,000(a) | Caelus Re V, 4.071% (3 Month U.S. Treasury Bill + 403 bps), 6/9/25 (144A) | 75,000 | |||
750,000(a) | Caelus Re VI, 5.541% (3 Month U.S. Treasury Bill + 550 bps), 6/7/24 (144A) | 774,750 | |||
4,500,000(a) | Easton Re Pte, 4.041% (3 Month U.S. Treasury Bill + 400 bps), 1/8/24 (144A) | 4,522,950 | |||
500,000(a) | Fortius Re II, 3.42% (6 Month USD LIBOR + 342 bps), 7/7/21 (144A) | 500,000 | |||
1,750,000(a) | Four Lakes Re, 7.041% (3 Month U.S. Treasury Bill + 700 bps), 1/5/24 (144A) | 1,749,300 | |||
500,000(a) | Herbie Re, 6.291% (3 Month U.S. Treasury Bill + 625 bps), 1/8/25 (144A) | 527,800 | |||
250,000(a) | Kilimanjaro Re, 4.94% (3 Month USD LIBOR + 494 bps), 5/6/22 (144A) | 250,250 | |||
1,700,000(a) | Kilimanjaro II Re, 7.91% (6 Month USD LIBOR + 791 bps), 4/21/22 (144A) | 1,706,970 | |||
2,900,000(a) | Residential Reinsurance 2017, 5.971% (3 Month U.S. Treasury Bill + 593 bps), 12/6/21 (144A) | 2,892,750 | |||
1,500,000(a) | Residential Reinsurance 2020, 6.551% (3 Month U.S. Treasury Bill + 651 bps), 12/6/24 (144A) | 1,519,500 | |||
250,000(a) | Sanders Re, 2.93% (6 Month USD LIBOR + 293 bps), 12/6/21 (144A) | 248,125 | |||
3,000,000(a) | Sanders Re II, 3.541% (3 Month U.S. Treasury Bill + 350 bps), 4/7/25 (144A) | 2,995,500 | |||
1,000,000(a) | Sussex Capital UK Pcc, Ltd., 7.791% (3 Month U.S. Treasury Bill + 775 bps), 1/8/25 (144A) | 1,023,100 | |||
3,350,000(a) | Tailwind Re, 7.691% (3 Month U.S. Treasury Bill + 765 bps), 1/8/22 (144A) | 3,318,175 | |||
$24,277,595 | |||||
Multiperil - U.S. & Canada - 0.2% | |||||
2,500,000(a) | Hypatia, Ltd., 6.791% (3 Month U.S. Treasury Bill + 675 bps), 6/7/23 (144A) | $2,613,000 | |||
1,000,000(a) | Hypatia, Ltd., 9.791% (3 Month U.S. Treasury Bill + 975 bps), 6/7/23 (144A) | 1,048,000 | |||
1,000,000(a) | Mona Lisa Re, 7.041% (3 Month U.S. Treasury Bill + 700 bps), 7/8/25 (144A) | 1,004,000 | |||
4,000,000(a) | Mystic Re IV, 5.538% (3 Month U.S. Treasury Bill + 550 bps), 1/8/25 (144A) | 3,999,600 | |||
$8,664,600 | |||||
Multiperil - U.S. Regional - 0.1% | |||||
700,000(a) | First Coast Re II Pte, 5.66% (3 Month U.S. Treasury Bill + 566 bps), 6/7/23 (144A) | $ 705,670 | |||
1,250,000(a) | Long Point Re III, 2.791% (3 Month U.S. Treasury Bill + 275 bps), 6/1/22 (144A) | 1,254,750 | |||
400,000(a) | Matterhorn Re, 5.041% (3 Month U.S. Treasury Bill + 500 bps), 1/8/24 (144A) | 389,920 | |||
$2,350,340 | |||||
Multiperil - Worldwide - 0.0%† | |||||
1,500,000(a) | Northshore Re II, 5.791% (3 Month U.S. Treasury Bill + 575 bps), 1/8/24 (144A) | $1,541,250 | |||
Pandemic - U.S. - 0.1% | |||||
3,000,000(a) | Vitality Re X, 1.541% (3 Month U.S. Treasury Bill + 150 bps), 1/9/24 (144A) | $2,940,000 | |||
1,250,000(a) | Vitality Re XI, 1.841% (3 Month U.S. Treasury Bill + 180 bps), 1/9/24 (144A) | 1,218,750 | |||
$4,158,750 | |||||
Windstorm - Florida - 0.1% | |||||
2,500,000(a) | Integrity Re, 4.05% (3 Month USD LIBOR + 405 bps), 6/10/22 (144A) | $2,486,250 | |||
2,200,000(a) | Merna Reinsurance II Ltd., 5.5% (3 Month U.S. Treasury Bill + 550 bps), 7/8/24 (144A) | 2,198,900 | |||
$4,685,150 | |||||
Windstorm - Mexico - 0.0%† | |||||
500,000(a) | International Bank for Reconstruction & Development, 6.64%, 3/13/24 | $ 510,500 | |||
Windstorm - Texas - 0.1% | |||||
2,500,000(a) | Alamo Re II, 5.791% (1 Month U.S. Treasury Bill + 575 bps), 6/8/23 (144A) | $2,593,250 | |||
Windstorm - U.S. - 0.1% | |||||
2,000,000(a) | Bonanza Re, 4.791% (3 Month U.S. Treasury Bill + 475 bps), 12/23/24 (144A) | $2,010,400 | |||
250,000(a) | Bowline Re, 8.891% (3 Month U.S. Treasury Bill + 885 bps), 3/20/23 (144A) | 253,850 | |||
$2,264,250 | |||||
Windstorm - U.S. Regional - 0.3% | |||||
2,500,000 | Matterhorn Re, 12/7/21 (144A) | $2,335,250 | |||
1,500,000(a) | Matterhorn Re, 4.341% (3 Month USD LIBOR + 425 bps), 12/7/22 (144A) | 1,504,500 | |||
3,000,000(a) | Matterhorn Re, 5.591% (3 Month USD LIBOR + 550 bps), 12/7/22 (144A) | 3,001,800 | |||
1,500,000(a) | Matterhorn Re, 6.291% (3 Month U.S. Treasury Bill + 625 bps), 12/7/21 (144A) | 1,499,100 | |||
250,000(a) | Matterhorn Re, 7.041% (3 Month U.S. Treasury Bill + 700 bps), 12/7/21 (144A) | 252,625 | |||
2,250,000(a) | Matterhorn Re, 10.041% (3 Month U.S. Treasury Bill + 1,000 bps), 12/7/21 (144A) | 2,275,650 | |||
2,000,000(a) | Matterhorn Re 2020-1, 7.541% (3 Month U.S. Treasury Bill + 750 bps), 12/7/21 (144A) | 1,987,800 | |||
$12,856,725 | |||||
Total Event Linked Bonds | $78,645,102 | ||||
Face Amount USD ($) | Value | ||||
Collateralized Reinsurance - 0.3% | |||||
Multiperil – Massachusetts - 0.1% | |||||
3,000,000+(e)(f) | Denning Re, 7/31/24 | $3,024,808 | |||
Face Amount USD ($) | Value | ||||
Multiperil - U.S. - 0.1% | |||||
500,000+(e) | Dingle Re 2019, 2/1/22 | $ 10,263 | |||
250,000+(e)(f) | Dingle Re 2020, 12/31/21 | 258,623 | |||
4,000,000+(e)(f) | Port Royal Re 2019, 5/31/22 | 4,116,400 | |||
3,250,000+(e) | Port Royal Re 2021, 5/31/25 | 3,113,812 | |||
$7,499,098 | |||||
Multiperil - U.S. Regional - 0.1% | |||||
2,750,000+(e)(f) | Ailsa Re 2019, 6/30/22 | $2,940,363 | |||
Multiperil - Worldwide - 0.0%† | |||||
1,000,000+(e)(f) | Cypress Re 2017, 1/31/22 | $ 100 | |||
223,000+(e) | Limestone Re, 3/1/23 (144A) | 132,417 | |||
24,000+(e) | Limestone Re 2016-1, 8/31/21 | 1,350 | |||
40,000+(e) | Limestone Re 2016-1, 8/31/21 | 2,250 | |||
2,500,000+(e)(f) | Resilience Re, 5/1/22 | – | |||
2,000,000+(e)(f) | Resilience Re, 10/6/21 | – | |||
$ 136,117 | |||||
Windstorm - Florida - 0.0%† | |||||
2,000,000+(e)(f) | Formby Re 2018, 2/28/22 | $ 278,387 | |||
800,000+(e)(f) | Portrush Re 2017, 6/15/22 | 510,480 | |||
$ 788,867 | |||||
Windstorm - U.S. Regional - 0.0%† | |||||
500,000+(e)(f) | Oakmont Re 2017, 4/30/22 | $ 14,700 | |||
Total Collateralized Reinsurance | $14,403,953 | ||||
Reinsurance Sidecars - 0.2% | |||||
Multiperil - U.S. - 0.0%† | |||||
2,000,000+(e)(f) | Carnoustie Re 2017, 11/30/21 | $ 263,600 | |||
1,500,000+(e)(f) | Castle Stuart Re 2018, 12/1/21 | 13,050 | |||
2,000,000+(f)(g) | Harambee Re 2018, 12/31/21 | 5,600 | |||
4,000,000+(g) | Harambee Re 2019, 12/31/22 | 20,400 | |||
$ 302,650 | |||||
Multiperil - Worldwide - 0.2% | |||||
2,000+(e) | Alturas Re 2019-1, 3/10/23 (144A) | $ 5,446 | |||
36,448+(g) | Alturas Re 2019-2, 3/10/22 | 50,047 | |||
2,500,000+(e)(f) | Bantry Re 2016, 3/31/22 | 201,500 | |||
2,000,000+(e)(f) | Bantry Re 2017, 3/31/22 | 116,882 | |||
2,000,000+(e)(f) | Bantry Re 2018, 12/31/21 | 22,800 | |||
4,000,000+(e)(f) | Bantry Re 2019, 12/31/22 | 135,855 | |||
1,250,000+(e)(f) | Berwick Re 2017-1, 2/1/22 | – | |||
5,120,164+(e)(f) | Berwick Re 2018-1, 12/31/21 | 491,956 | |||
3,658,035+(e)(f) | Berwick Re 2019-1, 12/31/22 | 437,135 | |||
113,405+(e) | Eden Re II, 3/22/22 (144A) | 31,307 | |||
4,000+(e) | Eden Re II, 3/22/23 (144A) | 21,448 | |||
35,797+(e) | Eden Re II, 3/22/23 (144A) | 188,642 | |||
75,000+(e) | Eden Re II, 3/22/22 (144A) | 19,397 | |||
2,118,314+(e)(f) | Gullane Re 2018, 12/31/21 | 361,093 | |||
2,000+(e) | Limestone Re 2018, 3/1/22 | – | |||
500,000+(g) | Lion Rock Re 2019, 1/31/22 | 2,650 | |||
4,000,000+(f)(g) | Lorenz Re 2018, 7/1/22 | 20,400 | |||
2,744,544+(f)(g) | Lorenz Re 2019, 6/30/22 | 301,076 | |||
3,000,000+(e)(f) | Merion Re 2018-2, 12/31/21 | 496,500 | |||
1,500,000+(e) | Pangaea Re 2016-2, 11/30/21 | 2,675 | |||
2,000,000+(e)(f) | Pangaea Re 2018-1, 12/31/21 | 42,109 | |||
4,000,000+(e)(f) | Pangaea Re 2018-3, 7/1/22 | 82,974 | |||
2,800,000+(e)(f) | Pangaea Re 2019-1, 2/1/23 | 58,345 | |||
2,941,254+(e)(f) | Pangaea Re 2019-3, 7/1/23 | 105,800 | |||
4,000,000+(e)(f) | Pangaea Re 2021-3, 7/1/25 | 4,000,000 | |||
2,400,000+(e)(f) | Sector Re V, 12/1/23 (144A) | 502,902 | |||
1,861+(e) | Sector Re V, 3/1/24 (144A) | 31,963 | |||
800,000+(e)(f) | Sector Re V, 3/1/24 (144A) | 494,994 | |||
160,000+(e)(f) | Sector Re V, 12/1/24 (144A) | 432,806 | |||
1,250,000+(e)(f) | St. Andrews Re 2017-1, 2/1/22 | – | |||
1,737,984+(e)(f) | St. Andrews Re 2017-4, 6/1/22 | 171,018 | |||
750,000+(f)(g) | Thopas Re 2018, 12/31/21 | 3,750 | |||
3,000,000+(f)(g) | Thopas Re 2019, 12/31/22 | 135,300 | |||
2,000,000+(e)(f) | Versutus Re 2018, 12/31/21 | – | |||
1,765,095+(e) | Versutus Re 2019-A, 12/31/21 | 45,186 | |||
1,434,906+(e) | Versutus Re 2019-B, 12/31/21 | 35,012 | |||
750,000+(f)(g) | Viribus Re 2018, 12/31/21 | – | |||
2,500,000+(f)(g) | Viribus Re 2019, 12/31/22 | 104,250 | |||
1,724,784+(e)(f) | Woburn Re 2018, 12/31/21 | 126,599 | |||
Face Amount USD ($) | Value | ||||
Multiperil - Worldwide - (continued) | |||||
809,418+(e)(f) | Woburn Re 2019, 12/31/22 | $ 239,345 | |||
$9,519,162 | |||||
Total Reinsurance Sidecars | $9,821,812 | ||||
TOTAL INSURANCE-LINKED SECURITIES | |||||
(Cost $105,588,505) | $102,870,867 | ||||
Principal Amount USD ($) | Value | ||||
MUNICIPAL BOND - 0.0%† of Net Assets(a)(h) | |||||
Municipal Student Loan - 0.0%† | |||||
8,621(a) | Louisiana Public Facilities Authority, Student Loan Backed, Series A, 1.076% (3 Month USD LIBOR + 90 bps), 4/26/27 | $ 8,630 | |||
Total Municipal Student Loan | $ 8,630 | ||||
TOTAL MUNICIPAL BOND | |||||
(Cost $8,655) | $ 8,630 | ||||
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 5.1% of Net Assets*(a) | |||||
Aerospace & Defense - 0.1% | |||||
2,375,534 | American Airlines, Inc., 2018 Replacement Term Loan, 1.845% (LIBOR + 175 bps), 6/27/25 | $2,282,491 | |||
992,500 | MAG DS Corp., Initial Term Loan, 6.5% (LIBOR + 550 bps), 4/1/27 | 975,131 | |||
735,000 | MRO Holdings, Inc., Initial Term Loan, 5.147% (LIBOR + 500 bps), 6/4/26 | 735,000 | |||
1,246,875 | Peraton Corp., First Lien Term B Loan, 4.5% (LIBOR + 375 bps), 2/1/28 | 1,252,818 | |||
995,000 | Spirit Aerosystems, Inc. (fka Mid-Western Aircraft Systems, Inc & Onex Wind Finance LP.), Initial Term Loan, 6.0% (LIBOR + 525 bps), 1/15/25 | 1,004,328 | |||
748,125 | United AirLines, Inc. Class B Term Loan, 4.5% (LIBOR + 375 bps), 4/21/28 | 758,813 | |||
Total Aerospace & Defense | $7,008,581 | ||||
All Other - 0.0%† | |||||
1,000,000(i) | Adevinta ASA Facility B2, Term Loan, 6/26/28 | $1,002,031 | |||
Total All Other | $1,002,031 | ||||
Automobile - 0.1% | |||||
1,346,625 | CWGS Group LLC (aka Camping World, Inc.), Initial Term Loan, 3.25% (LIBOR + 250 bps), 6/3/28 | $1,337,703 | |||
2,000,000 | Dana, Inc., 2018 New Term Loan B Advance, 2.354% (LIBOR + 225 bps), 2/27/26 | 1,997,084 | |||
1,163,750 | Highline Aftermarket Acquisition LLC, First Lien Initial Term Loan, 5.25% (LIBOR + 450 bps), 11/9/27 | 1,169,569 | |||
2,291,667 | Visteon Corp., New Term Loan, 1.859% (LIBOR + 175 bps), 3/25/24 | 2,279,732 | |||
208,400 | Wabash National Corp., Initial Term Loan, 4.0% (LIBOR + 325 bps), 9/28/27 | 208,660 | |||
Total Automobile | $6,992,748 | ||||
Automotive - 0.0%† | |||||
497,417 | IXS Holdings, Inc., Initial Term Loan, 5.0% (LIBOR + 425 bps), 3/5/27 | $ 499,904 | |||
1,500,000 | Trinseo Materials Operating SCA (fka Styron SAr.l), Term Loan, 2.604% (LIBOR + 250 bps), 5/3/28 | 1,491,093 | |||
Total Automotive | $1,990,997 | ||||
Beverage, Food & Tobacco - 0.0%† | |||||
982,500 | US Foods, Inc. (aka U.S. Foodservice, Inc.), Incremental B-2019 Term Loan, 2.104% (LIBOR + 200 bps), 9/13/26 | $ 969,400 | |||
Total Beverage, Food & Tobacco | $ 969,400 | ||||
Broadcasting & Entertainment - 0.2% | |||||
2,992,386 | Charter Communications Operating LLC (aka CCO Safari LLC), Term B-2 Loan, 1.86% (LIBOR + 175 bps), 2/1/27 | $2,972,561 | |||
1,087,297 | Gray Television, Inc., Term B-2 Loan, 2.342% (LIBOR + 225 bps), 2/7/24 | 1,083,673 | |||
4,000,001 | Gray Television, Inc., Term C Loan, 2.592% (LIBOR + 250 bps), 1/2/26 | 3,985,557 | |||
Total Broadcasting & Entertainment | $8,041,791 | ||||
Building Materials - 0.1% | |||||
1,091,190 | Circor International, Inc., New Term Loan, 4.25% (LIBOR + 325 bps), 12/11/24 | $1,087,212 | |||
498,750 | Cornerstone Building Brands, Inc., Term Loan B, 3.75% (LIBOR + 325 bps), 4/12/28 | 499,373 | |||
750,000(i) | Groupe Solmax Inc., Term Loan, 6/28/28 | 750,938 | |||
2,704,924 | Summit Materials LLC, New Term Loan, 2.104% (LIBOR + 200 bps), 11/21/24 | 2,700,485 | |||
Total Building Materials | $5,038,008 | ||||
Buildings & Real Estate - 0.2% | |||||
3,161,521 | Beacon Roofing Supply, Inc., 2028 Term Loan, 2.604% (LIBOR + 250 bps), 5/19/28 | $3,149,665 | |||
1,246,875 | Potters Industries LLC, Initial Term Loan, 4.75% (LIBOR + 400 bps), 12/14/27 | 1,250,381 | |||
2,100,000 | VICI Properties 1 LLC, Term B Loan, 1.841% (LIBOR + 175 bps), 12/20/24 | 2,084,905 | |||
615,630 | WireCo WorldGroup, Inc. (WireCo WorldGroup Finance LP), First Lien Initial Term Loan, 6.0% (LIBOR + 500 bps), 9/29/23 | 616,730 | |||
Total Buildings & Real Estate | $7,101,681 | ||||
Chemicals - 0.3% | |||||
2,039,750 | Avantor Funding, Inc., Incremental B-4 Dollar Term Loan, 3.25% (LIBOR + 225 bps), 11/8/27 | $2,043,319 | |||
1,979,849 | Element Solutions, Inc. (Macdermid, Inc.), Tranche B-1 Term Loan, 2.104% (LIBOR + 200 bps), 1/31/26 | 1,979,849 | |||
986,973 | Gemini HDPE LLC Term Loan B, 3.5% (LIBOR + 300 bps), 12/31/27 | 986,819 | |||
1,000,000 | INEOS Styrolution Group GmbH, 2026 Tranche B Dollar Term Loan, 3.25% (LIBOR + 275 bps), 1/29/26 | 999,219 | |||
2,361,765 | Tronox Finance LLC, First Lien Refinancing Term Loan, 2.63% (LIBOR + 250 bps), 3/10/28 | 2,350,509 | |||
1,000,000(i) | Univar Solutions USA, Inc., Term B-6 Loan, 6/3/28 | 998,984 | |||
1,500,000 | W.R. Grace & Co.-CONN New Term Loan, 2.147% (LIBOR + 200 bps), 6/1/28 | 1,498,125 | |||
Principal Amount USD ($) | Value | ||||
Chemicals - (continued) | |||||
1,000,000(i) | Zebra Buyer LLC, Term Loan, 1/31/26 | $1,000,005 | |||
Total Chemicals | $11,856,829 | ||||
Chemicals, Plastics & Rubber - 0.2% | |||||
2,375,829 | Axalta Coating Systems Dutch Holding B BV (Axalta Coating Systems U.S. Holdings, Inc.), Term B-3 Dollar Loan, 1.897% (LIBOR + 175 bps), 6/1/24 | $2,363,313 | |||
5,738,145 | Berry Global, Inc. (fka Berry Plastics Corp), Term Z Loan, 1.827% (LIBOR + 175 bps), 7/1/26 | 5,702,281 | |||
364,463 | Pactiv Evergreen, Inc., Tranche B-1 US Term Loan, 2.854% (LIBOR + 275 bps), 2/5/23 | 364,184 | |||
440,464 | PQ Corp., Third Amendment Tranche B-1 Term Loan, 2.436% (LIBOR + 225 bps), 2/7/27 | 440,189 | |||
Total Chemicals, Plastics & Rubber | $8,869,967 | ||||
Computer & Electronics - 0.0%† | |||||
750,000(i) | Magenta Buyer LLC, First Lien Term Loan, 5/3/28 | $ 750,803 | |||
Total Computer & Electronics | $ 750,803 | ||||
Computers & Electronics - 0.3% | |||||
2,600,000 | Ahead DB Holdings LLC, First Lien Term B Loan, 4.5% (LIBOR + 375 bps), 10/18/27 | $2,608,733 | |||
498,750 | athenahealth, Inc., First Lien Term B-1 Loan, 4.41% (LIBOR + 425 bps), 2/11/26 | 502,023 | |||
580,000 | Celestica, Inc., Incremental Term B-2 Loan, 2.595% (LIBOR + 250 bps), 6/27/25 | 579,275 | |||
500,000 | Endurance International Group Holdings, Inc., Initial Term Loan, 4.25% (LIBOR + 350 bps), 2/10/28 | 498,594 | |||
748,125 | Energizer Holdings, Inc., First Lien Term Loan, 2.75% (LIBOR + 225 bps), 12/22/27 | 747,813 | |||
2,537,250 | LogMeIn, Inc., First Lien Initial Term Loan, 4.827% (LIBOR + 475 bps), 8/31/27 | 2,535,400 | |||
3,432,330 | NCR Corp., Initial Term Loan, 2.69% (LIBOR + 250 bps), 8/28/26 | 3,408,733 | |||
1,087,275 | Pitney Bowes, Inc., Refinancing Tranche B Term Loan, 4.11% (LIBOR + 400 bps), 3/17/28 | 1,089,088 | |||
Total Computers & Electronics | $11,969,659 | ||||
Construction & Building - 0.0%† | |||||
479,452 | Pike Corp., 2028 Initial Term Loan, 3.11% (LIBOR + 300 bps), 1/21/28 | $ 479,186 | |||
Total Construction & Building | $ 479,186 | ||||
Consumer Durable - 0.0%† | |||||
1,604,688 | ADS Tactical, Inc., Initial Term Loan, 6.75% (LIBOR + 575 bps), 3/19/26 | $1,620,734 | |||
Total Consumer Durable | $1,620,734 | ||||
Consumer Services - 0.0%† | |||||
928,186 | Prime Security Services Borrower LLC (aka Protection 1 Security Solutions), First Lien 2021 Refinancing Term B-1 Loan, 3.5% (LIBOR + 275 bps), 9/23/26 | $ 928,283 | |||
Total Consumer Services | $ 928,283 | ||||
Diversified & Conglomerate Manufacturing - 0.0%† | |||||
904,422 | Delos Finance S.a.r.l., New Term Loan, 1.897% (LIBOR + 175 bps), 10/6/23 | $ 904,776 | |||
Total Diversified & Conglomerate Manufacturing | $ 904,776 | ||||
Diversified & Conglomerate Service - 0.3% | |||||
995,000 | Albany Molecular Research, Inc., First Lien 2020 Term Loan, 4.5% (LIBOR + 350 bps), 8/30/24 | $ 997,985 | |||
1,975,755 | Avis Budget Car Rental LLC, New Tranche B Term Loan, 2.36% (LIBOR + 225 bps), 8/6/27 | 1,937,885 | |||
952,156 | Change Healthcare Holdings LLC, Closing Date Term Loan, 3.5% (LIBOR + 250 bps), 3/1/24 | 952,222 | |||
27,637 | Convergint Technologies LLC, Delayed Draw Term Loan, 4.32% (LIBOR + 375 bps), 3/31/28 | 27,750 | |||
173,636 | Convergint Technologies LLC, Term Loan, 4.5% (LIBOR + 375 bps), 3/31/28 | 174,353 | |||
460,064 | DTI Holdco, Inc., Replacement B-1 Term Loan, 5.75% (LIBOR + 475 bps), 9/29/23 | 445,076 | |||
1,000,000 | Edelman Financial Center LLC (fka Flight Debt Merger Sub, Inc.), First Lien 2021 Initial Term Loan, 4.5%, 4/7/28 | 1,002,083 | |||
500,000 | FleetCor Technologies Operating Co. LLC, Term B-4 Loan, 1.854% (LIBOR + 175 bps), 4/28/28 | 499,610 | |||
1,925,000 | Iqvia, Inc. (Quintiles IMS), Incremental Term B-2 Dollar Loan, 1.854% (LIBOR + 175 bps), 1/17/25 | 1,917,381 | |||
1,475,298 | Outfront Media Capital LLC (Outfront Media Capital Corp.), Extended Term Loan, 1.841% (LIBOR + 175 bps), 11/18/26 | 1,454,091 | |||
1,500,000 | Russell Investments US Institutional Holdco, Inc., 2025 Term Loan, 4.5%, 5/30/25 | 1,493,813 | |||
994,805 | Team Health Holdings, Inc., Initial Term Loan, 3.75% (LIBOR + 275 bps), 2/6/24 | 968,158 | |||
Total Diversified & Conglomerate Service | $11,870,407 | ||||
Diversified Natural Resources & Precious Metals - 0.0%† | |||||
995,000 | 84 Lumber Co., Term B-1 Loan, 3.75% (LIBOR + 300 bps), 11/13/26 | $ 996,244 | |||
Total Diversified Natural Resources & Precious Metals | $ 996,244 | ||||
Electronics - 0.3% | |||||
693,000 | BY Crown Parent LLC, Initial B-1 Term Loan, 4.0% (LIBOR + 300 bps), 2/2/26 | $ 693,866 | |||
1,125,000 | CoreLogic, Inc. (fka First American Corp.), First Lien Initial Term Loan, 4.0% (LIBOR + 350 bps), 6/2/28 | 1,124,472 | |||
1,336,823 | Dell International LLC (EMC Corp.), Refinancing Term B-2 Loan, 2.0% (LIBOR + 175 bps), 9/19/25 | 1,338,160 | |||
746,250 | Flexera Software LLC (fka Flexera Software, Inc.), First Lien Term B-1 Loan, 4.5% (LIBOR + 375 bps), 3/3/28 | 748,915 | |||
399,000 | Rackspace Technology Global, Inc., First Lien 2021 Term B Loan, 3.5% (LIBOR + 275 bps), 2/15/28 | 397,442 | |||
1,704,681 | Science Applications International Corp., Tranche B2 Term Loan, 1.979% (LIBOR + 188 bps), 3/12/27 | 1,702,286 | |||
3,552,571 | Scientific Games International, Inc., Initial Term B-5 Loan, 2.854% (LIBOR + 275 bps), 8/14/24 | 3,531,476 | |||
498,750 | Spectrum Brands, Inc., 2021 Term Loan, 2.5% (LIBOR + 200 bps), 3/3/28 | 497,815 | |||
947,677 | Ultra Clean Holdings, Inc., Second Amendment Term Loan B, 3.854%, 8/27/25 | 950,836 | |||
486,396 | Verint Systems, Inc., Refinancing Term Loan, 2.086% (LIBOR + 200 bps), 6/28/24 | 484,572 | |||
915,588 | Western Digital Corp., US Term B-4 Loan, 1.843% (LIBOR + 175 bps), 4/29/23 | 916,814 | |||
Total Electronics | $12,386,654 | ||||
Principal Amount USD ($) | Value | ||||
Entertainment & Leisure - 0.1% | |||||
1,485,000(i) | Carnival Corp., Initial Advance (LIBOR + 750 bps), 6/30/25 | $1,522,588 | |||
498,750 | Churchill Downs, Inc., 2021 Incremental Term B Loan, 2.11% (LIBOR + 200 bps), 3/17/28 | 496,776 | |||
651,750 | Enterprise Development Authority, Term Loan B, 5.0% (LIBOR + 425 bps), 2/28/28 | 655,009 | |||
845,750 | Great Outdoors Group LLC, Term B-1 Loan, 5.0% (LIBOR + 425 bps), 3/6/28 | 851,867 | |||
1,246,875 | Resideo Funding, Inc., Initial Term Loan, 2.75% (LIBOR + 225 bps), 2/11/28 | 1,245,316 | |||
Total Entertainment & Leisure | $4,771,556 | ||||
Environmental Services - 0.0%† | |||||
1,324,161 | GFL Environmental, Inc., 2020 Refinancing Term Loan, 3.5% (LIBOR + 300 bps), 5/30/25 | $1,326,809 | |||
750,000 | WIN Waste Innovations Holdings, Inc., Initial Term Loan, 3.25% (LIBOR + 275 bps), 3/24/28 | 749,179 | |||
Total Environmental Services | $2,075,988 | ||||
Financial Services - 0.1% | |||||
2,493,750 | Citadel Securities LP, 2021 Term Loan, 2.604% (LIBOR + 250 bps), 2/2/28 | $2,471,306 | |||
484,142 | EFS Cogen Holdings I LLC, Term B Loan, 4.5% (LIBOR + 350 bps), 10/1/27 | 484,359 | |||
947,625 | Hudson River Trading LLC, Term Loan, 3.104% (LIBOR + 300 bps), 3/20/28 | 945,453 | |||
1,796,847 | Trans Union LLC, 2019 Replacement Term B-5 Loan, 1.854% (LIBOR + 175 bps), 11/16/26 | 1,787,020 | |||
Total Financial Services | $5,688,138 | ||||
Forest Products - 0.1% | |||||
997,500 | ProAmpac PG Borrower LLC, First Lien 2020-1 Term Loan, 4.5% (LIBOR + 375 bps), 11/3/25 | $1,000,410 | |||
2,600,000 | Schweitzer-Mauduit International, Inc., Term Loan B, 4.5% (LIBOR + 375 bps), 2/9/28 | 2,570,750 | |||
Total Forest Products | $3,571,160 | ||||
Gaming & Hotels - 0.0%† | |||||
500,000(i) | Hilton Grand Vacations Borrower LLC, Term Loan, 5/19/28 | $ 500,860 | |||
847,875 | Playtika Holding Corp., Term B-1 Loan, 2.854% (LIBOR + 275 bps), 3/13/28 | 845,418 | |||
Total Gaming & Hotels | $1,346,278 | ||||
Healthcare - 0.3% | |||||
1,058,400 | Alkermes, Inc., 2026 Term Loan, 3.0% (LIBOR + 250 bps), 3/12/26 | $1,055,754 | |||
498,750 | CNT Holdings I Corp, First Lien Initial Term Loan, 4.5% (LIBOR + 375 bps), 11/8/27 | 499,724 | |||
2,503,591 | Grifols Worldwide Operations, Ltd., Dollar Tranche B Term Loan, 2.088% (LIBOR + 200 bps), 11/15/27 | 2,481,542 | |||
1,147,125 | Horizon Therapeutics USA, Inc., Incremental Term B-2 Loan, 2.5% (LIBOR + 200 bps), 3/15/28 | 1,142,823 | |||
2,358,343 | Horizon Therapeutics USA, Inc., Seventh Amendment Refinancing Term Loan, 2.375% (LIBOR + 200 bps), 5/22/26 | 2,348,764 | |||
850,000(i) | Padagis, Term B Loan, 6/30/28 | 846,813 | |||
1,246,875 | Phoenix Guarantor, Inc. (aka Brightspring), Term Loan, 3.573% (LIBOR + 350 bps), 3/5/26 | 1,239,750 | |||
1,003,731 | Service Logic Acquisition, Inc., First Lien Closing Date Initial Term Loan, 4.75% (LIBOR + 400 bps), 10/29/27 | 1,007,495 | |||
1,200,000 | Sotera Health Holdings LLC, Refinancing, First Lien Term Loan, 3.25% (LIBOR + 275 bps), 12/11/26 | 1,197,375 | |||
Total Healthcare | $11,820,040 | ||||
Healthcare & Pharmaceuticals - 0.1% | �� | ||||
962,500 | Alphabet Holding Co., Inc. (aka Nature's Bounty), First Lien Initial Term Loan, 3.604% (LIBOR + 350 bps), 9/26/24 | $ 962,467 | |||
2,191,494 | Milano Acquisition Corp., First Lien Term B Loan, 4.75% (LIBOR + 400 bps), 10/1/27 | 2,201,081 | |||
1,490,740 | NMN Holdings III Corp., First Lien Closing Date Term Loan, 3.604% (LIBOR + 350 bps), 11/13/25 | 1,485,772 | |||
320,135 | NMN Holdings III Corp., First Lien Delayed Draw Term Loan, 3.604% (LIBOR + 350 bps), 11/13/25 | 319,068 | |||
650,000(i) | Prestige Brands, Inc., Term Loan B, 7/3/28 | 651,300 | |||
206,154 | Prestige Brands, Inc., Term B-4 Loan, 4.25% (PRIME + 100 bps), 1/26/24 | 206,504 | |||
Total Healthcare & Pharmaceuticals | $5,826,192 | ||||
Healthcare, Education & Childcare - 0.2% | |||||
732,779 | ATI Holdings Acquisition, Inc., First Lien Initial Term Loan, 4.5% (LIBOR + 350 bps), 5/10/23 | $ 733,390 | |||
2,062,500 | Bausch Health Cos., Inc. (fka Valeant Pharmaceuticals International, Inc.), First Incremental Term Loan, 2.854% (LIBOR + 275 bps), 11/27/25 | 2,049,609 | |||
2,332,421 | Bausch Health Cos., Inc. (fka Valeant Pharmaceuticals International, Inc.), Initial Term Loan, 3.104% (LIBOR + 300 bps), 6/2/25 | 2,325,863 | |||
1,125,000 | Jazz Pharmaceuticals Public Ltd., Co., Initial Dollar Term Loan, 4.0% (LIBOR + 350 bps), 5/5/28 | 1,130,525 | |||
1,500,000 | Organon & Co., Dollar Term Loan, 3.5% (LIBOR + 300 bps), 6/2/28 | 1,503,081 | |||
1,466,250 | Vizient, Inc., Term B-6 Loan, 2.104% (LIBOR + 200 bps), 5/6/26 | 1,457,269 | |||
Total Healthcare, Education & Childcare | $9,199,737 | ||||
Home Furnishings - 0.0%† | |||||
1,000,000(i) | Herman Miller, Inc., Term Loan B, 6/29/28 | $1,001,250 | |||
497,500 | Weber-Stephen Products LLC, Initial Term B Loan, 4.0% (LIBOR + 325 bps), 10/30/27 | 498,921 | |||
Total Home Furnishings | $1,500,171 | ||||
Hotel, Gaming & Leisure - 0.2% | |||||
1,194,039 | 1011778 B.C. Unlimited Liability Co. (New Red Finance, Inc.) (aka Burger King/Tim Hortons), Term B-4 Loan, 1.854% (LIBOR + 175 bps), 11/19/26 | $1,179,113 | |||
1,967,764 | Boyd Gaming Corp., Refinancing Term B Loan, 2.338% (LIBOR + 225 bps), 9/15/23 | 1,967,988 | |||
1,492,268 | Caesars Resort Collection LLC, Term B Loan, 2.854% (LIBOR + 275 bps), 12/23/24 | 1,481,154 | |||
1,632,883 | Flutter Entertainment Plc, USD Term Loan, 3.647% (LIBOR + 350 bps), 7/10/25 | 1,638,861 | |||
1,495,837 | Station Casinos LLC, Term B-1 Facility Loan, 2.5% (LIBOR + 225 bps), 2/8/27 | 1,480,785 | |||
Total Hotel, Gaming & Leisure | $7,747,901 | ||||
Principal Amount USD ($) | Value | ||||
Insurance - 0.2% | |||||
980,000 | Alliant Holdings Intermediate LLC, 2019 New Term Loan, 3.354% (LIBOR + 325 bps), 5/9/25 | $ 971,119 | |||
4,213,501 | Asurion LLC (fka Asurion Corp.), New B-7 Term Loan, 3.104% (LIBOR + 300 bps), 11/3/24 | 4,175,318 | |||
1,191,357 | Asurion LLC (fka Asurion Corp.), New B-8 Term Loan, 3.354% (LIBOR + 325 bps), 12/23/26 | 1,179,164 | |||
997,500 | Asurion LLC (fka Asurion Corp.), New B-9 Term Loan, 3.354% (LIBOR + 325 bps), 7/31/27 | 987,318 | |||
336,875 | USI, Inc. (fka Compass Investors, Inc.), 2017 New Term Loan, 3.147% (LIBOR + 300 bps), 5/16/24 | 334,228 | |||
Total Insurance | $7,647,147 | ||||
Leasing - 0.1% | |||||
1,144,959 | Avolon TLB Borrower 1 (US) LLC, Term B-3 Loan, 2.5% (LIBOR + 175 bps), 1/15/25 | $ 1,143,272 | |||
1,368,172 | Avolon TLB Borrower 1 (US) LLC, Term B-4 Loan, 2.25% (LIBOR + 150 bps), 2/12/27 | 1,353,946 | |||
497,500 | Avolon TLB Borrower 1 (US) LLC, Term B-5 Loan, 3.25% (LIBOR + 250 bps), 12/1/27 | 498,153 | |||
1,035,186 | Fly Funding II S.a.r.l., Replacement Term Loan, 1.92% (LIBOR + 175 bps), 8/11/25 | 1,019,658 | |||
967,500 | IBC Capital I, Ltd. (aka Goodpack, Ltd.), First Lien Tranche B-1 Term Loan, 3.875% (LIBOR + 375 bps), 9/11/23 | 961,151 | |||
Total Leasing | $4,976,180 | ||||
Leisure & Entertainment - 0.1% | |||||
466,250 | E.W. Scripps Co., Term Loan B3, 3.75%, 1/7/28 | $ 466,703 | |||
1,220,288 | Fitness International LLC, Term B Loan, 4.25% (LIBOR + 325 bps), 4/18/25 | 1,169,952 | |||
1,000,000 | WMG Acquisition Corp., Tranche G Term Loan, 2.229% (LIBOR + 213 bps), 1/20/28 | 993,542 | |||
Total Leisure & Entertainment | $2,630,197 | ||||
Machinery - 0.0%† | |||||
94,697 | Clark Equipment Co. (aka Doosan Bobcat, Inc.), Repriced 2019 Term Loan, 1.982%, 5/18/24 | $ 94,085 | |||
1,234,571 | CTC AcquiCo GmbH, Facility B2, 2.885% (LIBOR + 275 bps), 3/7/25 | 1,208,852 | |||
139,013 | Gardner Denver, Inc., 2020 GDI Tranche B-2 Dollar Term Loan, 1.854% (LIBOR + 175 bps), 3/1/27 | 137,635 | |||
226,943 | Terex Corp., Incremental US Term Loan, 2.75% (LIBOR + 200 bps), 1/31/24 | 226,849 | |||
Total Machinery | $1,667,421 | ||||
Media - 0.2% | |||||
2,500,000 | Cable One, Inc., Incremental Term B-4 Loan, 2.104% (LIBOR + 200 bps), 5/3/28 | $2,492,577 | |||
1,335,308 | CSC Holdings LLC (fka CSC Holdings, Inc. (Cablevision)), October 2018 Incremental Term Loan, 2.323% (LIBOR + 225 bps), 1/15/26 | 1,319,243 | |||
1,100,000(i) | Univision Communications, Inc., Term Loan B, 5/5/28 | 1,099,038 | |||
2,175,000 | Ziggo Financing Partnership, Term Loan I Facility, 2.573% (LIBOR + 250 bps), 4/30/28 | 2,156,573 | |||
Total Media | $7,067,431 | ||||
Metals & Mining - 0.1% | |||||
650,000 | Atkore International, Inc., Initial Term Loan, 2.5% (LIBOR + 200 bps), 5/26/28 | $ 650,406 | |||
850,000 | Harsco Corp., Term Loan, 2.75% (LIBOR + 225 bps), 3/10/28 | 844,953 | |||
1,813,139 | Phoenix Guarantor, Inc. (aka Brightspring), First Lien Tranche B-1 Term Loan, 3.341% (LIBOR + 325 bps), 3/5/26 | 1,802,940 | |||
Total Metals & Mining | $3,298,299 | ||||
Oil & Gas - 0.1% | |||||
3,543,004 | Centurion Pipeline Co. LLC (fka Lotus Midstream LLC), Initial Term Loan, 3.354% (LIBOR + 325 bps), 9/29/25 | $3,503,146 | |||
1,000,000(i) | DT Midstream, Inc., Initial Term Loan, 6/26/28 | 1,002,891 | |||
974,031 | Traverse Midstream Partners LLC, Advance Term Loan, 6.5% (LIBOR + 550 bps), 9/27/24 | 980,119 | |||
Total Oil & Gas | $5,486,156 | ||||
Personal, Food & Miscellaneous Services - 0.0%† | |||||
1,206,625 | Option Care Health, Inc., Term B Loan, 3.854% (LIBOR + 375 bps), 8/6/26 | $1,208,133 | |||
Total Personal, Food & Miscellaneous Services | $1,208,133 | ||||
Printing & Publishing - 0.0%† | |||||
750,000 | Cimpress Plc, Tranche B-1 Term Loan, 4.0% (LIBOR + 350 bps), 5/17/28 | $ 748,359 | |||
1,192,528 | Red Ventures LLC (New Imagitas, Inc.), First Lien Term B-2 Loan, 2.604% (LIBOR + 250 bps), 11/8/24 | 1,178,473 | |||
Total Printing & Publishing | $1,926,832 | ||||
Professional & Business Services - 0.3% | |||||
1,965,075 | Amentum Government Services Holdings LLC, First Lien Tranche 2 Term Loan, 5.5% (LIBOR + 475 bps), 1/29/27 | $1,985,954 | |||
1,000,000 | Ankura Consulting Group LLC, First Lien Closing Date Term Loan, 5.25% (LIBOR + 450 bps), 3/17/28 | 1,003,750 | |||
982,500 | Clear Channel Outdoor Holdings, Inc., Term B Loan, 3.686% (LIBOR + 350 bps), 8/21/26 | 960,547 | |||
2,905,197 | Elanco Animal Health, Inc., Term Loan, 1.842% (LIBOR + 175 bps), 8/1/27 | 2,867,587 | |||
497,468 | Ensemble RCM LLC, Closing Date Term Loan, 3.936% (LIBOR + 375 bps), 8/3/26 | 498,298 | |||
1,000,000(i) | Fairbanks Morse Defense, Term Loan, 6/23/28 | 1,002,500 | |||
299,184(i) | ICON Luxembourg S.a.r.l., Term Loan B, 6/16/28 | 300,119 | |||
2,200,816(i) | ICON Luxembourg S.a.r.l., Term Loan B, 6/16/28 | 2,207,694 | |||
1,225,000 | MYOB US Borrower LLC, First Lien Initial US Term Loan, 4.104% (LIBOR + 400 bps), 5/6/26 | 1,219,895 | |||
997,500 | Petco Health & Wellness Co., Inc., First Lien Initial Term Loan, 4.0% (LIBOR + 325 bps), 3/3/28 | 997,055 | |||
415,625 | PPD, Inc., Initial Term Loan, 2.75% (LIBOR + 225 bps), 1/13/28 | 415,599 | |||
744,375 | Pre-Paid Legal Services, Inc. (aka LegalShield), Incremental Term Loan, 4.75% (LIBOR + 400 bps), 5/1/25 | 747,166 | |||
500,000 | Verscend Holding Corp., Term B-1 Loan, 4.104% (LIBOR + 400 bps), 8/27/25 | 502,083 | |||
794,690 | Victory Capital Holdings, Inc., Tranche B-2 Term Loan, 2.444% (LIBOR + 225 bps), 7/1/26 | 790,385 | |||
Total Professional & Business Services | $15,498,632 | ||||
Principal Amount USD ($) | Value | ||||
Real Estate - 0.0%† | |||||
1,250,000(i) | RE/MAX LLC (fka RE/MAX International LLC), Term Loan B, 6/23/28 | $1,250,000 | |||
Total Real Estate | $1,250,000 | ||||
Retailing - 0.1% | |||||
1,588,000 | Asplundh Tree Expert LLC, Amendment No. 1 Term Loan, 1.854% (LIBOR + 175 bps), 9/7/27 | $1,585,132 | |||
1,500,000 | Garrett LX I S.a.r.l., Term Loan B, 3.75% (LIBOR + 325 bps), 4/30/28 | 1,508,437 | |||
1,848,077 | KFC Holding Co. (aka Yum! Brands), 2021 Term B Loan, 1.833% (LIBOR + 175 bps), 3/15/28 | 1,852,533 | |||
750,000 | PetSmart LLC, Initial Term Loan, 4.5% (LIBOR + 375 bps), 2/11/28 | 751,406 | |||
Total Retailing | $5,697,508 | ||||
Securities & Trusts - 0.1% | |||||
997,500 | CCRR Parent, Inc., First Lien Initial Term Loan, 5.0% (LIBOR + 425 bps), 3/6/28 | $1,004,670 | |||
281,632 | RPI Intermediate Finance Trust, Term B-1 Term Facility, 1.854% (LIBOR + 175 bps), 2/11/27 | 280,576 | |||
1,000,000(i) | Zebra Buyer LLC, Term Loan, 4/21/28 | 1,004,479 | |||
Total Securities & Trusts | $2,289,725 | ||||
Telecommunications - 0.4% | |||||
2,468,503 | Ciena Corp., Refinancing Term Loan, 1.843% (LIBOR + 175 bps), 9/26/25 | $2,470,046 | |||
3,403,419 | Go Daddy Operating Co. LLC (GD Finance Co., Inc.), Tranche B-2 Term Loan, 1.854%, 2/15/24 | 3,380,793 | |||
1,237,500 | Go Daddy Operating Co. LLC (GD Finance Co., Inc.), Tranche B-4 Term Loan, 2.104% (LIBOR + 200 bps), 8/10/27 | 1,231,657 | |||
3,990,234 | Level 3 Financing, Inc., Tranche B 2027 Term Loan, 1.854% (LIBOR + 175 bps), 3/1/27 | 3,937,862 | |||
4,984,149 | Lumen Technologies, Inc. Term B Loan, 2.354% (LIBOR + 225 bps), 3/15/27 | 4,925,352 | |||
1,484,673 | Virgin Media Bristol LLC, N Facility, 2.573% (LIBOR + 250 bps), 1/31/28 | 1,473,306 | |||
1,025,000 | Virgin Media Bristol LLC, Term Q Loan, 3.353% (LIBOR + 325 bps), 1/31/29 | 1,024,599 | |||
1,044,709 | Windstream Services II LLC, Initial Term Loan, 7.25% (LIBOR + 625 bps), 9/21/27 | 1,049,279 | |||
Total Telecommunications | $19,492,894 | ||||
Transportation - 0.1% | |||||
997,500 | Daseke Cos., Inc., 2021 Initial Term Loan, 4.75% (LIBOR + 400 bps), 3/9/28 | $ 998,539 | |||
2,386,440 | Envision Healthcare Corp., Initial Term Loan, 3.854% (LIBOR + 375 bps), 10/10/25 | 2,049,355 | |||
64,381 | Syncreon Group BV, Second Out Term Loan, 7.0% (LIBOR + 600 bps), 4/1/25 | 64,622 | |||
Total Transportation | $3,112,516 | ||||
Utilities - 0.1% | |||||
747,875 | Calpine Construction Finance Co., LP, Term B Loan, 2.104% (LIBOR + 200 bps), 1/15/25 | $ 739,929 | |||
491,250 | Calpine Corp., Term Loan, 2.104% (LIBOR + 200 bps), 8/12/26 | 485,655 | |||
1,917,938 | Compass Power Generation, LLC, Tranche B-1 Term Loan, 4.5% (LIBOR + 350 bps), 12/20/24 | 1,901,754 | |||
2,471,819 | Eastern Power LLC (Eastern Covert Midco LLC) (aka TPF II LC LLC), Term Loan, 4.75% (LIBOR + 375 bps), 10/2/25 | 2,213,603 | |||
561,071 | Vistra Operations Co. LLC (fka Tex Operations Co. LLC), 2018 Incremental Term Loan, 1.85% (LIBOR + 175 bps), 12/31/25 | 557,915 | |||
Total Utilities | $5,898,856 | ||||
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS | |||||
(Cost $243,513,429) | $243,473,867 | ||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 8.9% of Net Assets | |||||
10,000,000 | Fannie Mae, 1.5%, 7/1/36 (TBA) | $10,112,590 | |||
30,000,000 | Fannie Mae, 2.0%, 7/1/36 (TBA) | 30,953,004 | |||
4,892(a) | Fannie Mae, 2.091% (2 Month USD LIBOR + 167 bps), 1/1/48 | 4,972 | |||
6,277(a) | Fannie Mae, 2.283% (1 Year CMT Index + 210 bps), 9/1/32 | 6,419 | |||
5,858(a) | Fannie Mae, 2.295% (1 Year CMT Index + 217 bps), 2/1/34 | 5,807 | |||
6,493(a) | Fannie Mae, 2.319% (1 Year CMT Index + 219 bps), 10/1/32 | 6,479 | |||
38(a) | Fannie Mae, 2.362% (1 Year CMT Index + 211 bps), 11/1/23 | 38 | |||
151,500,000 | Fannie Mae, 2.5%, 7/1/51 (TBA) | 156,796,582 | |||
1,494(a) | Federal Home Loan Mortgage Corp., 2.375% (2 Month USD LIBOR + 200 bps), 11/1/33 | 1,499 | |||
303(a) | Federal Home Loan Mortgage Corp., 2.603% (1 Year CMT Index + 230 bps), 10/1/23 | 304 | |||
646(a) | Federal Home Loan Mortgage Corp., 4.371% (5 Year CMT Index + 212 bps), 6/1/35 | 649 | |||
411(a) | Government National Mortgage Association II, 2.0% (1 Year CMT Index + 150 bps), 1/20/22 | 413 | |||
90,000,000(j) | U.S. Treasury Bills, 7/20/21 | 89,997,803 | |||
110,000,000(j) | U.S. Treasury Bills, 7/27/21 | 109,996,822 | |||
25,000,000 | U.S. Treasury Notes, 2.875%, 10/15/21 | 25,204,124 | |||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS | |||||
(Cost $423,307,163) | $423,087,505 | ||||
TEMPORARY CASH INVESTMENTS - 6.0% of Net Assets | |||||
COMMERCIAL PAPERS - 2.2% | |||||
10,000,000 | Canadian Natural Resources, Ltd., 0.23%, 7/12/21 | $9,999,543 | |||
5,000,000 | CenterPoint Energy, Inc., 0.12%, 7/1/21 | 4,999,983 | |||
20,598,000 | ConAgra Foods, 0.2%, 7/1/21 | 20,597,821 | |||
500,000 | Duke Energy Co., 0.09%, 7/1/21 | 499,999 | |||
10,000,000 | Energy Transfer LP, 0.35%, 7/1/21 | 9,999,916 | |||
15,000,000 | Fidelity National Title Co., 0.19%, 7/7/21 | 14,999,614 | |||
20,500,000 | Prudential Fund, 0.06%, 7/1/21 | 20,499,965 | |||
23,180,000 | Smithfield Foods, Inc., 0.18%, 7/1/21 | 23,179,870 | |||
$104,776,711 | |||||
CERTIFICATE OF DEPOSIT - 0.2% | |||||
6,100,000(a) | Lloyds Bank Corporate Markets Plc, 0.74% (3 Month USD LIBOR + 55 bps), 7/19/21 | $6,101,722 | |||
Principal Amount USD ($) | Value | ||||
REPURCHASE AGREEMENTS - 3.6% | |||||
24,520,000 | $24,520,000 Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.1%, dated 6/30/21 plus accrued interest on 7/01/21 collateralized by $25,010,400 Government National Mortgage Association, 2.4-4.1%, 3/15/48-6/15/61. | $ 24,520,000 | |||
49,130,000 | $49,130,000 RBC Capital Markets LLC, 0.1%, dated 6/30/21 plus accrued interest on 7/1/21 collateralized by $50,112,690 U.S. Treasury Note, 0.1-1.8%, 12/15/22-3/31/28. | 49,130,000 | |||
49,130,000 | $49,130,000 ScotiaBank, 0.1%, dated 6/30/21 plus accrued interest on 7/1/21 collateralized by $50,112,672 Federal Farm Credit Banks Consolidated Systemwide Bonds, 2.25%, 2/15/27. | 49,130,000 | |||
24,565,000 | $24,565,000 TD Securities USA LLC, 0.1%, dated 6/30/21 plus accrued interest on 7/1/21 collateralized by $25,057,136 Federal Farm Credit Banks Consolidated Systemwide Bonds, 0.1%, 12/21/22. | 24,565,000 | |||
24,565,000 | $24,565,000 TD Securities USA LLC, 0.1%, dated 6/30/21 plus accrued interest on 7/1/21 collateralized by $25,056,373 U.S. Treasury Bond, 1.9%, 2/15/41. | 24,565,000 | |||
$171,910,000 | |||||
TOTAL TEMPORARY CASH INVESTMENTS | |||||
(Cost $282,786,677) | $282,788,433 | ||||
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS - 102.9% | |||||
(Cost $4,864,493,763) | $4,861,829,069 | ||||
OTHER ASSETS AND LIABILITIES - (2.9)% | $(139,282,827) | ||||
NET ASSETS - 100.0% | $4,722,546,242 | ||||
bps | Basis Points. |
CMT | Constant Maturity Treasury Index. |
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 | Separate trading of Registered interest and principal of securities. |
(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 June 30, 2021, the value of these securities amounted to $2,662,952,435, or 56.4% of net assets. |
(TBA) | “To Be Announced” Securities. |
† | 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 June 30, 2021. |
+ | Security that used significant unobservable inputs to determine its value. |
(a) | Floating rate note. Coupon rate, reference index and spread shown at June 30, 2021. |
(b) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at June 30, 2021. |
(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 June 30, 2021. |
(d) | Security is perpetual in nature and has no stated maturity date. |
(e) | Issued as participation notes. |
(f) | Non-income producing security. |
(g) | Issued as preference shares. |
(h) | Consists of Revenue Bonds unless otherwise indicated. |
(i) | This term loan will settle after June 30, 2021, at which time the interest rate will be determined. |
(j) | Security issued with a zero coupon. Income is recognized through accretion of discount. |
# | Securities are restricted as to resale. |
Restricted Securities | Acquisition date | Cost | Value |
Ailsa Re 2019 | 6/7/2019 | $ 2,750,000 | $2,940,363 |
Akibare Re | 3/22/2018 | 500,000 | 500,150 |
Akibare Re | 3/22/2018 | 250,000 | 250,100 |
Alamo Re II | 5/29/2020 | 2,500,000 | 2,593,250 |
Alturas Re 2019-1 | 12/20/2018 | 2,000 | 5,446 |
Alturas Re 2019-2 | 12/19/2018 | 36,448 | 50,047 |
Bantry Re 2016 | 2/6/2019 | 201,500 | 201,500 |
Bantry Re 2017 | 2/6/2019 | 116,928 | 116,882 |
Bantry Re 2018 | 2/6/2019 | 22,757 | 22,800 |
Bantry Re 2019 | 2/1/2019 | – | 135,855 |
Berwick Re 2017-1 | 1/5/2017 | – | – |
Berwick Re 2018-1 | 1/10/2018 | 844,301 | 491,956 |
Berwick Re 2019-1 | 12/31/2018 | 437,104 | 437,135 |
Bonanza Re | 2/13/2020 | 1,500,000 | 1,509,750 |
Bonanza Re | 12/15/2020 | 2,000,000 | 2,010,400 |
Bowline Re | 3/12/2019 | 250,000 | 253,850 |
Bowline Re | 6/17/2020 | 246,050 | 251,175 |
Caelus Re V | 4/27/2017 | 125,000 | 62,500 |
Caelus Re V | 5/4/2018 | 500,000 | 350,000 |
Caelus Re V | 5/4/2018 | 750,000 | 75,000 |
Caelus Re VI | 2/20/2020 | 750,000 | 774,750 |
Carnoustie Re 2017 | 1/5/2017 | 475,515 | 263,600 |
Restricted Securities | Acquisition date | Cost | Value |
Castle Stuart Re 2018 | 12/20/2017 | $ 315,273 | $ 13,050 |
Cypress Re 2017 | 1/24/2017 | 3,361 | 100 |
Denning Re | 11/9/2020 | 2,937,354 | 3,024,808 |
Dingle Re 2019 | 3/4/2019 | – | 10,263 |
Dingle Re 2020 | 2/13/2020 | 232,875 | 258,623 |
Easton Re Pte | 12/15/2020 | 4,500,000 | 4,522,950 |
Eden Re II | 1/22/2019 | 4,198 | 188,642 |
Eden Re II | 12/14/2018 | 1,152 | 21,448 |
Eden Re II | 1/23/2018 | 2,621 | 31,307 |
Eden Re II | 12/15/2017 | 4,482 | 19,397 |
First Coast Re II Pte | 6/15/2020 | 685,851 | 705,670 |
FloodSmart Re | 4/10/2019 | 500,000 | 486,800 |
Formby Re 2018 | 7/9/2018 | 220,653 | 278,387 |
Fortius Re II | 7/13/2017 | 500,000 | 500,000 |
Four Lakes Re | 11/5/2020 | 1,750,000 | 1,749,300 |
Gullane Re 2018 | 3/26/2018 | 218,739 | 361,093 |
Harambee Re 2018 | 12/19/2017 | 100,818 | 5,600 |
Harambee Re 2019 | 12/20/2018 | – | 20,400 |
Herbie Re | 10/19/2020 | 500,000 | 527,800 |
Hypatia | 7/10/2020 | 1,000,000 | 1,048,000 |
Hypatia | 7/10/2020 | 2,500,000 | 2,613,000 |
Integrity Re | 4/19/2018 | 2,495,818 | 2,486,250 |
International Bank for Reconstruction & Development | 2/28/2020 | 500,000 | 510,500 |
International Bank for Reconstruction & Development | 2/28/2020 | 500,000 | 507,200 |
Kilimanjaro II Re | 4/6/2017 | 1,700,000 | 1,706,970 |
Kilimanjaro Re | 6/12/2020 | 247,077 | 250,250 |
Limestone Re | 6/20/2018 | 1,771 | 132,417 |
Limestone Re 2016-1 | 12/15/2016 | 3,300 | 2,250 |
Limestone Re 2016-1 | 12/15/2016 | 1,980 | 1,350 |
Limestone Re 2018 | 6/20/2018 | 2,000 | – |
Lion Rock Re 2019 | 12/17/2018 | – | 2,650 |
Long Point Re III | 5/17/2018 | 1,250,000 | 1,254,750 |
Lorenz Re 2018 | 6/26/2018 | 858,679 | 20,400 |
Lorenz Re 2019 | 6/26/2019 | 870,792 | 301,076 |
Matterhorn Re | 6/5/2020 | 395,830 | 389,920 |
Matterhorn Re | 1/29/2020 | 1,497,812 | 1,499,100 |
Matterhorn Re | 4/30/2020 | 250,000 | 252,625 |
Matterhorn Re | 6/25/2020 | 2,390,842 | 2,335,250 |
Matterhorn Re | 6/25/2020 | 2,250,000 | 2,275,650 |
Matterhorn Re | 11/24/2020 | 3,000,000 | 3,001,800 |
Matterhorn Re | 11/24/2020 | 1,500,000 | 1,504,500 |
Matterhorn Re 2020-1 | 12/20/2019 | 2,000,000 | 1,987,800 |
Merion Re 2018-2 | 12/28/2017 | 123,456 | 496,500 |
Merna Reinsurance II | 6/8/2021 | 2,200,000 | 2,198,900 |
Mona Lisa Re | 6/22/2021 | 1,000,000 | 1,004,000 |
Mystic Re IV | 6/9/2021 | 4,000,000 | 3,999,600 |
Nakama Re | 9/21/2016 | 699,183 | 699,090 |
Northshore Re II | 12/2/2020 | 1,500,000 | 1,541,250 |
Oakmont Re 2017 | 5/10/2017 | – | 14,700 |
Pangaea Re 2016-2 | 5/31/2016 | – | 2,675 |
Pangaea Re 2018-1 | 12/26/2017 | 285,564 | 42,109 |
Pangaea Re 2018-3 | 5/31/2018 | 963,444 | 82,974 |
Pangaea Re 2019-1 | 1/9/2019 | 29,397 | 58,345 |
Pangaea Re 2019-3 | 7/25/2019 | 88,238 | 105,800 |
Pangaea Re 2021-3 | 6/17/2021 | 4,000,000 | 4,000,000 |
Port Royal Re 2019 | 5/20/2019 | 3,682,625 | 4,116,400 |
Port Royal Re 2021 | 6/17/2021 | 3,093,520 | 3,113,812 |
Portrush Re 2017 | 6/12/2017 | 613,588 | 510,480 |
Residential Reinsurance 2017 | 11/3/2017 | 2,900,000 | 2,892,750 |
Residential Reinsurance 2020 | 10/30/2020 | 1,500,000 | 1,519,500 |
Resilience Re | 4/13/2017 | 6,535 | – |
Resilience Re | 2/8/2017 | 1,209 | – |
Sanders Re | 6/12/2020 | 246,389 | 248,125 |
Sanders Re II | 5/24/2021 | 3,000,000 | 2,995,500 |
Sanders Re II | 5/20/2020 | 250,000 | 252,325 |
Sector Re V | 12/4/2018 | 813,114 | 502,902 |
Sector Re V | 1/1/2020 | 160,000 | 432,806 |
Sector Re V | 4/23/2019 | 800,000 | 494,994 |
Sector Re V | 5/1/2019 | 1,861 | 31,963 |
St. Andrews Re 2017-1 | 1/5/2017 | – | – |
St. Andrews Re 2017-4 | 3/31/2017 | – | 171,018 |
Sussex Capital UK Pcc | 12/7/2020 | 1,000,000 | 1,023,100 |
Tailwind Re | 12/20/2017 | 3,349,661 | 3,318,175 |
Thopas Re 2018 | 12/12/2017 | 98,106 | 3,750 |
Thopas Re 2019 | 12/21/2018 | 113,673 | 135,300 |
Torrey Pines Re Pte | 3/12/2021 | 1,000,000 | 998,000 |
Ursa Re | 9/7/2018 | 998,182 | 1,002,400 |
Ursa Re | 11/20/2019 | 746,162 | 768,750 |
Ursa Re II | 10/8/2020 | 4,000,000 | 4,148,400 |
Versutus Re 2018 | 1/31/2018 | 1,318 | – |
Restricted Securities | Acquisition date | Cost | Value |
Versutus Re 2019-A | 1/28/2019 | $ – | $ 45,186 |
Versutus Re 2019-B | 12/24/2018 | – | 35,012 |
Viribus Re 2018 | 12/22/2017 | 59,175 | – |
Viribus Re 2019 | 12/27/2018 | – | 104,250 |
Vitality Re X | 1/31/2020 | 1,749,176 | 1,697,657 |
Vitality Re X | 2/3/2020 | 3,497,876 | 3,431,820 |
Vitality Re X | 1/23/2020 | 3,000,000 | 2,940,000 |
Vitality Re XI | 1/23/2020 | 1,244,496 | 1,218,750 |
Woburn Re 2018 | 3/20/2018 | 610,386 | 126,599 |
Woburn Re 2019 | 1/30/2019 | 211,290 | 239,345 |
Total Restricted Securities | $102,870,867 | ||
% of Net assets | 2.2% | ||
FUTURES CONTRACTS | ||||||||||||||||
FIXED INCOME INDEX FUTURES CONTRACTS | ||||||||||||||||
Number of Contracts Short | Description | Expiration Date | Notional Amount | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||
1,060 | U.S. 2 Year Note (CBT) | 9/30/21 | $ | (233,895,844 | ) | $ | (233,539,531 | ) | $ | 356,313 | ||||||
620 | U.S. 5 Year Note (CBT) | 9/30/21 | (76,682,969 | ) | (76,526,407 | ) | 156,562 | |||||||||
500 | U.S. 10 Year Note (CBT) | 9/21/21 | (65,863,625 | ) | (66,250,000 | ) | (386,375 | ) | ||||||||
275 | U.S. Long Bond (CBT) | 9/21/21 | (42,900,000 | ) | (44,206,250 | ) | (1,306,250 | ) | ||||||||
$ | (419,342,438 | ) | $ | (420,522,188 | ) | $ | (1,179,750 | ) | ||||||||
TOTAL FUTURES CONTRACTS | $ | (419,342,438 | ) | $ | (420,522,188 | ) | $ | (1,179,750 | ) |
Principal amounts are denominated in U.S. dollars ("USD") unless otherwise noted. |
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 - unadjusted quoted prices in active markets for identical securities. | ||||||||||||||||
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). | ||||||||||||||||
Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining fair value of investments). | ||||||||||||||||
The following is a summary of the inputs used as of June 30, 2021, in valuing the Fund's investments: | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Asset Backed Securities | $ | – | $ | 1,222,079,961 | $ | – | $ | 1,222,079,961 | ||||||||
Collateralized Mortgage Obligations | – | 735,668,620 | – | 735,668,620 | ||||||||||||
Commercial Mortgage-Backed Securities | – | 457,382,097 | – | 457,382,097 | ||||||||||||
Corporate Bonds | – | 1,394,469,089 | – | 1,394,469,089 | ||||||||||||
Insurance-Linked Securities | ||||||||||||||||
Collateralized Reinsurance | ||||||||||||||||
Multiperil - Massachusetts | – | – | 3,024,808 | 3,024,808 | ||||||||||||
Multiperil - U.S. | – | – | 7,499,098 | 7,499,098 | ||||||||||||
Multiperil - U.S. Regional | – | – | 2,940,363 | 2,940,363 | ||||||||||||
Multiperil - Worldwide | – | – | 136,117 | 136,117 | ||||||||||||
Windstorm - Florida | – | – | 788,867 | 788,867 | ||||||||||||
Windstorm - U.S. Regional | – | – | 14,700 | 14,700 | ||||||||||||
Reinsurance Sidecars | ||||||||||||||||
Multiperil - U.S. | – | – | 302,650 | 302,650 | ||||||||||||
Multiperil - Worldwide | – | – | 9,519,162 | 9,519,162 | ||||||||||||
All Other Insurance-Linked Securities | – | 78,645,102 | – | 78,645,102 | ||||||||||||
Municipal Bond | – | 8,630 | – | 8,630 | ||||||||||||
Senior Secured Floating Rate Loan Interests | – | 243,473,867 | – | 243,473,867 | ||||||||||||
U.S. Government and Agency Obligations | – | 423,087,505 | – | 423,087,505 | ||||||||||||
Commercial Papers | – | 104,776,711 | – | 104,776,711 | ||||||||||||
Certificate of Deposit | – | 6,101,722 | – | 6,101,722 | ||||||||||||
Repurchase Agreements | – | 171,910,000 | – | 171,910,000 | ||||||||||||
Total Investments in Securities | $ | – | $ | 4,837,603,304 | $ | 24,225,765 | $ | 4,861,829,069 | ||||||||
Other Financial Instruments | ||||||||||||||||
Net unrealized depreciation on futures contracts | $ | (1,179,750 | ) | $ | – | $ | – | $ | (1,179,750 | ) | ||||||
Total Other Financial Instruments | $ | (1,179,750 | ) | $ | – | $ | – | $ | (1,179,750 | ) | ||||||
Schedule of Investments | 6/30/21 (unaudited) (continued)
The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
Asset Backed Securities | Insurance- Linked Securities | Total | |
Balance as of 3/31/21 | $ 17,200,000 | $ 17,636,127 | $ 34,836,127 |
Realized gain (loss) | – | – | – |
Change in unrealized appreciation (depreciation) | – | (93,581) | (93,581) |
Accrued discounts/premiums | – | 1,386 | 1,386 |
Purchases | – | 7,092,136 | 7,092,136 |
Sales | – | (410,303) | (410,303) |
Transfers in to Level 3* | – | – | – |
Transfers out of Level 3* | (17,200,000) | – | (17,200,000) |
Balance as of 6/30/21 | $ – | $ 24,225,765 | $ 24,225,765 |
* | Transfers are calculated on the beginning of period value. For the three months ended June 30, 2021, securities with an aggregate market value of $17,200,000 were transferred from Level 3 to Level 2, as there were significant observable inputs available to determine their value. There were no other transfers in and out of Level 3. |
Net change in unrealized appreciation (depreciation) of Level 3 investments still held and considered Level 3 at June 30, 2021: $202,144.