BOND FUND SCHEDULE OF INVESTMENTS | |||||||||
February 28, 2023 (Unaudited) | |||||||||
Rate (%) | Maturity Date | Principal Amount | Value | ||||||
BONDS - 97.6% | $1,524,976,368 | ||||||||
(COST $1,795,695,488) | |||||||||
Asset-Backed Securities - 15.9% | 248,862,204 | ||||||||
AASET Trust, Series 2018-2A A (h) | 4.454 | 11/18/38 | 562,226 | 477,093 | |||||
AASET Trust, Series 2022-1A A (h) | 6.000 | 05/16/47 | 6,602,309 | 6,336,174 | |||||
Air Canada, Series 2015-1B (h) | 3.875 | 09/15/24 | 1,176,044 | 1,174,902 | |||||
American Airlines, Series 2017-1 A | 4.000 | 08/15/30 | 222,940 | 194,902 | |||||
Aqua Finance Trust, Series 2017-A C (h) | 8.350 | 11/15/35 | 1,750,000 | 1,684,562 | |||||
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A A (h) | 4.213 | 12/16/41 | 5,285,409 | 4,413,422 | |||||
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A B (h) | 5.682 | 12/16/41 | 1,214,203 | 800,937 | |||||
Business Jet Securities, LLC, Series 2022-1A A (h) | 4.455 | 06/15/37 | 6,267,092 | 5,872,704 | |||||
Business Jet Securities, LLC, Series 2022-1A B (h) | 5.192 | 06/15/37 | 895,299 | 816,826 | |||||
Castle Aircraft Securitization Trust, Series 2019-1A A (h) | 3.967 | 04/15/39 | 3,004,472 | 2,621,522 | |||||
Castle Aircraft Securitization Trust, Series 2021-1A B (h) | 6.656 | 01/15/46 | 4,714,387 | 3,865,951 | |||||
Coinstar Funding, LLC, Series 2017-1A A2 (h) | 5.216 | 04/25/47 | 26,668,038 | 19,795,730 | |||||
DCAL Aviation Finance Ltd., Series 2015-1A A1 (c)(f)(h) | 6.213 | 02/15/40 | 1,207,880 | 851,673 | |||||
ECAF I Ltd., Series 2015-1A A2 (h)(i) | 4.947 | 06/15/40 | 8,654,567 | 5,625,365 | |||||
ECAF I Ltd., Series 2015-1A B1 (h) | 5.802 | 06/15/40 | 19,177,362 | 4,218,022 | |||||
GAIA Aviation Ltd. (TAILWIND), Series 2019-1 B (h) | 5.193 | 12/15/44 | 3,369,416 | 2,667,148 | |||||
Harley Marine Financing LLC, Series 2018-1A A2 (c)(h) | 6.682 | 05/15/43 | 12,779,591 | 12,570,599 | |||||
HOA Funding LLC, Series 2021-1A A2 (h) | 4.723 | 08/20/51 | 12,805,000 | 10,430,697 | |||||
Horizon Aircraft Finance I Ltd., Series 2018-1 B (h)(i) | 5.270 | 12/15/38 | 2,702,399 | 1,783,562 | |||||
Horizon Aircraft Finance II Ltd., Series 2019-1 A (h) | 3.721 | 07/15/39 | 3,371,175 | 2,865,472 | |||||
HP Communities LLC (h) | 5.320 | 03/15/23 | 33,086 | 33,057 | |||||
Icon Brand Holdings LLC, Series 2012-1A A (h)(i) | 4.229 | 01/25/43 | 7,009,399 | 2,115,017 | |||||
JOL Air Limited, Series 2019-1 B (h) | 4.948 | 04/15/44 | 907,397 | 598,486 | |||||
KDAC Aviation Finance Ltd., Series 2017-1A A (h) | 4.212 | 12/15/42 | 2,944,358 | 2,348,155 | |||||
KDAC Aviation Finance Ltd., Series 2017-1A B (h) | 5.926 | 12/15/42 | 17,132,629 | 9,176,599 | |||||
Kestrel Aircraft Funding Ltd., Series 2018-1A A (h) | 4.250 | 12/15/38 | 2,160,848 | 1,779,490 | |||||
Kestrel Aircraft Funding Ltd., Series 2018-1A B (h) | 5.500 | 12/15/38 | 2,691,017 | 1,773,152 | |||||
Labrador Aviation Finance Ltd., Series 2016-1A B1 (h) | 5.682 | 01/15/42 | 33,166,314 | 19,069,991 | |||||
MACH 1 Cayman Ltd., Series 2019-1 B (h) | 4.335 | 10/15/39 | 4,341,879 | 3,138,211 | |||||
MAPS Ltd., Series 2018-1A B (h) | 5.193 | 05/15/43 | 1,593,042 | 1,042,307 | |||||
ME Funding, LLC, Series 2019-1 A2 (h) | 6.448 | 07/30/49 | 22,252,500 | 21,560,047 | |||||
Merlin Aviation Holdings D.A.C., Series 2016-1 A (h) | 4.500 | 12/15/32 | 5,003,158 | 3,944,661 | |||||
Merlin Aviation Holdings D.A.C., Series 2016-1 B (e)(f)(h) | 6.500 | 12/15/32 | 1,554,779 | 956,571 | |||||
METAL LLC, Series 2017-1 A (h) | 4.581 | 10/15/42 | 15,338,461 | 9,217,648 | |||||
METAL LLC, Series 2017-1 B (h)(i) | 6.500 | 10/15/42 | 26,657,035 | 8,798,687 | |||||
Mosaic Solar Loans, LLC, Series 2017-2A C (h) | 2.000 | 06/22/43 | 249,946 | 239,899 | |||||
Pioneer Aircraft Finance Ltd., Series 2019-1 B (h) | 4.948 | 06/15/44 | 1,419,643 | 1,022,143 | |||||
PNMAC GMSR Issuer Trust, Series 2018-GT1 A (1 month LIBOR + 2.850%, floor 2.850%) (d)(h) | 7.467 | 02/25/25 | 4,000,000 | 3,986,687 | |||||
Project Silver, Series 2019-1 A (h) | 3.967 | 07/15/44 | 4,879,520 | 4,135,397 | |||||
PROP Limited, Series 2017-1 B (h)(i) | 6.900 | 03/15/42 | 4,077,877 | 1,539,398 | |||||
Sapphire Aviation Finance I Ltd., Series 2018-1A B (h) | 5.926 | 03/15/40 | 7,349,239 | 3,329,728 | |||||
SMB Private Education Loan Trust, Series 2014-A C (h)(i) | 4.500 | 09/15/45 | 7,000,000 | 5,984,629 | |||||
Sprite Limited, Series 2021-1 A (h) | 3.750 | 11/15/46 | 8,863,600 | 7,874,420 | |||||
Sprite Limited, Series 2021-1 B (h) | 5.100 | 11/15/46 | 4,431,800 | 3,575,828 | |||||
TGIF Funding LLC, Series 2017-1A A2 (h) | 6.202 | 04/30/47 | 24,774,058 | 23,075,350 | |||||
Thunderbolt Aircraft Lease Ltd., Series 2017-A A (h) | 4.212 | 05/17/32 | 662,899 | 585,874 | |||||
Thunderbolt Aircraft Lease Ltd., Series 2017-A B (h) | 5.750 | 05/17/32 | 5,137,036 | 3,722,406 | |||||
Thunderbolt Aircraft Lease Ltd., Series 2019-1 B (h) | 4.750 | 11/15/39 | 4,314,678 | 2,269,020 | |||||
United Air Lines, Series 2020-1 A | 5.875 | 04/15/29 | 3,772,667 | 3,746,785 | |||||
US Airways, Series 2011-1A | 7.125 | 04/22/25 | 3,526,550 | 3,530,488 | |||||
WAVE Trust, Series 2017-1A A (h) | 3.844 | 11/15/42 | 1,822,482 | 1,417,131 | |||||
Willis Engine Structured Trust IV, Series 2018-A A (h) | 4.750 | 09/15/43 | 5,273,519 | 4,207,679 | |||||
Commercial Mortgage-Backed Securities - 18.9% | 295,861,580 | ||||||||
BBCMS Mortgage Trust, Series 2015-VFM A2 (h) | 3.375 | 03/12/36 | 6,000,000 | 5,384,723 | |||||
CG-CCRE Commercial Mortgage Trust, Series 2014-FL1 B (1 month LIBOR + 1.150%, floor 1.150%) (d)(h) | 5.738 | 06/15/31 | 5,608,848 | 5,600,143 | |||||
Citigroup Commercial Mortgage Trust, Series 2015-GC35 C (d) | 4.462 | 11/10/48 | 7,000,000 | 6,232,624 | |||||
Citigroup Commercial Mortgage Trust, Series 2016-GC36 C (d) | 4.748 | 02/10/49 | 5,000,000 | 4,022,112 | |||||
COMM Mortgage Trust, Series 2012-CR1 B | 4.612 | 05/15/45 | 1,629,529 | 1,564,348 | |||||
COMM Mortgage Trust, Series 2012-CR1 C (d) | 5.332 | 05/15/45 | 1,500,000 | 1,304,905 | |||||
COMM Mortgage Trust, Series 2012-CR3 E (d)(h) | 4.644 | 10/15/45 | 5,000,000 | 2,890,272 | |||||
COMM Mortgage Trust, Series 2012-CR4 AM | 3.251 | 10/15/45 | 3,000,000 | 2,721,013 | |||||
COMM Mortgage Trust, Series 2012-LC4 B | 4.934 | 12/10/44 | 2,177,191 | 2,107,303 | |||||
COMM Mortgage Trust, Series 2012-LC4 C (d) | 5.302 | 12/10/44 | 2,514,188 | 2,134,998 | |||||
COMM Mortgage Trust, Series 2013-CR12 B | 4.762 | 10/10/46 | 3,020,000 | 2,545,171 | |||||
COMM Mortgage Trust, Series 2014-CR16 C (d) | 4.899 | 04/10/47 | 5,000,000 | 4,489,898 | |||||
COMM Mortgage Trust, Series 2014-UBS4 D (d)(h) | 4.712 | 08/10/47 | 9,740,000 | 6,665,268 | |||||
COMM Mortgage Trust, Series 2014-UBS5 B | 4.514 | 09/10/47 | 3,270,000 | 3,061,520 | |||||
COMM Mortgage Trust, Series 2014-UBS5 C (d) | 4.610 | 09/10/47 | 6,500,000 | 5,721,879 | |||||
COMM Mortgage Trust, Series 2015-DC1 C (d) | 4.299 | 02/10/48 | 540,000 | 472,963 | |||||
COMM Mortgage Trust, Series 2015-PC1 D (d) | 4.298 | 07/10/50 | 2,500,000 | 2,087,696 | |||||
Credit Suisse Commercial Mortgage Securities Corp., Series 2016-NXSR C (d) | 4.431 | 12/15/49 | 3,000,000 | 2,240,534 | |||||
CSAIL Commercial Mortgage Trust, Series 2015-C1 C (d) | 4.256 | 04/15/50 | 1,780,000 | 1,522,368 | |||||
CSAIL Commercial Mortgage Trust, Series 2015-C2 B (d) | 4.208 | 06/15/57 | 5,000,000 | 4,506,775 | |||||
CSAIL Commercial Mortgage Trust, Series 2015-C2 C (d) | 4.177 | 06/15/57 | 3,579,000 | 2,899,554 | |||||
CSAIL Commercial Mortgage Trust, Series 2015-C3 B (d) | 4.108 | 08/15/48 | 3,905,000 | 3,515,113 | |||||
CSAIL Commercial Mortgage Trust, Series 2015-C3 D (d)(i) | 3.358 | 08/15/48 | 5,795,000 | 3,311,713 | |||||
DBUBS Mortgage Trust, Series 2011-LC3A PM1 (h) | 4.452 | 05/10/44 | 7,476,810 | 6,127,841 | |||||
DBUBS Mortgage Trust, Series 2011-LC3A PM2 (d)(h) | 4.758 | 05/10/44 | 4,197,000 | 3,229,926 | |||||
GS Mortgage Securities Trust, Series 2011-GC5 B (d)(h) | 5.156 | 08/10/44 | 3,000,000 | 2,437,601 | |||||
GS Mortgage Securities Trust, Series 2013-GC12 C | 4.179 | 06/10/46 | 4,705,000 | 4,655,086 | |||||
GS Mortgage Securities Trust, Series 2014-GC24 B (d) | 4.505 | 09/10/47 | 4,340,000 | 4,038,682 | |||||
GS Mortgage Securities Trust, Series 2014-GC24 D (d)(f)(h)(i) | 4.526 | 09/10/47 | 2,955,000 | 1,772,479 | |||||
GS Mortgage Securities Trust, Series 2018-3PCK A (1 month LIBOR + 1.950%, floor 1.950%) (d)(h) | 6.538 | 09/15/31 | 3,608,299 | 3,547,614 | |||||
HMH Trust, Series 2017-NSS A (h) | 3.062 | 07/05/31 | 5,850,000 | 5,499,989 | |||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3 B (h) | 5.013 | 02/15/46 | 4,626,292 | 4,449,720 | |||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3 C (h) | 5.360 | 02/15/46 | 9,250,000 | 8,609,100 | |||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9 C (d)(h) | 3.784 | 12/15/47 | 3,000,000 | 2,834,712 | |||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11 B | 3.499 | 04/15/46 | 5,000,000 | 4,420,460 | |||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2014-C20 D (d)(h)(i) | 4.560 | 07/15/47 | 5,000,000 | 3,542,281 | |||||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C12 C (d) | 4.128 | 07/15/45 | 6,048,000 | 5,916,138 | |||||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C14 B (d) | 4.549 | 08/15/46 | 6,310,000 | 6,164,758 | |||||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C14 C (d) | 4.549 | 08/15/46 | 5,000,000 | 4,718,796 | |||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C18 C (d) | 4.736 | 02/15/47 | 5,060,000 | 4,253,362 | |||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C22 D (d)(h)(i) | 4.548 | 09/15/47 | 4,966,000 | 3,722,722 | |||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C24 B | 4.116 | 11/15/47 | 10,400,000 | 9,684,651 | |||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28 C (d) | 4.145 | 10/15/48 | 5,496,426 | 5,046,974 | |||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32 B | 4.389 | 11/15/48 | 500,000 | 426,638 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7 C (d) | 4.110 | 02/15/46 | 6,965,913 | 6,716,499 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10 AS (d) | 4.067 | 07/15/46 | 1,478,864 | 1,469,173 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10 C (d) | 4.067 | 07/15/46 | 2,750,000 | 2,256,708 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11 AS (d) | 4.368 | 08/15/46 | 6,881,000 | 6,541,735 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12 C (d) | 4.938 | 10/15/46 | 2,110,000 | 2,017,925 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C16 C (d) | 4.734 | 06/15/47 | 7,015,936 | 6,424,634 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C21 C (d) | 4.129 | 03/15/48 | 8,000,000 | 6,735,815 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22 D (d)(h)(i) | 4.202 | 04/15/48 | 5,000,000 | 3,993,023 | |||||
Morgan Stanley Capital I Trust, Series 2011-C2 D (d)(h) | 5.213 | 06/15/44 | 623,020 | 583,936 | |||||
Morgan Stanley Capital I Trust, Series 2015-UBS8 C (d) | 4.573 | 12/15/48 | 6,500,000 | 5,315,941 | |||||
Morgan Stanley Capital I Trust, Series 2016-UB12 C (d) | 4.129 | 12/15/49 | 5,000,000 | 4,086,207 | |||||
Morgan Stanley Capital I Trust, Series 2019-BPR A (1 month LIBOR + 1.650%, floor 1.650%) (d)(h) | 6.238 | 05/15/36 | 6,216,417 | 6,044,459 | |||||
Palisades Center Trust, Series 2016-PLSD A (f)(h)(i) | 2.713 | 04/13/33 | 5,000,000 | 3,100,000 | |||||
Wells Fargo Commercial Mortgage Trust, Series 2013-LC12 AS (d) | 4.364 | 07/15/46 | 714,000 | 707,480 | |||||
Wells Fargo Commercial Mortgage Trust, Series 2013-LC12 B (d) | 4.364 | 07/15/46 | 7,000,000 | 6,734,473 | |||||
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16 AS | 4.020 | 08/15/50 | 1,035,000 | 997,804 | |||||
Wells Fargo Commercial Mortgage Trust, Series 2015-C27 C | 3.894 | 02/15/48 | 6,982,500 | 6,104,707 | |||||
Wells Fargo Commercial Mortgage Trust, Series 2015-C31 C (d) | 4.596 | 11/15/48 | 5,000,000 | 4,546,137 | |||||
Wells Fargo Commercial Mortgage Trust, Series 2015-C31 D | 3.852 | 11/15/48 | 5,189,370 | 4,087,128 | |||||
Wells Fargo Commercial Mortgage Trust, Series 2015-LC22 B (d) | 4.551 | 09/15/58 | 800,000 | 749,117 | |||||
Wells Fargo Commercial Mortgage Trust, Series 2015-SG1 C (d) | 4.454 | 09/15/48 | 5,000,000 | 4,100,234 | |||||
Wells Fargo Commercial Mortgage Trust, Series 2016-C36 C (d) | 4.134 | 11/15/59 | 3,000,000 | 2,261,294 | |||||
Wells Fargo Commercial Mortgage Trust, Series 2017-SMP A (1 month LIBOR + 0.875%, floor 0.875%) (d)(h) | 5.463 | 12/15/34 | 1,625,000 | 1,523,501 | |||||
WFRBS Commercial Mortgage Trust, Series 2012-C10 AS | 3.241 | 12/15/45 | 521,284 | 508,287 | |||||
WFRBS Commercial Mortgage Trust, Series 2012-C10 B | 3.744 | 12/15/45 | 1,645,000 | 1,520,248 | |||||
WFRBS Commercial Mortgage Trust, Series 2012-C10 C (d) | 4.327 | 12/15/45 | 7,000,000 | 6,159,986 | |||||
WFRBS Commercial Mortgage Trust, Series 2013-C14 B | 3.841 | 06/15/46 | 1,500,000 | 1,300,076 | |||||
WFRBS Commercial Mortgage Trust, Series 2013-C14 C (d) | 3.975 | 06/15/46 | 5,000,000 | 3,422,646 | |||||
WFRBS Commercial Mortgage Trust, Series 2013-C15 B (d) | 4.511 | 08/15/46 | 3,800,000 | 3,297,017 | |||||
WFRBS Commercial Mortgage Trust, Series 2013-C16 C (d) | 4.987 | 09/15/46 | 2,225,000 | 2,134,719 | |||||
WFRBS Commercial Mortgage Trust, Series 2014-C19 C | 4.646 | 03/15/47 | 6,000,000 | 5,725,550 | |||||
WFRBS Commercial Mortgage Trust, Series 2014-C20 C (f)(i) | 4.513 | 05/15/47 | 4,500,000 | 3,395,879 | |||||
WFRBS Commercial Mortgage Trust, Series 2014-C21 C | 4.234 | 08/15/47 | 3,000,000 | 2,574,100 | |||||
WFRBS Commercial Mortgage Trust, Series 2014-C21 D (h) | 3.497 | 08/15/47 | 5,000,000 | 4,122,377 | |||||
WP Glimcher Mall Trust, Series 2015-WPG B (d)(h) | 3.516 | 06/05/35 | 2,900,000 | 2,500,342 | |||||
Convertible Bonds - 0.0%^ | 800,000 | ||||||||
FedNat Holding Co. (e)(f)(h)(i)(j) | 5.000 | 04/19/26 | 5,000,000 | 800,000 | |||||
Corporate Bonds - 57.2% | 892,947,160 | ||||||||
A10 Capital, LLC (h) | 5.875 | 08/17/26 | 5,000,000 | 4,575,566 | |||||
A10 Capital, LLC (h) | 5.875 | 08/17/26 | 1,500,000 | 1,372,670 | |||||
ACRES Commercial Realty Corp. | 5.750 | 08/15/26 | 8,000,000 | 7,722,718 | |||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 1.150 | 10/29/23 | 500,000 | 485,199 | |||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 4.875 | 01/16/24 | 1,015,000 | 1,005,027 | |||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 3.150 | 02/15/24 | 6,500,000 | 6,339,920 | |||||
Aircastle Ltd. | 4.400 | 09/25/23 | 600,000 | 595,138 | |||||
Aircastle Ltd. | 4.125 | 05/01/24 | 2,390,000 | 2,328,378 | |||||
Aircastle Ltd. | 4.250 | 06/15/26 | 670,000 | 635,858 | |||||
Amerant Bancorp Inc. | 5.750 | 06/30/25 | 10,000,000 | 9,737,310 | |||||
Ameris Bancorp (3 month LIBOR + 3.616%) (d) | 8.385 | 03/15/27 | 5,375,000 | 5,374,528 | |||||
AmTrust Financial Services, Inc. | 6.125 | 08/15/23 | 39,078,000 | 37,897,844 | |||||
Arbor Realty Trust, Inc. | 5.625 | 05/01/23 | 8,495,000 | 8,450,616 | |||||
Arbor Realty Trust, Inc. (h) | 5.750 | 04/01/24 | 10,000,000 | 9,695,150 | |||||
Arbor Realty Trust, Inc. (h) | 4.750 | 10/15/24 | 10,000,000 | 9,406,833 | |||||
Arbor Realty Trust, Inc. | 4.750 | 10/15/24 | 1,000,000 | 940,683 | |||||
Arena Finance II LLC (h) | 6.750 | 09/30/25 | 2,000,000 | 1,850,000 | |||||
Assured Guaranty US Holdings Inc. (3 month LIBOR + 2.380%) (d) | 7.149 | 12/15/66 | 31,751,000 | 28,496,523 | |||||
Axos Financial, Inc. (4.875% to 10/01/25, then TSFR3M + 4.760%) (d) | 4.875 | 10/01/30 | 8,000,000 | 7,453,691 | |||||
BAC Capital Trust XIII (Greater of 4.000% or 3 month LIBOR + 0.400%, floor 4.000%) (d)(g) | 5.169 | 03/16/23 | 1,950,000 | 1,584,980 | |||||
Banc of California, Inc. (4.375% to 10/30/25, then SOFRRATE + 4.195%) (d) | 4.375 | 10/30/30 | 12,500,000 | 11,515,173 | |||||
Bank of America Corp. (5.200% to 06/01/23, then 3 month LIBOR + 3.135%) (d)(g) | 5.200 | 06/01/23 | 2,500,000 | 2,490,500 | |||||
Bank of America Corp. (4.0 times (USISDA10 - USISDA02 - 0.250%), floor 0.000%, cap 10.000%) (d)(e)(i) | 0.000 | 11/19/30 | 671,000 | 466,189 | |||||
Bank of Montreal (4.800% to 08/25/24, then H15T5Y + 2.979%) (d)(g) | 4.800 | 08/25/24 | 6,977,000 | 6,506,991 | |||||
Bank of New York Mellon Corp. (3.700% to 03/20/26, then H15T5Y + 3.352%) (d)(g) | 3.700 | 03/20/26 | 1,000,000 | 910,486 | |||||
Bay Banks of Virginia, Inc. (5.625% to 10/15/24, then TSFR3M + 4.335%) (d)(h) | 5.625 | 10/15/29 | 3,000,000 | 2,850,570 | |||||
BayCom Corp. (5.250% to 09/15/25, then TSFR3M + 5.210%) (d) | 5.250 | 09/15/30 | 8,460,000 | 7,691,509 | |||||
BCB Bancorp, Inc. (5.625% to 08/01/23, then 3 month LIBOR + 2.720%) (d)(h) | 5.625 | 08/01/28 | 9,000,000 | 8,840,772 | |||||
BOKF Merger Corp. Number Sixteen (5.625% to 06/25/25, then 3 month LIBOR + 3.170%) (d) | 5.625 | 06/25/30 | 10,000,000 | 9,523,090 | |||||
Broadmark Realty Capital Inc. (h) | 5.000 | 11/15/26 | 5,000,000 | 4,465,823 | |||||
Byline Bancorp, Inc. (6.000% to 07/01/25, then TSFR3M + 5.880%) (d) | 6.000 | 07/01/30 | 12,000,000 | 11,744,842 | |||||
Capital Funding Bancorp, Inc. (h) | 6.000 | 12/01/23 | 20,000,000 | 19,809,646 | |||||
Carrington Holding Co., LLC (h) | 8.000 | 01/01/26 | 12,000,000 | 11,611,967 | |||||
CenterState Bank Corp. (5.750% to 06/01/25, then TSFR3M + 5.617%) (d) | 5.750 | 06/01/30 | 690,000 | 668,059 | |||||
Change Co. CDFI LLC (4.750% to 09/30/26, then SOFRRATE + 4.080%) (d)(h) | 4.750 | 09/30/31 | 7,000,000 | 6,236,818 | |||||
Citigroup, Inc. (4.0 times (USISDA30 - USISDA05), floor 0.000%, cap 10.000%) (d)(e)(i) | 0.000 | 07/09/28 | 740,000 | 564,492 | |||||
Citigroup, Inc. (4.0 times (USISDA30 - USISDA05), floor 0.000%, cap 10.000%) (d)(e)(i) | 0.000 | 11/15/28 | 245,000 | 183,775 | |||||
Citigroup, Inc. (4.0 times (USISDA30 - USISDA02), floor 0.000%, cap 10.000%) (d)(e)(i) | 0.000 | 12/23/29 | 1,152,000 | 797,162 | |||||
Citigroup, Inc. (4.0 times (USISDA10 - USISDA02 - 0.250%), floor 0.000%, cap 10.000%) (d)(e)(i) | 0.000 | 11/19/30 | 727,000 | 501,341 | |||||
Citigroup, Inc. (4.35 times (USISDA30 - USISDA05), floor 0.000%, cap 10.000%) (d)(e) | 0.000 | 07/09/33 | 1,394,000 | 857,027 | |||||
Citigroup, Inc. (5.0 times (USISDA30 - USISDA05), floor 0.000%, cap 10.000%) (d)(e) | 0.000 | 12/20/33 | 2,863,000 | 1,719,796 | |||||
Citigroup, Inc. (3 month LIBOR + 0.550%) (d) | 5.508 | 08/25/36 | 868,000 | 707,422 | |||||
Congressional Bancshares, Inc. (5.750% to 12/01/24, then TSFR3M + 4.390%) (d)(h) | 5.750 | 12/01/29 | 5,000,000 | 4,742,782 | |||||
ConnectOne Bancorp, Inc. (5.750% to 06/15/25, then TSFR3M + 5.605%) (d) | 5.750 | 06/15/30 | 7,780,000 | 7,392,679 | |||||
County Bancorp, Inc. (5.875% to 06/01/23, then 3 month LIBOR + 2.884%) (d) | 5.875 | 06/01/28 | 8,250,000 | 8,165,633 | |||||
Cowen Inc. (h) | 7.250 | 05/06/24 | 20,000,000 | 20,157,658 | |||||
Crown Capital Holdings LLC (h) | 12.500 | 01/15/25 | 5,000,000 | 4,951,958 | |||||
Enterprise Products Operating LLC (3 month LIBOR + 2.7775%) (d) | 7.538 | 06/01/67 | 8,538,000 | 7,640,133 | |||||
Enterprise Products Operating LLC (5.250% to 08/16/27, then 3 month LIBOR + 3.033%) (d) | 5.250 | 08/16/77 | 6,666,000 | 5,952,071 | |||||
EverBank Financial Corp. (3 month LIBOR + 4.704%) (d) | 9.473 | 03/15/26 | 4,000,000 | 3,939,587 | |||||
Everest Reinsurance Holdings Inc. (3 month LIBOR + 2.385%) (d) | 7.249 | 05/01/67 | 17,705,000 | 16,067,288 | |||||
F&M Financial Services Corp. (5.950% to 09/15/24, then TSFR3M + 4.840%) (d)(h) | 5.950 | 09/15/29 | 9,000,000 | 8,584,014 | |||||
FedNat Holding Co. (e)(f)(i)(j) | 7.750 | 03/15/29 | 17,000,000 | 2,720,000 | |||||
Fidelity Federal Bancorp (6.875% to 10/15/23, then 3 month LIBOR + 3.790%) (d)(h) | 6.875 | 10/15/28 | 6,500,000 | 6,365,500 | |||||
Fidelity Federal Bancorp (6.000% to 11/01/24, then TSFR3M + 4.650%) (d)(h) | 6.000 | 11/01/29 | 7,000,000 | 6,656,480 | |||||
Fifth Third Bancorp (3 month LIBOR + 3.129%) (d)(g) | 7.883 | 03/31/23 | 10,997,000 | 10,914,051 | |||||
First Financial Bancorp (5.250% to 05/15/25, then TSFR3M + 5.090%) (d) | 5.250 | 05/15/30 | 3,000,000 | 2,870,792 | |||||
FNB Corp. | 4.875 | 10/02/25 | 2,000,000 | 1,910,192 | |||||
FPL Group, Inc. (3 month LIBOR + 2.0675%) (d) | 6.821 | 10/01/66 | 9,285,000 | 7,961,888 | |||||
General Electric Co. (3 month LIBOR + 3.330%) (d)(g) | 8.099 | 06/15/23 | 39,245,000 | 39,193,215 | |||||
Great Ajax Operating Partnership L.P. (h) | 8.875 | 09/01/27 | 3,500,000 | 3,329,352 | |||||
Hallmark Financial Services, Inc. (i) | 6.250 | 08/15/29 | 13,000,000 | 4,306,250 | |||||
Hilltop Holdings Inc. (5.750% to 05/15/25, then TSFR3M + 5.680%) (d) | 5.750 | 05/15/30 | 8,000,000 | 7,612,256 | |||||
Horizon Bancorp, Inc. (5.625% to 07/01/25, then TSFR3M + 5.490%) (d) | 5.625 | 07/01/30 | 6,000,000 | 5,794,063 | |||||
Hospitality Properties Trust | 4.750 | 10/01/26 | 2,000,000 | 1,735,000 | |||||
Howard Bancorp Inc. (6.000% to 12/06/23, then 3 month LIBOR + 3.020%) (d)(h) | 6.000 | 12/06/28 | 3,000,000 | 2,955,283 | |||||
IIP Operating Partnership, LP | 5.500 | 05/25/26 | 3,000,000 | 2,599,191 | |||||
JPMorgan Chase & Co. (4.000% to 04/01/25, then TSFR3M + 2.745%) (d)(g) | 4.000 | 04/01/25 | 5,000,000 | 4,475,850 | |||||
Liberty Commercial Finance LLC (h) | 6.000 | 06/30/26 | 6,000,000 | 5,494,864 | |||||
Lincoln National Corp. (3 month LIBOR + 2.3575%) (d) | 7.234 | 05/17/66 | 29,378,000 | 22,767,950 | |||||
Lincoln National Corp. (3 month LIBOR + 2.040%) (d) | 6.848 | 04/20/67 | 25,384,000 | 18,784,160 | |||||
Medallion Financial Corp. (h) | 8.250 | 03/22/24 | 10,000,000 | 9,800,000 | |||||
Meridian Corp. (5.375% to 12/30/24, then TSFR3M + 3.950%) (d) | 5.375 | 12/30/29 | 10,000,000 | 9,403,417 | |||||
Merrill Lynch & Co. (3 month LIBOR + 0.760%) (d) | 5.529 | 09/15/26 | 400,000 | 400,548 | |||||
Midland States Bancorp, Inc. (5.000% to 09/30/24, then TSFR3M + 3.610%) (d) | 5.000 | 09/30/29 | 5,500,000 | 5,183,605 | |||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd. (h) | 6.500 | 06/20/27 | 6,300,000 | 6,300,000 | |||||
Minnwest Corp. (5.875% to 07/15/23, then 3 month LIBOR + 2.980%) (d)(h) | 5.875 | 07/15/28 | 6,000,000 | 5,913,703 | |||||
MPT Operating Partnership, L.P. / MPT Finance Corp. | 5.250 | 08/01/26 | 275,000 | 244,384 | |||||
Mylan N.V. | 3.950 | 06/15/26 | 1,975,000 | 1,847,335 | |||||
New York Mortgage Trust, Inc. | 5.750 | 04/30/26 | 5,000,000 | 4,595,679 | |||||
Newport Realty Trust, Inc. (h) | 6.250 | 12/01/24 | 10,000,000 | 9,415,432 | |||||
Newport Realty Trust, Inc. | 6.250 | 12/01/24 | 1,000,000 | 941,543 | |||||
NexBank Capital, Inc. (3 month LIBOR + 4.585%) (d)(h) | 9.315 | 09/30/27 | 5,000,000 | 4,999,665 | |||||
Nexpoint Real Estate Finance, Inc. | 5.750 | 05/01/26 | 10,000,000 | 8,969,679 | |||||
Northpointe Bancshares, Inc. (6.000% to 09/30/24, then TSFR3M + 4.905%) (d)(h) | 6.000 | 09/30/29 | 5,000,000 | 4,767,337 | |||||
Northpointe Bank (6.875% to 10/01/23, then 3 month LIBOR + 3.765%) (d)(h) | 6.875 | 10/01/28 | 5,000,000 | 4,903,037 | |||||
OceanFirst Financial Corp. (5.250% to 05/15/25, then TSFR3M + 5.095%) (d) | 5.250 | 05/15/30 | 6,000,000 | 5,671,328 | |||||
Office Properties Income Trust | 4.250 | 05/15/24 | 15,838,000 | 15,223,506 | |||||
Office Properties Income Trust | 4.500 | 02/01/25 | 100,000 | 91,994 | |||||
Old Second Bancorp, Inc. (3 month LIBOR + 3.850%) (d) | 8.604 | 12/31/26 | 1,945,000 | 1,932,527 | |||||
Omega Healthcare Investors, Inc. | 4.375 | 08/01/23 | 1,028,000 | 1,022,016 | |||||
Omega Healthcare Investors, Inc. | 5.250 | 01/15/26 | 525,000 | 514,632 | |||||
Orrstown Financial Services, Inc. (6.000% to 12/30/23, then 3 month LIBOR + 3.160%) (d) | 6.000 | 12/30/28 | 1,750,000 | 1,726,865 | |||||
Pacific Premier Bancorp, Inc. (5.375% to 06/15/25, then TSFR3M + 5.170%) (d) | 5.375 | 06/15/30 | 5,000,000 | 4,744,651 | |||||
Parkway Bancorp, Inc. (6.000% to 03/31/25, then 3 month LIBOR + 5.390%) (d)(h) | 6.000 | 03/31/30 | 10,000,000 | 9,587,531 | |||||
Pathfinder Bancorp, Inc. (5.500% to 10/15/25, then TSFR3M + 5.320%) (d) | 5.500 | 10/15/30 | 9,650,000 | 8,887,054 | |||||
PCAP Holdings LP (h) | 6.500 | 07/15/28 | 10,000,000 | 8,989,086 | |||||
Pedcor Bancorp (7.250% to 02/15/24, then 3 month LIBOR + 4.600%) (d)(h) | 7.250 | 02/15/29 | 3,000,000 | 2,940,374 | |||||
Pelorus Fund REIT LLC (h) | 7.000 | 09/30/26 | 5,000,000 | 4,639,920 | |||||
Pinnacle Financial Partners, Inc. (4.125% to 09/15/24, then 3 month LIBOR + 2.775%) (d) | 4.125 | 09/15/29 | 5,000,000 | 4,717,804 | |||||
Post Brothers Holdings LLC (h) | 9.000 | 08/18/25 | 5,000,000 | 5,014,872 | |||||
Principal Financial Group, Inc. (3 month LIBOR + 3.044%) (d) | 7.908 | 05/15/55 | 26,065,000 | 25,657,734 | |||||
Prospect Capital Corp. | 5.875 | 03/15/23 | 1,400,000 | 1,399,696 | |||||
RBB Bancorp (6.180% to 12/01/23, then 3 month LIBOR + 3.150%) (d) | 6.180 | 12/01/28 | 7,000,000 | 6,816,358 | |||||
Ready Capital Corp. | 6.125 | 04/30/25 | 5,000,000 | 4,795,365 | |||||
Ready Capital Corp. | 5.500 | 12/30/28 | 10,000,000 | 8,043,178 | |||||
ReadyCap Holdings, LLC (h) | 4.500 | 10/20/26 | 10,000,000 | 9,015,450 | |||||
Reinsurance Group of America, Inc. (3 month LIBOR + 2.665%) (d) | 7.434 | 12/15/65 | 33,529,000 | 29,995,043 | |||||
Reliant Bancorp Inc. (5.125% to 12/15/24, then TSFR3M + 3.765%) (d) | 5.125 | 12/15/29 | 13,000,000 | 12,185,832 | |||||
SCRE Intermediate Holdco, LLC (h) | 6.500 | 02/15/27 | 8,000,000 | 7,333,747 | |||||
Scripps Networks Interactive, Inc. | 3.950 | 06/15/25 | 491,000 | 467,404 | |||||
Signature Bank New York (4.000% to 10/15/25, then AMERIBOR RATE + 3.890%) (d) | 4.000 | 10/15/30 | 4,295,000 | 3,916,924 | |||||
South Street Securities Funding LLC (h) | 6.250 | 12/30/26 | 5,000,000 | 4,565,590 | |||||
Southern National Bancorp of Virginia, Inc. (3 month LIBOR + 3.950%) (d)(h) | 8.752 | 01/31/27 | 2,000,000 | 1,997,411 | |||||
Southern National Bancorp of Virginia, Inc. (5.400% to 09/01/25, then TSFR3M + 5.310%) (d) | 5.400 | 09/01/30 | 2,000,000 | 1,867,636 | |||||
State Street Corp. (3 month LIBOR + 3.597%) (d)(g) | 8.366 | 06/15/23 | 1,703,000 | 1,703,000 | |||||
Synchrony Bank | 5.400 | 08/22/25 | 1,000,000 | 984,035 | |||||
Synchrony Financial | 4.875 | 06/13/25 | 2,576,000 | 2,506,314 | |||||
Texas State Bankshares, Inc. (5.750% to 06/15/24, then 3 month LIBOR + 3.550%) (d)(h) | 5.750 | 06/15/29 | 4,000,000 | 3,844,851 | |||||
TransCanada PipeLines Ltd. (3 month LIBOR + 2.210%) (d) | 7.074 | 05/15/67 | 24,473,000 | 19,945,449 | |||||
Transverse Insurance Group, LLC (h) | 6.000 | 12/15/26 | 5,000,000 | 4,478,214 | |||||
Trinitas Capital Management, LLC (h) | 6.000 | 07/30/26 | 3,000,000 | 2,654,735 | |||||
TriState Capital Holdings, Inc. (5.750% to 05/15/25, then 3 month LIBOR + 5.360%) (d) | 5.750 | 05/15/30 | 10,775,000 | 10,282,006 | |||||
Truist Financial Corp. (4.800% to 09/01/24, then H15T5Y + 3.003%) (d)(g) | 4.800 | 09/01/24 | 10,552,000 | 10,018,074 | |||||
Truist Financial Corp. (3 month LIBOR + 3.102%) (d)(g) | 7.871 | 12/15/24 | 1,000,000 | 1,012,720 | |||||
United Insurance Holdings Corp. (i)(k) | 7.250 | 12/15/27 | 2,250,000 | 1,428,750 | |||||
Universal Insurance Holdings, Inc. | 5.625 | 11/30/26 | 7,000,000 | 6,110,781 | |||||
Upjohn Inc. | 2.300 | 06/22/27 | 500,000 | 431,829 | |||||
UTB Financial Holding Co. (6.500% to 09/01/23, then 3 month LIBOR + 3.620%) (d)(h) | 6.500 | 09/01/28 | 6,000,000 | 5,899,199 | |||||
VeriSign, Inc. | 4.750 | 07/15/27 | 1,536,000 | 1,489,305 | |||||
Volunteer State Bancshares, Inc. (5.750% to 11/15/24, then TSFR3M + 4.365%) (d)(h) | 5.750 | 11/15/29 | 9,000,000 | 8,547,804 | |||||
Waypoint Residential LLC (h) | 12.500 | 12/15/26 | 10,000,000 | 9,839,274 | |||||
Webster Financial Corp. (4.000% to 12/30/24, then TSFR3M + 2.530%) (d) | 4.000 | 12/30/29 | 9,700,000 | 9,210,429 | |||||
WEC Energy Group, Inc. (3 month LIBOR + 2.1125%) (d) | 6.976 | 05/15/67 | 570,000 | 486,906 | |||||
WT Holdings, Inc. (h) | 7.000 | 04/30/23 | 18,000,000 | 17,974,371 | |||||
Residential Mortgage-Backed Securities - 0.1% | 941,864 | ||||||||
Hawaii Housing Finance & Development Corp. | 2.600 | 07/01/37 | 160,398 | 142,892 | |||||
Minnesota Housing Finance Agency | 2.700 | 09/01/41 | 885,144 | 798,972 | |||||
Sovereign Bonds - 0.3% | 4,802,701 | ||||||||
Antares Holdings LP (h) | 6.000 | 08/15/23 | 4,830,000 | 4,802,701 | |||||
Taxable Municipal Bonds - 0.1% | 1,317,339 | ||||||||
New Jersey Sports & Exposition Authority | 6.076 | 03/01/23 | 95,000 | 95,000 | |||||
Pontotoc County OK Educational Facilities Authority | 4.119 | 09/01/23 | 45,000 | 44,738 | |||||
Summit County OH Development Finance Authority | 6.250 | 05/15/26 | 535,000 | 535,331 | |||||
Utah Infrastructure Agency Telecommunications Revenue and Refunding | 3.500 | 10/15/23 | 650,000 | 642,270 | |||||
U.S. Government & Agency Securities - 0.3% | 4,917,969 | ||||||||
U.S. Treasury Bonds | 2.875 | 11/30/23 | 5,000,000 | 4,917,969 | |||||
U.S. Government Agency Mortgage-Backed Securities - 4.8% | 74,525,551 | ||||||||
Fannie Mae Interest Strip, Series 419 C6 (IO) | 3.500 | 05/25/44 | 2,761,819 | 441,444 | |||||
Fannie Mae Pool, Series 890163 | 5.500 | 03/01/24 | 1,265 | 1,261 | |||||
Fannie Mae REMIC, Series 2011-3 KA | 5.000 | 04/25/40 | 61,318 | 60,517 | |||||
Fannie Mae REMIC, Series 2011-136 ES (IO) (-1.0 times 1 month LIBOR + 6.550%, floor 0.000%, cap 6.550%) (d) | 1.933 | 02/25/41 | 294,794 | 1,403 | |||||
Fannie Mae REMIC, Series 2012-14 DS (IO) (-1.0 times 1 month LIBOR + 6.500%, floor 0.000%, cap 6.500%) (d) | 1.883 | 03/25/42 | 5,808,524 | 614,183 | |||||
Fannie Mae REMIC, Series 2013-7 EI (IO) | 3.000 | 10/25/40 | 2,637,869 | 129,210 | |||||
Fannie Mae REMIC, Series 2013-20 CS (IO) (-1.0 times 1 month LIBOR + 6.150%, floor 0.000%, cap 6.150%) (d) | 1.533 | 03/25/43 | 1,904,707 | 168,967 | |||||
Fannie Mae REMIC, Series 2013-29 AI (IO) | 2.500 | 04/25/28 | 1,674,785 | 72,492 | |||||
Fannie Mae REMIC, Series 2013-31 IH (IO) | 3.500 | 02/25/43 | 1,529,858 | 114,007 | |||||
Fannie Mae REMIC, Series 2013-38 CI (IO) | 3.000 | 04/25/28 | 4,329,784 | 200,593 | |||||
Fannie Mae REMIC, Series 2013-93 SI (IO) (-1.0 times 1 month LIBOR + 5.170%, floor 0.000%, cap 5.170%) (d) | 0.604 | 09/25/43 | 7,085,414 | 908,592 | |||||
Fannie Mae REMIC, Series 2016-64 CI (IO) | 3.500 | 07/25/43 | 1,085,467 | 115,026 | |||||
Fannie Mae REMIC, Series 2019-44 IP (IO) | 4.000 | 09/25/46 | 824,836 | 43,330 | |||||
Fannie Mae REMIC, Series 2020-63 KG | 2.500 | 09/25/50 | 2,486,889 | 2,194,798 | |||||
Fannie Mae REMIC, Series 2020-88 Z | 2.000 | 12/25/50 | 2,594,360 | 1,371,274 | |||||
Fannie Mae REMIC, Series 2020-94 HC | 1.000 | 01/25/51 | 25,142 | 21,609 | |||||
Fannie Mae REMIC, Series 2021-23 JB | 1.000 | 04/25/51 | 1,268,636 | 958,531 | |||||
Fannie Mae REMIC, Series 2021-57 EA | 1.000 | 05/25/46 | 7,570,866 | 6,132,699 | |||||
Fannie Mae REMIC, Series 2021-57 EB | 1.250 | 05/25/46 | 2,886,226 | 2,380,244 | |||||
Fannie Mae REMIC, Series 2021-72 UZ | 2.000 | 10/25/51 | 2,242,735 | 1,057,095 | |||||
Freddie Mac REMIC, Series 4060 SJ (IO) (-1.0 times 1 month LIBOR + 6.650%, floor 0.000%, cap 6.650%) (d) | 2.062 | 02/15/41 | 339,134 | 2,680 | |||||
Freddie Mac REMIC, Series 4109 AI (IO) | 3.000 | 07/15/31 | 4,677,215 | 158,704 | |||||
Freddie Mac REMIC, Series 4116 US (IO) (-1.0 times 1 month LIBOR + 4.600%, floor 0.000%, cap 4.600%) (d) | 0.034 | 10/15/42 | 4,310,747 | 177,175 | |||||
Freddie Mac REMIC, Series 4136 IH (IO) | 3.500 | 09/15/27 | 1,768,884 | 67,487 | |||||
Freddie Mac REMIC, Series 4139 EI (IO) | 3.000 | 09/15/31 | 1,590,461 | 84,746 | |||||
Freddie Mac REMIC, Series 4219 AI (IO) | 3.500 | 01/15/43 | 798,064 | 97,149 | |||||
Freddie Mac REMIC, Series 4238 NS (IO) (-1.0 times 1 month LIBOR + 6.700%, floor 0.000%, cap 6.700%) (d) | 2.112 | 02/15/42 | 775,022 | 67,906 | |||||
Freddie Mac REMIC, Series 4760 IB (IO) | 4.000 | 10/15/42 | 5,047,169 | 611,920 | |||||
Freddie Mac REMIC, Series 5041 JH | 1.500 | 11/25/50 | 764,889 | 396,940 | |||||
Freddie Mac REMIC, Series 5083 ZJ | 2.000 | 03/25/51 | 3,161,237 | 1,711,766 | |||||
Freddie Mac REMIC, Series 5115 CZ | 3.000 | 04/25/51 | 515,439 | 335,891 | |||||
Freddie Mac REMIC, Series 5129 BH | 1.000 | 07/25/50 | 3,772,536 | 2,812,717 | |||||
Freddie Mac REMIC, Series 5129 DM | 1.000 | 08/25/50 | 3,760,457 | 2,868,954 | |||||
Freddie Mac REMIC, Series 5141 PA | 1.000 | 04/25/50 | 7,630,773 | 6,197,324 | |||||
Freddie Mac REMIC, Series 5142 ZH | 2.500 | 09/25/51 | 1,361,409 | 1,079,422 | |||||
Freddie Mac REMIC, Series 5146 ZY | 2.000 | 07/25/51 | 3,305,487 | 1,759,846 | |||||
Freddie Mac REMIC, Series 5152 NK | 1.000 | 03/25/50 | 947,527 | 728,948 | |||||
Freddie Mac REMIC, Series 5154 ZQ | 2.500 | 10/25/51 | 4,333,567 | 2,818,999 | |||||
Freddie Mac REMIC, Series 5160 TZ | 1.500 | 08/25/50 | 248,173 | 104,801 | |||||
Ginnie Mae Pool, Series 78-2071X | 7.000 | 05/15/33 | 7,818 | 8,061 | |||||
Ginnie Mae REMIC Trust, Series 2012-27 (IO) (d) | 0.270 | 04/16/53 | 11,916,918 | 38,152 | |||||
Ginnie Mae REMIC Trust, Series 2015-81 (IO) (d) | 0.208 | 10/16/56 | 14,057,305 | 170,899 | |||||
Ginnie Mae REMIC Trust, Series 2016-51 ID (IO) | 4.000 | 03/20/43 | 2,292,443 | 129,770 | |||||
Ginnie Mae REMIC Trust, Series 2017-104 JI (IO) | 4.000 | 06/20/44 | 1,305,928 | 33,891 | |||||
Ginnie Mae REMIC Trust, Series 2019-59 IM (IO) | 4.000 | 12/20/48 | 102,095 | 1,879 | |||||
Ginnie Mae REMIC Trust, Series 2019-59 MI (IO) | 4.000 | 05/20/49 | 174,219 | 15,879 | |||||
Ginnie Mae REMIC Trust, Series 2019-71 IO (IO) | 3.500 | 06/20/49 | 210,583 | 25,458 | |||||
Ginnie Mae REMIC Trust, Series 2019-71 IQ (IO) | 3.500 | 06/20/49 | 195,203 | 11,080 | |||||
Ginnie Mae REMIC Trust, Series 2019-78 IQ (IO) | 4.000 | 04/20/49 | 171,119 | 5,111 | |||||
Ginnie Mae REMIC Trust, Series 2019-78 QI (IO) | 4.000 | 06/20/49 | 214,759 | 8,284 | |||||
Ginnie Mae REMIC Trust, Series 2019-136 ES (IO) (-1.0 times 1 month LIBOR + 6.050%, floor 0.000%, cap 6.050%) (d) | 1.452 | 03/20/48 | 4,706,160 | 291,179 | |||||
Ginnie Mae REMIC Trust, Series 2019-136 P | 1.500 | 10/20/45 | 8,455,355 | 7,239,258 | |||||
Ginnie Mae REMIC Trust, Series 2020-15 QC | 1.500 | 02/20/50 | 3,035,228 | 2,404,510 | |||||
Ginnie Mae REMIC Trust, Series 2020-134 BZ | 1.000 | 09/16/50 | 1,001,995 | 443,617 | |||||
Ginnie Mae REMIC Trust, Series 2021-27 ZL | 1.000 | 02/20/51 | 1,619,617 | 722,828 | |||||
Ginnie Mae REMIC Trust, Series 2021-66 PU | 1.000 | 04/20/51 | 389,458 | 377,978 | |||||
Ginnie Mae REMIC Trust, Series 2021-77 BA | 1.000 | 07/20/50 | 3,271,828 | 2,490,162 | |||||
Ginnie Mae REMIC Trust, Series 2021-130 CZ | 3.000 | 07/20/51 | 2,498,754 | 1,762,053 | |||||
Ginnie Mae REMIC Trust, Series 2021-131 MZ | 2.000 | 07/20/51 | 1,188,591 | 645,723 | |||||
Ginnie Mae REMIC Trust, Series 2021-136 EZ | 2.500 | 08/20/51 | 4,213,868 | 2,876,792 | |||||
Ginnie Mae REMIC Trust, Series 2021-136 KZ | 2.000 | 08/20/51 | 6,779,229 | 4,331,687 | |||||
Ginnie Mae REMIC Trust, Series 2021-136 QZ | 2.000 | 08/20/51 | 3,192,312 | 1,969,926 | |||||
Ginnie Mae REMIC Trust, Series 2021-139 ZJ | 2.500 | 08/20/51 | 2,130,606 | 1,421,925 | |||||
Ginnie Mae REMIC Trust, Series 2021-142 MZ | 2.000 | 08/20/50 | 706,704 | 390,196 | |||||
Ginnie Mae REMIC Trust, Series 2021-154 AZ | 2.500 | 09/20/51 | 3,287,911 | 2,179,803 | |||||
Ginnie Mae REMIC Trust, Series 2021-154 PZ | 2.500 | 09/20/51 | 3,003,322 | 1,926,500 | |||||
Ginnie Mae REMIC Trust, Series 2021-156 NZ | 2.000 | 09/20/51 | 3,808,302 | 2,371,351 | |||||
Ginnie Mae REMIC Trust, Series 2021-158 PU | 1.000 | 09/20/51 | 1,233,097 | 1,160,949 | |||||
SHORT-TERM INVESTMENTS - 1.2% | 18,049,744 | ||||||||
(COST $18,049,744) | |||||||||
Money Market Funds - 0.0%^ | Shares | 100,000 | |||||||
First American Government Obligations Fund Class X (a) | 4.374 | 100,000 | 100,000 | ||||||
U.S. Government & Agency Securities - 1.2% | Principal Amount | 17,949,744 | |||||||
U.S. Treasury Bills (b) | 4.348 | 03/02/23 | 8,000,000 | 7,999,286 | |||||
U.S. Treasury Bills (b) | 4.582 | 04/11/23 | 10,000,000 | 9,950,458 | |||||
TOTAL INVESTMENTS - 98.8% (COST $1,813,745,232) | 1,543,026,112 | ||||||||
NET OTHER ASSETS AND LIABILITIES - 1.2% | 18,984,940 | ||||||||
NET ASSETS - 100.0% | $1,562,011,052 | ||||||||
(a) | Rate shown represents the 7-day yield at February 28, 2023. | ||||||||
(b) | Rate shown represents the current yield for U.S. Treasury Bills at February 28, 2023. | ||||||||
(c) | Security is a "step-up" bond where the coupon increases or steps up at a predetermined date. Securities which do not indicate a future coupon rate in their description above are at their final coupon rate at February 28, 2023. | ||||||||
(d) | Variable rate security. Interest rates reset periodically. Interest rate shown reflects the rate in effect at February 28, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. | ||||||||
(e) | Non-income producing security. | ||||||||
(f) | Issuer in default on interest and/or principal repayment. | ||||||||
(g) | Perpetual maturity. Date shown represents next contractual call date. | ||||||||
(h) | Security subject to restrictions on resale under federal securities laws and which therefore may only be resold upon registration under the Securities Act of 1933, as amended, or in transactions exempt from registration, including sales to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended. At February 28, 2023, the aggregate value of these securities was $632,550,071, representing 40.50% of net assets. | ||||||||
(i) | Illiquid security at February 28, 2023. | ||||||||
(j) | Level 3 security as described in the accompanying notes. Securities valued using unadjusted broker quotes from brokers or pricing services. Such values are based on unobservable inputs. At February 28, 2023, the aggregate value of these securities was $3,520,000, representing 0.23% of net assets. | ||||||||
(k) | Rate is subject to adjustment due to credit ratings service downgrades or subsequent upgrades. | ||||||||
^ | Rounds to 0.0%. | ||||||||
Abbreviations: | |||||||||
AMERIBOR | American Interbank Offered Rate | ||||||||
H15T5Y | 5-Year Treasury Constant Maturity Rate | ||||||||
IO | Interest Only Security | ||||||||
LIBOR | London Interbank Offered Rate | ||||||||
SOFRRATE | U.S. Secured Overnight Financing Rate | ||||||||
TSFR3M | CME Term SOFR 3-Month Rate | ||||||||
USISDA02 | 2-Year Dollar ICE Swap Rate | ||||||||
USISDA05 | 5-Year Dollar ICE Swap Rate | ||||||||
USISDA10 | 10-Year Dollar ICE Swap Rate | ||||||||
USISDA30 | 30-Year Dollar ICE Swap Rate | ||||||||
DAC | Designated Activity Company | ||||||||
N.V. | Naamloze Vennootschap is the Dutch term for a public limited liability corporation. | ||||||||
REIT | Real Estate Investment Trust | ||||||||
REMIC | Real Estate Mortgage Investment Conduit | ||||||||
The following is a summary of the inputs used to value the Funds’ investments as of February 28, 2023: | |||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||
Bonds | |||||||||
Asset-backed securities | $ - | $ 248,862,204 | $ – | $ 248,862,204 | |||||
Commercial mortgage-backed securities | – | 295,861,580 | – | 295,861,580 | |||||
Convertible bonds | – | – | 800,000 | 800,000 | |||||
Corporate bonds | – | 890,227,160 | 2,720,000 | 892,947,160 | |||||
Residential mortgage-backed securities | – | 941,864 | – | 941,864 | |||||
Sovereign bonds | – | 4,802,701 | – | 4,802,701 | |||||
Taxable municipal bonds | – | 1,317,339 | – | 1,317,339 | |||||
U.S. government & agency securities | – | 4,917,969 | 4,917,969 | ||||||
U.S. government agency mortgage-backed securities | – | 74,525,551 | – | 74,525,551 | |||||
Total bonds | – | 1,521,456,368 | 3,520,000 | 1,524,976,368 | |||||
Short-term investments | |||||||||
Money market funds | 100,000 | – | – | 100,000 | |||||
U.S. government & agency securities | – | 17,949,744 | – | 17,949,744 | |||||
Total short-term investments | 100,000 | 17,949,744 | – | 18,049,744 | |||||
Total investments | $ 100,000 | $ 1,539,406,112 | $ 3,520,000 | $ 1,543,026,112 | |||||
The Bond Fund recognizes transfers within the fair value hierarchy as of the beginning of the period. There were no transfers between levels during the period. | |||||||||
For more information on valuation inputs, see the accompanying notes. The accompanying notes are an integral part of the schedule of investments. | |||||||||
The following is a reconciliation of investments with unobservable inputs (level 3) that were used in determining fair value. | |||||||||
Convertible bonds | Corporate bonds | Total | |||||||
Balance at November 30, 2022 | $ 1,925,000 | $ 6,848,178 | $ 8,773,178 | ||||||
Purchases | - | - | - | ||||||
Sales | - | - | - | ||||||
Realized Gain (Loss) | - | - | - | ||||||
Net change in unrealized appreciation (depreciation) | (1,125,000) | (4,128,178) | (5,253,178) | ||||||
Accrued interest | - | - | - | ||||||
Transfer into Level 3 | - | - | - | ||||||
Transfers out of Level 3 | - | - | - | ||||||
Balance as of February 28, 2023 | $ 800,000 | $ 2,720,000 | $ 3,520,000 |
THOMPSON IM FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS
February 28, 2023
VALUATION POLICY AND PROCEDURES - The Funds’ Board of Directors (the “Funds’ Board”) has adopted methods for valuing securities set forth in the Funds’ Pricing Policies and Procedures, including circumstances in which market quotes are not readily available or deemed to be unreliable, and has delegated authority to the Advisor, as the Board appointed valuation designee, to apply those methods in making fair value determinations in accordance with procedures approved by the Board. The valuation designee has established a valuation committee that, along with other Advisor employees, administers, implements, and oversees the fair valuation process and makes fair value decisions. The valuation committee regularly reviews its own fair value decisions, as well as valuations, valuation techniques and services furnished by pricing services; considers circumstances in the markets which may require it to make or adjust valuation determinations; and reviews previous valuation determinations. The valuation committee reports on its activities and any changes to the fair valuation guidelines to the Funds’ Board.
Rule 2a-5 adopted by the Securities and Exchange Commission (the “SEC”) governing fund valuation practices has established a framework for determining fair value in good faith for purposes of Section 29(a)(41) of the 1940 Act. Rule 2a-5 permits fund boards to designate certain parties to perform fair value determinations, subject to board oversight. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act, which requires a fund to fair value a security when market quotations are not readily available. The Funds adopted a valuation policy adhering to the new rule and there was no material impact to the Funds.
VALUATION MEASUREMENTS - In accordance with generally accepted accounting principles in the United States of America (“GAAP”), fair value is defined as the price that each Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. GAAP established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes.
Various inputs are used in determining the value of each Fund’s investments. These inputs are summarized in the three broad levels listed below:
Level 1 – Quoted prices in active markets for identical securities.
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 – Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
Inputs may include price information, specific and broad credit data, liquidity statistics, and other factors. The Funds consider observable data to be that market data which is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. The determination of what constitutes “observable” requires significant judgment by the Funds. The categorization of a security within the hierarchy is based upon the pricing transparency of the security and does not necessarily correspond to a Fund’s perceived risk of that security. The inputs used to measure fair value may fall into different levels of the fair valuation hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level that is significant to the fair value measurement in its entirety.
SECURITY VALUATION - Each Fund’s equity securities, including common stocks, ADRs, REITs and rights, are valued at their market prices (generally the last reported sales price on the exchange where the securities are primarily traded or, for Nasdaq-listed securities, at their Nasdaq Official Closing Prices). If no sales are reported on a particular day, the mean between the highest bid and lowest asked quotations at the close of the exchanges will generally be used. To the extent these securities are actively traded, and valuation adjustments are not applied, they are categorized in level 1 of the fair value hierarchy. When adjustments to observable prices are applied or when the market is considered inactive, securities will be categorized in level 2 of the fair value hierarchy.
Investments in money market mutual funds are generally priced at the ending net asset value provided by the service agent of the funds. These securities will be categorized as level 1 securities.
Fixed-income securities such as corporate bonds, convertible bonds, asset-backed securities, mortgage-backed securities, U.S. government and agency securities, sovereign bonds, municipal bonds and commercial paper are typically valued based on valuations published by an independent pricing service, which uses various valuation methodologies such as matrix pricing and other analytical pricing models as well as market transactions and dealer quotations. Factors considered by pricing services include market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads and fundamental analytical data relating to the issuer. Short-term investments in fixed-income securities (those with remaining maturities of 60 days or less) are generally valued on an amortized cost basis. Fixed-income securities will generally be categorized in level 2 of the fair value hierarchy, in instances where lower relative weight is placed on transaction prices, quotations, or similar observable inputs, they are categorized in level 3.
Where market quotations are not readily available or are unreliable, a value is determined in good faith pursuant to procedures established by the Funds’ Board. When determining the value of a security, consideration is given to the facts and circumstances relevant to the particular situation, which includes factors such as fundamental analytical data relating to the investment, which may include consideration of yields or prices of securities of comparable quality, coupon rate, maturity and type of issue, nature and duration of any restrictions on disposition of the security and an evaluation of forces that influence the market in which the securities are purchased or sold. Fair value pricing is an inherently subjective process, and no single standard exists for determining fair value. Different funds could reasonably arrive at different values for the same security.