Principal Amount USD ($) | | | | | | Value |
| Collateralized Mortgage Obligations—3.5% of Net Assets | |
290,000(a) | Bellemeade Re, Ltd., Series 2020-3A, Class B1, 9.936% (1 Month USD LIBOR + 635 bps), 10/25/30 (144A) | $ 280,533 |
2,100,000(a) | Bellemeade Re, Ltd., Series 2020-3A, Class M2, 8.436% (1 Month USD LIBOR + 485 bps), 10/25/30 (144A) | 2,050,357 |
2,400,000(a) | Bellemeade Re, Ltd., Series 2022-1, Class B1, 8.497% (SOFR30A + 550 bps), 1/26/32 (144A) | 2,046,198 |
1,900,000(c) | CFMT LLC, Series 2020-HB4, Class M4, 4.948%, 12/26/30 (144A) | 1,741,401 |
1,270,000(c) | CFMT LLC, Series 2020-HB4, Class M5, 6.00%, 12/26/30 (144A) | 1,160,409 |
1,250,000(c) | CFMT LLC, Series 2021-HB5, Class M4, 5.683%, 2/25/31 (144A) | 1,141,762 |
4,100,000(a) | Connecticut Avenue Securities Trust, Series 2019-HRP1, Class B1, 12.836% (1 Month USD LIBOR + 925 bps), 11/25/39 (144A) | 3,955,748 |
2,860,000(a) | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B2, 8.997% (SOFR30A + 600 bps), 10/25/41 (144A) | 2,448,028 |
2,660,000(a) | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1B2, 8.997% (SOFR30A + 600 bps), 12/25/41 (144A) | 2,276,897 |
2,700,000(a) | Eagle Re, Ltd., Series 2019-1, Class B1, 8.086% (1 Month USD LIBOR + 450 bps), 4/25/29 (144A) | 2,487,135 |
2,900,000(a) | Eagle RE, Ltd., Series 2021-1, Class M2, 7.447% (SOFR30A + 445 bps), 10/25/33 (144A) | 2,794,812 |
970,000(a) | Fannie Mae Connecticut Avenue Securities, Series 2021-R02, Class 2B2, 9.197% (SOFR30A + 620 bps), 11/25/41 (144A) | 824,910 |
1,195,517(a) | Freddie Mac STACR REMIC Trust, Series 2020-DNA3, Class B1, 8.686% (1 Month USD LIBOR + 510 bps), 6/25/50 (144A) | 1,231,601 |
1,100,000(a) | Freddie Mac STACR REMIC Trust, Series 2020-DNA3, Class B2, 12.936% (1 Month USD LIBOR + 935 bps), 6/25/50 (144A) | 1,165,113 |
1,065,000(a) | Freddie Mac STACR REMIC Trust, Series 2020-DNA5, Class B1, 7.797% (SOFR30A + 480 bps), 10/25/50 (144A) | 1,055,249 |
2,300,000(a) | Freddie Mac STACR REMIC Trust, Series 2020-DNA5, Class B2, 14.497% (SOFR30A + 1,150 bps), 10/25/50 (144A) | 2,569,682 |