Performance Trust Strategic Bond Fund | |||||||
Schedule of Investments | |||||||
November 30, 2022 (Unaudited) | |||||||
Principal | |||||||
Amount | Value | ||||||
ASSET BACKED SECURITIES - 3.07% | |||||||
American Credit Acceptance Receivables Trust | |||||||
2022-3, 4.550%, 10/13/2026 (a) | $ | 1,000,000 | $ | 973,480 | |||
2022-4, 6.750%, 10/13/2026 (a) | 1,000,000 | 1,003,307 | |||||
2021-4, 1.320%, 02/14/2028 (a) | 1,085,000 | 1,024,957 | |||||
2022-2, 4.410%, 06/13/2028 (a) | 4,400,000 | 4,289,021 | |||||
2022-3, 4.860%, 10/13/2028 (a) | 4,000,000 | 3,846,593 | |||||
2022-4, 7.860%, 02/15/2029 (a) | 4,020,000 | 4,067,073 | |||||
Exeter Automobile Receivables Trust | |||||||
2022-5A, 5.430%, 04/15/2026 | 5,000,000 | 4,969,456 | |||||
2022-2A, 3.650%, 10/15/2026 | 9,500,000 | 9,205,177 | |||||
2022-5A, 5.970%, 03/15/2027 | 5,000,000 | 4,978,510 | |||||
2022-6A, 0.000%, 08/16/2027 | 10,000,000 | 9,999,453 | |||||
2022-5A, 6.510%, 12/15/2027 | 5,000,000 | 4,991,536 | |||||
2022-6A, 0.000%, 05/15/2028 | 5,000,000 | 4,999,574 | |||||
2022-4A, 4.920%, 12/15/2028 | 4,000,000 | 3,766,214 | |||||
First Investors Auto Owner Trust | |||||||
2021-1A, 1.170%, 03/15/2027 (a) | 1,795,000 | 1,692,615 | |||||
2022-1A, 3.130%, 05/15/2028 (a) | 5,000,000 | 4,644,954 | |||||
Flagship Credit Auto Trust | |||||||
2022-3, 4.550%, 04/15/2027 (a) | 10,000,000 | 9,772,840 | |||||
GLS Auto Receivables Issuer Trust | |||||||
2022-2A, 4.700%, 09/15/2026 (a) | 5,000,000 | 4,838,688 | |||||
2022-3A, 4.920%, 01/15/2027 (a) | 3,000,000 | 2,925,970 | |||||
2021-4A, 1.940%, 10/15/2027 (a) | 8,650,000 | 7,970,397 | |||||
Honda Auto Receivables Owner Trust | |||||||
2022-2, 3.810%, 03/18/2025 | 4,225,000 | 4,174,070 | |||||
2022-2, 3.730%, 07/20/2026 | 4,125,000 | 4,024,707 | |||||
New Residential Advance Receivables Trust | |||||||
2020-T1, 2.269%, 08/15/2053 (a) | 1,700,000 | 1,625,165 | |||||
2020-T1, 3.011%, 08/15/2053 (a) | 4,400,000 | 4,202,886 | |||||
Santander Drive Auto Receivables Trust | |||||||
2022-2, 3.440%, 09/15/2027 | 10,000,000 | 9,623,028 | |||||
2022-7, 5.950%, 01/17/2028 | 10,000,000 | 10,032,880 | |||||
2022-5, 4.740%, 10/16/2028 | 7,500,000 | 7,142,892 | |||||
2022-2, 3.760%, 07/16/2029 | 5,000,000 | 4,706,074 | |||||
2022-7, 6.690%, 03/17/2031 | 9,000,000 | 9,070,262 | |||||
Westlake Automobile Receivables Trust | |||||||
2022-2A, 3.750%, 04/15/2026 (a) | 4,850,000 | 4,721,025 | |||||
2022-1A, 2.750%, 03/15/2027 (a) | 2,645,000 | 2,536,626 | |||||
TOTAL ASSET BACKED SECURITIES (Cost $155,180,266) | 151,819,430 | ||||||
COLLATERALIZED LOAN OBLIGATIONS - 6.75% | |||||||
Apidos CLO XI | |||||||
2012-11A, 7.829% (3 Month LIBOR USD + 3.750%), 04/17/2034 (a)(b)(c) | 1,500,000 | 1,465,818 | |||||
Apidos CLO XII | |||||||
2013-12A, 6.679% (3 Month LIBOR USD + 2.600%), 04/15/2031 (a)(b)(c) | 3,195,000 | 2,918,156 | |||||
2013-12A, 9.479% (3 Month LIBOR USD + 5.400%), 04/15/2031 (a)(b)(c) | 6,150,000 | 5,014,987 | |||||
Apidos CLO XV | |||||||
2013-15A, 5.793% (3 Month LIBOR USD + 1.550%), 04/20/2031 (a)(b)(c) | 4,000,000 | 3,874,936 | |||||
2013-15A, 6.093% (3 Month LIBOR USD + 1.850%), 04/20/2031 (a)(b)(c) | 5,000,000 | 4,640,050 | |||||
2013-15A, 9.943% (3 Month LIBOR USD + 5.700%), 04/20/2031 (a)(b)(c) | 3,843,000 | 3,358,809 | |||||
Apidos CLO XX | |||||||
2015-20A, 6.029% (3 Month LIBOR USD + 1.950%), 07/16/2031 (a)(b)(c) | 1,250,000 | 1,173,997 | |||||
2015-20A, 9.779% (3 Month LIBOR USD + 5.700%), 07/16/2031 (a)(b)(c) | 1,750,000 | 1,426,784 | |||||
Apidos CLO XXIV | |||||||
2016-24A, 10.043% (3 Month LIBOR USD + 5.800%), 10/20/2030 (a)(b)(c) | 2,550,000 | 2,129,357 | |||||
Apidos CLO XXIX | |||||||
2018-29A, 6.258% (3 Month LIBOR USD + 1.900%), 07/25/2030 (a)(b)(c) | 7,600,000 | 7,093,999 | |||||
2018-29A, 7.108% (3 Month LIBOR USD + 2.750%), 07/25/2030 (a)(b)(c) | 6,250,000 | 5,783,169 | |||||
Apidos CLO XXVIII | |||||||
2017-28A, 5.393% (3 Month LIBOR USD + 1.150%), 01/20/2031 (a)(b)(c) | 2,000,000 | 1,935,424 | |||||
Apidos CLO XXX | |||||||
XXXA, 6.194% (3 Month LIBOR USD + 2.000%), 10/18/2031 (a)(b)(c) | 3,600,000 | 3,378,553 | |||||
Apidos CLO XXXI | |||||||
2019-31A, 10.679% (3 Month LIBOR USD + 6.600%), 04/15/2031 (a)(b)(c) | 1,400,000 | 1,245,437 | |||||
Apidos CLO XXXII | |||||||
2019-32A, 10.993% (3 Month LIBOR USD + 6.750%), 01/20/2033 (a)(b)(c) | 1,500,000 | 1,344,969 | |||||
Ares XLII CLO Ltd. | |||||||
2017-42A, 7.775% (3 Month LIBOR USD + 3.450%), 01/22/2028 (a)(b)(c) | 5,000,000 | 4,601,500 | |||||
Ares XLVI CLO Ltd. | |||||||
2017-46A, 3.570%, 01/15/2030 (a)(c) | 3,600,000 | 3,207,611 | |||||
2017-46A, 5.779% (3 Month LIBOR USD + 1.700%), 01/15/2030 (a)(b)(c) | 1,436,843 | 1,341,020 | |||||
Ares XLVII CLO Ltd. | |||||||
2018-47A, 6.779% (3 Month LIBOR USD + 2.700%), 04/15/2030 (a)(b)(c) | 1,915,000 | 1,677,291 | |||||
Ares XXXIR CLO Ltd. | |||||||
2014-31RA, 6.357% (3 Month LIBOR USD + 1.600%), 05/24/2030 (a)(b)(c) | 3,000,000 | 2,876,277 | |||||
Ares XXXIX CLO Ltd. | |||||||
2016-39A, 7.544% (3 Month LIBOR USD + 3.350%), 04/18/2031 (a)(b)(c) | 7,335,000 | 6,536,160 | |||||
Ares XXXVIII CLO Ltd. | |||||||
2015-38A, 6.743% (3 Month LIBOR USD + 2.500%), 04/20/2030 (a)(b)(c) | 7,450,000 | 6,642,904 | |||||
BCRED MML CLO, LLC | |||||||
2022-1A, 6.713% (TSFR3M + 2.750%), 04/20/2035 (a)(b) | 2,000,000 | 1,787,870 | |||||
Betony CLO 2 Ltd. | |||||||
2018-1A, 6.265% (3 Month LIBOR USD + 1.850%), 04/30/2031 (a)(b)(c) | 1,200,000 | 1,132,610 | |||||
BlueMountain CLO Ltd. | |||||||
2018-1A, 6.115% (3 Month LIBOR USD + 1.700%), 07/30/2030 (a)(b)(c) | 6,996,770 | 6,730,893 | |||||
2014-2A, 5.993% (3 Month LIBOR USD + 1.750%), 10/20/2030 (a)(b)(c) | 5,500,000 | 5,280,616 | |||||
Burnham Park CLO Ltd. | |||||||
2016-1A, 6.393% (3 Month LIBOR USD + 2.150%), 10/20/2029 (a)(b)(c) | 5,250,000 | 5,006,788 | |||||
Buttermilk Park CLO Ltd. | |||||||
2018-1A, 7.179% (3 Month LIBOR USD + 3.100%), 10/15/2031 (a)(b)(c) | 1,000,000 | 919,318 | |||||
Catskill Park CLO Ltd. | |||||||
2017-1A, 7.943% (3 Month LIBOR USD + 3.700%), 04/20/2029 (a)(b)(c) | 3,500,000 | 3,213,714 | |||||
2017-1A, 10.243% (3 Month LIBOR USD + 6.000%), 04/20/2029 (a)(b)(c) | 1,250,000 | 1,066,230 | |||||
Chenango Park CLO Ltd. | |||||||
2018-1A, 7.079% (3 Month LIBOR USD + 3.000%), 04/15/2030 (a)(b)(c) | 1,000,000 | 914,597 | |||||
CIFC Funding Ltd. | |||||||
2017-3A, 6.043% (3 Month LIBOR USD + 1.800%), 07/20/2030 (a)(b)(c) | 2,100,000 | 2,050,423 | |||||
2018-1A, 5.944% (3 Month LIBOR USD + 1.750%), 04/18/2031 (a)(b)(c) | 3,750,000 | 3,504,383 | |||||
Fillmore Park CLO Ltd. | |||||||
2018-1A, 9.479% (3 Month LIBOR USD + 5.400%), 07/15/2030 (a)(b)(c) | 1,000,000 | 864,895 | |||||
Gilbert Park CLO Ltd. | |||||||
2017-1A, 7.029% (3 Month LIBOR USD + 2.950%), 10/15/2030 (a)(b)(c) | 8,475,000 | 8,012,130 | |||||
2017-1A, 10.479% (3 Month LIBOR USD + 6.400%), 10/15/2030 (a)(b)(c) | 1,250,000 | 1,065,316 | |||||
Goldentree Loan Management US CLO 2 Ltd. | |||||||
2017-2A, 8.943% (3 Month LIBOR USD + 4.700%), 11/28/2030 (a)(b)(c) | 6,561,000 | 5,620,153 | |||||
Goldentree Loan Management US CLO 4 Ltd. | |||||||
2019-4A, 9.075% (3 Month LIBOR USD + 4.750%), 04/24/2031 (a)(b)(c) | 8,000,000 | 6,782,920 | |||||
Goldentree Loan Management US CLO 5 Ltd. | |||||||
2019-5A, 7.393% (3 Month LIBOR USD + 3.150%), 10/20/2032 (a)(b)(c) | 2,500,000 | 2,344,320 | |||||
2019-5A, 9.093% (3 Month LIBOR USD + 4.850%), 10/20/2032 (a)(b)(c) | 7,500,000 | 6,275,453 | |||||
Goldentree Loan Opportunities X Ltd. | |||||||
2015-10A, 7.293% (3 Month LIBOR USD + 3.050%), 07/20/2031 (a)(b)(c) | 4,000,000 | 3,810,468 | |||||
Goldentree Loan Opportunities XI Ltd. | |||||||
2015-11A, 6.594% (3 Month LIBOR USD + 2.400%), 01/18/2031 (a)(b)(c) | 2,250,000 | 2,126,772 | |||||
2015-11A, 9.594% (3 Month LIBOR USD + 5.400%), 01/18/2031 (a)(b)(c) | 3,750,000 | 3,192,191 | |||||
GoldentTree Loan Management US CLO 1 Ltd. | |||||||
2021-9A, 8.993% (3 Month LIBOR USD + 4.750%), 01/20/2033 (a)(b)(c) | 6,500,000 | 5,499,156 | |||||
Golub Capital BDC 3 CLO 1, LLC | |||||||
2021-1A, 6.879% (3 Month LIBOR USD + 2.800%), 04/15/2033 (a)(b)(c) | 7,000,000 | 6,422,983 | |||||
Grippen Park CLO Ltd. | |||||||
2017-1A, 7.543% (3 Month LIBOR USD + 3.300%), 01/20/2030 (a)(b)(c) | 7,550,000 | 7,211,428 | |||||
2017-1A, 9.943% (3 Month LIBOR USD + 5.700%), 01/20/2030 (a)(b)(c) | 1,150,000 | 1,016,280 | |||||
Jay Park CLO Ltd. | |||||||
2016-1A, 6.893% (3 Month LIBOR USD + 2.650%), 10/20/2027 (a)(b)(c) | 1,124,000 | 1,082,323 | |||||
LCM 26 Ltd. | |||||||
26A, 6.743% (3 Month LIBOR USD + 2.500%), 01/20/2031 (a)(b)(c) | 1,000,000 | 826,426 | |||||
26A, 9.543% (3 Month LIBOR USD + 5.300%), 01/20/2031 (a)(b)(c) | 4,000,000 | 2,938,728 | |||||
LCM 29 Ltd. | |||||||
29A, 5.679% (3 Month LIBOR USD + 1.600%), 04/15/2031 (a)(b)(c) | 4,750,000 | 4,552,357 | |||||
LCM 34 Ltd. | |||||||
34A, 10.783% (3 Month LIBOR USD + 6.540%), 10/20/2034 (a)(b)(c) | 3,250,000 | 2,686,050 | |||||
LCM 35 Ltd. | |||||||
35A, 10.689% (3 Month LIBOR USD + 6.610%), 10/15/2034 (a)(b)(c) | 4,750,000 | 3,797,255 | |||||
LCM 36 Ltd. | |||||||
36A, 10.789% (3 Month LIBOR USD + 6.710%), 01/15/2034 (a)(b)(c) | 6,000,000 | 4,762,128 | |||||
LCM Loan Income Fund I Income Note Issuer Ltd. | |||||||
27A, 6.029% (3 Month LIBOR USD + 1.950%), 07/16/2031 (a)(b)(c) | 2,700,000 | 2,489,119 | |||||
27A, 7.029% (3 Month LIBOR USD + 2.950%), 07/16/2031 (a)(b)(c) | 4,000,000 | 3,357,760 | |||||
27A, 9.679% (3 Month LIBOR USD + 5.600%), 07/16/2031 (a)(b)(c) | 2,000,000 | 1,475,792 | |||||
LCM XIV LP | |||||||
14A, 5.823% (3 Month LIBOR USD + 1.580%), 07/20/2031 (a)(b)(c) | 10,800,000 | 10,422,972 | |||||
14A, 6.093% (3 Month LIBOR USD + 1.850%), 07/20/2031 (a)(b)(c) | 6,000,000 | 5,476,086 | |||||
14A, 9.743% (3 Month LIBOR USD + 5.500%), 07/20/2031 (a)(b)(c) | 1,000,000 | 720,370 | |||||
LCM XV LP | |||||||
15A, 7.943% (3 Month LIBOR USD + 3.700%), 07/20/2030 (a)(b)(c) | 9,000,000 | 7,913,673 | |||||
LCM XVI LP | |||||||
16A, 5.829% (3 Month LIBOR USD + 1.750%), 10/15/2031 (a)(b)(c) | 4,000,000 | 3,871,832 | |||||
16A, 6.229% (3 Month LIBOR USD + 2.150%), 10/15/2031 (a)(b)(c) | 5,100,000 | 4,779,016 | |||||
16A, 10.459% (3 Month LIBOR USD + 6.380%), 10/15/2031 (a)(b)(c) | 1,600,000 | 1,274,730 | |||||
LCM XVII LP | |||||||
17A, 10.079% (3 Month LIBOR USD + 6.000%), 10/15/2031 (a)(b)(c) | 1,000,000 | 735,336 | |||||
LCM XVIII LP | |||||||
19A, 5.829% (3 Month LIBOR USD + 1.750%), 07/15/2027 (a)(b)(c) | 2,500,000 | 2,472,913 | |||||
19A, 6.779% (3 Month LIBOR USD + 2.700%), 07/15/2027 (a)(b)(c) | 4,000,000 | 3,949,384 | |||||
18A, 10.193% (3 Month LIBOR USD + 5.950%), 04/20/2031 (a)(b)(c) | 5,300,000 | 3,972,371 | |||||
LCM XXII Ltd. | |||||||
22A, 7.043% (3 Month LIBOR USD + 2.800%), 10/20/2028 (a)(b)(c) | 2,000,000 | 1,738,750 | |||||
LCM XXV Ltd. | |||||||
25A, 7.693% (3 Month LIBOR USD + 3.450%), 07/20/2030 (a)(b)(c) | 4,000,000 | 3,408,032 | |||||
Long Point Park CLO Ltd. | |||||||
2017-1A, 6.479% (3 Month LIBOR USD + 2.400%), 01/17/2030 (a)(b)(c) | 4,000,000 | 3,478,716 | |||||
2017-1A, 9.679% (3 Month LIBOR USD + 5.600%), 01/17/2030 (a)(b)(c) | 2,000,000 | 1,662,358 | |||||
Magnetite VIII Ltd. | |||||||
2014-8A, 6.979% (3 Month LIBOR USD + 2.900%), 04/15/2031 (a)(b)(c) | 10,150,000 | 9,670,605 | |||||
Magnetite XII Ltd. | |||||||
2015-12A, 9.759% (3 Month LIBOR USD + 5.680%), 10/15/2031 (a)(b)(c) | 8,923,000 | 7,976,180 | |||||
Magnetite XIV-R Ltd. | |||||||
2015-14RA, 7.044% (3 Month LIBOR USD + 2.850%), 10/18/2031 (a)(b)(c) | 1,500,000 | 1,432,208 | |||||
Magnetite XV Ltd. | |||||||
2015-15A, 7.108% (3 Month LIBOR USD + 2.750%), 07/25/2031 (a)(b)(c) | 2,000,000 | 1,871,102 | |||||
2015-15A, 9.558% (3 Month LIBOR USD + 5.200%), 07/25/2031 (a)(b)(c) | 4,000,000 | 3,510,480 | |||||
Magnetite XVIII Ltd. | |||||||
2016-18A, 7.306% (3 Month LIBOR USD + 2.700%), 11/15/2028 (a)(b)(c) | 10,315,000 | 9,893,663 | |||||
Magnetite XXIII Ltd. | |||||||
2019-23A, 10.658% (3 Month LIBOR USD + 6.300%), 01/25/2035 (a)(b)(c) | 2,750,000 | 2,534,092 | |||||
Magnetite XXVII Ltd. | |||||||
2020-27A, 10.243% (3 Month LIBOR USD + 6.000%), 10/20/2034 (a)(b)(c) | 5,250,000 | 4,634,364 | |||||
Magnetite XXVIII Ltd. | |||||||
2020-28A, 10.393% (3 Month LIBOR USD + 6.150%), 01/20/2035 (a)(b)(c) | 2,250,000 | 1,998,864 | |||||
Magnetite XXX Ltd. | |||||||
2021-30A, 10.558% (3 Month LIBOR USD + 6.200%), 10/25/2034 (a)(b)(c) | 4,100,000 | 3,665,482 | |||||
Mountain View CLO XV Ltd. | |||||||
2019-2A, 5.979% (3 Month LIBOR USD + 1.900%), 01/15/2033 (a)(b)(c) | 3,000,000 | 2,914,779 | |||||
Neuberger Berman CLO XXI Ltd. | |||||||
2016-21A, 7.543% (3 Month LIBOR USD + 3.300%), 04/20/2034 (a)(b)(c) | 2,500,000 | 2,379,883 | |||||
Neuberger Berman Loan Advisers CLO 33 Ltd. | |||||||
2019-33A, 6.979% (3 Month LIBOR USD + 2.900%), 10/16/2033 (a)(b)(c) | 2,000,000 | 1,845,766 | |||||
Neuberger Berman Loan Advisers CLO 35 Ltd. | |||||||
2019-35A, 7.927% (3 Month LIBOR USD + 3.700%), 01/19/2033 (a)(b)(c) | 7,971,955 | 7,537,021 | |||||
Niagara Park CLO Ltd. | |||||||
2019-1A, 10.029% (3 Month LIBOR USD + 5.950%), 07/17/2032 (a)(b)(c) | 2,000,000 | 1,767,238 | |||||
Octagon Investment Partners 26 Ltd. | |||||||
2016-1A, 5.879% (3 Month LIBOR USD + 1.800%), 07/15/2030 (a)(b)(c) | 6,220,000 | 5,721,859 | |||||
Webster Park CLO Ltd. | |||||||
2015-1A, 6.043% (3 Month LIBOR USD + 1.800%), 07/20/2030 (a)(b)(c) | 10,300,000 | 9,624,114 | |||||
2015-1A, 7.143% (3 Month LIBOR USD + 2.900%), 07/20/2030 (a)(b)(c) | 4,800,000 | 4,416,946 | |||||
Whetstone Park CLO Ltd. | |||||||
2021-1A, 2.791%, 01/20/2035 (a)(c) | 1,400,000 | 1,133,682 | |||||
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $359,228,090) | 333,891,920 | ||||||
CORPORATE BONDS - 21.86% | |||||||
Aerospace & Defense - 0.37% | |||||||
Howmet Aerospace, Inc. | |||||||
5.900%, 02/01/2027 | 6,826,000 | 6,766,273 | |||||
3.000%, 01/15/2029 | 12,437,000 | 10,524,500 | |||||
TransDigm, Inc. | |||||||
8.000%, 12/15/2025 (a) | 1,000,000 | 1,021,500 | |||||
Auto Components - 0.15% | |||||||
Dana, Inc. | |||||||
5.375%, 11/15/2027 | 500,000 | 458,721 | |||||
4.250%, 09/01/2030 | 4,500,000 | 3,606,453 | |||||
4.500%, 02/15/2032 | 4,208,000 | 3,292,470 | |||||
Automobiles - 0.33% | |||||||
Thor Industries, Inc. | |||||||
4.000%, 10/15/2029 (a) | 8,340,000 | 6,639,581 | |||||
Volkswagen Group of America Finance, LLC | |||||||
3.750%, 05/13/2030 (a) | 10,000,000 | 8,808,147 | |||||
Winnebago Industries, Inc. | |||||||
6.250%, 07/15/2028 (a) | 1,000,000 | 923,820 | |||||
Banks - 7.46% | |||||||
Atlantic Union Bankshares Corp. | |||||||
2.875% to 12/15/2026 then SOFR + 1.860%, 12/15/2031 (b) | 8,000,000 | 6,725,261 | |||||
Australia and New Zealand Banking Group Ltd. | |||||||
6.742%, 12/08/2032 | 2,000,000 | 2,018,955 | |||||
Bank of America Corp. | |||||||
2.087% to 05/14/2029 then SOFR + 1.060%, 06/14/2029 (b) | 12,000,000 | 10,120,300 | |||||
2.651% to 03/11/31 then SOFR + 1.220%, 03/11/2032 (b) | 10,000,000 | 8,095,541 | |||||
Bank of Montreal | |||||||
3.088% (5 Year CMT Rate + 1.400%), 01/10/2037 (b)(c) | 15,000,000 | 11,397,523 | |||||
Bank of Nova Scotia | |||||||
2.450%, 02/02/2032 (c) | 15,000,000 | 12,100,326 | |||||
Bank of NT Butterfield & Son Ltd. | |||||||
5.250% to 06/01/2023 then 3 Month LIBOR USD + 2.255%, 06/01/2028 (b)(c) | 3,000,000 | 2,984,886 | |||||
5.250% to 06/15/2025 then SOFR + 5.060%, 06/15/2030 (b)(c) | 5,000,000 | 4,873,553 | |||||
Bank OZK | |||||||
2.750% to 10/01/2026 then SOFR + 2.090%, 10/01/2031 (b) | 13,175,000 | 11,208,879 | |||||
Banner Corp. | |||||||
5.000% to 06/30/2025 then SOFR + 4.890%, 06/30/2030 (b) | 8,000,000 | 7,581,358 | |||||
Barclays PLC | |||||||
6.125% (5 Year CMT Rate + 5.867%), 09/15/2166 (b)(c)(d) | 15,050,000 | 13,599,932 | |||||
Central Pacific Financial Corp. | |||||||
4.750% to 11/01/2025 then SOFR + 4.560%, 11/01/2030 (b) | 5,000,000 | 4,708,373 | |||||
Citigroup, Inc. | |||||||
3.980% to 03/20/2029 then 3 Month LIBOR USD + 1.338%, 03/20/2030 (b) | 8,679,000 | 7,924,068 | |||||
CNB Financial Corp. | |||||||
3.250% to 6/15/2026 then SOFR + 2.580%, 06/15/2031 (a)(b) | 2,000,000 | 1,754,265 | |||||
First Busey Corp. | |||||||
5.000% to 06/15/2027 then TSFR3M + 2.520%, 06/15/2032(b) | 4,000,000 | 3,836,984 | |||||
5.250% to 06/01/2025 then SOFR + 5.110%, 06/01/2030 (b) | 2,000,000 | 1,822,545 | |||||
First Citizens BancShares, Inc. | |||||||
3.375% to 03/15/2025 then SOFR + 2.465%, 03/15/2030 (b) | 1,500,000 | 1,419,932 | |||||
First Financial Bancorp. | |||||||
5.250% to 05/15/2025 then SOFR + 5.090%, 05/15/2030 (b) | 4,000,000 | 3,857,167 | |||||
First Foundation, Inc. | |||||||
3.500% to 02/01/2027 then SOFR + 2.040%, 02/01/2032 (b) | 9,500,000 | 8,240,010 | |||||
First Interstate BancSystem, Inc. | |||||||
5.250% to 05/15/2025 then SOFR + 5.180%, 05/15/2030 (b) | 5,000,000 | 4,846,521 | |||||
First Mid Bancshares, Inc. | |||||||
3.950% to 10/15/2025 then SOFR + 3.830%, 10/15/2030 (b) | 5,300,000 | 4,886,296 | |||||
First Midwest Bancorp, Inc. | |||||||
5.875%, 09/29/2026 | 8,500,000 | 8,643,039 | |||||
Firstbank | |||||||
4.500% to 09/01/2030 then SOFR + 4.390%, 09/01/2030 (b) | 8,000,000 | 7,507,765 | |||||
First-Citizens Bank & Trust Co. | |||||||
6.125%, 03/09/2028 | 6,841,000 | 7,014,930 | |||||
Flushing Financial Corp. | |||||||
3.125% to 12/01/2026 then SOFR + 2.035%, 12/01/2031 (b) | 5,000,000 | 4,252,458 | |||||
Great Southern Bank | |||||||
5.500% to 06/15/2025 then TSFR3M + 5.325%, 06/15/2030 (b) | 4,750,000 | 4,587,442 | |||||
Heartland Financial USA, Inc. | |||||||
2.750% to 09/15/2026 then SOFR + 2.100%, 09/15/2031 (b) | 6,000,000 | 5,231,238 | |||||
Hilltop Holdings, Inc. | |||||||
6.125% to 05/15/2030 then SOFR + 5.800%, 05/15/2035 (b) | 9,000,000 | 8,757,619 | |||||
Home BancShares, Inc. | |||||||
3.125% to 01/30/2027 then SOFR + 1.820%, 01/30/2032 (b) | 8,000,000 | 6,864,487 | |||||
HomeStreet, Inc. | |||||||
3.500% to 01/30/2027 then SOFR + 2.150%, 01/30/2032 (b) | 6,500,000 | 5,635,245 | |||||
Huntington National Bank | |||||||
5.500% to 05/06/2030 then 3 Month LIBOR USD + 5.090%, 05/06/2030 (b) | 9,000,000 | 8,892,844 | |||||
Independent Bank Group, Inc. | |||||||
4.000% to 09/15/2025 then SOFR + 3.885%, 09/15/2030 (b) | 7,000,000 | 6,352,159 | |||||
JPMorgan Chase & Co. | |||||||
2.069% to 06/01/2028 then SOFR + 1.015%, 06/01/2029 (b) | 5,000,000 | 4,203,081 | |||||
2.963% to 01/25/2032 then SOFR + 1.260%, 01/25/2033(b) | 10,000,000 | 8,222,656 | |||||
Mercantile Bank Corp. | |||||||
3.250% to 01/30/2027 then SOFR + 2.120%, 01/30/2032(b) | 7,000,000 | 6,037,761 | |||||
National Australia Bank Ltd. | |||||||
3.347% (5 Year CMT Rate + 1.700%), 01/12/2037 (a)(b)(c) | 9,500,000 | 7,176,997 | |||||
NBT Bancorp, Inc. | |||||||
5.000% to 07/01/2025 then SOFR + 4.850%, 07/01/2030 (b) | 7,500,000 | 7,088,011 | |||||
NexBank Capital, Inc. | |||||||
4.000% to 08/15/2026 then TSFR3M + 3.390%, 08/15/2031 (a)(b) | 6,500,000 | 5,770,792 | |||||
OceanFirst Financial Corp. | |||||||
5.250% to 05/15/2025 then SOFR + 5.095%, 05/15/2030 (b) | 5,000,000 | 4,755,562 | |||||
Pacific Premier Bancorp, Inc. | |||||||
4.875% to 05/15/2024 then 3 Month LIBOR USD + 2.500%, 05/15/2029 (b) | 3,500,000 | 3,438,198 | |||||
5.375% to 06/15/2025 then SOFR + 5.170%, 06/15/2030 (b) | 5,000,000 | 4,814,433 | |||||
Park National Corp. | |||||||
4.500% to 09/01/2025 then SOFR + 4.390%, 09/01/2030 (b) | 15,100,000 | 14,170,906 | |||||
Peapack-Gladstone Financial Corp. | |||||||
3.500% to 12/30/2025 then SOFR + 3.260%, 12/30/2030 (b) | 7,500,000 | 6,784,548 | |||||
RBB Bancorp | |||||||
4.000% to 04/01/2026 then SOFR + 3.290%, 04/01/2031 (b) | 5,450,000 | 4,892,721 | |||||
Renasant Corp. | |||||||
3.000% to 12/01/2026 then SOFR + 1.910%, 12/01/2031 (b) | 5,000,000 | 4,231,210 | |||||
4.500% to 09/15/2030 then SOFR + 4.025%, 09/15/2035 (b) | 9,000,000 | 7,893,452 | |||||
Sandy Spring Bancorp, Inc. | |||||||
4.250% to 11/15/2024 then SOFR + 2.882%, 11/15/2029 (b) | 5,500,000 | 5,198,062 | |||||
Southside Bancshares, Inc. | |||||||
3.875% to 11/15/2025 then SOFR + 3.660%, 11/15/2030 (b) | 8,000,000 | 7,335,631 | |||||
Summit Financial Group, Inc. | |||||||
3.250% to 12/01/2026 then SOFR + 2.300%, 12/01/2031(b) | 4,000,000 | 3,419,126 | |||||
Synovus Financial Corp. | |||||||
5.900% (5 Year Swap Rate USD + 3.379%), 02/07/2029 (b) | 4,000,000 | 3,911,203 | |||||
Texas Capital Bancshares, Inc. | |||||||
4.000% (5 Year CMT Rate + 3.150%), 05/06/2031 (b) | 10,942,000 | 9,545,677 | |||||
Texas Capital Bank, NA | |||||||
5.250%, 01/31/2026 | 5,000,000 | 4,790,734 | |||||
Towne Bank | |||||||
3.125% to 02/15/2027 then SOFR + 1.680%, 02/15/2032 (b) | 4,000,000 | 3,427,335 | |||||
Trustmark Corp. | |||||||
3.625% to 12/01/2025 then SOFR + 3.387%, 12/01/2030 (b) | 6,500,000 | 5,943,465 | |||||
UMB Financial Corp. | |||||||
3.700% (5 Year CMT Rate + 3.437%), 09/17/2030 (b) | 5,000,000 | 4,660,432 | |||||
Valley National Bancorp | |||||||
3.000% to 06/15/2026 then SOFR + 2.360%, 06/15/2031 (b) | 7,300,000 | 6,474,023 | |||||
Western Alliance Bancorp | |||||||
3.000% to 06/15/2026 then SOFR + 2.250%, 06/15/2031 (b) | 5,900,000 | 5,034,652 | |||||
Western Alliance Bank | |||||||
3.000% to 06/15/2026 then SOFR + 2.250%, 06/15/2031 (b) | 5,000,000 | 4,834,028 | |||||
WSFS Financial Corp. | |||||||
4.250% to 02/21/2023 then 3 Month LIBOR USD + 2.050%, 12/15/2027 (b) | 3,500,000 | 3,496,141 | |||||
2.750% to 12/15/2025 then SOFR + 2.485%, 12/15/2030 (b) | 4,470,000 | 3,961,258 | |||||
Building Products - 0.48% | |||||||
Builders FirstSource, Inc. | |||||||
4.250%, 02/01/2032 (a) | 5,750,000 | 4,673,528 | |||||
6.375%, 06/15/2032 (a) | 2,000,000 | 1,852,065 | |||||
Masonite International Corp. | |||||||
5.375%, 02/01/2028 (a)(c) | 500,000 | 460,035 | |||||
3.500%, 02/15/2030 (a)(c) | 10,536,000 | 8,233,594 | |||||
TopBuild Corp. | |||||||
3.625%, 03/15/2029 (a) | 8,815,000 | 7,167,129 | |||||
4.125%, 02/15/2032 (a) | 1,565,000 | 1,255,261 | |||||
Capital Markets - 0.83% | |||||||
Ares Capital Corp. | |||||||
3.200%, 11/15/2031 | 15,000,000 | 11,146,881 | |||||
Blackstone Holdings Finance Co., LLC | |||||||
1.625%, 08/05/2028 (a) | 15,000,000 | 12,292,946 | |||||
Brookfield Asset Management, Inc. | |||||||
7.375%, 03/01/2033 (c) | 3,000,000 | 3,290,344 | |||||
MSCI, Inc. | |||||||
4.000%, 11/15/2029 (a) | 1,000,000 | 884,465 | |||||
3.625%, 11/01/2031 (a) | 7,000,000 | 5,818,925 | |||||
UBS Group AG | |||||||
2.746% (1 Year CMT Rate + 1.100%), 02/11/2033 (a)(b)(c) | 10,000,000 | 7,784,497 | |||||
Chemicals - 0.52% | |||||||
Axalta Coating Systems, LLC | |||||||
3.375%, 02/15/2029 (a) | 15,505,000 | 12,714,100 | |||||
Scotts Miracle-Gro Co. | |||||||
4.000%, 04/01/2031 | 1,775,000 | 1,352,213 | |||||
4.375%, 02/01/2032 | 6,828,000 | 5,264,581 | |||||
Valvoline, Inc. | |||||||
3.625%, 06/15/2031 (a) | 7,948,000 | 6,491,887 | |||||
Commercial Services & Supplies - 0.35% | |||||||
Central Storage Safety Project Trust | |||||||
4.823%, 02/01/2038 (a)(e) | 6,278,720 | 5,728,279 | |||||
Oglethorpe Power Corp. | |||||||
6.191%, 01/01/2031 (a) | 6,445,000 | 6,505,600 | |||||
Wildflower Improvement Association | |||||||
6.625%, 03/01/2031 (a)(e) | 5,527,867 | 5,275,773 | |||||
Construction & Engineering - 0.08% | |||||||
AECOM | |||||||
5.125%, 03/15/2027 | 4,084,000 | 3,915,698 | |||||
Consumer Finance - 0.42% | |||||||
BlueHub Loan Fund, Inc. | |||||||
3.099%, 01/01/2030 | 3,040,000 | 2,657,054 | |||||
Ford Motor Credit Co., LLC | |||||||
4.950%, 05/28/2027 | 5,853,000 | 5,545,454 | |||||
OneMain Finance Corp. | |||||||
3.500%, 01/15/2027 | 5,000,000 | 4,100,923 | |||||
5.375%, 11/15/2029 | 10,353,000 | 8,660,802 | |||||
Containers & Packaging - 0.60% | |||||||
AptarGroup, Inc. | |||||||
3.600%, 03/15/2032 | 10,000,000 | 8,351,502 | |||||
Ball Corp. | |||||||
2.875%, 08/15/2030 | 18,437,000 | 14,769,544 | |||||
3.125%, 09/15/2031 | 2,500,000 | 1,989,568 | |||||
Graphic Packaging International, LLC | |||||||
4.750%, 07/15/2027 (a) | 900,000 | 840,082 | |||||
3.500%, 03/15/2028 (a) | 1,558,000 | 1,357,299 | |||||
3.750%, 02/01/2030 (a) | 2,933,000 | 2,495,118 | |||||
Diversified Consumer Services - 0.73% | |||||||
ADT Security Corp. | |||||||
4.125%, 08/01/2029 (a) | 4,730,000 | 4,132,814 | |||||
Liberty University, Inc. | |||||||
3.338%, 03/01/2034 | 10,000,000 | 8,637,021 | |||||
Nature Conservancy | |||||||
1.711%, 07/01/2031 | 1,250,000 | 993,939 | |||||
1.811%, 07/01/2032 | 1,150,000 | 893,644 | |||||
1.861%, 07/01/2033 | 532,000 | 402,124 | |||||
Service Corp. International | |||||||
3.375%, 08/15/2030 | 12,676,000 | 10,583,573 | |||||
4.000%, 05/15/2031 | 7,475,000 | 6,413,475 | |||||
United Jewish Appeal-Federation of Jewish Philanthropies of New York, Inc. | |||||||
2.145%, 02/01/2031 | 4,565,000 | 3,741,908 | |||||
Diversified Financial Services - 0.52% | |||||||
American AGcredit FLCA | |||||||
3.375% to 06/15/2031 then SOFR + 2.120%, 06/15/2036 (a)(b) | 10,000,000 | 7,744,881 | |||||
Compeer Financial FLCA | |||||||
2.750% to 06/01/2026 then SOFR + 2.030%, 06/01/2031 (a)(b) | 5,000,000 | 4,417,502 | |||||
3.375% to 06/01/2031 then SOFR + 1.965%, 06/01/2036 (a)(b) | 4,750,000 | 3,693,677 | |||||
Enterprise Community Loan Fund, Inc. | |||||||
3.685%, 11/01/2023 | 5,010,000 | 4,947,640 | |||||
4.152%, 11/01/2028 | 5,000,000 | 4,763,316 | |||||
Diversified Telecommunication Services - 0.18% | |||||||
Verizon Communications, Inc. | |||||||
4.500%, 08/10/2033 | 9,180,000 | 8,671,603 | |||||
Electrical Equipment - 0.26% | |||||||
Sensata Technologies, Inc. | |||||||
4.375%, 02/15/2030 (a) | 8,393,000 | 7,442,912 | |||||
3.750%, 02/15/2031 (a) | 6,355,000 | 5,233,330 | |||||
Electronic Equipment, Instruments & Components - 0.50% | |||||||
CDW Finance Corp. | |||||||
3.276%, 12/01/2028 | 3,830,000 | 3,226,086 | |||||
3.250%, 02/15/2029 | 17,218,000 | 14,538,172 | |||||
3.569%, 12/01/2031 | 2,482,000 | 2,028,111 | |||||
Corning, Inc. | |||||||
5.750%, 08/15/2040 | 5,107,000 | 5,173,918 | |||||
Equity Real Estate Investment Trusts (REITs) - 0.30% | |||||||
American Finance Trust, Inc. | |||||||
4.500%, 09/30/2028 (a) | 10,000,000 | 7,666,250 | |||||
Simon Property Group LP | |||||||
6.750%, 02/01/2040 | 6,738,000 | 7,228,092 | |||||
Healthcare Providers & Services - 2.10% | |||||||
Baptist Health South Florida, Inc. | |||||||
4.342%, 11/15/2041 | 14,760,000 | 12,784,855 | |||||
Centene Corp. | |||||||
2.450%, 07/15/2028 | 16,390,000 | 13,800,023 | |||||
3.000%, 10/15/2030 | 5,965,000 | 4,896,012 | |||||
CHRISTUS Health | |||||||
4.341%, 07/01/2028 | 13,170,000 | 12,464,755 | |||||
CommonSpirit Health | |||||||
3.347%, 10/01/2029 | 13,075,000 | 11,357,845 | |||||
2.782%, 10/01/2030 | 10,000,000 | 8,050,268 | |||||
3.817%, 10/01/2049 | 1,800,000 | 1,324,853 | |||||
Hackensack Meridian Health, Inc. | |||||||
2.675%, 09/01/2041 | 9,920,000 | 6,782,031 | |||||
HumanGood California Obligated Group | |||||||
3.000%, 10/01/2028 | 5,850,000 | 5,399,595 | |||||
Northwell Healthcare, Inc. | |||||||
3.391%, 11/01/2027 | 4,652,000 | 4,282,632 | |||||
Orlando Health Obligated Group | |||||||
2.891%, 10/01/2035 | 1,000,000 | 788,057 | |||||
Penn State Health | |||||||
3.806%, 11/01/2049 | 4,250,000 | 3,110,405 | |||||
Piedmont Healthcare, Inc. | |||||||
2.044%, 01/01/2032 | 12,725,000 | 9,918,330 | |||||
Sutter Health | |||||||
3.161%, 08/15/2040 | 2,766,000 | 2,052,012 | |||||
Toledo Hospital | |||||||
6.015%, 11/15/2048 | 6,980,000 | 6,755,258 | |||||
Hotels, Restaurants & Leisure - 0.39% | |||||||
New Red Finance, Inc. | |||||||
3.500%, 02/15/2029 (a)(c) | 1,200,000 | 1,022,773 | |||||
Papa John's International, Inc. | |||||||
3.875%, 09/15/2029 (a) | 10,274,000 | 8,601,758 | |||||
Station Casinos, LLC | |||||||
4.625%, 12/01/2031 (a) | 2,000,000 | 1,642,990 | |||||
YMCA of Greater New York | |||||||
2.303%, 08/01/2026 | 5,730,000 | 5,107,469 | |||||
Yum! Brands, Inc. | |||||||
4.750%, 01/15/2030 (a) | 3,600,000 | 3,290,004 | |||||
Household Durables - 0.68% | |||||||
Ashton Woods USA, LLC | |||||||
4.625%, 04/01/2030 (a) | 8,120,000 | 6,267,016 | |||||
Century Communities, Inc. | |||||||
3.875%, 08/15/2029 (a) | 3,925,000 | 3,174,717 | |||||
KB Home | |||||||
4.800%, 11/15/2029 | 8,222,000 | 7,048,048 | |||||
7.250%, 07/15/2030 | 1,000,000 | 955,634 | |||||
LGI Homes, Inc. | |||||||
4.000%, 07/15/2029 (a) | 1,250,000 | 945,947 | |||||
M/I Homes, Inc. | |||||||
3.950%, 02/15/2030 | 7,266,000 | 5,581,043 | |||||
Meritage Homes Corp. | |||||||
3.875%, 04/15/2029 (a) | 4,500,000 | 3,821,715 | |||||
Tempur Sealy International, Inc. | |||||||
3.875%, 10/15/2031 (a) | 7,541,000 | 5,832,511 | |||||
Information Technology - 0.34% | |||||||
Dell International LLC / EMC Corp. | |||||||
8.100%, 07/15/2036 | 14,660,000 | 16,845,836 | |||||
Insurance - 0.36% | |||||||
Pacific Life Global Funding II | |||||||
2.450%, 01/11/2032 (a) | 14,000,000 | 11,168,403 | |||||
RGA Global Funding | |||||||
2.700%, 01/18/2029 (a) | 7,750,000 | 6,627,453 | |||||
IT Services - 0.08% | |||||||
Gartner, Inc. | |||||||
3.625%, 06/15/2029 (a) | 4,678,000 | 4,102,635 | |||||
Machinery - 0.23% | |||||||
Allison Transmission, Inc. | |||||||
3.750%, 01/30/2031 (a) | 13,782,000 | 11,506,909 | |||||
Media - 0.49% | |||||||
CCO Holdings Capital Corp. | |||||||
4.750%, 02/01/2032 (a) | 11,912,000 | 9,976,240 | |||||
4.250%, 01/15/2034 (a) | 11,250,000 | 8,777,419 | |||||
Sirius XM Radio, Inc. | |||||||
3.875%, 09/01/2031 (a) | 6,500,000 | 5,304,228 | |||||
Mortgage Real Estate Investment Trusts (REITs) - 0.25% | |||||||
Arbor Realty SR, Inc. | |||||||
5.000%, 12/30/2028 (a) | 5,000,000 | 4,282,711 | |||||
Arbor Realty Trust, Inc. | |||||||
4.750%, 10/15/2024 (a) | 4,000,000 | 3,772,218 | |||||
4.500%, 03/15/2027 (a) | 5,000,000 | 4,215,419 | |||||
Pharmaceuticals - 0.65% | |||||||
Bristol-Myers Squibb Co. | |||||||
4.125%, 06/15/2039 | 8,734,000 | 7,917,028 | |||||
Johnson & Johnson | |||||||
5.850%, 07/15/2038 | 8,180,000 | 9,091,535 | |||||
Wyeth, LLC | |||||||
5.950%, 04/01/2037 | 13,738,000 | 15,008,898 | |||||
Professional Services - 0.08% | |||||||
Equifax, Inc. | |||||||
2.350%, 09/15/2031 | 5,000,000 | 3,861,022 | |||||
Road & Rail - 0.20% | |||||||
ERAC USA Finance, LLC | |||||||
7.000%, 10/15/2037 (a) | 9,316,000 | 10,113,589 | |||||
Software - 0.59% | |||||||
Open Text Corp. | |||||||
6.900%, 12/01/2027 (a)(c) | 1,000,000 | 1,002,460 | |||||
3.875%, 12/01/2029 (a)(c) | 8,830,000 | 7,050,879 | |||||
Open Text Holdings, Inc. | |||||||
4.125%, 12/01/2031 (a) | 5,750,000 | 4,469,073 | |||||
Oracle Corp. | |||||||
3.850%, 07/15/2036 | 10,200,000 | 8,290,335 | |||||
6.500%, 04/15/2038 | 8,000,000 | 8,286,851 | |||||
Specialty Retail - 1.00% | |||||||
Asbury Automotive Group, Inc. | |||||||
5.000%, 02/15/2032 (a) | 6,800,000 | 5,753,221 | |||||
AutoNation, Inc. | |||||||
3.850%, 03/01/2032 | 1,750,000 | 1,439,650 | |||||
Group 1 Automotive, Inc. | |||||||
4.000%, 08/15/2028 (a) | 17,214,000 | 14,622,619 | |||||
Home Depot, Inc. | |||||||
5.400%, 09/15/2040 | 5,000,000 | 5,192,172 | |||||
Lithia Motors, Inc. | |||||||
3.875%, 06/01/2029 (a) | 10,685,000 | 8,978,231 | |||||
4.375%, 01/15/2031 (a) | 7,000,000 | 5,929,000 | |||||
Penske Automotive Group, Inc. | |||||||
3.750%, 06/15/2029 | 8,950,000 | 7,466,672 | |||||
Trading Companies & Distributors - 0.14% | |||||||
United Rentals North America, Inc. | |||||||
3.750%, 01/15/2032 | 8,500,000 | 7,063,405 | |||||
Wireless Telecommunication Services - 0.20% | |||||||
T-Mobile USA, Inc. | |||||||
2.625%, 02/15/2029 | 11,689,000 | 9,969,358 | |||||
TOTAL CORPORATE BONDS (Cost $1,246,624,999) | 1,081,888,621 | ||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 11.06% | |||||||
Adjustable Rate Mortgage Trust | |||||||
2005-3, 2.990%, 07/25/2035 (f) | 283,215 | 275,467 | |||||
2005-10, 3.828%, 01/25/2036 (f) | 5,259,402 | 4,104,910 | |||||
2006-2, 3.227%, 05/25/2036 (f) | 872,233 | 754,363 | |||||
Alternative Loan Trust | |||||||
2004-28CB, 5.000%, 01/25/2020 (g) | 127,195 | 89,765 | |||||
2006-J3, 5.750%, 05/25/2026 | 535,777 | 496,885 | |||||
2004-24CB, 6.000%, 11/25/2034 | 1,430,534 | 1,389,610 | |||||
2004-27CB, 6.000%, 12/25/2034 | 1,017,106 | 900,547 | |||||
2004-28CB, 6.000%, 01/25/2035 | 302,047 | 273,344 | |||||
2005-6CB, 5.750%, 04/25/2035 | 1,896,931 | 1,633,171 | |||||
2005-6CB, 7.500%, 04/25/2035 | 222,434 | 205,416 | |||||
2005-13CB, 4.544% (1 Month LIBOR USD + 0.500%), 05/25/2035 (b) | 945,045 | 775,412 | |||||
2005-9CB, 4.544% (1 Month LIBOR USD + 0.500%), 05/25/2035 (b) | 2,013,651 | 1,769,795 | |||||
2005-9CB, 6.000%, 05/25/2035 | 7,194,924 | 3,846,056 | |||||
2005-21CB, 5.250%, 06/25/2035 | 2,731,213 | 2,119,444 | |||||
2005-21CB, 6.000%, 06/25/2035 | 1,648,231 | 1,322,091 | |||||
2005-J6, 4.544% (1 Month LIBOR USD + 0.500%), 07/25/2035 (b) | 2,744,221 | 2,303,517 | |||||
2005-20CB, 5.500%, 07/25/2035 | 1,023,637 | 791,121 | |||||
2005-43, 4.149%, 09/25/2035 (f) | 139,516 | 117,565 | |||||
2005-63, 3.800%, 11/25/2035 (f) | 852,517 | 719,710 | |||||
2005-54CB, 5.500%, 11/25/2035 | 580,419 | 337,647 | |||||
2005-J13, 5.500%, 11/25/2035 | 491,539 | 343,520 | |||||
2005-65CB, 0.000%, 12/25/2035 (e)(h) | 739,892 | 343,592 | |||||
2005-65CB, 5.500%, 01/25/2036 | 104,925 | 72,438 | |||||
2005-75CB, 5.500%, 01/25/2036 | 1,341,497 | 960,759 | |||||
2005-73CB, 5.750%, 01/25/2036 | 349,919 | 203,219 | |||||
2005-86CB, 5.500%, 02/25/2036 | 133,696 | 85,610 | |||||
2005-86CB, 5.500%, 02/25/2036 | 964,785 | 617,784 | |||||
2005-80CB, 6.000%, 02/25/2036 | 4,464,130 | 4,183,312 | |||||
2006-6CB, 5.500%, 05/25/2036 | 99,608 | 81,945 | |||||
2006-12CB, 5.750% (1 Month LIBOR USD + 5.750%), 05/25/2036 (b) | 569,207 | 300,593 | |||||
2006-14CB, 6.000%, 06/25/2036 | 2,436,154 | 1,382,431 | |||||
2006-16CB, 6.000%, 06/25/2036 | 389,531 | 238,734 | |||||
2006-16CB, 6.000%, 06/25/2036 | 1,021,003 | 625,747 | |||||
2006-16CB, 6.000%, 06/25/2036 | 886,335 | 543,191 | |||||
2006-19CB, 4.444% (1 Month LIBOR USD + 0.400%), 08/25/2036 (b) | 665,291 | 338,799 | |||||
2006-24CB, 5.750%, 08/25/2036 | 4,009,424 | 2,285,681 | |||||
2006-24CB, 5.750%, 08/25/2036 | 2,487,200 | 1,417,895 | |||||
2006-19CB, 6.000% (1 Month LIBOR USD + 1.000%), 08/25/2036 (b) | 2,536,376 | 1,561,815 | |||||
2006-19CB, 6.000% (1 Month LIBOR USD + 1.000%), 08/25/2036 (b) | 1,000,068 | 616,052 | |||||
2006-19CB, 6.000%, 08/25/2036 | 224,576 | 138,165 | |||||
2006-19CB, 6.000%, 08/25/2036 | 3,876,010 | 2,386,571 | |||||
2006-23CB, 6.000%, 08/25/2036 | 619,843 | 574,365 | |||||
2006-23CB, 6.500%, 08/25/2036 | 5,681,826 | 2,047,152 | |||||
2006-J6, 6.000%, 09/25/2036 | 2,752,353 | 1,536,852 | |||||
2006-J6, 6.000%, 09/25/2036 | 2,043,277 | 1,140,920 | |||||
2006-26CB, 6.250%, 09/25/2036 | 5,568,200 | 3,125,040 | |||||
2006-J5, 6.500%, 09/25/2036 | 1,932,467 | 1,119,577 | |||||
2006-J5, 6.500%, 09/25/2036 | 9,355,236 | 5,419,966 | |||||
2006-31CB, 5.750%, 11/25/2036 | 1,960,829 | 1,181,727 | |||||
2006-31CB, 6.000%, 11/25/2036 | 217,368 | 133,852 | |||||
2006-30T1, 6.500%, 11/25/2036 (e) | 8,390,698 | 2,932,007 | |||||
2006-39CB, 6.000%, 01/25/2037 | 2,450,629 | 2,031,968 | |||||
2006-41CB, 6.000%, 01/25/2037 | 534,977 | 311,743 | |||||
2007-2CB, 5.750%, 03/25/2037 | 5,675,055 | 3,113,669 | |||||
2007-4CB, 5.750%, 04/25/2037 | 1,159,991 | 970,990 | |||||
2007-4CB, 5.750%, 04/25/2037 | 1,542,127 | 1,290,863 | |||||
2007-8CB, 5.500%, 05/25/2037 | 5,882,983 | 3,341,991 | |||||
2007-8CB, 6.000%, 05/25/2037 | 794,898 | 474,952 | |||||
2007-J2, 6.000%, 07/25/2037 | 3,915,757 | 3,561,867 | |||||
2008-2R, 6.000%, 08/25/2037 (f) | 7,018,697 | 3,649,597 | |||||
2007-23CB, 6.000%, 09/25/2037 | 4,381,928 | 2,531,288 | |||||
2007-13, 6.000%, 06/25/2047 | 2,497,710 | 1,325,204 | |||||
American Home Mortgage Investment Trust | |||||||
2006-2, 6.750%, 06/25/2036 (i) | 2,747,648 | 478,327 | |||||
Banc of America Alternative Loan Trust | |||||||
2005-11, 5.750%, 12/25/2035 | 716,585 | 601,480 | |||||
2005-11, 5.750%, 12/25/2035 | 116,821 | 98,056 | |||||
2006-9, 4.444% (1 Month LIBOR USD + 0.400%), 01/25/2037 (b) | 922,556 | 707,094 | |||||
2006-9, 6.000%, 01/25/2037 | 188,543 | 160,028 | |||||
2006-4, 6.000%, 05/25/2046 | 942,868 | 800,359 | |||||
2006-4, 6.500%, 05/25/2046 | 569,632 | 498,477 | |||||
2006-4, 6.500%, 05/25/2046 | 1,117,744 | 937,754 | |||||
2006-5, 6.000%, 06/25/2046 | 275,338 | 241,338 | |||||
2006-6, 6.000%, 07/25/2046 | 1,096,882 | 914,088 | |||||
Banc of America Funding Trust | |||||||
2003-3, 5.500%, 10/25/2033 | 190,051 | 177,273 | |||||
2004-1, 6.000%, 02/25/2034 | 578,141 | 557,578 | |||||
2004-1, 6.000%, 03/25/2034 | 3,514,750 | 3,484,690 | |||||
2004-B, 3.065%, 11/20/2034 (f) | 2,032,832 | 1,825,429 | |||||
2007-4, 5.500%, 11/25/2034 | 251,417 | 221,841 | |||||
2005-3, 5.500%, 06/25/2035 | 77,478 | 72,907 | |||||
2014-R3, 3.225%, 06/26/2035 (a)(f) | 3,022,121 | 2,781,412 | |||||
2014-R3, 3.811%, 06/26/2035 (a)(f) | 1,586,782 | 1,515,023 | |||||
2005-4, 5.500%, 08/25/2035 | 36,578 | 34,901 | |||||
2005-5, 5.500%, 09/25/2035 | 160,203 | 153,492 | |||||
2005-5, 5.500%, 09/25/2035 | 1,673,173 | 1,595,743 | |||||
2005-7, 5.500%, 11/25/2035 | 3,058,342 | 2,710,995 | |||||
2005-7, 5.750%, 11/25/2035 | 3,973 | 3,874 | |||||
2005-7, 6.000%, 11/25/2035 | 19,763 | 19,002 | |||||
2005-8, 5.750%, 01/25/2036 | 1,976,433 | 1,752,220 | |||||
2006-B, 2.673%, 03/20/2036 (f) | 628,255 | 515,431 | |||||
2006-F, 3.488%, 07/20/2036 (f) | 6,548,930 | 5,524,019 | |||||
2006-5, 5.750%, 09/25/2036 | 333,071 | 293,835 | |||||
2006-7, 6.000%, 09/25/2036 | 507,037 | 420,315 | |||||
2006-I, 3.117%, 12/20/2036 (f) | 2,494,520 | 2,320,565 | |||||
2006-I, 3.117%, 12/20/2036 (f) | 433,910 | 396,900 | |||||
2006-I, 3.332%, 12/20/2036 (f) | 564,856 | 542,251 | |||||
2007-1, 6.689%, 01/25/2037 (i) | 735,737 | 634,089 | |||||
2007-2, 4.104% (1 Month LIBOR USD + 0.060%), 03/25/2037 (b) | 378,266 | 363,318 | |||||
2007-3, 4.904% (1 Month LIBOR USD + 0.860%), 04/25/2037 (b) | 909,419 | 802,301 | |||||
2007-6, 4.324% (1 Month LIBOR USD + 0.280%), 07/25/2037 (b) | 4,245,775 | 3,904,795 | |||||
2007-6, 4.334% (1 Month LIBOR USD + 0.290%), 07/25/2037 (b) | 1,028,691 | 946,941 | |||||
2007-5, 5.500%, 07/25/2037 | 1,378,911 | 1,027,467 | |||||
2010-R3, 6.000%, 09/26/2037 (a)(f) | 6,514,103 | 6,126,807 | |||||
2006-J, 3.743%, 01/20/2047 (f) | 123,124 | 111,697 | |||||
Banc of America Mortgage Trust | |||||||
2005-A, 2.542%, 02/25/2035 (f) | 1,398,282 | 1,328,386 | |||||
2005-F, 3.942%, 07/25/2035 (f) | 750,376 | 673,850 | |||||
2007-1, 6.000%, 03/25/2037 | 1,571,901 | 1,271,204 | |||||
2006-B, 3.538%, 10/20/2046 (f) | 429,416 | 388,061 | |||||
BCAP LLC Trust | |||||||
2007-AA2, 7.500%, 04/25/2037 (j) | 301,361 | 185,493 | |||||
Bear Stearns ALT-A Trust | |||||||
2006-6, 3.660%, 11/25/2036 (f) | 823,092 | 384,362 | |||||
Bear Stearns ARM Trust | |||||||
2004-12, 2.855%, 02/25/2035 (f) | 46,739 | 43,793 | |||||
Bear Stearns Asset Backed Securities I Trust | |||||||
2005-AC5, 5.044% (1 Month LIBOR USD + 1.000%), 08/25/2035 (b) | 523,344 | 366,381 | |||||
2006-AC4, 4.294% (1 Month LIBOR USD + 0.250%), 07/25/2036 (b) | 3,026,718 | 2,551,800 | |||||
2006-AC4, 18.729% (1 Month LIBOR USD + 36.250%), 07/25/2036 (b)(e)(j) | 699,450 | 704,487 | |||||
Chase Funding Trust | |||||||
2004-1, 4.794% (1 Month LIBOR USD + 0.750%), 09/25/2033 (b) | 47,058 | 46,909 | |||||
Chase Mortgage Finance Trust | |||||||
2005-S2, 5.500%, 10/25/2035 | 640,910 | 598,913 | |||||
2005-S3, 5.500%, 11/25/2035 | 5,486,494 | 4,076,755 | |||||
2005-A1, 3.593%, 12/25/2035 (f) | 770,123 | 704,525 | |||||
2005-A1, 3.593%, 12/25/2035 (f) | 802,885 | 734,497 | |||||
2006-S3, 6.000%, 11/25/2036 | 6,769,895 | 3,067,251 | |||||
2006-S4, 6.000%, 12/25/2036 | 1,226,693 | 601,367 | |||||
2006-S4, 6.000%, 12/25/2036 | 3,958,334 | 1,940,512 | |||||
2007-S1, 6.000%, 02/25/2037 | 4,023,500 | 1,655,644 | |||||
2007-S3, 5.750%, 05/25/2037 | 691,713 | 340,928 | |||||
2007-S3, 6.000%, 05/25/2037 | 2,107,646 | 1,058,092 | |||||
2007-A2, 3.489%, 07/25/2037 (f) | 867,906 | 740,257 | |||||
ChaseFlex Trust | |||||||
2005-1, 5.500%, 02/25/2035 | 299,167 | 247,735 | |||||
2006-2, 4.447%, 09/25/2036 (f) | 2,456,145 | 2,158,489 | |||||
2007-M1, 4.149%, 08/25/2037 (i) | 1,390,748 | 1,160,727 | |||||
CHL Mortgage Pass-Through Trust | |||||||
2005-20, 5.250%, 12/25/2027 | 19,691 | 12,636 | |||||
2003-42, 3.777%, 10/25/2033 (f) | 900,622 | 821,228 | |||||
2003-44, 5.000%, 10/25/2033 | 256,000 | 248,427 | |||||
2004-4, 5.500%, 05/25/2034 | 434,389 | 398,326 | |||||
2004-14, 4.287%, 08/25/2034 (f) | 2,201,526 | 2,012,932 | |||||
2004-21, 4.000%, 11/25/2034 | 519,661 | 454,658 | |||||
2004-24, 5.500%, 12/25/2034 | 2,446,422 | 2,222,270 | |||||
2004-J9, 5.500%, 01/25/2035 | 495,349 | 474,927 | |||||
2004-HYB5, 3.711%, 04/20/2035 (f) | 584,160 | 563,059 | |||||
2005-HYB2, 3.011%, 05/20/2035 (f) | 757,487 | 702,411 | |||||
2005-13, 5.500%, 06/25/2035 | 1,666,679 | 1,016,334 | |||||
2005-J3, 5.500%, 09/25/2035 | 55,842 | 48,790 | |||||
2005-27, 5.500%, 12/25/2035 | 994,972 | 748,476 | |||||
2005-27, 5.500%, 12/25/2035 | 508,701 | 228,476 | |||||
2005-31, 2.844%, 01/25/2036 (f) | 853,574 | 759,690 | |||||
2005-30, 5.500%, 01/25/2036 | 63,801 | 40,777 | |||||
2005-HY10, 3.349%, 02/20/2036 (f) | 1,620,237 | 1,284,390 | |||||
2005-HY10, 3.528%, 02/20/2036 (f) | 61,178 | 48,360 | |||||
2006-6, 6.000%, 04/25/2036 | 629,885 | 352,755 | |||||
2006-9, 6.000%, 05/25/2036 | 1,149,015 | 579,664 | |||||
2006-J4, 6.250%, 09/25/2036 | 96,089 | 38,779 | |||||
2006-16, 6.500%, 11/25/2036 | 514,337 | 202,765 | |||||
2006-17, 6.000% (1 Month LIBOR USD + 0.550%), 12/25/2036 (b) | 2,892,179 | 1,340,302 | |||||
2006-17, 6.000%, 12/25/2036 | 2,138,442 | 978,565 | |||||
2006-18, 6.000%, 12/25/2036 | 268,535 | 153,086 | |||||
2006-21, 5.750%, 02/25/2037 | 1,201,359 | 597,061 | |||||
2006-21, 6.000%, 02/25/2037 | 2,774,103 | 1,417,373 | |||||
2006-21, 6.000%, 02/25/2037 | 633,390 | 323,618 | |||||
2007-1, 6.000%, 03/25/2037 | 1,977,093 | 1,001,996 | |||||
2007-5, 5.500%, 05/25/2037 | 786,167 | 428,844 | |||||
2007-5, 5.750%, 05/25/2037 | 5,596,349 | 3,116,057 | |||||
2007-5, 5.750%, 05/25/2037 | 854,529 | 475,804 | |||||
2007-5, 5.750%, 05/25/2037 | 1,648,936 | 918,131 | |||||
2007-10, 6.000%, 07/25/2037 | 1,779,434 | 878,828 | |||||
2007-J2, 6.000%, 07/25/2037 | 2,956,129 | 1,241,026 | |||||
2007-J2, 6.000%, 07/25/2037 | 190,919 | 80,150 | |||||
2007-HY5, 4.029%, 09/25/2037 (f) | 1,896,015 | 1,699,340 | |||||
2007-HY6, 3.815%, 11/25/2037 (f) | 254,882 | 219,423 | |||||
2007-HY5, 3.970%, 09/25/2047 (f) | 5,541,040 | 4,067,582 | |||||
Citicorp Mortgage Securities Trust | |||||||
2006-3, 5.500%, 06/25/2021 (g) | 50,926 | 32,930 | |||||
2006-1, 6.000%, 02/25/2036 | 77,655 | 72,321 | |||||
2006-3, 5.750%, 06/25/2036 | 355,819 | 308,020 | |||||
2006-3, 6.000%, 06/25/2036 | 1,248,010 | 1,090,031 | |||||
2006-3, 6.250%, 06/25/2036 | 781,359 | 688,477 | |||||
2006-7, 6.000%, 12/25/2036 | 2,702,852 | 2,239,688 | |||||
2007-3, 5.500%, 04/25/2037 | 37,458 | 34,609 | |||||
2007-3, 6.000%, 04/25/2037 | 477,854 | 433,574 | |||||
Citigroup Mortgage Loan Trust | |||||||
2004-2, 9.250%, 08/25/2033 (a) | 13,449 | 12,271 | |||||
2004-HYB3, 3.387%, 09/25/2034 (f) | 471,376 | 428,669 | |||||
2005-WF1, 5.830%, 11/25/2034 (i) | 2,742,380 | 2,660,309 | |||||
2005-1, 2.809%, 04/25/2035 (f) | 333,913 | 307,070 | |||||
2005-2, 2.911%, 05/25/2035 (f) | 398,346 | 379,890 | |||||
2005-5, 6.000%, 08/25/2035 | 1,854,061 | 1,663,544 | |||||
2005-7, 2.995%, 09/25/2035 (f) | 410,058 | 346,129 | |||||
2005-10, 3.679%, 12/25/2035 (f) | 1,040,864 | 678,729 | |||||
2006-WF1, 5.040%, 03/25/2036 (i) | 26,417,218 | 13,436,029 | |||||
2006-AR7, 3.841%, 11/25/2036 (f) | 1,407,678 | 1,250,364 | |||||
2007-AR4, 3.329%, 03/25/2037 (f) | 1,019,826 | 885,894 | |||||
CitiMortgage Alternative Loan Trust | |||||||
2006-A2, 4.644% (1 Month LIBOR USD + 0.600%), 05/25/2036 (b) | 398,227 | 353,105 | |||||
2006-A4, 6.000%, 09/25/2036 | 1,011,313 | 889,706 | |||||
2007-A1, 6.000%, 01/25/2037 | 1,494,750 | 1,312,570 | |||||
2007-A1, 6.000%, 01/25/2037 | 2,402,190 | 2,109,411 | |||||
Connecticut Avenue Securities Trust | |||||||
2021-R03, 6.271% (SOFR30A + 2.750%), 12/25/2041 (a)(b) | 5,685,000 | 5,082,064 | |||||
2022-R02, 6.521% (SOFR30A + 3.000%), 01/25/2042 (a)(b) | 10,000,000 | 9,285,272 | |||||
Credit Suisse First Boston Mortgage Securities Corp. | |||||||
2005-8, 7.000%, 09/25/2035 | 2,698,470 | 1,370,275 | |||||
CSFB Mortgage-Backed Pass-Through Certificates | |||||||
2004-8, 5.500%, 12/25/2034 | 142,886 | 136,443 | |||||
2005-3, 5.500%, 07/25/2035 | 385,736 | 378,792 | |||||
2005-9, 5.500%, 10/25/2035 | 563,740 | 307,366 | |||||
2005-10, 5.500%, 11/25/2035 | 425,288 | 319,177 | |||||
2005-10, 5.500%, 11/25/2035 | 1,676,442 | 1,258,164 | |||||
2005-10, 6.000%, 11/25/2035 | 815,774 | 244,331 | |||||
CSMC Mortgage-Backed Trust | |||||||
2006-CF1, 5.500%, 11/25/2035 (a)(i) | 2,565,000 | 2,224,565 | |||||
2006-1, 5.500%, 02/25/2036 | 300,296 | 267,206 | |||||
2006-1, 5.500%, 02/25/2036 | 31,355 | 28,252 | |||||
2006-2, 5.750%, 03/25/2036 | 560,915 | 379,217 | |||||
2006-2, 6.000%, 03/25/2036 | 4,174,212 | 1,870,694 | |||||
2006-4, 6.000%, 05/25/2036 | 517,629 | 305,150 | |||||
2006-4, 7.000%, 05/25/2036 | 505,858 | 86,461 | |||||
2011-12R, 3.514%, 07/27/2036 (a)(f) | 1,142,700 | 1,121,793 | |||||
2006-7, 6.000%, 08/25/2036 | 720,411 | 564,947 | |||||
2007-2, 5.500%, 03/25/2037 | 1,351,985 | 759,754 | |||||
2007-3, 5.500%, 04/25/2037 | 302,275 | 245,764 | |||||
2007-3, 5.500%, 04/25/2037 | 422,887 | 343,828 | |||||
2013-2R, 3.171%, 05/27/2037 (a)(f) | 1,964,276 | 1,282,864 | |||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust | |||||||
2005-3, 4.544% (1 Month LIBOR USD + 0.500%), 05/25/2035 (b) | 1,175,077 | 1,117,512 | |||||
2005-6, 5.500%, 12/25/2035 | 1,453,075 | 1,170,415 | |||||
Deutsche Alt-B Securities, Inc. Mortgage Loan Trust | |||||||
2006-AB4, 4.116% (1 Month LIBOR USD + 0.100%), 10/25/2036 (b) | 456,051 | 388,335 | |||||
DFC HEL Trust | |||||||
2001-1, 5.525% (1 Month LIBOR USD + 1.650%), 08/15/2031 (b) | 1,436,148 | 1,371,901 | |||||
Equity One Mortgage Pass-Through Trust | |||||||
2003-1, 4.860%, 08/25/2033 (f) | 464,131 | 451,218 | |||||
2003-3, 4.868%, 12/25/2033 (f) | 1,318,929 | 1,221,590 | |||||
Fannie Mae Connecticut Avenue Securities | |||||||
2015-C03, 9.016% (1 Month LIBOR USD + 5.000%), 07/25/2025 (b) | 2,568,924 | 2,606,772 | |||||
2016-C01, 10.966% (1 Month LIBOR USD + 6.950%), 08/25/2028 (b) | 1,306,787 | 1,360,052 | |||||
2017-C05, 7.616% (1 Month LIBOR USD + 3.600%), 01/25/2030 (b) | 6,599,636 | 6,518,855 | |||||
2018-C03, 7.766% (1 Month LIBOR USD + 3.750%), 10/25/2030 (b) | 5,000,000 | 4,946,300 | |||||
2021-R02, 5.521% (SOFR30A + 2.000%), 11/25/2041 (a)(b) | 2,250,000 | 2,003,945 | |||||
First Horizon Alternative Mortgage Securities Trust | |||||||
2005-FA11, 5.250%, 02/25/2021 (g) | 698 | - | |||||
2006-FA6, 5.750%, 11/25/2021 (g) | 969 | 733 | |||||
2004-AA6, 3.613%, 01/25/2035 (f) | 278,334 | 269,728 | |||||
2004-AA7, 3.622%, 02/25/2035 (f) | 817,235 | 752,459 | |||||
2005-AA5, 3.705%, 07/25/2035 (f) | 1,386,335 | 1,241,484 | |||||
2005-AA7, 3.721%, 09/25/2035 (f) | 1,443,657 | 1,240,953 | |||||
2005-FA8, 5.500%, 11/25/2035 | 1,195,728 | 653,324 | |||||
2006-FA1, 5.750%, 04/25/2036 | 1,919,181 | 932,056 | |||||
2006-FA2, 6.000%, 05/25/2036 | 2,255,857 | 1,074,474 | |||||
2006-FA2, 6.000%, 05/25/2036 | 1,431,909 | 682,024 | |||||
2006-FA6, 6.000%, 11/25/2036 | 955,808 | 348,558 | |||||
2006-FA6, 6.250%, 11/25/2036 | 1,211,545 | 453,336 | |||||
2006-FA6, 6.250%, 11/25/2036 | 6,440,898 | 3,261,867 | |||||
2007-AA1, 3.580%, 05/25/2037 (f) | 2,355,214 | 1,654,775 | |||||
2007-FA4, 6.250%, 08/25/2037 | 1,828,019 | 803,182 | |||||
First Horizon Mortgage Pass-Through Trust | |||||||
2005-AR3, 3.889%, 08/25/2035 (f) | 1,304,757 | 1,213,939 | |||||
2006-AR4, 3.644%, 01/25/2037 (f) | 2,322,652 | 1,469,174 | |||||
2006-4, 5.750%, 02/25/2037 | 923,689 | 266,958 | |||||
2006-4, 6.000%, 02/25/2037 | 559,327 | 168,100 | |||||
2007-AR1, 2.848%, 05/25/2037 (f) | 495,585 | 216,441 | |||||
2007-AR2, 3.546%, 08/25/2037 (f) | 2,286,111 | 783,513 | |||||
Freddie Mac STACR REMIC Trust | |||||||
2021-HQA1, 5.771% (SOFR30A + 2.250%), 08/25/2033 (a)(b) | 5,855,000 | 5,394,082 | |||||
2021-DNA5, 6.571% (SOFR30A + 3.050%), 01/25/2034 (a)(b) | 7,759,414 | 6,916,035 | |||||
2021-DNA7, 5.321% (SOFR30A + 1.800%), 11/25/2041 (a)(b) | 7,750,000 | 7,203,604 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes | |||||||
2018-DNA2, 7.716% (1 Month LIBOR USD + 3.700%), 12/25/2030 (a)(b) | 5,000,000 | 4,917,362 | |||||
2022-DNA1, 5.371% (SOFR30A + 1.850%), 01/25/2042 (a)(b) | 6,800,000 | 6,229,260 | |||||
2022-DNA1, 6.021% (SOFR30A + 2.500%), 01/25/2042 (a)(b) | 9,000,000 | 7,961,125 | |||||
2018-HRP2, 8.216% (1 Month LIBOR USD + 4.200%), 02/25/2047 (a)(b) | 10,000,000 | 9,619,107 | |||||
2020-DNA5, 8.321% (SOFR30A + 4.800%), 10/25/2050 (a)(b) | 10,606,000 | 10,545,697 | |||||
GSAA Home Equity Trust | |||||||
2005-1, 6.260%, 11/25/2034 (i) | 2,050,000 | 1,922,539 | |||||
2006-15, 6.692%, 09/25/2036 (i) | 2,121,224 | 604,984 | |||||
2006-18, 6.182%, 11/25/2036 (i) | 1,700,521 | 438,164 | |||||
2007-7, 4.404% (1 Month LIBOR USD + 0.360%), 07/25/2037 (b) | 832,243 | 778,212 | |||||
GSR Mortgage Loan Trust | |||||||
2005-4F, 6.500%, 04/25/2020 (g) | 47,650 | 47,487 | |||||
2003-5F, 3.000%, 08/25/2032 | 887,332 | 804,866 | |||||
2004-15F, 6.000%, 12/25/2034 | 1,089,141 | 888,894 | |||||
2005-1F, 6.000%, 01/25/2035 | 14,348 | 12,688 | |||||
2005-AR4, 3.652%, 07/25/2035 (f) | 166,767 | 153,039 | |||||
2005-7F, 6.000%, 09/25/2035 | 20,907 | 19,906 | |||||
2005-AR5, 3.758%, 10/25/2035 (f) | 558,809 | 502,019 | |||||
2005-AR7, 3.764%, 11/25/2035 (f) | 413,511 | 366,342 | |||||
2006-2F, 5.750%, 02/25/2036 | 454,318 | 397,767 | |||||
HarborView Mortgage Loan Trust | |||||||
2006-6, 3.446%, 08/19/2036 (f) | 2,370,882 | 1,861,458 | |||||
Impac CMB Trust | |||||||
2005-5, 4.544% (1 Month LIBOR USD + 0.250%), 08/25/2035 (b) | 429,009 | 378,502 | |||||
Impac Secured Assets CMN Owner Trust | |||||||
2002-2, 6.500%, 04/25/2033 | 1,011,812 | 953,620 | |||||
2004-2, 4.882%, 08/25/2034 (i) | 169,687 | 163,706 | |||||
IndyMac IMSC Mortgage Loan Trust | |||||||
2007-AR1, 3.288%, 06/25/2037 (f) | 363,054 | 249,556 | |||||
IndyMac INDA Mortgage Loan Trust | |||||||
2007-AR1, 3.014%, 03/25/2037 (f) | 324,237 | 265,810 | |||||
IndyMac INDX Mortgage Loan Trust | |||||||
2004-AR4, 3.761%, 08/25/2034 (f) | 2,415,899 | 2,215,212 | |||||
2004-AR11, 3.001%, 12/25/2034 (f) | 925,974 | 885,337 | |||||
2005-AR3, 3.013%, 04/25/2035 (f) | 877,223 | 788,520 | |||||
2005-AR9, 3.559%, 07/25/2035 (f) | 2,953,246 | 1,670,259 | |||||
2005-AR23, 3.161%, 11/25/2035 (f) | 620,985 | 525,222 | |||||
2005-AR23, 3.203%, 11/25/2035 (f) | 1,074,412 | 916,533 | |||||
2005-AR25, 3.219%, 12/25/2035 (f) | 1,873,833 | 1,195,435 | |||||
2005-AR35, 3.032%, 02/25/2036 (f) | 1,161,194 | 994,491 | |||||
2006-AR3, 3.067%, 03/25/2036 (f) | 5,113,569 | 3,584,215 | |||||
2006-AR9, 3.130%, 06/25/2036 (f) | 1,629,296 | 1,268,440 | |||||
2006-AR25, 3.178%, 09/25/2036 (f) | 1,177,538 | 1,009,296 | |||||
2006-AR25, 3.479%, 09/25/2036 (f) | 1,977,860 | 1,339,564 | |||||
2006-AR31, 3.460%, 11/25/2036 (f) | 3,981,915 | 3,438,327 | |||||
Jefferies Resecuritization Trust | |||||||
2009-R1, 3.764%, 11/26/2035 (a)(f) | 568,952 | 503,419 | |||||
JP Morgan Alternative Loan Trust | |||||||
2006-S4, 6.460%, 12/25/2036 (i) | 446,209 | 421,746 | |||||
2008-R4, 6.000%, 12/27/2036 (a) | 6,560,053 | 3,521,066 | |||||
JP Morgan Mortgage Trust | |||||||
2005-S3, 5.750%, 01/25/2036 | 46,686 | 23,413 | |||||
2007-A3, 3.153%, 05/25/2037 (f) | 2,602,065 | 2,065,607 | |||||
JP Morgan Resecuritization Trust | |||||||
2009-7, 4.935%, 07/27/2037 (a)(f) | 17,440 | 17,371 | |||||
Lehman Mortgage Trust | |||||||
2005-2, 5.500%, 12/25/2035 | 1,480,585 | 838,775 | |||||
2005-2, 5.750%, 12/25/2035 | 520,672 | 299,014 | |||||
2005-3, 0.734% (1 Month LIBOR USD + 4.750%), 01/25/2036 (b)(e)(j)(k) | 854,848 | 65,007 | |||||
2005-3, 4.544% (1 Month LIBOR USD + 0.500%), 01/25/2036 (b) | 854,848 | 361,522 | |||||
2005-3, 5.500%, 01/25/2036 | 211,039 | 112,630 | |||||
2006-1, 5.500%, 02/25/2036 | 366,722 | 183,870 | |||||
2006-3, 6.000%, 07/25/2036 | 3,167,871 | 1,642,154 | |||||
2006-3, 6.000%, 07/25/2036 | 7,003,617 | 3,630,529 | |||||
2007-4, 5.750%, 05/25/2037 | 1,010,976 | 501,363 | |||||
2007-4, 5.750%, 05/25/2037 | 2,208,982 | 1,095,479 | |||||
2007-5, 5.750%, 06/25/2037 | 1,516,385 | 1,325,834 | |||||
2007-5, 6.000%, 06/25/2037 | 2,317,120 | 654,503 | |||||
2007-5, 6.000%, 06/25/2037 | 6,328,749 | 1,787,645 | |||||
MASTR Adjustable Rate Mortgages Trust | |||||||
2004-4, 3.602%, 05/25/2034 (f) | 90,633 | 82,693 | |||||
2005-1, 2.853%, 02/25/2035 (f) | 109,594 | 100,060 | |||||
MASTR Alternative Loan Trust | |||||||
2003-5, 5.895%, 08/25/2033 (f) | 683,742 | 435,088 | |||||
2003-7, 6.250%, 11/25/2033 | 68,166 | 67,014 | |||||
2004-6, 5.500%, 07/25/2034 | 184,451 | 169,595 | |||||
2004-6, 6.000%, 07/25/2034 | 126,215 | 119,513 | |||||
2004-11, 6.500%, 10/25/2034 | 393,590 | 380,317 | |||||
2005-2, 5.500%, 03/25/2035 | 2,000,000 | 1,917,971 | |||||
MASTR Asset Securitization Trust | |||||||
2002-NC1, 7.194% (1 Month LIBOR USD + 3.150%), 10/25/2032 (b) | 244,635 | 239,380 | |||||
2006-1, 4.494% (1 Month LIBOR USD + 0.450%), 05/25/2036 (b) | 586,796 | 89,254 | |||||
Merrill Lynch Mortgage Investors Trust | |||||||
2006-F1, 6.000%, 04/25/2036 | 1,993,375 | 1,012,869 | |||||
Merrill Lynch Mortgage Investors Trust MLCC | |||||||
2004-D, 4.286% (6 Month LIBOR USD + 0.720%), 09/25/2029 (b) | 668,506 | 627,441 | |||||
Merrill Lynch Mortgage Investors Trust MLMI | |||||||
2005-A5, 3.482%, 06/25/2035 (f) | 310,407 | 284,633 | |||||
2005-A7, 3.820%, 09/25/2035 (f) | 3,849,674 | 3,098,210 | |||||
Morgan Stanley Mortgage Loan Trust | |||||||
2005-7, 5.500%, 11/25/2035 | 828,127 | 774,532 | |||||
2005-7, 5.500%, 11/25/2035 | 326,343 | 276,663 | |||||
2006-2, 5.467%, 02/25/2036 (f) | 1,318,222 | 778,700 | |||||
2006-2, 6.500%, 02/25/2036 | 893,037 | 452,676 | |||||
2006-11, 6.000%, 08/25/2036 | 1,972,070 | 934,799 | |||||
2006-11, 6.000%, 08/25/2036 | 1,385,654 | 956,116 | |||||
2007-8XS, 6.000%, 04/25/2037 (f) | 1,318,091 | 478,128 | |||||
2007-3XS, 6.263%, 01/25/2047 (i) | 6,633,583 | 2,097,997 | |||||
Morgan Stanley Reremic Trust | |||||||
2012-R3, 3.332%, 11/26/2036 (a)(f) | 2,036,567 | 1,593,903 | |||||
Nomura Asset Acceptance Corp. Alternative Loan Trust | |||||||
2005-WF1, 5.659%, 03/25/2035 (i) | 24,992 | 24,189 | |||||
2005-AR3, 5.688%, 07/25/2035 (f) | 703,397 | 679,425 | |||||
Nomura Resecuritization Trust | |||||||
2014-5R, 5.501%, 06/26/2035 (a)(f) | 3,566,821 | 2,923,455 | |||||
2011-4RA, 2.768%, 12/26/2036 (a)(f) | 5,666,218 | 5,091,078 | |||||
Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates | |||||||
2005-5, 5.850%, 12/25/2035 (f) | 86,547 | 85,447 | |||||
RAAC Trust | |||||||
2005-SP1, 6.000%, 09/25/2034 | 2,788 | 2,554 | |||||
RALI Trust | |||||||
2006-QA1, 5.236%, 01/25/2036 (f) | 98,695 | 105,015 | |||||
2006-QS1, 5.750%, 01/25/2036 | 189,931 | 160,344 | |||||
2006-QS9, 4.744% (1 Month LIBOR USD + 0.700%), 07/25/2036 (b) | 1,398,176 | 956,956 | |||||
2006-QS13, 6.000%, 09/25/2036 | 2,068,929 | 1,586,537 | |||||
2006-QS17, 4.394% (1 Month LIBOR USD + 0.350%), 12/25/2036 (b) | 789,941 | 542,666 | |||||
2006-QS17, 6.000%, 12/25/2036 | 313,327 | 246,271 | |||||
2007-QS6, 6.000%, 04/25/2037 | 2,674,474 | 2,091,947 | |||||
2007-QS10, 6.500%, 09/25/2037 | 290,030 | 228,246 | |||||
RBSSP Resecuritization Trust | |||||||
2009-7, 6.000%, 03/26/2036 (a)(f) | 3,795,168 | 2,199,264 | |||||
Renaissance Home Equity Loan Trust | |||||||
2005-1, 5.516%, 05/25/2035 (i) | 131,180 | 129,886 | |||||
Resecuritization Pass-Through Trust | |||||||
2005-8R, 6.000%, 10/25/2034 | 1,660,934 | 1,574,686 | |||||
Residential Asset Securitization Trust | |||||||
2003-A9, 4.000%, 08/25/2033 | 940,916 | 867,202 | |||||
2004-R2, 5.500%, 08/25/2034 | 1,657,292 | 1,557,454 | |||||
2005-A5, 5.500%, 05/25/2035 | 1,060,531 | 746,172 | |||||
2005-A11, 4.850%, 10/25/2035 | 3,515,627 | 1,588,652 | |||||
2005-A11, 5.500%, 10/25/2035 | 244,236 | 170,324 | |||||
2005-A11, 6.000%, 10/25/2035 | 400,397 | 211,343 | |||||
2005-A15, 5.750%, 02/25/2036 | 3,466,766 | 1,347,493 | |||||
2006-A5CB, 6.000%, 06/25/2036 | 2,275,700 | 978,090 | |||||
2006-A10, 1.806% (1 Month LIBOR USD + 5.850%), 09/25/2036 (b)(e)(j)(k) | 10,202,322 | 1,104,868 | |||||
2006-A10, 4.694% (1 Month LIBOR USD + 0.650%), 09/25/2036 (b) | 10,202,322 | 2,678,500 | |||||
2006-A15, 1.606% (1 Month LIBOR USD + 5.650%), 01/25/2037 (b)(e)(j)(k) | 16,543,929 | 1,846,058 | |||||
2006-A15, 4.644% (1 Month LIBOR USD + 0.600%), 01/25/2037 (b) | 16,543,929 | 4,369,619 | |||||
RFMSI Trust | |||||||
2005-SA4, 3.909%, 09/25/2035 (f) | 1,668,871 | 1,034,730 | |||||
2005-SA4, 4.138%, 09/25/2035 (f) | 1,284,227 | 840,868 | |||||
2005-SA4, 4.172%, 09/25/2035 (f) | 40,752 | 38,769 | |||||
2006-S3, 5.500%, 03/25/2036 | 1,954,336 | 1,567,546 | |||||
2006-S4, 6.000%, 04/25/2036 | 1,841,529 | 1,508,341 | |||||
2006-S5, 6.000%, 06/25/2036 | 175,030 | 145,227 | |||||
2006-S5, 6.000%, 06/25/2036 | 360,307 | 298,956 | |||||
2006-S5, 6.000%, 06/25/2036 | 1,509,966 | 1,252,857 | |||||
2006-S5, 6.000%, 06/25/2036 | 187,662 | 153,065 | |||||
2006-S6, 6.000%, 07/25/2036 | 106,155 | 86,032 | |||||
2006-S6, 6.000%, 07/25/2036 | 546,512 | 442,912 | |||||
2006-S7, 6.250%, 08/25/2036 | 1,174,433 | 976,689 | |||||
2006-S7, 6.500%, 08/25/2036 | 702,148 | 585,241 | |||||
2006-S9, 5.750%, 09/25/2036 | 1,458,503 | 1,135,888 | |||||
2007-S1, 6.000%, 01/25/2037 | 474,787 | 377,406 | |||||
2007-S7, 6.000%, 07/25/2037 | 1,506,271 | 1,120,460 | |||||
Specialty Underwriting & Residential Finance Trust | |||||||
2006-BC2, 3.684%, 02/25/2037 (i) | 799,939 | 317,496 | |||||
STARM Mortgage Loan Trust | |||||||
2007-1, 2.423%, 02/25/2037 (f) | 4,029,560 | 3,420,800 | |||||
2007-2, 2.262%, 04/25/2037 (f) | 451,073 | 202,895 | |||||
Structured Adjustable Rate Mortgage Loan Trust | |||||||
2004-18, 3.567%, 12/25/2034 (f) | 475,382 | 433,581 | |||||
2005-12, 3.388%, 06/25/2035 (f) | 643,089 | 496,831 | |||||
2005-21, 4.172%, 11/25/2035 (f) | 3,370,041 | 2,386,960 | |||||
2006-1, 2.732%, 02/25/2036 (f) | 170,236 | 153,493 | |||||
2006-1, 3.522%, 02/25/2036 (f) | 1,115,983 | 888,058 | |||||
2006-4, 3.745%, 05/25/2036 (f) | 606,583 | 414,323 | |||||
2006-12, 3.809%, 01/25/2037 (f) | 583,865 | 447,150 | |||||
2007-5, 4.484% (1 Month LIBOR USD + 0.440%), 06/25/2037 (b) | 1,656,098 | 1,395,171 | |||||
2007-6, 4.424% (1 Month LIBOR USD + 0.380%), 07/25/2037 (b) | 4,649,626 | 3,988,783 | |||||
2007-9, 6.431% (6 Month LIBOR USD + 1.500%), 10/25/2037 (b) | 916,469 | 800,504 | |||||
Suntrust Alternative Loan Trust | |||||||
2005-1F, 5.750%, 12/25/2035 | 844,452 | 738,858 | |||||
2005-1F, 6.000%, 12/25/2035 | 1,950,021 | 1,719,971 | |||||
2005-1F, 6.500%, 12/25/2035 | 1,988,599 | 1,763,866 | |||||
TBW Mortgage-Backed Trust | |||||||
2006-2, 5.500%, 07/25/2036 (e) | 80,750 | 7,665 | |||||
Volt, LLC | |||||||
2021-NPL4, 4.949%, 03/27/2051 (a)(i) | 1,650,000 | 1,428,546 | |||||
WaMu Mortgage Pass-Through Certificates Trust | |||||||
2003-S4, 5.659%, 06/25/2033 (f) | 1,862,891 | 1,707,105 | |||||
2003-AR10, 4.238%, 10/25/2033 (f) | 7,268,620 | 6,726,019 | |||||
2004-S2, 6.000%, 06/25/2034 | 46,680 | 44,913 | |||||
2005-AR14, 3.880%, 12/25/2035 (f) | 4,774,166 | 4,409,292 | |||||
2006-AR10, 3.565%, 09/25/2036 (f) | 921,326 | 745,717 | |||||
2006-AR16, 2.743%, 12/25/2036 (f) | 1,076,991 | 925,661 | |||||
2007-HY2, 3.375%, 12/25/2036 (f) | 13,552,048 | 11,909,573 | |||||
2007-HY3, 3.291%, 03/25/2037 (f) | 2,415,639 | 2,166,141 | |||||
2007-HY5, 3.342%, 05/25/2037 (f) | 1,173,216 | 1,013,169 | |||||
2007-HY7, 3.390%, 07/25/2037 (f) | 206,330 | 150,727 | |||||
2006-AR8, 3.676%, 08/25/2046 (f) | 1,564,721 | 1,366,414 | |||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | |||||||
2005-1, 6.000%, 03/25/2035 | 1,000,210 | 878,506 | |||||
2005-4, 5.500%, 06/25/2035 | 3,119,282 | 2,600,984 | |||||
2005-5, 5.500%, 07/25/2035 | 1,051,979 | 930,087 | |||||
2005-6, 5.500%, 08/25/2035 | 2,591,834 | 2,168,063 | |||||
2005-6, 5.500%, 08/25/2035 | 566,609 | 473,967 | |||||
2005-6, 5.500%, 08/25/2035 | 1,177,880 | 998,675 | |||||
2005-6, 6.500%, 08/25/2035 | 285,965 | 246,308 | |||||
2005-9, 5.500%, 11/25/2035 | 394,211 | 326,274 | |||||
2006-8, 4.176%, 10/25/2036 (i) | 2,314,473 | 861,211 | |||||
2007-HY1, 4.364% (1 Month LIBOR USD + 0.320%), 02/25/2037 (b) | 1,782,247 | 1,456,957 | |||||
2007-HY2, 3.390%, 04/25/2037 (f) | 1,187,290 | 632,565 | |||||
2007-OC2, 4.664% (1 Month LIBOR USD + 0.620%), 06/25/2037 (b) | 3,059,354 | 2,705,654 | |||||
2007-OC1, 4.524% (1 Month LIBOR USD + 0.240%), 01/25/2047 (b) | 3,661,565 | 3,210,912 | |||||
Wells Fargo Alternative Loan Trust | |||||||
2007-PA1, 6.000%, 03/25/2037 | 821,638 | 700,669 | |||||
2007-PA6, 4.312%, 12/28/2037 (f) | 3,482,824 | 3,146,844 | |||||
Wells Fargo Mortgage Backed Securities Trust | |||||||
2004-J, 3.628%, 07/25/2034 (f) | 3,366,944 | 3,014,340 | |||||
2005-AR14, 4.076%, 08/25/2035 (f) | 578,800 | 544,103 | |||||
2006-AR1, 3.034%, 03/25/2036 (f) | 1,563,911 | 1,426,133 | |||||
2006-AR5, 2.755%, 04/25/2036 (f) | 1,534,225 | 1,411,680 | |||||
2006-AR5, 2.802%, 04/25/2036 (f) | 2,169,122 | 2,029,309 | |||||
2006-AR19, 4.504%, 12/25/2036 (f) | 1,489,405 | 1,412,627 | |||||
2007-AR3, 2.975%, 04/25/2037 (f) | 734,857 | 634,728 | |||||
TOTAL NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $693,032,277) | 547,475,004 | ||||||
NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES - 18.39% | |||||||
Arbor Multifamily Mortgage Securities Trust | |||||||
2022-MF4, 1.403%, 02/15/2055 (a)(f)(k) | 19,700,000 | 1,703,351 | |||||
2022-MF4, 3.403%, 02/15/2055 (a)(f) | 7,852,000 | 6,227,247 | |||||
BANK | |||||||
2019-BNK16, 1.102%, 02/15/2052 (f)(k) | 78,226,893 | 3,373,973 | |||||
2019-BNK17, 0.720%, 04/15/2052 (f)(k) | 123,653,000 | 3,829,064 | |||||
2019-BNK17, 1.748%, 04/15/2052 (a)(f)(k) | 11,541,000 | 911,906 | |||||
2019-BNK21, 1.232%, 10/17/2052 (a)(f)(k) | 18,699,333 | 1,104,459 | |||||
2019-BNK21, 2.808%, 10/17/2052 | 11,582,000 | 10,492,301 | |||||
2019-BNK23, 0.266%, 12/15/2052 (f)(k) | 238,421,000 | 2,766,208 | |||||
2019-BNK23, 0.810%, 12/15/2052 (f)(k) | 85,077,764 | 3,199,792 | |||||
2020-BNK29, 0.726%, 11/15/2053 (f)(k) | 132,417,000 | 5,404,812 | |||||
2020-BNK29, 2.500%, 11/15/2053 (a) | 1,250,000 | 801,003 | |||||
2020-BNK29, 3.135%, 11/15/2053 (f) | 1,170,000 | 849,128 | |||||
2020-BNK30, 2.500%, 12/15/2053 (a)(f) | 5,550,000 | 3,510,025 | |||||
2020-BNK30, 2.757%, 12/15/2053 (f) | 3,300,000 | 2,332,771 | |||||
2021-BNK31, 1.739%, 02/15/2054 | 7,250,000 | 6,123,204 | |||||
2021-BNK32, 2.332%, 04/15/2054 | 10,727,500 | 9,254,143 | |||||
2021-BNK32, 2.500%, 04/15/2054 (a) | 5,000,000 | 3,114,336 | |||||
2019-BNK20, 2.933%, 09/15/2062 | 2,100,000 | 1,906,106 | |||||
2019-BNK24, 0.303%, 11/15/2062 (f)(k) | 174,693,000 | 2,266,013 | |||||
2020-BNK25, 0.997%, 01/15/2063 (f)(k) | 108,757,005 | 5,108,099 | |||||
2020-BNK26, 0.716%, 03/15/2063 (f)(k) | 226,593,000 | 8,228,294 | |||||
2020-BNK28, 1.088%, 03/15/2063 (f)(k) | 29,969,467 | 1,796,685 | |||||
2020-BNK26, 2.041%, 03/15/2063 | 5,200,000 | 4,552,184 | |||||
2021-BNK34, 1.086%, 06/15/2063 (f)(k) | 95,696,350 | 5,446,902 | |||||
2021-BNK34, 2.754%, 06/15/2063 (f) | 8,000,000 | 5,978,093 | |||||
2022-BNK40, 2.500%, 03/15/2064 (a) | 2,470,000 | 1,496,062 | |||||
2021-BNK33, 2.218%, 05/15/2064 | 12,599,000 | 10,794,327 | |||||
2021-BNK35, 1.153%, 06/15/2064 (f)(k) | 50,634,055 | 3,036,722 | |||||
2021-BNK35, 2.067%, 06/15/2064 | 10,400,000 | 8,768,322 | |||||
2021-BNK35, 2.902%, 06/15/2064 (f) | 8,000,000 | 5,692,002 | |||||
2021-BNK36, 1.018%, 09/15/2064 (f)(k) | 93,711,996 | 4,511,727 | |||||
2021-BNK36, 2.283%, 09/15/2064 | 12,250,000 | 10,499,459 | |||||
2021-BNK37, 2.487%, 11/15/2064 | 14,400,000 | 12,401,070 | |||||
Barclays Commercial Mortgage Trust | |||||||
2019-C3, 0.933%, 05/15/2052 (f)(k) | 56,340,000 | 2,344,572 | |||||
2019-C4, 1.275%, 08/15/2052 (f)(k) | 43,170,000 | 2,599,439 | |||||
2019-C5, 0.500%, 11/15/2052 (f)(k) | 174,774,000 | 3,363,036 | |||||
2019-C5, 1.480%, 11/15/2052 (a)(f)(k) | 12,996,000 | 896,877 | |||||
BBCMS Mortgage Trust | |||||||
2020-C6, 0.790%, 02/15/2053 (f)(k) | 59,000,000 | 2,414,634 | |||||
2020-C6, 1.164%, 02/15/2053 (f)(k) | 93,047,488 | 4,934,299 | |||||
2020-C7, 1.100%, 04/15/2053 (f)(k) | 17,140,000 | 1,023,004 | |||||
2020-C7, 1.737%, 04/15/2053 (f)(k) | 21,999,520 | 1,624,013 | |||||
2021-C9, 1.118%, 02/15/2054 (f)(k) | 68,467,000 | 4,370,488 | |||||
2021-C9, 1.960%, 02/15/2054 | 10,000,000 | 8,572,966 | |||||
2021-C9, 2.534%, 02/15/2054 | 8,500,000 | 6,586,338 | |||||
2021-C10, 1.146%, 07/15/2054 (f)(k) | 73,112,500 | 4,928,901 | |||||
2021-C10, 1.422%, 07/15/2054 (f)(k) | 65,263,653 | 4,806,923 | |||||
2021-C10, 2.268%, 07/15/2054 | 10,000,000 | 8,539,054 | |||||
2021-C11, 1.083%, 09/15/2054 (f)(k) | 29,540,000 | 1,955,451 | |||||
2021-C12, 0.712%, 11/15/2054 (f)(k) | 59,992,000 | 2,621,009 | |||||
2021-C12, 1.074%, 11/15/2054 (f)(k) | 101,714,368 | 5,790,202 | |||||
2021-C12, 2.500%, 11/15/2054 (a) | 4,750,000 | 2,867,719 | |||||
2021-C12, 2.542%, 11/15/2054 | 12,000,000 | 10,320,092 | |||||
2021-C12, 2.758%, 11/15/2054 | 9,000,000 | 6,651,572 | |||||
2022-C14, 0.373%, 02/15/2055 (f)(k) | 166,823,000 | 3,951,403 | |||||
2022-C14, 0.850%, 02/15/2055 (f)(k) | 99,985,139 | 4,408,005 | |||||
2022-C15, 1.459%, 04/15/2055 (a)(f)(k) | 25,000,000 | 2,347,770 | |||||
2022-C17, 1.326%, 09/15/2055 (f)(k) | 65,287,756 | 5,359,257 | |||||
Benchmark Mortgage Trust | |||||||
2019-B9, 1.199%, 03/15/2052 (f)(k) | 29,563,922 | 1,423,113 | |||||
2019-B9, 2.168%, 03/15/2052 (a)(f)(k) | 11,513,000 | 1,106,166 | |||||
2019-B12, 0.533%, 08/15/2052 (a)(f)(k) | 93,260,000 | 2,069,402 | |||||
2020-B16, 0.240%, 02/15/2053 (a)(f)(k) | 70,467,000 | �� 1,021,828 | |||||
2020-B16, 0.926%, 02/15/2053 (f)(k) | 102,881,159 | 5,051,146 | |||||
2020-B20, 0.696%, 10/15/2053 (f)(k) | 79,394,000 | 2,743,857 | |||||
2020-B21, 1.798%, 12/17/2053 | 5,966,000 | 5,087,023 | |||||
2020-B22, 1.731%, 01/15/2054 | 2,490,000 | 2,086,227 | |||||
2021-B23, 1.012%, 02/15/2054 (a)(f)(k) | 105,441,000 | 6,198,571 | |||||
2021-B23, 1.379%, 02/15/2054 (f)(k) | 125,546,873 | 8,619,282 | |||||
2021-B23, 1.766%, 02/15/2054 | 5,000,000 | 4,224,469 | |||||
2021-B24, 0.708%, 03/15/2054 (f)(k) | 99,123,000 | 4,021,519 | |||||
2021-B24, 1.269%, 03/15/2054 (f)(k) | 66,591,114 | 4,130,547 | |||||
2021-B24, 2.256%, 03/15/2054 | 5,400,000 | 4,634,462 | |||||
2021-B25, 0.779%, 04/15/2054 (f)(k) | 93,350,000 | 4,212,092 | |||||
2021-B25, 1.221%, 04/15/2054 (f)(k) | 79,271,048 | 5,048,369 | |||||
2021-B26, 1.481%, 06/15/2054 (a)(f)(k) | 10,836,000 | 947,758 | |||||
2021-B26, 2.000%, 06/15/2054 (a) | 2,250,000 | 1,305,858 | |||||
2021-B26, 2.688%, 06/15/2054 (f) | 6,000,000 | 4,423,764 | |||||
2021-B27, 1.383%, 07/15/2054 (f)(k) | 100,575,629 | 7,212,701 | |||||
2021-B27, 1.604%, 07/15/2054 (a)(f)(k) | 21,507,000 | 2,062,336 | |||||
2021-B27, 2.000%, 07/15/2054 (a) | 5,000,000 | 2,926,824 | |||||
2021-B27, 2.355%, 07/15/2054 | 6,000,000 | 4,406,816 | |||||
2021-B27, 2.703%, 07/15/2054 | 2,000,000 | 1,429,523 | |||||
2021-B28, 1.067%, 08/15/2054 (f)(k) | 32,491,000 | 2,064,829 | |||||
2021-B28, 1.396%, 08/15/2054 (f)(k) | 86,131,938 | 6,177,856 | |||||
2021-B28, 1.980%, 08/15/2054 | 10,000,000 | 8,340,653 | |||||
2021-B29, 1.417%, 09/15/2054 (a)(f)(k) | 27,615,000 | 2,288,648 | |||||
2021-B29, 2.000%, 09/15/2054 (a) | 8,953,000 | 4,681,695 | |||||
2021-B30, 0.594%, 11/15/2054 (a)(f)(k) | 83,683,000 | 3,275,654 | |||||
2021-B30, 1.410%, 11/15/2054 (a)(f)(k) | 18,582,000 | 1,550,653 | |||||
2021-B30, 2.000%, 11/15/2054 (a) | 2,250,000 | 1,172,924 | |||||
2021-B30, 2.000%, 11/15/2054 (a) | 1,500,000 | 859,742 | |||||
2021-B30, 2.431%, 11/15/2054 | 5,250,000 | 4,494,790 | |||||
2021-B30, 2.990%, 11/15/2054 (f) | 7,250,000 | 5,056,425 | |||||
2021-B31, 0.541%, 12/15/2054 (a)(f)(k) | 124,409,000 | 4,055,659 | |||||
2021-B31, 0.886%, 12/15/2054 (f)(k) | 143,664,278 | 7,012,296 | |||||
2021-B31, 1.256%, 12/15/2054 (a)(f)(k) | 31,991,000 | 2,422,026 | |||||
2021-B31, 2.250%, 12/15/2054 (a) | 3,000,000 | 1,701,388 | |||||
2021-B31, 2.615%, 12/15/2054 | 10,000,000 | 8,675,129 | |||||
2022-B32, 1.639%, 01/15/2055 (a)(f)(k) | 39,202,000 | 3,747,731 | |||||
2022-B32, 2.000%, 01/15/2055 (a) | 5,000,000 | 2,659,284 | |||||
2022-B32, 3.528%, 01/15/2055 (f) | 10,000,000 | 8,161,540 | |||||
2022-B33, 1.736%, 03/15/2055 (a)(f)(k) | 21,919,000 | 2,294,518 | |||||
2019-B13, 0.536%, 08/15/2057 (a)(f)(k) | 82,774,000 | 1,827,460 | |||||
2019-B13, 1.637%, 08/15/2057 (a)(f)(k) | 12,071,000 | 944,268 | |||||
BMO Mortgage Trust | |||||||
2022-C1, 1.892%, 02/15/2055 (a)(f)(k) | 30,550,000 | 3,585,928 | |||||
California Housing Finance Agency | |||||||
0.797%, 11/20/2035 (h)(k) | 28,294,324 | 1,598,629 | |||||
2021-3, 0.788%, 08/20/2036 (f)(k) | 25,903,985 | 1,595,168 | |||||
Cantor Commercial Real Estate Lending | |||||||
2019-CF2, 0.748%, 11/15/2052 (f)(k) | 134,736,000 | 4,638,556 | |||||
CCUBS Commercial Mortgage Trust | |||||||
2017-C1, 0.426%, 11/15/2050 (f)(k) | 40,062,667 | 545,990 | |||||
CD Mortgage Trust | |||||||
2017-CD3, 0.714%, 02/10/2050 (f)(k) | 61,857,000 | 1,316,076 | |||||
2018-CD7, 4.213%, 08/15/2051 | 3,236,000 | 3,113,272 | |||||
CGMS Commercial Mortgage Trust | |||||||
2017-B1, 0.296%, 08/15/2050 (f)(k) | 38,016,000 | 317,658 | |||||
Citigroup Commercial Mortgage Trust | |||||||
2013-GC17, 5.252%, 11/10/2046 (f) | 5,000,000 | 4,743,775 | |||||
2014-GC19, 4.805%, 03/11/2047 (f) | 3,030,000 | 2,950,270 | |||||
2014-GC19, 5.258%, 03/11/2047 (f) | 2,882,579 | 2,785,658 | |||||
2016-C1, 4.117%, 05/10/2049 | 3,000,000 | 2,685,067 | |||||
2016-C1, 5.107%, 05/10/2049 (f) | 8,348,000 | 7,462,350 | |||||
2016-P6, 4.302%, 12/10/2049 (f) | 6,835,000 | 6,037,275 | |||||
2017-P7, 0.754%, 04/14/2050 (f)(k) | 45,124,000 | 1,025,935 | |||||
2017-P8, 4.192%, 09/15/2050 | 4,160,000 | 3,682,479 | |||||
2017-P8, 4.405%, 09/15/2050 (f) | 5,000,000 | 4,310,389 | |||||
2017-C4, 0.371%, 10/12/2050 (f)(k) | 42,746,500 | 515,595 | |||||
2017-C4, 1.187%, 10/12/2050 (f)(k) | 28,933,729 | 1,026,994 | |||||
2018-B2, 0.545%, 03/10/2051 (f)(k) | 49,202,000 | 894,635 | |||||
2018-C5, 0.493%, 06/10/2051 (a)(f)(k) | 28,400,000 | 503,347 | |||||
2018-C6, 4.343%, 11/10/2051 | 5,000,000 | 4,836,453 | |||||
2020-GC46, 0.438%, 02/15/2053 (a)(f)(k) | 92,457,000 | 1,966,098 | |||||
2020-GC46, 1.102%, 02/15/2053 (f)(k) | 89,321,570 | 4,502,316 | |||||
2019-GC41, 1.169%, 08/10/2056 (f)(k) | 52,787,945 | 2,484,380 | |||||
2019-GC41, 3.018%, 08/10/2056 | 10,339,000 | 8,685,382 | |||||
2019-C7, 0.411%, 12/15/2072 (a)(f)(k) | 50,711,000 | 895,090 | |||||
2019-C7, 0.995%, 12/15/2072 (f)(k) | 75,965,774 | 3,413,887 | |||||
2019-C7, 1.328%, 12/15/2072 (a)(f)(k) | 39,933,000 | 2,611,674 | |||||
2019-C7, 3.667%, 12/15/2072 (f) | 10,000,000 | 8,358,343 | |||||
COMM Mortgage Trust | |||||||
2014-CR18, 4.456%, 07/15/2047 (f) | 4,550,700 | 4,323,257 | |||||
2013-CR11, 1.064%, 08/10/2050 (f)(k) | 48,793,580 | 189,661 | |||||
2019-GC44, 1.142%, 08/15/2057 (a)(f)(k) | 19,460,000 | 1,108,517 | |||||
CSAIL Commercial Mortgage Trust | |||||||
2016-C5, 1.000%, 11/15/2048 (a)(f)(k) | 46,821,000 | 1,111,034 | |||||
2015-C1, 0.500%, 04/15/2050 (a)(f)(k) | 62,192,000 | 529,366 | |||||
2017-C8, 0.447%, 06/15/2050 (f)(k) | 74,773,000 | 1,010,991 | |||||
2019-C17, 1.496%, 09/15/2052 (f)(k) | 84,842,606 | 5,235,085 | |||||
2019-C18, 1.191%, 12/15/2052 (f)(k) | 90,821,556 | 4,278,858 | |||||
2019-C18, 4.088%, 12/15/2052 (f) | 3,216,000 | 2,564,332 | |||||
Freddie Mac Multifamily Structured Credit Risk | |||||||
2021-MN3, 7.521% (SOFR30A + 4.000%), 11/25/2051 (a)(b) | 7,000,000 | 6,216,953 | |||||
FREMF Mortgage Trust | |||||||
2019-KF62, 5.855% (1 Month LIBOR USD + 2.050%), 04/25/2026 (a)(b) | 1,500,847 | 1,472,556 | |||||
2018-KF48, 5.855% (1 Month LIBOR USD + 2.050%), 06/25/2028 (a)(b) | 4,516,885 | 4,353,977 | |||||
2018-KF50, 5.705% (1 Month LIBOR USD + 1.900%), 07/25/2028 (a)(b) | 2,452,343 | 2,418,912 | |||||
GS Mortgage Securities Corp. II | |||||||
2012-BWTR, 3.255%, 11/05/2034 (a)(e) | 6,608,000 | 5,721,761 | |||||
2018-GS10, 1.555%, 07/10/2051 (a)(f)(k) | 24,049,000 | 1,620,968 | |||||
GS Mortgage Securities Trust | |||||||
2015-GC32, 4.548%, 07/10/2048 (f) | 5,853,000 | 5,479,885 | |||||
2016-GS3, 3.395%, 10/10/2049 (f) | 10,417,000 | 8,884,879 | |||||
2015-GC30, 4.161%, 05/10/2050 (f) | 2,960,000 | 2,733,252 | |||||
2017-GS8, 0.527%, 11/10/2050 (f)(k) | 44,642,000 | 756,302 | |||||
2019-GC38, 1.994%, 02/10/2052 (a)(f)(k) | 20,916,000 | 1,924,021 | |||||
2019-GC39, 0.789%, 05/10/2052 (f)(k) | 69,588,000 | 2,428,788 | |||||
2019-GC39, 1.776%, 05/10/2052 (a)(f)(k) | 8,215,000 | 674,654 | |||||
2019-GSA1, 0.947%, 11/10/2052 (f)(k) | 70,642,670 | 3,024,340 | |||||
2020-GSA2, 1.053%, 12/12/2053 (a)(f)(k) | 73,324,000 | 4,390,304 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust | |||||||
2015-JP1, 4.883%, 01/15/2049 (f) | 7,485,000 | 6,772,985 | |||||
2007-CB20, 0.000%, 02/12/2051 (a)(e)(f)(h)(k) | 190,982 | - | |||||
JPMBB Commercial Mortgage Securities Trust | |||||||
2015-C30, 4.372%, 07/15/2048 (f) | 3,085,000 | 2,836,904 | |||||
2015-C32, 0.500%, 11/15/2048 (a)(f)(k) | 23,066,000 | 263,827 | |||||
JPMCC Commercial Mortgage Securities Trust | |||||||
2017-JP6, 0.705%, 07/15/2050 (f)(k) | 68,830,000 | 1,745,928 | |||||
JPMDB Commercial Mortgage Securities Trust | |||||||
2016-C4, 3.638%, 12/15/2049 (f) | 5,500,000 | 4,718,578 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust | |||||||
2013-C12, 4.482%, 10/15/2046 (f) | 5,000,000 | 4,896,776 | |||||
2015-C27, 4.649%, 12/15/2047 (f) | 3,000,000 | 2,800,597 | |||||
2016-C31, 1.408%, 11/15/2049 (a)(f)(k) | 21,212,500 | 835,486 | |||||
2015-C23, 4.281%, 07/15/2050 (f) | 3,845,000 | 3,554,157 | |||||
2017-C34, 2.700%, 11/15/2052 (a) | 4,953,000 | 3,284,020 | |||||
2017-C34, 4.111%, 11/15/2052 (f) | 5,054,000 | 4,432,754 | |||||
Morgan Stanley Capital I Trust | |||||||
2016-BNK2, 0.658%, 11/15/2049 (f)(k) | 58,680,000 | 1,075,158 | |||||
2017-H1, 2.309%, 06/15/2050 (a)(f)(k) | 8,725,000 | 674,875 | |||||
2017-H1, 4.281%, 06/15/2050 (f) | 5,380,000 | 4,636,649 | |||||
2018-H3, 0.533%, 07/15/2051 (f)(k) | 135,712,000 | 2,463,539 | |||||
2018-H3, 2.025%, 07/15/2051 (a)(f)(k) | 15,363,500 | 1,229,876 | |||||
2018-H3, 4.120%, 07/15/2051 | 5,000,000 | 4,808,155 | |||||
2019-L2, 0.787%, 03/15/2052 (f)(k) | 127,093,000 | 4,299,442 | |||||
2019-H7, 0.806%, 07/15/2052 (f)(k) | 130,723,000 | 4,704,289 | |||||
2019-H7, 3.000%, 07/15/2052 (a) | 2,402,000 | 1,683,944 | |||||
2019-H7, 4.128%, 07/15/2052 | 9,593,000 | 7,671,985 | |||||
2021-L5, 0.837%, 05/15/2054 (f)(k) | 70,387,500 | 3,418,496 | |||||
2021-L5, 2.500%, 05/15/2054 (a) | 3,500,000 | 1,985,534 | |||||
2021-L5, 3.102%, 05/15/2054 | 6,627,000 | 5,035,595 | |||||
2021-L6, 2.250%, 06/15/2054 (f) | 11,900,000 | 10,035,315 | |||||
2021-L6, 2.951%, 06/15/2054 (f) | 7,500,000 | 5,687,927 | |||||
2021-L7, 0.526%, 10/15/2054 (f)(k) | 143,080,000 | 4,377,776 | |||||
2021-L7, 2.336%, 10/15/2054 | 15,100,000 | 12,720,462 | |||||
UBS Commercial Mortgage Trust | |||||||
2017-C1, 1.105%, 06/15/2050 (f)(k) | 13,000,000 | 473,950 | |||||
2017-C7, 0.510%, 12/15/2050 (f)(k) | 170,396,000 | 2,920,536 | |||||
2017-C6, 0.606%, 12/15/2050 (f)(k) | 63,420,500 | 1,524,585 | |||||
2018-C12, 0.340%, 08/15/2051 (f)(k) | 139,858,000 | 2,388,159 | |||||
2018-C12, 0.946%, 08/15/2051 (f)(k) | 45,779,790 | 1,595,856 | |||||
2018-C13, 0.376%, 10/15/2051 (f)(k) | 128,678,000 | 2,304,095 | |||||
2018-C13, 2.138%, 10/15/2051 (a)(f)(k) | 16,442,000 | 1,552,699 | |||||
2018-C13, 4.241%, 10/15/2051 | 3,274,000 | 3,144,201 | |||||
2018-C14, 0.427%, 12/15/2051 (f)(k) | 114,392,000 | 2,037,150 | |||||
2019-C17, 0.993%, 10/15/2052 (f)(k) | 128,213,000 | 6,108,375 | |||||
2019-C18, 2.987%, 12/15/2052 | 4,500,000 | 4,081,959 | |||||
2019-C18, 3.378%, 12/15/2052 (f) | 9,000,000 | 7,650,526 | |||||
Washington State Housing Finance Commission | |||||||
0.726%, 12/20/2035 | 20,791,426 | 1,075,748 | |||||
Wells Fargo Commercial Mortgage Trust | |||||||
2015-NXS1, 3.658%, 05/15/2048 (f) | 1,320,000 | 1,217,652 | |||||
2015-C28, 4.219%, 05/15/2048 (f) | 10,000,000 | 8,936,173 | |||||
2015-C28, 4.219%, 05/15/2048 (f) | 4,376,000 | 3,753,934 | |||||
2016-LC24, 1.125%, 10/15/2049 (f)(k) | 66,264,075 | 2,100,922 | |||||
2016-C37, 3.337%, 12/15/2049 (a)(f) | 3,350,000 | 2,545,406 | |||||
2016-C37, 4.637%, 12/15/2049 (f) | 7,213,000 | 6,380,378 | |||||
2017-RB1, 0.881%, 03/15/2050 (f)(k) | 69,254,209 | 1,895,675 | |||||
2017-C42, 0.465%, 12/15/2050 (f)(k) | 116,750,000 | 1,855,706 | |||||
2018-C48, 0.376%, 01/15/2052 (f)(k) | 138,642,000 | 2,102,035 | |||||
2018-C48, 4.245%, 01/15/2052 | 7,000,000 | 6,744,275 | |||||
2019-C49, 0.773%, 03/15/2052 (f)(k) | 125,812,000 | 4,172,568 | |||||
2019-C49, 3.933%, 03/15/2052 | 5,000,000 | 4,773,798 | |||||
2019-C49, 4.546%, 03/15/2052 | 4,647,000 | 4,109,563 | |||||
2019-C50, 1.055%, 05/15/2052 (f)(k) | 36,427,311 | 1,708,955 | |||||
2019-C51, 0.824%, 06/15/2052 (f)(k) | 130,394,000 | 4,644,034 | |||||
2019-C52, 1.256%, 08/15/2052 (f)(k) | 113,763,146 | 6,679,398 | |||||
2019-C52, 1.750%, 08/15/2052 (f)(k) | 57,584,987 | 4,157,809 | |||||
2019-C53, 0.581%, 10/15/2052 (f)(k) | 105,325,000 | 2,964,362 | |||||
2019-C53, 3.514%, 10/15/2052 (f) | 5,200,000 | 4,160,854 | |||||
2020-C55, 0.946%, 02/15/2053 (f)(k) | 58,030,370 | 2,693,439 | |||||
2020-C56, 0.371%, 06/15/2053 (f)(k) | 127,035,000 | 2,299,384 | |||||
2020-C56, 2.422%, 06/15/2053 | 2,250,000 | 1,985,339 | |||||
2020-C58, 1.252%, 07/15/2053 (f)(k) | 109,974,000 | 7,622,870 | |||||
2020-C57, 0.812%, 08/15/2053 (f)(k) | 74,972,000 | 3,338,571 | |||||
2020-C57, 1.914%, 08/15/2053 | 7,250,000 | 6,226,871 | |||||
2021-C59, 1.039%, 04/15/2054 (f)(k) | 65,782,000 | 3,831,492 | |||||
2021-C59, 1.582%, 04/15/2054 (a)(f)(k) | 40,274,000 | 3,575,626 | |||||
2021-C59, 3.284%, 04/15/2054 | 7,648,000 | 5,627,986 | |||||
2021-C60, 1.225%, 08/15/2054 (f)(k) | 40,551,000 | 3,047,546 | |||||
2021-C60, 1.672%, 08/15/2054 (f)(k) | 41,295,410 | 3,705,239 | |||||
2021-C60, 2.730%, 08/15/2054 | 6,814,678 | 5,069,996 | |||||
2021-C60, 2.738%, 08/15/2054 | 3,000,000 | 2,088,700 | |||||
2021-C61, 1.520%, 11/15/2054 (a)(f)(k) | 9,132,000 | 828,397 | |||||
2021-C61, 2.525%, 11/15/2054 | 15,000,000 | 12,765,670 | |||||
2021-C61, 3.113%, 11/15/2054 | 4,221,000 | 3,243,417 | |||||
2015-C30, 4.400%, 09/15/2058 (f) | 5,800,000 | 5,360,345 | |||||
2018-C47, 0.279%, 09/15/2061 (f)(k) | 164,144,000 | 1,534,960 | |||||
2018-C47, 4.673%, 09/15/2061 (f) | 8,000,000 | 7,466,184 | |||||
WFRBS Commercial Mortgage Trust | |||||||
2013-UBS1, 5.192%, 03/15/2046 (f) | 7,500,000 | 7,313,305 | |||||
TOTAL NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $1,145,280,986) | 910,194,659 | ||||||
AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES - 8.48% | |||||||
California Housing Finance Agency | |||||||
2021-2, 0.844%, 03/25/2035 (f)(k) | 32,041,799 | 1,827,344 | |||||
Freddie Mac Multiclass Certificates Series | |||||||
2021-RR17, 2.038%, 08/27/2027 (f)(k) | 70,015,000 | 5,013,823 | |||||
2020-RR09, 2.676%, 08/27/2029 (f)(k) | 42,360,000 | 5,165,950 | |||||
Freddie Mac Multifamily ML Certificates | |||||||
2020-ML07, 2.015%, 10/25/2036 (a)(f)(k) | 24,990,823 | 4,042,016 | |||||
2019-ML06, 1.132%, 06/25/2037 (f)(k) | 10,757,430 | 951,280 | |||||
2021-ML08, 1.869%, 07/25/2037 (f)(k) | 33,098,216 | 4,990,218 | |||||
2021-ML10, 2.126%, 01/25/2038 (f)(k) | 14,288,932 | 2,512,137 | |||||
2021-ML11, 0.771%, 03/25/2038 (a)(f)(k) | 34,315,424 | 2,013,972 | |||||
2021-ML10, 1.578%, 06/25/2038 (f)(k) | 15,165,540 | 1,961,359 | |||||
2021-ML09, 1.552%, 02/25/2040 (a)(f)(k) | 44,046,100 | 5,854,608 | |||||
2021-ML12, 1.300%, 07/25/2041 (f)(k) | 18,122,650 | 1,735,062 | |||||
Freddie Mac Multifamily Structured Pass Through Certificates | |||||||
K723, 1.036%, 08/25/2023 (f)(k) | 62,330,514 | 258,971 | |||||
K723, 0.963%, 09/25/2023 (f)(k) | 61,645,000 | 336,995 | |||||
K728, 0.504%, 08/25/2024 (f)(k) | 57,172,915 | 369,789 | |||||
K729, 0.466%, 10/25/2024 (f)(k) | 46,812,190 | 225,766 | |||||
K042, 1.154%, 12/25/2024 (f)(k) | 112,835,240 | 1,839,756 | |||||
K046, 0.462%, 03/25/2025 (f)(k) | 433,143,186 | 3,001,206 | |||||
K049, 0.694%, 07/25/2025 (f)(k) | 89,465,874 | 1,085,928 | |||||
K734, 0.785%, 02/25/2026 (f)(k) | 64,230,131 | 1,049,193 | |||||
K735, 1.094%, 05/25/2026 (f)(k) | 58,696,515 | 1,563,247 | |||||
K735, 1.501%, 05/25/2026 (f)(k) | 70,547,000 | 2,887,122 | |||||
K737, 1.121%, 10/25/2026 (f)(k) | 20,050,000 | 681,133 | |||||
K061, 0.183%, 11/25/2026 (f)(k) | 72,512,000 | 255,641 | |||||
K062, 0.305%, 12/25/2026 (f)(k) | 79,423,000 | 615,616 | |||||
K063, 0.416%, 01/25/2027 (f)(k) | 368,730,952 | 3,536,941 | |||||
K064, 0.738%, 03/25/2027 (f)(k) | 123,937,232 | 2,685,137 | |||||
K738, 1.482%, 03/25/2027 (f)(k) | 24,099,000 | 1,207,820 | |||||
K065, 0.693%, 05/25/2027 (f)(k) | 57,193,000 | 1,266,030 | |||||
K066, 0.888%, 06/25/2027 (f)(k) | 31,300,377 | 857,139 | |||||
KW03, 0.972%, 06/25/2027 (f)(k) | 14,979,217 | 386,446 | |||||
K067, 0.710%, 07/25/2027 (f)(k) | 40,049,636 | 883,595 | |||||
K068, 0.557%, 08/25/2027 (f)(k) | 102,181,774 | 1,738,664 | |||||
K069, 0.477%, 09/25/2027 (f)(k) | 28,780,419 | 424,744 | |||||
K739, 1.666%, 09/25/2027 (f)(k) | 32,621,072 | 2,041,613 | |||||
K072, 0.494%, 12/25/2027 (f)(k) | 60,419,444 | 944,283 | |||||
K073, 0.336%, 01/25/2028 (f)(k) | 54,203,000 | 593,230 | |||||
K073, 0.436%, 01/25/2028 (f)(k) | 155,346,537 | 2,224,718 | |||||
K742, 1.016%, 04/25/2028 (f)(k) | 89,849,000 | 3,866,786 | |||||
K743, 1.391%, 05/25/2028 (f)(k) | 99,488,000 | 6,003,464 | |||||
KW06, 0.247%, 06/25/2028 (f)(k) | 574,282,158 | 3,903,453 | |||||
K080, 0.265%, 07/25/2028 (f)(k) | 427,696,869 | 3,300,195 | |||||
K081, 0.217%, 08/25/2028 (f)(k) | 153,845,029 | 848,271 | |||||
K084, 0.333%, 10/25/2028 (f)(k) | 337,061,875 | 4,031,294 | |||||
K747, 0.486%, 12/25/2028 (f)(k) | 160,000,000 | 3,354,640 | |||||
K089, 0.600%, 01/25/2029 (f)(k) | 53,965,000 | 1,392,070 | |||||
K748, 0.638%, 01/25/2029 (f)(k) | 175,000,000 | 5,180,718 | |||||
K091, 0.635%, 03/25/2029 (f)(k) | 53,659,000 | 1,481,638 | |||||
K090, 0.771%, 03/25/2029 (f)(k) | 50,517,000 | 1,746,241 | |||||
KW09, 0.942%, 05/25/2029 (f)(k) | 63,012,321 | 2,438,665 | |||||
K093, 1.093%, 05/25/2029 (f)(k) | 54,380,166 | 2,637,808 | |||||
K094, 1.015%, 06/25/2029 (f)(k) | 195,335,070 | 8,952,226 | |||||
K097, 1.220%, 07/25/2029 (f) | 72,736,824 | 4,213,892 | |||||
KG02, 1.148%, 08/25/2029 (f)(k) | 31,981,124 | 1,641,697 | |||||
K098, 1.268%, 08/25/2029 (f)(k) | 61,860,579 | 3,748,695 | |||||
K098, 1.517%, 08/25/2029 (f)(k) | 24,691,000 | 1,902,244 | |||||
K099, 1.003%, 09/25/2029 (f)(k) | 210,301,858 | 10,004,522 | |||||
K100, 1.035%, 09/25/2029 (f)(k) | 62,086,000 | 3,273,186 | |||||
K102, 0.945%, 10/25/2029 (f)(k) | 165,346,317 | 7,479,341 | |||||
K101, 1.206%, 10/25/2029 (f)(k) | 65,686,000 | 4,102,557 | |||||
K103, 0.758%, 11/25/2029 (f)(k) | 125,198,162 | 4,496,166 | |||||
K105, 1.889%, 01/25/2030 (f)(k) | 64,122,000 | 6,573,210 | |||||
K107, 1.666%, 02/25/2030 (f)(k) | 118,898,000 | 10,631,455 | |||||
K108, 1.780%, 03/25/2030 (f)(k) | 70,601,000 | 6,944,773 | |||||
K108, 1.810%, 03/25/2030 (f)(k) | 16,043,362 | 1,535,308 | |||||
K110, 1.814%, 04/25/2030 (f)(k) | 29,892,062 | 2,775,711 | |||||
K112, 1.537%, 05/25/2030 (f)(k) | 96,355,290 | 7,970,770 | |||||
K111, 1.681%, 05/25/2030 (f)(k) | 108,791,826 | 9,759,475 | |||||
K112, 1.768%, 05/25/2030 (f)(k) | 44,272,000 | 4,436,209 | |||||
K114, 1.211%, 06/25/2030 (f)(k) | 136,240,592 | 8,927,737 | |||||
K115, 1.428%, 06/25/2030 (f)(k) | 54,084,506 | 4,170,245 | |||||
K114, 1.436%, 06/25/2030 (f)(k) | 54,977,000 | 4,519,725 | |||||
KG03, 1.482%, 06/25/2030 (f)(k) | 15,564,905 | 1,219,103 | |||||
K113, 1.483%, 06/25/2030 (f)(k) | 91,306,542 | 7,347,264 | |||||
K115, 1.649%, 07/25/2030 (f)(k) | 40,865,759 | 3,865,545 | |||||
K116, 1.704%, 08/25/2030 (f)(k) | 23,000,000 | 2,289,167 | |||||
K118, 1.052%, 09/25/2030 (f)(k) | 120,631,448 | 6,866,149 | |||||
K118, 1.263%, 09/25/2030 (f)(k) | 35,916,184 | 2,629,607 | |||||
K121, 1.120%, 10/25/2030 (f)(k) | 48,858,731 | 2,930,122 | |||||
K119, 1.229%, 10/25/2030 (f)(k) | 51,000,000 | 3,639,987 | |||||
KG04, 0.939%, 11/25/2030 (f)(k) | 111,060,759 | 5,676,082 | |||||
K122, 0.973%, 11/25/2030 (f)(k) | 111,859,895 | 5,911,896 | |||||
K122, 1.172%, 11/25/2030 (f)(k) | 35,211,000 | 2,432,717 | |||||
K121, 1.290%, 11/25/2030 (f)(k) | 49,550,000 | 3,752,669 | |||||
K123, 1.068%, 12/25/2030 (f)(k) | 108,000,000 | 6,782,767 | |||||
K125, 0.675%, 01/25/2031 (f)(k) | 179,796,362 | 6,442,823 | |||||
K125, 0.873%, 01/25/2031 (f)(k) | 103,992,000 | 5,290,988 | |||||
K124, 1.027%, 01/25/2031 (f)(k) | 89,626,000 | 5,446,644 | |||||
K1502, 1.101%, 01/25/2031 (f)(k) | 29,645,512 | 1,633,346 | |||||
K127, 0.594%, 02/25/2031 (f)(k) | 186,332,000 | 6,242,439 | |||||
K128, 0.613%, 03/25/2031 (f)(k) | 153,984,188 | 5,037,685 | |||||
K128, 0.829%, 03/25/2031 (f)(k) | 37,700,000 | 1,850,003 | |||||
K129, 1.160%, 05/25/2031 (f)(k) | 70,301,999 | 4,474,272 | |||||
K129, 1.334%, 05/25/2031 (f)(k) | 31,700,000 | 2,562,875 | |||||
K130, 1.144%, 06/25/2031 (f)(k) | 122,726,448 | 8,279,838 | |||||
K131, 0.830%, 07/25/2031 (f)(k) | 135,613,147 | 6,634,548 | |||||
K130, 1.321%, 07/25/2031 (f)(k) | 43,372,188 | 3,609,824 | |||||
K138, 0.794%, 01/25/2032 (f)(k) | 195,000,000 | 9,908,828 | |||||
K141, 0.407%, 02/25/2032 (f)(k) | 162,760,277 | 3,867,184 | |||||
K141, 0.426%, 02/25/2032 (f)(k) | 195,000,000 | 4,921,664 | |||||
K-149, 0.403%, 08/25/2032 (f)(k) | 83,325,171 | 1,963,983 | |||||
K155, 0.259%, 04/25/2033 (f)(k) | 244,797,691 | 2,941,269 | |||||
K1511, 0.928%, 03/25/2034 (f)(k) | 131,829,489 | 7,687,333 | |||||
K1512, 1.053%, 04/25/2034 (f)(k) | 47,482,085 | 3,198,051 | |||||
K1513, 0.994%, 08/25/2034 (f)(k) | 75,903,031 | 4,887,131 | |||||
K1514, 0.700%, 10/25/2034 (f)(k) | 80,398,225 | 3,859,115 | |||||
K1515, 1.637%, 02/25/2035 (f)(k) | 78,649,636 | 9,468,693 | |||||
K1516, 1.629%, 05/25/2035 (f)(k) | 41,747,551 | 5,055,570 | |||||
K1517, 1.436%, 07/25/2035 (f)(k) | 80,254,380 | 8,560,012 | |||||
K1521, 1.095%, 08/25/2036 (f)(k) | 95,883,247 | 8,086,783 | |||||
K097, 1.480%, 09/25/2051 (f)(k) | 66,115,000 | 4,931,954 | |||||
TOTAL AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $463,223,774) | 419,458,809 | ||||||
MUNICIPAL BONDS - 22.80% | |||||||
Alabama - 0.01% | |||||||
Baldwin County Public Building Authority | |||||||
2.000%, 03/01/2046 | 1,070,000 | 664,837 | |||||
Alaska - 0.18% | |||||||
Alaska Municipal Bond Bank Authority | |||||||
2.122%, 12/01/2031 | 7,710,000 | 6,255,422 | |||||
Municipality of Anchorage, AK | |||||||
1.896%, 09/01/2028 | 1,685,000 | 1,444,824 | |||||
1.896%, 09/01/2028 | 1,525,000 | 1,308,558 | |||||
9,008,804 | |||||||
Arizona - 0.24% | |||||||
City of Tucson, AZ | |||||||
2.232%, 07/01/2034 | 11,605,000 | 8,748,874 | |||||
Glendale Municipal Property Corp. | |||||||
6.157%, 07/01/2033 | 3,050,000 | 3,296,291 | |||||
12,045,165 | |||||||
California - 5.68% | |||||||
Alvord Unified School District | |||||||
0.000%, 08/01/2046 (h) | 1,975,000 | 2,087,337 | |||||
California Earthquake Authority | |||||||
5.603%, 07/01/2027 | 5,000,000 | 5,032,387 | |||||
California State University | |||||||
2.534%, 11/01/2033 | 4,265,000 | 3,396,626 | |||||
California Statewide Communities Development Authority | |||||||
6.076%, 06/01/2034 | 10,000,000 | 10,253,133 | |||||
Chaffey Joint Union High School District | |||||||
3.143%, 08/01/2043 | 3,790,000 | 2,793,819 | |||||
City of Chula Vista, CA | |||||||
1.728%, 06/01/2030 | 2,235,000 | 1,758,423 | |||||
1.828%, 06/01/2031 | 2,000,000 | 1,531,351 | |||||
City of Corona, CA | |||||||
1.863%, 05/01/2028 | 4,515,000 | 3,850,484 | |||||
City of Huntington Beach, CA | |||||||
2.453%, 06/15/2031 | 4,000,000 | 3,205,632 | |||||
City of Industry, CA | |||||||
4.000%, 01/01/2028 | 2,885,000 | 2,824,214 | |||||
City of Los Angeles Department of Airports | |||||||
1.876%, 05/15/2030 | 2,000,000 | 1,613,042 | |||||
6.582%, 05/15/2039 | 5,085,000 | 5,633,093 | |||||
City of Montebello, CA | |||||||
3.393%, 06/01/2032 | 2,825,000 | 2,390,281 | |||||
City of Ontario, CA | |||||||
3.779%, 06/01/2038 | 3,000,000 | 2,616,945 | |||||
City of Orange, CA | |||||||
2.220%, 06/01/2030 | 7,500,000 | 6,323,860 | |||||
2.270%, 06/01/2031 | 12,370,000 | 10,209,458 | |||||
City of Sacramento, CA Transient Occupancy Tax Revenue | |||||||
3.858%, 06/01/2025 | 3,320,000 | 3,251,864 | |||||
City of San Francisco, CA Public Utilities Commission Water Revenue | |||||||
2.845%, 11/01/2041 | 2,000,000 | 1,461,159 | |||||
City of Santa Ana, CA | |||||||
1.665%, 08/01/2028 | 5,500,000 | 4,573,345 | |||||
1.869%, 08/01/2029 | 4,430,000 | 3,609,127 | |||||
2.089%, 08/01/2030 | 1,980,000 | 1,587,644 | |||||
City of South Lake Tahoe, CA | |||||||
4.000%, 06/01/2027 | 1,600,000 | 1,550,269 | |||||
City of Union City, CA | |||||||
0.000%, 07/01/2025 (h) | 2,105,000 | 1,858,796 | |||||
City of Whittier, CA | |||||||
1.566%, 06/01/2028 | 1,085,000 | 906,631 | |||||
1.724%, 06/01/2029 | 1,685,000 | 1,374,929 | |||||
Coachella Valley Unified School District, CA | |||||||
0.000%, 08/01/2034 (h) | 1,100,000 | 695,601 | |||||
Coast Community College District | |||||||
2.957%, 08/01/2038 | 15,000,000 | 11,419,230 | |||||
County of San Diego, CA | |||||||
6.029%, 08/15/2026 | 590,000 | 601,712 | |||||
County of Santa Cruz, CA | |||||||
1.444%, 06/01/2028 | 3,385,000 | 2,886,770 | |||||
1.661%, 06/01/2029 | 2,965,000 | 2,484,027 | |||||
1.811%, 06/01/2030 | 3,900,000 | 3,203,965 | |||||
East Side Union High School District | |||||||
5.320%, 04/01/2036 | 6,765,000 | 6,756,726 | |||||
Fullerton Public Financing Authority | |||||||
7.750%, 05/01/2031 | 1,265,000 | 1,409,436 | |||||
Gateway Unified School District, CA | |||||||
0.000%, 08/01/2033 (h) | 2,315,000 | 1,531,605 | |||||
0.000%, 08/01/2035 (h) | 2,315,000 | 1,384,176 | |||||
0.000%, 08/01/2036 (h) | 2,315,000 | 1,313,239 | |||||
Golden State Tobacco Securitization Corp. | |||||||
2.787%, 06/01/2031 | 15,930,000 | 12,879,056 | |||||
3.000%, 06/01/2046 | 12,145,000 | 11,242,967 | |||||
Hercules Redevelopment Agency Successor Agency | |||||||
4.913%, 08/01/2033 | 5,460,000 | 5,343,723 | |||||
Inland Empire Tobacco Securitization Corp. | |||||||
3.678%, 06/01/2038 | 14,415,000 | 13,501,803 | |||||
Northern California Power Agency | |||||||
5.679%, 06/01/2035 | 9,765,000 | 10,203,405 | |||||
Norwalk-La Mirada Unified School District | |||||||
0.000%, 08/01/2038 (h) | 4,400,000 | 2,205,452 | |||||
Pasadena Unified School District | |||||||
2.881%, 05/01/2037 | 6,030,000 | 4,798,395 | |||||
Peralta Community College District | |||||||
0.000%, 08/05/2031 (h) | 12,350,000 | 10,737,609 | |||||
Placentia-Yorba Linda Unified School District | |||||||
0.000%, 08/01/2035 (h) | 7,600,000 | 4,658,413 | |||||
San Diego Unified School District | |||||||
0.000%, 07/01/2036 (h) | 7,895,000 | 4,730,161 | |||||
San Francisco City & County Redevelopment Agency Successor Agency | |||||||
2.743%, 08/01/2032 | 5,000,000 | 4,122,949 | |||||
San Francisco City & County Redevelopment Financing Authority | |||||||
0.000%, 08/01/2036 (h) | 5,240,000 | 2,567,560 | |||||
5.750%, 08/01/2037 | 19,400,000 | 20,313,643 | |||||
8.406%, 08/01/2039 | 4,820,000 | 6,093,532 | |||||
Santa Ana Unified School District | |||||||
0.000%, 08/01/2037 (h) | 3,955,000 | 2,127,697 | |||||
State of California | |||||||
7.550%, 04/01/2039 | 28,000,000 | 36,054,715 | |||||
West Contra Costa Unified School District | |||||||
0.000%, 08/01/2036 (h) | 5,000,000 | 2,925,086 | |||||
West Sonoma County Union High School District | |||||||
0.000%, 08/01/2037 (h) | 1,840,000 | 995,578 | |||||
William S. Hart Union High School District | |||||||
0.000%, 08/01/2036 (h) | 1,050,000 | 629,269 | |||||
Yosemite Community College District | |||||||
0.000%, 08/01/2038 (h) | 6,110,000 | 3,123,232 | |||||
Yuba Community College District | |||||||
0.000%, 08/01/2038 (h) | 5,055,000 | 2,644,087 | |||||
281,278,668 | |||||||
Colorado - 0.42% | |||||||
Board of Governors of Colorado State University System | |||||||
2.644%, 03/01/2034 | 6,275,000 | 5,012,476 | |||||
City of Fruita, CO Healthcare Revenue | |||||||
5.000%, 01/01/2028 | 2,650,000 | 2,526,099 | |||||
Colorado Health Facilities Authority | |||||||
3.696%, 11/01/2039 | 4,825,000 | 3,962,895 | |||||
3.796%, 11/01/2044 | 11,815,000 | 9,364,226 | |||||
20,865,696 | |||||||
Connecticut - 0.23% | |||||||
State of Connecticut | |||||||
3.000%, 01/15/2037 | 7,075,000 | 6,230,051 | |||||
Town of West Hartford, CT | |||||||
2.764%, 07/01/2041 | 7,025,000 | 5,167,143 | |||||
11,397,194 | |||||||
District of Columbia - 0.27% | |||||||
Metropolitan Washington Airports Authority Dulles Toll Road Revenue | |||||||
8.000%, 10/01/2047 | 10,310,000 | 13,505,492 | |||||
Florida - 1.43% | |||||||
City of Gainesville, FL | |||||||
0.000%, 10/01/2027 (h) | 4,610,000 | 3,567,601 | |||||
0.000%, 10/01/2028 (h) | 1,400,000 | 1,023,824 | |||||
County of Miami-Dade Seaport Department | |||||||
2.162%, 10/01/2032 | 4,000,000 | 3,077,494 | |||||
County of Miami-Dade, FL Seaport Department | |||||||
1.962%, 10/01/2031 | 4,235,000 | 3,334,431 | |||||
2.012%, 10/01/2031 | 6,940,000 | 5,424,734 | |||||
County of Miami-Dade, FL Transit System | |||||||
1.650%, 07/01/2030 | 6,095,000 | 4,864,423 | |||||
Florida Development Finance Corp. | |||||||
7.375%, 01/01/2049 (a) | 7,000,000 | 6,242,055 | |||||
JEA Water & Sewer System Revenue | |||||||
3.000%, 10/01/2041 | 5,045,000 | 4,205,446 | |||||
Reedy Creek Improvement District | |||||||
2.497%, 06/01/2034 | 4,500,000 | 3,300,708 | |||||
2.547%, 06/01/2035 | 4,500,000 | 3,226,474 | |||||
2.731%, 06/01/2038 | 18,500,000 | 12,866,295 | |||||
State Board of Administration Finance Corp. | |||||||
2.154%, 07/01/2030 | 15,537,000 | 12,554,620 | |||||
Tampa-Hillsborough County Expressway Authority | |||||||
1.892%, 07/01/2029 | 4,750,000 | 3,875,612 | |||||
1.942%, 07/01/2030 | 4,305,000 | 3,419,851 | |||||
70,983,568 | |||||||
Georgia - 0.24% | |||||||
Municipal Electric Authority of Georgia | |||||||
2.497%, 01/01/2031 | 10,355,000 | 8,306,075 | |||||
Valdosta & Lowndes County Hospital Authority | |||||||
2.604%, 10/01/2030 | 2,000,000 | 1,669,445 | |||||
3.000%, 10/01/2029 | 2,000,000 | 1,752,401 | |||||
11,727,921 | |||||||
Hawaii - 0.04% | |||||||
State of Hawaii | |||||||
2.532%, 10/01/2036 | 2,500,000 | 1,883,791 | |||||
Illinois - 0.35% | |||||||
Chicago O'Hare International Airport | |||||||
2.446%, 01/01/2031 | 8,500,000 | 6,985,625 | |||||
Illinois Finance Authority | |||||||
3.510%, 05/15/2041 | 7,000,000 | 4,784,664 | |||||
Metropolitan Pier & Exposition Authority | |||||||
0.000%, 12/15/2036 (h) | 5,000,000 | 2,600,641 | |||||
State of Illinois | |||||||
5.750%, 01/01/2037 | 3,000,000 | 3,007,631 | |||||
17,378,561 | |||||||
Indiana - 0.20% | |||||||
Indiana Finance Authority | |||||||
4.807%, 07/15/2035 | 3,000,000 | 2,882,426 | |||||
Indianapolis Local Public Improvement Bond Bank | |||||||
2.473%, 01/01/2040 | 9,500,000 | 6,861,924 | |||||
9,744,350 | |||||||
Kansas - 0.04% | |||||||
Kansas Development Finance Authority | |||||||
4.927%, 04/15/2045 | 2,005,000 | 1,903,154 | |||||
Kentucky - 0.21% | |||||||
County of Warren, KY | |||||||
3.921%, 12/01/2031 | 825,000 | 770,318 | |||||
4.397%, 12/01/2038 | 1,540,000 | 1,411,483 | |||||
Kentucky State Property & Building Commission | |||||||
2.123%, 09/01/2030 | 2,755,000 | 2,198,314 | |||||
2.223%, 09/01/2031 | 3,350,000 | 2,609,959 | |||||
Louisville and Jefferson County Metropolitan Sewer District | |||||||
2.250%, 05/15/2044 | 4,880,000 | 3,356,118 | |||||
10,346,192 | |||||||
Louisiana - 0.73% | |||||||
City of New Orleans LA Water System Revenue | |||||||
2.889%, 12/01/2041 | 2,530,000 | 1,724,521 | |||||
City of New Orleans, LA | |||||||
2.220%, 09/01/2029 | 6,400,000 | 5,408,561 | |||||
City of New Orleans, LA Sewerage Service Revenue | |||||||
1.791%, 06/01/2030 | 1,000,000 | 790,723 | |||||
1.891%, 06/01/2031 | 1,575,000 | 1,215,293 | |||||
City of New Orleans, LA Water System Revenue | |||||||
1.691%, 12/01/2029 | 1,800,000 | 1,436,751 | |||||
1.841%, 12/01/2030 | 3,120,000 | 2,436,127 | |||||
1.941%, 12/01/2031 | 1,635,000 | 1,247,317 | |||||
East Baton Rouge Sewerage Commission | |||||||
2.437%, 02/01/2039 | 2,500,000 | 1,665,243 | |||||
State of Louisiana | |||||||
1.792%, 06/15/2033 | 1,900,000 | 1,362,878 | |||||
State of Louisiana Gasoline & Fuels Tax Revenue | |||||||
2.230%, 05/01/2036 | 8,000,000 | 5,860,076 | |||||
2.530%, 05/01/2041 | 10,445,000 | 7,342,564 | |||||
2.830%, 05/01/2043 | 8,135,000 | 5,651,693 | |||||
36,141,747 | |||||||
Maine - 0.20% | |||||||
Maine Health & Higher Educational Facilities Authority | |||||||
3.118%, 07/01/2043 | 14,250,000 | 9,788,852 | |||||
Maryland - 0.14% | |||||||
Maryland Stadium Authority | |||||||
2.805%, 05/01/2040 | 7,000,000 | 5,177,941 | |||||
State of Maryland Department of Transportation | |||||||
1.686%, 08/01/2030 | 2,110,000 | 1,652,590 | |||||
6,830,531 | |||||||
Massachusetts - 0.19% | |||||||
City of Worcester, MA | |||||||
6.250%, 01/01/2028 | 2,875,000 | 2,984,512 | |||||
Commonwealth of Massachusetts | |||||||
2.375%, 09/01/2043 | 3,250,000 | 2,374,324 | |||||
Commonwealth of Massachusetts Transportation Fund Revenue | |||||||
5.631%, 06/01/2030 | 1,050,000 | 1,091,945 | |||||
Massachusetts Educational Financing Authority | |||||||
3.455%, 07/01/2028 | 2,000,000 | 1,814,767 | |||||
3.831%, 07/01/2024 | 450,000 | 442,986 | |||||
Massachusetts State College Building Authority | |||||||
5.932%, 05/01/2040 | 550,000 | 571,897 | |||||
9,280,431 | |||||||
Michigan - 1.06% | |||||||
City of Detroit, MI | |||||||
4.000%, 04/01/2044 | 8,700,000 | 6,405,451 | |||||
Detroit City School District | |||||||
7.747%, 05/01/2039 | 10,425,000 | 12,289,505 | |||||
Great Lakes Water Authority Sewage Disposal System Revenue | |||||||
2.615%, 07/01/2036 | 1,000,000 | 749,322 | |||||
3.056%, 07/01/2039 | 13,975,000 | 10,635,586 | |||||
Michigan Finance Authority | |||||||
3.084%, 12/01/2034 | 5,095,000 | 4,279,584 | |||||
3.267%, 06/01/2039 | 19,000,000 | 15,535,432 | |||||
3.610%, 11/01/2032 | 3,000,000 | 2,674,420 | |||||
52,569,300 | |||||||
Minnesota - 0.42% | |||||||
Western Minnesota Municipal Power Agency | |||||||
3.156%, 01/01/2039 | 17,500,000 | 13,878,055 | |||||
White Bear Lake Independent School District No. 624 | |||||||
3.000%, 02/01/2044 | 8,330,000 | 6,758,592 | |||||
20,636,647 | |||||||
Mississippi - 0.11% | |||||||
Mississippi Development Bank | |||||||
5.460%, 10/01/2036 | 5,260,000 | 5,427,475 | |||||
Missouri - 0.14% | |||||||
Kansas City Land Clearance Redevelopment Authority | |||||||
6.400%, 10/15/2040 (a) | 7,950,000 | 7,091,613 | |||||
Nebraska - 0.04% | |||||||
District Energy Corp. | |||||||
2.390%, 07/01/2036 | 2,830,000 | 2,168,495 | |||||
Nevada - 0.29% | |||||||
City of North Las Vegas, NV | |||||||
6.572%, 06/01/2040 | 12,655,000 | 14,328,414 | |||||
New Hampshire - 0.07% | |||||||
New Hampshire Business Finance Authority | |||||||
3.278%, 10/01/2037 | 4,895,000 | 3,323,147 | |||||
New Jersey - 1.44% | |||||||
City of Newark, NJ | |||||||
4.100%, 11/01/2028 | 2,830,000 | 2,778,382 | |||||
Clifton Board Of Education | |||||||
2.125%, 08/15/2044 | 4,560,000 | 3,110,734 | |||||
County of Essex, NJ | |||||||
2.000%, 09/01/2044 | 3,560,000 | 2,248,705 | |||||
Mercer County Improvement Authority | |||||||
8.270%, 12/01/2034 | 14,455,000 | 17,389,935 | |||||
New Jersey Economic Development Authority | |||||||
0.000%, 02/15/2025 (h) | 20,188,000 | 18,080,345 | |||||
7.425%, 02/15/2029 | 10,000,000 | 10,819,922 | |||||
New Jersey Institute of Technology | |||||||
3.323%, 07/01/2024 | 1,540,000 | 1,513,845 | |||||
3.415%, 07/01/2042 | 6,455,000 | 4,871,140 | |||||
New Jersey Turnpike Authority | |||||||
2.113%, 01/01/2033 | 6,250,000 | 4,821,664 | |||||
7.102%, 01/01/2041 | 4,500,000 | 5,514,091 | |||||
71,148,763 | |||||||
New York - 1.14% | |||||||
New York City Industrial Development Agency | |||||||
2.436%, 01/01/2036 | 5,850,000 | 4,071,691 | |||||
New York City Transitional Finance Authority Future Tax Secured Revenue | |||||||
4.200%, 11/01/2030 | 20,000,000 | 19,039,802 | |||||
New York Liberty Development Corp. | |||||||
2.250%, 02/15/2041 | 13,595,000 | 9,450,596 | |||||
3.000%, 02/15/2042 | 5,500,000 | 4,289,438 | |||||
3.000%, 09/15/2043 | 12,500,000 | 10,226,956 | |||||
New York State Dormitory Authority | |||||||
2.746%, 07/01/2030 | 6,430,000 | 5,449,277 | |||||
5.096%, 08/01/2034 | 3,125,000 | 2,933,553 | |||||
Western Nassau County Water Authority | |||||||
2.958%, 04/01/2041 | 1,500,000 | 1,097,861 | |||||
56,559,174 | |||||||
Ohio - 1.14% | |||||||
American Municipal Power, Inc. | |||||||
7.499%, 02/15/2050 | 4,480,000 | 5,416,297 | |||||
7.834%, 02/15/2041 | 7,890,000 | 9,618,004 | |||||
County of Hamilton, OH | |||||||
3.374%, 06/01/2034 | 285,000 | 237,626 | |||||
3.756%, 06/01/2042 | 8,700,000 | 6,784,241 | |||||
Franklin County Convention Facilities Authority | |||||||
2.022%, 12/01/2030 | 5,485,000 | 4,530,151 | |||||
2.472%, 12/01/2034 | 22,100,000 | 17,478,081 | |||||
JobsOhio Beverage System | |||||||
2.833%, 01/01/2038 | 7,540,000 | 5,910,712 | |||||
Ohio Higher Educational Facility Commission | |||||||
4.500%, 12/01/2026 | 4,025,000 | 3,861,593 | |||||
South-Western City School District | |||||||
0.000%, 12/01/2028 (h) | 2,735,000 | 2,054,004 | |||||
Sycamore Community City School District | |||||||
5.850%, 12/01/2028 | 605,000 | 646,569 | |||||
56,537,278 | |||||||
Oklahoma - 0.82% | |||||||
Oklahoma City Economic Development Trust | |||||||
1.891%, 03/01/2031 | 1,545,000 | 1,236,704 | |||||
Oklahoma Development Finance Authority | |||||||
4.623%, 06/01/2044 | 5,000,000 | 4,742,710 | |||||
5.269%, 10/01/2042 | 10,000,000 | 10,286,670 | |||||
5.450%, 08/15/2028 | 5,520,000 | 4,854,089 | |||||
Oklahoma Municipal Power Authority | |||||||
2.431%, 01/01/2034 | 3,870,000 | 3,082,223 | |||||
2.501%, 01/01/2035 | 3,475,000 | 2,733,964 | |||||
2.551%, 01/01/2036 | 2,390,000 | 1,850,554 | |||||
2.803%, 01/01/2041 | 15,500,000 | 11,692,834 | |||||
40,479,748 | |||||||
Oregon - 0.06% | |||||||
Hospital Facilities Authority of Multnomah County Oregon | |||||||
1.250%, 06/01/2026 | 2,610,000 | 2,352,941 | |||||
Oregon Health & Science University | |||||||
2.850%, 07/01/2030 | 1,000,000 | 865,324 | |||||
3,218,265 | |||||||
Pennsylvania - 0.97% | |||||||
Berks County Industrial Development Authority | |||||||
3.950%, 05/15/2024 | 490,000 | 480,298 | |||||
4.450%, 05/15/2027 | 800,000 | 766,725 | |||||
City of Philadelphia, PA | |||||||
1.838%, 07/15/2031 | 2,500,000 | 1,905,401 | |||||
Commonwealth Financing Authority | |||||||
2.758%, 06/01/2030 | 1,040,000 | 889,303 | |||||
2.991%, 06/01/2042 | 9,810,000 | 7,072,270 | |||||
3.657%, 06/01/2038 | 13,820,000 | 11,663,386 | |||||
4.014%, 06/01/2033 | 2,750,000 | 2,557,217 | |||||
Montgomery County Industrial Development Authority | |||||||
3.150%, 11/15/2028 | 10,000,000 | 8,452,692 | |||||
Pennsylvania Economic Development Financing Authority | |||||||
3.143%, 06/15/2042 | 7,600,000 | 5,556,757 | |||||
Pennsylvania Turnpike Commission | |||||||
3.000%, 12/01/2042 | 9,095,000 | 7,126,124 | |||||
Union County Hospital Authority | |||||||
3.800%, 08/01/2023 | 295,000 | 293,028 | |||||
4.400%, 08/01/2028 | 1,060,000 | 1,038,872 | |||||
47,802,073 | |||||||
Puerto Rico - 0.41% | |||||||
Children's Trust Fund | |||||||
5.375%, 05/15/2033 | 120,000 | 120,038 | |||||
Commonwealth of Puerto Rico | |||||||
0.000%, 07/01/2024 (h) | 153,671 | 141,216 | |||||
0.000%, 07/01/2033 (h) | 592,257 | 325,102 | |||||
0.000%, 11/01/2043 (h) | 2,291,998 | 1,045,724 | |||||
4.000%, 07/01/2033 | 460,219 | 401,007 | |||||
4.000%, 07/01/2035 | 413,675 | 352,786 | |||||
4.000%, 07/01/2037 | 355,042 | 296,735 | |||||
4.000%, 07/01/2041 | 482,722 | 387,977 | |||||
4.000%, 07/01/2046 | 502,024 | 387,737 | |||||
5.250%, 07/01/2023 | 255,706 | 256,827 | |||||
5.375%, 07/01/2025 | 512,555 | 519,954 | |||||
5.625%, 07/01/2027 | 507,913 | 520,221 | |||||
5.625%, 07/01/2029 | 499,673 | 512,195 | |||||
5.750%, 07/01/2031 | 485,328 | 498,522 | |||||
GDB Debt Recovery Authority of Puerto Rico | |||||||
7.500%, 08/20/2040 | 10,708,965 | 8,968,758 | |||||
Puerto Rico Highway & Transportation Authority | |||||||
0.000%, 07/01/2026 (e)(h) | 7,000,000 | 5,541,665 | |||||
20,276,464 | |||||||
South Carolina - 0.08% | |||||||
South Carolina Jobs-Economic Development Authority | |||||||
2.729%, 07/01/2030 | 5,030,000 | 4,205,351 | |||||
Tennessee - 0.04% | |||||||
New Memphis Arena Public Building Authority | |||||||
0.000%, 04/01/2044 (h) | 1,800,000 | 649,014 | |||||
0.000%, 04/01/2045 (h) | 2,000,000 | 678,564 | |||||
0.000%, 04/01/2046 (h) | 1,700,000 | 539,812 | |||||
1,867,390 | |||||||
Texas - 2.64% | |||||||
Board of Regents of the University of Texas System | |||||||
5.134%, 08/15/2042 | 2,710,000 | 2,813,665 | |||||
City of Dallas, TX | |||||||
0.000%, 02/15/2031 (h) | 10,000,000 | 6,396,603 | |||||
0.000%, 02/15/2032 (h) | 15,000,000 | 9,043,411 | |||||
City of El Paso, TX | |||||||
6.018%, 08/15/2035 | 3,000,000 | 3,210,257 | |||||
City of Houston, TX | |||||||
3.961%, 03/01/2047 | 5,800,000 | 5,068,221 | |||||
5.508%, 03/01/2036 | 5,400,000 | 5,663,042 | |||||
5.538%, 03/01/2037 | 4,100,000 | 4,321,226 | |||||
6.290%, 03/01/2032 | 860,000 | 901,144 | |||||
City of Houston, TX Airport System Revenue | |||||||
2.385%, 07/01/2031 | 19,835,000 | 16,077,513 | |||||
6.880%, 01/01/2028 | 2,025,000 | 2,117,431 | |||||
City of Irving, TX | |||||||
7.375%, 08/15/2044 | 3,500,000 | 3,541,520 | |||||
City of San Antonio, TX Electric & Gas Systems Revenue | |||||||
5.718%, 02/01/2041 | 5,645,000 | 6,005,621 | |||||
5.985%, 02/01/2039 | 13,425,000 | 14,679,909 | |||||
Colony Economic Development Corp. | |||||||
7.250%, 10/01/2042 | 5,000,000 | 5,075,942 | |||||
Dallas Fort Worth International Airport | |||||||
2.994%, 11/01/2038 | 16,480,000 | 13,331,994 | |||||
Downtown Dallas Development Authority | |||||||
0.000%, 08/15/2036 (h) | 6,730,000 | 3,018,918 | |||||
Metropolitan Transit Authority of Harris County Sales & Use Tax Revenue | |||||||
2.599%, 11/01/2037 | 17,015,000 | 12,434,912 | |||||
New Hope Cultural Education Facilities Corp. | |||||||
4.000%, 08/01/2020 (e)(g) | 220,000 | 70,400 | |||||
North Texas Tollway Authority | |||||||
8.410%, 02/01/2030 | 5,090,000 | 5,738,110 | |||||
Port of Beaumont Industrial Development Authority | |||||||
4.100%, 01/01/2028 (a) | 7,000,000 | 5,723,336 | |||||
Stafford Municipal School District | |||||||
3.084%, 08/15/2041 | 1,525,000 | 1,171,247 | |||||
Texas Transportation Commission | |||||||
2.013%, 10/01/2037 | 6,295,000 | 4,185,129 | |||||
130,589,551 | |||||||
Utah - 0.09% | |||||||
County of Salt Lake, UT Convention Hotel Revenue | |||||||
5.750%, 10/01/2047 (a) | 5,000,000 | 4,356,572 | |||||
Virginia - 0.33% | |||||||
County of Botetourt, VA | |||||||
6.000%, 07/01/2044 | 4,485,000 | 4,570,558 | |||||
University of Virginia | |||||||
6.200%, 09/01/2039 | 10,180,000 | 11,757,037 | |||||
16,327,595 | |||||||
Washington - 0.41% | |||||||
King County Housing Authority | |||||||
3.000%, 06/01/2040 | 3,005,000 | 2,428,209 | |||||
NJB Properties | |||||||
5.510%, 12/01/2036 | 7,665,000 | 7,844,651 | |||||
Pierce County School District No. 10 Tacoma | |||||||
2.357%, 12/01/2039 | 14,560,000 | 10,094,902 | |||||
20,367,762 | |||||||
West Virginia - 0.08% | |||||||
Tobacco Settlement Finance Authority | |||||||
2.701%, 06/01/2030 | 4,770,000 | 3,861,530 | |||||
Wisconsin - 0.22% | |||||||
Milwaukee Redevelopment Authority | |||||||
0.000%, 04/01/2039 (h) | 1,000,000 | 393,699 | |||||
Public Finance Authority | |||||||
4.153%, 05/15/2031 | 3,635,000 | 3,471,590 | |||||
5.000%, 05/15/2032 (a) | 1,275,000 | 1,192,721 | |||||
7.500%, 06/01/2029 (a) | 5,750,000 | 5,690,421 | |||||
10,748,431 | |||||||
TOTAL MUNICIPAL BONDS (Cost $1,324,757,469) | 1,128,665,992 | ||||||
US GOVERNMENT NOTES/BONDS - 5.35% | |||||||
United States Treasury Note/Bonds | |||||||
1.500%, 02/29/2024 | 54,750,000 | 52,676,558 | |||||
1.750%, 03/15/2025 | 75,000,000 | 70,904,297 | |||||
1.875%, 02/15/2041 | 25,000,000 | 17,978,027 | |||||
2.375%, 02/15/2042 | 50,000,000 | 38,710,937 | |||||
3.250%, 05/15/2042 | 25,000,000 | 22,333,984 | |||||
3.375%, 08/15/2042 | 30,000,000 | 27,304,688 | |||||
4.000%, 11/15/2042 | 35,000,000 | 34,967,188 | |||||
TOTAL US GOVERNMENT NOTES/BONDS (Cost $282,234,451) | 264,875,679 | ||||||
SHORT-TERM INVESTMENTS - 1.64% | |||||||
First American Government Obligations Fund - Class X, 3.660% (l) | 81,200,185 | 81,200,185 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $81,200,185) | 81,200,185 | ||||||
Total Investments (Cost $5,750,762,497) - 99.40% | 4,919,470,299 | ||||||
Other Assets in Excess of Liabilities - 0.60% | 29,841,309 | ||||||
TOTAL NET ASSETS - 100.00% | $ | 4,949,311,608 |
Percentages are stated as a percent of net assets. |
(a) | Securities issued pursuant to Rule 144A under the Securities Act of 1933. | ||||
(b) | Variable rate security; the rate shown represents the rate at November 30, 2022. | ||||
(c) | Foreign issued security. | ||||
(d) | Perpetual maturity. The date referenced is the next call date. | ||||
(e) | Represents an illiquid security. The total market value of these securities were $29,341,562, representing 0.59% of net assets as of November 30, 2022. | ||||
(f) | Variable rate security; the rate shown represents the rate at November 30, 2022. The coupon is based on an underlying pool of loans. | ||||
(g) | Default or other conditions exist at November 30, 2022. | ||||
(h) | Represents a principal-only security that entitles holders to receive only principal payments on underlying mortgages. | ||||
(i) | Step-up bond; the rate shown represents the rate at November 30, 2022. | ||||
(j) | Inverse floating rate security whose interest rate moves in opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier slope. | ||||
(k) | Represents an interest-only security that entitles holders to receive only interest payments on underlying mortgages. | ||||
(l) | Seven day yield at November 30, 2022. |
Abbreviations: | |||||
AG | Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e. owned by shareholders. | ||||
CMT | Constant Maturity Rate. | ||||
LIBOR | London Interbank Offered Rate. | ||||
PLC | Public Limited Company. | ||||
SOFR | Secured Overnight Financing Rate | ||||
TSFR3M | 3 Month Term Secured Overnight Financing Rate |
The Schedule of Investments incorporates the Global Industry Classification Standard (GICS®). GICS was developed | ||||
by and/or is the exclusive property of MSCI, Inc. and Standard & Poor's Financial Services LLC ("S&P"). GICS is a | ||||
service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC. |
Summary of Fair Value Exposure at November 30, 2022 | ||||||
Various inputs are used in determining the value of the 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.) | ||||||
The inputs or methodology used for valuing securities are not an indication of the risk associated | ||||||
with investing in those securities. | ||||||
The following is a summary of the inputs used, as of November 30, 2022, in valuing the Fund’s investments | ||||||
carried at fair value: | ||||||
Performance Trust Strategic Bond Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Fixed Income: | ||||||||||||||||
Asset Backed Securities | $ | - | $ | 151,819,430 | $ | - | $ | 151,819,430 | ||||||||
Collateralized Loan Obligations | - | 333,891,920 | - | 333,891,920 | ||||||||||||
Corporate Bonds | - | 1,081,888,621 | - | 1,081,888,621 | ||||||||||||
Non-Agency Residential Mortgage Backed Securities | - | 547,475,004 | - | 547,475,004 | ||||||||||||
Non-Agency Commercial Mortgage Backed Securities | - | 910,194,659 | - | 910,194,659 | ||||||||||||
Agency Commercial Mortgage Backed Securities | - | 419,458,809 | - | 419,458,809 | ||||||||||||
Municipal Bonds | - | 1,128,665,992 | - | 1,128,665,992 | ||||||||||||
US Government Notes/Bonds | - | 264,875,679 | - | 264,875,679 | ||||||||||||
Total Fixed Income | - | 4,838,270,114 | - | 4,838,270,114 | ||||||||||||
Short-Term Investments | 81,200,185 | - | - | 81,200,185 | ||||||||||||
Total Investments In Securities | $ | 81,200,185 | $ | 4,838,270,114 | $ | - | $ | 4,919,470,299 | ||||||||
For the period ended November 30, 2022, the Fund did not have significant unobservable inputs (Level 3 securities) used in determining fair value. | |
Therefore, a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value is not applicable. |