Performance Trust Strategic Bond Fund | |||||||
Schedule of Investments | |||||||
May 31, 2023 (Unaudited) | |||||||
Principal | |||||||
Amount | Value | ||||||
ASSET BACKED SECURITIES - 7.94% | |||||||
American Credit Acceptance Receivables Trust | |||||||
2023-1, 5.450%, 09/14/2026 (a) | $ | 8,208,308 | $ | 8,173,560 | |||
2022-3, 4.550%, 10/13/2026 (a) | 1,825,000 | 1,800,595 | |||||
2022-4, 6.750%, 10/13/2026 (a) | 1,500,000 | 1,504,459 | |||||
2023-2, 5.610%, 06/14/2027 (a) | 4,000,000 | 3,981,033 | |||||
2021-4, 1.320%, 02/14/2028 (a) | 1,075,457 | 1,051,487 | |||||
2022-2, 4.410%, 06/13/2028 (a) | 10,000,000 | 9,804,297 | |||||
2022-3, 4.860%, 10/13/2028 (a) | 5,000,000 | 4,905,433 | |||||
2022-4, 7.860%, 02/15/2029 (a) | 4,030,000 | 4,132,101 | |||||
2023-2, 5.960%, 08/13/2029 (a) | 5,000,000 | 4,986,165 | |||||
Americredit Automobile Receivables Trust | |||||||
2023-1, 5.840%, 10/19/2026 | 10,000,000 | 9,998,973 | |||||
Carmax Auto Owner Trust | |||||||
2023-2, 5.500%, 06/15/2026 | 16,000,000 | 15,939,256 | |||||
CarMax Auto Owner Trust | |||||||
2023-1, 5.230%, 01/15/2026 | 3,250,000 | 3,234,198 | |||||
CNH Equipment Trust | |||||||
2023-A, 5.340%, 09/15/2026 | 10,000,000 | 9,967,527 | |||||
DT Auto Owner Trust | |||||||
2020-2, 4.730%, 03/16/2026 (a) | 5,000,000 | 4,922,956 | |||||
Exeter Automobile Receivables Trust | |||||||
2023-1A, 5.610%, 06/16/2025 | 7,850,000 | 7,837,466 | |||||
2022-5A, 5.430%, 04/15/2026 | 5,000,000 | 4,980,367 | |||||
2023-1A, 5.580%, 04/15/2026 | 7,110,000 | 7,088,096 | |||||
2023-2, 5.600%, 08/17/2026 | 7,500,000 | 7,475,914 | |||||
2022-2A, 3.650%, 10/15/2026 | 20,000,000 | 19,644,650 | |||||
2022-5A, 5.970%, 03/15/2027 | 5,000,000 | 4,988,814 | |||||
2022-6A, 6.030%, 08/16/2027 | 10,000,000 | 10,008,528 | |||||
2022-5A, 6.510%, 12/15/2027 | 5,060,000 | 5,108,459 | |||||
2022-6A, 6.320%, 05/15/2028 | 5,000,000 | 5,060,154 | |||||
2021-2A, 2.900%, 07/17/2028 (a) | 1,500,000 | 1,370,693 | |||||
2021-3A, 3.040%, 12/15/2028 (a) | 5,000,000 | 4,490,275 | |||||
2022-4A, 4.920%, 12/15/2028 | 4,000,000 | 3,921,010 | |||||
First Investors Auto Owner Trust | |||||||
2021-1A, 1.170%, 03/15/2027 (a) | 1,795,000 | 1,702,577 | |||||
2022-1A, 3.130%, 05/15/2028 (a) | 5,000,000 | 4,720,700 | |||||
Flagship Credit Auto Trust | |||||||
2023-1, 5.380%, 12/15/2026 (a) | 5,000,000 | 4,966,303 | |||||
2022-3, 4.550%, 04/15/2027 (a) | 10,000,000 | 9,840,291 | |||||
2023-2, 5.760%, 04/15/2027 (a) | 11,047,000 | 11,014,509 | |||||
GLS Auto Receivables Issuer Trust | |||||||
2022-2A, 4.700%, 09/15/2026 (a) | 5,000,000 | 4,913,867 | |||||
2022-3A, 4.920%, 01/15/2027 (a) | 3,000,000 | 2,952,782 | |||||
2023-2A, 5.700%, 01/15/2027 (a) | 6,000,000 | 5,982,724 | |||||
2021-4A, 1.940%, 10/15/2027 (a) | 8,650,000 | 8,159,982 | |||||
2023-2 B, 5.520%, 11/15/2027 | 4,340,000 | 4,317,667 | |||||
2021-2A, 2.870%, 05/15/2028 (a) | 4,910,000 | 4,436,086 | |||||
2023-1A, 6.380%, 12/15/2028 (a) | 5,000,000 | 5,049,921 | |||||
GM Financial Consumer Automobile Receivables Trust | |||||||
2023-2, 5.100%, 05/18/2026 | 8,000,000 | 7,964,639 | |||||
Honda Auto Receivables Owner Trust | |||||||
2022-2, 3.810%, 03/18/2025 | 3,664,971 | 3,632,981 | |||||
2023-2, 5.410%, 04/15/2026 | 10,000,000 | 9,998,531 | |||||
New Residential Advance Receivables Trust | |||||||
2020-T1, 2.269%, 08/15/2053 (a) | 1,700,000 | 1,677,416 | |||||
2020-T1, 3.011%, 08/15/2053 (a) | 4,400,000 | 4,343,421 | |||||
Santander Drive Auto Receivables Trust | |||||||
2023-1, 5.360%, 05/15/2026 | 9,500,000 | 9,468,982 | |||||
2022-6, 4.490%, 11/16/2026 | 6,916,000 | 6,828,429 | |||||
2022-4, 4.140%, 02/16/2027 | 7,807,000 | 7,695,091 | |||||
2022-7, 5.750%, 04/15/2027 | 6,350,000 | 6,358,108 | |||||
2023-2, 5.210%, 07/15/2027 | 10,020,000 | 9,979,049 | |||||
2022-2, 3.440%, 09/15/2027 | 10,000,000 | 9,704,051 | |||||
2022-7, 5.950%, 01/17/2028 | 10,000,000 | 10,090,050 | |||||
2020-1, 5.350%, 03/15/2028 | 1,000,000 | 994,518 | |||||
2022-5, 4.740%, 10/16/2028 | 7,500,000 | 7,342,729 | |||||
2022-7, 6.690%, 03/17/2031 | 9,000,000 | 9,286,011 | |||||
Toyota Auto Receivables Owner Trust | |||||||
2023-A, 5.050%, 01/15/2026 | 5,000,000 | 4,978,199 | |||||
Westlake Automobile Receivables Trust | |||||||
2020-1A, 3.310%, 10/15/2025 (a) | 10,000,000 | 9,801,354 | |||||
2022-2A, 3.750%, 04/15/2026 (a) | 4,850,000 | 4,750,903 | |||||
2023-2A, 5.800%, 02/16/2027 (a) | 10,000,000 | 10,033,185 | |||||
2022-1A, 2.750%, 03/15/2027 (a) | 2,645,000 | 2,565,444 | |||||
2022-1A, 3.110%, 03/15/2027 (a) | 5,000,000 | 4,803,908 | |||||
2022-2A, 4.310%, 09/15/2027 (a) | 7,075,000 | 6,915,095 | |||||
2022-3A, 6.440%, 12/15/2027 (a) | 5,000,000 | 5,043,805 | |||||
2023-1A, 5.210%, 01/18/2028 (a) | 11,000,000 | 10,933,523 | |||||
2023-1A, 5.410%, 01/18/2028 (a) | 3,750,000 | 3,724,458 | |||||
2023-2A, 6.290%, 03/15/2028 (a) | 8,500,000 | 8,575,839 | |||||
2023-1A, 5.740%, 08/15/2028 (a) | 3,000,000 | 2,992,796 | |||||
World Omni Auto Receivables Trust | |||||||
2023-A, 5.180%, 07/15/2026 | 7,800,000 | 7,768,332 | |||||
2023-B, 5.250%, 11/16/2026 | 10,000,000 | 9,953,964 | |||||
TOTAL ASSET BACKED SECURITIES (Cost $434,544,385) | 432,638,686 | ||||||
COLLATERALIZED LOAN OBLIGATIONS - 6.07% | |||||||
Apidos CLO XII | |||||||
2013-12A, 7.860% (3 Month LIBOR USD + 2.600%), 04/15/2031 (a)(b)(c) | 3,195,000 | 2,874,295 | |||||
2013-12A, 10.660% (3 Month LIBOR USD + 5.400%), 04/15/2031 (a)(b)(c) | 6,150,000 | 4,959,846 | |||||
Apidos CLO XV | |||||||
2013-15A, 7.100% (3 Month LIBOR USD + 1.850%), 04/20/2031 (a)(b)(c) | 5,000,000 | 4,846,495 | |||||
2013-15A, 10.950% (3 Month LIBOR USD + 5.700%), 04/20/2031 (a)(b)(c) | 3,843,000 | 3,278,713 | |||||
Apidos CLO XX | |||||||
2015-20A, 10.960% (3 Month LIBOR USD + 5.700%), 07/16/2031 (a)(b)(c) | 1,750,000 | 1,483,235 | |||||
Apidos CLO XXIV | |||||||
2016-24A, 11.050% (3 Month LIBOR USD + 5.800%), 10/20/2030 (a)(b)(c) | 2,550,000 | 2,169,999 | |||||
Apidos CLO XXIX | |||||||
2018-29A, 7.155% (3 Month LIBOR USD + 1.900%), 07/25/2030 (a)(b)(c) | 7,600,000 | 7,312,675 | |||||
2018-29A, 8.005% (3 Month LIBOR USD + 2.750%), 07/25/2030 (a)(b)(c) | 6,250,000 | 5,747,606 | |||||
Apidos CLO XXVIII | |||||||
2017-28A, 6.400% (3 Month LIBOR USD + 1.150%), 01/20/2031 (a)(b)(c) | 2,000,000 | 1,952,960 | |||||
Apidos CLO XXX | |||||||
XXXA, 7.262% (3 Month LIBOR USD + 2.000%), 10/18/2031 (a)(b)(c) | 3,600,000 | 3,482,060 | |||||
Apidos CLO XXXI | |||||||
2019-31A, 11.860% (3 Month LIBOR USD + 6.600%), 04/15/2031 (a)(b)(c) | 4,400,000 | 3,970,789 | |||||
Ares XLII CLO Ltd. | |||||||
2017-42A, 8.723% (3 Month LIBOR USD + 3.450%), 01/22/2028 (a)(b)(c) | 5,000,000 | 4,762,905 | |||||
Ares XLVI CLO Ltd. | |||||||
2017-46A, 3.570%, 01/15/2030 (a)(c) | 3,600,000 | 3,278,862 | |||||
2017-46A, 6.960% (3 Month LIBOR USD + 1.700%), 01/15/2030 (a)(b)(c) | 1,436,843 | 1,373,225 | |||||
Ares XLVII CLO Ltd. | |||||||
2018-47A, 7.960% (3 Month LIBOR USD + 2.700%), 04/15/2030 (a)(b)(c) | 1,915,000 | 1,686,989 | |||||
Ares XXXIR CLO Ltd. | |||||||
2014-31RA, 6.975% (3 Month LIBOR USD + 1.600%), 05/24/2030 (a)(b)(c) | 5,500,000 | 5,307,500 | |||||
Ares XXXIX CLO Ltd. | |||||||
2016-39A, 8.612% (3 Month LIBOR USD + 3.350%), 04/18/2031 (a)(b)(c) | 7,335,000 | 6,513,157 | |||||
Ares XXXVIII CLO Ltd. | |||||||
2015-38A, 7.750% (3 Month LIBOR USD + 2.500%), 04/20/2030 (a)(b)(c) | 7,450,000 | 6,617,522 | |||||
BCRED MML CLO, LLC | |||||||
2022-1A, 7.798% (TSFR3M + 2.750%), 04/20/2035 (a)(b) | 2,000,000 | 1,912,790 | |||||
BlueMountain CLO Ltd. | |||||||
2018-1A, 6.999% (3 Month LIBOR USD + 1.700%), 07/30/2030 (a)(b)(c) | 6,996,770 | 6,762,910 | |||||
2014-2A, 7.000% (3 Month LIBOR USD + 1.750%), 10/20/2030 (a)(b)(c) | 5,500,000 | 5,341,204 | |||||
Burnham Park CLO Ltd. | |||||||
2016-1A, 7.400% (3 Month LIBOR USD + 2.150%), 10/20/2029 (a)(b)(c) | 5,250,000 | 5,080,246 | |||||
Buttermilk Park CLO Ltd. | |||||||
2018-1A, 8.360% (3 Month LIBOR USD + 3.100%), 10/15/2031 (a)(b)(c) | 1,000,000 | 903,113 | |||||
Catskill Park CLO Ltd. | |||||||
2017-1A, 8.950% (3 Month LIBOR USD + 3.700%), 04/20/2029 (a)(b)(c) | 3,850,000 | 3,692,150 | |||||
2017-1A, 11.250% (3 Month LIBOR USD + 6.000%), 04/20/2029 (a)(b)(c) | 1,250,000 | 1,057,242 | |||||
Chenango Park CLO Ltd. | |||||||
2018-1A, 8.260% (3 Month LIBOR USD + 3.000%), 04/15/2030 (a)(b)(c) | 1,000,000 | 884,486 | |||||
CIFC Funding Ltd. | |||||||
2017-3A, 7.050% (3 Month LIBOR USD + 1.800%), 07/20/2030 (a)(b)(c) | 2,100,000 | 2,066,295 | |||||
2018-1A, 7.012% (3 Month LIBOR USD + 1.750%), 04/18/2031 (a)(b)(c) | 3,750,000 | 3,602,846 | |||||
Fillmore Park CLO Ltd. | |||||||
2018-1A, 10.660% (3 Month LIBOR USD + 5.400%), 07/15/2030 (a)(b)(c) | 1,000,000 | 892,252 | |||||
Gilbert Park CLO Ltd. | |||||||
2017-1A, 8.210% (3 Month LIBOR USD + 2.950%), 10/15/2030 (a)(b)(c) | 8,475,000 | 7,785,949 | |||||
2017-1A, 11.660% (3 Month LIBOR USD + 6.400%), 10/15/2030 (a)(b)(c) | 1,250,000 | 1,075,856 | |||||
Goldentree Loan Management US CLO 2 Ltd. | |||||||
2017-2A, 9.950% (3 Month LIBOR USD + 4.700%), 11/28/2030 (a)(b)(c) | 6,561,000 | 5,950,027 | |||||
Goldentree Loan Management US CLO 4 Ltd. | |||||||
2019-4A, 10.023% (3 Month LIBOR USD + 4.750%), 04/24/2031 (a)(b)(c) | 8,000,000 | 6,955,936 | |||||
Goldentree Loan Management US CLO 5 Ltd. | |||||||
2019-5A, 8.400% (3 Month LIBOR USD + 3.150%), 10/20/2032 (a)(b)(c) | 2,500,000 | 2,336,722 | |||||
2019-5A, 10.100% (3 Month LIBOR USD + 4.850%), 10/20/2032 (a)(b)(c) | 7,500,000 | 6,411,788 | |||||
Goldentree Loan Opportunities X Ltd. | |||||||
2015-10A, 8.300% (3 Month LIBOR USD + 3.050%), 07/20/2031 (a)(b)(c) | 4,000,000 | 3,799,060 | |||||
Goldentree Loan Opportunities XI Ltd. | |||||||
2015-11A, 7.662% (3 Month LIBOR USD + 2.400%), 01/18/2031 (a)(b)(c) | 2,250,000 | 2,137,255 | |||||
2015-11A, 10.662% (3 Month LIBOR USD + 5.400%), 01/18/2031 (a)(b)(c) | 3,750,000 | 3,367,920 | |||||
GoldentTree Loan Management US CLO 1 Ltd. | |||||||
2021-9A, 10.000% (3 Month LIBOR USD + 4.750%), 01/20/2033 (a)(b)(c) | 6,500,000 | 5,637,378 | |||||
Golub Capital BDC 3 CLO 1, LLC | |||||||
2021-1A, 8.060% (3 Month LIBOR USD + 2.800%), 04/15/2033 (a)(b)(c) | 7,000,000 | 6,764,170 | |||||
Grippen Park CLO Ltd. | |||||||
2017-1A, 8.550% (3 Month LIBOR USD + 3.300%), 01/20/2030 (a)(b)(c) | 7,550,000 | 7,207,751 | |||||
2017-1A, 10.950% (3 Month LIBOR USD + 5.700%), 01/20/2030 (a)(b)(c) | 1,150,000 | 979,426 | |||||
Jay Park CLO Ltd. | |||||||
2016-1A, 7.900% (3 Month LIBOR USD + 2.650%), 10/20/2027 (a)(b)(c) | 1,124,000 | 1,099,279 | |||||
LCM 26 Ltd. | |||||||
26A, 7.750% (3 Month LIBOR USD + 2.500%), 01/20/2031 (a)(b)(c) | 1,000,000 | 817,934 | |||||
26A, 10.550% (3 Month LIBOR USD + 5.300%), 01/20/2031 (a)(b)(c) | 4,000,000 | 2,593,024 | |||||
LCM 29 Ltd. | |||||||
29A, 6.860% (3 Month LIBOR USD + 1.600%), 04/15/2031 (a)(b)(c) | 4,750,000 | 4,591,559 | |||||
LCM 34 Ltd. | |||||||
34A, 11.790% (3 Month LIBOR USD + 6.540%), 10/20/2034 (a)(b)(c) | 3,250,000 | 2,650,420 | |||||
LCM 35 Ltd. | |||||||
35A, 11.870% (3 Month LIBOR USD + 6.610%), 10/15/2034 (a)(b)(c) | 4,750,000 | 3,694,569 | |||||
LCM 36 Ltd. | |||||||
36A, 11.970% (3 Month LIBOR USD + 6.710%), 01/15/2034 (a)(b)(c) | 6,000,000 | �� 4,541,286 | |||||
LCM Loan Income Fund I Income Note Issuer Ltd. | |||||||
27A, 7.210% (3 Month LIBOR USD + 1.950%), 07/16/2031 (a)(b)(c) | 2,700,000 | 2,543,519 | |||||
27A, 8.210% (3 Month LIBOR USD + 2.950%), 07/16/2031 (a)(b)(c) | 4,000,000 | 3,293,880 | |||||
LCM XIV LP | |||||||
14A, 6.830% (3 Month LIBOR USD + 1.580%), 07/20/2031 (a)(b)(c) | 10,800,000 | 10,381,824 | |||||
14A, 7.100% (3 Month LIBOR USD + 1.850%), 07/20/2031 (a)(b)(c) | 6,000,000 | 5,629,584 | |||||
14A, 10.750% (3 Month LIBOR USD + 5.500%), 07/20/2031 (a)(b)(c) | 1,000,000 | 614,005 | |||||
LCM XV LP | |||||||
15A, 8.950% (3 Month LIBOR USD + 3.700%), 07/20/2030 (a)(b)(c) | 9,000,000 | 7,961,643 | |||||
LCM XVI LP | |||||||
16A, 7.010% (3 Month LIBOR USD + 1.750%), 10/15/2031 (a)(b)(c) | 4,000,000 | 3,886,784 | |||||
16A, 7.410% (3 Month LIBOR USD + 2.150%), 10/15/2031 (a)(b)(c) | 5,100,000 | 4,849,968 | |||||
16A, 11.640% (3 Month LIBOR USD + 6.380%), 10/15/2031 (a)(b)(c) | 1,600,000 | 1,163,638 | |||||
LCM XVII LP | |||||||
17A, 11.260% (3 Month LIBOR USD + 6.000%), 10/15/2031 (a)(b)(c) | 1,000,000 | 644,212 | |||||
LCM XVIII LP | |||||||
19A, 7.010% (3 Month LIBOR USD + 1.750%), 07/15/2027 (a)(b)(c) | 1,523,457 | 1,520,299 | |||||
19A, 7.960% (3 Month LIBOR USD + 2.700%), 07/15/2027 (a)(b)(c) | 4,000,000 | 3,988,256 | |||||
18A, 11.200% (3 Month LIBOR USD + 5.950%), 04/20/2031 (a)(b)(c) | 5,300,000 | 3,553,067 | |||||
LCM XXII Ltd. | |||||||
22A, 8.050% (3 Month LIBOR USD + 2.800%), 10/20/2028 (a)(b)(c) | 1,895,000 | 1,674,359 | |||||
LCM XXV Ltd. | |||||||
25A, 8.700% (3 Month LIBOR USD + 3.450%), 07/20/2030 (a)(b)(c) | 4,000,000 | 3,341,648 | |||||
Long Point Park CLO Ltd. | |||||||
2017-1A, 7.660% (3 Month LIBOR USD + 2.400%), 01/17/2030 (a)(b)(c) | 4,000,000 | 3,529,544 | |||||
2017-1A, 10.860% (3 Month LIBOR USD + 5.600%), 01/17/2030 (a)(b)(c) | 2,000,000 | 1,647,430 | |||||
Magnetite VIII Ltd. | |||||||
2014-8A, 8.160% (3 Month LIBOR USD + 2.900%), 04/15/2031 (a)(b)(c) | 10,150,000 | 9,716,301 | |||||
Magnetite XII Ltd. | |||||||
2015-12A, 10.940% (3 Month LIBOR USD + 5.680%), 10/15/2031 (a)(b)(c) | 8,923,000 | 8,212,506 | |||||
Magnetite XIV-R Ltd. | |||||||
2015-14RA, 8.112% (3 Month LIBOR USD + 2.850%), 10/18/2031 (a)(b)(c) | 1,500,000 | 1,424,537 | |||||
Magnetite XV Ltd. | |||||||
2015-15A, 8.079% (TSFR3M + 3.012%), 07/25/2031 (a)(b)(c) | 2,000,000 | 1,898,358 | |||||
2015-15A, 10.529% (TSFR3M + 5.462%), 07/25/2031 (a)(b)(c) | 4,000,000 | 3,540,496 | |||||
Magnetite XVIII Ltd. | |||||||
2016-18A, 8.021% (3 Month LIBOR USD + 2.700%), 11/15/2028 (a)(b)(c) | 10,315,000 | 9,992,532 | |||||
Magnetite XXIII Ltd. | |||||||
2019-23A, 11.555% (3 Month LIBOR USD + 6.300%), 01/25/2035 (a)(b)(c) | 2,750,000 | 2,571,495 | |||||
Magnetite XXVII Ltd. | |||||||
2020-27A, 11.250% (3 Month LIBOR USD + 6.000%), 10/20/2034 (a)(b)(c) | 5,250,000 | 4,874,977 | |||||
Magnetite XXVIII Ltd. | |||||||
2020-28A, 11.400% (3 Month LIBOR USD + 6.150%), 01/20/2035 (a)(b)(c) | 2,250,000 | 2,089,566 | |||||
Magnetite XXX Ltd. | |||||||
2021-30A, 11.455% (3 Month LIBOR USD + 6.200%), 10/25/2034 (a)(b)(c) | 4,100,000 | 3,849,429 | |||||
Magnetite XXXIV Ltd. | |||||||
2023-34A, 10.355% (TSFR3M + 5.200%), 04/20/2036 (a)(b)(c) | 2,950,000 | 2,919,349 | |||||
Mountain View CLO XV Ltd. | |||||||
2019-2A, 7.160% (3 Month LIBOR USD + 1.900%), 01/15/2033 (a)(b)(c) | 3,000,000 | 2,957,343 | |||||
Neuberger Berman Loan Advisers CLO 33 Ltd. | |||||||
2019-33A, 8.160% (3 Month LIBOR USD + 2.900%), 10/16/2033 (a)(b)(c) | 2,000,000 | 1,860,548 | |||||
Neuberger Berman Loan Advisers CLO 35 Ltd. | |||||||
2019-35A, 8.965% (3 Month LIBOR USD + 3.700%), 01/19/2033 (a)(b)(c) | 7,971,955 | 7,495,256 | |||||
Niagara Park CLO Ltd. | |||||||
2019-1A, 11.210% (3 Month LIBOR USD + 5.950%), 07/17/2032 (a)(b)(c) | 2,000,000 | 1,799,656 | |||||
Octagon Investment Partners 26 Ltd. | |||||||
2016-1A, 7.060% (3 Month LIBOR USD + 1.800%), 07/15/2030 (a)(b)(c) | 6,220,000 | 5,883,803 | |||||
Webster Park CLO Ltd. | |||||||
2015-1A, 7.050% (3 Month LIBOR USD + 1.800%), 07/20/2030 (a)(b)(c) | 10,300,000 | 9,821,514 | |||||
2015-1A, 8.150% (3 Month LIBOR USD + 2.900%), 07/20/2030 (a)(b)(c) | 4,800,000 | 4,173,600 | |||||
Whetstone Park CLO Ltd. | |||||||
2021-1A, 2.791%, 01/20/2035 (a)(c) | 1,400,000 | 1,162,174 | |||||
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $354,079,702) | 330,678,776 | ||||||
CORPORATE BONDS - 19.33% | |||||||
Aerospace & Defense - 0.32% | |||||||
Howmet Aerospace, Inc. | |||||||
5.900%, 02/01/2027 | 6,326,000 | 6,439,406 | |||||
3.000%, 01/15/2029 | 12,437,000 | 10,903,727 | |||||
Automobile Components - 0.13% | |||||||
Dana, Inc. | |||||||
4.250%, 09/01/2030 | 4,500,000 | 3,625,987 | |||||
4.500%, 02/15/2032 | 4,208,000 | 3,379,929 | |||||
Automobiles - 0.32% | |||||||
Thor Industries, Inc. | |||||||
4.000%, 10/15/2029 (a) | 9,340,000 | 7,647,872 | |||||
Volkswagen Group of America Finance, LLC | |||||||
3.750%, 05/13/2030 (a) | 10,000,000 | 9,062,652 | |||||
Winnebago Industries, Inc. | |||||||
6.250%, 07/15/2028 (a) | 1,000,000 | 960,868 | |||||
Banks - 6.15% | |||||||
Atlantic Union Bankshares Corp. | |||||||
2.875% to 12/15/2026 then TSFR3M + 1.860%, 12/15/2031 (b) | 8,000,000 | 6,616,984 | |||||
Australia & New Zealand Banking Group Ltd. | |||||||
6.742%, 12/08/2032 (a)(c) | 7,000,000 | 7,263,031 | |||||
Bank of America Corp. | |||||||
2.087% to 05/14/2029 then SOFR + 1.060%, 06/14/2029 (b) | 7,000,000 | 6,002,754 | |||||
2.651% to 03/11/31 then SOFR + 1.220%, 03/11/2032 (b) | 10,000,000 | 8,275,188 | |||||
Bank of Montreal | |||||||
3.088% (5 Year CMT Rate + 1.400%), 01/10/2037 (b)(c) | 15,000,000 | 11,941,600 | |||||
Bank of Nova Scotia | |||||||
4.850%, 02/01/2030 (c) | 10,000,000 | 9,787,713 | |||||
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 | 3,000,000 | |||||
5.250% to 06/15/2025 then TSFR3M + 5.060%, 06/15/2030 (b)(c) | 5,000,000 | 4,665,643 | |||||
Bank OZK | |||||||
2.750% to 10/01/2026 then TSFR3M + 2.090%, 10/01/2031 (b) | 13,175,000 | 9,971,621 | |||||
Banner Corp. | |||||||
5.000% to 06/30/2025 then TSFR3M + 4.890%, 06/30/2030 (b) | 8,000,000 | 7,100,115 | |||||
Barclays PLC | |||||||
6.125% (5 Year CMT Rate + 5.867%), 09/15/2166 (b)(c)(d) | 15,050,000 | 13,037,815 | |||||
Central Pacific Financial Corp. | |||||||
4.750% to 11/01/2025 then TSFR3M + 4.560%, 11/01/2030 (b) | 5,000,000 | 4,464,238 | |||||
Citigroup, Inc. | |||||||
3.980% (3 Month LIBOR USD + 1.338%), 03/20/2030 (b) | 5,128,000 | 4,753,864 | |||||
CNB Financial Corp. | |||||||
3.250% to 6/15/2026 then TSFR3M + 2.580%, 06/15/2031 (a)(b) | 2,000,000 | 1,680,232 | |||||
Deutsche Bank AG | |||||||
7.079% to 11/10/2032 then SOFR + 3.650%, 02/10/2034 (b)(c) | 3,000,000 | 2,746,313 | |||||
First Busey Corp. | |||||||
5.250% to 06/01/2025 then TSFR3M + 5.110%, 06/01/2030 (b) | 4,000,000 | 3,635,013 | |||||
7.079% to 11/10/2032 then TSFR3M + 2.520%, 02/10/2034 (b) | 2,000,000 | 1,624,759 | |||||
First Financial Bancorp. | |||||||
5.250% to 05/15/2025 then TSFR3M + 5.090%, 05/15/2030 (b) | 10,500,000 | 9,239,353 | |||||
First Foundation, Inc. | |||||||
3.500% to 02/01/2027 then SOFR + 2.040%, 02/01/2032 (b) | 9,500,000 | 5,624,138 | |||||
First Interstate BancSystem, Inc. | |||||||
5.250% to 05/15/2025 then TSFR3M + 5.180%, 05/15/2030 (b) | 5,000,000 | 4,533,627 | |||||
First Mid Bancshares, Inc. | |||||||
3.950% to 10/15/2025 then TSFR3M + 3.830%, 10/15/2030 (b) | 5,300,000 | 4,550,726 | |||||
First Midwest Bancorp, Inc. | |||||||
5.875%, 09/29/2026 | 7,515,000 | 7,175,579 | |||||
Firstbank | |||||||
4.500% to 09/01/2030 then SOFR + 4.390%, 09/01/2030 (b) | 8,000,000 | 7,154,518 | |||||
First-Citizens Bank & Trust Co. | |||||||
6.125%, 03/09/2028 | 1,792,000 | 1,781,669 | |||||
Flushing Financial Corp. | |||||||
3.125% to 12/01/2026 then TSFR3M + 2.035%, 12/01/2031 (b) | 5,000,000 | 4,072,795 | |||||
Great Southern Bank | |||||||
5.500% to 06/15/2025 then TSFR3M + 5.325%, 06/15/2030 (b) | 4,750,000 | 4,297,121 | |||||
Heartland Financial USA, Inc. | |||||||
2.750% to 09/15/2026 then TSFR3M + 2.100%, 09/15/2031 (b) | 6,000,000 | 4,672,552 | |||||
Hilltop Holdings, Inc. | |||||||
6.125% to 05/15/2030 then TSFR3M + 5.800%, 05/15/2035 (b) | 9,000,000 | 8,198,551 | |||||
Home BancShares, Inc. | |||||||
3.125% to 01/30/2027 then TSFR3M + 1.820%, 01/30/2032 (b) | 8,000,000 | 6,597,103 | |||||
Huntington National Bank | |||||||
5.500% to 05/06/2030 then 3 Month LIBOR USD + 5.090%, 05/06/2030 (b) | 9,250,000 | 8,754,914 | |||||
Independent Bank Group, Inc. | |||||||
4.000% to 09/15/2025 then SOFR + 3.885%, 09/15/2030 (b) | 7,000,000 | 6,273,471 | |||||
JPMorgan Chase & Co. | |||||||
2.963% to 01/25/2032 then SOFR + 1.260%, 01/25/2033(b) | 10,000,000 | 8,463,070 | |||||
Mercantile Bank Corp. | |||||||
3.250% to 01/30/2027 then SOFR + 2.120%, 01/30/2032(b) | 7,000,000 | 5,817,720 | |||||
National Australia Bank Ltd. | |||||||
3.347% (5 Year CMT Rate + 1.700%), 01/12/2037 (a)(b)(c) | 9,500,000 | 7,490,706 | |||||
NBT Bancorp, Inc. | |||||||
5.000% to 07/01/2025 then TSFR3M + 4.850%, 07/01/2030 (b) | 7,500,000 | 6,523,346 | |||||
NexBank Capital, Inc. | |||||||
4.000% to 08/15/2026 then TSFR3M + 3.390%, 08/15/2031 (a)(b) | 6,500,000 | 5,279,367 | |||||
OceanFirst Financial Corp. | |||||||
5.250% to 05/15/2025 then TSFR3M + 5.095%, 05/15/2030 (b) | 5,000,000 | 4,518,392 | |||||
Pacific Premier Bancorp, Inc. | |||||||
4.875% to 05/15/2024 then 3 Month LIBOR USD + 2.500%, 05/15/2029 (b) | 3,500,000 | 3,029,391 | |||||
5.375% to 06/15/2025 then TSFR3M + 5.170%, 06/15/2030 (b) | 5,410,000 | 4,439,052 | |||||
Park National Corp. | |||||||
4.500% to 09/01/2025 then TSFR3M + 4.390%, 09/01/2030 (b) | 15,600,000 | 13,582,188 | |||||
Peapack-Gladstone Financial Corp. | |||||||
3.500% to 12/30/2025 then TSFR3M + 3.260%, 12/30/2030 (b) | 7,500,000 | 6,543,655 | |||||
RBB Bancorp | |||||||
4.000% to 04/01/2026 then TSFR3M + 3.290%, 04/01/2031 (b) | 5,450,000 | 4,751,680 | |||||
Renasant Corp. | |||||||
3.000% to 12/01/2026 then TSFR3M + 1.910%, 12/01/2031 (b) | 7,000,000 | 5,226,972 | |||||
4.500% to 09/15/2030 then TSFR3M + 4.025%, 09/15/2035 (b) | 9,000,000 | 6,355,542 | |||||
Sandy Spring Bancorp, Inc. | |||||||
4.250% to 11/15/2024 then 3 Month LIBOR USD + 2.882%, 11/15/2029 (b) | 5,500,000 | 5,050,590 | |||||
Santander Holdings USA, Inc. | |||||||
6.499% to 02/29/2029 then SOFR + 2.356%, 03/09/2029 (b) | 5,000,000 | 5,088,691 | |||||
Southside Bancshares, Inc. | |||||||
3.875% to 11/15/2025 then TSFR3M + 3.660%, 11/15/2030 (b) | 8,000,000 | 7,088,223 | |||||
Summit Financial Group, Inc. | |||||||
3.250% to 12/01/2026 then TSFR3M + 2.300%, 12/01/2031(b) | 4,000,000 | 3,271,458 | |||||
Synovus Financial Corp. | |||||||
5.900% (5 Year Swap Rate USD + 3.379%), 02/07/2029 (b) | 4,000,000 | 3,478,384 | |||||
Texas Capital Bancshares, Inc. | |||||||
4.000% (5 Year CMT Rate + 3.150%), 05/06/2031 (b) | 10,942,000 | 8,165,023 | |||||
Texas Capital Bank, NA | |||||||
5.250%, 01/31/2026 | 5,000,000 | 4,522,584 | |||||
Towne Bank | |||||||
3.125% to 02/15/2027 then TSFR3M + 1.680%, 02/15/2032 (b) | 4,000,000 | 3,368,681 | |||||
Trustmark Corp. | |||||||
3.625% to 12/01/2025 then TSFR3M + 3.387%, 12/01/2030 (b) | 6,500,000 | 5,613,496 | |||||
Webster Financial Corp. | |||||||
4.100%, 03/25/2029 | 1,380,000 | 1,195,050 | |||||
Western Alliance Bancorp | |||||||
3.000% to 06/15/2026 then TSFR3M + 2.250%, 06/15/2031 (b) | 5,900,000 | 4,203,750 | |||||
Western Alliance Bank | |||||||
5.250% to 06/01/2025 then TSFR3M + 5.120%, 06/01/2030 (b)(e) | 7,500,000 | 5,475,000 | |||||
WSFS Financial Corp. | |||||||
6.916% (3 Month LIBOR USD + 0.000%), 12/15/2027 (b) | 3,500,000 | 3,290,942 | |||||
2.750% to 12/15/2025 then SOFR + 2.485%, 12/15/2030 (b) | 4,470,000 | 3,918,753 | |||||
Building Products - 0.29% | |||||||
Masonite International Corp. | |||||||
5.375%, 02/01/2028 (a)(c) | 500,000 | 475,902 | |||||
3.500%, 02/15/2030 (a)(c) | 9,536,000 | 8,024,171 | |||||
TopBuild Corp. | |||||||
3.625%, 03/15/2029 (a) | 7,065,000 | 6,119,350 | |||||
4.125%, 02/15/2032 (a) | 1,565,000 | 1,313,280 | |||||
Capital Markets - 0.62% | |||||||
Ares Capital Corp. | |||||||
3.200%, 11/15/2031 | 15,000,000 | 11,466,003 | |||||
Blackstone Holdings Finance Co., LLC | |||||||
1.625%, 08/05/2028 (a) | 15,000,000 | 12,505,022 | |||||
Brookfield Corp. | |||||||
7.375%, 03/01/2033 (c) | 3,000,000 | 3,243,154 | |||||
MSCI, Inc. | |||||||
3.625%, 11/01/2031 (a) | 7,800,000 | 6,518,589 | |||||
Chemicals - 0.26% | |||||||
Axalta Coating Systems, LLC | |||||||
3.375%, 02/15/2029 (a) | 6,744,000 | 5,787,600 | |||||
Eastman Chemical Co. | |||||||
5.750%, 03/08/2033 | 3,000,000 | 3,004,030 | |||||
Scotts Miracle-Gro Co. | |||||||
4.375%, 02/01/2032 | 6,828,000 | 5,464,585 | |||||
Commercial Services & Supplies - 0.19% | |||||||
Central Storage Safety Project Trust | |||||||
4.823%, 02/01/2038 (a)(e) | 6,072,640 | 5,177,796 | |||||
Wildflower Improvement Association | |||||||
6.625%, 03/01/2031 (a)(e) | 5,059,095 | 4,858,742 | |||||
Consumer Finance - 0.59% | |||||||
Ally Financial, Inc. | |||||||
6.700%, 02/14/2033 | 10,000,000 | 8,806,910 | |||||
Ford Motor Credit Co. LLC | |||||||
7.350%, 03/06/2030 | 8,750,000 | 8,822,625 | |||||
OneMain Finance Corp. | |||||||
3.500%, 01/15/2027 | 5,000,000 | 4,162,725 | |||||
5.375%, 11/15/2029 | 12,603,000 | 10,318,202 | |||||
Containers & Packaging - 0.32% | |||||||
Amcor Finance USA, Inc. | |||||||
5.625%, 05/26/2033 | 5,000,000 | 5,011,799 | |||||
AptarGroup, Inc. | |||||||
3.600%, 03/15/2032 | 10,000,000 | 8,547,386 | |||||
Graphic Packaging International, LLC | |||||||
3.750%, 02/01/2030 (a) | 4,433,000 | 3,901,239 | |||||
Distributors - 0.11% | |||||||
LKQ Corp. | |||||||
6.250%, 06/15/2033 (a) | 6,000,000 | 6,041,944 | |||||
Diversified Consumer Services - 0.10% | |||||||
Prime Security Services Borrower LLC | |||||||
5.750%, 04/15/2026 (a) | 3,500,000 | 3,429,050 | |||||
Nature Conservancy | |||||||
1.711%, 07/01/2031 | 1,250,000 | 945,594 | |||||
1.811%, 07/01/2032 | 1,150,000 | 851,187 | |||||
1.861%, 07/01/2033 | 532,000 | 384,329 | |||||
Service Corp. International | |||||||
3.375%, 08/15/2030 | 12,676,000 | 10,566,270 | |||||
4.000%, 05/15/2031 | 8,375,000 | 7,168,163 | |||||
United Jewish Appeal-Federation of Jewish Philanthropies of New York, Inc. | |||||||
2.145%, 02/01/2031 | 4,565,000 | 3,777,959 | |||||
Diversified Financial Services - 0.37% | |||||||
American AGcredit FLCA | |||||||
3.375% to 06/15/2031 then SOFR + 2.120%, 06/15/2036 (a)(b) | 10,000,000 | 7,587,062 | |||||
Compeer Financial FLCA | |||||||
2.750% to 06/01/2026 then SOFR + 2.030%, 06/01/2031 (a)(b) | 5,000,000 | 4,048,393 | |||||
3.375% to 06/01/2031 then SOFR + 1.965%, 06/01/2036 (a)(b) | 4,750,000 | 3,603,199 | |||||
Enterprise Community Loan Fund, Inc. | |||||||
3.685%, 11/01/2023 | 4,810,000 | 4,768,007 | |||||
Diversified Telecommunicaiton Services - 0.22% | |||||||
AT&T, Inc. | |||||||
5.400%, 02/15/2034 | 3,000,000 | 3,012,657 | |||||
Verizon Communications, Inc. | |||||||
4.500%, 08/10/2033 | 9,180,000 | 8,676,383 | |||||
Electrical Equipment - 0.26% | |||||||
Regal Rexnord Corp. | |||||||
6.300%, 02/15/2030 (a) | 4,676,000 | 4,670,591 | |||||
6.400%, 04/15/2033 (a) | 2,000,000 | 1,979,433 | |||||
Sensata Technologies, Inc. | |||||||
4.375%, 02/15/2030 (a) | 5,446,000 | 4,870,725 | |||||
3.750%, 02/15/2031 (a) | 3,255,000 | 2,770,527 | |||||
Electronic Equipment, Instruments & Components - 0.45% | |||||||
CDW Finance Corp. | |||||||
3.276%, 12/01/2028 | 4,954,000 | 4,307,022 | |||||
3.250%, 02/15/2029 | 17,218,000 | 14,790,731 | |||||
Corning, Inc. | |||||||
5.750%, 08/15/2040 | 5,107,000 | 5,183,764 | |||||
Electric Utilities - 0.65% | |||||||
Brazos Securitization LLC | |||||||
5.413%, 09/01/2050 (a) | 9,500,000 | 9,829,758 | |||||
CoServ Securitization LLC | |||||||
2022, 5.321%, 02/15/2048 (a) | 19,000,000 | 18,912,851 | |||||
Oglethorpe Power Corp. | |||||||
6.191%, 01/01/2031 (a) | 6,445,000 | 6,593,090 | |||||
Equity Real Estate Investment Trusts (REITs) - 0.28% | |||||||
American Finance Trust, Inc. | |||||||
4.500%, 09/30/2028 (a) | 10,000,000 | 7,661,800 | |||||
Simon Property Group LP | |||||||
6.750%, 02/01/2040 | 6,738,000 | 7,320,551 | |||||
Ground Transportation - 0.32% | |||||||
ERAC USA Finance, LLC | |||||||
4.900%, 05/01/2033 (a) | 8,000,000 | 7,870,315 | |||||
7.000%, 10/15/2037 (a) | 8,316,000 | 9,659,054 | |||||
Healthcare Providers & Services - 1.36% | |||||||
Baptist Health South Florida, Inc. | |||||||
4.342%, 11/15/2041 | 14,760,000 | 12,610,961 | |||||
Centene Corp. | |||||||
2.450%, 07/15/2028 | 16,390,000 | 14,098,186 | |||||
3.000%, 10/15/2030 | 5,965,000 | 4,981,777 | |||||
CommonSpirit Health | |||||||
2.782%, 10/01/2030 | 10,000,000 | 8,495,124 | |||||
3.817%, 10/01/2049 | 1,800,000 | 1,373,465 | |||||
Hackensack Meridian Health, Inc. | |||||||
2.675%, 09/01/2041 | 9,920,000 | 6,940,906 | |||||
HumanGood California Obligated Group | |||||||
3.000%, 10/01/2028 | 2,850,000 | 2,642,167 | |||||
Northwell Healthcare, Inc. | |||||||
3.391%, 11/01/2027 | 4,652,000 | 4,323,204 | |||||
Orlando Health Obligated Group | |||||||
2.891%, 10/01/2035 | 1,000,000 | 800,682 | |||||
Penn State Health | |||||||
3.806%, 11/01/2049 | 5,920,000 | 4,303,748 | |||||
Piedmont Healthcare, Inc. | |||||||
2.719%, 01/01/2042 | 7,000,000 | 4,872,942 | |||||
Sutter Health | |||||||
3.161%, 08/15/2040 | 2,766,000 | 2,066,078 | |||||
Toledo Hospital | |||||||
6.015%, 11/15/2048 | 6,980,000 | 6,628,118 | |||||
Hotels, Restaurants & Leisure - 0.22% | |||||||
Papa John's International, Inc. | |||||||
3.875%, 09/15/2029 (a) | 6,174,000 | 5,177,887 | |||||
Station Casinos, LLC | |||||||
4.625%, 12/01/2031 (a) | 2,000,000 | 1,664,700 | |||||
YMCA of Greater New York | |||||||
2.303%, 08/01/2026 | 5,730,000 | 5,156,147 | |||||
Household Durables - 0.64% | |||||||
Ashton Woods USA, LLC | |||||||
6.625%, 01/15/2028 (a) | 3,620,000 | 3,393,793 | |||||
4.625%, 04/01/2030 (a) | 5,746,000 | 4,751,068 | |||||
KB Home | |||||||
4.800%, 11/15/2029 | 7,722,000 | 7,070,881 | |||||
7.250%, 07/15/2030 | 1,000,000 | 1,011,612 | |||||
M/I Homes, Inc. | |||||||
3.950%, 02/15/2030 | 7,916,000 | 6,807,301 | |||||
Meritage Homes Corp. | |||||||
3.875%, 04/15/2029 (a) | 6,950,000 | 6,091,494 | |||||
Tempur Sealy International, Inc. | |||||||
3.875%, 10/15/2031 (a) | 7,541,000 | 6,041,777 | |||||
Information Technology - 0.31% | |||||||
Dell International LLC | |||||||
8.100%, 07/15/2036 | 14,660,000 | 16,954,838 | |||||
Insurance - 0.12% | |||||||
RGA Global Funding | |||||||
2.700%, 01/18/2029 (a) | 7,750,000 | 6,709,703 | |||||
Machinery - 0.21% | |||||||
Allison Transmission, Inc. | |||||||
3.750%, 01/30/2031 (a) | 13,782,000 | 11,650,649 | |||||
Media - 0.56% | |||||||
CCO Holdings Capital Corp. | |||||||
4.750%, 02/01/2032 (a) | 11,912,000 | 9,555,768 | |||||
4.250%, 01/15/2034 (a) | 12,500,000 | 9,259,049 | |||||
Sirius XM Radio, Inc. | |||||||
3.875%, 09/01/2031 (a) | 15,874,000 | 11,729,035 | |||||
Mortgage Real Estate Investment Trusts (REITs) - 0.22% | �� | ||||||
Arbor Realty SR, Inc. | |||||||
5.000%, 12/30/2028 (a) | 5,000,000 | 4,144,094 | |||||
Arbor Realty Trust, Inc. | |||||||
4.750%, 10/15/2024 (a) | 4,000,000 | 3,809,594 | |||||
4.500%, 03/15/2027 (a) | 5,000,000 | 4,276,432 | |||||
Pharmaceuticals - 0.80% | |||||||
Bristol-Myers Squibb Co. | |||||||
4.125%, 06/15/2039 | 13,734,000 | 12,424,882 | |||||
Johnson & Johnson | |||||||
5.850%, 07/15/2038 | 8,180,000 | 9,222,734 | |||||
Pfizer Investment Enterprises Pte Ltd. | |||||||
5.110%, 05/19/2043 (c) | 7,000,000 | 6,944,392 | |||||
Wyeth, LLC | |||||||
5.950%, 04/01/2037 | 13,738,000 | 15,100,863 | |||||
Professional Services - 0.37% | |||||||
Booz Allen Hamilton, Inc. | |||||||
3.875%, 09/01/2028 (a) | 1,220,000 | 1,092,815 | |||||
4.000%, 07/01/2029 (a) | 12,530,000 | 11,074,515 | |||||
Leidos, Inc. | |||||||
4.375%, 05/15/2030 | 6,310,000 | 5,767,082 | |||||
2.300%, 02/15/2031 | 2,840,000 | 2,220,105 | |||||
Software - 0.54% | |||||||
Open Text Corp. | |||||||
6.900%, 12/01/2027 (a)(c) | 1,000,000 | 1,023,387 | |||||
3.875%, 12/01/2029 (a)(c) | 6,680,000 | 5,571,466 | |||||
Open Text Holdings, Inc. | |||||||
4.125%, 12/01/2031 (a) | 4,175,000 | 3,430,285 | |||||
Oracle Corp. | |||||||
3.850%, 07/15/2036 | 10,200,000 | 8,498,533 | |||||
6.500%, 04/15/2038 | 10,000,000 | 10,691,603 | |||||
Specialty Retail - 1.09% | |||||||
Asbury Automotive Group, Inc. | |||||||
5.000%, 02/15/2032 (a) | 6,400,000 | 5,489,260 | |||||
AutoNation, Inc. | |||||||
3.850%, 03/01/2032 | 12,775,000 | 10,799,669 | |||||
Group 1 Automotive, Inc. | |||||||
4.000%, 08/15/2028 (a) | 17,214,000 | 15,091,479 | |||||
Home Depot, Inc. | |||||||
5.400%, 09/15/2040 | 5,000,000 | 5,114,186 | |||||
Lithia Motors, Inc. | |||||||
3.875%, 06/01/2029 (a) | 10,685,000 | 9,193,335 | |||||
4.375%, 01/15/2031 (a) | 7,000,000 | 5,980,756 | |||||
Penske Automotive Group, Inc. | |||||||
3.750%, 06/15/2029 | 8,950,000 | 7,677,931 | |||||
Technology Hardware, Storage & Peripherals - 0.18% | |||||||
Apple, Inc. | |||||||
4.300%, 05/10/2033 | 10,000,000 | 10,025,780 | |||||
Textiles, Apparel & Luxury Goods - 0.02% | |||||||
Hanesbrands, Inc. | |||||||
9.000%, 02/15/2031 (a) | 1,000,000 | 1,001,266 | |||||
Trading Companies & Distributors - 0.27% | |||||||
Ashtead Capital, Inc. | |||||||
4.250%, 11/01/2029 (a) | 5,000,000 | 4,532,593 | |||||
5.500%, 08/11/2032 (a) | 5,100,000 | 4,907,914 | |||||
United Rentals North America, Inc. | |||||||
3.750%, 01/15/2032 | 6,300,000 | 5,280,376 | |||||
Wireless Telecommunication Services - 0.07% | |||||||
T-Mobile USA, Inc. | |||||||
2.625%, 02/15/2029 | 4,270,000 | 3,738,378 | |||||
TOTAL CORPORATE BONDS (Cost $1,197,773,355) | 1,053,363,431 | ||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 8.82% | |||||||
Adjustable Rate Mortgage Trust | |||||||
2005-3, 3.918%, 07/25/2035 (f) | 277,954 | 273,984 | |||||
2005-10, 4.325%, 01/25/2036 (f) | 5,008,591 | 3,955,965 | |||||
2006-2, 4.190%, 05/25/2036 (f) | 840,783 | 738,501 | |||||
Alternative Loan Trust | |||||||
2004-28CB, 5.000%, 01/25/2020 (e)(g) | 127,195 | 93,051 | |||||
2006-J3, 5.750%, 05/25/2026 | 373,627 | 352,646 | |||||
2004-13CB, 6.000%, 07/25/2034 | 6,974,382 | 6,966,362 | |||||
2004-24CB, 6.000%, 11/25/2034 | 1,339,778 | 1,329,990 | |||||
2004-27CB, 6.000%, 12/25/2034 | 970,158 | 876,331 | |||||
2004-28CB, 6.000%, 01/25/2035 | 296,255 | �� 274,830 | |||||
2005-6CB, 5.750%, 04/25/2035 | 1,822,956 | 1,602,125 | |||||
2005-6CB, 7.500%, 04/25/2035 | 213,760 | 201,441 | |||||
2005-13CB, 5.500% (1 Month LIBOR USD + 0.500%), 05/25/2035 (b) | 907,169 | 753,249 | |||||
2005-9CB, 5.500% (1 Month LIBOR USD + 0.500%), 05/25/2035 (b) | 1,929,162 | 1,685,477 | |||||
2005-9CB, 6.000%, 05/25/2035 | 7,171,078 | 3,924,578 | |||||
2005-21CB, 5.250%, 06/25/2035 | 2,567,502 | 2,009,436 | |||||
2005-21CB, 6.000%, 06/25/2035 | 1,549,435 | 1,254,327 | |||||
2005-J6, 5.500% (1 Month LIBOR USD + 0.500%), 07/25/2035 (b) | 2,673,042 | 2,119,255 | |||||
2005-43, 4.109%, 09/25/2035 (f) | 109,218 | 92,615 | |||||
2005-63, 3.831%, 11/25/2035 (f) | 817,345 | 704,149 | |||||
2005-54CB, 5.500%, 11/25/2035 | 542,476 | 316,821 | |||||
2005-J13, 5.500%, 11/25/2035 | 413,032 | 295,550 | |||||
2005-65CB, 0.000%, 12/25/2035 (e)(h) | 701,504 | 297,181 | |||||
2005-65CB, 5.500%, 01/25/2036 | 101,116 | 70,418 | |||||
2005-75CB, 5.500%, 01/25/2036 | 1,290,326 | 921,781 | |||||
2005-73CB, 5.750%, 01/25/2036 | 334,728 | 188,710 | |||||
2005-86CB, 5.500%, 02/25/2036 | 936,541 | 571,331 | |||||
2005-86CB, 5.500%, 02/25/2036 | 129,782 | 79,172 | |||||
2005-80CB, 6.000%, 02/25/2036 | 4,256,599 | 4,039,480 | |||||
2006-6CB, 5.500%, 05/25/2036 | 94,875 | 79,755 | |||||
2006-12CB, 5.750% (1 Month LIBOR USD + 5.750%), 05/25/2036 (b) | 556,020 | 300,472 | |||||
2006-14CB, 6.000%, 06/25/2036 | 2,353,729 | 1,335,335 | |||||
2006-16CB, 6.000%, 06/25/2036 | 845,473 | 482,413 | |||||
2006-16CB, 6.000%, 06/25/2036 | 973,976 | 555,759 | |||||
2006-16CB, 6.000%, 06/25/2036 | 371,589 | 212,032 | |||||
2006-19CB, 5.538% (1 Month LIBOR USD + 0.400%), 08/25/2036 (b) | 649,608 | 289,639 | |||||
2006-24CB, 5.750%, 08/25/2036 | 2,450,503 | 1,390,449 | |||||
2006-24CB, 5.750%, 08/25/2036 | 3,950,269 | 2,241,436 | |||||
2006-23CB, 6.000%, 08/25/2036 | 597,307 | 560,408 | |||||
2006-23CB, 6.500%, 08/25/2036 | 5,687,746 | 2,003,882 | |||||
2006-J6, 6.000%, 09/25/2036 | 2,735,621 | 1,488,480 | |||||
2006-J6, 6.000%, 09/25/2036 | 2,030,855 | 1,105,010 | |||||
2006-26CB, 6.250%, 09/25/2036 | 5,552,990 | 3,073,011 | |||||
2006-31CB, 5.750%, 11/25/2036 | 1,919,794 | 1,158,103 | |||||
2006-31CB, 6.000%, 11/25/2036 | 212,817 | 132,506 | |||||
2006-30T1, 6.500%, 11/25/2036 | 8,389,726 | 2,864,960 | |||||
2006-39CB, 6.000%, 01/25/2037 | 2,373,874 | 1,945,538 | |||||
2006-41CB, 6.000%, 01/25/2037 | 518,824 | 297,876 | |||||
2007-2CB, 5.750%, 03/25/2037 | 5,659,924 | 3,147,192 | |||||
2007-4CB, 5.750%, 04/25/2037 | 1,113,517 | 947,594 | |||||
2007-4CB, 5.750%, 04/25/2037 | 1,480,343 | 1,259,760 | |||||
2007-8CB, 5.500%, 05/25/2037 | 5,712,667 | 3,210,637 | |||||
2007-8CB, 6.000%, 05/25/2037 | 771,885 | 457,138 | |||||
2007-J2, 6.000%, 07/25/2037 | 2,966,124 | 2,749,823 | |||||
2008-2R, 6.000%, 08/25/2037 (f) | 7,018,443 | 3,657,096 | |||||
2007-23CB, 6.000%, 09/25/2037 | 4,280,479 | 2,357,754 | |||||
2007-13, 6.000%, 06/25/2047 | 2,432,072 | 1,336,417 | |||||
American Home Mortgage Investment Trust | |||||||
2006-2, 6.750%, 06/25/2036 (i) | 2,747,648 | 471,204 | |||||
Banc of America Alternative Loan Trust | |||||||
2005-11, 5.750%, 12/25/2035 | 694,238 | 604,248 | |||||
2005-11, 5.750%, 12/25/2035 | 113,178 | 98,508 | |||||
2006-2, 6.500%, 03/25/2036 | 2,800,072 | 2,294,215 | |||||
2006-9, 5.538% (1 Month LIBOR USD + 0.400%), 01/25/2037 (b) | 872,477 | 677,326 | |||||
2006-9, 6.000%, 01/25/2037 | 181,502 | 158,448 | |||||
2006-4, 6.000%, 05/25/2046 | 884,037 | 773,548 | |||||
2006-4, 6.500%, 05/25/2046 | 555,452 | 499,420 | |||||
2006-4, 6.500%, 05/25/2046 | 2,352,710 | 2,050,555 | |||||
2006-5, 6.000%, 06/25/2046 | 264,642 | 235,720 | |||||
2006-6, 6.000%, 07/25/2046 | 1,021,230 | 872,091 | |||||
Banc of America Funding Trust | |||||||
2003-3, 5.500%, 10/25/2033 | 171,674 | 164,420 | |||||
2004-1, 6.000%, 02/25/2034 | 535,568 | 544,654 | |||||
2004-1, 6.000%, 03/25/2034 | 3,083,978 | 3,132,434 | |||||
2004-B, 3.896%, 11/20/2034 (f) | 1,526,981 | 1,423,881 | |||||
2007-4, 5.500%, 11/25/2034 | 199,460 | 178,909 | |||||
2005-3, 5.500%, 06/25/2035 | 63,589 | 57,100 | |||||
2014-R3, 4.136%, 06/26/2035 (a)(f) | 1,475,358 | 1,433,225 | |||||
2014-R3, 4.551%, 06/26/2035 (a)(f) | 2,787,828 | 2,611,665 | |||||
2005-4, 5.500%, 08/25/2035 | 32,888 | 32,394 | |||||
2005-5, 5.500%, 09/25/2035 | 155,480 | 151,610 | |||||
2005-5, 5.500%, 09/25/2035 | 1,432,721 | 1,405,339 | |||||
2005-7, 5.500%, 11/25/2035 | 2,910,031 | 2,657,267 | |||||
2005-7, 5.750%, 11/25/2035 | 3,743 | 3,729 | |||||
2005-7, 6.000%, 11/25/2035 | 18,620 | 18,369 | |||||
2005-8, 5.750%, 01/25/2036 | 1,914,501 | 1,717,828 | |||||
2006-F, 4.241%, 07/20/2036 (f) | 6,380,377 | 5,522,575 | |||||
2006-5, 5.750%, 09/25/2036 | 324,915 | 297,374 | |||||
2006-7, 6.000%, 09/25/2036 | 431,851 | 370,870 | |||||
2006-I, 3.984%, 12/20/2036 (f) | 2,177,517 | 2,050,088 | |||||
2006-I, 3.984%, 12/20/2036 (f) | 378,769 | 349,951 | |||||
2006-I, 4.061%, 12/20/2036 (f) | 532,076 | 516,449 | |||||
2007-1, 6.689%, 01/25/2037 (i) | 687,777 | 618,728 | |||||
2007-2, 5.198% (1 Month LIBOR USD + 0.060%), 03/25/2037 (b) | 359,729 | 315,665 | |||||
2007-3, 5.998% (1 Month LIBOR USD + 0.860%), 04/25/2037 (b) | 872,144 | 743,668 | |||||
2007-5, 5.500%, 07/25/2037 | 1,292,455 | 1,035,103 | |||||
2007-6, 5.698% (1 Month LIBOR USD + 0.560%), 07/25/2037 (b) | 4,057,487 | 3,721,678 | |||||
2007-6, 5.718% (1 Month LIBOR USD + 0.580%), 07/25/2037 (b) | 983,071 | 902,748 | |||||
2010-R3, 6.000%, 09/26/2037 (a)(f) | 6,285,248 | 6,068,916 | |||||
2006-J, 4.415%, 01/20/2047 (f) | 114,235 | 105,906 | |||||
Banc of America Mortgage Trust | |||||||
2005-A, 3.883%, 02/25/2035 (f) | 1,187,522 | 1,149,002 | |||||
2005-F, 3.932%, 07/25/2035 (f) | 686,767 | 630,829 | |||||
2007-1, 6.000%, 03/25/2037 | 1,555,160 | 1,281,402 | |||||
2006-B, 3.396%, 10/20/2046 (f) | 365,289 | 299,953 | |||||
BCAP LLC Trust | |||||||
2007-AA2, 7.500%, 04/25/2037 (j) | 298,456 | 172,915 | |||||
Bear Stearns ALT-A Trust | |||||||
2006-6, 3.720%, 11/25/2036 (f) | 806,802 | 382,742 | |||||
Bear Stearns ARM Trust | |||||||
2004-12, 2.852%, 02/25/2035 (f) | 45,575 | 42,905 | |||||
Bear Stearns Asset Backed Securities I Trust | |||||||
2005-AC5, 5.500% (1 Month LIBOR USD + 1.000%), 08/25/2035 (b) | 506,511 | 336,967 | |||||
2006-AC4, 5.388% (1 Month LIBOR USD + 0.250%), 07/25/2036 (b) | 2,940,330 | 2,261,539 | |||||
2006-AC4, 13.987% (1 Month LIBOR USD + 36.250%), 07/25/2036 (b)(e)(j) | 679,652 | 843,922 | |||||
Chase Funding Trust | |||||||
2004-1, 5.888% (1 Month LIBOR USD + 0.750%), 09/25/2033 (b) | 1,364 | 1,351 | |||||
Chase Mortgage Finance Trust | |||||||
2005-S2, 5.500%, 10/25/2035 | 615,589 | 592,730 | |||||
2005-S3, 5.500%, 11/25/2035 | 5,385,700 | 4,099,862 | |||||
2005-A1, 3.987%, 12/25/2035 (f) | 739,910 | 690,544 | |||||
2005-A1, 3.987%, 12/25/2035 (f) | 771,387 | 719,921 | |||||
2006-S3, 6.000%, 11/25/2036 | 6,698,035 | 3,093,707 | |||||
2006-S4, 6.000%, 12/25/2036 | 1,226,693 | 569,762 | |||||
2006-S4, 6.000%, 12/25/2036 | 3,958,334 | 1,838,529 | |||||
2007-S1, 6.000%, 02/25/2037 | 4,005,467 | 1,645,914 | |||||
2007-S3, 5.750%, 05/25/2037 | 676,588 | 314,080 | |||||
2007-S3, 6.000%, 05/25/2037 | 2,061,560 | 996,954 | |||||
2007-A2, 4.199%, 07/25/2037 (f) | 851,939 | 743,003 | |||||
ChaseFlex Trust | |||||||
2005-1, 5.500%, 02/25/2035 | 279,463 | 230,832 | |||||
2006-2, 6.170%, 09/25/2036 (f) | 2,340,961 | 2,079,359 | |||||
2007-M1, 4.112%, 08/25/2037 (i) | 1,361,093 | 1,176,075 | |||||
CHL Mortgage Pass-Through Trust | |||||||
2005-20, 5.250%, 12/25/2027 | 19,064 | 12,248 | |||||
2003-42, 3.722%, 10/25/2033 (f) | 720,262 | 666,807 | |||||
2003-44, 5.000%, 10/25/2033 | 227,000 | 219,437 | |||||
2004-4, 5.500%, 05/25/2034 | 434,389 | 409,069 | |||||
2004-14, 4.290%, 08/25/2034 (f) | 2,090,368 | 1,944,256 | |||||
2004-21, 4.000%, 11/25/2034 | 505,147 | 437,616 | |||||
2004-24, 5.500%, 12/25/2034 | 2,391,375 | 2,276,816 | |||||
2004-J9, 5.500%, 01/25/2035 | 461,074 | 454,411 | |||||
2004-HYB5, 3.909%, 04/20/2035 (f) | 561,268 | 548,697 | |||||
2005-HYB2, 4.007%, 05/20/2035 (f) | 734,666 | 694,199 | |||||
2005-13, 5.500%, 06/25/2035 | 1,666,426 | 1,028,383 | |||||
2005-J3, 5.500%, 09/25/2035 | 48,909 | 45,779 | |||||
2005-27, 5.500%, 12/25/2035 | 508,701 | 231,887 | |||||
2005-27, 5.500%, 12/25/2035 | 882,317 | 693,036 | |||||
2005-31, 3.843%, 01/25/2036 (f) | 797,663 | 722,182 | |||||
2005-30, 5.500%, 01/25/2036 | 63,107 | 40,734 | |||||
2005-HY10, 3.677%, 02/20/2036 (f) | 1,495,881 | 1,281,478 | |||||
2005-HY10, 4.260%, 02/20/2036 (f) | 59,619 | 48,172 | |||||
2006-6, 6.000%, 04/25/2036 | 614,156 | 338,340 | |||||
2006-9, 6.000%, 05/25/2036 | 1,146,551 | 561,108 | |||||
2006-J4, 6.250%, 09/25/2036 | 95,038 | 39,030 | |||||
2006-16, 6.500%, 11/25/2036 | 511,911 | 196,474 | |||||
2006-17, 6.000% (1 Month LIBOR USD + 0.550%), 12/25/2036 (b) | 2,826,523 | 1,230,580 | |||||
2006-17, 6.000%, 12/25/2036 | 2,089,896 | 912,801 | |||||
2006-21, 5.750%, 02/25/2037 | 1,193,743 | 591,471 | |||||
2006-21, 6.000%, 02/25/2037 | 2,756,516 | 1,422,869 | |||||
2006-21, 6.000%, 02/25/2037 | 629,375 | 324,873 | |||||
2007-1, 6.000%, 03/25/2037 | 1,955,030 | 990,737 | |||||
2007-5, 5.500%, 05/25/2037 | 777,806 | 403,080 | |||||
2007-5, 5.750%, 05/25/2037 | 5,536,831 | 2,972,617 | |||||
2007-5, 5.750%, 05/25/2037 | 845,441 | 453,901 | |||||
2007-5, 5.750%, 05/25/2037 | 1,631,400 | 875,867 | |||||
2007-10, 6.000%, 07/25/2037 | 1,778,624 | 887,067 | |||||
2007-J2, 6.000%, 07/25/2037 | 2,940,020 | 1,138,983 | |||||
2007-J2, 6.000%, 07/25/2037 | 189,878 | 73,560 | |||||
2007-HY6, 3.801%, 11/25/2037 (f) | 242,762 | 213,685 | |||||
2007-HY5, 4.022%, 09/25/2047 (f) | 5,302,343 | 4,035,852 | |||||
Connecticut Avenue Securities Trust | |||||||
2021-R03, 7.723% (SOFR30A + 2.750%), 12/25/2041 (a)(b) | 5,685,000 | 5,505,105 | |||||
2022-R02, 7.973% (SOFR30A + 3.000%), 01/25/2042 (a)(b) | 10,000,000 | 9,864,111 | |||||
Citicorp Mortgage Securities Trust | |||||||
2006-3, 5.500%, 06/25/2021 (e)(g) | 50,926 | 32,985 | |||||
2006-1, 6.000%, 02/25/2036 | 76,700 | 74,566 | |||||
2006-3, 5.750%, 06/25/2036 | 350,561 | 306,100 | |||||
2006-3, 6.000%, 06/25/2036 | 1,229,569 | 1,089,356 | |||||
2006-3, 6.250%, 06/25/2036 | 1,480,410 | 1,330,534 | |||||
2006-7, 6.000%, 12/25/2036 | 2,674,618 | 2,271,785 | |||||
2007-3, 5.500%, 04/25/2037 | 36,139 | 34,966 | |||||
2007-3, 6.000%, 04/25/2037 | 465,254 | 430,245 | |||||
Citigroup Mortgage Loan Trust | |||||||
2004-2, 9.250%, 08/25/2033 (a) | 11,995 | 10,412 | |||||
2004-HYB3, 4.991%, 09/25/2034 (f) | 452,997 | 418,928 | |||||
2005-WF1, 5.830%, 11/25/2034 (i) | 2,742,380 | 2,713,115 | |||||
2005-1, 3.745%, 04/25/2035 (f) | 320,743 | 299,743 | |||||
2005-2, 3.929%, 05/25/2035 (f) | 354,686 | 341,019 | |||||
2005-5, 6.000%, 08/25/2035 | 1,714,728 | 1,581,695 | |||||
2005-7, 3.482%, 09/25/2035 (f) | 381,942 | 330,585 | |||||
2005-10, 3.863%, 12/25/2035 (f) | 1,010,172 | 659,952 | |||||
2006-AR7, 4.215%, 11/25/2036 (f) | 1,333,935 | 1,201,794 | |||||
2007-AR4, 4.001%, 03/25/2037 (f) | 962,486 | 832,440 | |||||
CitiMortgage Alternative Loan Trust | |||||||
2006-A2, 5.738% (1 Month LIBOR USD + 0.600%), 05/25/2036 (b) | 382,766 | 308,635 | |||||
2006-A4, 6.000%, 09/25/2036 | 956,445 | 842,759 | |||||
2007-A1, 6.000%, 01/25/2037 | 1,422,667 | 1,284,998 | |||||
2007-A1, 6.000%, 01/25/2037 | 2,286,346 | 2,065,100 | |||||
Credit Suisse First Boston Mortgage Securities Corp. | |||||||
2005-8, 7.000%, 09/25/2035 | 2,686,228 | 1,343,611 | |||||
CSFB Mortgage-Backed Pass-Through Certificates | |||||||
2004-8, 5.500%, 12/25/2034 | 139,185 | 137,657 | |||||
2005-3, 5.500%, 07/25/2035 | 362,271 | 358,265 | |||||
2005-9, 5.500%, 10/25/2035 | 524,408 | 252,128 | |||||
2005-10, 5.500%, 11/25/2035 | 411,406 | 312,658 | |||||
2005-10, 5.500%, 11/25/2035 | 1,621,721 | 1,232,463 | |||||
2005-10, 6.000%, 11/25/2035 | 815,038 | 239,889 | |||||
CSMC Mortgage-Backed Trust | |||||||
2006-CF1, 5.500%, 11/25/2035 (a)(i) | 2,565,000 | 2,353,823 | |||||
2006-1, 5.500%, 02/25/2036 | 285,825 | 260,387 | |||||
2006-1, 5.500%, 02/25/2036 | 31,308 | 29,053 | |||||
2006-2, 5.750%, 03/25/2036 | 526,128 | 360,109 | |||||
2006-2, 6.000%, 03/25/2036 | 4,146,622 | 1,873,599 | |||||
2006-4, 6.000%, 05/25/2036 | 517,201 | 305,138 | |||||
2006-4, 7.000%, 05/25/2036 | 505,758 | 78,731 | |||||
2011-12R, 3.684%, 07/27/2036 (a)(f) | 1,069,475 | 1,062,391 | |||||
2006-7, 6.000%, 08/25/2036 | 706,021 | 566,101 | |||||
2007-2, 5.500%, 03/25/2037 | 1,312,860 | 729,500 | |||||
2007-3, 5.500%, 04/25/2037 | 298,462 | 248,256 | |||||
2007-3, 5.500%, 04/25/2037 | 417,553 | 347,313 | |||||
2013-2R, 3.517%, 05/27/2037 (a)(f) | 1,924,317 | 1,292,809 | |||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust | |||||||
2005-3, 5.638% (1 Month LIBOR USD + 0.500%), 05/25/2035 (b) | 880,061 | 754,681 | |||||
2005-6, 5.500%, 12/25/2035 | 1,399,363 | 1,138,523 | |||||
Deutsche Alt-B Securities, Inc. Mortgage Loan Trust | |||||||
2006-AB4, 5.238% (1 Month LIBOR USD + 0.100%), 10/25/2036 (b) | 431,893 | 336,231 | |||||
DFC HEL Trust | |||||||
2001-1, 6.757% (1 Month LIBOR USD + 1.650%), 08/15/2031 (b) | 1,430,577 | 1,369,087 | |||||
Equity One Mortgage Pass-Through Trust | |||||||
2003-1, 4.860%, 08/25/2033 (f) | 403,704 | 395,862 | |||||
2003-3, 4.868%, 12/25/2033 (f) | 1,318,929 | 1,257,081 | |||||
Fannie Mae Connecticut Avenue Securities | |||||||
2016-C01, 12.088% (1 Month LIBOR USD + 6.950%), 08/25/2028 (b) | 1,100,381 | 1,162,972 | |||||
2021-R02, 6.973% (SOFR30A + 2.000%), 11/25/2041 (a)(b) | 2,250,000 | 2,153,251 | |||||
First Horizon Alternative Mortgage Securities Trust | |||||||
2005-FA11, 5.250%, 02/25/2021 (e)(g) | 698 | - | |||||
2006-FA6, 5.750%, 11/25/2021 (g) | 808 | 565 | |||||
2004-AA6, 5.112%, 01/25/2035 (f) | 265,298 | 258,648 | |||||
2004-AA7, 5.275%, 02/25/2035 (f) | 737,646 | 687,401 | |||||
2005-AA5, 5.140%, 07/25/2035 (f) | 1,209,056 | 1,098,021 | |||||
2005-AA7, 5.069%, 09/25/2035 (f) | 1,325,298 | 1,151,822 | |||||
2005-FA8, 5.500%, 11/25/2035 | 1,178,342 | 637,418 | |||||
2006-FA1, 5.750%, 04/25/2036 | 1,915,669 | 943,861 | |||||
2006-FA2, 6.000%, 05/25/2036 | 2,204,899 | 988,887 | |||||
2006-FA2, 6.000%, 05/25/2036 | 1,399,564 | 627,698 | |||||
2006-FA6, 6.000%, 11/25/2036 | 937,197 | 309,338 | |||||
2006-FA6, 6.250%, 11/25/2036 | 1,187,955 | 408,218 | |||||
2006-FA6, 6.250%, 11/25/2036 | 6,837,058 | 3,426,801 | |||||
2007-AA1, 4.497%, 05/25/2037 (f) | 2,188,905 | 1,519,240 | |||||
2007-FA4, 6.250%, 08/25/2037 | 1,803,079 | 799,338 | |||||
First Horizon Mortgage Pass-Through Trust | |||||||
2005-AR3, 3.854%, 08/25/2035 (f) | 1,148,863 | 1,098,222 | |||||
2006-AR4, 4.186%, 01/25/2037 (f) | 2,303,940 | 1,465,617 | |||||
2006-4, 5.750%, 02/25/2037 | 872,397 | 231,163 | |||||
2006-4, 6.000%, 02/25/2037 | 528,267 | 145,959 | |||||
2007-AR1, 4.010%, 05/25/2037 (f) | 493,749 | 214,576 | |||||
2007-AR2, 4.739%, 08/25/2037 (f) | 2,263,103 | 758,462 | |||||
Freddie Mac STACR REMIC Trust | |||||||
2021-HQA1, 7.223% (SOFR30A + 2.250%), 08/25/2033 (a)(b) | 5,719,718 | 5,587,041 | |||||
2021-DNA5, 8.023% (SOFR30A + 3.050%), 01/25/2034 (a)(b) | 7,759,414 | 7,505,630 | |||||
2021-DNA7, 6.773% (SOFR30A + 1.800%), 11/25/2041 (a)(b) | 7,750,000 | 7,439,677 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes | |||||||
2022-DNA1, 6.823% (SOFR30A + 1.850%), 01/25/2042 (a)(b) | 6,800,000 | 6,569,881 | |||||
2020-DNA5, 9.773% (SOFR30A + 4.800%), 10/25/2050 (a)(b) | 10,606,000 | 11,393,218 | |||||
GSAA Home Equity Trust | |||||||
2005-1, 6.260%, 11/25/2034 (i) | 2,050,000 | 2,001,662 | |||||
2006-15, 6.692%, 09/25/2036 (i) | 2,097,788 | 581,714 | |||||
2006-18, 6.182%, 11/25/2036 (i) | 1,674,662 | 408,886 | |||||
2007-7, 5.498% (1 Month LIBOR USD + 0.360%), 07/25/2037 (b) | 777,621 | 736,071 | |||||
GSR Mortgage Loan Trust | |||||||
2005-4F, 6.500%, 04/25/2020 (e)(g) | 47,325 | 47,136 | |||||
2003-5F, 3.000%, 08/25/2032 | 864,450 | 811,803 | |||||
2004-15F, 6.000%, 12/25/2034 | 849,908 | 723,301 | |||||
2005-1F, 6.000%, 01/25/2035 | 14,082 | 12,651 | |||||
2005-AR4, 3.747%, 07/25/2035 (f) | 160,888 | 150,827 | |||||
2005-7F, 6.000%, 09/25/2035 | 16,998 | 16,409 | |||||
2005-AR5, 4.029%, 10/25/2035 (f) | 541,285 | 496,861 | |||||
2005-AR7, 3.660%, 11/25/2035 (f) | 380,244 | 339,170 | |||||
2006-2F, 5.750%, 02/25/2036 | 447,002 | 401,893 | |||||
HarborView Mortgage Loan Trust | |||||||
2006-6, 4.061%, 08/19/2036 (f) | 2,020,858 | 1,605,131 | |||||
Impac CMB Trust | |||||||
2005-5, 5.638% (1 Month LIBOR USD + 0.250%), 08/25/2035 (b) | 400,191 | 366,888 | |||||
Impac Secured Assets CMN Owner Trust | |||||||
2002-2, 6.500%, 04/25/2033 | 926,482 | 899,615 | |||||
2004-2, 4.812%, 08/25/2034 (i) | 109,447 | 106,295 | |||||
IndyMac IMSC Mortgage Loan Trust | |||||||
2007-AR1, 3.727%, 06/25/2037 (f) | 359,672 | 250,027 | |||||
IndyMac INDA Mortgage Loan Trust | |||||||
2007-AR1, 3.550%, 03/25/2037 (f) | 309,025 | 257,070 | |||||
IndyMac INDX Mortgage Loan Trust | |||||||
2004-AR4, 4.000%, 08/25/2034 (f) | 2,317,652 | 2,144,739 | |||||
2004-AR11, 3.219%, 12/25/2034 (f) | 903,849 | 870,015 | |||||
2005-AR3, 3.312%, 04/25/2035 (f) | 794,715 | 727,346 | |||||
2005-AR9, 4.161%, 07/25/2035 (f) | 2,859,681 | 1,621,691 | |||||
2005-AR23, 3.483%, 11/25/2035 (f) | 978,923 | 852,261 | |||||
2005-AR23, 3.485%, 11/25/2035 (f) | 610,384 | 528,085 | |||||
2005-AR25, 3.472%, 12/25/2035 (f) | 1,791,049 | 1,131,456 | |||||
2005-AR35, 3.409%, 02/25/2036 (f) | 1,145,181 | 880,329 | |||||
2006-AR3, 3.425%, 03/25/2036 (f) | 5,005,515 | 3,547,655 | |||||
2006-AR9, 3.348%, 06/25/2036 (f) | 1,585,123 | 1,276,706 | |||||
2006-AR25, 3.172%, 09/25/2036 (f) | 4,246,957 | 3,742,493 | |||||
2006-AR25, 3.582%, 09/25/2036 (f) | 1,943,737 | 1,322,729 | |||||
2006-AR31, 3.429%, 11/25/2036 (f) | 3,772,281 | 3,301,484 | |||||
Jefferies Resecuritization Trust | |||||||
2009-R1, 3.660%, 11/26/2035 (a)(f) | 523,179 | 465,662 | |||||
JP Morgan Alternative Loan Trust | |||||||
2006-S4, 6.460%, 12/25/2036 (i) | 407,059 | 390,377 | |||||
JP Morgan Mortgage Trust | |||||||
2005-S3, 5.750%, 01/25/2036 | 46,686 | 23,506 | |||||
2007-A3, 4.225%, 05/25/2037 (f) | 2,541,133 | 2,073,256 | |||||
Lehman Mortgage Trust | |||||||
2005-2, 5.500%, 12/25/2035 | 1,436,283 | 811,662 | |||||
2005-2, 5.750%, 12/25/2035 | 520,672 | 287,310 | |||||
2005-3, 0.000% (1 Month LIBOR USD + 4.750%), 01/25/2036 (b)(e)(h)(j)(k) | 832,169 | 72,140 | |||||
2005-3, 5.500% (1 Month LIBOR USD + 0.500%), 01/25/2036 (b) | 832,169 | 340,088 | |||||
2006-1, 5.500%, 02/25/2036 | 361,756 | 189,171 | |||||
2006-3, 6.000%, 07/25/2036 | 3,166,676 | 1,614,496 | |||||
2006-3, 6.000%, 07/25/2036 | 7,000,974 | 3,569,380 | |||||
2007-4, 5.750%, 05/25/2037 | 1,009,236 | 504,308 | |||||
2007-4, 5.750%, 05/25/2037 | 2,205,182 | 1,101,914 | |||||
2007-5, 5.750%, 06/25/2037 | 1,379,875 | 1,259,728 | |||||
2007-5, 6.000%, 06/25/2037 | 2,310,474 | 660,547 | |||||
2007-5, 6.000%, 06/25/2037 | 6,310,598 | 1,804,153 | |||||
MASTR Adjustable Rate Mortgages Trust | |||||||
2004-4, 3.806%, 05/25/2034 (f) | 83,229 | 77,120 | |||||
2005-1, 3.429%, 02/25/2035 (f) | 102,049 | 94,224 | |||||
MASTR Alternative Loan Trust | |||||||
2003-5, 5.874%, 08/25/2033 (f) | 607,531 | 373,302 | |||||
2003-7, 6.250%, 11/25/2033 | 66,079 | 67,947 | |||||
2004-6, 5.500%, 07/25/2034 | 179,216 | 171,453 | |||||
2004-6, 6.000%, 07/25/2034 | 105,329 | 102,511 | |||||
2004-11, 6.500%, 10/25/2034 | 371,009 | 365,315 | |||||
2005-2, 5.500%, 03/25/2035 | 2,000,000 | 1,993,669 | |||||
MASTR Asset Securitization Trust | |||||||
2002-NC1, 8.288% (1 Month LIBOR USD + 3.150%), 10/25/2032 (b) | 230,706 | 228,040 | |||||
2006-1, 5.588% (1 Month LIBOR USD + 0.450%), 05/25/2036 (b) | 574,475 | 86,297 | |||||
Merrill Lynch Mortgage Investors Trust | |||||||
2006-F1, 6.000%, 04/25/2036 | 1,992,290 | 1,008,193 | |||||
Merrill Lynch Mortgage Investors Trust MLCC | |||||||
2004-D, 5.997% (6 Month LIBOR USD + 0.720%), 09/25/2029 (b) | 574,693 | 544,383 | |||||
Merrill Lynch Mortgage Investors Trust MLMI | |||||||
2005-A5, 4.173%, 06/25/2035 (f) | 273,283 | 256,495 | |||||
2005-A7, 3.908%, 09/25/2035 (f) | 3,693,635 | 2,996,934 | |||||
Morgan Stanley Mortgage Loan Trust | |||||||
2005-7, 5.500%, 11/25/2035 | 697,223 | 665,025 | |||||
2005-7, 5.500%, 11/25/2035 | 321,289 | 279,252 | |||||
2006-2, 5.468%, 02/25/2036 (f) | 1,309,486 | 790,751 | |||||
2006-2, 6.500%, 02/25/2036 | 884,942 | 427,488 | |||||
2006-11, 6.000%, 08/25/2036 | 1,962,329 | 929,628 | |||||
2006-11, 6.000%, 08/25/2036 | 1,385,546 | 958,681 | |||||
Morgan Stanley Reremic Trust | |||||||
2012-R3, 3.347%, 11/26/2036 (a)(f) | 1,910,777 | 1,525,242 | |||||
Nomura Asset Acceptance Corp. Alternative Loan Trust | |||||||
2005-WF1, 5.659%, 03/25/2035 (i) | 20,944 | 20,497 | |||||
2005-AR3, 5.688%, 07/25/2035 (f) | 540,209 | 529,624 | |||||
Nomura Resecuritization Trust | |||||||
2014-5R, 5.500%, 06/26/2035 (a)(f) | 3,432,971 | 2,865,744 | |||||
2011-4RA, 2.768%, 12/26/2036 (a)(f) | 5,470,464 | 4,894,908 | |||||
Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates | |||||||
2005-5, 5.850%, 12/25/2035 (f) | 52,543 | 52,003 | |||||
RAAC Trust | |||||||
2005-SP1, 6.000%, 09/25/2034 | 2,788 | 2,609 | |||||
RALI Trust | |||||||
2006-QS1, 5.750%, 01/25/2036 | 178,077 | 140,253 | |||||
2006-QA1, 5.753%, 01/25/2036 (f) | 50,471 | 62,705 | |||||
2006-QS9, 5.838% (1 Month LIBOR USD + 0.700%), 07/25/2036 (b) | 1,316,788 | 907,583 | |||||
2006-QS13, 6.000%, 09/25/2036 | 1,925,473 | 1,471,773 | |||||
2006-QS17, 6.000%, 12/25/2036 | 304,616 | 247,793 | |||||
2007-QS6, 6.000%, 04/25/2037 | 2,574,871 | 2,088,687 | |||||
2007-QS10, 6.500%, 09/25/2037 | 277,376 | 223,716 | |||||
RBSSP Resecuritization Trust | |||||||
2009-7, 6.000%, 03/26/2036 (a)(f) | 3,795,168 | 2,200,972 | |||||
Renaissance Home Equity Loan Trust | |||||||
2005-1, 5.516%, 05/25/2035 (i) | 77,974 | 77,468 | |||||
Resecuritization Pass-Through Trust | |||||||
2005-8R, 6.000%, 10/25/2034 | 1,619,464 | 1,574,103 | |||||
Residential Asset Securitization Trust | |||||||
2003-A9, 4.000%, 08/25/2033 | 887,372 | 768,346 | |||||
2004-R2, 5.500%, 08/25/2034 | 1,615,367 | 1,573,858 | |||||
2005-A5, 5.500%, 05/25/2035 | 1,039,314 | 736,117 | |||||
2005-A11, 4.850%, 10/25/2035 | 3,499,822 | 1,430,843 | |||||
2005-A11, 5.500%, 10/25/2035 | 241,117 | 170,639 | |||||
2005-A11, 6.000%, 10/25/2035 | 398,571 | 196,616 | |||||
2005-A15, 5.750%, 02/25/2036 | 3,470,860 | 1,457,358 | |||||
2006-A5CB, 6.000%, 06/25/2036 | 2,283,086 | 1,007,033 | |||||
2006-A10, 0.712% (1 Month LIBOR USD + 5.850%), 09/25/2036 (b)(e)(j)(k) | 10,209,584 | 1,101,489 | |||||
2006-A10, 5.788% (1 Month LIBOR USD + 0.650%), 09/25/2036 (b) | 10,209,584 | 2,476,447 | |||||
2006-A15, 0.512% (1 Month LIBOR USD + 5.650%), 01/25/2037 (b)(e)(j)(k) | 16,544,926 | 1,845,677 | |||||
2006-A15, 5.738% (1 Month LIBOR USD + 0.600%), 01/25/2037 (b) | 16,544,926 | 4,305,293 | |||||
RFMSI Trust | |||||||
2005-SA4, 4.148%, 09/25/2035 (f) | 1,646,349 | 1,058,148 | |||||
2005-SA4, 4.292%, 09/25/2035 (f) | 1,246,390 | 809,921 | |||||
2006-S3, 5.500%, 03/25/2036 | 1,868,712 | 1,526,378 | |||||
2006-S4, 6.000%, 04/25/2036 | 1,805,833 | 1,455,367 | |||||
2006-S5, 6.000%, 06/25/2036 | 164,147 | 138,597 | |||||
2006-S5, 6.000%, 06/25/2036 | 337,905 | 285,310 | |||||
2006-S5, 6.000%, 06/25/2036 | 1,416,080 | 1,195,666 | |||||
2006-S5, 6.000%, 06/25/2036 | 175,994 | 146,092 | |||||
2006-S6, 6.000%, 07/25/2036 | 96,279 | 81,518 | |||||
2006-S6, 6.000%, 07/25/2036 | 495,667 | 419,672 | |||||
2006-S7, 6.250%, 08/25/2036 | 1,135,234 | 957,183 | |||||
2006-S7, 6.500%, 08/25/2036 | 678,712 | 581,443 | |||||
2006-S9, 5.750%, 09/25/2036 | 1,373,920 | 1,043,318 | |||||
2007-S1, 6.000%, 01/25/2037 | 460,764 | 364,607 | |||||
2007-S7, 6.000%, 07/25/2037 | 1,482,335 | 1,167,911 | |||||
Specialty Underwriting & Residential Finance Trust | |||||||
2006-BC2, 3.927%, 02/25/2037 (i) | 783,650 | 309,755 | |||||
STARM Mortgage Loan Trust | |||||||
2007-1, 4.055%, 02/25/2037 (f) | 3,304,175 | 2,859,402 | |||||
2007-2, 4.181%, 04/25/2037 (f) | 440,478 | 195,178 | |||||
Structured Adjustable Rate Mortgage Loan Trust | |||||||
2004-18, 4.481%, 12/25/2034 (f) | 458,877 | 424,306 | |||||
2005-12, 4.680%, 06/25/2035 (f) | 591,348 | 463,679 | |||||
2005-21, 4.820%, 11/25/2035 (f) | 3,305,858 | 2,362,308 | |||||
2006-1, 3.393%, 02/25/2036 (f) | 123,421 | 112,151 | |||||
2006-1, 4.202%, 02/25/2036 (f) | 1,041,922 | 843,469 | |||||
2006-4, 4.174%, 05/25/2036 (f) | 588,729 | 382,747 | |||||
2006-12, 4.188%, 01/25/2037 (f) | 571,337 | 444,583 | |||||
2007-5, 5.578% (1 Month LIBOR USD + 0.440%), 06/25/2037 (b) | 1,523,938 | 1,336,420 | |||||
2007-6, 5.518% (1 Month LIBOR USD + 0.380%), 07/25/2037 (b) | 4,403,014 | 3,851,191 | |||||
2007-9, 6.887% (6 Month LIBOR USD + 1.500%), 10/25/2037 (b) | 881,679 | 783,359 | |||||
Suntrust Alternative Loan Trust | |||||||
2005-1F, 5.750%, 12/25/2035 | 780,392 | 712,176 | |||||
2005-1F, 6.000%, 12/25/2035 | 1,802,094 | 1,658,791 | |||||
2005-1F, 6.500%, 12/25/2035 | 1,884,317 | 1,721,755 | |||||
TBW Mortgage-Backed Trust | |||||||
2006-2, 5.500%, 07/25/2036 (e) | 80,750 | 7,408 | |||||
Volt, LLC | |||||||
2021-NPL4, 4.949%, 03/27/2051 (a)(i) | 1,650,000 | 1,287,164 | |||||
WaMu Mortgage Pass-Through Certificates Trust | |||||||
2003-S4, 5.663%, 06/25/2033 (f) | 2,297,544 | 2,218,620 | |||||
2003-AR10, 4.229%, 10/25/2033 (f) | 6,802,874 | 6,425,516 | |||||
2004-S2, 6.000%, 06/25/2034 | 44,810 | 43,970 | |||||
2005-AR14, 3.901%, 12/25/2035 (f) | 4,184,777 | 3,955,986 | |||||
2006-AR10, 3.595%, 09/25/2036 (f) | 907,336 | 785,707 | |||||
2006-AR16, 3.529%, 12/25/2036 (f) | 1,058,521 | 930,465 | |||||
2007-HY2, 3.654%, 12/25/2036 (f) | 13,083,858 | 11,733,573 | |||||
2007-HY3, 3.974%, 03/25/2037 (f) | 2,309,618 | 2,112,117 | |||||
2007-HY5, 3.975%, 05/25/2037 (f) | 1,135,492 | 1,004,916 | |||||
2007-HY7, 3.387%, 07/25/2037 (f) | 203,508 | 152,020 | |||||
2006-AR8, 3.679%, 08/25/2046 (f) | 1,535,498 | 1,372,613 | |||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | |||||||
2005-1, 6.000%, 03/25/2035 | 934,424 | 847,605 | |||||
2005-4, 5.500%, 06/25/2035 | 2,687,838 | 2,246,615 | |||||
2005-5, 5.500%, 07/25/2035 | 990,845 | 905,255 | |||||
2005-6, 5.500%, 08/25/2035 | 2,545,974 | 2,179,724 | |||||
2005-6, 5.500%, 08/25/2035 | 556,583 | 476,516 | |||||
2005-6, 5.500%, 08/25/2035 | 1,152,300 | 1,008,217 | |||||
2005-6, 6.500%, 08/25/2035 | 260,332 | 234,255 | |||||
2005-9, 5.500%, 11/25/2035 | 384,563 | 322,966 | |||||
2006-8, 4.167%, 10/25/2036 (i) | 2,275,033 | 852,522 | |||||
2007-HY1, 5.458% (1 Month LIBOR USD + 0.320%), 02/25/2037 (b) | 1,741,911 | 1,327,048 | |||||
2007-HY2, 3.874%, 04/25/2037 (f) | 1,154,444 | 611,716 | |||||
2007-OC2, 5.758% (1 Month LIBOR USD + 0.620%), 06/25/2037 (b) | 3,892,436 | 3,587,189 | |||||
2007-OC1, 5.618% (1 Month LIBOR USD + 0.480%), 01/25/2047 (b) | 3,542,853 | 3,172,679 | |||||
Wells Fargo Alternative Loan Trust | |||||||
2007-PA1, 6.000%, 03/25/2037 | 800,375 | 701,615 | |||||
2007-PA6, 4.392%, 12/28/2037 (f) | 3,224,218 | 2,962,877 | |||||
Wells Fargo Mortgage Backed Securities Trust | |||||||
2004-J, 3.701%, 07/25/2034 (f) | 3,229,093 | 2,949,269 | |||||
2005-AR14, 4.336%, 08/25/2035 (f) | 548,953 | 527,523 | |||||
2006-AR1, 4.651%, 03/25/2036 (f) | 1,510,760 | 1,411,381 | |||||
2006-AR5, 4.678%, 04/25/2036 (f) | 1,432,948 | 1,340,296 | |||||
2006-AR5, 4.709%, 04/25/2036 (f) | 3,482,122 | 3,307,183 | |||||
2006-AR19, 4.563%, 12/25/2036 (f) | 1,411,030 | 1,360,391 | |||||
2007-AR3, 4.628%, 04/25/2037 (f) | 670,198 | 583,346 | |||||
TOTAL NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $595,059,983) | 480,518,022 | ||||||
NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES - 16.92% | |||||||
Arbor Multifamily Mortgage Securities Trust | |||||||
2022-MF4, 1.293%, 02/15/2055 (a)(f)(k) | 19,700,000 | 1,687,366 | |||||
2022-MF4, 3.293%, 02/15/2055 (a)(f) | 7,852,000 | 6,190,008 | |||||
BANK | |||||||
2019-BNK16, 0.941%, 02/15/2052 (f)(k) | 77,780,262 | 3,111,911 | |||||
2019-BNK17, 0.562%, 04/15/2052 (f)(k) | 123,653,000 | 3,580,793 | |||||
2019-BNK17, 1.590%, 04/15/2052 (a)(f)(k) | 11,541,000 | 875,284 | |||||
2019-BNK21, 1.110%, 10/17/2052 (a)(f)(k) | 18,699,333 | 1,056,602 | |||||
2019-BNK21, 2.808%, 10/17/2052 | 11,582,000 | 10,590,383 | |||||
2019-BNK23, 0.175%, 12/15/2052 (f)(k) | 238,421,000 | 2,634,337 | |||||
2020-BNK29, 0.655%, 11/15/2053 (f)(k) | 132,417,000 | 5,186,191 | |||||
2020-BNK29, 2.500%, 11/15/2053 (a) | 1,250,000 | 685,018 | |||||
2020-BNK29, 3.028%, 11/15/2053 (f) | 1,170,000 | 803,179 | |||||
2020-BNK30, 2.500%, 12/15/2053 (a)(f) | 5,550,000 | 3,006,102 | |||||
2020-BNK30, 2.757%, 12/15/2053 (f) | 5,450,000 | 3,692,050 | |||||
2021-BNK31, 1.739%, 02/15/2054 | 7,250,000 | 6,243,699 | |||||
2021-BNK32, 2.332%, 04/15/2054 | 10,727,500 | 9,395,543 | |||||
2021-BNK32, 2.500%, 04/15/2054 (a) | 5,000,000 | 2,634,360 | |||||
2021-BNK32, 3.263%, 04/15/2054 (f) | 800,000 | 559,933 | |||||
2023-BNK45, 2.279%, 02/15/2056 (a)(f)(k) | 22,611,000 | 3,683,113 | |||||
2019-BNK20, 2.933%, 09/15/2062 | 2,100,000 | 1,925,866 | |||||
2019-BNK24, 0.186%, 11/15/2062 (f)(k) | 174,693,000 | 2,164,970 | |||||
2020-BNK25, 0.876%, 01/15/2063 (f)(k) | 158,243,465 | 7,058,608 | |||||
2020-BNK26, 0.599%, 03/15/2063 (f)(k) | 226,593,000 | 7,903,201 | |||||
2020-BNK28, 0.974%, 03/15/2063 (f)(k) | 29,969,467 | 1,746,006 | |||||
2020-BNK26, 2.041%, 03/15/2063 | 5,200,000 | 4,618,326 | |||||
2021-BNK34, 0.976%, 06/15/2063 (f)(k) | 95,634,052 | 5,187,459 | |||||
2021-BNK34, 2.754%, 06/15/2063 (f) | 8,000,000 | 5,900,428 | |||||
2022-BNK40, 2.500%, 03/15/2064 (a) | 2,470,000 | 1,295,572 | |||||
2021-BNK33, 2.218%, 05/15/2064 | 12,599,000 | 10,946,519 | |||||
2021-BNK35, 1.044%, 06/15/2064 (f)(k) | 61,107,940 | 3,573,427 | |||||
2021-BNK35, 2.067%, 06/15/2064 | 10,400,000 | 8,884,699 | |||||
2021-BNK35, 2.902%, 06/15/2064 (f) | 8,000,000 | 5,359,506 | |||||
2021-BNK36, 2.283%, 09/15/2064 | 12,250,000 | 10,680,791 | |||||
2021-BNK37, 2.487%, 11/15/2064 | 14,400,000 | 12,544,914 | |||||
Barclays Commercial Mortgage Trust | |||||||
2019-C3, 0.759%, 05/15/2052 (f)(k) | 56,340,000 | 2,248,197 | |||||
2019-C4, 1.136%, 08/15/2052 (f)(k) | 43,170,000 | 2,467,766 | |||||
2019-C5, 0.371%, 11/15/2052 (f)(k) | 174,774,000 | 3,138,958 | |||||
2019-C5, 1.351%, 11/15/2052 (a)(f)(k) | 12,996,000 | 860,165 | |||||
BBCMS Mortgage Trust | |||||||
2020-C6, 0.676%, 02/15/2053 (f)(k) | 59,000,000 | 2,326,028 | |||||
2020-C6, 1.048%, 02/15/2053 (f)(k) | 92,757,499 | 4,671,036 | |||||
2020-C7, 0.986%, 04/15/2053 (f)(k) | 17,140,000 | 1,001,247 | |||||
2020-C7, 1.620%, 04/15/2053 (f)(k) | 21,937,433 | 1,528,982 | |||||
2021-C9, 0.993%, 02/15/2054 (f)(k) | 68,467,000 | 4,196,753 | |||||
2021-C9, 1.960%, 02/15/2054 | 10,000,000 | 8,710,015 | |||||
2021-C9, 2.534%, 02/15/2054 | 8,500,000 | 6,780,324 | |||||
2021-C10, 1.146%, 07/15/2054 (f)(k) | 74,931,500 | 4,642,366 | |||||
2021-C10, 1.293%, 07/15/2054 (f)(k) | 65,049,092 | 4,358,484 | |||||
2021-C10, 2.268%, 07/15/2054 | 10,000,000 | 8,683,849 | |||||
2021-C11, 0.965%, 09/15/2054 (f)(k) | 29,540,000 | 1,964,974 | |||||
2021-C12, 0.594%, 11/15/2054 (f)(k) | 59,992,000 | 2,585,193 | |||||
2021-C12, 0.954%, 11/15/2054 (f)(k) | 101,558,895 | 5,648,035 | |||||
2021-C12, 2.758%, 11/15/2054 | 9,000,000 | 6,577,276 | |||||
2022-C14, 0.254%, 02/15/2055 (f)(k) | 166,823,000 | 3,882,055 | |||||
2022-C14, 0.725%, 02/15/2055 (f)(k) | 99,445,147 | 4,214,068 | |||||
2022-C15, 1.331%, 04/15/2055 (a)(f)(k) | 25,000,000 | 2,339,430 | |||||
2022-C17, 1.151%, 09/15/2055 (f)(k) | 65,216,382 | 5,231,313 | |||||
2023-C19, 5.753%, 04/15/2056 | 10,000,000 | 10,102,862 | |||||
Benchmark Mortgage Trust | |||||||
2019-B9, 1.028%, 03/15/2052 (f)(k) | 28,904,409 | 1,287,827 | |||||
2019-B9, 2.000%, 03/15/2052 (a)(f)(k) | 11,513,000 | 1,050,226 | |||||
2019-B12, 0.389%, 08/15/2052 (a)(f)(k) | 93,260,000 | 1,941,235 | |||||
2020-B16, 0.301%, 02/15/2053 (a)(f)(k) | 70,467,000 | 972,959 | |||||
2020-B16, 1.044%, 02/15/2053 (f)(k) | 102,788,615 | 4,752,761 | |||||
2020-B20, 0.582%, 10/15/2053 (f)(k) | 79,394,000 | 2,610,300 | |||||
2020-B21, 1.798%, 12/17/2053 | 5,966,000 | 5,131,376 | |||||
2021-B23, 0.906%, 02/15/2054 (a)(f)(k) | 105,441,000 | 6,053,167 | |||||
2021-B23, 1.270%, 02/15/2054 (f)(k) | 66,440,561 | 4,384,904 | |||||
2021-B23, 1.766%, 02/15/2054 | 5,000,000 | 4,225,122 | |||||
2021-B24, 0.590%, 03/15/2054 (f)(k) | 99,123,000 | 3,971,938 | |||||
2021-B24, 1.150%, 03/15/2054 (f)(k) | 66,534,852 | 3,979,237 | |||||
2021-B24, 2.256%, 03/15/2054 | 5,400,000 | 4,621,007 | |||||
2021-B25, 0.660%, 04/15/2054 (f)(k) | 93,350,000 | 4,134,733 | |||||
2021-B25, 1.098%, 04/15/2054 (f)(k) | 79,083,768 | 4,869,290 | |||||
2021-B26, 1.369%, 06/15/2054 (a)(f)(k) | 10,836,000 | 930,126 | |||||
2021-B26, 2.000%, 06/15/2054 (a) | 2,250,000 | 1,094,575 | |||||
2021-B26, 2.576%, 06/15/2054 (f) | 6,000,000 | 4,386,726 | |||||
2021-B27, 1.264%, 07/15/2054 (f)(k) | 51,965,845 | 3,657,408 | |||||
2021-B27, 1.488%, 07/15/2054 (a)(f)(k) | 28,014,000 | 2,671,953 | |||||
2021-B27, 2.000%, 07/15/2054 (a) | 5,000,000 | 2,457,601 | |||||
2021-B27, 2.355%, 07/15/2054 | 6,000,000 | 4,337,831 | |||||
2021-B27, 2.703%, 07/15/2054 | 2,000,000 | 1,324,087 | |||||
2021-B28, 0.955%, 08/15/2054 (f)(k) | 32,491,000 | 2,088,041 | |||||
2021-B28, 1.279%, 08/15/2054 (f)(k) | 85,889,925 | 6,110,828 | |||||
2021-B28, 1.980%, 08/15/2054 | 10,000,000 | 8,411,899 | |||||
2021-B29, 1.306%, 09/15/2054 (a)(f)(k) | 27,615,000 | 2,258,457 | |||||
2021-B29, 2.000%, 09/15/2054 (a) | 8,953,000 | 3,621,206 | |||||
2021-B30, 0.594%, 11/15/2054 (a)(f)(k) | 83,683,000 | 3,210,164 | |||||
2021-B30, 1.299%, 11/15/2054 (a)(f)(k) | 18,582,000 | 1,538,565 | |||||
2021-B30, 2.000%, 11/15/2054 (a) | 2,250,000 | 902,224 | |||||
2021-B30, 2.000%, 11/15/2054 (a) | 1,500,000 | 715,582 | |||||
2021-B30, 2.431%, 11/15/2054 | 5,250,000 | 4,529,419 | |||||
2021-B30, 2.879%, 11/15/2054 (f) | 7,250,000 | 4,791,993 | |||||
2021-B31, 0.428%, 12/15/2054 (a)(f)(k) | 124,409,000 | 4,000,409 | |||||
2021-B31, 0.771%, 12/15/2054 (f)(k) | 143,415,635 | 6,803,408 | |||||
2021-B31, 1.143%, 12/15/2054 (a)(f)(k) | 31,991,000 | 2,397,214 | |||||
2021-B31, 2.250%, 12/15/2054 (a) | 3,000,000 | 1,444,706 | |||||
2021-B31, 2.615%, 12/15/2054 | 10,000,000 | 8,695,991 | |||||
2022-B32, 1.522%, 01/15/2055 (a)(f)(k) | 39,202,000 | 3,653,105 | |||||
2022-B32, 2.000%, 01/15/2055 (a) | 5,000,000 | 2,563,921 | |||||
2022-B32, 3.411%, 01/15/2055 (f) | 10,000,000 | 8,166,177 | |||||
2022-B33, 1.615%, 03/15/2055 (a)(f)(k) | 21,919,000 | 2,268,709 | |||||
2023-B38, 5.626%, 04/15/2056 | 10,000,000 | 10,004,293 | |||||
2019-B13, 0.402%, 08/15/2057 (a)(f)(k) | 82,774,000 | 1,724,240 | |||||
2019-B13, 1.503%, 08/15/2057 (a)(f)(k) | 12,071,000 | 900,662 | |||||
BMO Mortgage Trust | |||||||
2022-C1, 1.765%, 02/17/2055 (a)(f)(k) | 30,550,000 | 3,573,614 | |||||
2023-C5, 5.914%, 06/15/2056 | 10,000,000 | 10,341,178 | |||||
California Housing Finance Agency | |||||||
2021-2, 0.844%, 03/25/2035 (h)(k) | 31,837,776 | 1,661,295 | |||||
0.797%, 11/20/2035 (h)(k) | 28,072,451 | 1,470,154 | |||||
2021-3, 0.765%, 08/20/2036 (f)(k) | 25,699,090 | 1,416,791 | |||||
Cantor Commercial Real Estate Lending | |||||||
2019-CF2, 0.651%, 11/15/2052 (f)(k) | 134,736,000 | 4,359,707 | |||||
CCUBS Commercial Mortgage Trust | |||||||
2017-C1, 0.318%, 11/15/2050 (f)(k) | 40,062,667 | 501,508 | |||||
CD Mortgage Trust | |||||||
2017-CD3, 0.562%, 02/10/2050 (f)(k) | 61,857,000 | 1,177,677 | |||||
2018-CD7, 4.213%, 08/15/2051 | 3,236,000 | 3,130,274 | |||||
CGMS Commercial Mortgage Trust | |||||||
2017-B1, 0.157%, 08/15/2050 (f)(k) | 38,016,000 | 290,009 | |||||
Citigroup Commercial Mortgage Trust | |||||||
2013-GC17, 5.110%, 11/10/2046 (f) | 5,000,000 | 4,676,188 | |||||
2014-GC19, 4.805%, 03/11/2047 (f) | 3,030,000 | 2,956,618 | |||||
2014-GC19, 5.087%, 03/11/2047 (f) | 2,882,579 | 2,787,080 | |||||
2016-C1, 4.117%, 05/10/2049 | 3,000,000 | 2,732,679 | |||||
2016-C1, 4.941%, 05/10/2049 (f) | 8,348,000 | 7,486,346 | |||||
2016-P6, 4.160%, 12/10/2049 (f) | 6,835,000 | 5,944,331 | |||||
2017-P7, 0.594%, 04/14/2050 (f)(k) | 45,124,000 | 921,058 | |||||
2017-P8, 4.192%, 09/15/2050 | 4,160,000 | 3,653,750 | |||||
2017-P8, 4.259%, 09/15/2050 (f) | 5,000,000 | 4,207,271 | |||||
2017-C4, 0.288%, 10/12/2050 (f)(k) | 42,746,500 | 464,009 | |||||
2017-C4, 1.026%, 10/12/2050 (f)(k) | 28,105,687 | 892,645 | |||||
2018-B2, 0.374%, 03/10/2051 (f)(k) | 49,202,000 | 826,707 | |||||
2018-C5, 0.327%, 06/10/2051 (a)(f)(k) | 28,400,000 | 467,308 | |||||
2018-C6, 4.343%, 11/10/2051 | 5,000,000 | 4,828,872 | |||||
2020-GC46, 0.317%, 02/15/2053 (a)(f)(k) | 92,457,000 | 1,884,505 | |||||
2020-GC46, 0.979%, 02/15/2053 (f)(k) | 89,092,122 | 4,237,988 | |||||
2019-GC41, 1.040%, 08/10/2056 (f)(k) | 52,700,345 | 2,240,418 | |||||
2019-GC41, 3.018%, 08/10/2056 | 10,339,000 | 8,715,433 | |||||
2019-C7, 0.283%, 12/15/2072 (a)(f)(k) | 50,711,000 | 847,563 | |||||
2019-C7, 0.864%, 12/15/2072 (f)(k) | 75,663,916 | 3,202,785 | |||||
2019-C7, 1.200%, 12/15/2072 (a)(f)(k) | 39,933,000 | 2,505,177 | |||||
2019-C7, 3.667%, 12/15/2072 (f) | 10,000,000 | 8,196,087 | |||||
COMM Mortgage Trust | |||||||
2014-CR18, 4.456%, 07/15/2047 (f) | 4,550,700 | 4,363,419 | |||||
2013-CR11, 0.835%, 08/10/2050 (e)(f)(k) | 30,482,966 | 305 | |||||
2019-GC44, 1.023%, 08/15/2057 (a)(f)(k) | 19,460,000 | 1,066,750 | |||||
CSAIL Commercial Mortgage Trust | |||||||
2016-C5, 1.000%, 11/15/2048 (a)(f)(k) | 46,821,000 | 926,471 | |||||
2015-C1, 0.500%, 04/15/2050 (a)(f)(k) | 62,192,000 | 423,888 | |||||
2017-C8, 0.360%, 06/15/2050 (f)(k) | 74,773,000 | 949,632 | |||||
2019-C17, 1.348%, 09/15/2052 (f)(k) | 84,401,367 | 4,873,512 | |||||
2019-C18, 1.052%, 12/15/2052 (f)(k) | 90,242,552 | 3,956,378 | |||||
2019-C18, 3.955%, 12/15/2052 (f) | 3,901,000 | 3,002,330 | |||||
FREMF Mortgage Trust | |||||||
2019-KF62, 7.112% (1 Month LIBOR USD + 2.050%), 04/25/2026 (a)(b) | 1,497,347 | 1,436,924 | |||||
2018-KF48, 7.112% (1 Month LIBOR USD + 2.050%), 06/25/2028 (a)(b) | 4,516,885 | 4,192,388 | |||||
GS Mortgage Securities Corp. II | |||||||
2012-BWTR, 3.255%, 11/05/2034 (a)(e) | 6,608,000 | 3,093,268 | |||||
2018-GS10, 1.407%, 07/10/2051 (a)(f)(k) | 24,049,000 | 1,536,274 | |||||
GS Mortgage Securities Corp. Trust | |||||||
2012-BWTR, 2.954%, 11/05/2034 (a) | 445,000 | 301,202 | |||||
GS Mortgage Securities Trust | |||||||
2015-GC32, 4.401%, 07/10/2048 (f) | 6,453,000 | 6,017,883 | |||||
2016-GS3, 3.395%, 10/10/2049 (f) | 10,417,000 | 8,831,512 | |||||
2015-GC30, 4.024%, 05/10/2050 (f) | 2,960,000 | 2,671,988 | |||||
2017-GS8, 0.371%, 11/10/2050 (f)(k) | 44,642,000 | 692,004 | |||||
2019-GC38, 1.832%, 02/10/2052 (a)(f)(k) | 20,916,000 | 1,836,860 | |||||
2019-GC39, 0.634%, 05/10/2052 (f)(k) | 69,588,000 | 2,300,057 | |||||
2019-GC39, 1.621%, 05/10/2052 (a)(f)(k) | 24,645,000 | 1,943,717 | |||||
2019-GSA1, 0.809%, 11/10/2052 (f)(k) | 70,450,924 | 2,846,372 | |||||
2020-GSA2, 0.938%, 12/12/2053 (a)(f)(k) | 73,324,000 | 4,214,854 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust | |||||||
2015-JP1, 4.725%, 01/15/2049 (f) | 7,485,000 | 6,626,555 | |||||
2007-CB20, 0.000%, 02/12/2051 (a)(e)(f)(h)(k) | 174,556 | - | |||||
JPMBB Commercial Mortgage Securities Trust | |||||||
2015-C30, 4.227%, 07/15/2048 (f) | 3,085,000 | 2,831,434 | |||||
2015-C32, 0.500%, 11/15/2048 (a)(f)(k) | 23,066,000 | 218,352 | |||||
JPMCC Commercial Mortgage Securities Trust | |||||||
2017-JP6, 0.630%, 07/15/2050 (f)(k) | 68,830,000 | 1,583,276 | |||||
JPMDB Commercial Mortgage Securities Trust | |||||||
2016-C4, 3.638%, 12/15/2049 (f) | 5,500,000 | 4,650,203 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust | |||||||
2013-C12, 4.482%, 10/15/2046 (f) | 5,000,000 | 4,940,818 | |||||
2015-C27, 4.495%, 12/15/2047 (f) | 3,000,000 | 2,770,303 | |||||
2016-C31, 1.265%, 11/15/2049 (a)(e)(f)(k) | 21,212,500 | 744,294 | |||||
2015-C23, 4.139%, 07/15/2050 (f) | 3,845,000 | 3,539,406 | |||||
2017-C34, 2.700%, 11/15/2052 (a) | 4,953,000 | 2,919,727 | |||||
2017-C34, 4.111%, 11/15/2052 (f) | 5,054,000 | 4,461,016 | |||||
Morgan Stanley Capital I Trust | |||||||
2016-BNK2, 0.526%, 11/15/2049 (f)(k) | 58,680,000 | 947,019 | |||||
2017-H1, 2.151%, 06/15/2050 (a)(f)(k) | 8,725,000 | 609,419 | |||||
2017-H1, 4.281%, 06/15/2050 (f) | 7,890,000 | 6,563,192 | |||||
2017-HR2, 4.319%, 12/15/2050 (f) | 10,576,000 | 8,892,613 | |||||
2018-H3, 0.370%, 07/15/2051 (f)(k) | 135,712,000 | 2,278,469 | |||||
2018-H3, 1.862%, 07/15/2051 (a)(f)(k) | 15,363,500 | 1,153,885 | |||||
2018-H3, 4.120%, 07/15/2051 | 4,998,823 | 4,820,848 | |||||
2019-L2, 0.729%, 03/15/2052 (f)(k) | 127,093,000 | 3,912,787 | |||||
2019-H7, 0.658%, 07/15/2052 (f)(k) | 130,723,000 | 4,459,367 | |||||
2019-H7, 3.000%, 07/15/2052 (a) | 2,402,000 | 1,478,336 | |||||
2019-H7, 4.128%, 07/15/2052 | 9,593,000 | 7,545,079 | |||||
2021-L5, 0.713%, 05/15/2054 (f)(k) | 70,387,500 | 3,302,208 | |||||
2021-L5, 2.500%, 05/15/2054 (a) | 3,500,000 | 1,785,644 | |||||
2021-L5, 3.102%, 05/15/2054 | 6,627,000 | 5,051,869 | |||||
2021-L6, 2.250%, 06/15/2054 (f) | 11,900,000 | 10,172,109 | |||||
2021-L6, 2.951%, 06/15/2054 (f) | 7,500,000 | 5,751,941 | |||||
2021-L7, 0.411%, 10/15/2054 (f)(k) | 143,080,000 | 4,250,921 | |||||
2021-L7, 2.336%, 10/15/2054 | 15,100,000 | 12,911,059 | |||||
UBS Commercial Mortgage Trust | |||||||
2017-C1, 0.942%, 06/15/2050 (f)(k) | 13,000,000 | 424,247 | |||||
2017-C7, 0.370%, 12/15/2050 (f)(k) | 170,396,000 | 2,724,973 | |||||
2017-C6, 0.498%, 12/15/2050 (f)(k) | 63,420,500 | 1,407,060 | |||||
2018-C12, 0.214%, 08/15/2051 (f)(k) | 139,858,000 | 2,261,812 | |||||
2018-C12, 0.776%, 08/15/2051 (f)(k) | 45,462,642 | 1,468,675 | |||||
2018-C13, 0.249%, 10/15/2051 (f)(k) | 128,678,000 | 2,206,171 | |||||
2018-C13, 1.971%, 10/15/2051 (a)(f)(k) | 16,442,000 | 1,480,990 | |||||
2018-C13, 4.241%, 10/15/2051 | 3,274,000 | 3,141,622 | |||||
2018-C14, 0.255%, 12/15/2051 (f)(k) | 114,392,000 | 1,877,161 | |||||
2019-C17, 0.851%, 10/15/2052 (f)(k) | 128,213,000 | 5,778,906 | |||||
2019-C18, 2.987%, 12/15/2052 | 4,500,000 | 4,137,798 | |||||
2019-C18, 3.378%, 12/15/2052 (f) | 9,000,000 | 7,747,179 | |||||
Washington State Housing Finance Commission | |||||||
0.726%, 12/20/2035 (h) | 20,631,523 | 992,583 | |||||
Wells Fargo Commercial Mortgage Trust | |||||||
2015-NXS1, 3.658%, 05/15/2048 (f) | 1,320,000 | 1,223,814 | |||||
2015-C28, 4.081%, 05/15/2048 (f) | 11,105,000 | 10,068,264 | |||||
2015-C28, 4.081%, 05/15/2048 (f) | 4,376,000 | 3,573,010 | |||||
2016-LC24, 0.975%, 10/15/2049 (f)(k) | 66,264,075 | 1,834,832 | |||||
2016-C37, 3.186%, 12/15/2049 (a)(f) | 7,375,000 | 5,248,336 | |||||
2016-C37, 4.486%, 12/15/2049 (f) | 11,213,000 | 9,664,891 | |||||
2017-RB1, 0.723%, 03/15/2050 (f)(k) | 69,254,209 | 1,567,133 | |||||
2017-C42, 0.319%, 12/15/2050 (f)(k) | 116,750,000 | 1,702,449 | |||||
2018-C43, 4.514%, 03/15/2051 (f) | 4,033,000 | 3,376,854 | |||||
2018-C48, 0.250%, 01/15/2052 (f)(k) | 138,642,000 | 1,962,741 | |||||
2018-C48, 4.245%, 01/15/2052 | 7,000,000 | 6,776,401 | |||||
2019-C49, 0.601%, 03/15/2052 (f)(k) | 125,812,000 | 3,915,924 | |||||
2019-C49, 3.933%, 03/15/2052 | 5,000,000 | 4,807,885 | |||||
2019-C49, 4.546%, 03/15/2052 | 8,947,000 | 7,759,413 | |||||
2019-C50, 0.871%, 05/15/2052 (f)(k) | 36,427,311 | 1,579,117 | |||||
2019-C51, 0.673%, 06/15/2052 (f)(k) | 130,394,000 | 4,362,410 | |||||
2019-C52, 1.109%, 08/15/2052 (f)(k) | 113,763,146 | 6,351,362 | |||||
2019-C52, 1.603%, 08/15/2052 (f)(k) | 57,226,820 | 3,872,276 | |||||
2019-C52, 3.561%, 08/15/2052 | 6,171,000 | 4,710,091 | |||||
2019-C53, 0.449%, 10/15/2052 (f)(k) | 105,325,000 | 2,829,240 | |||||
2019-C53, 3.514%, 10/15/2052 (f) | 5,200,000 | 4,128,104 | |||||
2020-C55, 0.814%, 02/15/2053 (f)(k) | 58,030,370 | 2,560,439 | |||||
2020-C56, 0.311%, 06/15/2053 (f)(k) | 127,035,000 | 2,146,421 | |||||
2020-C56, 2.422%, 06/15/2053 | 2,250,000 | 2,000,534 | |||||
2020-C58, 1.114%, 07/15/2053 (f)(k) | 109,974,000 | 7,218,220 | |||||
2020-C57, 0.733%, 08/15/2053 (f)(k) | 74,972,000 | 3,208,044 | |||||
2020-C57, 1.914%, 08/15/2053 | 7,250,000 | 6,280,365 | |||||
2020-C57, 4.022%, 08/15/2053 (f) | 3,750,000 | 2,969,566 | |||||
2021-C59, 0.906%, 04/15/2054 (f)(k) | 65,782,000 | 3,813,192 | |||||
2021-C59, 1.449%, 04/15/2054 (a)(f)(k) | 40,274,000 | 3,505,401 | |||||
2021-C59, 3.284%, 04/15/2054 | 7,648,000 | 5,066,068 | |||||
2021-C60, 1.099%, 08/15/2054 (f)(k) | 40,551,000 | 2,813,355 | |||||
2021-C60, 1.532%, 08/15/2054 (f)(k) | 40,891,201 | 3,332,044 | |||||
2021-C60, 2.730%, 08/15/2054 | 6,814,678 | 5,019,832 | |||||
2021-C60, 2.738%, 08/15/2054 | 3,000,000 | 1,978,644 | |||||
2021-C61, 1.390%, 11/15/2054 (a)(f)(k) | 9,132,000 | 818,535 | |||||
2021-C61, 2.525%, 11/15/2054 | 15,000,000 | 12,983,907 | |||||
2021-C61, 3.113%, 11/15/2054 | 4,221,000 | 3,179,711 | |||||
2015-C30, 4.400%, 09/15/2058 (f) | 5,800,000 | 5,375,611 | |||||
2018-C47, 0.154%, 09/15/2061 (f)(k) | 164,144,000 | 1,440,462 | |||||
2018-C47, 4.673%, 09/15/2061 (f) | 8,000,000 | 7,496,320 | |||||
WFRBS Commercial Mortgage Trust | |||||||
2013-UBS1, 5.024%, 03/15/2046 (f) | 7,500,000 | 7,364,701 | |||||
TOTAL NON-AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $1,139,569,955) | 921,995,400 | ||||||
AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES - 8.33% | |||||||
Freddie Mac Multiclass Certificates Series | |||||||
2021-RR17, 2.038%, 08/27/2027 (e)(f)(k) | 70,015,000 | 4,394,695 | |||||
2020-RR09, 2.676%, 08/27/2029 (f)(k) | 42,360,000 | 4,735,153 | |||||
Freddie Mac Multifamily ML Certificates | |||||||
2020-ML07, 2.000%, 10/25/2036 (a)(f)(k) | 24,816,218 | 3,662,129 | |||||
2019-ML06, 1.133%, 06/25/2037 (f)(k) | 10,679,019 | 892,766 | |||||
2021-ML08, 1.861%, 07/25/2037 (f)(k) | 32,853,118 | 4,543,586 | |||||
2021-ML10, 2.057%, 01/25/2038 (f)(k) | 14,198,100 | 2,273,826 | |||||
2021-ML11, 0.770%, 03/25/2038 (a)(f)(k) | 34,072,008 | 1,965,273 | |||||
2021-ML10, 1.518%, 06/25/2038 (a)(f)(h)(k) | 39,519,086 | 4,749,404 | |||||
2021-ML09, 1.490%, 02/25/2040 (a)(f)(k) | 43,807,700 | 5,432,155 | |||||
2021-ML12, 1.223%, 07/25/2041 (f)(k) | 18,033,734 | 1,815,636 | |||||
Freddie Mac Multifamily Structured Pass Through Certificates | |||||||
K723, 0.882%, 08/25/2023 (e)(f)(k) | 41,904,411 | 26,773 | |||||
K723, 0.809%, 09/25/2023 (e)(f)(k) | 61,645,000 | 37,881 | |||||
K728, 0.388%, 08/25/2024 (f)(k) | 56,669,294 | 265,626 | |||||
K729, 0.340%, 10/25/2024 (f)(k) | 46,455,148 | 159,188 | |||||
K042, 1.019%, 12/25/2024 (f)(k) | 111,625,637 | 1,442,527 | |||||
K046, 0.334%, 03/25/2025 (f)(k) | 428,613,732 | 2,253,094 | |||||
K049, 0.561%, 07/25/2025 (f)(k) | 87,824,057 | 876,704 | |||||
K734, 0.646%, 02/25/2026 (f)(k) | 63,848,763 | 855,861 | |||||
K735, 0.957%, 05/25/2026 (f)(k) | 58,262,168 | 1,310,485 | |||||
K735, 1.364%, 05/25/2026 (f)(k) | 70,547,000 | 2,464,073 | |||||
K737, 1.007%, 10/25/2026 (f)(k) | 20,050,000 | 614,974 | |||||
K061, 0.056%, 11/25/2026 (f)(k) | 72,512,000 | 230,516 | |||||
K062, 0.176%, 12/25/2026 (f)(k) | 79,423,000 | 549,734 | |||||
K063, 0.280%, 01/25/2027 (f)(k) | 364,459,494 | 3,067,437 | |||||
K064, 0.600%, 03/25/2027 (f)(k) | 122,603,498 | 2,353,840 | |||||
K738, 1.367%, 03/25/2027 (f)(k) | 24,099,000 | 1,102,763 | |||||
K065, 0.552%, 05/25/2027 (f)(k) | 57,193,000 | 1,177,592 | |||||
K066, 0.747%, 06/25/2027 (f)(k) | 31,057,009 | 770,878 | |||||
KW03, 0.832%, 06/25/2027 (f)(k) | 14,835,209 | 341,937 | |||||
K067, 0.572%, 07/25/2027 (f)(k) | 39,731,360 | 789,089 | |||||
K068, 0.422%, 08/25/2027 (f)(k) | 101,141,589 | 1,554,243 | |||||
K069, 0.347%, 09/25/2027 (f)(k) | 28,516,953 | 381,386 | |||||
K739, 1.569%, 09/25/2027 (f)(k) | 32,621,072 | 1,846,532 | |||||
K072, 0.367%, 12/25/2027 (f)(k) | 59,896,294 | 861,063 | |||||
K073, 0.204%, 01/25/2028 (f)(k) | 54,203,000 | 545,916 | |||||
K073, 0.304%, 01/25/2028 (f)(k) | 154,198,597 | 2,029,130 | |||||
K742, 0.926%, 04/25/2028 (f)(k) | 89,849,000 | 3,571,426 | |||||
K743, 1.289%, 05/25/2028 (f)(k) | 99,488,000 | 5,489,449 | |||||
KW06, 0.104%, 06/25/2028 (f)(k) | 570,730,068 | 3,612,664 | |||||
K080, 0.121%, 07/25/2028 (e)(f)(k) | 426,537,062 | 3,058,228 | |||||
K744, 1.227%, 07/25/2028 (f)(k) | 122,906,000 | 6,710,827 | |||||
K081, 0.074%, 08/25/2028 (f)(k) | 153,353,675 | 809,309 | |||||
K084, 0.206%, 10/25/2028 (f)(k) | 335,973,677 | 3,768,617 | |||||
K747, 0.397%, 12/25/2028 (f)(k) | 160,000,000 | 3,109,248 | |||||
K089, 0.454%, 01/25/2029 (f)(k) | 53,965,000 | 1,306,234 | |||||
K748, 0.545%, 01/25/2029 (f)(k) | 175,000,000 | 4,828,898 | |||||
K091, 0.491%, 03/25/2029 (f)(k) | 53,659,000 | 1,396,996 | |||||
K090, 0.626%, 03/25/2029 (f)(k) | 50,517,000 | 1,653,669 | |||||
KW09, 0.804%, 05/25/2029 (f)(k) | 62,788,977 | 2,252,938 | |||||
K093, 0.952%, 05/25/2029 (f)(k) | 54,272,522 | 2,449,162 | |||||
K094, 0.879%, 06/25/2029 (f)(k) | 194,939,704 | 8,476,992 | |||||
K097, 1.091%, 07/25/2029 (f)(k) | 72,631,402 | 3,965,762 | |||||
KG02, 1.021%, 08/25/2029 (f)(k) | 31,935,034 | 1,527,756 | |||||
K098, 1.143%, 08/25/2029 (f)(k) | 78,559,658 | 4,518,170 | |||||
K098, 1.392%, 08/25/2029 (f)(k) | 24,691,000 | 1,810,342 | |||||
K099, 0.883%, 09/25/2029 (f)(k) | 209,804,665 | 9,423,817 | |||||
K100, 0.915%, 09/25/2029 (f)(k) | 62,086,000 | 3,069,929 | |||||
K102, 0.823%, 10/25/2029 (f)(k) | 172,811,190 | 7,363,554 | |||||
K101, 1.094%, 10/25/2029 (f)(k) | 65,686,000 | 3,898,733 | |||||
K103, 0.639%, 11/25/2029 (f)(k) | 125,048,862 | 4,241,932 | |||||
K105, 1.767%, 01/25/2030 (f)(k) | 64,122,000 | 6,289,272 | |||||
K107, 1.551%, 02/25/2030 (f)(k) | 118,898,000 | 10,340,630 | |||||
K108, 1.661%, 03/25/2030 (f)(k) | 70,601,000 | 6,659,821 | |||||
K108, 1.690%, 03/25/2030 (f)(k) | 16,038,350 | 1,465,129 | |||||
K110, 1.697%, 04/25/2030 (f)(k) | 29,858,948 | 2,657,282 | |||||
K112, 1.434%, 05/25/2030 (f)(k) | 96,246,371 | 7,625,504 | |||||
K111, 1.571%, 05/25/2030 (f)(k) | 108,663,237 | 9,325,522 | |||||
K112, 1.665%, 05/25/2030 (f)(k) | 44,272,000 | 4,262,991 | |||||
K114, 1.116%, 06/25/2030 (f)(k) | 136,099,159 | 8,552,267 | |||||
K115, 1.326%, 06/25/2030 (f)(k) | 54,036,564 | 3,977,826 | |||||
K114, 1.342%, 06/25/2030 (f)(k) | 54,977,000 | 4,345,410 | |||||
KG03, 1.378%, 06/25/2030 (f)(k) | 15,522,432 | 1,151,077 | |||||
K113, 1.380%, 06/25/2030 (f)(k) | 113,285,652 | 8,559,150 | |||||
K116, 1.424%, 07/25/2030 (f)(k) | 98,869,753 | 7,660,033 | |||||
K115, 1.547%, 07/25/2030 (f)(k) | 40,865,759 | 3,705,372 | |||||
K116, 1.600%, 08/25/2030 (f)(k) | 23,000,000 | 2,177,580 | |||||
K118, 0.958%, 09/25/2030 (f)(k) | 120,482,897 | 6,598,077 | |||||
K118, 1.170%, 09/25/2030 (f)(k) | 35,916,184 | 2,541,594 | |||||
K121, 1.023%, 10/25/2030 (f)(k) | 48,755,866 | 2,790,805 | |||||
K119, 1.135%, 10/25/2030 (f)(k) | 51,000,000 | 3,455,974 | |||||
KG04, 0.851%, 11/25/2030 (f)(k) | 111,010,980 | 5,388,462 | |||||
K122, 0.880%, 11/25/2030 (f)(k) | 111,599,804 | 5,650,956 | |||||
K122, 1.081%, 11/25/2030 (f)(k) | 35,211,000 | 2,340,362 | |||||
K121, 1.195%, 11/25/2030 (f)(k) | 49,550,000 | 3,601,363 | |||||
K123, 0.977%, 12/25/2030 (f)(k) | 108,000,000 | 6,575,396 | |||||
K125, 0.583%, 01/25/2031 (f)(k) | 179,606,558 | 6,238,993 | |||||
K125, 0.781%, 01/25/2031 (f)(k) | 103,992,000 | 5,160,343 | |||||
K124, 0.936%, 01/25/2031 (f)(k) | 89,626,000 | 5,280,576 | |||||
K1502, 0.956%, 01/25/2031 (f)(k) | 29,349,635 | 1,553,347 | |||||
K127, 0.502%, 02/25/2031 (f)(k) | 186,332,000 | 5,986,996 | |||||
K128, 0.516%, 03/25/2031 (f)(k) | 153,862,232 | 4,851,769 | |||||
K128, 0.732%, 03/25/2031 (f)(k) | 37,700,000 | 1,796,292 | |||||
K129, 1.034%, 05/25/2031 (f)(k) | 70,278,574 | 4,314,528 | |||||
K129, 1.217%, 05/25/2031 (f)(k) | 31,700,000 | 2,493,452 | |||||
K130, 1.037%, 06/25/2031 (f)(k) | 122,673,333 | 8,019,045 | |||||
K131, 0.728%, 07/25/2031 (f)(k) | 135,544,631 | 6,383,081 | |||||
K130, 1.215%, 07/25/2031 (f)(k) | 43,372,188 | 3,515,854 | |||||
K138, 0.691%, 01/25/2032 (f)(k) | 195,000,000 | 9,629,548 | |||||
K141, 0.305%, 02/25/2032 (f)(k) | 184,945,818 | 4,264,166 | |||||
K141, 0.324%, 02/25/2032 (f)(k) | 195,000,000 | 4,786,763 | |||||
K146, 2.920%, 06/25/2032 (f)(k) | 11,400,000 | 10,193,674 | |||||
K149, 0.264%, 08/25/2032 (f)(k) | 83,255,927 | 1,913,080 | |||||
K154, 4.350%, 01/25/2033 (f)(k) | 10,000,000 | 9,996,385 | |||||
K156, 4.430%, 02/25/2033 (f)(k) | 8,000,000 | 8,047,747 | |||||
K155, 0.116%, 04/25/2033 (f)(k) | 244,149,976 | 2,838,024 | |||||
K1511, 0.777%, 03/25/2034 (f)(k) | 131,580,274 | 7,344,929 | |||||
K1512, 0.908%, 04/25/2034 (f)(k) | 47,426,595 | 3,077,521 | |||||
K1513, 0.859%, 08/25/2034 (f)(k) | 75,804,659 | 4,718,560 | |||||
K1514, 0.577%, 10/25/2034 (f)(k) | 80,332,223 | 3,748,446 | |||||
K1515, 1.511%, 02/25/2035 (f)(k) | 78,543,762 | 9,186,981 | |||||
K1516, 1.510%, 05/25/2035 (f)(k) | 41,689,645 | 4,971,532 | |||||
K1517, 1.323%, 07/25/2035 (f)(k) | 80,211,017 | 8,746,779 | |||||
K1521, 0.980%, 08/25/2036 (f)(k) | 95,716,453 | 8,193,979 | |||||
K097, 1.351%, 09/25/2051 (f)(k) | 66,115,000 | 4,664,155 | |||||
Freddie Mac Multifamily WI Certificates | |||||||
WI-K157, 4.200%, 08/25/2033 (f)(k) | 10,000,000 | 9,856,732 | |||||
TOTAL AGENCY COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $492,425,061) | 454,159,649 | ||||||
MUNICIPAL BONDS - 23.28% | |||||||
Alabama - 0.31% | |||||||
Baldwin County Public Building Authority | |||||||
2.000%, 03/01/2046 | 1,070,000 | 659,217 | |||||
Water Works Board of the City of Birmingham | |||||||
2.513%, 01/01/2036 | 13,945,000 | 11,120,216 | |||||
2.710%, 01/01/2038 | 6,835,000 | 5,350,118 | |||||
17,129,551 | |||||||
Arizona - 0.23% | |||||||
City of Tucson, AZ | |||||||
2.232%, 07/01/2034 | 11,605,000 | 9,101,742 | |||||
Glendale Municipal Property Corp. | |||||||
6.157%, 07/01/2033 | 3,050,000 | 3,361,816 | |||||
12,463,558 | |||||||
California - 5.00% | |||||||
Alvord Unified School District | |||||||
0.000%, 08/01/2046 (h) | 1,975,000 | 2,170,012 | |||||
Bakersfield City School District | |||||||
0.000%, 05/01/2047 (h) | 9,715,000 | 6,750,659 | |||||
California Pollution Control Financing Authority | |||||||
5.000%, 07/01/2038 (a) | 1,000,000 | 1,046,733 | |||||
California Statewide Communities Development Authority | |||||||
6.076%, 06/01/2034 | 10,000,000 | 10,720,292 | |||||
Chaffey Community College District | |||||||
3.000%, 06/01/2038 | 3,705,000 | 3,256,970 | |||||
Chaffey Joint Union High School District | |||||||
3.143%, 08/01/2043 | 3,790,000 | 2,859,031 | |||||
City of Chula Vista, CA | |||||||
1.728%, 06/01/2030 | 2,235,000 | 1,814,174 | |||||
1.828%, 06/01/2031 | 2,000,000 | 1,590,077 | |||||
City of Huntington Beach, CA | |||||||
2.453%, 06/15/2031 | 4,000,000 | 3,388,494 | |||||
City of Industry, CA | |||||||
4.000%, 01/01/2028 | 2,885,000 | 2,798,398 | |||||
City of Los Angeles, CA Department of Airports | |||||||
1.876%, 05/15/2030 | 230,000 | 190,523 | |||||
City of Montebello, CA | |||||||
3.393%, 06/01/2032 | 2,825,000 | 2,504,027 | |||||
City of Ontario, CA | |||||||
3.779%, 06/01/2038 | 3,000,000 | 2,607,400 | |||||
City of Orange, CA | |||||||
2.220%, 06/01/2030 | 7,500,000 | 6,343,784 | |||||
2.270%, 06/01/2031 | 12,370,000 | 10,264,560 | |||||
City of Sacramento, CA Transient Occupancy Tax Revenue | |||||||
3.858%, 06/01/2025 | 3,320,000 | 3,234,984 | |||||
City of San Francisco, CA Public Utilities Commission Water Revenue | |||||||
2.845%, 11/01/2041 | 2,000,000 | 1,494,668 | |||||
City of Santa Ana, CA | |||||||
1.869%, 08/01/2029 | 3,930,000 | 3,297,243 | |||||
2.089%, 08/01/2030 | 1,980,000 | 1,642,031 | |||||
City of Union City, CA | |||||||
0.000%, 07/01/2025 (h) | 2,105,000 | 1,895,563 | |||||
City of Whittier, CA | |||||||
1.566%, 06/01/2028 | 1,085,000 | 934,705 | |||||
1.724%, 06/01/2029 | 1,685,000 | 1,423,468 | |||||
Coast Community College District | |||||||
2.957%, 08/01/2038 | 15,000,000 | 11,896,104 | |||||
County of Santa Cruz, CA | |||||||
1.811%, 06/01/2030 | 3,900,000 | 3,277,715 | |||||
Cucamonga Valley Water District Financing Authority | |||||||
3.010%, 09/01/2042 | 5,000,000 | 3,844,497 | |||||
East Side Union High School District | |||||||
5.320%, 04/01/2036 | 6,505,000 | 6,582,552 | |||||
Fullerton Public Financing Authority | |||||||
7.750%, 05/01/2031 | 1,145,000 | 1,290,249 | |||||
Gateway Unified School District, CA | |||||||
0.000%, 08/01/2035 (h) | 2,315,000 | 1,457,025 | |||||
0.000%, 08/01/2036 (h) | 2,315,000 | 1,370,782 | |||||
Golden State Tobacco Securitization Corp. | |||||||
2.787%, 06/01/2031 | 15,930,000 | 13,269,726 | |||||
3.000%, 06/01/2046 | 12,145,000 | 11,219,584 | |||||
Hercules Redevelopment Agency Successor Agency | |||||||
4.913%, 08/01/2033 | 5,460,000 | 5,451,685 | |||||
Inland Empire Tobacco Securitization Corp. | |||||||
3.678%, 06/01/2038 | 15,870,000 | 14,867,202 | |||||
Los Angeles Community College District | |||||||
6.600%, 08/01/2042 | 7,545,000 | 9,023,560 | |||||
Northern California Power Agency | |||||||
5.679%, 06/01/2035 | 9,765,000 | 10,294,276 | |||||
Norwalk-La Mirada Unified School District | |||||||
0.000%, 08/01/2038 (h) | 4,400,000 | 2,246,239 | |||||
Pasadena Unified School District | |||||||
2.881%, 05/01/2037 | 6,030,000 | 4,885,221 | |||||
Peralta Community College District | |||||||
0.000%, 08/05/2031 (h) | 12,350,000 | 10,922,775 | |||||
Perris Union High School District | |||||||
2.700%, 09/01/2042 | 3,000,000 | 2,193,212 | |||||
Placentia-Yorba Linda Unified School District | |||||||
0.000%, 08/01/2035 (h) | 7,600,000 | 4,852,339 | |||||
San Diego County Regional Airport Authority | |||||||
3.103%, 07/01/2043 | 6,280,000 | 4,726,050 | |||||
San Diego Unified School District | |||||||
0.000%, 07/01/2036 (h) | 7,915,000 | 4,888,105 | |||||
San Francisco City & County Redevelopment Financing Authority | |||||||
0.000%, 08/01/2036 (h) | 5,240,000 | 2,684,012 | |||||
5.750%, 08/01/2037 | 19,400,000 | 20,574,165 | |||||
Santa Ana Unified School District | |||||||
0.000%, 08/01/2037 (h) | 3,955,000 | 2,201,915 | |||||
State of California | |||||||
7.550%, 04/01/2039 | 28,000,000 | 35,357,860 | |||||
West Contra Costa Unified School District | |||||||
0.000%, 08/01/2036 (h) | 5,000,000 | 3,038,096 | |||||
West Sonoma County Union High School District | |||||||
0.000%, 08/01/2037 (h) | 1,840,000 | 1,053,243 | |||||
William S. Hart Union High School District | |||||||
0.000%, 08/01/2036 (h) | 1,150,000 | 695,161 | |||||
Yosemite Community College District | |||||||
0.000%, 08/01/2038 (h) | 6,110,000 | 3,259,639 | |||||
Yuba Community College District | |||||||
0.000%, 08/01/2038 (h) | 5,055,000 | 2,749,400 | |||||
272,400,185 | |||||||
Colorado - 0.30% | |||||||
City of Aurora, CO Water Revenue | |||||||
2.720%, 08/01/2046 | 880,000 | 604,310 | |||||
City of Fruita, CO Healthcare Revenue | |||||||
5.000%, 01/01/2028 | 2,225,000 | 2,127,194 | |||||
Colorado Health Facilities Authority | |||||||
3.696%, 11/01/2039 | 4,825,000 | 4,035,720 | |||||
3.796%, 11/01/2044 | 11,815,000 | 9,334,157 | |||||
16,101,381 | |||||||
Connecticut - 0.55% | |||||||
State of Connecticut | |||||||
3.000%, 01/15/2036 | 5,000,000 | 4,532,159 | |||||
3.000%, 01/15/2037 | 7,075,000 | 6,271,559 | |||||
3.000%, 06/01/2037 | 8,620,000 | 7,584,211 | |||||
State of Connecticut Special Tax Revenue | |||||||
3.125%, 05/01/2040 | 6,975,000 | 5,927,482 | |||||
Town of West Hartford, CT | |||||||
2.764%, 07/01/2041 | 7,025,000 | 5,432,096 | |||||
29,747,507 | |||||||
District of Columbia - 0.25% | |||||||
Metropolitan Washington Airports Authority Dulles Toll Road Revenue | |||||||
8.000%, 10/01/2047 | 10,460,000 | 13,814,839 | |||||
Florida - 1.03% | |||||||
City of Gainesville, FL | |||||||
0.000%, 10/01/2027 (h) | 4,610,000 | 3,709,826 | |||||
0.000%, 10/01/2028 (h) | 1,400,000 | 1,071,783 | |||||
City of Gainesville, FL Utilities System Revenue | |||||||
6.024%, 10/01/2040 | 4,445,000 | 4,973,006 | |||||
County of Miami-Dade, FL Seaport Department | |||||||
1.962%, 10/01/2031 | 4,235,000 | 3,400,295 | |||||
2.012%, 10/01/2031 | 6,940,000 | 5,595,675 | |||||
2.162%, 10/01/2032 | 4,000,000 | 3,190,101 | |||||
JEA Water & Sewer System Revenue | |||||||
3.000%, 10/01/2041 | 5,045,000 | 4,240,497 | |||||
Orlando Utilities Commission | |||||||
5.662%, 10/01/2040 | 8,000,000 | 8,611,336 | |||||
Reedy Creek Improvement District | |||||||
2.497%, 06/01/2034 | 4,500,000 | 3,631,344 | |||||
2.547%, 06/01/2035 | 4,500,000 | 3,568,556 | |||||
2.731%, 06/01/2038 | 18,500,000 | 14,215,465 | |||||
56,207,884 | |||||||
Georgia - 0.34% | |||||||
City of Atlanta, GA Water & Wastewater Revenue | |||||||
2.913%, 11/01/2043 | 1,500,000 | 1,115,827 | |||||
Municipal Electric Authority of Georgia | |||||||
2.497%, 01/01/2031 | 10,355,000 | 8,575,834 | |||||
State of Georgia | |||||||
2.250%, 07/01/2039 | 5,000,000 | 3,611,458 | |||||
Tift County Hospital Authority | |||||||
2.977%, 12/01/2042 | 2,150,000 | 1,579,891 | |||||
Valdosta & Lowndes County Hospital Authority | |||||||
2.604%, 10/01/2030 | 2,000,000 | 1,724,364 | |||||
3.000%, 10/01/2029 | 2,000,000 | 1,801,080 | |||||
18,408,454 | |||||||
Hawaii - 0.31% | |||||||
City & County Honolulu, HI Wastewater System Revenue | |||||||
2.574%, 07/01/2041 | 5,000,000 | 3,557,793 | |||||
State of Hawaii | |||||||
2.245%, 08/01/2038 | 3,875,000 | 2,786,474 | |||||
2.800%, 10/01/2038 | 10,000,000 | 7,752,631 | |||||
2.830%, 10/01/2039 | 1,730,000 | 1,318,367 | |||||
2.870%, 10/01/2041 | 2,270,000 | 1,669,429 | |||||
17,084,694 | |||||||
Illinois - 0.27% | |||||||
Illinois Finance Authority | |||||||
3.510%, 05/15/2041 | 7,000,000 | 5,284,732 | |||||
Metropolitan Pier & Exposition Authority | |||||||
0.000%, 12/15/2036 (h) | 5,000,000 | 2,749,203 | |||||
0.000%, 06/15/2036 (h) | 4,025,000 | 2,242,627 | |||||
0.000%, 06/15/2038 (h) | 2,750,000 | 1,357,779 | |||||
State of Illinois | |||||||
5.750%, 01/01/2037 | 3,000,000 | 3,126,613 | |||||
14,760,954 | |||||||
Indiana - 0.19% | |||||||
Indiana Finance Authority | |||||||
4.807%, 07/15/2035 | 3,000,000 | 3,044,227 | |||||
Indianapolis Local Public Improvement Bond Bank | |||||||
2.473%, 01/01/2040 | 9,500,000 | 7,183,984 | |||||
10,228,211 | |||||||
Kansas - 0.04% | |||||||
Kansas Development Finance Authority | |||||||
4.927%, 04/15/2045 | 2,005,000 | 1,931,995 | |||||
Kentucky - 0.11% | |||||||
County of Warren, KY | |||||||
3.921%, 12/01/2031 | 825,000 | 792,726 | |||||
4.397%, 12/01/2038 | 1,540,000 | 1,464,905 | |||||
Louisville and Jefferson County Metropolitan Sewer District | |||||||
2.250%, 05/15/2044 | 5,215,000 | 3,544,163 | |||||
5,801,794 | |||||||
Louisiana - 0.51% | |||||||
City of New Orleans, LA Sewerage Service Revenue | |||||||
1.791%, 06/01/2030 | 1,000,000 | 819,583 | |||||
1.891%, 06/01/2031 | 1,575,000 | 1,265,942 | |||||
City of New Orleans, LA Water System Revenue | |||||||
1.691%, 12/01/2029 | 1,800,000 | 1,485,864 | |||||
1.841%, 12/01/2030 | 3,120,000 | 2,531,592 | |||||
1.941%, 12/01/2031 | 1,635,000 | 1,303,053 | |||||
2.889%, 12/01/2041 | 2,530,000 | 1,813,879 | |||||
East Baton Rouge Sewerage Commission | |||||||
2.437%, 02/01/2039 | 2,500,000 | 1,859,094 | |||||
Louisiana Local Government Environmental Facilities & Community Development Auth | |||||||
2.587%, 02/01/2043 | 1,375,000 | 967,936 | |||||
State of Louisiana Gasoline & Fuels Tax Revenue | |||||||
2.530%, 05/01/2041 | 12,055,000 | 8,746,979 | |||||
2.830%, 05/01/2043 | 9,535,000 | 6,857,743 | |||||
27,651,665 | |||||||
Maine - 0.19% | |||||||
Maine Health & Higher Educational Facilities Authority | |||||||
3.118%, 07/01/2043 | 14,250,000 | 10,447,208 | |||||
Maryland - 0.27% | |||||||
Maryland Health & Higher Educational Facilities Authority | |||||||
3.052%, 07/01/2040 | 10,000,000 | 7,485,203 | |||||
Maryland Stadium Authority | |||||||
2.805%, 05/01/2040 | 7,000,000 | 5,546,434 | |||||
State of Maryland Department of Transportation | |||||||
1.686%, 08/01/2030 | 2,110,000 | 1,718,149 | |||||
14,749,786 | |||||||
Massachusetts - 0.14% | |||||||
Commonwealth of Massachusetts | |||||||
2.375%, 09/01/2043 | 3,250,000 | 2,295,509 | |||||
2.514%, 07/01/2041 | 3,370,000 | 2,523,692 | |||||
Massachusetts Educational Financing Authority | |||||||
3.455%, 07/01/2028 | 2,000,000 | 1,873,002 | |||||
3.831%, 07/01/2024 | 450,000 | 441,329 | |||||
Massachusetts State College Building Authority | |||||||
5.932%, 05/01/2040 | 550,000 | 588,998 | |||||
7,722,530 | |||||||
Michigan - 1.04% | |||||||
City of Detroit, MI | |||||||
4.000%, 04/01/2044 | 8,700,000 | 6,420,036 | |||||
Detroit City School District | |||||||
7.747%, 05/01/2039 | 10,950,000 | 13,053,775 | |||||
Great Lakes Water Authority Sewage Disposal System Revenue | |||||||
3.056%, 07/01/2039 | 14,060,000 | 11,345,925 | |||||
Michigan Finance Authority | |||||||
3.084%, 12/01/2034 | 5,095,000 | 4,471,822 | |||||
3.267%, 06/01/2039 | 19,000,000 | 16,991,563 | |||||
3.610%, 11/01/2032 | 3,000,000 | 2,810,750 | |||||
University of Michigan | |||||||
3.599%, 04/01/2047 | 2,000,000 | 1,722,845 | |||||
56,816,716 | |||||||
Minnesota - 0.62% | |||||||
State of Minnesota | |||||||
2.875%, 06/01/2041 | 16,435,000 | 12,241,450 | |||||
Western Minnesota Municipal Power Agency | |||||||
3.156%, 01/01/2039 | 17,500,000 | 14,690,127 | |||||
White Bear Lake Independent School District No. 624 | |||||||
3.000%, 02/01/2044 | 8,330,000 | 6,959,215 | |||||
33,890,792 | |||||||
Mississippi - 0.10% | |||||||
Mississippi Development Bank | |||||||
5.460%, 10/01/2036 | 5,260,000 | 5,423,760 | |||||
Missouri - 0.13% | |||||||
Kansas City Land Clearance Redevelopment Authority | |||||||
6.400%, 10/15/2040 (a)(e) | 7,935,000 | 7,068,286 | |||||
Nebraska - 0.04% | |||||||
District Energy Corp. | |||||||
2.390%, 07/01/2036 | 2,830,000 | 2,270,766 | |||||
Nevada - 0.33% | |||||||
City of North Las Vegas, NV | |||||||
6.572%, 06/01/2040 | 12,945,000 | 14,657,220 | |||||
County of Clark, NV | |||||||
3.000%, 07/01/2038 | 4,000,000 | 3,448,347 | |||||
18,105,567 | |||||||
New Hampshire - 0.06% | |||||||
New Hampshire Business Finance Authority | |||||||
3.278%, 10/01/2037 | 4,865,000 | 3,379,431 | |||||
New Jersey - 1.10% | |||||||
City of Bayonne, NJ | |||||||
2.814%, 07/01/2039 | 5,725,000 | 4,262,043 | |||||
Clifton Board Of Education | |||||||
2.125%, 08/15/2044 | 4,560,000 | 3,011,970 | |||||
County of Essex, NJ | |||||||
2.000%, 09/01/2044 | 3,560,000 | 2,277,550 | |||||
Mercer County Improvement Authority | |||||||
8.270%, 12/01/2034 | 13,960,000 | 17,102,597 | |||||
New Jersey Economic Development Authority | |||||||
0.000%, 02/15/2025 (h) | 20,188,000 | 18,512,608 | |||||
New Jersey Institute of Technology | �� | ||||||
3.323%, 07/01/2024 | 1,540,000 | 1,519,197 | |||||
3.415%, 07/01/2042 | 6,455,000 | 5,012,601 | |||||
New Jersey Transportation Trust Fund Authority | |||||||
0.000%, 12/15/2040 (h) | 10,045,000 | 4,711,372 | |||||
New Jersey Turnpike Authority | |||||||
2.782%, 01/01/2040 | 5,000,000 | 3,736,141 | |||||
60,146,079 | |||||||
New York - 0.65% | |||||||
New York City Industrial Development Agency | |||||||
2.436%, 01/01/2036 | 5,850,000 | 4,274,128 | |||||
New York Liberty Development Corp. | |||||||
2.250%, 02/15/2041 | 13,595,000 | 9,673,599 | |||||
3.000%, 02/15/2042 | 5,500,000 | 4,346,427 | |||||
3.000%, 09/15/2043 | 12,500,000 | 10,086,600 | |||||
New York State Dormitory Authority | |||||||
5.096%, 08/01/2034 | 3,125,000 | 2,841,813 | |||||
Triborough Bridge & Tunnel Authority | |||||||
2.917%, 05/15/2040 | 3,890,000 | 2,933,716 | |||||
Western Nassau County Water Authority | |||||||
2.958%, 04/01/2041 | 1,500,000 | 1,114,802 | |||||
35,271,085 | |||||||
North Carolina - 0.08% | |||||||
North Carolina State University at Raleigh | |||||||
3.020%, 10/01/2042 | 4,000,000 | 3,042,194 | |||||
University of North Carolina | |||||||
2.762%, 04/01/2043 | 2,000,000 | 1,487,133 | |||||
4,529,327 | |||||||
Ohio - 1.11% | |||||||
American Municipal Power, Inc. | |||||||
7.499%, 02/15/2050 | 4,500,000 | 5,605,692 | |||||
7.834%, 02/15/2041 | 9,400,000 | 11,921,415 | |||||
County of Hamilton, OH | |||||||
3.374%, 06/01/2034 | 285,000 | 247,153 | |||||
3.756%, 06/01/2042 | 10,775,000 | 8,625,355 | |||||
Franklin County Convention Facilities Authority | |||||||
2.022%, 12/01/2030 | 5,485,000 | 4,589,325 | |||||
2.472%, 12/01/2034 | 22,100,000 | 17,615,180 | |||||
JobsOhio Beverage System | |||||||
2.833%, 01/01/2038 | 7,540,000 | 6,054,434 | |||||
Ohio Higher Educational Facility Commission | |||||||
4.500%, 12/01/2026 | 4,025,000 | 3,838,931 | |||||
South-Western City School District | |||||||
0.000%, 12/01/2028 (h) | 2,735,000 | 2,119,976 | |||||
60,617,461 | |||||||
Oklahoma - 0.73% | |||||||
Oklahoma City Economic Development Trust | |||||||
1.891%, 03/01/2031 | 1,545,000 | 1,280,202 | |||||
Oklahoma Development Finance Authority | |||||||
4.623%, 06/01/2044 | 5,000,000 | 4,867,814 | |||||
5.269%, 10/01/2042 | 10,000,000 | 10,279,099 | |||||
5.450%, 08/15/2028 | 4,520,000 | 3,854,189 | |||||
Oklahoma Municipal Power Authority | |||||||
2.431%, 01/01/2034 | 3,870,000 | 3,136,665 | |||||
2.501%, 01/01/2035 | 3,475,000 | 2,773,259 | |||||
2.551%, 01/01/2036 | 2,390,000 | 1,875,312 | |||||
2.803%, 01/01/2041 | 15,500,000 | 11,619,071 | |||||
39,685,611 | |||||||
Oregon - 0.08% | |||||||
Hospital Facilities Authority of Multnomah County Oregon | |||||||
1.250%, 06/01/2026 | 2,610,000 | 2,388,656 | |||||
Oregon Health & Science University | |||||||
2.850%, 07/01/2030 | 1,000,000 | 899,991 | |||||
State of Oregon | |||||||
2.369%, 08/01/2041 | 1,205,000 | 847,973 | |||||
4,136,620 | |||||||
Pennsylvania - 0.87% | |||||||
Berks County Industrial Development Authority | |||||||
3.950%, 05/15/2024 | 250,000 | 244,711 | |||||
4.450%, 05/15/2027 | 800,000 | 782,117 | |||||
City of Philadelphia, PA | |||||||
1.838%, 07/15/2031 | 2,500,000 | 2,040,105 | |||||
Commonwealth Financing Authority | |||||||
2.991%, 06/01/2042 | 10,225,000 | 7,453,491 | |||||
3.657%, 06/01/2038 | 13,820,000 | 12,170,250 | |||||
Commonwealth of Pennsylvania | |||||||
3.000%, 05/15/2036 | 1,255,000 | 1,141,963 | |||||
Montgomery County Industrial Development Authority | |||||||
3.150%, 11/15/2028 | 10,000,000 | 8,797,478 | |||||
Pennsylvania Economic Development Financing Authority | |||||||
3.143%, 06/15/2042 | 7,600,000 | 5,939,196 | |||||
Pennsylvania Turnpike Commission | |||||||
3.000%, 12/01/2042 | 9,830,000 | 7,431,804 | |||||
Union County Hospital Authority | |||||||
3.800%, 08/01/2023 | 295,000 | 294,020 | |||||
4.400%, 08/01/2028 | 1,060,000 | 1,046,295 | |||||
47,341,430 | |||||||
Puerto Rico - 0.37% | |||||||
Commonwealth of Puerto Rico | |||||||
0.000%, 07/01/2024 (h) | 153,671 | 146,503 | |||||
0.000%, 07/01/2033 (h) | 592,257 | 347,936 | |||||
0.000%, 11/01/2043 (h) | 2,173,403 | 1,062,251 | |||||
4.000%, 07/01/2033 | 460,219 | 423,421 | |||||
4.000%, 07/01/2035 | 413,675 | 370,575 | |||||
4.000%, 07/01/2037 | 355,042 | 308,996 | |||||
4.000%, 07/01/2041 | 482,722 | 404,325 | |||||
4.000%, 07/01/2046 | 502,024 | 405,918 | |||||
5.250%, 07/01/2023 | 255,706 | 255,972 | |||||
5.375%, 07/01/2025 | 512,555 | 523,697 | |||||
5.625%, 07/01/2027 | 507,913 | 531,481 | |||||
5.625%, 07/01/2029 | 499,673 | 530,085 | |||||
5.750%, 07/01/2031 | 485,328 | 523,639 | |||||
GDB Debt Recovery Authority of Puerto Rico | |||||||
7.500%, 08/20/2040 | 10,466,351 | 8,660,905 | |||||
Puerto Rico Highway & Transportation Authority | |||||||
0.000%, 07/01/2026 (e)(h) | 7,000,000 | 5,697,090 | |||||
20,192,794 | |||||||
South Carolina - 0.09% | |||||||
South Carolina Jobs-Economic Development Authority | |||||||
2.729%, 07/01/2030 | 5,725,000 | 4,939,800 | |||||
Tennessee - 0.31% | |||||||
New Memphis Arena Public Building Authority | |||||||
0.000%, 04/01/2044 (h) | 4,220,000 | 1,547,287 | |||||
0.000%, 04/01/2045 (h) | 2,000,000 | 693,889 | |||||
0.000%, 04/01/2046 (h) | 3,200,000 | 1,051,554 | |||||
Tennessee State School Bond Authority | |||||||
2.561%, 11/01/2041 | 8,000,000 | 5,885,730 | |||||
2.661%, 11/01/2045 | 11,405,000 | 7,890,691 | |||||
17,069,151 | |||||||
Texas - 3.79% | |||||||
Board of Regents of the University of Texas System | |||||||
5.134%, 08/15/2042 | 3,410,000 | 3,597,484 | |||||
Central Texas Regional Mobility Authority | |||||||
3.267%, 01/01/2045 | 3,900,000 | 2,884,752 | |||||
City of Dallas, TX | |||||||
0.000%, 02/15/2031 (h) | 10,000,000 | 6,872,644 | |||||
0.000%, 02/15/2032 (h) | 15,000,000 | 9,808,088 | |||||
City of Dallas, TX Waterworks & Sewer System Revenue | |||||||
2.772%, 10/01/2040 | 6,525,000 | 4,958,660 | |||||
City of El Paso, TX | |||||||
6.018%, 08/15/2035 | 3,000,000 | 3,288,829 | |||||
City of Houston, TX | |||||||
3.961%, 03/01/2047 | 8,300,000 | 7,365,007 | |||||
5.508%, 03/01/2036 | 5,400,000 | 5,680,554 | |||||
5.538%, 03/01/2037 | 4,100,000 | 4,334,215 | |||||
6.290%, 03/01/2032 | 795,000 | 848,043 | |||||
City of Houston, TX Airport System Revenue | |||||||
6.880%, 01/01/2028 | 1,750,000 | 1,836,345 | |||||
City of Irving, TX | |||||||
7.375%, 08/15/2044 | 3,500,000 | 3,501,390 | |||||
City of San Antonio, TX Electric & Gas Systems Revenue | |||||||
5.000%, 02/01/2039 | 10,000,000 | 11,261,920 | |||||
5.250%, 02/01/2040 | 5,000,000 | 5,696,284 | |||||
5.718%, 02/01/2041 | 15,350,000 | 16,581,586 | |||||
5.985%, 02/01/2039 | 13,425,000 | 14,729,333 | |||||
Colony Economic Development Corp. | |||||||
7.250%, 10/01/2042 | 5,000,000 | 4,836,326 | |||||
County of Bexar, TX | |||||||
2.863%, 06/15/2043 | 7,100,000 | 5,167,070 | |||||
Dallas Fort Worth International Airport | |||||||
2.843%, 11/01/2046 | 5,435,000 | 4,000,488 | |||||
2.994%, 11/01/2038 | 16,480,000 | 13,896,670 | |||||
3.089%, 11/01/2040 | 15,390,000 | 12,040,242 | |||||
Downtown Dallas Development Authority | |||||||
0.000%, 08/15/2036 (h) | 6,730,000 | 3,258,312 | |||||
Metropolitan Transit Authority of Harris County Sales & Use Tax Revenue | |||||||
2.599%, 11/01/2037 | 17,015,000 | 13,263,330 | |||||
New Hope Cultural Education Facilities Corp. | |||||||
4.000%, 08/01/2020 (e)(g) | 169,148 | - | |||||
North Texas Tollway Authority | |||||||
3.000%, 01/01/2038 | 21,695,000 | 18,520,108 | |||||
8.410%, 02/01/2030 | 4,973,000 | 5,570,368 | |||||
Port of Beaumont Industrial Development Authority | |||||||
4.100%, 01/01/2028 (a) | 7,000,000 | 5,598,642 | |||||
Port of Houston Authority | |||||||
3.000%, 10/01/2039 | 5,000,000 | 4,318,769 | |||||
Stafford Municipal School District | |||||||
3.084%, 08/15/2041 | 1,525,000 | 1,208,251 | |||||
Texas A&M University | |||||||
2.806%, 05/15/2041 | 6,750,000 | 5,036,937 | |||||
Texas Transportation Commission | |||||||
2.013%, 10/01/2037 | 6,295,000 | 4,523,505 | |||||
2.562%, 04/01/2042 | 2,500,000 | 1,888,586 | |||||
206,372,738 | |||||||
Utah - 0.38% | |||||||
County of Salt Lake, UT Convention Hotel Revenue | |||||||
5.750%, 10/01/2047 (a) | 5,000,000 | 4,315,484 | |||||
Utah Transit Authority | |||||||
2.774%, 12/15/2038 | 9,785,000 | 7,468,958 | |||||
3.443%, 12/15/2042 | 11,390,000 | 9,002,740 | |||||
20,787,182 | |||||||
Virginia - 0.24% | |||||||
University of Virginia | |||||||
6.200%, 09/01/2039 | 11,130,000 | 12,943,551 | |||||
Washington - 0.87% | |||||||
County of King, WA | |||||||
2.730%, 12/01/2041 | 5,000,000 | 3,829,593 | |||||
King County Housing Authority | |||||||
3.000%, 11/01/2039 | 1,000,000 | 810,383 | |||||
3.000%, 06/01/2040 | 17,910,000 | 14,474,674 | |||||
NJB Properties | |||||||
5.510%, 12/01/2036 | 7,320,000 | 7,704,695 | |||||
Pierce County School District No. 10 Tacoma | |||||||
2.357%, 12/01/2039 | 16,810,000 | 12,294,373 | |||||
University of Washington | |||||||
3.350%, 07/01/2041 | 10,000,000 | 8,031,524 | |||||
47,145,242 | |||||||
West Virginia - 0.07% | |||||||
Tobacco Settlement Finance Authority | |||||||
2.701%, 06/01/2030 | 4,770,000 | 4,025,750 | |||||
Wisconsin - 0.18% | |||||||
Milwaukee Redevelopment Authority | |||||||
0.000%, 04/01/2039 (h) | 1,000,000 | 420,473 | |||||
Public Finance Authority | |||||||
4.153%, 05/15/2031 | 3,635,000 | 3,549,822 | |||||
7.500%, 06/01/2029 (a) | 5,750,000 | 5,735,143 | |||||
9,705,438 | |||||||
TOTAL MUNICIPAL BONDS (Cost $1,415,991,657) | 1,268,516,773 | ||||||
US GOVERNMENT NOTES/BONDS - 7.97% | |||||||
United States Treasury Notes/Bonds | |||||||
2.375%, 02/15/2042 | 50,000,000 | 39,080,078 | |||||
3.250%, 05/15/2042 | 25,000,000 | 22,435,547 | |||||
3.375%, 08/15/2042 | 40,000,000 | 36,525,000 | |||||
4.000%, 11/15/2042 | 160,000,000 | 159,950,000 | |||||
3.875%, 02/15/2043 | 155,000,000 | 151,996,875 | |||||
3.875%, 05/15/2043 | 25,000,000 | 24,515,625 | |||||
TOTAL US GOVERNMENT NOTES/BONDS (Cost $447,486,766) | �� 434,503,125 | ||||||
SHORT-TERM INVESTMENTS - 1.21% | |||||||
First American Government Obligations Fund - Class X, 4.965% (l) | 66,284,454 | 66,284,454 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $66,284,454) | 66,284,454 | ||||||
Total Investments (Cost $6,143,215,318) - 99.87% | 5,442,658,316 | ||||||
Other Assets in Excess of Liabilities - 0.13% | 6,883,802 | ||||||
TOTAL NET ASSETS - 100.00% | $ | 5,449,542,118 |
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 May 31, 2023. | ||||
(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 was $49,597,485, representing 0.91% of net assets as of May 31, 2023. | ||||
(f) | Variable rate security; the rate shown represents the rate at May 31, 2023. The coupon is based on an underlying pool of loans. | ||||
(g) | Default or other conditions exist at May 31, 2023. | ||||
(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 May 31, 2023. | ||||
(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 May 31, 2023. |
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 May 31, 2023 | ||||||
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 May 31, 2023, 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 | $ | - | $ | 432,638,686 | $ | - | $ | 432,638,686 | ||||||||
Collateralized Loan Obligations | - | 330,678,776 | - | 330,678,776 | ||||||||||||
Corporate Bonds | - | 1,053,363,431 | - | 1,053,363,431 | ||||||||||||
Non-Agency Residential Mortgage Backed Securities | - | 480,518,022 | - | 480,518,022 | ||||||||||||
Non-Agency Commercial Mortgage Backed Securities | - | 921,995,400 | - | 921,995,400 | ||||||||||||
Agency Commercial Mortgage Backed Securities | - | 454,159,649 | - | 454,159,649 | ||||||||||||
Municipal Bonds | - | 1,268,516,773 | - | 1,268,516,773 | ||||||||||||
US Government Notes/Bonds | - | 434,503,125 | - | 434,503,125 | ||||||||||||
Total Fixed Income | - | 5,376,373,862 | - | 5,376,373,862 | ||||||||||||
Short-Term Investments | 66,284,454 | - | - | 66,284,454 | ||||||||||||
Total Investments In Securities | $ | 66,284,454 | $ | 5,376,373,862 | $ | - | $ | 5,442,658,316 |
For the period ended May 31, 2023, 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. |