Pioneer Multi-Asset | |||
Ultrashort Income Fund | |||
Schedule of Investments | December 31, 2020 | |||
Ticker Symbols: | |||
Class A Class C Class C2 Class K Class Y | MAFRX MCFRX MAUCX MAUKX MYFRX |
Schedule of Investments | 12/31/20 (unaudited)
Principal Amount USD ($) | Value | |||
UNAFFILIATED ISSUERS - 103.7% | ||||
ASSET BACKED SECURITIES - 27.1% of Net Assets | ||||
1,772,300(a) | 321 Henderson Receivables LLC, Series 2005-1A, Class A1, 0.371% (1 Month USD LIBOR + 23 bps), 11/15/40 (144A) | $1,727,048 | ||
191,501(a) | 321 Henderson Receivables I LLC, Series 2004-A, Class A1, 0.509% (1 Month USD LIBOR + 35 bps), 9/15/45 (144A) | 187,954 | ||
264,527(a) | 321 Henderson Receivables I LLC, Series 2006-1A, Class A1, 0.359% (1 Month USD LIBOR + 20 bps), 3/15/41 (144A) | 261,077 | ||
701,212(a) | 321 Henderson Receivables I LLC, Series 2006-2A, Class A1, 0.359% (1 Month USD LIBOR + 20 bps), 6/15/41 (144A) | 679,124 | ||
992,316(a) | 321 Henderson Receivables I LLC, Series 2006-3A, Class A1, 0.359% (1 Month USD LIBOR + 20 bps), 9/15/41 (144A) | 964,273 | ||
866,851(a) | 321 Henderson Receivables I LLC, Series 2006-4A, Class A1, 0.359% (1 Month USD LIBOR + 20 bps), 12/15/41 (144A) | 859,428 | ||
337,321(a) | 321 Henderson Receivables I LLC, Series 2007-1A, Class A1, 0.359% (1 Month USD LIBOR + 20 bps), 3/15/42 (144A) | 321,921 | ||
1,291,387(a) | ABFC Trust, Series 2004-OPT2, Class M1, 0.973% (1 Month USD LIBOR + 83 bps), 8/25/33 | 1,284,377 | ||
98,689(a) | ABFC Trust, Series 2005-WMC1, Class M2, 0.823% (1 Month USD LIBOR + 68 bps), 6/25/35 | 100,080 | ||
5,000,000(a) | ABPCI Direct Lending Fund CLO X LP, Series 2020-10A, Class A1A, 2.196% (3 Month USD LIBOR + 195 bps), 1/20/32 (144A) | 5,002,495 | ||
4,066,472 | ACC Trust, Series 2019-2, Class A, 2.82%, 2/21/23 (144A) | 4,085,269 | ||
320,047(a) | ACE Securities Corp. Home Equity Loan Trust, Series 2005-WF1, Class M2, 0.808% (1 Month USD LIBOR + 66 bps), 5/25/35 | 329,502 | ||
1,034,833(a) | ACIS CLO, Ltd., Series 2015-6A, Class A1, 1.804% (3 Month USD LIBOR + 159 bps), 5/1/27 (144A) | 1,035,002 | ||
2,143,898(a) | Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs, Series 2004-4, Class M1, 1.048% (1 Month USD LIBOR + 90 bps), 10/25/34 | 2,123,691 | ||
7,100,000(a) | Aimco CLO 11, Ltd., Series 2020-11A, Class A1, 1.605% (3 Month USD LIBOR + 138 bps), 10/15/31 (144A) | 7,108,342 | ||
24,039(a) | Allegro CLO I, Ltd., Series 2013-1A, Class A2R, 1.864% (3 Month USD LIBOR + 165 bps), 1/30/26 (144A) | 24,041 | ||
8,000,000 | American Credit Acceptance Receivables Trust, Series 2020-1, Class B, 2.08%, 12/13/23 (144A) | 8,071,910 | ||
3,210,554 | American Credit Acceptance Receivables Trust, Series 2020-2, Class A, 1.65%, 12/13/23 (144A) | 3,230,026 | ||
53,255(a) | Amortizing Residential Collateral Trust, Series 2002-BC5, Class M1, 1.183% (1 Month USD LIBOR + 104 bps), 7/25/32 | 53,176 | ||
2,561,261 | Amur Equipment Finance Receivables V LLC, Series 2018-1A, Class A2, 3.24%, 12/20/23 (144A) | 2,575,050 | ||
4,097,740 | Amur Equipment Finance Receivables VI LLC, Series 2018-2A, Class A2, 3.89%, 7/20/22 (144A) | 4,164,643 | ||
4,000,000 | Amur Equipment Finance Receivables VII LLC, Series 2019-1A, Class B, 2.8%, 3/20/25 (144A) | 4,120,046 | ||
2,228,571(a) | Apidos CLO XXXII, Series 2019-32A, Class X, 0.868% (3 Month USD LIBOR + 65 bps), 1/20/33 (144A) | 2,228,569 | ||
8,000,000(a) | Apres Static CLO Ltd., Series 2019-1A, Class A1R, 0.0% (3 Month USD LIBOR + 107 bps), 10/15/28 (144A) | 7,978,504 | ||
10,302,036 | Aqua Finance Trust, Series 2019-A, Class A, 3.14%, 7/16/40 (144A) | 10,562,542 | ||
9,180,030 | Aqua Finance Trust, Series 2020-AA, Class A, 1.9%, 7/17/46 (144A) | 9,225,879 | ||
4,000,000(a) | Ares LVII CLO Ltd., Series 2020-57A, Class X, 0.994% (3 Month USD LIBOR + 75 bps), 10/25/31 (144A) | 3,999,988 | ||
3,478,276(a) | Argent Securities, Inc. Asset Backed Pass-Through Certificates, Series 2003-W4, Class M1, 1.348% (1 Month USD LIBOR + 120 bps), 10/25/33 | 3,447,641 | ||
722,985(a) | Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M2, 1.198% (1 Month USD LIBOR + 105 bps), 11/25/34 | 724,593 | ||
56,048(a) | Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-W3, Class A2D, 0.828% (1 Month USD LIBOR + 68 bps), 11/25/35 | 55,935 | ||
5,264,045 | Arivo Acceptance Auto Loan Receivables Trust, Series 2019-1, Class A, 2.99%, 7/15/24 (144A) | 5,330,305 | ||
2,675,938(a) | Asset Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE3, Class M1, 1.404% (1 Month USD LIBOR + 125 bps), 6/15/33 | 2,672,721 | ||
11,016(a) | Asset-Backed Pass-Through Certificates, Series 2004-R2, Class A1A, 0.838% (1 Month USD LIBOR + 69 bps), 4/25/34 | 11,004 | ||
115,990(a) | Asset-Backed Pass-Through Certificates, Series 2004-R2, Class A1B, 0.768% (1 Month USD LIBOR + 62 bps), 4/25/34 | 115,862 | ||
12,924,357(a) | Atlas Senior Loan Fund III, Ltd., Series 2013-1A, Class AR, 1.052% (3 Month USD LIBOR + 83 bps), 11/17/27 (144A) | 12,794,829 | ||
634,043(a) | Atlas Senior Loan Fund XII, Ltd., Series 2018-12A, Class X, 0.965% (3 Month USD LIBOR + 75 bps), 10/24/31 (144A) | 634,022 | ||
1,738,653 | Avant Loans Funding Trust, Series 2019-B, Class A, 2.72%, 10/15/26 (144A) | 1,744,965 | ||
3,598,234 | Avid Automobile Receivables Trust, Series 2019-1, Class A, 2.62%, 2/15/24 (144A) | 3,631,366 | ||
316,667(a) | Babson CLO, Ltd., Series 2015-IA, Class XR, 0.768% (3 Month USD LIBOR + 55 bps), 1/20/31 (144A) | 316,665 | ||
416,665(a) | Barings CLO, Ltd., Series 2019-1A, Class X, 0.987% (3 Month USD LIBOR + 75 bps), 4/15/31 (144A) | 416,665 | ||
6,250,000(a) | Barings Middle Market CLO, Ltd., Series 2018-IA, Class A1, 1.767% (3 Month USD LIBOR + 153 bps), 1/15/31 (144A) | 6,205,131 | ||
937,500(a) | Battery Park CLO, Ltd., Series 2019-1A, Class X, 0.887% (3 Month USD LIBOR + 65 bps), 7/15/32 (144A) | 937,499 | ||
554,896 | BCC Funding XIV LLC, Series 2018-1A, Class A2, 2.96%, 6/20/23 (144A) | 555,565 | ||
Principal Amount USD ($) | Value | |||
ASSET BACKED SECURITIES - (continued) | ||||
2,500,000(a) | BDS, Ltd., Series 2020-FL5, Class C, 2.208% (1 Month USD LIBOR + 205 bps), 2/16/37 (144A) | $ 2,464,389 | ||
1,031,250(a) | Bean Creek CLO, Ltd., Series 2015-1A, Class XR, 0.818% (3 Month USD LIBOR + 60 bps), 4/20/31 (144A) | 1,031,230 | ||
288,096(a) | Bear Stearns Asset Backed Securities Trust, Series 2001-3, Class A1, 1.048% (1 Month USD LIBOR + 90 bps), 10/27/32 | 283,721 | ||
2,000,000(a) | Brightwood Capital MM CLO Ltd., Series 2020-1A, Class D, 0.0% (3 Month USD LIBOR + 540 bps), 12/15/28 (144A) | 1,985,062 | ||
707,379 | BXG Receivables Note Trust, Series 2020-A, Class B, 2.49%, 2/28/36 (144A) | 710,859 | ||
2,000,000(a) | California Street CLO IX LP, Series 2012-9A, Class XR2, 0.93% (3 Month USD LIBOR + 70 bps), 7/16/32 (144A) | 1,999,908 | ||
337,855(a) | Carlyle US CLO, Ltd., Series 2019-4A, Class M, 0.887% (3 Month USD LIBOR + 65 bps), 1/15/33 (144A) | 337,836 | ||
5,339,955 | Carnow Auto Receivables Trust, Series 2019-1A, Class A, 2.72%, 11/15/22 (144A) | 5,371,553 | ||
497,604 | Carvana Auto Receivables Trust, Series 2019-4A, Class A2, 2.2%, 7/15/22 (144A) | 498,309 | ||
5,000,000 | Carvana Auto Receivables Trust, Series 2020-N1A, Class D, 3.43%, 1/15/26 (144A) | 5,205,759 | ||
537,627 | Cazenovia Creek Funding II LLC, Series 2018-1A, Class B, 3.984%, 7/15/30 (144A) | 534,602 | ||
5,000,000(a) | CBAM, Ltd., Series 2017-3A, Class A, 1.448% (3 Month USD LIBOR + 123 bps), 10/17/29 (144A) | 5,000,120 | ||
15,415(b) | Centex Home Equity Loan Trust, Series 2003-A, Class AF6, 3.654%, 3/25/33 | 15,449 | ||
1,500,000(a) | Cerberus Loan Funding XXVIII LP, Series 2020-1A, Class A, 2.06% (3 Month USD LIBOR + 185 bps), 10/15/31 (144A) | 1,501,777 | ||
4,522,483(b) | CFMT LLC, Series 2020-HB3, Class A, 2.812%, 5/25/30 (144A) | 4,561,372 | ||
5,497,638 | Chase Auto Credit Linked Notes, Series 2020-1, Class B, 0.991%, 1/25/28 (144A) | 5,512,692 | ||
102,524 | Chesapeake Funding II LLC, Series 2017-2A, Class A1, 1.99%, 5/15/29 (144A) | 102,613 | ||
224,527(a) | Chesapeake Funding II LLC, Series 2017-2A, Class A2, 0.609% (1 Month USD LIBOR + 45 bps), 5/15/29 (144A) | 224,526 | ||
739,782(a) | Chesapeake Funding II LLC, Series 2017-3A, Class A2, 0.499% (1 Month USD LIBOR + 34 bps), 8/15/29 (144A) | 739,782 | ||
2,342,029(a) | Chesapeake Funding II LLC, Series 2018-1A, Class A2, 0.609% (1 Month USD LIBOR + 45 bps), 4/15/30 (144A) | 2,341,437 | ||
16,315,000(a) | CIFC Funding Ltd., Series 2015-3A, Class AR, 1.088% (3 Month USD LIBOR + 87 bps), 4/19/29 (144A) | 16,202,949 | ||
3,335,839 | CIG Auto Receivables Trust, Series 2019-1A, Class A, 3.33%, 8/15/24 (144A) | 3,364,991 | ||
2,383,602 | CIG Auto Receivables Trust, Series 2020-1A, Class A, 0.68%, 10/12/23 (144A) | 2,385,651 | ||
2,235,117(a) | CIM Small Business Loan Trust, Series 2018-1A, Class A, 1.552% (1 Month USD LIBOR + 140 bps), 3/20/43 (144A) | 2,204,709 | ||
10,000,000(a) | Citibank Credit Card Issuance Trust, Series 2017-A7, Class A7, 0.522% (1 Month USD LIBOR + 37 bps), 8/8/24 | 10,043,848 | ||
515,000(a) | Citibank Credit Card Issuance Trust, Series 2018-A4, Class A4, 0.493% (1 Month USD LIBOR + 34 bps), 6/7/25 | 516,174 | ||
755,271(a) | Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH1, Class M3, 0.748% (1 Month USD LIBOR + 60 bps), 1/25/36 | 754,877 | ||
250,000(a) | Clear Creek CLO, Series 2015-1A, Class X, 1.218% (3 Month USD LIBOR + 100 bps), 10/20/30 (144A) | 249,994 | ||
3,250,000(a) | Cole Park CLO, Ltd., Series 2015-1A, Class AR, 1.268% (3 Month USD LIBOR + 105 bps), 10/20/28 (144A) | 3,250,046 | ||
437,500(a) | Columbia Cent CLO 28, Ltd., Series 2018-28A, Class X, 0.863% (3 Month USD LIBOR + 65 bps), 11/7/30 (144A) | 437,499 | ||
1,144,680 | Commonbond Student Loan Trust, Series 2016-B, Class A1, 2.73%, 10/25/40 (144A) | 1,164,937 | ||
188,166(a) | Commonbond Student Loan Trust, Series 2016-B, Class A2, 1.598% (1 Month USD LIBOR + 145 bps), 10/25/40 (144A) | 189,076 | ||
1,755,370(a) | Commonbond Student Loan Trust, Series 2017-AGS, Class A2, 0.998% (1 Month USD LIBOR + 85 bps), 5/25/41 (144A) | 1,749,653 | ||
3,255,477(a) | Commonbond Student Loan Trust, Series 2017-BGS, Class A2, 0.798% (1 Month USD LIBOR + 65 bps), 9/25/42 (144A) | 3,227,753 | ||
2,649,052(a) | Commonbond Student Loan Trust, Series 2018-AGS, Class A2, 0.648% (1 Month USD LIBOR + 50 bps), 2/25/44 (144A) | 2,622,577 | ||
5,466,441(a) | Commonbond Student Loan Trust, Series 2018-BGS, Class A2, 0.718% (1 Month USD LIBOR + 57 bps), 9/25/45 (144A) | 5,428,270 | ||
3,635,446(a) | Commonbond Student Loan Trust, Series 2018-CGS, Class A2, 0.948% (1 Month USD LIBOR + 80 bps), 2/25/46 (144A) | 3,589,169 | ||
6,734,321(a) | Commonbond Student Loan Trust, Series 2019-AGS, Class A2, 1.048% (1 Month USD LIBOR + 90 bps), 1/25/47 (144A) | 6,719,325 | ||
770,540 | Conn's Receivables Funding LLC, Series 2019-A, Class A, 3.4%, 10/16/23 (144A) | 774,099 | ||
2,272,775 | Conn's Receivables Funding LLC, Series 2019-A, Class B, 4.36%, 10/16/23 (144A) | 2,280,141 | ||
1,359,360 | Conn's Receivables Funding LLC, Series 2019-B, Class A, 2.66%, 6/17/24 (144A) | 1,360,367 | ||
5,748,682 | Conn's Receivables Funding LLC, Series 2020-A, Class A, 1.71%, 6/16/25 (144A) | 5,754,048 | ||
52,418(a) | Conseco Finance Home Equity Loan Trust, Series 2002-C, Class MV1, 1.659% (1 Month USD LIBOR + 150 bps), 5/15/32 | 52,337 | ||
961,598 | Consumer Lending Receivables Trust, Series 2019-A, Class A, 3.52%, 4/15/26 (144A) | 965,655 | ||
14,717,320 | Consumer Loan Underlying Bond Club Certificate Issuer Trust, Series 2019-HP1, Class A, 2.59%, 12/15/26 (144A) | 14,881,516 | ||
4,918,403 | Consumer Loan Underlying Bond CLUB Credit Trust, Series 2020-P1, Class A, 2.26%, 3/15/28 (144A) | 4,954,279 | ||
54,135 | Consumer Loan Underlying Bond Credit Trust, Series 2018-P2, Class A, 3.47%, 10/15/25 (144A) | 54,170 | ||
1,547,761 | Consumer Loan Underlying Bond Credit Trust, Series 2019-P1, Class A, 2.94%, 7/15/26 (144A) | 1,557,215 | ||
Principal Amount USD ($) | Value | |||
ASSET BACKED SECURITIES - (continued) | ||||
45,411(a) | Countrywide Asset-Backed Certificates, Series 2005-9, Class M1, 0.928% (1 Month USD LIBOR + 78 bps), 1/25/36 | $ 45,400 | ||
2,549(a) | Countrywide Asset-Backed Certificates, Series 2006-3, Class 2A3, 0.728% (1 Month USD LIBOR + 58 bps), 6/25/36 | 2,548 | ||
2,238,157(a) | Countrywide Asset-Backed Certificates, Series 2006-4, Class 2A3, 0.438% (1 Month USD LIBOR + 29 bps), 7/25/36 | 2,235,637 | ||
5,000,000 | Credit Acceptance Auto Loan Trust, Series 2020-1A, Class C, 2.59%, 6/15/29 (144A) | 5,131,505 | ||
928,322(a) | Credit Suisse Seasoned Loan Trust, Series 2006-1, Class A, 0.388% (1 Month USD LIBOR + 24 bps), 10/25/34 (144A) | 927,709 | ||
11,627(a) | Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB3, Class M2, 1.078% (1 Month USD LIBOR + 93 bps), 6/25/35 | 11,627 | ||
4,705(a) | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-AGE1, Class M3, 1.123% (1 Month USD LIBOR + 98 bps), 2/25/32 | 4,703 | ||
11,949(a) | CWABS Asset-Backed Certificates Trust, Series 2005-17, Class 3AV2, 0.488% (1 Month USD LIBOR + 34 bps), 5/25/36 | 11,943 | ||
106,444(a) | CWABS Asset-Backed Certificates Trust, Series 2005-AB1, Class M1, 0.778% (1 Month USD LIBOR + 63 bps), 8/25/35 | 106,404 | ||
1,227,920(a) | CWHEQ Revolving Home Equity Loan Resuritization Trust, Series 2006-RES, Class 4M1A, 0.439% (1 Month USD LIBOR + 28 bps), 2/15/34 (144A) | 1,206,488 | ||
2,012,714(a) | CWHEQ Revolving Home Equity Loan Resuritization Trust, Series 2006-RES, Class 4N1A, 0.439% (1 Month USD LIBOR + 28 bps), 2/15/34 (144A) | 1,961,808 | ||
94,752 | Dell Equipment Finance Trust, Series 2018-2, Class A3, 3.37%, 10/22/23 (144A) | 95,277 | ||
2,000,000 | Dell Equipment Finance Trust, Series 2020-1, Class A2, 2.26%, 6/22/22 (144A) | 2,023,355 | ||
90 | Delta Funding Home Equity Loan Trust, Series 1997-2, Class A6, 7.04%, 6/25/27 | 81 | ||
2,996,716 | Diamond Resorts Owner Trust, Series 2016-1, Class B, 3.37%, 11/20/28 (144A) | 2,996,157 | ||
3,182,010 | DLL LLC, Series 2018-ST2, Class A3, 3.46%, 1/20/22 (144A) | 3,199,113 | ||
402,723(a) | DRB Prime Student Loan Trust, Series 2015-D, Class A1, 1.843% (1 Month USD LIBOR + 170 bps), 1/25/40 (144A) | 403,684 | ||
215,814(a) | DRB Prime Student Loan Trust, Series 2016-B, Class A1, 1.948% (1 Month USD LIBOR + 180 bps), 6/25/40 (144A) | 217,651 | ||
1,225,715(a) | DRB Prime Student Loan Trust, Series 2017-A, Class A1, 0.998% (1 Month USD LIBOR + 85 bps), 5/27/42 (144A) | 1,225,392 | ||
1,176,687 | Drive Auto Receivables Trust, Series 2020-2, Class A2A, 0.85%, 7/17/23 | 1,179,097 | ||
1,622,251(a) | Drug Royalty III LP 1, Series 2017-1A, Class A1, 2.737% (3 Month USD LIBOR + 250 bps), 4/15/27 (144A) | 1,621,873 | ||
1,721,898(a) | Drug Royalty III LP 1, Series 2018-1A, Class A1, 1.837% (3 Month USD LIBOR + 160 bps), 10/15/31 (144A) | 1,697,986 | ||
1,312,500(a) | Dryden 80 CLO, Ltd., Series 2019-80A, Class X, 1.118% (3 Month USD LIBOR + 90 bps), 1/17/33 (144A) | 1,312,497 | ||
225,273(a) | Earnest Student Loan Program LLC, Series 2016-C, Class A1, 1.998% (1 Month USD LIBOR + 185 bps), 10/27/36 (144A) | 225,847 | ||
220,404(a) | Earnest Student Loan Program LLC, Series 2016-D, Class A1, 1.548% (1 Month USD LIBOR + 140 bps), 1/25/41 (144A) | 220,901 | ||
711,060(a) | Earnest Student Loan Program LLC, Series 2017-A, Class A1, 1.148% (1 Month USD LIBOR + 100 bps), 1/25/41 (144A) | 711,314 | ||
15,950,000(a) | Elevation CLO, Ltd., Series 2015-4A, Class CR, 2.418% (3 Month USD LIBOR + 220 bps), 4/18/27 (144A) | 15,900,539 | ||
2,000,000(a) | Elm CLO, Ltd., Series 2014-1A, Class BRR, 1.968% (3 Month USD LIBOR + 175 bps), 1/17/29 (144A) | 1,995,480 | ||
1,875,000(a) | Elmwood CLO IV, Ltd., Series 2020-1A, Class X, 0.937% (3 Month USD LIBOR + 70 bps), 4/15/33 (144A) | 1,851,478 | ||
1,000,000(a) | Evergreen Credit Card Trust, Series 2019-1, Class A, 0.639% (1 Month USD LIBOR + 48 bps), 1/15/23 (144A) | 1,000,162 | ||
1,467,068 | FCI Funding LLC, Series 2019-1A, Class A, 3.63%, 2/18/31 (144A) | 1,489,840 | ||
9,650,906 | FHF Trust, Series 2020-1A, Class A, 2.59%, 12/15/23 (144A) | 9,716,005 | ||
4,567,000(a) | Fieldstone Mortgage Investment Trust, Series 2005-3, Class 2A3, 0.828% (1 Month USD LIBOR + 68 bps), 2/25/36 | 4,522,161 | ||
15,008,826(b) | Finance of America HECM Buyout, Series 2020-HB1, Class A, 2.012%, 2/25/30 (144A) | 15,107,629 | ||
31,636(a) | First Franklin Mortgage Loan Trust, Series 2004-FF4, Class M1, 1.003% (1 Month USD LIBOR + 86 bps), 6/25/34 | 31,590 | ||
70,861(a) | First Franklin Mortgage Loan Trust, Series 2005-FFH2, Class M2, 0.958% (1 Month USD LIBOR + 81 bps), 4/25/35 (144A) | 70,866 | ||
1,858,436 | First Investors Auto Owner Trust, Series 2019-1A, Class A, 2.89%, 3/15/24 (144A) | 1,877,037 | ||
12,975,000(a) | Fort CRE LLC, Series 2018-1A, Class A1, 1.496% (1 Month USD LIBOR + 135 bps), 11/16/35 (144A) | 12,618,790 | ||
500,000(a) | Fort Washington CLO, Series 2019-1A, Class A, 1.638% (3 Month USD LIBOR + 142 bps), 10/20/32 (144A) | 500,645 | ||
2,750,000(a) | Fortress Credit Opportunities VI CLO, Ltd., Series 2015-6A, Class A1TR, 1.584% (3 Month USD LIBOR + 136 bps), 7/10/30 (144A) | 2,724,865 | ||
4,113,000(a) | Fortress Credit Opportunities IX CLO, Ltd., Series 2017-9A, Class A1T, 1.771% (3 Month USD LIBOR + 155 bps), 11/15/29 (144A) | 4,108,903 | ||
2,764,527(a) | Fortress Credit Opportunities IX CLO, Ltd., Series 2020-13A, Class A, 2.487% (3 Month USD LIBOR + 225 bps), 7/15/28 (144A) | 2,774,471 | ||
1,556,506 | Foursight Capital Automobile Receivables Trust, Series 2019-1, Class A2, 2.58%, 3/15/23 (144A) | 1,561,358 | ||
4,360,522 | Foursight Capital Automobile Receivables Trust, Series 2020-1, Class A2, 1.97%, 9/15/23 (144A) | 4,390,057 | ||
Principal Amount USD ($) | Value | |||
ASSET BACKED SECURITIES - (continued) | ||||
2,500,000 | Foursight Capital Automobile Receivables Trust, Series 2020-1, Class B, 2.27%, 2/18/25 (144A) | $ 2,562,064 | ||
2,559,593 | Freed ABS Trust, Series 2020-2CP, Class A, 4.52%, 6/18/27 (144A) | 2,587,825 | ||
3,763,600 | Freed ABS Trust, Series 2020-FP1, Class A, 2.52%, 3/18/27 (144A) | 3,789,861 | ||
1,117,213(a) | Fremont Home Loan Trust, Series 2005-E, Class 1A1, 0.608% (1 Month USD LIBOR + 46 bps), 1/25/36 | 1,115,304 | ||
3,648,222(a) | Fremont Home Loan Trust, Series 2006-2, Class 1A1, 0.468% (1 Month USD LIBOR + 32 bps), 2/25/36 | 3,621,181 | ||
4,825,372 | Genesis Private Label Amortizing Trust, Series 2020-1, Class A, 2.08%, 7/20/30 (144A) | 4,833,458 | ||
799,046 | GLS Auto Receivables Issuer Trust, Series 2019-1A, Class A, 3.37%, 1/17/23 (144A) | 801,849 | ||
3,000,000 | GLS Auto Receivables Issuer Trust, Series 2019-3A, Class B, 2.72%, 6/17/24 (144A) | 3,068,969 | ||
800,000 | GLS Auto Receivables Trust, Series 2018-1A, Class B, 3.52%, 8/15/23 (144A) | 811,365 | ||
2,405,047 | Gold Key Resorts LLC, Series 2014-A, Class B, 3.72%, 3/17/31 (144A) | 2,430,726 | ||
700,000(a) | Goldentree Loan Management US CLO 5, Ltd., Series 2019-5A, Class X, 0.718% (3 Month USD LIBOR + 50 bps), 10/20/32 (144A) | 699,999 | ||
700,000(a) | Goldentree Loan Management US CLO 8, Ltd., Series 2020-8A, Class X, 1.053% (3 Month USD LIBOR + 85 bps), 7/20/31 (144A) | 699,998 | ||
3,000,000(a) | Golub Capital Partners CLO 24M-R, Ltd., Series 2015-24A, Class AR, 1.825% (3 Month USD LIBOR + 160 bps), 11/5/29 (144A) | 2,990,586 | ||
1,821,000(a) | Golub Capital Partners CLO 25M, Ltd., Series 2015-25A, Class AR, 1.605% (3 Month USD LIBOR + 138 bps), 5/5/30 (144A) | 1,804,919 | ||
10,000,000(a) | Golub Capital Partners CLO 34M, Ltd., Series 2017-34A, Class AR, 1.925% (3 Month USD LIBOR + 170 bps), 3/14/31 (144A) | 9,983,110 | ||
5,000,000(a) | Golub Capital Partners CLO 46M, Ltd., Series 2019-46A, Class A1A, 2.018% (3 Month USD LIBOR + 180 bps), 4/20/32 (144A) | 4,999,975 | ||
2,500,000(a) | Gracie Point International Funding, Series 2020-B, Class A, 1.527% (1 Month USD LIBOR + 140 bps), 5/2/23 (144A) | 2,499,892 | ||
3,000,000(a) | Gracie Point International Funding, Series 2020-B, Class B, 2.527% (1 Month USD LIBOR + 240 bps), 5/2/23 (144A) | 2,999,787 | ||
1,566,667(a) | Greywolf CLO III, Ltd., Series 2020-3RA, Class XR, 0.716% (3 Month USD LIBOR + 50 bps), 4/15/33 (144A) | 1,555,373 | ||
3,909,867(a) | HANA SBA Loan Trust, Series 2019-1, Class A, 2.149% (1 Month USD LIBOR + 200 bps), 8/25/45 (144A) | 3,774,307 | ||
750,000(a) | Harbor Park CLO, Ltd., Series 2018-1A, Class X, 1.118% (3 Month USD LIBOR + 90 bps), 1/20/31 (144A) | 749,998 | ||
30,819 | Hero Residual Funding, Series 2016-1R, Class A1, 4.5%, 9/21/42 (144A) | 30,855 | ||
419,863(a) | Hertz Fleet Lease Funding LP, Series 2017-1, Class A1, 0.799% (1 Month USD LIBOR + 65 bps), 4/10/31 (144A) | 419,831 | ||
2,677,436(a) | Hertz Fleet Lease Funding LP, Series 2018-1, Class A1, 0.649% (1 Month USD LIBOR + 50 bps), 5/10/32 (144A) | 2,677,191 | ||
227,169(a) | Hertz Fleet Lease Funding LP, Series 2019-1, Class A1, 0.619% (1 Month USD LIBOR + 47 bps), 1/10/33 (144A) | 227,744 | ||
4,000,000 | HOA Funding LLC, Series 2015-1A, Class B, 9.0%, 8/20/44 (144A) | 3,667,200 | ||
59,769(a) | Home Equity Asset Trust, Series 2004-8, Class M1, 1.018% (1 Month USD LIBOR + 87 bps), 3/25/35 | 59,759 | ||
1,578,430(a) | Home Equity Asset Trust, Series 2005-3, Class M4, 1.108% (1 Month USD LIBOR + 96 bps), 8/25/35 | 1,579,173 | ||
64,399(a) | Home Equity Asset Trust, Series 2005-7, Class M1, 0.598% (1 Month USD LIBOR + 45 bps), 1/25/36 | 64,249 | ||
515,419(a) | Home Equity Asset Trust, Series 2006-3, Class 2A4, 0.458% (1 Month USD LIBOR + 31 bps), 7/25/36 | 515,333 | ||
3,000,000(a) | Home Partners of America Trust, Series 2017-1, Class C, 1.703% (1 Month USD LIBOR + 155 bps), 7/17/34 (144A) | 2,996,223 | ||
2,500,000(a) | Home Partners of America Trust, Series 2017-1, Class D, 2.053% (1 Month USD LIBOR + 190 bps), 7/17/34 (144A) | 2,496,867 | ||
2,000,000(a) | Home Partners of America Trust, Series 2018-1, Class C, 1.403% (1 Month USD LIBOR + 125 bps), 7/17/37 (144A) | 1,994,634 | ||
3,847,771 | HPEFS Equipment Trust, Series 2019-1A, Class A2, 2.19%, 9/20/29 (144A) | 3,863,317 | ||
23,581(a) | HSI Asset Securitization Corp. Trust, Series 2006-OPT2, Class M1, 0.703% (1 Month USD LIBOR + 56 bps), 1/25/36 | 23,695 | ||
2,067,000(a) | Invitation Homes Trust, Series 2017-SFR2, Class C, 1.603% (1 Month USD LIBOR + 145 bps), 12/17/36 (144A) | 2,066,999 | ||
10,824,579(a) | Invitation Homes Trust, Series 2018-SFR1, Class A, 0.853% (1 Month USD LIBOR + 70 bps), 3/17/37 (144A) | 10,734,506 | ||
4,000,000(a) | Invitation Homes Trust, Series 2018-SFR1, Class B, 1.103% (1 Month USD LIBOR + 95 bps), 3/17/37 (144A) | 3,966,893 | ||
7,162,394(a) | Invitation Homes Trust, Series 2018-SFR1, Class D, 1.603% (1 Month USD LIBOR + 145 bps), 3/17/37 (144A) | 7,162,391 | ||
1,750,000(a) | Invitation Homes Trust, Series 2018-SFR2, Class C, 1.439% (1 Month USD LIBOR + 128 bps), 6/17/37 (144A) | 1,744,662 | ||
9,998,014(a) | Invitation Homes Trust, Series 2018-SFR2, Class D, 1.609% (1 Month USD LIBOR + 145 bps), 6/17/37 (144A) | 9,976,303 | ||
4,086,655(a) | Invitation Homes Trust, Series 2018-SFR3, Class E, 2.153% (1 Month USD LIBOR + 200 bps), 7/17/37 (144A) | 4,080,208 | ||
13,816,167(a) | Invitation Homes Trust, Series 2018-SFR4, Class E, 2.103% (1 Month USD LIBOR + 195 bps), 1/17/38 (144A) | 13,782,852 | ||
Principal Amount USD ($) | Value | |||
ASSET BACKED SECURITIES - (continued) | ||||
5,900,000(a) | Ivy Hill Middle Market Credit Fund X, Ltd., Series 10A, Class A1AR, 1.468% (3 Month USD LIBOR + 125 bps), 7/18/30 (144A) | $ 5,849,974 | ||
948,421 | Kabbage Funding LLC, Series 2019-1, Class C, 4.611%, 3/15/24 (144A) | 948,350 | ||
430,300(a) | KVK CLO, Ltd., Series 2018-1A, Class A, 1.154% (3 Month USD LIBOR + 93 bps), 5/20/29 (144A) | 428,760 | ||
15,000,000(a) | KVK CLO, Ltd., Series 2018-1A, Class B, 1.874% (3 Month USD LIBOR + 165 bps), 5/20/29 (144A) | 14,955,060 | ||
5,500,000(a) | Lake Shore MM CLO III LLC, Series 2020-1A, Class A, 2.529% (3 Month USD LIBOR + 230 bps), 10/15/29 (144A) | 5,530,349 | ||
3,521,669(a) | Laurel Road Prime Student Loan Trust, Series 2017-C, Class A1, 0.698% (1 Month USD LIBOR + 55 bps), 11/25/42 (144A) | 3,504,056 | ||
1,507,617 | Laurel Road Prime Student Loan Trust, Series 2020-A, Class A1FX, 0.72%, 11/25/50 (144A) | 1,508,465 | ||
325,000(a) | LCM 28, Ltd., Series 28A, Class X, 1.118% (3 Month USD LIBOR + 90 bps), 10/20/30 (144A) | 324,995 | ||
8,000,000(a) | LCM XVIII LP, Series 18A, Class A1R, 1.238% (3 Month USD LIBOR + 102 bps), 4/20/31 (144A) | 7,949,488 | ||
457,752(a) | Lehman XS Trust, Series 2005-4, Class 1A3, 0.948% (1 Month USD LIBOR + 80 bps), 10/25/35 | 457,453 | ||
1,557,698 | Lendingpoint Asset Securitization Trust, Series 2019-1, Class B, 3.613%, 8/15/25 (144A) | 1,561,415 | ||
3,179,469 | Lendingpoint Asset Securitization Trust, Series 2020-1, Class A, 2.512%, 2/10/26 (144A) | 3,182,264 | ||
3,989,912 | LL ABS Trust, Series 2019-1A, Class A, 2.87%, 3/15/27 (144A) | 4,008,063 | ||
4,223,068 | LL ABS Trust, Series 2020-1A, Class A, 2.33%, 1/17/28 (144A) | 4,248,980 | ||
7,500,000(a) | LoanCore Issuer, Ltd., Series 2019-CRE2, Class A, 1.289% (1 Month USD LIBOR + 113 bps), 5/15/36 (144A) | 7,386,812 | ||
8,300,000(a) | M360 LLC, Series 2019-CRE2, Class A, 1.559% (1 Month USD LIBOR + 140 bps), 9/15/34 (144A) | 8,106,936 | ||
1,000,000(a) | Madison Park Funding XII, Ltd., Series 2014-12A, Class CR, 2.568% (3 Month USD LIBOR + 235 bps), 7/20/26 (144A) | 1,000,143 | ||
3,070,000(a) | Madison Park Funding XV, Ltd., Series 2014-15A, Class A2R, 1.717% (3 Month USD LIBOR + 150 bps), 1/27/26 (144A) | 3,070,494 | ||
250,000(a) | Magnetite VII, Ltd., Series 2012-7A, Class A1R2, 1.037% (3 Month USD LIBOR + 80 bps), 1/15/28 (144A) | 248,428 | ||
8,629,000(a) | Magnetite XVIII, Ltd., Series 2016-18A, Class AR, 1.301% (3 Month USD LIBOR + 108 bps), 11/15/28 (144A) | 8,616,980 | ||
887,968 | Marlette Funding Trust, Series 2017-1A, Class C, 6.658%, 3/15/24 (144A) | 889,671 | ||
4,159,134 | Marlette Funding Trust, Series 2020-1A, Class A, 2.24%, 3/15/30 (144A) | 4,184,206 | ||
229,476(a) | Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1B, 1.008% (1 Month USD LIBOR + 86 bps), 6/25/35 | 227,654 | ||
1,405,054(a) | Merrill Lynch Mortgage Investors Trust, Series 2005-AR1, Class M1, 0.898% (1 Month USD LIBOR + 75 bps), 6/25/36 | 1,402,863 | ||
9,000,000(a) | MF1, Ltd., Series 2020-FL4, Class A, 1.859% (1 Month USD LIBOR + 170 bps), 11/15/35 (144A) | 9,008,042 | ||
3,962,526 | MMAF Equipment Finance LLC, Series 2019-B, Class A2, 2.07%, 10/12/22 (144A) | 3,997,285 | ||
4,500,000(a) | Monroe Capital Mml CLO, Ltd., Series 2017-1A, Class A, 1.816% (3 Month USD LIBOR + 160 bps), 4/22/29 (144A) | 4,499,982 | ||
1,534,428(a) | Morgan Stanley Capital I, Inc. Trust, Series 2006-NC2, Class A2D, 0.728% (1 Month USD LIBOR + 58 bps), 2/25/36 | 1,511,428 | ||
3,864,165(a) | Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1, 1.423% (1 Month USD LIBOR + 128 bps), 9/25/32 | 3,840,045 | ||
475,826(a) | Morgan Stanley Home Equity Loan Trust, Series 2006-2, Class A4, 0.708% (1 Month USD LIBOR + 56 bps), 2/25/36 | 470,810 | ||
2,345,830(a) | National Collegiate Trust, Series 2007-A, Class A, 0.443% (1 Month USD LIBOR + 30 bps), 5/25/31 (144A) | 2,295,444 | ||
4,122,288(b) | Nationstar HECM Loan Trust, Series 2019-1A, Class A, 2.651%, 6/25/29 (144A) | 4,128,651 | ||
3,750,013(b) | Nationstar HECM Loan Trust, Series 2020-1A, Class A1, 1.269%, 9/25/30 (144A) | 3,753,796 | ||
4,749,420(a) | Nationstar Home Equity Loan Trust, Series 2006-B, Class AV4, 0.428% (1 Month USD LIBOR + 28 bps), 9/25/36 | 4,733,175 | ||
4,000,000(a) | Navistar Financial Dealer Note Master Trust, Series 2020-1, Class A, 1.098% (1 Month USD LIBOR + 95 bps), 7/25/25 (144A) | 4,025,801 | ||
1,000,000(a) | Navistar Financial Dealer Note Master Trust, Series 2020-1, Class C, 2.298% (1 Month USD LIBOR + 215 bps), 7/25/25 (144A) | 1,008,164 | ||
1,732,070 | Nelnet Private Education Loan Trust, Series 2016-A, Class A1B, 3.6%, 12/26/40 (144A) | 1,765,096 | ||
7,908,021(a) | Nelnet Student Loan Trust, Series 2005-2, Class A5, 0.336% (3 Month USD LIBOR + 10 bps), 3/23/37 | 7,669,760 | ||
6,472,238(a) | Neuberger Berman CLO XX, Ltd., Series 2015-20A, Class AR, 1.037% (3 Month USD LIBOR + 80 bps), 1/15/28 (144A) | 6,454,349 | ||
2,750,000(a) | Neuberger Berman CLO XXII, Ltd., Series 2016-22A, Class XR, 1.118% (3 Month USD LIBOR + 90 bps), 10/17/30 (144A) | 2,749,995 | ||
618,634(a) | Newtek Small Business Loan Trust, Series 2016-1A, Class A, 3.148% (1 Month USD LIBOR + 300 bps), 2/25/42 (144A) | 619,238 | ||
3,525,593(a) | Newtek Small Business Loan Trust, Series 2017-1, Class A, 2.148% (1 Month USD LIBOR + 200 bps), 2/25/43 (144A) | 3,499,424 | ||
4,353,952(a) | Newtek Small Business Loan Trust, Series 2018-1, Class A, 1.848% (1 Month USD LIBOR + 170 bps), 2/25/44 (144A) | 4,235,508 | ||
3,349,194(a) | Newtek Small Business Loan Trust, Series 2018-1, Class B, 3.148% (1 Month USD LIBOR + 300 bps), 2/25/44 (144A) | 3,057,655 | ||
10,511,439(a) | Newtek Small Business Loan Trust, Series 2019-1, Class A, 1.8% (PRIME + -90 bps), 12/25/44 (144A) | 10,321,735 | ||
2,242,440(a) | Newtek Small Business Loan Trust, Series 2019-1, Class B, 2.643% (PRIME + 25 bps), 12/25/44 (144A) | 2,012,590 | ||
Principal Amount USD ($) | Value | |||
ASSET BACKED SECURITIES - (continued) | ||||
6,883,884 | NMEF Funding LLC, Series 2019-A, Class A, 2.73%, 8/17/26 (144A) | $ 6,921,042 | ||
151,877(a) | NovaStar Mortgage Funding Trust, Series 2003-1, Class A2, 0.928% (1 Month USD LIBOR + 78 bps), 5/25/33 | 150,600 | ||
10,290,415 | Oasis LLC, Series 2020-1A, Class A, 3.82%, 1/15/32 (144A) | 10,326,207 | ||
6,453,793 | Oasis LLC, Series 2020-2A, Class A, 4.262%, 5/15/32 (144A) | 6,468,045 | ||
2,250,000(a) | Octagon Investment Partners XXI, Ltd., Series 2014-1A, Class XRR, 0.971% (3 Month USD LIBOR + 75 bps), 2/14/31 (144A) | 2,249,953 | ||
2,437,500(a) | Octagon Investment Partners XXII, Ltd., Series 2014-1A, Class XRR, 0.866% (3 Month USD LIBOR + 65 bps), 1/22/30 (144A) | 2,437,446 | ||
8,457,831 | Octane Receivables Trust, Series 2020-1A, Class A, 1.71%, 2/20/25 (144A) | 8,479,655 | ||
1,285,714(a) | OHA Credit Funding 3, Ltd., Series 2019-3A, Class X, 0.868% (3 Month USD LIBOR + 65 bps), 7/20/32 (144A) | 1,285,713 | ||
2,750,000(a) | OHA Credit Funding 5, Ltd., Series 2020-5A, Class X, 0.768% (3 Month USD LIBOR + 55 bps), 4/18/33 (144A) | 2,714,448 | ||
1,249,177(a) | OneMain Financial Issuance Trust, Series 2017-1A, Class A2, 0.954% (1 Month USD LIBOR + 80 bps), 9/14/32 (144A) | 1,249,971 | ||
1,475,000 | OneMain Financial Issuance Trust, Series 2019-1A, Class A, 3.48%, 2/14/31 (144A) | 1,488,001 | ||
170,000 | OneMain Financial Issuance Trust, Series 2019-1A, Class B, 3.79%, 2/14/31 (144A) | 174,798 | ||
4,570,501(a) | Option One Mortgage Loan Trust, Series 2005-3, Class M2, 0.883% (1 Month USD LIBOR + 74 bps), 8/25/35 | 4,542,113 | ||
886,989(a) | Option One Mortgage Loan Trust, Series 2005-4, Class M1, 0.808% (1 Month USD LIBOR + 66 bps), 11/25/35 | 886,177 | ||
12,950,000(a) | Orec, Ltd., Series 2018-CRE1, Class A, 1.339% (1 Month USD LIBOR + 118 bps), 6/15/36 (144A) | 12,739,026 | ||
13,500,000(a) | Owl Rock CLO II, Ltd., Series 2019-2A, Class A1L, 1.968% (3 Month USD LIBOR + 175 bps), 1/20/31 (144A) | 13,500,311 | ||
2,000,000(a) | Owl Rock CLO IV, Ltd., Series 2020-4A, Class A1, 3.17% (3 Month USD LIBOR + 262 bps), 5/20/29 (144A) | 2,007,872 | ||
437,500(a) | OZLM VIII, Ltd., Series 2014-8A, Class XRR, 0.918% (3 Month USD LIBOR + 70 bps), 10/17/29 (144A) | 437,500 | ||
2,000,000 | Pagaya AI Debt Selection Trust, Series 2020-3, Class A, 2.1%, 5/17/27 (144A) | 1,998,969 | ||
4,250,000(a) | Palmer Square Loan Funding, Ltd., Series 2018-1A, Class A2, 1.287% (3 Month USD LIBOR + 105 bps), 4/15/26 (144A) | 4,202,319 | ||
1,000,000(a) | Palmer Square Loan Funding, Ltd., Series 2018-2A, Class D, 4.187% (3 Month USD LIBOR + 395 bps), 7/15/26 (144A) | 980,040 | ||
4,000,000(a) | Palmer Square Loan Funding, Ltd., Series 2020-4A, Class C, 3.734% (3 Month USD LIBOR + 360 bps), 11/25/28 (144A) | 4,020,024 | ||
240,394(a) | PARTS Student Loan Trust, Series 2007-CT1, Class A, 0.397% (3 Month USD LIBOR + 19 bps), 2/25/33 (144A) | 237,868 | ||
7,423,981 | Pawnee Equipment Receivables LLC, Series 2019-1, Class A2, 2.29%, 10/15/24 (144A) | 7,495,221 | ||
3,699,781 | Pawnee Equipment Receivables LLC, Series 2020-1, Class A, 1.37%, 11/17/25 (144A) | 3,708,790 | ||
7,250,000 | PEAR LLC, Series 2020-1, Class A, 3.75%, 12/15/32 (144A) | 7,250,000 | ||
30,000,000(a) | PFS Financing Corp., Series 2019-B, Class A, 0.709% (1 Month USD LIBOR + 55 bps), 9/15/23 (144A) | 30,034,110 | ||
9,000,000(a) | Pnmac GMSR Issuer Trust, Series 2018-GT2, Class A, 2.798% (1 Month USD LIBOR + 265 bps), 8/25/25 (144A) | 8,689,496 | ||
1,500,000 | Prestige Auto Receivables Trust, Series 2020-1A, Class A2, 0.52%, 2/15/24 (144A) | 1,500,543 | ||
500,000 | Prestige Auto Receivables Trust, Series 2020-1A, Class B, 0.77%, 10/15/24 (144A) | 500,815 | ||
1,955,051 | Prosper Marketplace Issuance Trust, Series 2019-4A, Class A, 2.48%, 2/17/26 (144A) | 1,961,660 | ||
5,954,636(a) | RAAC Trust, Series 2006-RP1, Class M2, 1.348% (1 Month USD LIBOR + 120 bps), 10/25/45 (144A) | 5,991,473 | ||
482,348(a) | RAMP Trust, Series 2005-EFC6, Class M2, 0.793% (1 Month USD LIBOR + 65 bps), 11/25/35 | 481,217 | ||
2,454,493(a) | RAMP Trust, Series 2006-RZ4, Class A3, 0.418% (1 Month USD LIBOR + 27 bps), 10/25/36 | 2,433,445 | ||
189,023(a) | RASC Trust, Series 2005-EMX4, Class M2, 0.808% (1 Month USD LIBOR + 66 bps), 11/25/35 | 188,983 | ||
803,662(a) | RASC Trust, Series 2005-KS1, Class M1, 0.823% (1 Month USD LIBOR + 68 bps), 2/25/35 | 802,550 | ||
3,849,209(a) | RASC Trust, Series 2005-KS7, Class M5, 1.063% (1 Month USD LIBOR + 92 bps), 8/25/35 | 3,831,031 | ||
55,293(a) | RASC Trust, Series 2005-KS8, Class M3, 0.868% (1 Month USD LIBOR + 72 bps), 8/25/35 | 55,284 | ||
9,435,519(a) | ReadyCap Lending Small Business Loan Trust, Series 2019-2, Class A, 2.75% (PRIME + -50 bps), 12/27/44 (144A) | 8,967,287 | ||
220,601(a) | Regatta VI Funding Ltd., Series 2016-1A, Class AR, 1.298% (3 Month USD LIBOR + 108 bps), 7/20/28 (144A) | 220,567 | ||
6,400,000 | Republic FInance Issuance Trust, Series 2019-A, Class A, 3.43%, 11/22/27 (144A) | 6,499,595 | ||
7,500,000(a) | Rosy, Series 2018-1, Class A2, 3.409% (1 Month USD LIBOR + 325 bps), 12/15/25 (144A) | 7,200,000 | ||
28,646(a) | Salomon Mortgage Loan Trust, Series 2001-CB4, Class 1A1, 1.048% (1 Month USD LIBOR + 90 bps), 11/25/33 | 28,433 | ||
5,709,908(a) | Santander Drive Auto Receivables Trust, Series 2020-1, Class A2B, 1.709% (1 Month USD LIBOR + 155 bps), 1/17/23 | 5,730,206 | ||
1,418,702(a) | Saxon Asset Securities Trust, Series 2006-2, Class A3C, 0.298% (1 Month USD LIBOR + 15 bps), 9/25/36 | 1,415,828 | ||
944,135 | SCF Equipment Leasing LLC, Series 2017-2A, Class A, 3.41%, 12/20/23 (144A) | 947,896 | ||
205,435 | SCF Equipment Leasing LLC, Series 2018-1A, Class A2, 3.63%, 10/20/24 (144A) | 206,068 | ||
9,610,852 | SCF Equipment Leasing LLC, Series 2019-2A, Class A1, 2.22%, 6/20/24 (144A) | 9,691,507 | ||
13,165(a) | Securitized Asset Backed Receivables LLC Trust, Series 2005-OP2, Class M1, 0.793% (1 Month USD LIBOR + 65 bps), 10/25/35 | 13,138 | ||
379,889(a) | Security National Mortgage Loan Trust, Series 2007-1A, Class 2A, 0.498% (1 Month USD LIBOR + 35 bps), 4/25/37 (144A) | 379,286 | ||
Principal Amount USD ($) | Value | |||
ASSET BACKED SECURITIES - (continued) | ||||
1,588,146(a) | SG Mortgage Securities Trust, Series 2005-OPT1, Class M1, 0.793% (1 Month USD LIBOR + 65 bps), 10/25/35 | $ 1,587,230 | ||
7,175,705(a) | SLM Private Credit Student Loan Trust, Series 2007-A, Class A4A, 0.457% (3 Month USD LIBOR + 24 bps), 12/16/41 | 6,963,851 | ||
13,512,980(a) | SLM Student Loan Trust, Series 2006-10, Class A6, 0.365% (3 Month USD LIBOR + 15 bps), 3/25/44 | 13,167,026 | ||
3,053,647 | Small Business Lending Trust, Series 2019-A, Class A, 2.85%, 7/15/26 (144A) | 3,045,328 | ||
5,376,846 | Small Business Lending Trust, Series 2020-A, Class A, 2.62%, 12/15/26 (144A) | 5,347,793 | ||
1,000,000 | Small Business Lending Trust, Series 2020-A, Class C, 5.01%, 12/15/26 (144A) | 821,986 | ||
5,084,698 | Sofi Consumer Loan Program LLC, Series 2016-1, Class A, 3.26%, 8/25/25 (144A) | 5,093,938 | ||
133,253 | Sofi Consumer Loan Program LLC, Series 2017-3, Class A, 2.77%, 5/25/26 (144A) | 133,643 | ||
4,300,000 | Sofi Consumer Loan Program Trust, Series 2018-1, Class B, 3.65%, 2/25/27 (144A) | 4,423,472 | ||
1,502,232 | Sofi Consumer Loan Program Trust, Series 2019-1, Class A, 3.24%, 2/25/28 (144A) | 1,512,822 | ||
951,009 | Sofi Consumer Loan Program Trust, Series 2019-2, Class A, 3.01%, 4/25/28 (144A) | 960,583 | ||
595,658(a) | Sofi Professional Loan Program LLC, Series 2015-C, Class A1, 1.198% (1 Month USD LIBOR + 105 bps), 8/27/35 (144A) | 596,445 | ||
1,080,950(a) | Sofi Professional Loan Program LLC, Series 2015-D, Class A1, 1.648% (1 Month USD LIBOR + 150 bps), 10/27/36 (144A) | 1,086,770 | ||
1,094,398(a) | Sofi Professional Loan Program LLC, Series 2016-A, Class A1, 1.898% (1 Month USD LIBOR + 175 bps), 8/25/36 (144A) | 1,105,482 | ||
729,313(a) | Sofi Professional Loan Program LLC, Series 2016-B, Class A1, 1.348% (1 Month USD LIBOR + 120 bps), 6/25/33 (144A) | 733,070 | ||
1,943,088(a) | Sofi Professional Loan Program LLC, Series 2016-C, Class A1, 1.248% (1 Month USD LIBOR + 110 bps), 10/27/36 (144A) | 1,953,795 | ||
473,310(a) | Sofi Professional Loan Program LLC, Series 2016-D, Class A1, 1.098% (1 Month USD LIBOR + 95 bps), 1/25/39 (144A) | 475,465 | ||
1,079,104(a) | Sofi Professional Loan Program LLC, Series 2016-E, Class A1, 0.998% (1 Month USD LIBOR + 85 bps), 7/25/39 (144A) | 1,077,903 | ||
332,968(a) | Sofi Professional Loan Program LLC, Series 2017-A, Class A1, 0.848% (1 Month USD LIBOR + 70 bps), 3/26/40 (144A) | 332,965 | ||
393,743(a) | Sofi Professional Loan Program LLC, Series 2017-C, Class A1, 0.748% (1 Month USD LIBOR + 60 bps), 7/25/40 (144A) | 392,844 | ||
609,981(a) | Sofi Professional Loan Program LLC, Series 2017-E, Class A1, 0.648% (1 Month USD LIBOR + 50 bps), 11/26/40 (144A) | 609,363 | ||
1,009,055(a) | Sofi Professional Loan Program LLC, Series 2018-A, Class A1, 0.498% (1 Month USD LIBOR + 35 bps), 2/25/42 (144A) | 1,001,920 | ||
3,583,983 | Sofi Professional Loan Program LLC, Series 2019-C, Class A1FX, 2.13%, 11/16/48 (144A) | 3,606,534 | ||
2,000,000(a) | Sound Point Clo XIV, Ltd., Series 2016-3A, Class AR, 1.359% (3 Month USD LIBOR + 115 bps), 1/23/29 (144A) | 1,997,818 | ||
1,600,000(a) | Sound Point CLO XXV, Ltd., Series 2019-4A, Class X, 0.887% (3 Month USD LIBOR + 65 bps), 1/15/33 (144A) | 1,599,998 | ||
4,259,925 | SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.97%, 9/25/37 (144A) | 4,291,077 | ||
7,536,870 | Springleaf Funding Trust, Series 2015-BA, Class A, 3.48%, 5/15/28 (144A) | 7,545,504 | ||
43,569(a) | Structured Asset Investment Loan Trust, Series 2005-HE1, Class M1, 0.855% (1 Month USD LIBOR + 47 bps), 7/25/35 | 44,213 | ||
2,553,672(a) | Structured Asset Investment Loan Trust, Series 2005-HE3, Class M1, 0.868% (1 Month USD LIBOR + 72 bps), 9/25/35 | 2,541,600 | ||
60,478(a) | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-NC2, Class M4, 0.853% (1 Month USD LIBOR + 71 bps), 5/25/35 | 60,241 | ||
3,669,445(a) | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-OPT1, Class A1, 0.328% (1 Month USD LIBOR + 18 bps), 4/25/36 | 3,499,611 | ||
1,122,807(a) | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-TC1, Class A, 0.448% (1 Month USD LIBOR + 30 bps), 4/25/31 (144A) | 1,117,345 | ||
735,266 | Tax Ease Funding LLC, Series 2016-1A, Class A, 3.131%, 6/15/28 (144A) | 736,910 | ||
3,630,122(a) | Terwin Mortgage Trust, Series 2006-3, Class 1A2, 0.608% (1 Month USD LIBOR + 46 bps), 4/25/37 (144A) | 3,607,900 | ||
2,000,000(a) | THL Credit Wind River CLO, Ltd., Series 2012-1A, Class BR2, 1.687% (3 Month USD LIBOR + 145 bps), 1/15/26 (144A) | 2,000,044 | ||
250,000(a) | THL Credit Wind River CLO, Ltd., Series 2015-1A, Class X, 0.868% (3 Month USD LIBOR + 65 bps), 10/20/30 (144A) | 249,599 | ||
1,835,775(a) | THL Credit Wind River CLO, Ltd., Series 2016-1A, Class AR, 1.287% (3 Month USD LIBOR + 105 bps), 7/15/28 (144A) | 1,835,771 | ||
8,862,121 | Tidewater Auto Receivables Trust, Series 2020-AA, Class A2, 1.39%, 8/15/24 (144A) | 8,925,291 | ||
2,750,000 | Tidewater Auto Receivables Trust, Series 2020-AA, Class E, 3.35%, 7/17/28 (144A) | 2,788,351 | ||
1,899,973 | TLF National Tax Lien Trust, Series 2017-1A, Class A, 3.09%, 12/15/29 (144A) | 1,912,831 | ||
10,396,257(a) | Towd Point Asset Trust, Series 2018-SL1, Class A, 0.749% (1 Month USD LIBOR + 60 bps), 1/25/46 (144A) | 10,302,544 | ||
11,000,000(a) | Towd Point Asset Trust, Series 2018-SL1, Class B, 1.199% (1 Month USD LIBOR + 105 bps), 1/25/46 (144A) | 10,352,884 | ||
184,744(b) | Towd Point Mortgage Trust, Series 2015-4, Class A1, 3.5%, 4/25/55 (144A) | 185,793 | ||
1,162,100(b) | Towd Point Mortgage Trust, Series 2015-5, Class A1B, 2.75%, 5/25/55 (144A) | 1,170,570 | ||
5,835,933(a) | Towd Point Mortgage Trust, Series 2017-5, Class A1, 0.748% (1 Month USD LIBOR + 60 bps), 2/25/57 (144A) | 5,817,235 | ||
5,401,718(b) | Towd Point Mortgage Trust, Series 2018-SJ1, Class XA, 5.0%, 10/25/58 (144A) | 5,552,632 | ||
697,708(b) | Towd Point Mortgage Trust, Series 2019-HY1, Class XA, 5.0%, 10/25/48 (144A) | 695,993 | ||
4,818,923(a) | Towd Point Mortgage Trust, Series 2019-HY2, Class A1, 1.148% (1 Month USD LIBOR + 100 bps), 5/25/58 (144A) | 4,850,638 | ||
Principal Amount USD ($) | Value | |||
ASSET BACKED SECURITIES - (continued) | ||||
1,740,775(b) | Towd Point Mortgage Trust, Series 2019-HY2, Class XA, 5.0%, 5/25/58 (144A) | $ 1,740,147 | ||
2,557,556(a) | Towd Point Mortgage Trust, Series 2019-HY3, Class A1A, 1.148% (1 Month USD LIBOR + 100 bps), 10/25/59 (144A) | 2,568,707 | ||
5,759,916 | Towd Point Mortgage Trust, Series 2019-HY3, Class XA, 4.5%, 10/25/59 (144A) | 5,696,839 | ||
2,173,962(b) | Towd Point Mortgage Trust, Series 2019-SJ1, Class XA, 5.0%, 11/25/58 (144A) | 2,154,638 | ||
2,007,573(b) | Towd Point Mortgage Trust, Series 2019-SJ2, Class XA, 5.0%, 11/25/58 (144A) | 2,108,195 | ||
10,988,201(b) | Towd Point Mortgage Trust, Series 2019-SJ3, Class A1, 3.0%, 11/25/59 (144A) | 11,109,513 | ||
10,286,794(b) | Towd Point Mortgage Trust, Series 2019-SJ3, Class XA, 4.5%, 11/25/59 (144A) | 10,312,511 | ||
13,750,000(a) | Trafigura Securitisation Finance Plc, Series 2018-1A, Class A1, 0.889% (1 Month USD LIBOR + 73 bps), 3/15/22 (144A) | 13,743,263 | ||
2,500,000 | Trafigura Securitisation Finance Plc, Series 2018-1A, Class B, 4.29%, 3/15/22 (144A) | 2,502,150 | ||
1,615,385(a) | Tralee CLO V, Ltd., Series 2018-5A, Class AX, 0.918% (3 Month USD LIBOR + 70 bps), 10/20/28 (144A) | 1,615,383 | ||
16,400,000(a) | TRTX Issuer, Ltd., Series 2019-FL3, Class C, 2.253% (1 Month USD LIBOR + 210 bps), 10/15/34 (144A) | 15,944,223 | ||
4,503,717 | TVEST LLC, Series 2020-A, Class A, 4.5%, 7/15/32 (144A) | 4,510,299 | ||
3,878,080 | United Auto Credit Securitization Trust, Series 2020-1, Class A, 0.85%, 5/10/22 (144A) | 3,880,219 | ||
5,330,859 | Upstart Securitization Trust, Series 2019-2, Class A, 2.897%, 9/20/29 (144A) | 5,365,656 | ||
9,227,815 | Upstart Securitization Trust, Series 2019-3, Class A, 2.684%, 1/21/30 (144A) | 9,309,722 | ||
16,790,312 | Upstart Securitization Trust, Series 2020-1, Class A, 2.322%, 4/22/30 (144A) | 16,921,938 | ||
7,855,537 | Upstart Securitization Trust, Series 2020-3, Class A, 1.702%, 11/20/30 (144A) | 7,895,585 | ||
1,206,094 | US Auto Funding LLC, Series 2019-1A, Class A, 3.61%, 4/15/22 (144A) | 1,208,193 | ||
9,801,074 | USASF Receivables LLC, Series 2020-1A, Class A, 2.47%, 8/15/23 (144A) | 9,888,751 | ||
144,737(a) | Venture 32 CLO, Ltd., Series 2018-32RR, Class AX, 0.968% (3 Month USD LIBOR + 75 bps), 7/19/31 (144A) | 144,733 | ||
1,096,582(a) | Venture XXI CLO, Ltd., Series 2015-21A, Class AR, 1.117% (3 Month USD LIBOR + 88 bps), 7/15/27 (144A) | 1,093,630 | ||
10,010,000(a) | Verizon Owner Trust, Series 2019-A, Class A1B, 0.482% (1 Month USD LIBOR + 33 bps), 9/20/23 | 10,027,333 | ||
12,227,510 | Veros Automobile Receivables Trust, Series 2020-1, Class A, 1.67%, 9/15/23 (144A) | 12,264,530 | ||
2,000,000 | Veros Automobile Receivables Trust, Series 2020-1, Class B, 2.19%, 6/16/25 (144A) | 2,016,783 | ||
4,079,085 | Volvo Financial Equipment LLC, Series 2019-2A, Class A2, 2.02%, 8/15/22 (144A) | 4,102,772 | ||
1,017,816 | Westgate Resorts LLC, Series 2017-1A, Class B, 4.05%, 12/20/30 (144A) | 1,010,495 | ||
2,520,898 | Westgate Resorts LLC, Series 2018-1A, Class B, 3.58%, 12/20/31 (144A) | 2,508,544 | ||
390,837 | Westgate Resorts LLC, Series 2018-1A, Class C, 4.1%, 12/20/31 (144A) | 386,994 | ||
2,234,100 | Westgate Resorts LLC, Series 2020-1A, Class A, 2.713%, 3/20/34 (144A) | 2,283,159 | ||
2,680,920 | Westgate Resorts LLC, Series 2020-1A, Class C, 6.213%, 3/20/34 (144A) | 2,807,980 | ||
8,703(a) | Wilshire Mortgage Loan Trust, Series 1997-2, Class A6, 0.428% (1 Month USD LIBOR + 28 bps), 5/25/28 | 8,621 | ||
5,000,000(a) | Woodmont Trust, Series 2020-7A, Class A1A, 0.0% (3 Month USD LIBOR + 190 bps), 1/15/32 (144A) | 5,005,040 | ||
TOTAL ASSET BACKED SECURITIES | ||||
(Cost $1,196,697,943) | $1,195,407,876 | |||
COLLATERALIZED MORTGAGE OBLIGATIONS - 16.1% of Net Assets | ||||
86,200(b) | Bear Stearns Mortgage Securities, Inc., Series 1997-6, Class 3B1, 2.995%, 6/25/30 | $ 87,896 | ||
8,800,885(a) | Bellemeade Re, Ltd., Series 2017-1, Class M2, 3.498% (1 Month USD LIBOR + 335 bps), 10/25/27 (144A) | 8,829,583 | ||
6,533,876(a) | Bellemeade Re, Ltd., Series 2018-1A, Class M1B, 1.748% (1 Month USD LIBOR + 160 bps), 4/25/28 (144A) | 6,523,739 | ||
2,319,316(a) | Bellemeade Re, Ltd., Series 2018-3A, Class M1B, 1.998% (1 Month USD LIBOR + 185 bps), 10/25/28 (144A) | 2,314,830 | ||
6,125,000(a) | Bellemeade Re, Ltd., Series 2018-3A, Class M2, 2.898% (1 Month USD LIBOR + 275 bps), 10/25/28 (144A) | 6,115,201 | ||
8,448(a) | Bellemeade Re, Ltd., Series 2019-1A, Class M1A, 1.448% (1 Month USD LIBOR + 130 bps), 3/25/29 (144A) | 8,447 | ||
5,290,000(a) | Bellemeade Re, Ltd., Series 2019-1A, Class M1B, 1.898% (1 Month USD LIBOR + 175 bps), 3/25/29 (144A) | 5,287,941 | ||
2,800,000(a) | Bellemeade Re, Ltd., Series 2019-3A, Class B1, 2.648% (1 Month USD LIBOR + 250 bps), 7/25/29 (144A) | 2,748,128 | ||
10,671,000(a) | Bellemeade Re, Ltd., Series 2019-3A, Class M1B, 1.748% (1 Month USD LIBOR + 160 bps), 7/25/29 (144A) | 10,679,476 | ||
10,150,000(a) | Bellemeade Re, Ltd., Series 2019-4A, Class M1B, 2.148% (1 Month USD LIBOR + 200 bps), 10/25/29 (144A) | 10,104,286 | ||
5,000,000(a) | Bellemeade Re, Ltd., Series 2019-4A, Class M1C, 2.648% (1 Month USD LIBOR + 250 bps), 10/25/29 (144A) | 4,999,998 | ||
3,250,000(a) | Bellemeade Re, Ltd., Series 2020-2A, Class M1B, 3.348% (1 Month USD LIBOR + 320 bps), 8/26/30 (144A) | 3,284,547 | ||
3,250,000(a) | Bellemeade Re, Ltd., Series 2020-2A, Class M1C, 4.148% (1 Month USD LIBOR + 400 bps), 8/26/30 (144A) | 3,318,059 | ||
4,567,000(a) | Bellemeade Re, Ltd., Series 2020-3A, Class M1B, 2.998% (1 Month USD LIBOR + 285 bps), 10/25/30 (144A) | 4,578,609 | ||
8,160,000(a) | Bellemeade Re, Ltd., Series 2020-3A, Class M1C, 3.848% (1 Month USD LIBOR + 370 bps), 10/25/30 (144A) | 8,194,350 | ||
4,120,000(a) | Bellemeade Re, Ltd., Series 2020-4A, Class M2B, 3.75% (1 Month USD LIBOR + 360 bps), 6/25/30 (144A) | 4,121,711 | ||
5,286,582(a) | Brass NO 8 Plc, Series 8A, Class A1, 0.921% (3 Month USD LIBOR + 70 bps), 11/16/66 (144A) | 5,303,326 | ||
7,500,000(b) | CFMT LLC, Series 2020-HB4, Class M4, 4.948%, 12/26/30 (144A) | 7,499,999 | ||
Principal Amount USD ($) | Value | |||
COLLATERALIZED MORTGAGE OBLIGATIONS - (continued) | ||||
85,961(a) | CHL Mortgage Pass-Through Trust, Series 2003-15, Class 1A1, 0.648% (1 Month USD LIBOR + 50 bps), 6/25/18 | $ 84,242 | ||
606 | Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust, Series 2005-4, Class 2A1, 5.0%, 7/25/20 | 619 | ||
18,862,159(a) | Connecticut Avenue Securities Trust, Series 2019-HRP1, Class M2, 2.298% (1 Month USD LIBOR + 215 bps), 11/25/39 (144A) | 18,573,702 | ||
8,561,732(a) | Connecticut Avenue Securities Trust, Series 2019-R01, Class 2M2, 2.598% (1 Month USD LIBOR + 245 bps), 7/25/31 (144A) | 8,556,307 | ||
690,004(a) | Connecticut Avenue Securities Trust, Series 2020-R02, Class 2M1, 0.898% (1 Month USD LIBOR + 75 bps), 1/25/40 (144A) | 690,004 | ||
62,863(a) | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-AR5, Class 11A2, 0.888% (1 Month USD LIBOR + 74 bps), 6/25/34 | 61,858 | ||
628,761(b) | Deephaven Residential Mortgage Trust, Series 2018-3A, Class A1, 3.789%, 8/25/58 (144A) | 631,667 | ||
613,330(a) | Deer Creek CLO, Ltd., Series 2017-1A, Class X, 1.218% (3 Month USD LIBOR + 100 bps), 10/20/30 (144A) | 613,322 | ||
4,410,148(a) | Eagle Re, Ltd., Series 2018-1, Class M1, 1.848% (1 Month USD LIBOR + 170 bps), 11/25/28 (144A) | 4,406,307 | ||
6,292,367(a) | Eagle Re, Ltd., Series 2019-1, Class M1B, 1.948% (1 Month USD LIBOR + 180 bps), 4/25/29 (144A) | 6,263,032 | ||
11,364,000(a) | Eagle Re, Ltd., Series 2020-1, Class M1A, 1.048% (1 Month USD LIBOR + 90 bps), 1/25/30 (144A) | 11,321,336 | ||
3,054,000(a) | Eagle Re, Ltd., Series 2020-2, Class M1B, 4.148% (1 Month USD LIBOR + 400 bps), 10/25/30 (144A) | 3,097,460 | ||
2,720,000(a) | Eagle Re, Ltd., Series 2020-2, Class M1C, 4.648% (1 Month USD LIBOR + 450 bps), 10/25/30 (144A) | 2,767,315 | ||
3,964,089(a) | Fannie Mae Connecticut Avenue Securities, Series 2016-C02, Class 1M2, 6.148% (1 Month USD LIBOR + 600 bps), 9/25/28 | 4,203,874 | ||
9,191,866(a) | Fannie Mae Connecticut Avenue Securities, Series 2016-C03, Class 2M2, 6.048% (1 Month USD LIBOR + 590 bps), 10/25/28 | 9,659,637 | ||
7,464,500(a) | Fannie Mae Connecticut Avenue Securities, Series 2017-C05, Class 1M2, 2.348% (1 Month USD LIBOR + 220 bps), 1/25/30 | 7,455,065 | ||
10,526,604(a) | Fannie Mae Connecticut Avenue Securities, Series 2017-C05, Class 1M2B, 2.348% (1 Month USD LIBOR + 220 bps), 1/25/30 | 10,477,694 | ||
1,062,977(a) | Fannie Mae Connecticut Avenue Securities, Series 2017-C07, Class 1M2A, 2.548% (1 Month USD LIBOR + 240 bps), 5/25/30 | 1,063,705 | ||
8,720,550(a) | Fannie Mae Connecticut Avenue Securities, Series 2018-C04, Class 2M2, 2.698% (1 Month USD LIBOR + 255 bps), 12/25/30 | 8,742,577 | ||
11,021,576(a) | Fannie Mae Connecticut Avenue Securities, Series 2018-C05, Class 1M2, 2.498% (1 Month USD LIBOR + 235 bps), 1/25/31 | 11,035,573 | ||
5,075,277(a) | Fannie Mae Connecticut Avenue Securities, Series 2018-C06, Class 1M2, 2.148% (1 Month USD LIBOR + 200 bps), 3/25/31 | 5,042,616 | ||
225,998(a) | Federal Home Loan Mortgage Corp. REMICS, Series 1695, Class EG, 1.191% (1 Month USD LIBOR + 105 bps), 3/15/24 | 227,356 | ||
131,608(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2106, Class F, 0.609% (1 Month USD LIBOR + 45 bps), 12/15/28 | 131,884 | ||
80,734(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2122, Class FD, 0.509% (1 Month USD LIBOR + 35 bps), 2/15/29 | 78,974 | ||
27,499(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2156, Class FQ, 0.509% (1 Month USD LIBOR + 35 bps), 5/15/29 | 27,115 | ||
156,844(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2186, Class FY, 0.759% (1 Month USD LIBOR + 60 bps), 4/15/28 | 157,607 | ||
36,663(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2368, Class AF, 1.109% (1 Month USD LIBOR + 95 bps), 10/15/31 | 37,327 | ||
39,323(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2377, Class FE, 0.759% (1 Month USD LIBOR + 60 bps), 11/15/31 | 39,617 | ||
100,113(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2411, Class FR, 0.759% (1 Month USD LIBOR + 60 bps), 6/15/31 | 100,834 | ||
76,853(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2432, Class FH, 0.859% (1 Month USD LIBOR + 70 bps), 3/15/32 | 77,749 | ||
203,065(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2439, Class F, 1.159% (1 Month USD LIBOR + 100 bps), 3/15/32 | 207,298 | ||
282,756(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2470, Class AF, 1.159% (1 Month USD LIBOR + 100 bps), 3/15/32 | 288,621 | ||
171,567(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2471, Class FD, 1.159% (1 Month USD LIBOR + 100 bps), 3/15/32 | 175,143 | ||
47,919(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2498, Class FQ, 0.759% (1 Month USD LIBOR + 60 bps), 9/15/32 | 48,290 | ||
72,727(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2543, Class EF, 0.509% (1 Month USD LIBOR + 35 bps), 12/15/32 | 72,685 | ||
341,522(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2551, Class FD, 0.559% (1 Month USD LIBOR + 40 bps), 1/15/33 | 343,820 | ||
200,872(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2567, Class FJ, 0.559% (1 Month USD LIBOR + 40 bps), 2/15/33 | 201,071 | ||
95,903(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2577, Class FA, 0.709% (1 Month USD LIBOR + 55 bps), 2/15/33 | 96,519 | ||
7,597(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2585, Class FD, 0.659% (1 Month USD LIBOR + 50 bps), 12/15/32 | 7,632 | ||
Principal Amount USD ($) | Value | |||
COLLATERALIZED MORTGAGE OBLIGATIONS - (continued) | ||||
106,572(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2614, Class FV, 1.655% (1 Month USD LIBOR + 150 bps), 5/15/33 | $ 109,943 | ||
163,054(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2631, Class FC, 0.559% (1 Month USD LIBOR + 40 bps), 6/15/33 | 164,171 | ||
2(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2647, Class XF, 0.391% (1 Month USD LIBOR + 25 bps), 7/15/21 | 2 | ||
98,619(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2711, Class FA, 1.159% (1 Month USD LIBOR + 100 bps), 11/15/33 | 100,420 | ||
157,700(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2916, Class NF, 0.409% (1 Month USD LIBOR + 25 bps), 1/15/35 | 157,781 | ||
321,499(a) | Federal Home Loan Mortgage Corp. REMICS, Series 2976, Class LF, 0.499% (1 Month USD LIBOR + 34 bps), 5/15/35 | 322,698 | ||
151,516(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3012, Class FE, 0.409% (1 Month USD LIBOR + 25 bps), 8/15/35 | 151,568 | ||
101,228(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3042, Class PF, 0.409% (1 Month USD LIBOR + 25 bps), 8/15/35 | 101,286 | ||
61,573(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3067, Class FA, 0.509% (1 Month USD LIBOR + 35 bps), 11/15/35 | 61,834 | ||
62,278(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3102, Class FG, 0.459% (1 Month USD LIBOR + 30 bps), 1/15/36 | 62,395 | ||
83,311(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3117, Class EF, 0.509% (1 Month USD LIBOR + 35 bps), 2/15/36 | 83,576 | ||
272,543(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3117, Class FE, 0.459% (1 Month USD LIBOR + 30 bps), 2/15/36 | 272,942 | ||
180,887(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3122, Class FP, 0.459% (1 Month USD LIBOR + 30 bps), 3/15/36 | 181,261 | ||
110,128(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3147, Class PF, 0.459% (1 Month USD LIBOR + 30 bps), 4/15/36 | 110,355 | ||
291,352(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3173, Class FC, 0.579% (1 Month USD LIBOR + 42 bps), 6/15/36 | 292,923 | ||
532,776(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3175, Class FE, 0.469% (1 Month USD LIBOR + 31 bps), 6/15/36 | 532,157 | ||
318,397(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3181, Class HF, 0.659% (1 Month USD LIBOR + 50 bps), 7/15/36 | 321,762 | ||
15,918(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3191, Class FE, 0.559% (1 Month USD LIBOR + 40 bps), 7/15/36 | 16,016 | ||
227,468(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3221, Class FW, 0.579% (1 Month USD LIBOR + 42 bps), 9/15/36 | 229,957 | ||
68,839(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3222, Class FN, 0.559% (1 Month USD LIBOR + 40 bps), 9/15/36 | 69,175 | ||
245,358(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3239, Class EF, 0.509% (1 Month USD LIBOR + 35 bps), 11/15/36 | 246,475 | ||
123,530(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3239, Class FB, 0.509% (1 Month USD LIBOR + 35 bps), 11/15/36 | 124,094 | ||
201,803(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3247, Class FA, 0.409% (1 Month USD LIBOR + 25 bps), 8/15/36 | 201,906 | ||
497,479(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3266, Class F, 0.459% (1 Month USD LIBOR + 30 bps), 1/15/37 | 497,887 | ||
175,173(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3307, Class FT, 0.399% (1 Month USD LIBOR + 24 bps), 7/15/34 | 175,033 | ||
29,414(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3315, Class F, 0.499% (1 Month USD LIBOR + 34 bps), 5/15/37 | 29,534 | ||
413,166(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3373, Class FB, 0.739% (1 Month USD LIBOR + 58 bps), 10/15/37 | 418,966 | ||
62,938(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3376, Class FM, 0.779% (1 Month USD LIBOR + 62 bps), 10/15/37 | 63,926 | ||
22,342(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3560, Class FA, 1.409% (1 Month USD LIBOR + 125 bps), 5/15/37 | 23,128 | ||
246,310(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3610, Class FA, 0.859% (1 Month USD LIBOR + 70 bps), 12/15/39 | 249,832 | ||
123,664(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3708, Class PF, 0.509% (1 Month USD LIBOR + 35 bps), 7/15/40 | 124,023 | ||
26,020(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3767, Class JF, 0.459% (1 Month USD LIBOR + 30 bps), 2/15/39 | 26,041 | ||
62,508(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3784, Class F, 0.559% (1 Month USD LIBOR + 40 bps), 7/15/23 | 62,362 | ||
16,299(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3792, Class DF, 0.559% (1 Month USD LIBOR + 40 bps), 11/15/40 | 16,217 | ||
27,445(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3867, Class FD, 0.509% (1 Month USD LIBOR + 35 bps), 5/15/41 | 27,552 | ||
74,009(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3914, Class LF, 0.359% (1 Month USD LIBOR + 20 bps), 8/15/26 | 73,710 | ||
21,713(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3960, Class FB, 0.459% (1 Month USD LIBOR + 30 bps), 2/15/30 | 21,709 | ||
160,781(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3970, Class GF, 0.459% (1 Month USD LIBOR + 30 bps), 9/15/26 | 160,668 | ||
Principal Amount USD ($) | Value | |||
COLLATERALIZED MORTGAGE OBLIGATIONS - (continued) | ||||
277,553(a) | Federal Home Loan Mortgage Corp. REMICS, Series 3982, Class FL, 0.709% (1 Month USD LIBOR + 55 bps), 12/15/39 | $ 278,910 | ||
130,588(a) | Federal Home Loan Mortgage Corp. REMICS, Series 4056, Class QF, 0.509% (1 Month USD LIBOR + 35 bps), 12/15/41 | 130,899 | ||
126,184(a) | Federal Home Loan Mortgage Corp. Strips, Series 237, Class F14, 0.559% (1 Month USD LIBOR + 40 bps), 5/15/36 | 126,083 | ||
111,618(a) | Federal Home Loan Mortgage Corp. Strips, Series 239, Class F29, 0.409% (1 Month USD LIBOR + 25 bps), 8/15/36 | 111,477 | ||
482,528(a) | Federal Home Loan Mortgage Corp. Strips, Series 239, Class F30, 0.459% (1 Month USD LIBOR + 30 bps), 8/15/36 | 479,764 | ||
143,687(a) | Federal Home Loan Mortgage Corp. Strips, Series 244, Class F22, 0.509% (1 Month USD LIBOR + 35 bps), 12/15/36 | 143,982 | ||
3,474(a) | Federal National Mortgage Association REMICS, Series 1991-124, Class FA, 1.048% (1 Month USD LIBOR + 90 bps), 9/25/21 | 3,472 | ||
18,945(a) | Federal National Mortgage Association REMICS, Series 1993-230, Class FA, 0.75% (1 Month USD LIBOR + 60 bps), 12/25/23 | 18,856 | ||
48,616(a) | Federal National Mortgage Association REMICS, Series 1993-247, Class FA, 1.903% (11th District Cost of Funds Index + 140 bps), 12/25/23 | 49,260 | ||
48,616(a) | Federal National Mortgage Association REMICS, Series 1993-247, Class FE, 1.148% (1 Month USD LIBOR + 100 bps), 12/25/23 | 48,964 | ||
95,112(a) | Federal National Mortgage Association REMICS, Series 1994-40, Class FC, 0.648% (1 Month USD LIBOR + 50 bps), 3/25/24 | 95,989 | ||
15,223(a) | Federal National Mortgage Association REMICS, Series 1997-46, Class FA, 0.658% (1 Month USD LIBOR + 50 bps), 7/18/27 | 15,089 | ||
37,925(a) | Federal National Mortgage Association REMICS, Series 1998-21, Class F, 0.48% (1 Year CMT Index + 35 bps), 3/25/28 | 37,735 | ||
817(a) | Federal National Mortgage Association REMICS, Series 1999-49, Class FB, 0.648% (1 Month USD LIBOR + 50 bps), 3/25/23 | 817 | ||
34,985(a) | Federal National Mortgage Association REMICS, Series 2000-47, Class FD, 0.698% (1 Month USD LIBOR + 55 bps), 12/25/30 | 35,181 | ||
134,575(a) | Federal National Mortgage Association REMICS, Series 2001-35, Class F, 0.748% (1 Month USD LIBOR + 60 bps), 7/25/31 | 135,570 | ||
56,390(a) | Federal National Mortgage Association REMICS, Series 2001-37, Class F, 0.648% (1 Month USD LIBOR + 50 bps), 8/25/31 | 56,594 | ||
278,100(a) | Federal National Mortgage Association REMICS, Series 2001-50, Class FQ, 0.748% (1 Month USD LIBOR + 60 bps), 11/25/31 | 280,157 | ||
122,364(a) | Federal National Mortgage Association REMICS, Series 2001-65, Class F, 0.748% (1 Month USD LIBOR + 60 bps), 11/25/31 | 123,269 | ||
83,569(a) | Federal National Mortgage Association REMICS, Series 2001-69, Class FA, 0.748% (1 Month USD LIBOR + 60 bps), 7/25/31 | 84,189 | ||
234,017(a) | Federal National Mortgage Association REMICS, Series 2001-72, Class FB, 1.048% (1 Month USD LIBOR + 90 bps), 12/25/31 | 238,012 | ||
63,937(a) | Federal National Mortgage Association REMICS, Series 2001-81, Class FL, 0.808% (1 Month USD LIBOR + 65 bps), 1/18/32 | 64,420 | ||
108,557(a) | Federal National Mortgage Association REMICS, Series 2002-1, Class FC, 0.848% (1 Month USD LIBOR + 70 bps), 1/25/32 | 109,747 | ||
331,099(a) | Federal National Mortgage Association REMICS, Series 2002-13, Class FD, 1.048% (1 Month USD LIBOR + 90 bps), 3/25/32 | 335,560 | ||
231,311(a) | Federal National Mortgage Association REMICS, Series 2002-34, Class FA, 0.658% (1 Month USD LIBOR + 50 bps), 5/18/32 | 232,740 | ||
171,622(a) | Federal National Mortgage Association REMICS, Series 2002-56, Class FN, 1.148% (1 Month USD LIBOR + 100 bps), 7/25/32 | 175,287 | ||
23,388(a) | Federal National Mortgage Association REMICS, Series 2002-58, Class FD, 0.748% (1 Month USD LIBOR + 60 bps), 8/25/32 | 23,571 | ||
104,449(a) | Federal National Mortgage Association REMICS, Series 2002-77, Class F, 0.748% (1 Month USD LIBOR + 60 bps), 12/25/32 | 105,790 | ||
82,271(a) | Federal National Mortgage Association REMICS, Series 2002-82, Class FB, 0.648% (1 Month USD LIBOR + 50 bps), 12/25/32 | 82,638 | ||
104,110(a) | Federal National Mortgage Association REMICS, Series 2002-90, Class FH, 0.648% (1 Month USD LIBOR + 50 bps), 9/25/32 | 104,568 | ||
54,875(a) | Federal National Mortgage Association REMICS, Series 2002-92, Class FB, 0.798% (1 Month USD LIBOR + 65 bps), 4/25/30 | 55,362 | ||
116,975(a) | Federal National Mortgage Association REMICS, Series 2002-93, Class FH, 0.648% (1 Month USD LIBOR + 50 bps), 1/25/33 | 118,189 | ||
95,484(a) | Federal National Mortgage Association REMICS, Series 2003-7, Class FA, 0.898% (1 Month USD LIBOR + 75 bps), 2/25/33 | 96,748 | ||
190,222(a) | Federal National Mortgage Association REMICS, Series 2003-8, Class FJ, 0.498% (1 Month USD LIBOR + 35 bps), 2/25/33 | 190,138 | ||
289,465(a) | Federal National Mortgage Association REMICS, Series 2003-31, Class FM, 0.648% (1 Month USD LIBOR + 50 bps), 4/25/33 | 292,521 | ||
126,328(a) | Federal National Mortgage Association REMICS, Series 2003-42, Class JF, 0.648% (1 Month USD LIBOR + 50 bps), 5/25/33 | 126,912 | ||
65,117(a) | Federal National Mortgage Association REMICS, Series 2003-49, Class FY, 0.548% (1 Month USD LIBOR + 40 bps), 6/25/23 | 65,083 | ||
194,147(a) | Federal National Mortgage Association REMICS, Series 2003-107, Class FD, 0.648% (1 Month USD LIBOR + 50 bps), 11/25/33 | 195,165 | ||
Principal Amount USD ($) | Value | |||
COLLATERALIZED MORTGAGE OBLIGATIONS - (continued) | ||||
178,794(a) | Federal National Mortgage Association REMICS, Series 2004-52, Class FW, 0.548% (1 Month USD LIBOR + 40 bps), 7/25/34 | $ 179,793 | ||
50,063(a) | Federal National Mortgage Association REMICS, Series 2004-54, Class FN, 0.598% (1 Month USD LIBOR + 45 bps), 7/25/34 | 50,439 | ||
392,931(a) | Federal National Mortgage Association REMICS, Series 2004-79, Class FM, 0.448% (1 Month USD LIBOR + 30 bps), 11/25/24 | 392,721 | ||
27,678(a) | Federal National Mortgage Association REMICS, Series 2004-91, Class HF, 0.448% (1 Month USD LIBOR + 30 bps), 11/25/34 | 27,712 | ||
182,935(a) | Federal National Mortgage Association REMICS, Series 2005-83, Class KT, 0.448% (1 Month USD LIBOR + 30 bps), 10/25/35 | 183,341 | ||
232,713(a) | Federal National Mortgage Association REMICS, Series 2005-83, Class LF, 0.458% (1 Month USD LIBOR + 31 bps), 2/25/35 | 233,122 | ||
37,577(a) | Federal National Mortgage Association REMICS, Series 2006-11, Class FB, 0.448% (1 Month USD LIBOR + 30 bps), 3/25/36 | 37,763 | ||
114,402(a) | Federal National Mortgage Association REMICS, Series 2006-33, Class FH, 0.498% (1 Month USD LIBOR + 35 bps), 5/25/36 | 114,729 | ||
273,415(a) | Federal National Mortgage Association REMICS, Series 2006-34, Class FA, 0.458% (1 Month USD LIBOR + 31 bps), 5/25/36 | 274,048 | ||
213,498(a) | Federal National Mortgage Association REMICS, Series 2006-42, Class CF, 0.598% (1 Month USD LIBOR + 45 bps), 6/25/36 | 215,182 | ||
86,786(a) | Federal National Mortgage Association REMICS, Series 2006-56, Class FC, 0.438% (1 Month USD LIBOR + 29 bps), 7/25/36 | 86,927 | ||
31,920(a) | Federal National Mortgage Association REMICS, Series 2006-70, Class BF, 0.698% (1 Month USD LIBOR + 55 bps), 8/25/36 | 32,276 | ||
57,965(a) | Federal National Mortgage Association REMICS, Series 2006-82, Class F, 0.718% (1 Month USD LIBOR + 57 bps), 9/25/36 | 58,731 | ||
105,682(a) | Federal National Mortgage Association REMICS, Series 2006-104, Class GF, 0.468% (1 Month USD LIBOR + 32 bps), 11/25/36 | 106,079 | ||
44,158(a) | Federal National Mortgage Association REMICS, Series 2006-115, Class BF, 0.388% (1 Month USD LIBOR + 24 bps), 12/25/36 | 44,113 | ||
137,951(a) | Federal National Mortgage Association REMICS, Series 2007-2, Class FT, 0.398% (1 Month USD LIBOR + 25 bps), 2/25/37 | 138,535 | ||
162,967(a) | Federal National Mortgage Association REMICS, Series 2007-7, Class FJ, 0.348% (1 Month USD LIBOR + 20 bps), 2/25/37 | 162,631 | ||
63,512(a) | Federal National Mortgage Association REMICS, Series 2007-13, Class FA, 0.398% (1 Month USD LIBOR + 25 bps), 3/25/37 | 63,430 | ||
149,092(a) | Federal National Mortgage Association REMICS, Series 2007-41, Class FA, 0.548% (1 Month USD LIBOR + 40 bps), 5/25/37 | 149,842 | ||
252,446(a) | Federal National Mortgage Association REMICS, Series 2007-50, Class FN, 0.388% (1 Month USD LIBOR + 24 bps), 6/25/37 | 252,226 | ||
24,143(a) | Federal National Mortgage Association REMICS, Series 2007-57, Class FA, 0.378% (1 Month USD LIBOR + 23 bps), 6/25/37 | 24,139 | ||
72,425(a) | Federal National Mortgage Association REMICS, Series 2007-58, Class FA, 0.398% (1 Month USD LIBOR + 25 bps), 6/25/37 | 72,336 | ||
67,840(a) | Federal National Mortgage Association REMICS, Series 2007-66, Class FB, 0.548% (1 Month USD LIBOR + 40 bps), 7/25/37 | 68,079 | ||
233,217(a) | Federal National Mortgage Association REMICS, Series 2007-85, Class FG, 0.648% (1 Month USD LIBOR + 50 bps), 9/25/37 | 235,729 | ||
286,472(a) | Federal National Mortgage Association REMICS, Series 2007-91, Class FB, 0.748% (1 Month USD LIBOR + 60 bps), 10/25/37 | 290,713 | ||
104,966(a) | Federal National Mortgage Association REMICS, Series 2007-92, Class OF, 0.718% (1 Month USD LIBOR + 57 bps), 9/25/37 | 106,216 | ||
59,514(a) | Federal National Mortgage Association REMICS, Series 2007-93, Class FD, 0.698% (1 Month USD LIBOR + 55 bps), 9/25/37 | 60,159 | ||
26,135(a) | Federal National Mortgage Association REMICS, Series 2007-98, Class FD, 0.598% (1 Month USD LIBOR + 45 bps), 6/25/37 | 26,320 | ||
36,594(a) | Federal National Mortgage Association REMICS, Series 2007-100, Class YF, 0.698% (1 Month USD LIBOR + 55 bps), 10/25/37 | 37,214 | ||
47,288(a) | Federal National Mortgage Association REMICS, Series 2007-103, Class AF, 1.148% (1 Month USD LIBOR + 100 bps), 3/25/37 | 48,294 | ||
50,258(a) | Federal National Mortgage Association REMICS, Series 2007-110, Class FA, 0.768% (1 Month USD LIBOR + 62 bps), 12/25/37 | 50,967 | ||
38,964(a) | Federal National Mortgage Association REMICS, Series 2008-6, Class FA, 0.848% (1 Month USD LIBOR + 70 bps), 2/25/38 | 39,579 | ||
169,994(a) | Federal National Mortgage Association REMICS, Series 2008-88, Class FA, 1.368% (1 Month USD LIBOR + 122 bps), 10/25/38 | 175,485 | ||
63,098(a) | Federal National Mortgage Association REMICS, Series 2009-113, Class FB, 0.698% (1 Month USD LIBOR + 55 bps), 1/25/40 | 63,727 | ||
15 | Federal National Mortgage Association REMICS, Series 2010-17, Class DE, 3.5%, 6/25/21 | 15 | ||
10(a) | Federal National Mortgage Association REMICS, Series 2010-38, Class F, 0.448% (1 Month USD LIBOR + 30 bps), 4/25/25 | 10 | ||
58,923(a) | Federal National Mortgage Association REMICS, Series 2010-43, Class FD, 0.748% (1 Month USD LIBOR + 60 bps), 5/25/40 | 59,736 | ||
114,107(a) | Federal National Mortgage Association REMICS, Series 2010-43, Class IF, 0.648% (1 Month USD LIBOR + 50 bps), 5/25/40 | 114,543 | ||
262 | Federal National Mortgage Association REMICS, Series 2010-112, Class AE, 2.0%, 10/25/25 | 262 | ||
Principal Amount USD ($) | Value | |||
COLLATERALIZED MORTGAGE OBLIGATIONS - (continued) | ||||
127,257(a) | Federal National Mortgage Association REMICS, Series 2011-19, Class FM, 0.698% (1 Month USD LIBOR + 55 bps), 5/25/40 | $ 127,600 | ||
159,376(a) | Federal National Mortgage Association REMICS, Series 2012-40, Class PF, 0.648% (1 Month USD LIBOR + 50 bps), 4/25/42 | 160,897 | ||
1,415,980(a) | Federal National Mortgage Association Trust, Series 2003-W6, Class F, 0.5% (1 Month USD LIBOR + 35 bps), 9/25/42 | 1,420,301 | ||
616,206(a) | Federal National Mortgage Association Trust, Series 2005-W3, Class 2AF, 0.368% (1 Month USD LIBOR + 22 bps), 3/25/45 | 613,907 | ||
47,173(b) | Federal National Mortgage Association Trust, Series 2005-W3, Class 3A, 3.693%, 4/25/45 | 51,364 | ||
70,905(b) | Federal National Mortgage Association Trust, Series 2005-W4, Class 3A, 3.329%, 6/25/45 | 75,390 | ||
566,237(a) | Federal National Mortgage Association Whole Loan, Series 2007-W1, Class 1AF1, 0.408% (1 Month USD LIBOR + 26 bps), 11/25/46 | 559,212 | ||
1,440,000(a) | Freddie Mac Stacr Remic Trust, Series 2020-DNA4, Class M2, 3.898% (1 Month USD LIBOR + 375 bps), 8/25/50 (144A) | 1,460,117 | ||
8,470,000(a) | Freddie Mac Stacr Remic Trust, Series 2020-HQA2, Class M2, 3.248% (1 Month USD LIBOR + 310 bps), 3/25/50 (144A) | 8,528,237 | ||
9,850,000(a) | Freddie Mac Stacr Remic Trust, Series 2020-HQA3, Class M2, 3.748% (1 Month USD LIBOR + 360 bps), 7/25/50 (144A) | 9,918,157 | ||
14,263,814(a) | Freddie Mac Stacr Trust, Series 2019-HRP1, Class M2, 1.548% (1 Month USD LIBOR + 140 bps), 2/25/49 (144A) | 14,211,156 | ||
10,860,179(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M3, 4.848% (1 Month USD LIBOR + 470 bps), 4/25/28 | 11,305,836 | ||
13,877,817(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M3, 5.7% (1 Month USD LIBOR + 555 bps), 7/25/28 | 14,481,578 | ||
9,500,861(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA2, Class M3, 4.798% (1 Month USD LIBOR + 465 bps), 10/25/28 | 9,885,551 | ||
13,902,709(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M3, 5.148% (1 Month USD LIBOR + 500 bps), 12/25/28 | 14,525,909 | ||
14,279,839(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M3, 3.948% (1 Month USD LIBOR + 380 bps), 3/25/29 | 14,782,185 | ||
262,294(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA3, Class M2, 1.498% (1 Month USD LIBOR + 135 bps), 3/25/29 | 262,294 | ||
3,360,000(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-DNA3, Class M2, 2.648% (1 Month USD LIBOR + 250 bps), 3/25/30 | 3,405,897 | ||
4,258,912(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-HQA1, Class M2, 3.698% (1 Month USD LIBOR + 355 bps), 8/25/29 | 4,370,805 | ||
6,562,826(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-HRP1, Class M2, 2.598% (1 Month USD LIBOR + 245 bps), 12/25/42 | 6,501,534 | ||
1,014,338(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-HRP1, Class M2D, 1.398% (1 Month USD LIBOR + 125 bps), 12/25/42 | 978,316 | ||
7,892,383(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2018-HQA1, Class M2, 2.448% (1 Month USD LIBOR + 230 bps), 9/25/30 | 7,862,382 | ||
2,545,621(a) | Gosforth Funding Plc, Series 2018-1A, Class A1, 0.657% (3 Month USD LIBOR + 45 bps), 8/25/60 (144A) | 2,547,756 | ||
91,147(a) | Government National Mortgage Association, Series 2003-7, Class FB, 0.353% (1 Month USD LIBOR + 20 bps), 1/16/33 | 90,879 | ||
395,939(a) | Government National Mortgage Association, Series 2005-3, Class FC, 0.403% (1 Month USD LIBOR + 25 bps), 1/16/35 | 395,643 | ||
362,304(a) | Government National Mortgage Association, Series 2005-16, Class FA, 0.402% (1 Month USD LIBOR + 25 bps), 2/20/35 | 362,014 | ||
121,373(a) | Government National Mortgage Association, Series 2008-69, Class FA, 0.652% (1 Month USD LIBOR + 50 bps), 8/20/38 | 121,574 | ||
121,739(a) | Government National Mortgage Association, Series 2009-66, Class UF, 1.153% (1 Month USD LIBOR + 100 bps), 8/16/39 | 124,282 | ||
368,508(a) | Government National Mortgage Association, Series 2009-88, Class MF, 0.752% (1 Month USD LIBOR + 60 bps), 7/20/39 | 369,131 | ||
94,903(a) | Government National Mortgage Association, Series 2009-92, Class FJ, 0.833% (1 Month USD LIBOR + 68 bps), 10/16/39 | 95,916 | ||
1,466,060(a) | Holmes Master Issuer Plc, Series 2018-2A, Class A2, 0.657% (3 Month USD LIBOR + 42 bps), 10/15/54 (144A) | 1,465,871 | ||
12,380,389(a) | Home Partners of America Trust, Series 2017-1, Class A, 0.97% (1 Month USD LIBOR + 82 bps), 7/17/34 (144A) | 12,341,727 | ||
7,200,000(a) | Home Partners of America Trust, Series 2017-1, Class B, 1.503% (1 Month USD LIBOR + 135 bps), 7/17/34 (144A) | 7,190,913 | ||
3,610,408(a) | Home Re, Ltd., Series 2018-1, Class M1, 1.748% (1 Month USD LIBOR + 160 bps), 10/25/28 (144A) | 3,603,699 | ||
4,464,414(a) | Home Re, Ltd., Series 2019-1, Class M1, 1.798% (1 Month USD LIBOR + 165 bps), 5/25/29 (144A) | 4,420,032 | ||
6,640,000(a) | Home Re, Ltd., Series 2020-1, Class M1B, 3.398% (1 Month USD LIBOR + 325 bps), 10/25/30 (144A) | 6,746,096 | ||
4,650,000(a) | Home Re, Ltd., Series 2020-1, Class M1C, 4.298% (1 Month USD LIBOR + 415 bps), 10/25/30 (144A) | 4,753,661 | ||
765,274(a) | HomeBanc Mortgage Trust, Series 2005-3, Class A1, 0.628% (1 Month USD LIBOR + 48 bps), 7/25/35 | 765,734 | ||
2,172,822(b) | JP Morgan Mortgage Trust, Series 2014-IVR3, Class B4, 2.92%, 9/25/44 (144A) | 2,160,983 | ||
6,465,540(b) | JP Morgan Mortgage Trust, Series 2014-IVR6, Class B1, 2.513%, 7/25/44 (144A) | 6,547,143 | ||
3,392,087(b) | JP Morgan Mortgage Trust, Series 2017-4, Class A9, 3.5%, 11/25/48 (144A) | 3,442,470 | ||
Principal Amount USD ($) | Value | |||
COLLATERALIZED MORTGAGE OBLIGATIONS - (continued) | ||||
2,208,029(a) | JP Morgan Mortgage Trust, Series 2018-7FRB, Class A3, 0.898% (1 Month USD LIBOR + 75 bps), 4/25/46 (144A) | $ 2,148,007 | ||
8,270,935(b) | JP Morgan Mortgage Trust, Series 2018-7FRB, Class B1, 2.194%, 4/25/46 (144A) | 7,776,744 | ||
7,822,846(b) | JP Morgan Mortgage Trust, Series 2018-7FRB, Class B2, 2.194%, 4/25/46 (144A) | 7,334,605 | ||
1,746,047(a) | JP Morgan Seasoned Mortgage Trust, Series 2014-1, Class AM, 0.648% (1 Month USD LIBOR + 50 bps), 5/25/33 (144A) | 1,713,083 | ||
6,597,260(b) | JP Morgan Seasoned Mortgage Trust, Series 2014-1, Class B1, 0.841%, 5/25/33 (144A) | 6,361,285 | ||
6,149,693(b) | JP Morgan Seasoned Mortgage Trust, Series 2014-1, Class B2, 0.841%, 5/25/33 (144A) | 5,857,259 | ||
4,740,873(b) | JP Morgan Seasoned Mortgage Trust, Series 2014-1, Class B3, 0.841%, 5/25/33 (144A) | 4,425,689 | ||
425,558(a) | JP Morgan Trust, Series 2015-1, Class 1A14, 2.019% (1 Month USD LIBOR + 125 bps), 12/25/44 (144A) | 430,884 | ||
3,135,483(a) | LSTAR Securities Investment Trust, Series 2019-1, Class A1, 1.855% (1 Month USD LIBOR + 170 bps), 3/1/24 (144A) | 3,117,424 | ||
20,750,240(a) | LSTAR Securities Investment Trust, Series 2019-2, Class A1, 1.655% (1 Month USD LIBOR + 150 bps), 4/1/24 (144A) | 20,584,334 | ||
22,258,997(a) | LSTAR Securities Investment, Ltd., Series 2019-3, Class A1, 1.655% (1 Month USD LIBOR + 150 bps), 4/1/24 (144A) | 22,066,034 | ||
22,980,680(a) | LSTAR Securities Investment, Ltd., Series 2019-4, Class A1, 1.655% (1 Month USD LIBOR + 150 bps), 5/1/24 (144A) | 22,919,786 | ||
11,476,287(a) | LSTAR Securities Investment, Ltd., Series 2019-5, Class A1, 1.655% (1 Month USD LIBOR + 150 bps), 11/1/24 (144A) | 11,389,666 | ||
11,422(b) | Merrill Lynch Mortgage Investors Trust, Series 2003-G, Class A3, 1.822%, 1/25/29 | 11,405 | ||
563,418(a) | Merrill Lynch Mortgage Investors Trust, Series 2003-H, Class A1, 0.788% (1 Month USD LIBOR + 64 bps), 1/25/29 | 556,619 | ||
292,642(a) | Merrill Lynch Mortgage Investors Trust, Series 2004-B, Class A2, 0.794% (6 Month USD LIBOR + 54 bps), 5/25/29 | 289,357 | ||
24,391(a) | Merrill Lynch Mortgage Investors Trust, Series 2004-C, Class A2B, 1.264% (6 Month USD LIBOR + 100 bps), 7/25/29 | 23,993 | ||
98,351(b) | Merrill Lynch Mortgage Investors Trust, Series 2004-D, Class A3, 2.198%, 9/25/29 | 97,072 | ||
2,368,493(b) | Morgan Stanley Residential Mortgage Loan Trust, Series 2014-1A, Class A1, 2.605%, 6/25/44 (144A) | 2,434,317 | ||
2,564,000(b) | Morgan Stanley Residential Mortgage Loan Trust, Series 2014-1A, Class B4, 2.605%, 6/25/44 (144A) | 2,676,132 | ||
5,356,955(a) | Oaktown Re II, Ltd., Series 2018-1A, Class M1, 1.698% (1 Month USD LIBOR + 155 bps), 7/25/28 (144A) | 5,347,376 | ||
3,620,000(a) | Oaktown Re III, Ltd., Series 2019-1A, Class B1A, 3.648% (1 Month USD LIBOR + 350 bps), 7/25/29 (144A) | 3,606,759 | ||
13,573,000(a) | Oaktown Re III, Ltd., Series 2019-1A, Class M1B, 2.098% (1 Month USD LIBOR + 195 bps), 7/25/29 (144A) | 13,581,765 | ||
5,680,000(a) | Oaktown Re IV, Ltd., Series 2020-1A, Class M1B, 4.898% (1 Month USD LIBOR + 475 bps), 7/25/30 (144A) | 5,737,542 | ||
4,300,000(a) | Oaktown Re V, Ltd., Series 2020-2A, Class M1B, 3.748% (1 Month USD LIBOR + 360 bps), 10/25/30 (144A) | 4,335,586 | ||
2,980,659(a) | OBX Trust, Series 2019-EXP1, Class 2A1A, 1.098% (1 Month USD LIBOR + 95 bps), 1/25/59 (144A) | 2,980,658 | ||
1,492,328(a) | Pepper Residential Securities Trust, Series 21A, Class A1U, 1.033% (1 Month USD LIBOR + 88 bps), 1/16/60 (144A) | 1,488,956 | ||
3,215,548(a) | Pepper Residential Securities Trust No. 22, Series 22A, Class A1U, 1.102% (1 Month USD LIBOR + 100 bps), 6/20/60 (144A) | 3,205,776 | ||
7,306,158(a) | Pepper Residential Securities Trust No. 25, Series 25A, Class A1U, 1.084% (1 Month USD LIBOR + 93 bps), 3/12/61 (144A) | 7,308,167 | ||
741,471(a) | Radnor Re, Ltd., Series 2018-1, Class M1, 1.548% (1 Month USD LIBOR + 140 bps), 3/25/28 (144A) | 741,366 | ||
4,967,751(a) | Radnor Re, Ltd., Series 2019-1, Class M1B, 2.098% (1 Month USD LIBOR + 195 bps), 2/25/29 (144A) | 4,968,595 | ||
17,250,000(a) | Radnor Re, Ltd., Series 2019-2, Class M1B, 1.898% (1 Month USD LIBOR + 175 bps), 6/25/29 (144A) | 17,191,412 | ||
6,000,000(a) | Radnor Re, Ltd., Series 2020-1, Class M1A, 1.098% (1 Month USD LIBOR + 95 bps), 2/25/30 (144A) | 5,992,817 | ||
7,590,000(a) | Radnor Re, Ltd., Series 2020-2, Class M1B, 4.148% (1 Month USD LIBOR + 400 bps), 10/25/30 (144A) | 7,670,713 | ||
2,740,000(a) | Radnor Re, Ltd., Series 2020-2, Class M1C, 4.748% (1 Month USD LIBOR + 460 bps), 10/25/30 (144A) | 2,787,789 | ||
1,737,121(a) | RESI Finance LP, Series 2003-CB1, Class B3, 1.599% (1 Month USD LIBOR + 145 bps), 6/10/35 (144A) | 1,201,129 | ||
3,851,709(a) | Resimac MBS Trust, Series 2018-2A, Class A1A, 0.999% (1 Month USD LIBOR + 85 bps), 4/10/50 (144A) | 3,843,995 | ||
517,999(a) | Resimac Premier, Series 2017-1A, Class A1A, 1.098% (1 Month USD LIBOR + 95 bps), 9/11/48 (144A) | 518,270 | ||
1,619,282(a) | Resimac Premier, Series 2018-1A, Class A1, 0.949% (1 Month USD LIBOR + 80 bps), 11/10/49 (144A) | 1,618,694 | ||
7,995,742(a) | Resimac Premier, Series 2019-2A, Class A1, 1.099% (1 Month USD LIBOR + 95 bps), 2/10/51 (144A) | 8,004,386 | ||
3,776,192(a) | Resimac Premier, Series 2020-1A, Class A1A, 1.203% (1 Month USD LIBOR + 105 bps), 2/7/52 (144A) | 3,784,571 | ||
4,098,921(b) | RMF Buyout Issuance Trust, Series 2020-1, Class A, 2.158%, 2/25/30 (144A) | 4,107,451 | ||
2,000,000(b) | RMF Buyout Issuance Trust, Series 2020-1, Class M1, 2.332%, 2/25/30 (144A) | 2,005,737 | ||
Principal Amount USD ($) | Value | |||
COLLATERALIZED MORTGAGE OBLIGATIONS - (continued) | ||||
4,137,798(b) | RMF Buyout Issuance Trust, Series 2020-2, Class A, 1.706%, 6/25/30 (144A) | $ 4,146,523 | ||
2,800,000(a) | STACR Trust, Series 2018-DNA2, Class M2, 2.298% (1 Month USD LIBOR + 215 bps), 12/25/30 (144A) | 2,771,917 | ||
7,247,796(a) | STACR Trust, Series 2018-HRP1, Class B1, 3.898% (1 Month USD LIBOR + 375 bps), 4/25/43 (144A) | 7,243,276 | ||
5,312,005(a) | STACR Trust, Series 2018-HRP1, Class M2, 1.798% (1 Month USD LIBOR + 165 bps), 4/25/43 (144A) | 5,225,100 | ||
4,474,951(a) | STACR Trust, Series 2018-HRP2, Class M2, 1.398% (1 Month USD LIBOR + 125 bps), 2/25/47 (144A) | 4,468,908 | ||
17,605,000(a) | STACR Trust, Series 2018-HRP2, Class M3, 2.548% (1 Month USD LIBOR + 240 bps), 2/25/47 (144A) | 17,627,374 | ||
8,770,510(a) | Towd Point HE Trust, Series 2019-HE1, Class A1, 1.048% (1 Month USD LIBOR + 90 bps), 4/25/48 (144A) | 8,765,539 | ||
5,527,960(a) | Towd Point HE Trust, Series 2019-HE1, Class M1, 1.248% (1 Month USD LIBOR + 110 bps), 4/25/48 (144A) | 5,495,485 | ||
5,280,000(a) | Traingle Re, Ltd., Series 2020-1, Class M1B, 4.048% (1 Month USD LIBOR + 390 bps), 10/25/30 (144A) | 5,319,082 | ||
4,360,000(a) | Traingle Re, Ltd., Series 2020-1, Class M1C, 4.648% (1 Month USD LIBOR + 450 bps), 10/25/30 (144A) | 4,384,189 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||
(Cost $716,255,285) | $708,823,483 | |||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 11.8% of Net Assets | ||||
1,540,225(a) | AREIT Trust, Series 2018-CRE2, Class A, 1.133% (1 Month USD LIBOR + 98 bps), 11/14/35 (144A) | $1,525,250 | ||
12,500,000(a) | Austin Fairmont Hotel Trust, Series 2019-FAIR, Class E, 2.409% (1 Month USD LIBOR + 225 bps), 9/15/32 (144A) | 11,281,501 | ||
8,000,000(a) | BAMLL Commercial Mortgage Securities Trust, Series 2019-RLJ, Class C, 1.759% (1 Month USD LIBOR + 160 bps), 4/15/36 (144A) | 7,576,172 | ||
160,204(a) | Bancorp Commercial Mortgage Trust, Series 2018-CRE4, Class A, 1.059% (1 Month USD LIBOR + 90 bps), 9/15/35 (144A) | 159,548 | ||
1,150,000(a) | BFLD Trust, Series 2020-OBRK, Class A, 2.209% (1 Month USD LIBOR + 205 bps), 11/15/28 (144A) | 1,149,999 | ||
9,450,000(a) | BHP Trust, Series 2019-BXHP, Class D, 1.93% (1 Month USD LIBOR + 177 bps), 8/15/36 (144A) | 9,073,947 | ||
5,884,925(a) | BTH-3 Mortgage-Backed Securities Trust, Series 2018-3, Class A, 2.655% (1 Month USD LIBOR + 250 bps), 7/8/21 | 5,843,505 | ||
7,750,000(a) | BTH-13 Mortgage Backed Securities Trust, Series 2018-13, Class A, 2.65% (1 Month USD LIBOR + 250 bps), 8/18/21 (144A) | 7,719,571 | ||
5,700,000(a) | BTH-16 Mortgage-Backed Securities Trust, Series 2018-16, Class A, 2.655% (1 Month USD LIBOR + 250 bps), 8/4/21 (144A) | 5,549,406 | ||
7,625,000(a) | BTH-21 Mortgage-Backed Securities Trust, Series 2018-21, Class A, 2.655% (1 Month USD LIBOR + 250 bps), 10/7/21 (144A) | 7,597,584 | ||
14,500,000(a) | BTH-25 Mortgage-Backed Securities Trust, Series 2019-25, Class A, 2.648% (1 Month USD LIBOR + 250 bps), 2/18/21 (144A) | 14,474,577 | ||
5,810,000(a) | BX Commercial Mortgage Trust, Series 2018-IND, Class D, 1.459% (1 Month USD LIBOR + 130 bps), 11/15/35 (144A) | 5,795,438 | ||
15,483,047(a) | BX Commercial Mortgage Trust, Series 2019-XL, Class G, 2.459% (1 Month USD LIBOR + 230 bps), 10/15/36 (144A) | 15,358,207 | ||
9,300,000(a) | BX Trust, Series 2019-ATL, Class B, 1.546% (1 Month USD LIBOR + 139 bps), 10/15/36 (144A) | 8,803,166 | ||
8,000,000(a) | BXP Trust, Series 2017-CQHP, Class B, 1.259% (1 Month USD LIBOR + 110 bps), 11/15/34 (144A) | 7,598,032 | ||
2,171,167(a) | CG-CCRE Commercial Mortgage Trust, Series 2014-FL1, Class B, 1.309% (1 Month USD LIBOR + 115 bps), 6/15/31 (144A) | 2,153,268 | ||
722,572(a) | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class A, 2.013% (1 Month USD LIBOR + 185 bps), 11/15/31 (144A) | 679,544 | ||
10,000,000(a) | CGDB Commercial Mortgage Trust, Series 2019-MOB, Class C, 1.609% (1 Month USD LIBOR + 145 bps), 11/15/36 (144A) | 9,824,501 | ||
5,700,000(a) | CGMS Commercial Mortgage Trust, Series 2017-MDRC, Class C, 1.459% (1 Month USD LIBOR + 130 bps), 7/15/30 (144A) | 5,424,062 | ||
14,935,551(a) | CHC Commercial Mortgage Trust, Series 2019-CHC, Class C, 1.909% (1 Month USD LIBOR + 175 bps), 6/15/34 (144A) | 14,091,794 | ||
9,500,000(a) | CHT Mortgage Trust, Series 2017-CSMO, Class C, 1.659% (1 Month USD LIBOR + 150 bps), 11/15/36 (144A) | 9,226,022 | ||
8,750,000(a) | Citigroup Commercial Mortgage Trust, Series 2019-SST2, Class B, 1.259% (1 Month USD LIBOR + 110 bps), 12/15/36 (144A) | 8,749,997 | ||
5,500,000(a) | Citigroup Commercial Mortgage Trust, Series 2019-SST2, Class C, 1.459% (1 Month USD LIBOR + 130 bps), 12/15/36 (144A) | 5,496,683 | ||
6,000,000(a) | CLNY Trust, Series 2019-IKPR, Class B, 1.637% (1 Month USD LIBOR + 148 bps), 11/15/38 (144A) | 5,729,447 | ||
2,000,000(a) | CLNY Trust, Series 2019-IKPR, Class E, 2.88% (1 Month USD LIBOR + 272 bps), 11/15/38 (144A) | 1,749,554 | ||
6,750,000(a) | Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class B, 2.059% (1 Month USD LIBOR + 190 bps), 1/15/34 (144A) | 6,498,459 | ||
10,000,000(a) | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class E, 2.309% (1 Month USD LIBOR + 215 bps), 5/15/36 (144A) | 9,941,332 | ||
16,587,432(a) | Exantas Capital Corp., Series 2020-RSO8, Class A, 1.303% (1 Month USD LIBOR + 115 bps), 3/15/35 (144A) | 16,379,038 | ||
Principal Amount USD ($) | Value | |||
COMMERCIAL MORTGAGE-BACKED SECURITIES - (continued) | ||||
1,715,812(a) | FREMF Mortgage Trust, Series 2014-KF05, Class B, 4.153% (1 Month USD LIBOR + 400 bps), 9/25/22 (144A) | $1,716,949 | ||
2,930,828(a) | FREMF Mortgage Trust, Series 2014-KS02, Class B, 5.153% (1 Month USD LIBOR + 500 bps), 8/25/23 (144A) | 2,696,361 | ||
2,508,590(a) | GPMT, Ltd., Series 2018-FL1, Class A, 1.052% (1 Month USD LIBOR + 90 bps), 11/21/35 (144A) | 2,493,291 | ||
3,250,000(a) | GPMT, Ltd., Series 2018-FL1, Class AS, 1.352% (1 Month USD LIBOR + 120 bps), 11/21/35 (144A) | 3,226,056 | ||
8,000,000(a) | Great Wolf Trust, Series 2019-WOLF, Class D, 2.092% (1 Month USD LIBOR + 193 bps), 12/15/36 (144A) | 7,438,478 | ||
3,500,000(a) | GS Mortgage Securities Corp. Trust, Series 2017-STAY, Class B, 1.509% (1 Month USD LIBOR + 135 bps), 7/15/32 (144A) | 3,455,494 | ||
10,900,000(a) | GS Mortgage Securities Corp. Trust, Series 2018-TWR, Class A, 1.059% (1 Month USD LIBOR + 90 bps), 7/15/31 (144A) | 10,808,607 | ||
11,000,000(a) | GS Mortgage Securities Corp. Trust, Series 2019-70P, Class D, 1.909% (1 Month USD LIBOR + 175 bps), 10/15/36 (144A) | 10,420,808 | ||
7,400,000(a) | GS Mortgage Securities Corp. Trust, Series 2019-SMP, Class D, 2.109% (1 Month USD LIBOR + 195 bps), 8/15/32 (144A) | 6,792,985 | ||
10,000,000(a) | GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class A, 1.259% (1 Month USD LIBOR + 110 bps), 12/15/36 (144A) | 9,706,881 | ||
9,000,000(a) | GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class E, 2.659% (1 Month USD LIBOR + 250 bps), 12/15/36 (144A) | 7,872,114 | ||
4,300,000(a) | GS Mortgage Securities Trust, Series 2018-HART, Class A, 1.249% (1 Month USD LIBOR + 109 bps), 10/15/31 (144A) | 4,299,999 | ||
9,729,000(a) | GS Mortgage Securities Trust, Series 2018-HART, Class B, 1.459% (1 Month USD LIBOR + 130 bps), 10/15/31 (144A) | 9,484,828 | ||
8,135,347(a) | HPLY Trust, Series 2019-HIT, Class C, 1.759% (1 Month USD LIBOR + 160 bps), 11/15/36 (144A) | 7,951,796 | ||
4,665,000(a) | InTown Hotel Portfolio Trust, Series 2018-STAY, Class A, 0.859% (1 Month USD LIBOR + 70 bps), 1/15/33 (144A) | 4,628,533 | ||
4,230,000(a) | InTown Hotel Portfolio Trust, Series 2018-STAY, Class B, 1.209% (1 Month USD LIBOR + 105 bps), 1/15/33 (144A) | 4,156,025 | ||
11,900,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2017-FL11, Class B, 1.259% (1 Month USD LIBOR + 110 bps), 10/15/32 (144A) | 11,437,355 | ||
7,300,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-PHH, Class B, 2.66% (1 Month USD LIBOR + 116 bps), 6/15/35 (144A) | 6,420,802 | ||
2,800,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class BFL, 1.403% (1 Month USD LIBOR + 125 bps), 7/5/33 (144A) | 2,745,810 | ||
4,000,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT, Class CFL, 1.803% (1 Month USD LIBOR + 165 bps), 7/5/33 (144A) | 3,893,007 | ||
3,600,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class C, 1.759% (1 Month USD LIBOR + 160 bps), 9/15/29 (144A) | 3,500,632 | ||
1,650,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class E, 2.759% (1 Month USD LIBOR + 260 bps), 9/15/29 (144A) | 1,571,369 | ||
10,300,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP, Class E, 2.319% (1 Month USD LIBOR + 216 bps), 7/15/36 (144A) | 9,654,356 | ||
6,735,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class A, 1.529% (1 Month USD LIBOR + 137 bps), 10/15/33 (144A) | 6,734,912 | ||
194,615 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C19, Class A2, 3.046%, 4/15/47 | 194,635 | ||
8,050,000(a) | MBRT, Series 2019-MBR, Class B, 1.309% (1 Month USD LIBOR + 115 bps), 11/15/36 (144A) | 7,908,515 | ||
20,000,000(a) | MF1, Ltd., Series 2019-FL2, Class A, 1.278% (1 Month USD LIBOR + 113 bps), 12/25/34 (144A) | 19,814,316 | ||
1,746,279(b) | Morgan Stanley Capital I Trust, Series 2007-T25, Class AJ, 5.574%, 11/12/49 | 1,373,012 | ||
8,500,000(a) | Morgan Stanley Capital I Trust, Series 2017-ASHF, Class B, 1.409% (1 Month USD LIBOR + 125 bps), 11/15/34 (144A) | 7,987,417 | ||
8,250,000(a) | Morgan Stanley Capital I Trust, Series 2017-CLS, Class C, 1.159% (1 Month USD LIBOR + 100 bps), 11/15/34 (144A) | 8,249,998 | ||
9,610,247(a) | Morgan Stanley Capital I Trust, Series 2018-BOP, Class B, 1.409% (1 Month USD LIBOR + 125 bps), 8/15/33 (144A) | 9,210,986 | ||
7,275,000(a) | Morgan Stanley Capital I Trust, Series 2019-NUGS, Class D, 3.3% (1 Month USD LIBOR + 180 bps), 12/15/36 (144A) | 7,047,566 | ||
9,540,497(a) | Motel 6 Trust, Series 2017-MTL6, Class C, 1.559% (1 Month USD LIBOR + 140 bps), 8/15/34 (144A) | 9,486,838 | ||
5,220,000(a) | MTRO Commercial Mortgage Trust, Series 2019-TECH, Class C, 1.459% (1 Month USD LIBOR + 130 bps), 12/15/33 (144A) | 5,069,245 | ||
3,662,523(a) | Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class MCR1, 2.491% (1 Month USD LIBOR + 235 bps), 6/15/35 (144A) | 3,496,092 | ||
11,500,000(a) | Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, Class B, 1.959% (1 Month USD LIBOR + 180 bps), 7/15/36 (144A) | 11,329,207 | ||
251,141(a) | NCUA Guaranteed Notes Trust, Series 2011-C1, Class 2A, 0.682% (1 Month USD LIBOR + 53 bps), 3/9/21 | 251,087 | ||
6,877,843(a) | SLIDE, Series 2018-FUN, Class B, 1.409% (1 Month USD LIBOR + 125 bps), 6/15/31 (144A) | 6,566,817 | ||
1,259,699(b) | Sutherland Commercial Mortgage Loans, Series 2017-SBC6, Class A, 3.192%, 5/25/37 (144A) | 1,251,242 | ||
2,923,195(b) | Sutherland Commercial Mortgage Loans, Series 2018-SBC7, Class A, 4.72%, 5/25/39 (144A) | 2,952,678 | ||
4,374,433(a) | Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class C, 1.503% (1 Month USD LIBOR + 135 bps), 11/11/34 (144A) | 4,111,196 | ||
Principal Amount USD ($) | Value | |||
COMMERCIAL MORTGAGE-BACKED SECURITIES - (continued) | ||||
10,150,000(a) | VMC Finance LLC, Series 2018-FL2, Class B, 1.503% (1 Month USD LIBOR + 135 bps), 10/15/35 (144A) | $9,920,551 | ||
1,708,155(b) | WaMu Commercial Mortgage Securities Trust, Series 2006-SL1, Class C, 2.234%, 11/23/43 (144A) | 1,707,689 | ||
12,800,000(a) | Wells Fargo Commercial Mortgage Trust, Series 2017-SMP, Class C, 1.359% (1 Month USD LIBOR + 120 bps), 12/15/34 (144A) | 11,372,898 | ||
13,125,000(a) | XCAL Mortgage Trust, Series 2019-1, Class A, 4.4% (1 Month USD LIBOR + 225 bps), 11/6/21 (144A) | 13,180,607 | ||
14,200,000(a) | XCALI Mortgage Trust, Series 2020-1, Class A, 4.05% (1 Month USD LIBOR + 240 bps), 1/22/23 (144A) | 14,209,770 | ||
13,500,000(a) | XCALI Mortgage Trust, Series 2020-2, Class A, 4.05% (1 Month USD LIBOR + 200 bps), 2/7/23 (144A) | 13,498,697 | ||
4,375,000(a) | XCALI Mortgage Trust, Series 2020-5, Class A, 4.25% (1 Month USD LIBOR + 325 bps), 10/15/23 (144A) | 4,388,905 | ||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | ||||
(Cost $539,675,242) | $523,137,016 | |||
CORPORATE BONDS - 27.5% of Net Assets | ||||
Auto Manufacturers - 2.1% | ||||
3,960,000(a) | American Honda Finance Corp., 0.576% (3 Month USD LIBOR + 37 bps), 5/10/23 | $3,974,254 | ||
9,190,000(a) | American Honda Finance Corp., 0.791% (3 Month USD LIBOR + 54 bps), 6/27/22 | 9,243,767 | ||
2,015,000(a) | Ford Motor Credit Co. LLC, 1.104% (3 Month USD LIBOR + 88 bps), 10/12/21 | 1,990,932 | ||
11,520,000 | General Motors Finland, Inc., 4.375%, 9/25/21 | 11,831,069 | ||
6,750,000(a) | Nissan Motor Acceptance Corp., 0.737% (3 Month USD LIBOR + 52 bps), 3/15/21 (144A) | 6,744,964 | ||
6,020,000 | Nissan Motor Acceptance Corp., 2.55%, 3/8/21 (144A) | 6,036,405 | ||
6,889,000(a) | PACCAR Financial Corp., 0.466% (3 Month USD LIBOR + 26 bps), 5/10/21 | 6,894,434 | ||
13,755,000(a) | Toyota Motor Credit Corp., 0.504% (3 Month USD LIBOR + 28 bps), 4/13/21 | 13,764,293 | ||
14,245,000(a) | Volkswagen Group of America Finance LLC, 1.098% (3 Month USD LIBOR + 86 bps), 9/24/21 (144A) | 14,316,205 | ||
5,550,000(a) | Volkswagen Group of America Finance LLC, 1.154% (3 Month USD LIBOR + 94 bps), 11/12/21 (144A) | 5,590,018 | ||
11,255,000 | Volkswagen Group of America Finance LLC, 2.5%, 9/24/21 (144A) | 11,422,704 | ||
Total Auto Manufacturers | $91,809,045 | |||
Banks - 16.0% | ||||
4,360,000(a) | ABN AMRO Bank NV, 0.803% (3 Month USD LIBOR + 57 bps), 8/27/21 (144A) | $4,374,074 | ||
5,650,000 | ABN AMRO Bank NV, 3.4%, 8/27/21 (144A) | 5,762,809 | ||
9,450,000(a) | Bank of America Corp., 0.816% (SOFRRATE + 73 bps), 10/24/24 | 9,520,818 | ||
23,289,000(a) | Bank of America Corp., 1.015% (3 Month USD LIBOR + 79 bps), 3/5/24 | 23,465,424 | ||
11,209,000(a) | Bank of America Corp., 1.389% (3 Month USD LIBOR + 118 bps), 10/21/22 | 11,299,984 | ||
2,082,000(a) | Bank of America Corp., 1.638% (3 Month USD LIBOR + 142 bps), 4/19/21 | 2,090,369 | ||
16,000,000(a) | Bank of Montreal, 0.438% (SOFRRATE + 35 bps), 12/8/23 | 16,008,000 | ||
3,185,000(a) | Bank of Montreal, 0.768% (SOFRRATE + 68 bps), 3/10/23 | 3,212,360 | ||
3,138,000(a) | Bank of Nova Scotia, 0.658% (3 Month USD LIBOR + 44 bps), 4/20/21 | 3,142,333 | ||
3,069,000 | Bank of Nova Scotia, 2.5%, 1/8/21 | 3,069,577 | ||
15,240,000(a) | Banque Federative du Credit Mutuel SA, 0.948% (3 Month USD LIBOR + 73 bps), 7/20/22 (144A) | 15,357,249 | ||
2,620,000(a) | Banque Federative du Credit Mutuel SA, 1.178% (3 Month USD LIBOR + 96 bps), 7/20/23 (144A) | 2,663,286 | ||
5,125,000 | Banque Federative du Credit Mutuel SA, 2.125%, 11/21/22 (144A) | 5,292,281 | ||
12,008,000(a) | Barclays Plc, 1.651% (3 Month USD LIBOR + 143 bps), 2/15/23 | 12,093,881 | ||
6,050,000(a) | Barclays Plc, 1.849% (3 Month USD LIBOR + 163 bps), 1/10/23 | 6,101,136 | ||
18,956,000(a) | BPCE SA, 1.433% (3 Month USD LIBOR + 122 bps), 5/22/22 (144A) | 19,173,948 | ||
18,400,000(a) | Canadian Imperial Bank of Commerce, 0.489% (SOFRRATE + 40 bps), 12/14/23 | 18,431,624 | ||
5,890,000 | Capital One NA, 2.95%, 7/23/21 | 5,961,433 | ||
9,095,000(a) | Citibank NA, 0.564% (3 Month USD LIBOR + 35 bps), 2/12/21 | 9,095,546 | ||
16,729,000(a) | Citigroup, Inc., 1.175% (3 Month USD LIBOR + 96 bps), 4/25/22 | 16,878,335 | ||
13,621,000(a) | Citigroup, Inc., 1.296% (3 Month USD LIBOR + 107 bps), 12/8/21 | 13,722,719 | ||
9,220,000(a) | Citigroup, Inc., 1.404% (3 Month USD LIBOR + 119 bps), 8/2/21 | 9,279,271 | ||
12,180,000(a) | Citigroup, Inc., 1.62% (3 Month USD LIBOR + 138 bps), 3/30/21 | 12,218,613 | ||
12,733,000 | Citigroup, Inc., 2.7%, 3/30/21 | 12,806,544 | ||
3,875,000(a) | Cooperatieve Rabobank UA, 0.645% (3 Month USD LIBOR + 43 bps), 4/26/21 | 3,879,679 | ||
2,350,000(a) | Cooperatieve Rabobank UA, 0.701% (3 Month USD LIBOR + 48 bps), 1/10/23 | 2,360,889 | ||
10,765,000(a) | Credit Suisse Group AG, 1.42% (3 Month USD LIBOR + 120 bps), 12/14/23 (144A) | 10,894,977 | ||
22,617,000(a) | Credit Suisse Group Funding Guernsey, Ltd., 2.508% (3 Month USD LIBOR + 229 bps), 4/16/21 | 22,761,434 | ||
4,002,000 | Danske Bank, Inc., 2.7%, 3/2/22 (144A) | 4,102,663 | ||
1,845,000 | Discover Bank, 3.2%, 8/9/21 | 1,872,196 | ||
5,000,000(a) | Goldman Sachs Group, Inc., 0.624% (SOFRRATE + 54 bps), 11/17/23 | 5,003,630 | ||
5,000,000(a) | Goldman Sachs Group, Inc., 0.963% (3 Month USD LIBOR + 75 bps), 2/23/23 | 5,046,566 | ||
4,425,000(a) | Goldman Sachs Group, Inc., 1.325% (3 Month USD LIBOR + 111 bps), 4/26/22 | 4,437,249 | ||
11,230,000(a) | Goldman Sachs Group, Inc., 1.575% (3 Month USD LIBOR + 136 bps), 4/23/21 | 11,261,977 | ||
5,880,000(a) | Goldman Sachs Group, Inc., 1.977% (3 Month USD LIBOR + 177 bps), 2/25/21 | 5,894,205 | ||
2,725,000(a) | JPMorgan Chase & Co., 0.846% (3 Month USD LIBOR + 61 bps), 6/18/22 | 2,731,195 | ||
11,800,000(a) | JPMorgan Chase & Co., 0.939% (3 Month USD LIBOR + 73 bps), 4/23/24 | 11,900,062 | ||
18,025,000(a) | JPMorgan Chase & Co., 1.325% (3 Month USD LIBOR + 110 bps), 6/7/21 | 18,090,270 | ||
11,294,000(a) | KeyBank NA, 0.43% (SOFRRATE + 34 bps), 1/3/24 | 11,297,501 | ||
2,905,000(a) | KeyBank NA, 0.874% (3 Month USD LIBOR + 66 bps), 2/1/22 | 2,921,894 | ||
8,000,000(a) | Macquarie Bank, Ltd., 0.682% (3 Month USD LIBOR + 45 bps), 8/6/21 (144A) | 8,018,149 | ||
2,968,000(a) | Mitsubishi UFJ Financial Group, Inc., 0.865% (3 Month USD LIBOR + 65 bps), 7/26/21 | 2,976,969 | ||
Principal Amount USD ($) | Value | |||
Banks - (continued) | ||||
3,000,000(a) | Mitsubishi UFJ Financial Group, Inc., 0.925% (3 Month USD LIBOR + 70 bps), 3/7/22 | $3,016,885 | ||
25,302,000(a) | Mitsubishi UFJ Financial Group, Inc., 1.005% (3 Month USD LIBOR + 79 bps), 7/25/22 | 25,507,929 | ||
6,295,000(a) | Mizuho Financial Group, Inc., 1.07% (3 Month USD LIBOR + 85 bps), 9/13/23 | 6,329,584 | ||
7,505,000(a) | Mizuho Financial Group, Inc., 1.101% (3 Month USD LIBOR + 88 bps), 9/11/22 | 7,589,369 | ||
14,679,000(a) | Mizuho Financial Group, Inc., 1.164% (3 Month USD LIBOR + 94 bps), 2/28/22 | 14,807,220 | ||
4,600,000 | Mizuho Financial Group, Inc., 2.632%, 4/12/21 (144A) | 4,629,040 | ||
12,580,000(a) | Morgan Stanley, 1.146% (3 Month USD LIBOR + 93 bps), 7/22/22 | 12,633,973 | ||
12,403,000(a) | Morgan Stanley, 1.398% (3 Month USD LIBOR + 118 bps), 1/20/22 | 12,409,326 | ||
12,114,000(a) | PNC Bank NA, 0.666% (3 Month USD LIBOR + 45 bps), 7/22/22 | 12,138,185 | ||
4,499,000(a) | PNC Bank NA, 0.717% (3 Month USD LIBOR + 50 bps), 7/27/22 | 4,525,532 | ||
9,000,000(a) | Royal Bank of Canada, 0.615% (3 Month USD LIBOR + 40 bps), 1/25/21 | 9,002,217 | ||
12,310,000(a) | Royal Bank of Canada, 0.683% (3 Month USD LIBOR + 47 bps), 4/29/22 | 12,370,193 | ||
4,800,000 | Royal Bank of Canada, 3.35%, 10/22/21 (144A) | 4,917,077 | ||
9,220,000(a) | Santander UK Plc, 0.845% (3 Month USD LIBOR + 62 bps), 6/1/21 | 9,241,093 | ||
15,252,000(a) | Skandinaviska Enskilda Banken AB, 0.865% (3 Month USD LIBOR + 65 bps), 12/12/22 (144A) | 15,383,848 | ||
13,625,000 | Skandinaviska Enskilda Banken AB, 3.25%, 5/17/21 (144A) | 13,767,845 | ||
11,850,000(a) | Standard Chartered Plc, 1.335% (SOFRRATE + 125 bps), 10/14/23 (144A) | 11,927,508 | ||
4,232,000(a) | Sumitomo Mitsui Financial Group, Inc., 0.958% (3 Month USD LIBOR + 74 bps), 10/18/22 | 4,270,663 | ||
21,084,000(a) | Sumitomo Mitsui Financial Group, Inc., 1.004% (3 Month USD LIBOR + 78 bps), 7/12/22 | 21,246,261 | ||
5,265,000(a) | Toronto-Dominion Bank, 0.755% (3 Month USD LIBOR + 53 bps), 12/1/22 | 5,307,293 | ||
1,000,000(a) | Toronto-Dominion Bank, 0.858% (3 Month USD LIBOR + 64 bps), 7/19/23 | 1,011,473 | ||
1,035,000(a) | Toronto-Dominion Bank, 1.22% (3 Month USD LIBOR + 100 bps), 4/7/21 | 1,037,651 | ||
5,000,000 | Toronto-Dominion Bank, 2.25%, 3/15/21 (144A) | 5,020,407 | ||
25,014,000(a) | Truist Bank, 0.812% (3 Month USD LIBOR + 59 bps), 5/17/22 | 25,166,049 | ||
10,670,000(a) | UBS Group AG, 1.744% (3 Month USD LIBOR + 153 bps), 2/1/22 (144A) | 10,829,583 | ||
5,768,000 | UBS Group AG, 3.0%, 4/15/21 (144A) | 5,812,538 | ||
1,315,000(a) | US Bank NA, 0.535% (3 Month USD LIBOR + 32 bps), 4/26/21 | 1,315,925 | ||
15,234,000(a) | Wells Fargo & Co., 1.144% (3 Month USD LIBOR + 93 bps), 2/11/22 | 15,246,932 | ||
14,665,000(a) | Wells Fargo & Co., 1.24% (3 Month USD LIBOR + 103 bps), 7/26/21 | 14,743,962 | ||
12,310,000(a) | Wells Fargo & Co., 1.571% (3 Month USD LIBOR + 134 bps), 3/4/21 | 12,336,851 | ||
9,451,000 | Wells Fargo & Co., 2.5%, 3/4/21 | 9,482,961 | ||
3,776,000 | Wells Fargo & Co., 3.0%, 1/22/21 | 3,780,907 | ||
6,430,000 | Wells Fargo & Co., 4.6%, 4/1/21 | 6,497,914 | ||
6,430,000(a) | Wells Fargo Bank NA, 0.853% (3 Month USD LIBOR + 62 bps), 5/27/22 | 6,443,240 | ||
Total Banks | $706,220,553 | |||
Beverages - 0.1% | ||||
2,753,000 | Constellation Brands, Inc., 3.75%, 5/1/21 | $2,782,699 | ||
Total Beverages | $2,782,699 | |||
Chemicals - 0.2% | ||||
8,788,000(a) | Albemarle Corp., 1.271% (3 Month USD LIBOR + 105 bps), 11/15/22 | $8,767,183 | ||
Total Chemicals | $8,767,183 | |||
Diversified Financial Services - 0.9% | ||||
12,490,000(a) | American Express Co., 0.824% (3 Month USD LIBOR + 61 bps), 8/1/22 | $12,578,170 | ||
1,400,000(a) | Aviation Capital Group LLC, 0.884% (3 Month USD LIBOR + 67 bps), 7/30/21 (144A) | 1,386,892 | ||
15,850,000(a) | Capital One Financial Corp., 0.934% (3 Month USD LIBOR + 72 bps), 1/30/23 | 15,925,594 | ||
9,158,000(a) | Charles Schwab Corp., 0.533% (3 Month USD LIBOR + 32 bps), 5/21/21 | 9,166,091 | ||
1,000,000(a) | Sussex Capital UK Pcc Ltd., 7.821% (3 Month U.S. Treasury Bill + 775 bps), 1/8/25 (144A) | 999,000 | ||
Total Diversified Financial Services | $40,055,747 | |||
Electric - 1.0% | ||||
6,440,000(a) | American Electric Power Co., Inc., 0.68% (3 Month USD LIBOR + 48 bps), 11/1/23 | $6,449,546 | ||
9,175,000(a) | Dominion Energy, Inc., 0.747% (3 Month USD LIBOR + 53 bps), 9/15/23 | 9,191,882 | ||
7,152,000(c) | Dominion Energy, Inc., 2.715%, 8/15/21 | 7,240,245 | ||
21,898,000(a) | Duke Energy Corp., 0.721% (3 Month USD LIBOR + 50 bps), 5/14/21 (144A) | 21,930,622 | ||
Total Electric | $44,812,295 | |||
Gas - 0.1% | ||||
6,225,000(a) | Dominion Energy Gas Holdings LLC, 0.817% (3 Month USD LIBOR + 60 bps), 6/15/21 | $6,239,255 | ||
Total Gas | $6,239,255 | |||
Insurance - 0.7% | ||||
2,705,000(a) | Allstate Corp., 0.681% (3 Month USD LIBOR + 43 bps), 3/29/21 | $2,707,364 | ||
1(d) | Ambac Assurance Corp., 5.1% (144A) | 1 | ||
2(a) | Ambac LSNI LLC, 6.0% (3 Month USD LIBOR + 500 bps), 2/12/23 (144A) | 3 | ||
6,680,000 | American International Group, Inc., 6.4%, 12/15/20 | – | ||
3,980,000 | Liberty Mutual Group, Inc., 5.0%, 6/1/21 (144A) | 4,053,702 | ||
4,380,000(a) | Metropolitan Life Global Funding I, 0.655% (SOFRRATE + 57 bps), 1/13/23 (144A) | 4,402,354 | ||
6,190,000 | Metropolitan Life Global Funding I, 2.4%, 1/8/21 (144A) | 6,191,258 | ||
4,531,000(a) | New York Life Global Funding, 0.552% (3 Month USD LIBOR + 32 bps), 8/6/21 (144A) | 4,538,047 | ||
2,500,000(a) | New York Life Global Funding, 0.664% (3 Month USD LIBOR + 44 bps), 7/12/22 (144A) | 2,515,104 | ||
5,733,000 | New York Life Global Funding, 2.95%, 1/28/21 (144A) | 5,742,956 | ||
Total Insurance | $30,150,789 | |||
Machinery-Construction & Mining - 0.4% | ||||
9,120,000(a) | Caterpillar Financial Services Corp., 0.612% (3 Month USD LIBOR + 39 bps), 5/17/21 | $9,132,147 | ||
9,091,000(a) | Caterpillar Financial Services Corp., 0.956% (3 Month USD LIBOR + 74 bps), 5/13/22 | 9,170,862 | ||
Total Machinery-Construction & Mining | $18,303,009 | |||
Machinery-Diversified - 0.1% | ||||
2,000(a) | John Deere Capital Corp., 0.49% (3 Month USD LIBOR + 26 bps), 9/10/21 | $ 2,003 | ||
Principal Amount USD ($) | Value | |||
Machinery-Diversified - (continued) | ||||
4,500,000(a) | John Deere Capital Corp., 0.625% (3 Month USD LIBOR + 40 bps), 6/7/21 | $4,506,617 | ||
Total Machinery-Diversified | $4,508,620 | |||
Media - 0.7% | ||||
5,092,000(a) | Comcast Corp., 0.678% (3 Month USD LIBOR + 44 bps), 10/1/21 | $5,107,675 | ||
4,570,000(a) | NBCUniversal Enterprise, Inc., 0.638% (3 Month USD LIBOR + 40 bps), 4/1/21 (144A) | 4,573,931 | ||
6,870,000(a) | Walt Disney Co., 0.475% (3 Month USD LIBOR + 25 bps), 9/1/21 | 6,877,715 | ||
9,910,000(a) | Walt Disney Co., 0.615% (3 Month USD LIBOR + 39 bps), 9/1/22 | 9,957,645 | ||
3,909,000 | Walt Disney Co., 4.5%, 2/15/21 | 3,927,242 | ||
Total Media | $30,444,208 | |||
Oil & Gas - 1.7% | ||||
2,775,000(a) | BP Capital Markets Plc, 0.889% (3 Month USD LIBOR + 65 bps), 9/19/22 | $2,781,097 | ||
5,766,000(a) | BP Capital Markets Plc, 1.089% (3 Month USD LIBOR + 87 bps), 9/16/21 | 5,795,059 | ||
1,172,000 | BP Capital Markets Plc, 3.161%, 3/17/21 | 1,177,039 | ||
8,430,000 | BP Capital Markets Plc, 3.561%, 11/1/21 | 8,654,525 | ||
7,045,000 | Canadian Natural Resources, Ltd., 3.45%, 11/15/21 | 7,171,246 | ||
2,295,000(a) | Chevron Corp., 0.762% (3 Month USD LIBOR + 53 bps), 3/3/22 | 2,306,936 | ||
16,885,000(a) | Chevron Corp., 1.105% (3 Month USD LIBOR + 90 bps), 5/11/23 | 17,194,435 | ||
11,405,000(a) | Exxon Mobil Corp., 0.551% (3 Month USD LIBOR + 33 bps), 8/16/22 | 11,446,518 | ||
8,710,000(a) | Phillips 66, 0.833% (3 Month USD LIBOR + 60 bps), 2/26/21 | 8,711,005 | ||
7,200,000(a) | Valero Energy Corp., 1.367% (3 Month USD LIBOR + 115 bps), 9/15/23 | 7,218,352 | ||
Total Oil & Gas | $72,456,212 | |||
Pharmaceuticals - 1.4% | ||||
12,080,000(a) | AbbVie, Inc., 0.563% (3 Month USD LIBOR + 35 bps), 5/21/21 | $12,091,656 | ||
4,480,000 | AbbVie, Inc., 5.0%, 12/15/21 | 4,624,967 | ||
4,670,000(a) | Bayer US Finance II LLC, 0.881% (3 Month USD LIBOR + 63 bps), 6/25/21 (144A) | 4,679,484 | ||
12,890,000(a) | Becton Dickinson & Co., 1.255% (3 Month USD LIBOR + 103 bps), 6/6/22 | 12,994,431 | ||
4,676,000(a) | Cardinal Health, Inc., 0.987% (3 Month USD LIBOR + 77 bps), 6/15/22 | 4,709,247 | ||
6,730,000(a) | Cigna Corp., 0.879% (3 Month USD LIBOR + 65 bps), 9/17/21 | 6,731,063 | ||
15,430,000(a) | Zoetis, Inc., 0.664% (3 Month USD LIBOR + 44 bps), 8/20/21 | 15,463,523 | ||
Total Pharmaceuticals | $61,294,371 | |||
Pipelines - 0.8% | ||||
9,000,000 | Enterprise Products Operating LLC, 2.8%, 2/15/21 | $9,025,408 | ||
3,750,000 | Enterprise Products Operating LLC, 2.85%, 4/15/21 | 3,768,309 | ||
3,453,000 | Kinder Morgan, Inc., 5.0%, 2/15/21 (144A) | 3,463,190 | ||
15,605,000(a) | MPLX LP, 1.33% (3 Month USD LIBOR + 110 bps), 9/9/22 | 15,607,646 | ||
1,380,000 | Sunoco Logistics Partners Operations LP, 4.4%, 4/1/21 | 1,388,626 | ||
Total Pipelines | $33,253,179 | |||
Semiconductors - 0.5% | ||||
23,276,000 | Broadcom Corp./Broadcom Cayman Finance, Ltd., 2.2%, 1/15/21 | $23,286,647 | ||
Total Semiconductors | $23,286,647 | |||
Telecommunications - 0.4% | ||||
17,944,000(a) | AT&T, Inc., 1.187% (3 Month USD LIBOR + 95 bps), 7/15/21 | $18,024,326 | ||
Total Telecommunications | $18,024,326 | |||
Trucking & Leasing - 0.4% | ||||
5,010,000(a) | GATX Corp., 0.945% (3 Month USD LIBOR + 72 bps), 11/5/21 | $5,021,418 | ||
1,000,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 3.3%, 4/1/21 (144A) | 1,004,596 | ||
10,121,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 3.375%, 2/1/22 (144A) | 10,389,294 | ||
2,870,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 3.65%, 7/29/21 (144A) | 2,914,295 | ||
Total Trucking & Leasing | $19,329,603 | |||
TOTAL CORPORATE BONDS | ||||
(Cost $1,202,025,476) | $1,211,737,741 | |||
INSURANCE-LINKED SECURITIES - 2.8% of Net Assets# | ||||
Event Linked Bonds - 2.0% | ||||
Earthquakes - California - 0.1% | ||||
1,000,000(a) | Ursa Re, 5.301% (3 Month U.S. Treasury Bill + 523 bps), 9/24/21 (144A) | $1,000,000 | ||
750,000(a) | Ursa Re, 5.821% (3 Month U.S. Treasury Bill + 575 bps), 12/10/22 (144A) | 750,225 | ||
4,000,000(a) | Ursa Re II, 3.821% (3 Month U.S. Treasury Bill + 375 bps), 12/7/23 (144A) | 4,013,600 | ||
$5,763,825 | ||||
Earthquakes - Chile - 0.0%† | ||||
1,800,000(a) | International Bank for Reconstruction & Development, 2.521% (3 Month USD LIBOR + 250 bps), 2/15/21 (144A) | $1,798,020 | ||
Earthquakes - Colombia - 0.0%† | ||||
1,300,000(a) | International Bank for Reconstruction & Development, 3.021% (3 Month USD LIBOR + 300 bps), 2/15/21 (144A) | $1,298,570 | ||
Earthquakes - Japan - 0.0%† | ||||
750,000(a) | Kizuna Re II, 1.946% (3 Month U.S. Treasury Bill + 188 bps), 4/11/23 (144A) | $ 748,500 | ||
250,000(a) | Kizuna Re II, 2.571% (3 Month U.S. Treasury Bill + 250 bps), 4/11/23 (144A) | 249,600 | ||
700,000(a) | Nakama Re, 2.2% (6 Month USD LIBOR + 220 bps), 10/13/21 (144A) | 699,020 | ||
$1,697,120 | ||||
Earthquakes - Mexico - 0.0%† | ||||
500,000(a) | International Bank for Reconstruction & Development, 3.64% (3 Month USD LIBOR + 350 bps), 3/13/24 (144A) | $ 500,150 | ||
Earthquakes - Peru - 0.0%† | ||||
700,000(a) | International Bank for Reconstruction & Development, 6.021% (3 Month USD LIBOR + 600 bps), 2/15/21 (144A) | $ 701,050 | ||
Principal Amount USD ($) | Value | |||
Health - U.S. - 0.2% | ||||
250,000(a) | Vitality Re VIII, 1.821% (3 Month U.S. Treasury Bill + 175 bps), 1/8/21 (144A) | $ 249,950 | ||
1,000,000(a) | Vitality Re VIII, 2.071% (3 Month U.S. Treasury Bill + 200 bps), 1/8/21 (144A) | 985,000 | ||
3,500,000(a) | Vitality Re X, 1.821% (3 Month U.S. Treasury Bill + 175 bps), 1/10/23 (144A) | 3,484,250 | ||
1,750,000(a) | Vitality Re X, 2.071% (3 Month U.S. Treasury Bill + 200 bps), 1/10/23 (144A) | 1,738,625 | ||
$6,457,825 | ||||
Inland Flood - U.S. - 0.0%† | ||||
500,000(a) | FloodSmart Re, 11.901% (1 Month U.S. Treasury Bill + 1,183 bps), 3/7/22 (144A) | $ 497,800 | ||
Multiperil - Florida - 0.0%† | ||||
250,000(a) | Sanders Re II, 5.571% (3 Month U.S. Treasury Bill + 550 bps), 6/7/23 (144A) | $ 253,875 | ||
Multiperil - Japan - 0.0%† | ||||
250,000(a) | Akibare Re, 2.128% (3 Month USD LIBOR + 190 bps), 4/7/22 (144A) | $ 247,700 | ||
500,000(a) | Akibare Re, 2.128% (3 Month USD LIBOR + 190 bps), 4/7/22 (144A) | 497,350 | ||
$ 745,050 | ||||
Multiperil - U.S. - 0.6% | ||||
1,500,000(a) | Bonanza Re, 4.821% (3 Month U.S. Treasury Bill + 475 bps), 2/20/24 (144A) | $1,506,450 | ||
250,000(a) | Bowline Re, Series Series 2018-1, 4.831% (3 Month U.S. Treasury Bill + 476 bps), 5/23/22 (144A) | 250,675 | ||
625,000(a) | Caelus Re V, 0.571% (1 Month U.S. Treasury Bill + 50 bps), 6/5/24 (144A) | 581,250 | ||
500,000(a) | Caelus Re V, 3.261% (3 Month U.S. Treasury Bill + 319 bps), 6/7/21 (144A) | 390,000 | ||
750,000(a) | Caelus Re V, 4.101% (3 Month U.S. Treasury Bill + 403 bps), 6/7/21 (144A) | 502,500 | ||
750,000(a) | Caelus Re VI, 5.571% (3 Month U.S. Treasury Bill + 550 bps), 6/7/24 (144A) | 763,800 | ||
4,500,000(a) | Easton Re Pte, 0.563% (3 Month U.S. Treasury Bill + 50 bps), 1/8/24 (144A) | 4,499,550 | ||
500,000(a) | Fortius Re II, 3.42% (6 Month USD LIBOR + 342 bps), 7/7/21 (144A) | 501,150 | ||
1,750,000(a) | Four Lakes Re, 7.071% (3 Month U.S. Treasury Bill + 700 bps), 1/5/24 (144A) | 1,749,300 | ||
500,000(a) | Herbie Re, 6.321% (3 Month U.S. Treasury Bill + 625 bps), 1/8/25 (144A) | 505,050 | ||
350,000(a) | Kilimanjaro II Re, 6.3% (6 Month USD LIBOR + 630 bps), 4/20/21 (144A) | 352,590 | ||
1,700,000(a) | Kilimanjaro II Re, 7.91% (6 Month USD LIBOR + 791 bps), 4/21/22 (144A) | 1,706,120 | ||
250,000(a) | Kilimanjaro Re, 4.978% (3 Month USD LIBOR + 494 bps), 5/6/22 (144A) | 250,975 | ||
2,100,000(a) | Residential Reinsurance 2017, 3.341% (3 Month U.S. Treasury Bill + 327 bps), 6/6/21 (144A) | 2,089,710 | ||
2,900,000(a) | Residential Reinsurance 2017, 6.001% (3 Month U.S. Treasury Bill + 593 bps), 12/6/21 (144A) | 2,901,450 | ||
1,250,000(a) | Residential Reinsurance 2018, 3.431% (3 Month U.S. Treasury Bill + 336 bps), 6/6/22 (144A) | 1,227,500 | ||
500,000(a) | Residential Reinsurance 2019, 4.721% (3 Month U.S. Treasury Bill + 465 bps), 6/6/23 (144A) | 492,150 | ||
500,000(a) | Residential Reinsurance 2020, 5.571% (3 Month U.S. Treasury Bill + 550 bps), 6/6/24 (144A) | 503,050 | ||
1,500,000(a) | Residential Reinsurance 2020, 6.321% (3 Month U.S. Treasury Bill + 625 bps), 12/6/24 (144A) | 1,509,000 | ||
250,000(a) | Sanders Re, 2.93% (6 Month USD LIBOR + 293 bps), 12/6/21 (144A) | 248,700 | ||
1,000,000(a) | Spectrum Capital, 5.75% (6 Month USD LIBOR + 575 bps), 6/8/21 (144A) | 1,002,300 | ||
3,350,000(a) | Tailwind Re, 7.431% (3 Month U.S. Treasury Bill + 736 bps), 1/8/22 (144A) | 3,391,205 | ||
$26,924,475 | ||||
Multiperil - U.S. & Canada - 0.1% | ||||
2,500,000(a) | Hypatia, 6.821% (3 Month U.S. Treasury Bill + 675 bps), 6/7/23 (144A) | $2,660,750 | ||
1,000,000(a) | Hypatia, 9.821% (3 Month U.S. Treasury Bill + 975 bps), 6/7/23 (144A) | 1,067,200 | ||
$3,727,950 | ||||
Multiperil - U.S. Regional - 0.1% | ||||
700,000(a) | First Coast Re II Pte, 5.66% (3 Month U.S. Treasury Bill + 566 bps), 6/7/23 (144A) | $ 706,440 | ||
1,250,000(a) | Long Point Re III, 2.813% (3 Month U.S. Treasury Bill + 275 bps), 6/1/22 (144A) | 1,250,750 | ||
400,000(a) | Matterhorn Re, 5.063% (3 Month U.S. Treasury Bill + 500 bps), 1/8/24 (144A) | 396,600 | ||
$2,353,790 | ||||
Multiperil - Worldwide - 0.2% | ||||
1,250,000(a) | Galilei Re, 5.174% (6 Month USD LIBOR + 513 bps), 1/8/21 (144A) | $1,250,000 | ||
1,150,000(a) | Galilei Re, 5.724% (6 Month USD LIBOR + 568 bps), 1/8/21 (144A) | 1,149,770 | ||
2,300,000(a) | Galilei Re, 5.924% (6 Month USD LIBOR + 588 bps), 1/8/21 (144A) | 2,299,770 | ||
500,000(a) | Kendall Re, 5.322% (3 Month USD LIBOR + 525 bps), 5/6/21 (144A) | 500,750 | ||
1,500,000(a) | Northshore Re II, 0.568% (3 Month U.S. Treasury Bill + 50 bps), 1/8/24 (144A) | 1,498,500 | ||
$6,698,790 | ||||
Pandemic - U.S. - 0.1% | ||||
3,000,000(a) | Vitality Re X, 1.571% (3 Month U.S. Treasury Bill + 150 bps), 1/9/24 (144A) | $2,982,900 | ||
1,250,000(a) | Vitality Re XI, 1.871% (3 Month U.S. Treasury Bill + 180 bps), 1/9/24 (144A) | 1,241,125 | ||
$4,224,025 | ||||
Pandemic - Worldwide - 0.0%† | ||||
1,750,000(a) | Vita Capital VI, 3.084% (6 Month USD LIBOR + 290 bps), 1/8/21 (144A) | $1,662,500 | ||
Windstorm - Florida - 0.1% | ||||
2,500,000(a) | Integrity Re, 4.05% (3 Month USD LIBOR + 405 bps), 6/10/22 (144A) | $2,493,750 | ||
Windstorm - Japan - 0.0%† | ||||
1,500,000(a) | Aozora Re, 2.534% (6 Month USD LIBOR + 200 bps), 4/7/21 (144A) | $1,497,000 | ||
Windstorm - Mexico - 0.0%† | ||||
500,000 | International Bank for Reconstruction & Development, 6.64%, 3/13/24 | $ 500,150 | ||
Windstorm - Texas - 0.1% | ||||
2,500,000(a) | Alamo Re II, 5.821% (1 Month U.S. Treasury Bill + 575 bps), 6/8/23 (144A) | $2,602,750 | ||
Windstorm - U.S. - 0.1% | ||||
2,000,000(a) | Bonanza Re, 4.821% (3 Month U.S. Treasury Bill + 475 bps), 12/23/24 (144A) | $1,999,000 | ||
250,000(a) | Bowline Re, 8.921% (3 Month U.S. Treasury Bill + 885 bps), 3/20/23 (144A) | 253,650 | ||
$2,252,650 | ||||
Windstorm - U.S. Regional - 0.3% | ||||
2,500,000 | Matterhorn Re, 12/7/21 (144A) | $2,318,250 | ||
Principal Amount USD ($) | Value | |||
Windstorm - U.S. Regional - (continued) | ||||
1,500,000(a) | Matterhorn Re, 6.313% (3 Month U.S. Treasury Bill + 625 bps), 12/7/21 (144A) | $1,509,300 | ||
250,000(a) | Matterhorn Re, 7.063% (3 Month U.S. Treasury Bill + 700 bps), 12/7/21 (144A) | 255,300 | ||
2,250,000(a) | Matterhorn Re, 10.063% (3 Month U.S. Treasury Bill + 1,000 bps), 12/7/21 (144A) | 2,306,925 | ||
2,000,000(a) | Matterhorn Re 2020-1, 7.563% (3 Month U.S. Treasury Bill + 750 bps), 12/7/21 (144A) | 2,004,200 | ||
1,500,000(a) | Matterhorn Re, 4.44% (3 Month USD LIBOR + 425 bps), 12/7/22 (144A) | 1,498,500 | ||
3,000,000(a) | Matterhorn Re, 5.69% (3 Month USD LIBOR + 550 bps), 12/7/22 (144A) | 2,997,000 | ||
$12,889,475 | ||||
Total Event Linked Bonds | $87,540,590 | |||
Face Amount USD ($) | Value | |||
Collateralized Reinsurance - 0.4% | ||||
Earthquakes - California - 0.0%† | ||||
2,500,000+(e)(f) | Adare Re 2020, 1/31/21 | $2,629,604 | ||
Multiperil – Massachusetts - 0.1% | ||||
3,000,000+(f) | Denning Re, 7/31/24 | $2,981,441 | ||
Multiperil - U.S. - 0.1% | ||||
500,000+(e) | Dingle Re 2019, 2/1/21 | $ 10,263 | ||
250,000+(e)(f) | Dingle Re 2020, 1/31/21 | 258,623 | ||
4,000,000+(e)(f) | Port Royal Re 2019, 5/31/21 | 4,106,528 | ||
$4,375,414 | ||||
Multiperil - U.S. & Canada - 0.1% | ||||
3,250,000+(e)(f) | Leven Re 2020, 1/31/21 | $3,299,725 | ||
Multiperil - U.S. Regional - 0.1% | ||||
2,750,000+(e)(f) | Ailsa Re 2019, 6/30/21 | $2,866,173 | ||
Multiperil - Worldwide - 0.0%† | ||||
1,000,000+(e)(f) | Cypress Re 2017, 1/31/22 | $100 | ||
24,000+(e) | Limestone Re 2016-1, 8/31/21 | 391 | ||
40,000+(e) | Limestone Re 2016-1, 8/31/21 | 652 | ||
223,000+(e)(f) | Limestone Re 2019-2, 3/1/23 (144A) | 391,499 | ||
2,500,000+(e)(f) | Resilience Re, 5/1/21 | 250 | ||
2,000,000+(e)(f) | Resilience Re, 4/6/21 (144A) | 200 | ||
$ 393,092 | ||||
Windstorm - Florida - 0.0%† | ||||
2,000,000+(e)(f) | Formby Re 2018, 2/28/21 | $ 353,832 | ||
800,000+(e)(f) | Portrush Re 2017, 6/15/21 | 510,480 | ||
$ 864,312 | ||||
Windstorm - U.S. Regional - 0.0%† | ||||
500,000+(e)(f) | Oakmont Re 2017, 4/30/21 | $ 14,700 | ||
Total Collateralized Reinsurance | $17,424,461 | |||
Industry Loss Warranties - 0.1% | ||||
Earthquakes – Bermuda - 0.1% | ||||
3,000,000+ | Celtic Manor Re 2020, 1/31/23 | $3,000,000 | ||
Multiperil - U.S. - 0.0%† | ||||
2,250,000+(e)(f) | Scotscraig Re 2020, 1/31/21 | $2,289,504 | ||
Total Industry Loss Warranties | $5,289,504 | |||
Reinsurance Sidecars - 0.3% | ||||
Multiperil - U.S. - 0.0%† | ||||
2,000,000+(e)(f) | Carnoustie Re 2017, 11/30/21 | $ 263,600 | ||
1,100,000+(e) | Carnoustie Re 2019, 12/31/22 | 2,090 | ||
1,500,000+(e)(f) | Castle Stuart Re 2018, 12/1/21 | 158,032 | ||
2,000,000+(f)(g) | Harambee Re 2018, 12/31/21 | 37,200 | ||
4,000,000+(g) | Harambee Re 2019, 12/31/22 | 64,800 | ||
$ 525,722 | ||||
Multiperil - Worldwide - 0.3% | ||||
2,000+(e) | Alturas Re 2019-1, 3/10/23 (144A) | $ 16,496 | ||
36,448+(g) | Alturas Re 2019-2, 3/10/22 | 169,250 | ||
2,500,000+(e)(f) | Bantry Re 2016, 3/31/21 | 201,500 | ||
2,000,000+(e)(f) | Bantry Re 2017, 3/31/21 | 116,882 | ||
2,000,000+(e)(f) | Bantry Re 2018, 12/31/21 | 22,800 | ||
4,000,000+(e) | Bantry Re 2019, 12/31/22 | 135,855 | ||
1,250,000+(e)(f) | Berwick Re 2017-1, 2/1/21 | 41,375 | ||
5,120,164+(e)(f) | Berwick Re 2018-1, 12/31/21 | 623,124 | ||
3,658,035+(e)(f) | Berwick Re 2019-1, 12/31/22 | 437,135 | ||
1,500,000+(g) | Blue Lotus Re 2018, 12/31/21 | 21,600 | ||
113,405+(e) | Eden Re II, 3/22/22 (144A) | 75,327 | ||
4,000+(e) | Eden Re II, 3/22/23 (144A) | 14,941 | ||
35,797+(e) | Eden Re II, 3/22/23 (144A) | 139,455 | ||
75,000+(e) | Eden Re II, 3/22/22 (144A) | 51,638 | ||
1,300,000+(e)(f) | Gleneagles Re 2016, 11/30/21 | 40,560 | ||
2,118,314+(e)(f) | Gullane Re 2018, 12/31/21 | 2,182,922 | ||
2,000+(e) | Limestone Re 2018, 3/1/22 | 20,705 | ||
500,000+(g) | Lion Rock Re 2019, 1/31/22 | 39,300 | ||
4,000,000+(f)(g) | Lorenz Re 2018, 7/1/21 | 47,600 | ||
2,744,544+(f)(g) | Lorenz Re 2019, 6/30/22 | 180,865 | ||
Face Amount USD ($) | Value | |||
Multiperil - Worldwide - (continued) | ||||
3,000,000+(e)(f) | Merion Re 2018-2, 12/31/21 | $3,373,024 | ||
977,820+(g) | NCM Re 2019, 12/31/22 | 115,089 | ||
1,500,000+(e) | Pangaea Re 2016-2, 11/30/21 | 2,675 | ||
2,000,000+(e)(f) | Pangaea Re 2018-1, 12/31/21 | 42,109 | ||
4,000,000+(e)(f) | Pangaea Re 2018-3, 7/1/22 | 82,974 | ||
2,800,000+(e)(f) | Pangaea Re 2019-1, 2/1/23 | 58,345 | ||
2,941,254+(e)(f) | Pangaea Re 2019-3, 7/1/23 | 105,800 | ||
2,400,000+(e)(f) | Sector Re V, 12/1/23 (144A) | 728,164 | ||
160,000+(e)(f) | Sector Re V, 12/1/24 (144A) | 401,019 | ||
800,000+(e)(f) | Sector Re V, Series 9, Class A, 3/1/24 (144A) | 343,440 | ||
1,861+(e) | Sector Re V, Series 9, Class G, 3/1/24 (144A) | 48,494 | ||
1,250,000+(e)(f) | St. Andrews Re 2017-1, 2/1/21 | 84,750 | ||
1,737,984+(e)(f) | St. Andrews Re 2017-4, 6/1/21 | 171,018 | ||
750,000+(f)(g) | Thopas Re 2018, 12/31/21 | – | ||
3,000,000+(f)(g) | Thopas Re 2019, 12/31/22 | 162,000 | ||
2,600,000+(e)(f) | Versutus Re 2017, 11/30/21 | – | ||
2,000,000+(e)(f) | Versutus Re 2018, 12/31/21 | – | ||
1,765,095+(e) | Versutus Re 2019-A, 12/31/21 | 70,957 | ||
1,434,906+(e) | Versutus Re 2019-B, 12/31/21 | 57,683 | ||
750,000+(f)(g) | Viribus Re 2018, 12/31/21 | – | ||
2,500,000+(g) | Viribus Re 2019, 12/31/22 | 102,500 | ||
1,724,784+(e)(f) | Woburn Re 2018, 12/31/21 | 158,914 | ||
809,418+(e)(f) | Woburn Re 2019, 12/31/22 | 272,538 | ||
$10,960,823 | ||||
Total Reinsurance Sidecars | $11,486,545 | |||
TOTAL INSURANCE-LINKED SECURITIES | ||||
(Cost $123,631,309) | $121,741,100 | |||
Principal Amount USD ($) | Value | |||
MUNICIPAL BOND - 0.0%† of Net Assets(h) | ||||
Municipal Student Loan - 0.0%† | ||||
48,664(a) | Louisiana Public Facilities Authority, Student Loan Backed, Series A, 1.111% (3 Month USD LIBOR + 90 bps), 4/26/27 | $ 48,716 | ||
Total Municipal Student Loan | $ 48,716 | |||
TOTAL MUNICIPAL BOND | ||||
(Cost $48,860) | $ 48,716 | |||
SENIOR SECURED FLOATING RATE LOAN INTERESTS - 4.4% of Net Assets*(a) | ||||
Aerospace & Defense - 0.1% | ||||
2,400,024 | American Airlines, Inc., 2018 Replacement Term Loan, 1.898% (LIBOR + 175 bps), 6/27/25 | $2,008,307 | ||
997,500 | MAG DS Corp., Initial Term Loan, 6.5% (LIBOR + 550 bps), 4/1/27 | 955,106 | ||
738,750 | MRO Holdings, Inc., Initial Term Loan, 5.254% (LIBOR + 500 bps), 6/4/26 | 646,406 | ||
1,000,000 | Spirit Aerosystems, Inc. (fka Mid-Western Aircraft Systems, Inc & Onex Wind Finance LP.), Initial Term Loan, 6.0% (LIBOR + 525 bps), 1/15/25 | 1,013,125 | ||
85,469 | United Airlines, Inc., Refinanced Term Loan, 1.895% (LIBOR + 175 bps), 4/1/24 | 83,840 | ||
Total Aerospace & Defense | $4,706,784 | |||
All Other - 0.0%† | ||||
1,000,000(i) | Adevinta ASA Facility B2, Term Loan, 10/22/27 | $1,001,875 | ||
Total All Other | $1,001,875 | |||
Automobile - 0.2% | ||||
1,831,768 | American Axle & Manufacturing, Inc., Tranche B Term Loan, 3.0% (LIBOR + 225 bps), 4/6/24 | $1,810,016 | ||
2,000,000 | Dana, Inc., 2018 New Term Loan B Advance, 2.397% (LIBOR + 225 bps), 2/27/26 | 1,995,000 | ||
1,000,000 | Highline Aftermarket Acquisition LLC, First Lien Initial Term Loan, 5.25% (LIBOR + 450 bps), 11/9/27 | 1,007,500 | ||
1,994,872 | Navistar, Inc., Tranche B Term Loan, 3.66% (LIBOR + 350 bps), 11/6/24 | 1,996,119 | ||
291,667 | Visteon Corp., New Term Loan, 1.908% (LIBOR + 175 bps), 3/25/24 | 288,932 | ||
265,844 | Wabash National Corp., Term B Loan, 4.0% (LIBOR + 325 bps), 9/28/27 | 265,179 | ||
Total Automobile | $7,362,746 | |||
Beverage, Food & Tobacco - 0.0%† | ||||
987,500 | US Foods, Inc. (aka U.S. Foodservice, Inc.), Incremental B-2019 Term Loan, 2.147% (LIBOR + 200 bps), 9/13/26 | $ 973,248 | ||
Total Beverage, Food & Tobacco | $ 973,248 | |||
Broadcasting & Entertainment - 0.1% | ||||
1,087,297 | Gray Television, Inc., Term B-2 Loan, 2.405% (LIBOR + 225 bps), 2/7/24 | $1,078,916 | ||
4,000,001 | Gray Television, Inc., Term C Loan, 2.655% (LIBOR + 250 bps), 1/2/26 | 3,978,333 | ||
Total Broadcasting & Entertainment | $5,057,249 | |||
Building Materials - 0.1% | ||||
1,091,190 | Circor International, Inc., New Term Loan, 4.25% (LIBOR + 325 bps), 12/11/24 | $1,083,688 | ||
2,718,939 | Summit Materials LLC, New Term Loan, 2.145% (LIBOR + 200 bps), 11/21/24 | 2,709,309 | ||
Total Building Materials | $3,792,997 | |||
Buildings & Real Estate - 0.1% | ||||
2,411,264 | Beacon Roofing Supply, Inc., Initial Term Loan, 2.397% (LIBOR + 225 bps), 1/2/25 | $2,398,706 | ||
1,250,000 | Potters Industries LLC, Initial Term Loan, 4.75% (LIBOR + 400 bps), 12/14/27 | 1,253,125 | ||
2,100,000 | VICI Properties 1 LLC, Term B Loan, 1.894% (LIBOR + 175 bps), 12/20/24 | 2,070,249 | ||
Principal Amount USD ($) | Value | |||
Buildings & Real Estate - (continued) | ||||
633,963 | WireCo WorldGroup, Inc. (WireCo WorldGroup Finance LP), First Lien Initial Term Loan, 6.0% (LIBOR + 500 bps), 9/29/23 | $ 608,010 | ||
Total Buildings & Real Estate | $6,330,090 | |||
Chemicals - 0.1% | ||||
2,050,000 | Avantor Funding, Inc., Incremental B-4 Dollar Term Loan, 3.5% (LIBOR + 250 bps), 11/8/27 | $2,055,125 | ||
1,994,962 | Element Solutions, Inc. (Macdermid, Inc.), Tranche B-1 Term Loan, 1/31/26 | 1,979,168 | ||
1,000,000(i) | Gemini HDPE LLC Term Loan B, 12/10/27 | 996,250 | ||
Total Chemicals | $5,030,543 | |||
Chemicals, Plastics & Rubber - 0.3% | ||||
2,389,903 | Axalta Coating Systems Dutch Holding B BV (Axalta Coating Systems U.S. Holdings, Inc.), Term B-3 Dollar Loan, 2.004% (LIBOR + 175 bps), 6/1/24 | $2,375,339 | ||
1,988,852 | Berry Global, Inc. (fka Berry Plastics Corp.), Term X Loan, 2.149% (LIBOR + 200 bps), 1/19/24 | 1,984,345 | ||
4,432,500 | Berry Global, Inc. (fka Berry Plastics Corp.), Term Y Loan, 2.149% (LIBOR + 200 bps), 7/1/26 | 4,418,648 | ||
1,278,786 | PQ Corp., Third Amendment Tranche B-1 Term Loan, 2.464% (LIBOR + 225 bps), 2/7/27 | 1,273,990 | ||
364,463 | Reynolds Group Holdings, Inc., Tranche B-1 US Term Loan, 2.897% (LIBOR + 275 bps), 2/5/23 | 363,233 | ||
3,978,043 | Tronox Finance LLC, First Lien Initial Dollar Term Loan, 3.197% (LIBOR + 300 bps), 9/23/24 | 3,964,991 | ||
74,653 | Twist Beauty International Holdings SA, Facility B2, 4.0% (LIBOR + 300 bps), 4/22/24 | 70,640 | ||
Total Chemicals, Plastics & Rubber | $14,451,186 | |||
Computers & Electronics - 0.3% | ||||
2,600,000 | Ahead DB Holdings LLC, First Lien Initial Term Loan, 6.0% (LIBOR + 500 bps), 10/18/27 | $2,567,500 | ||
700,000 | Celestica, Inc., Incremental Term B-2 Loan, 2.648% (LIBOR + 250 bps), 6/27/25 | 695,625 | ||
343,750 | Energizer Holdings, Inc., First Lien Term Loan, 2.75% (LIBOR + 250 bps) 12/22/27 | 344,396 | ||
406,250(i) | Energizer Holdings, Inc., Incremental Term Loan, 12/16/27 | 407,014 | ||
750,000(i) | Flexera Software LLC (fka Flexera Software, Inc.) First Lien Term Loan, 1/26/28 | 750,937 | ||
1,150,000 | LogMeIn, Inc., First Lien Initial Term Loan, 4.903% (LIBOR + 475 bps), 8/31/27 | 1,147,844 | ||
3,467,443 | NCR Corp., Initial Term Loan, 2.65% (LIBOR + 250 bps), 8/28/26 | 3,424,100 | ||
1,949,367 | Pitney Bowes, Inc., Incremental Tranche B Term Loan, 5.65% (LIBOR + 550 bps), 1/7/25 | 1,942,870 | ||
Total Computers & Electronics | $11,280,286 | |||
Consumer Services - 0.0%† | ||||
930,513 | Prime Security Services Borrower LLC (aka Protection 1 Security Solutions), First Lien 2019 Refinancing Term B-1 Loan, 4.25% (LIBOR + 325 bps), 9/23/26 | $ 933,770 | ||
Total Consumer Services | $ 933,770 | |||
Diversified & Conglomerate Manufacturing - 0.0%† | ||||
904,422 | Delos Finance S.a.r.l., New Term Loan, 2.004% (LIBOR + 175 bps), 10/6/23 | $ 904,422 | ||
Total Diversified & Conglomerate Manufacturing | $ 904,422 | |||
Diversified & Conglomerate Service - 0.2% | ||||
1,000,000 | Albany Molecular Research, Inc., First Lien 2020 Term Loan, 4.5% (LIBOR + 350 bps), 8/30/24 | $1,008,125 | ||
1,985,784 | Avis Budget Car Rental LLC, New Tranche B Term Loan, 2.4% (LIBOR + 225 bps), 8/6/27 | 1,931,175 | ||
965,784 | Change Healthcare Holdings LLC, Closing Date Term Loan, 3.5% (LIBOR + 250 bps), 3/1/24 | 962,632 | ||
486,453 | DG Investment Intermediate Holdings 2, Inc. (aka Convergint Technologies Holdings LLC), First Lien Initial Term Loan, 3.75% (LIBOR + 300 bps), 2/3/25 | 482,501 | ||
462,482 | DTI Holdco, Inc., Replacement B-1 Term Loan, 5.75% (LIBOR + 475 bps), 9/29/23 | 416,176 | ||
1,935,000 | Iqvia, Inc. (Quintiles IMS), Incremental Term B-2 Dollar Loan, 1.897% (LIBOR + 175 bps), 1/17/25 | 1,927,502 | ||
1,475,298 | Outfront Media Capital LLC (Outfront Media Capital Corp.), Extended Term Loan, 1.902% (LIBOR + 175 bps), 11/18/26 | 1,453,015 | ||
Total Diversified & Conglomerate Service | $8,181,126 | |||
Electric & Electrical - 0.1% | ||||
1,979,747 | Dell International LLC (EMC Corp.), Refinancing Term B-1 Loan, 2.75% (LIBOR + 200 bps), 9/19/25 | $1,983,364 | ||
388,848 | Rackspace Technology Global, Inc., First Lien Term B Loan, 4.0% (LIBOR + 300 bps), 11/3/23 | 389,010 | ||
Total Electric & Electrical | $2,372,374 | |||
Electronics - 0.2% | ||||
696,500 | BY Crown Parent LLC, Initial B-1 Term Loan, 4.0% (LIBOR + 300 bps), 2/2/26 | $ 696,500 | ||
1,704,681 | Science Applications International Corp., Tranche B2 Term Loan, 2.397% (LIBOR + 225 bps), 3/12/27 | 1,705,747 | ||
2,345,931 | Scientific Games International, Inc., Initial Term B-5 Loan, 2.897% (LIBOR + 275 bps), 8/14/24 | 2,297,546 | ||
1,994,832 | Verint Systems, Inc., Refinancing Term Loan, 2.155% (LIBOR + 200 bps), 6/28/24 | 1,994,832 | ||
1,166,806 | Western Digital Corp., US Term B-4 Loan, 1.897% (LIBOR + 175 bps), 4/29/23 | 1,166,952 | ||
Total Electronics | $7,861,577 | |||
Entertainment & Leisure - 0.0%† | ||||
1,492,500 | Carnival Corp., Initial Advance, 8.5% (LIBOR + 750 bps), 6/30/25 | $1,546,230 | ||
Total Entertainment & Leisure | $1,546,230 | |||
Environmental Services - 0.0%† | ||||
1,330,815 | GFL Environmental, Inc., 2020 Refinancing Term Loan, 3.5% (LIBOR + 300 bps), 5/30/25 | $1,334,327 | ||
Total Environmental Services | $1,334,327 | |||
Financial Services - 0.2% | ||||
1,990,000 | Cardtronics USA, Inc., Initial Term Loan, 5.0% (LIBOR + 400 bps), 6/29/27 | $1,994,478 | ||
1,496,222 | Citadel Securities LP, 2020 Repriced Term Loan, 2.897% (LIBOR + 275 bps), 2/27/26 | 1,499,338 | ||
493,897 | EFS Cogen Holdings I LLC, Term B Loan, 4.5% (LIBOR + 350 bps), 10/1/27 | 492,971 | ||
994,975 | Hudson River Trading LLC, 2020 Repriced Term Loan, 3.147% (LIBOR + 300 bps), 2/18/27 | 995,804 | ||
2,000,000(i) | Trans Union LLC, 2019 Replacement Term B-5 Loan, 12/30/99 | 1,997,292 | ||
Total Financial Services | $6,979,883 | |||
Healthcare - 0.2% | ||||
1,000,000 | ADMI Corp. (aka Aspen Dental) Amendment No. 3 Incremental Term Loan, 4.75% (LIBOR + 400 bps), 12/23/37 | $1,002,750 | ||
Principal Amount USD ($) | Value | |||
Healthcare - (continued) | ||||
500,000 | CNT Holdings I Corp, First Lien Initial Term Loan, 4.5% (LIBOR + 375 bps), 11/8/27 | $ 500,848 | ||
2,516,300 | Grifols Worldwide Operations, Ltd., Dollar Tranche B Term Loan, 2.102% (LIBOR + 200 bps), 11/15/27 | 2,493,384 | ||
2,358,343 | Horizon Therapeutics USA, Inc., Seventh Amendment Refinancing Term Loan, 2.188% (LIBOR + 200 bps), 5/22/26 | 2,351,464 | ||
985,075 | Service Logic Acquisition, Inc., First Lien Closing Date Initial Term Loan, 4.75% (LIBOR + 400 bps), 10/29/27 | 986,306 | ||
Total Healthcare | $7,334,752 | |||
Healthcare & Pharmaceuticals - 0.2% | ||||
1,256,419 | Acadia Healthcare Co., Inc., Tranche B-4 Term Loan, 2.647% (LIBOR + 250 bps), 2/16/23 | $1,254,063 | ||
1,061,053 | Alkermes, Inc., 2023 Term Loan, 2.41% (LIBOR + 225 bps), 3/27/23 | 1,061,053 | ||
967,500 | Alphabet Holding Co., Inc. (aka Nature's Bounty), First Lien Initial Term Loan, 3.647% (LIBOR + 350 bps), 9/26/24 | 960,949 | ||
1,200,000 | Milano Acquisition Corp., First Lien Term B Loan, 4.75% (LIBOR + 400 bps), 10/1/27 | 1,203,000 | ||
1,497,792 | NMN Holdings III Corp., First Lien Closing Date Term Loan, 3.679% (LIBOR + 350 bps), 11/13/25 | 1,475,325 | ||
321,632 | NMN Holdings III Corp., First Lien Delayed Draw Term Loan, 3.679% (LIBOR + 350 bps), 11/13/25 | 316,808 | ||
243,045 | Prestige Brands, Inc., Term B-4 Loan, 2.147% (LIBOR + 200 bps), 1/26/24 | 243,830 | ||
1,189,261 | Sotera Health Holdings LLC, First Lien Initial Term Loan, 5.5% (LIBOR + 450 bps), 12/11/26 | 1,195,356 | ||
Total Healthcare & Pharmaceuticals | $7,710,384 | |||
Healthcare, Education & Childcare - 0.2% | ||||
1,022,131 | ATI Holdings Acquisition, Inc., First Lien Initial Term Loan, 4.5% (LIBOR + 350 bps), 5/10/23 | $1,004,243 | ||
2,062,500 | Bausch Health Cos., Inc. (fka Valeant Pharmaceuticals International, Inc.), First Incremental Term Loan, 2.898% (LIBOR + 275 bps), 11/27/25 | 2,047,159 | ||
2,332,421 | Bausch Health Cos., Inc. (fka Valeant Pharmaceuticals International, Inc.), Initial Term Loan, 3.148% (LIBOR + 300 bps), 6/2/25 | 2,326,227 | ||
3,125,541 | LifePoint Health, Inc. (fka Regionalcare Hospital Partners Holdings, Inc.), First Lien Term B Loan, 3.897% (LIBOR + 375 bps), 11/16/25 | 3,123,400 | ||
1,473,750 | Vizient, Inc., Term B-6 Loan, 2.147% (LIBOR + 200 bps), 5/6/26 | 1,468,838 | ||
Total Healthcare, Education & Childcare | $9,969,867 | |||
Home Furnishings - 0.0%† | ||||
500,000 | Weber-Stephen Products LLC, Initial Term B Loan, 4.0% (LIBOR + 325 bps), 10/30/27 | $ 501,384 | ||
Total Home Furnishings | $ 501,384 | |||
Hotel, Gaming & Leisure - 0.1% | ||||
1,200,100 | 1011778 B.C. Unlimited Liability Co. (New Red Finance, Inc.) (aka Burger King/Tim Hortons), Term B-4 Loan, 1.897% (LIBOR + 175 bps), 11/19/26 | $1,182,942 | ||
1,984,219 | Boyd Gaming Corp., Refinancing Term B Loan, 2.352% (LIBOR + 225 bps), 9/15/23 | 1,973,057 | ||
1,653,175 | Flutter Entertainment Plc, USD Term Loan, 3.754% (LIBOR + 350 bps), 7/10/25 | 1,660,867 | ||
Total Hotel, Gaming & Leisure | $4,816,866 | |||
Insurance - 0.2% | ||||
985,000 | Alliant Holdings Intermediate LLC, 2019 New Term Loan, 3.397% (LIBOR + 325 bps), 5/9/25 | $ 970,302 | ||
68,733 | Alliant Holdings Intermediate LLC, Initial Term Loan, 3.397% (LIBOR + 325 bps), 5/9/25 | 67,649 | ||
1,197,343 | Asurion LLC (fka Asurion Corp.) New B-8 Term Loan, 12/23/26 | 1,186,866 | ||
4,235,220 | Asurion LLC (fka Asurion Corp.), New B-7 Term Loan, 3.147% (LIBOR + 300 bps), 11/3/24 | 4,210,071 | ||
382,498 | Confie Seguros Holding II Co., Term B Loan, 5.75% (LIBOR + 475 bps), 4/19/22 | 377,922 | ||
491,583 | Integro Parent, Inc., First Lien Initial Term Loan, 6.75% (LIBOR + 575 bps), 10/31/22 | 476,836 | ||
338,625 | USI, Inc. (fka Compass Investors, Inc.), 2017 New Term Loan, 3.254% (LIBOR + 300 bps), 5/16/24 | 334,357 | ||
Total Insurance | $7,624,003 | |||
Leasing - 0.1% | ||||
500,000 | Avolon TLB Borrower 1 (US) LLC Term B-5 Loan, 3.25% (LIBOR + 250 bps), 12/1/27 | $ 500,938 | ||
1,144,959 | Avolon TLB Borrower 1 (US) LLC, Term B-3 Loan, 2.5% (LIBOR + 175 bps), 1/15/25 | 1,136,306 | ||
1,375,100 | Avolon TLB Borrower 1 (US) LLC, Term B-4 Loan, 2.25% (LIBOR + 150 bps), 2/12/27 | 1,357,420 | ||
1,068,151 | Fly Funding II S.a.r.l., Replacement Term Loan, 2.0% (LIBOR + 175 bps), 8/11/25 | 1,026,093 | ||
972,500 | IBC Capital I, Ltd. (aka Goodpack, Ltd.), First Lien Tranche B-1 Term Loan, 3.986% (LIBOR + 375 bps), 9/11/23 | 963,585 | ||
Total Leasing | $4,984,342 | |||
Leisure & Entertainment - 0.0%† | ||||
718,479(j) | 24 Hour Fitness Worldwide, Inc., Term Loan, 3.647% (LIBOR + 350 bps/PRIME + 250 bps), 5/30/25 | $ 19,758 | ||
500,000(i) | E.W. Scripps Co., Term Loan B3, 12/15/27 | 501,327 | ||
1,220,288 | Fitness International LLC, Term B Loan, 4.25% (LIBOR + 325 bps), 4/18/25 | 1,109,700 | ||
Total Leisure & Entertainment | $1,630,785 | |||
Machinery - 0.1% | ||||
95,697 | Clark Equipment Co. (aka Doosan Bobcat, Inc.), Repriced 2019 Term Loan, 2.004% (LIBOR + 175 bps), 5/18/24 | $ 95,126 | ||
1,234,571 | CTC AcquiCo GmbH, Facility B2, 2.897% (LIBOR + 275 bps), 3/7/25 | 1,191,361 | ||
139,717 | Gardner Denver, Inc., 2020 GDI Tranche B-2 Dollar Term Loan, 1.897% (LIBOR + 175 bps), 3/1/27 | 138,045 | ||
22,381 | NN, Inc., Tranche B Term Loan, 6.5% (LIBOR + 575 bps), 10/19/22 | 22,325 | ||
2,724,474 | Terex Corp., 2019 US Term Loan Commitments, 3.5% (LIBOR + 275 bps), 1/31/24 | 2,710,852 | ||
291,244 | Terex Corp., Incremental US Term Loan, 2.75% (LIBOR + 200 bps), 1/31/24 | 289,059 | ||
Total Machinery | $4,446,768 | |||
Principal Amount USD ($) | Value | |||
Media - 0.1% | ||||
1,342,138 | CSC Holdings LLC (fka CSC Holdings, Inc. (Cablevision)), October 2018 Incremental Term Loan, 2.409% (LIBOR + 225 bps), 1/15/26 | $1,323,443 | ||
2,175,000 | Ziggo Financing Partnership, Term Loan I Facility, 2.659% (LIBOR + 250 bps), 4/30/28 | 2,160,047 | ||
Total Media | $3,483,490 | |||
Metals & Mining - 0.1% | ||||
860,223 | Atkore International, Inc., First Lien Initial Incremental Term Loan, 3.75% (LIBOR + 275 bps), 12/22/23 | $ 864,253 | ||
770,713 | BWay Holding Co., Initial Term Loan, 3.48% (LIBOR + 325 bps), 4/3/24 | 747,592 | ||
1,822,342 | Phoenix Guarantor, Inc. (aka Brightspring), First Lien Tranche B-1 Term Loan, 3.402% (LIBOR + 325 bps), 3/5/26 | 1,815,793 | ||
Total Metals & Mining | $3,427,638 | |||
Oil & Gas - 0.1% | ||||
3,561,174 | Centurion Pipeline Co. LLC (fka Lotus Midstream LLC), Initial Term Loan, 3.397% (LIBOR + 325 bps), 9/29/25 | $3,561,174 | ||
Total Oil & Gas | $3,561,174 | |||
Personal, Food & Miscellaneous Services - 0.0%† | ||||
1,212,750 | Option Care Health, Inc., Term B Loan, 4.397% (LIBOR + 425 bps), 8/6/26 | $1,212,498 | ||
Total Personal, Food & Miscellaneous Services | $1,212,498 | |||
Printing & Publishing - 0.0%† | ||||
1,198,659 | Red Ventures LLC (New Imagitas, Inc.), First Lien Term B-2 Loan, 2.647% (Libor + 250 bps), 11/8/24 | $1,181,429 | ||
Total Printing & Publishing | $1,181,429 | |||
Professional & Business Services - 0.2% | ||||
1,970,000 | Amentum Government Services Holdings LLC, First Lien Tranche 2 Term Loan, 5.5% (LIBOR + 475 bps), 1/29/27 | $1,987,238 | ||
987,500 | Clear Channel Outdoor Holdings, Inc., Term B Loan, 3.714% (LIBOR + 350 bps), 8/21/26 | 952,732 | ||
2,922,325 | Elanco Animal Health, Inc., Term Loan, 1.905% (LIBOR + 175 bps), 8/1/27 | 2,901,319 | ||
1,231,250 | MYOB US Borrower LLC, First Lien Initial US Term Loan, 4.147% (LIBOR + 400 bps), 5/6/26 | 1,211,242 | ||
1,994,987 | Nielsen Finance LLC, Dollar Term B-5 Loan, 4.75% (LIBOR + 375 bps), 6/4/25 | 2,014,937 | ||
750,000(i) | Pre-Paid Legal Services, Inc. (aka LegalShield), Incremental Term Loan, 5/1/25 | 753,750 | ||
919,509 | Victory Capital Holdings, Inc., Tranche B-1 Term Loan, 2.734% (LIBOR + 250 bps), 7/1/26 | 917,594 | ||
Total Professional & Business Services | $10,738,812 | |||
Retail - 0.1% | ||||
1,596,000 | Asplundh Tree Expert LLC, Initial Term Loan, 2.647% (LIBOR + 250 bps), 9/7/27 | $1,602,841 | ||
725,625 | Bass Pro Group LLC, Initial Term Loan, 5.75% (LIBOR + 500 bps), 9/25/24 | 728,856 | ||
2,366,431 | KFC Holding Co. (aka Yum! Brands), 2018 Term B Loan, 1.908% (LIBOR + 175 bps), 4/3/25 | 2,357,556 | ||
Total Retail | $4,689,253 | |||
Securities & Trusts - 0.0%† | ||||
295,070 | RPI Intermediate Finance Trust, Term B-1 Term Facility, 1.897% (LIBOR + 175 bps), 2/11/27 | $ 295,316 | ||
Total Securities & Trusts | $ 295,316 | |||
Telecommunications - 0.4% | ||||
5,009,450 | CenturyLink, Inc., Term B Loan, 2.397% (LIBOR + 225 bps), 3/15/27 | $4,958,313 | ||
2,481,002 | Ciena Corp., Refinancing Term Loan, 1.902% (LIBOR + 175 bps), 9/26/25 | 2,479,451 | ||
2,423,630 | Go Daddy Operating Co. LLC (GD Finance Co., Inc.), Tranche B-2 Term Loan, 1.897% (LIBOR + 175 bps), 2/15/24 | 2,420,601 | ||
1,243,750 | Go Daddy Operating Co. LLC (GD Finance Co., Inc.), Tranche B-3 Term Loan, 2.647% (LIBOR + 250 bps), 8/10/27 | 1,251,782 | ||
3,990,234 | Level 3 Financing, Inc., Tranche B 2027 Term Loan, 1.897% (LIBOR + 175 bps), 3/1/27 | 3,936,083 | ||
1,484,673 | Virgin Media Bristol LLC, N Facility, 2.659% (LIBOR + 250 bps), 1/31/28 | 1,472,742 | ||
1,025,000(i) | Virgin Media Bristol LLC, Term Q Loan, 1/31/29 | 1,025,320 | ||
Total Telecommunications | $17,544,292 | |||
Transportation - 0.1% | ||||
2,401,000 | Envision Healthcare Corp., Initial Term Loan, 3.897% (LIBOR + 375 bps), 10/10/25 | $2,015,839 | ||
64,381 | Syncreon Group BV, Second Out Term Loan, 7.0% (LIBOR + 600 bps), 4/1/25 | 62,288 | ||
Total Transportation | $2,078,127 | |||
Utilities - 0.2% | ||||
1,032,872 | APLP Holdings, Ltd. Partnership, Term Loan, 3.5% (LIBOR + 250 bps), 4/14/25 | $1,033,518 | ||
751,750 | Calpine Construction Finance Co., LP, Term B Loan, 2.147% (LIBOR + 200 bps), 1/15/25 | 744,075 | ||
493,750 | Calpine Corp., Term Loan, 2.147% (LIBOR + 200 bps), 8/12/26 | 488,161 | ||
1,928,668 | Compass Power Generation, LLC, Tranche B-1 Term Loan, 4.5% (LIBOR + 350 bps), 12/20/24 | 1,882,461 | ||
2,471,819 | Eastern Power LLC (Eastern Covert Midco LLC) (aka TPF II LC LLC), Term Loan, 4.75% (LIBOR + 375 bps), 10/2/25 | 2,329,909 | ||
564,196 | Vistra Operations Co. LLC (fka Tex Operations Co. LLC), 2018 Incremental Term Loan, 1.898% (LIBOR + 175 bps), 12/31/25 | 563,373 | ||
Total Utilities | $7,041,497 | |||
TOTAL SENIOR SECURED FLOATING RATE LOAN INTERESTS | ||||
(Cost $195,947,968) | $194,373,390 | |||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 10.2% of Net Assets | ||||
10,000,000 | Fannie Mae, 1.5%, 1/1/36 (TBA) | $10,289,063 | ||
15,000,000 | Fannie Mae, 1.5%, 1/1/51 (TBA) | 15,155,273 | ||
20,000,000 | Fannie Mae, 1.5%, 2/1/51 (TBA) | 20,184,462 | ||
30,000,000 | Fannie Mae, 2.0%, 1/1/36 (TBA) | 31,364,063 | ||
46,500,000 | Fannie Mae, 2.0%, 1/1/51 (TBA) | 48,303,691 | ||
60,000,000 | Fannie Mae, 2.0%, 2/1/51 (TBA) | 62,222,136 | ||
6,552(a) | Fannie Mae, 2.283% (1 Year CMT Index + 210 bps), 9/1/32 | 6,699 | ||
15,000,000 | Fannie Mae, 2.5%, 2/1/51 (TBA) | 15,785,807 | ||
Principal Amount USD ($) | Value | |||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - (continued) | ||||
105(a) | Fannie Mae, 2.54% (1 Year CMT Index + 225 bps), 11/1/23 | $ 105 | ||
4,962(a) | Fannie Mae, 2.702% (2 Month USD LIBOR + 167 bps), 1/1/48 | 5,047 | ||
6,784(a) | Fannie Mae, 3.294% (1 Year CMT Index + 219 bps), 10/1/32 | 6,784 | ||
6,046(a) | Fannie Mae, 3.795% (1 Year CMT Index + 217 bps), 2/1/34 | 5,991 | ||
1,547(a) | Federal Home Loan Mortgage Corp., 2.375% (2 Month USD LIBOR + 200 bps), 11/1/33 | 1,550 | ||
418(a) | Federal Home Loan Mortgage Corp., 2.708% (1 Year CMT Index + 230 bps), 10/1/23 | 417 | ||
879(a) | Federal Home Loan Mortgage Corp., 4.371% (5 Year CMT Index + 212 bps), 6/1/35 | 889 | ||
908(a) | Government National Mortgage Association II, 3.0% (1 Year CMT Index + 150 bps), 1/20/22 | 914 | ||
110,000,000(k) | U.S. Treasury Bills, 1/5/21 | 109,999,985 | ||
100,690,000(k) | U.S. Treasury Bills, 1/12/21 | 100,689,105 | ||
11,700,000 | U.S. Treasury Note, 2.25%, 7/31/21 | 11,843,508 | ||
25,000,000 | U.S. Treasury Note, 2.875%, 10/15/21 | 25,538,086 | ||
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS | ||||
(Cost $450,986,501) | $451,403,575 | |||
TEMPORARY CASH INVESTMENTS - 3.8% of Net Assets | ||||
COMMERCIAL PAPERS - 1.2% | ||||
2,000,000 | CenterPoint Energy, 0.12%, 1/4/21 | $1,999,975 | ||
15,780,000 | Commonwealth, 0.1%, 1/4/21 | 15,779,773 | ||
18,400,000 | Energy Transfer, 0.6%, 1/4/21 | 18,399,183 | ||
18,400,000 | Prudential Funding LLC, 0.11%, 1/6/21 | 18,399,755 | ||
$54,578,686 | ||||
CERTIFICATE OF DEPOSIT - 0.1% | ||||
6,100,000(a) | Lloyds Bank Corporate Markets Plc, 0.768% (3 Month USD LIBOR + 55 bps), 7/19/21 | $6,114,114 | ||
REPURCHASE AGREEMENTS - 2.5% | ||||
22,950,000 | $22,950,000 Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.07%, dated 12/31/20 plus accrued interest on 1/2/21 collateralized by $23,409,000 U.S. Treasury Bond, 4.5%, 5/15/38. | $22,950,000 | ||
28,840,000 | $28,480,000 RBC Capital Markets LLC, 0.07%, dated 12/31/20 plus accrued interest on 1/2/21 collateralized by the following: $8,090,949 Federal National Mortgage Association, 2.0%, 8/1/50 $21,326,080 Government National Mortgage Association, 2.0%-3.5%, 11/20/50-12/20/50. | 28,840,000 | ||
28,840,000 | $28,840,000 ScotiaBank, 0.07%, dated 12/31/20 plus accrued interest on 1/2/21 collateralized by the following: $26,583,609 Federal National Mortgage Association, 3-5.5%, 2/1/26-4/1/50 $2,833,481 U.S. Treasury Bill, 0.0%, 6/3/21. | 28,840,000 | ||
14,420,000 | $14,420,000 TD Securities USA LLC, 0.07%, dated 12/31/20 plus accrued interest on 1/2/21 collateralized by $14,708,400 Government National Mortgage Association, 2.5-3.5%, 4/20/49-10/20/50. | 14,420,000 | ||
14,420,000 | $14,420,000 TD Securities USA LLC, 0.05%, dated 12/31/20 plus accrued interest on 1/2/21 collateralized by $14,708,481 U.S. Treasury Bond, 2.8-6.8%, 8/15/26-42. | 14,420,000 | ||
$109,470,000 | ||||
TOTAL TEMPORARY CASH INVESTMENTS | ||||
(Cost $170,146,933) | $170,162,800 | |||
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS - 103.7% | ||||
(Cost $4,595,415,517) | $4,576,835,697 | |||
OTHER ASSETS AND LIABILITIES - (3.7)% | $(163,971,426) | |||
NET ASSETS - 100.0% | $4,412,864,271 | |||
bps | Basis Points. |
CMT | Constant Maturity Treasury. |
FREMF | Freddie Mac Multifamily Fixed-Rate Mortgage Loans. |
LIBOR | London Interbank Offered Rate. |
PRIME | U.S. Federal Funds Rate. |
REMICS | Real Estate Mortgage Investment Conduits. |
SOFRRATE | Secured Overnight Financing Rate. |
Strips | Separate trading of Registered interest and principal of securities. |
(144A) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration. At December 31, 2020, the value of these securities amounted to $2,493,352,133, or 56.5% of net assets. |
(TBA) | “To Be Announced” Securities. |
† | Amount rounds to less than 0.1%. |
* | Senior secured floating rate loan interests in which the Fund invests generally pay interest at rates that are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally (h) the lending rate offered by one or more major European banks, such as LIBOR, (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at December 31, 2020. |
+ | Security that used significant unobservable inputs to determine its value. |
(a) | Floating rate note. Coupon rate, reference index and spread shown at December 31, 2020. |
(b) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at December 31, 2020. |
(c) | Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at December 31, 2020. |
(d) | Security is perpetual in nature and has no stated maturity date. |
(e) | Issued as participation notes. |
(f) | Non-income producing security. |
(g) | Issued as preference shares. |
(h) | Consists of Revenue Bonds unless otherwise indicated. |
(i) | This term loan will settle after December 31, 2020, at which time the interest rate will be determined. |
(j) | Security is in default. |
(k) | Security issued with a zero coupon. Income is recognized through accretion of discount. |
# | Securities are restricted as to resale. |
Restricted Securities | Acquisition date | Cost | Value |
Adare Re 2020 | 12/30/2019 | $ 2,511,250 | $2,629,604 |
Ailsa Re 2019 | 6/4/2019 | 2,750,000 | 2,866,173 |
Akibare Re | 3/22/2018 | 250,000 | 247,700 |
Akibare Re | 3/22/2018 | 500,000 | 497,350 |
Alamo Re II | 5/29/2020 | 2,500,000 | 2,602,750 |
Alturas Re 2019-1 | 12/20/2018 | 2,000 | 16,496 |
Alturas Re 2019-2 | 12/19/2018 | 36,448 | 169,250 |
Aozora Re | 3/20/2017 | 1,500,000 | 1,497,000 |
Bantry Re 2016 | 2/6/2019 | 201,500 | 201,500 |
Bantry Re 2017 | 2/6/2019 | 116,928 | 116,882 |
Bantry Re 2018 | 2/6/2019 | 22,757 | 22,800 |
Bantry Re 2019 | 2/1/2019 | – | 135,855 |
Berwick Re 2017-1 | 1/5/2017 | 41,453 | 41,375 |
Berwick Re 2018-1 | 1/10/2018 | 975,468 | 623,124 |
Berwick Re 2019-1 | 12/31/2018 | 437,104 | 437,135 |
Blue Lotus Re 2018 | 12/20/2017 | – | 21,600 |
Bonanza Re | 2/13/2020 | 1,500,000 | 1,506,450 |
Bonanza Re | 12/15/2020 | 2,000,000 | 1,999,000 |
Bowline Re | 3/12/2019 | 250,000 | 253,650 |
Bowline Re | 6/17/2020 | 243,884 | 250,675 |
Caelus Re V | 5/4/2018 | 750,000 | 502,500 |
Caelus Re V | 5/4/2018 | 500,000 | 390,000 |
Caelus Re V | 4/27/2017 | 625,000 | 581,250 |
Caelus Re VI | 2/20/2020 | 750,000 | 763,800 |
Carnoustie Re 2017 | 1/3/2017 | 475,515 | 263,600 |
Carnoustie Re 2019 | 12/31/2018 | – | 2,090 |
Castle Stuart Re 2018 | 12/20/2017 | 460,183 | 158,032 |
Celtic Manor Re 2020 | 12/2/2020 | 2,855,367 | 3,000,000 |
Cypress Re 2017 | 1/24/2017 | 3,361 | 100 |
Denning Re | 11/9/2020 | 2,937,354 | 2,981,441 |
Dingle Re 2019 | 3/4/2019 | – | 10,263 |
Dingle Re 2020 | 2/13/2020 | 232,875 | 258,623 |
Easton Re Pte | 12/15/2020 | 4,500,000 | 4,499,550 |
Eden Re II | 1/22/2019 | 4,198 | 139,455 |
Eden Re II | 12/15/2017 | 4,482 | 51,638 |
Eden Re II | 1/23/2018 | 2,621 | 75,327 |
Eden Re II | 12/14/2018 | 1,152 | 14,941 |
First Coast Re II Pte | 6/15/2020 | 682,538 | 706,440 |
FloodSmart Re | 4/10/2019 | 500,000 | 497,800 |
Formby Re 2018 | 7/9/2018 | 296,099 | 353,832 |
Fortius Re II | 7/13/2017 | 500,000 | 501,150 |
Four Lakes Re | 11/5/2020 | 1,750,000 | 1,749,300 |
Galilei Re | 1/4/2017 | 2,299,950 | 2,299,770 |
Galilei Re | 1/4/2017 | 1,149,574 | 1,149,770 |
Galilei Re | 1/4/2017 | 1,250,000 | 1,250,000 |
Gleneagles Re 2016 | 1/14/2016 | – | 40,560 |
Gullane Re 2018 | 3/26/2018 | 2,018,739 | 2,182,922 |
Harambee Re 2018 | 12/19/2017 | 156,092 | 37,200 |
Harambee Re 2019 | 12/20/2018 | – | 64,800 |
Herbie Re | 10/19/2020 | 500,000 | 505,050 |
Hypatia | 7/10/2020 | 1,000,000 | 1,067,200 |
Hypatia | 7/10/2020 | 2,500,000 | 2,660,750 |
Integrity Re | 4/19/2018 | 2,493,503 | 2,493,750 |
International Bank for Reconstruction & Development | 2/2/2018 | 1,300,000 | 1,298,570 |
International Bank for Reconstruction & Development | 2/28/2020 | 500,000 | 500,150 |
International Bank for Reconstruction & Development | 2/28/2020 | 500,000 | 500,150 |
International Bank for Reconstruction & Development | 2/2/2018 | 700,000 | 701,050 |
International Bank for Reconstruction & Development | 2/2/2018 | 1,800,000 | 1,798,020 |
Kendall Re | 6/12/2020 | 493,894 | 500,750 |
Kilimanjaro II Re | 4/6/2017 | 1,700,000 | 1,706,120 |
Kilimanjaro II Re | 6/12/2020 | 342,038 | 352,590 |
Kilimanjaro Re | 6/12/2020 | 245,368 | 250,975 |
Kizuna Re II | 6/5/2020 | 247,102 | 249,600 |
Kizuna Re II | 3/16/2018 | 746,930 | 748,500 |
Leven Re 2020 | 1/29/2020 | 3,130,075 | 3,299,725 |
Limestone Re 2016-1 | 12/15/2016 | 1,980 | 391 |
Limestone Re 2016-1 | 12/15/2016 | 3,300 | 652 |
Limestone Re 2018 | 6/20/2018 | 2,000 | 20,705 |
Limestone Re 2019-2 | 6/20/2018 | 223,000 | 391,499 |
Lion Rock Re 2019 | 12/17/2018 | – | 39,300 |
Long Point Re III | 5/17/2018 | 1,250,000 | 1,250,750 |
Lorenz Re 2018 | 6/26/2018 | 919,796 | 47,600 |
Lorenz Re 2019 | 7/10/2019 | 892,789 | 180,865 |
Restricted Securities | Acquisition date | Cost | Value |
Matterhorn Re | 6/25/2020 | 2,271,434 | 2,318,250 |
Matterhorn Re | 4/30/2020 | 250,000 | 255,300 |
Matterhorn Re | 6/25/2020 | 2,250,000 | 2,306,925 |
Matterhorn Re | 1/29/2020 | 1,495,398 | 1,509,300 |
Matterhorn Re | 6/5/2020 | 394,975 | 396,600 |
Matterhorn Re 2020-1 | 12/20/2019 | 2,000,000 | 2,004,200 |
Matterhorn Re | 11/24/2020 | 3,000,000 | 2,997,000 |
Matterhorn Re | 11/24/2020 | 1,500,000 | 1,498,500 |
Merion Re 2018-2 | 12/28/2017 | 3,000,000 | 3,373,024 |
Nakama Re | 9/21/2016 | 697,774 | 699,020 |
NCM Re 2019 | 12/27/2018 | 5,323 | 115,089 |
Northshore Re II | 12/2/2020 | 1,500,000 | 1,498,500 |
Oakmont Re 2017 | 5/10/2017 | – | 14,700 |
Pangaea Re 2016-2 | 5/31/2016 | – | 2,675 |
Pangaea Re 2018-1 | 12/26/2017 | 285,564 | 42,109 |
Pangaea Re 2018-3 | 5/31/2018 | 963,444 | 82,974 |
Pangaea Re 2019-1 | 1/9/2019 | 29,397 | 58,345 |
Pangaea Re 2019-3 | 7/25/2019 | 88,238 | 105,800 |
Port Royal Re 2019 | 5/20/2019 | 3,682,625 | 4,106,528 |
Portrush Re 2017 | 6/12/2017 | 613,588 | 510,480 |
Residential Reinsurance 2017 | 11/3/2017 | 2,900,000 | 2,901,450 |
Residential Reinsurance 2017 | 4/19/2017 | 2,099,961 | 2,089,710 |
Residential Reinsurance 2018 | 4/30/2018 | 1,250,000 | 1,227,500 |
Residential Reinsurance 2019 | 5/8/2019 | 500,000 | 492,150 |
Residential Reinsurance 2020 | 5/27/2020 | 500,000 | 503,050 |
Residential Reinsurance 2020 | 10/30/2020 | 1,500,000 | 1,509,000 |
Resilience Re | 2/8/2017 | 1,209 | 250 |
Resilience Re | 4/13/2017 | 6,535 | 200 |
Sanders Re | 6/12/2020 | 242,327 | 248,700 |
Sanders Re II | 5/20/2020 | 250,000 | 253,875 |
Scotscraig Re 2020 | 1/29/2020 | 2,031,469 | 2,289,504 |
Sector Re V | 1/1/2020 | 160,000 | 401,019 |
Sector Re V | 12/4/2018 | 1,311,532 | 728,164 |
Sector Re V, Series 9, Class A | 4/23/2019 | 800,000 | 343,440 |
Sector Re V, Series 9, Class G | 5/1/2019 | 1,861 | 48,494 |
Spectrum Capital | 6/12/2020 | 989,618 | 1,002,300 |
St. Andrews Re 2017-1 | 1/5/2017 | 84,685 | 84,750 |
St. Andrews Re 2017-4 | 3/31/2017 | – | 171,018 |
Tailwind Re | 12/20/2017 | 3,349,356 | 3,391,205 |
Thopas Re 2018 | 12/12/2017 | 101,823 | – |
Thopas Re 2019 | 12/21/2018 | 113,673 | 162,000 |
Ursa Re | 5/14/2019 | 994,372 | 1,000,000 |
Ursa Re | 11/20/2019 | 744,932 | 750,225 |
Ursa Re II | 10/8/2020 | 4,000,000 | 4,013,600 |
Versutus Re 2017 | 1/5/2017 | 172,227 | – |
Versutus Re 2018 | 1/31/2018 | 25,245 | – |
Versutus Re 2019-A | 1/28/2019 | – | 70,957 |
Versutus Re 2019-B | 12/24/2018 | – | 57,683 |
Viribus Re 2018 | 12/22/2017 | 61,163 | – |
Viribus Re 2019 | 12/27/2018 | – | 102,500 |
Vita Capital VI | 2/12/2020 | 1,749,858 | 1,662,500 |
Vitality Re VIII | 2/13/2020 | 249,972 | 249,950 |
Vitality Re VIII | 1/31/2020 | 999,992 | 985,000 |
Vitality Re X | 2/3/2020 | 3,496,854 | 3,484,250 |
Vitality Re X | 1/23/2020 | 3,000,000 | 2,982,900 |
Vitality Re X | 1/31/2020 | 1,748,718 | 1,738,625 |
Vitality Re XI | 1/23/2020 | 1,243,347 | 1,241,125 |
Woburn Re 2018 | 3/20/2018 | 642,700 | 158,914 |
Woburn Re 2019 | 1/30/2019 | 244,453 | 272,538 |
Total Restricted Securities | $121,741,100 | ||
% of Net assets | 2.8% | ||
FUTURES CONTRACTS | ||||||||||||||||
FIXED INCOME INDEX FUTURES CONTRACTS | ||||||||||||||||
Number of Contracts Short | Description | Expiration Date | Notional Amount | Market Value | Unrealized (Depreciation) | |||||||||||
375 | U.S. 5 Year Note (CBT) | 3/31/21 | $ | 47,233,594 | $ | 47,311,524 | $ | (77,930 | ) | |||||||
425 | U.S. 10 Year Note (CBT) | 3/22/21 | 58,563,672 | 58,683,203 | (119,531 | ) | ||||||||||
250 | U.S. Long Bond (CBT) | 3/22/21 | 43,179,688 | 43,296,875 | (117,187 | ) | ||||||||||
$ | 148,976,954 | $ | 149,291,602 | $ | (314,648 | ) | ||||||||||
TOTAL FUTURES CONTRACTS | $ | (148,976,954 | ) | $ | (149,291,602 | ) | $ | (314,648 | ) | |||||||
Principal amounts are denominated in U.S. dollars ("USD") unless otherwise noted. |
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels below. |
Level 1 - unadjusted quoted prices in active markets for identical securities. |
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining fair value of investments). |
The following is a summary of the inputs used as of December 31, 2020, in valuing the Fund's investments: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Asset Backed Securities | $ | – | $ | 1,195,407,876 | $ | – | $ | 1,195,407,876 | ||||||||
Collateralized Mortgage Obligations | – | 708,823,483 | – | 708,823,483 | ||||||||||||
Commercial Mortgage-Backed Securities | – | 523,137,016 | – | 523,137,016 | ||||||||||||
Corporate Bonds | – | 1,211,737,741 | – | 1,211,737,741 | ||||||||||||
Insurance-Linked Securities | ||||||||||||||||
Collateralized Reinsurance | ||||||||||||||||
Earthquakes - California | – | – | 2,629,604 | 2,629,604 | ||||||||||||
Multiperil – Massachusetts | – | – | 2,981,441 | 2,981,441 | ||||||||||||
Multiperil - U.S. | – | – | 4,375,414 | 4,375,414 | ||||||||||||
Multiperil - U.S. & Canada | – | – | 3,299,725 | 3,299,725 | ||||||||||||
Multiperil - U.S. Regional | – | – | 2,866,173 | 2,866,173 | ||||||||||||
Multiperil - Worldwide | – | – | 393,092 | 393,092 | ||||||||||||
Windstorm - Florida | – | – | 864,312 | 864,312 | ||||||||||||
Windstorm - U.S. Regional | – | – | 14,700 | 14,700 | ||||||||||||
Industry Loss Warranties | ||||||||||||||||
Earthquakes – Bermuda | – | – | 3,000,000 | 3,000,000 | ||||||||||||
Multiperil - U.S. | – | – | 2,289,504 | 2,289,504 | ||||||||||||
Reinsurance Sidecars | ||||||||||||||||
Multiperil - U.S. | – | – | 525,722 | 525,722 | ||||||||||||
Multiperil - Worldwide | – | – | 10,960,823 | 10,960,823 | ||||||||||||
All Other Insurance-Linked Securities | – | 87,540,590 | – | 87,540,590 | ||||||||||||
Municipal Bond | – | 48,716 | – | 48,716 | ||||||||||||
Senior Secured Floating Rate Loan Interests | – | 194,373,390 | – | 194,373,390 | ||||||||||||
U.S. Government and Agency Obligations | – | 451,403,575 | – | 451,403,575 | ||||||||||||
Commercial Papers | – | 54,578,686 | – | 54,578,686 | ||||||||||||
Certificate of Deposit | – | 6,114,114 | – | 6,114,114 | ||||||||||||
Repurchase Agreements | – | 109,470,000 | – | 109,470,000 | ||||||||||||
Total Investments in Securities | $ | – | $ | 4,542,635,187 | $ | 34,200,510 | $ | 4,576,835,697 | ||||||||
Other Financial Instruments | ||||||||||||||||
Net unrealized depreciation on futures contracts | $ | (314,648 | ) | $ | – | $ | – | $ | (314,648 | ) | ||||||
Total Other Financial Instruments | $ | (314,648 | ) | $ | – | $ | – | $ | (314,648 | ) |
The following is a reconciliation of assets valued using significant unobservable inputs (Level 3):
Insurance- Linked Securities | ||||
Balance as of 3/31/20 | $ | 61,676,226 | ||
Realized gain (loss) | (1,493,565 | ) | ||
Change in unrealized appreciation (depreciation) | (296,410 | ) | ||
Accrued discounts/premiums | 5,367 | |||
Purchases | 5,787,354 | |||
Sales | (30,997,712 | ) | ||
Transfers in to Level 3* | – | |||
Transfers out of Level 3* | (480,750 | ) | ||
Balance as of 12/31/20 | $ | 34,200,510 |
* | Transfers are calculated on the beginning of period value. For the nine months ended December 31, 2020, securities with an aggregate market value of $480,750 was transferred from Level 3 to Level 2, due to valuing the security using observable inputs. There were no other transfers in and out of Level 3. |
Net change in unrealized appreciation (depreciation) of Level 3 investments still held and considered Level 3 at December 31, 2020: $(676,993).