Percentage of Net Assets | Principal Amount | Value | |
ASSET-BACKED SECURITIES | 37.2 % | ||
ACM Auto Trust Series 2023-1A(a) 8.59%, 01/22/30 | $1,080,275 | $1,085,598 | |
Ally Bank Auto Credit-Linked Notes Series 2024-A(a) 9.89%, 05/17/32 | 793,553 | 817,486 | |
Ally Bank Auto Credit-Linked Notes Series 2024-B(a) 8.04%, 09/15/32 | 1,119,379 | 1,126,600 | |
Ally Bank Auto Credit-Linked Notes Series 2024-B(a) 11.40%, 09/15/32 | 6,529,713 | 6,541,330 | |
Aqua Finance Trust Series 2024-A(a) 6.53%, 04/18/50 | 4,000,000 | 4,013,041 | |
Avant Credit Card Master Trust Series 2024-1A(a) 8.80%, 04/15/30 | 15,280,000 | 15,328,881 | |
Avant Credit Card Master Trust Series 2024-1A(a) 13.15%, 04/15/30 | 12,000,000 | 11,887,034 | |
Avant Credit Card Master Trust Series 2024-1A(a) 8.98%, 05/15/29 | 7,000,000 | 6,950,578 | |
Avant Loans Funding Trust Series 2022-REV1(a) 8.57%, 09/15/31 | 9,000,000 | 9,047,388 | |
Avant Loans Funding Trust Series 2023-REV1(a) 12.12%, 09/15/32 | 4,200,000 | 4,330,231 | |
Avant Loans Funding Trust Series 2024-REV1(a) 8.00%, 10/15/33 | 12,445,000 | 12,129,377 | |
Avant Loans Funding Trust Series 2024-REV1(a) 9.00%, 10/15/33 | 4,070,000 | 3,706,670 | |
Bayview Opportunity Master Fund VII Series 2024-CAR1 (Floating, U.S. 30-Day Average SOFR + 3.60%)(a)(b) 8.17%, 12/26/31 | 1,068,334 | 1,086,040 | |
BHG Securitization Trust Series 2023-B(a) 12.40%, 12/17/36 | 2,000,000 | 2,096,728 | |
Bridgepoint CLO VI DAC Series 6A (Floating, Euribor 3M + 6.65%, 6.65% Floor)(a)(b) 9.68%, 11/14/36 | 1,500,000 | 1,572,593 | |
Capital Four CLO VII DAC Series 7A (Floating, Euribor 3M + 6.79%, 6.79% Floor)(a)(b) 9.88%, 04/25/37 | 1,000,000 | 1,048,493 | |
Cascade MH Asset Trust Series 2024-MH1(a)(c) 8.22%, 11/25/56 | 8,936,000 | 7,171,140 | |
CFMT LLC, Series 2024-HB15(a) 4.00%, 08/25/34 | 4,000,000 | 3,667,700 | |
Chase Auto Owner Trust Series 2024-1A(a)(d)(e)(f) 0.00%, 06/25/31 | 8,850 | 2,002,403 | |
Chase Auto Owner Trust Series 2024-2A(a)(d)(e)(f)(g) 0.00%, 08/25/31 | 6,875 | 1,655,972 | |
Clsec Holdings 22t LLC Series 2021-1(a) 6.17%, 05/11/37 | 13,131,081 | 11,402,028 | |
CP EF Asset Securitization I LLC Series 2022-1A(a) 5.96%, 04/15/30 | 511,130 | 511,707 |
Percentage of Net Assets | Principal Amount | Value | |
FAT Brands Fazoli's Native I LLC Series 2021-1(a) 7.00%, 07/25/51 | $15,502,500 | $14,845,293 | |
FAT Brands GFG Royalty I LLC Series 2021-1A(a) 7.00%, 07/25/51 | 15,307,500 | 14,248,377 | |
FIGRE Trust Series 2024-HE2(a) 8.20%, 05/25/54 | 2,000,000 | 2,036,924 | |
FIGRE Trust Series 2024-HE3(a) 7.55%, 07/25/54 | 2,000,000 | 2,002,274 | |
Foundation Finance Trust Series 2023-2A(a) 9.10%, 06/15/49 | 2,944,000 | 3,104,165 | |
Foundation Finance Trust Series 2024-1A(a) 8.13%, 12/15/49 | 8,000,000 | 8,360,792 | |
Goldman Home Improvement Issuer Trust Series 2022-GRN1(a)(d)(e)(g) 0.00%, 06/25/52 | 50,000 | 2,375,824 | |
GoodLeap Home Improvement Solutions Trust Series 2024-1(a) 8.94%, 10/20/46 | 1,000,000 | 1,011,602 | |
Harvest SBA Loan Trust Series 2024-1 (Floating, U.S. 30-Day Average SOFR + 3.75%)(a)(b) 8.48%, 12/25/51 | 2,951,944 | 2,952,694 | |
Hertz Vehicle Financing III LLC Series 2024-1A(a) 9.22%, 01/25/29 | 5,500,000 | 5,527,625 | |
Hertz Vehicle Financing III LLC Series 2024-2A(a) 9.41%, 01/27/31 | 6,250,000 | 6,193,427 | |
HOA Funding LLC Series 2021-1A(a) 4.72%, 08/20/51 | 14,055,985 | 11,127,871 | |
Horizon Aircraft Finance I Ltd. Series 2018-1(a) 4.46%, 12/15/38 | 3,512,888 | 3,372,352 | |
HTAP Issuer Trust Series 2024-2(a) 6.50%, 04/25/42 | 4,842,051 | 4,772,555 | |
Huntington Bank Auto Credit-Linked Notes Series 2024-1 (Floating, U.S. 30-Day Average SOFR + 5.25%)(a)(b) 9.85%, 05/20/32 | 1,532,813 | 1,576,034 | |
ICG U.S. CLO Ltd. Series 2020-1A (Floating, CME Term SOFR 3M + 3.86%, 3.60% Floor)(a)(b) 8.48%, 01/20/35 | 3,000,000 | 3,017,257 | |
L.P. LMS Asset Securitization Trust Series 2023-1A(a) 7.48%, 10/17/33 | 3,000,000 | 2,976,474 | |
Lendingpoint Asset Securitization Trust Series 2022-C(a)(g) 13.09%, 02/15/30 | 6,400,000 | — | |
Lendmark Funding Trust Series 2021-2A(a) 3.09%, 04/20/32 | 3,160,000 | 2,858,692 | |
LOFT Series 2024-1A (Floating, U.S. 90-Day Average SOFR + 3.75%, 3.75% Floor)(a)(b) 8.22%, 05/21/34 | 1,840,000 | 1,840,834 | |
LOFT Series 2024-1A (Floating, U.S. 90-Day Average SOFR + 10.50%, 10.50% Floor)(a)(b) 14.97%, 05/21/34 | 2,400,000 | 2,401,087 | |
MAPS Ltd. Series 2019-1A(a) 4.46%, 03/15/44 | 586,759 | 554,506 |
Percentage of Net Assets | Principal Amount | Value | |
Mariner Finance Issuance Trust Series 2021-BA(a) 3.42%, 11/20/36 | $1,980,000 | $1,819,786 | |
ME Funding LLC Series 2024-1A(a) 8.10%, 04/30/54 | 4,766,184 | 4,699,852 | |
Mercury Financial Credit Card Master Trust Series 2023-1A(a) 17.07%, 09/20/27 | 7,525,000 | 7,578,497 | |
Mission Lane Credit Card Master Trust Series 2023-A(a) 10.03%, 07/17/28 | 3,500,000 | 3,550,853 | |
Momnt Technologies Trust Series 2023-1A(a) 8.29%, 03/20/45 | 3,000,000 | 3,007,209 | |
Momnt Technologies Trust Series 2023-1A(a) 11.24%, 03/20/45 | 9,180,000 | 9,060,688 | |
NRZ Excess Spread-Collateralized Notes Series 2021-GTN1(a) 3.47%, 11/25/26 | 3,834,003 | 3,664,587 | |
Octane Receivables Trust Series 2024-RVM1(a) 8.42%, 01/22/46 | 2,000,000 | 1,989,231 | |
OnDeck Asset Securitization Trust IV LLC Series 2023-1A(a) 9.93%, 08/19/30 | 6,000,000 | 6,161,279 | |
OnDeck Asset Securitization Trust IV LLC Series 2024-1A(a) 8.99%, 06/17/31 | 3,000,000 | 3,088,759 | |
OnDeck Asset Securitization Trust IV LLC Series 2024-2A(a) 7.03%, 10/17/31 | 2,250,000 | 2,245,954 | |
Onity Loan Investment Trust Series 2024-HB2(a) 5.00%, 08/25/37 | 2,000,000 | 1,825,166 | |
Oportun Funding Trust Series 2024-3(a) 9.60%, 08/15/29 | 4,000,000 | 3,994,958 | |
Oportun Issuance Trust Series 2021-B(a) 5.41%, 05/08/31 | 2,993,848 | 2,928,296 | |
Oportun Issuance Trust Series 2021-C(a) 3.61%, 10/08/31 | 2,343,148 | 2,282,843 | |
Oportun Issuance Trust Series 2024-2(a) 10.47%, 02/09/32 | 3,500,000 | 3,548,065 | |
Pagaya AI Debt Grantor Trust and Pagaya AI Debt Trust Series 2024-6(a) 11.35%, 11/15/31 | 3,998,972 | 4,107,138 | |
Pagaya AI Debt Grantor Trust Series 2024-10(a) 10.41%, 06/15/32 | 3,800,000 | 3,819,300 | |
Pagaya AI Debt Grantor Trust Series 2024-9(a) 10.11%, 03/15/32 | 7,998,777 | 8,009,023 | |
Pagaya AI Debt Trust Series 2023-6(a) 9.00%, 06/16/31 | 2,749,295 | 2,768,226 | |
Pagaya AI Debt Trust Series 2023-8(a) 9.00%, 06/16/31 | 3,766,120 | 3,767,598 | |
PenFed Auto Receivables Owner Trust Series 2024-A(a)(d)(e) 0.00%, 09/15/32 | 37,500 | 4,641,842 | |
PNMAC GMSR ISSUER TRUST Series 2022-GT1 (Floating, U.S. 30-Day Average SOFR + 4.25%)(a)(b) 8.82%, 05/25/27 | 12,000,000 | 12,159,841 | |
Project Silver Series 2019-1(a) 3.97%, 07/15/44 | 2,672,747 | 2,506,555 |
Percentage of Net Assets | Principal Amount | Value | |
RRE 18 Loan Management DAC Series 18A (Floating, Euribor 3M + 6.42%, 6.42% Floor)(a)(b) 9.60%, 04/15/39 | $1,280,000 | $1,339,816 | |
SAFCO Auto Receivables Trust Series 2022-1A(a) 8.62%, 11/19/29 | 3,000,000 | 3,022,101 | |
Santander Bank Auto Credit-Linked Notes Series 2023-A(a) 7.08%, 06/15/33 | 836,981 | 843,832 | |
Santander Bank Auto Credit-Linked Notes Series 2023-B(a) 12.24%, 12/15/33 | 8,341,174 | 8,711,594 | |
SEB Funding LLC Series 2024-1A(a) 7.39%, 04/30/54 | 7,500,000 | 7,668,600 | |
Service Experts Issuer LLC Series 2021-1A(a) 5.37%, 02/02/32 | 3,000,000 | 2,702,982 | |
Service Experts Issuer LLC Series 2024-1A(a) 8.08%, 11/20/35 | 4,000,000 | 4,005,189 | |
Skyline Aircraft Series 2006-S3(g) 6.17%, 08/17/33 | 4,014,987 | 3,738,956 | |
Sound Point CLO XXX Ltd. Series 2021-2A (Floating, CME Term SOFR 3M + 3.61%, 3.35% Floor)(a)(b) 8.24%, 07/25/34 | 4,000,000 | 4,023,736 | |
Sound Point CLO XXXI Ltd. Series 2021-3A (Floating, CME Term SOFR 3M + 3.51%, 3.25% Floor)(a)(b) 8.14%, 10/25/34 | 2,750,000 | 2,756,878 | |
Sound Point Euro CLO X Funding DAC Series 10A (Floating, Euribor 3M + 6.52%, 6.52% Floor)(a)(b) 9.74%, 04/20/38 | 2,000,000 | 2,110,543 | |
Stream Innovations Issuer Trust Series 2024-1A(a) 7.89%, 07/15/44 | 1,290,000 | 1,344,156 | |
Towd Point Mortgage Trust Series 2024-CES1(a) 6.86%, 01/25/64 | 1,000,000 | 1,009,467 | |
Trinitas Euro CLO VI DAC Series 6A (Floating, Euribor 3M + 6.38%, 6.38% Floor)(a)(b) 9.56%, 04/15/37 | 2,000,000 | 2,093,570 | |
Twin Hospitality I LLC Series 2024-1A(a)(g) 9.00%, 10/26/54 | 26,500,000 | 26,500,000 | |
U.S. Auto Funding Trust Series 2022-1A(a) 3.98%, 04/15/25 | 446,522 | 443,049 | |
U.S. Auto Funding Trust Series 2022-1A(a)(f)(g) 11.79%, 06/15/29 | 5,000,000 | — | |
U.S. Bank N.A. Series 2023-1(a) 9.79%, 08/25/32 | 1,338,533 | 1,369,924 | |
U.S. Bank N.A. Series 2023-1(a) 13.60%, 08/25/32 | 2,141,653 | 2,194,232 | |
Unlock HEA Trust Series 2024-2(a) 6.00%, 10/25/39 | 3,000,000 | 2,168,315 | |
Upstart Securitization Trust Series 2022-3(a)(d)(e)(f)(g) 0.00%, 06/20/32 | 5,575 | 76,935 | |
TOTAL ASSET-BACKED SECURITIES (Cost $403,429,524) | 387,685,098 |
Percentage of Net Assets | Principal Amount | Value | |
BANK DEBTS | 8.5 % | ||
Asurion LLC 7.72%, 12/23/26 | $12,121,203 | $12,108,839 | |
Clover Holdings 2, LLC 8.43%, 12/09/31 | 6,170,000 | 6,231,700 | |
Cobham Ultra SeniorCo S.a r.l.(f)(h) 08/03/29 | 8,584,662 | 8,544,829 | |
Cobham Ultra SeniorCo S.a.r.l. 9.24%, 08/03/29 | 31,306,348 | 31,161,086 | |
Digicel International Finance Ltd.(f)(h) 05/25/27 | 371,418 | 358,823 | |
Electro Rent Corp.(g) 10.64%, 01/31/24 | 5,447,520 | 5,284,094 | |
Electro Rent Corp.(f)(h) 01/31/24 | 168,802 | 163,738 | |
Form Technologies LLC(f)(h) 05/30/30 | 5,103,000 | 4,988,182 | |
Northeast Grocery, Inc. 12.02%, 12/13/28 | 1,925,000 | 1,928,215 | |
Optiv Parent, Inc. 9.87%, 07/31/26 | 5,954,774 | 4,884,761 | |
Pluto Acquisition I, Inc. 9.84%, 06/20/28 | 2,000,000 | 2,037,501 | |
PREIT Associates, L.P. 11.48%, 12/10/23 | 2,397,379 | 2,397,380 | |
Pretium PKG Holdings, Inc. 8.32%, 10/02/28 | 8,676,193 | 8,931,100 | |
TOTAL BANK DEBTS (Cost $88,485,405) | 89,020,248 | ||
BANKRUPTCY CLAIMS | 3.1 % | ||
FTX Trade Claim(f)(g)(i) 0.00% | 5,258,400 | 5,576,533 | |
FTX Trade Claim International(f)(g)(i) 0.00% | 24,741,600 | 26,238,467 | |
TOTAL BANKRUPTCY CLAIMS (Cost $31,575,000) | 31,815,000 | ||
CORPORATE BONDS | 9.8 % | ||
Ahead DB Holdings LLC(a) 6.63%, 05/01/28 | 4,414,000 | 4,325,735 | |
Ambac Assurance Corp.(a)(f) 5.10%, 12/31/49 | 4,317,243 | 5,957,795 | |
Ardagh Metal Packaging Finance U.S.A. LLC(a) 4.00%, 09/01/29 | 2,000,000 | 1,717,986 | |
Brightsphere Investment Group, Inc. 4.80%, 07/27/26 | 10,850,000 | 10,694,373 | |
Centene Corp. 4.25%, 12/15/27 | 5,000,000 | 4,851,002 | |
Champ Acquisition Corp.(a) 8.38%, 12/01/31 | 5,000,000 | 5,100,396 |
Percentage of Net Assets | Principal Amount | Value | |
Charter Communications Operating LLC 4.91%, 07/23/25 | $1,153,000 | $1,151,651 | |
Ferrellgas L.P./Ferrellgas Finance Corp.(a) 5.38%, 04/01/26 | 5,000,000 | 4,947,773 | |
HAH Group Holding Co. LLC(a) 9.75%, 10/01/31 | 10,600,000 | 10,608,433 | |
LABL, Inc.(a) 10.50%, 07/15/27 | 27,749,000 | 26,782,630 | |
LABL, Inc.(a) 8.63%, 10/01/31 | 5,200,000 | 4,810,421 | |
Summit Materials LLC(a) 7.25%, 01/15/31 | 3,000,000 | 3,183,257 | |
VICI Properties L.P./VICI Note Co., Inc.(a) 4.25%, 12/01/26 | 5,000,000 | 4,917,034 | |
VF Corp. 6.00%, 10/15/33 | 9,000,000 | 8,640,796 | |
Staples, Inc.(a) 10.75%, 09/01/29 | 5,000,000 | 4,918,929 | |
TOTAL CORPORATE BONDS (Cost $103,314,516) | 102,608,211 | ||
FOREIGN ISSUER BONDS | 8.6 % | ||
Avianca Midco 2 PLC(a) 9.00%, 12/01/28 | 10,223,100 | 9,982,028 | |
Cerdia Finanz GmbH(a) 9.38%, 10/03/31 | 10,000,000 | 10,406,700 | |
International Game Technology PLC(a) 4.13%, 04/15/26 | 17,362,000 | 17,069,294 | |
Latam Airlines Group S.A.(a) 13.38%, 10/15/29 | 10,000,000 | 11,420,790 | |
Latam Airlines Group S.A.(a) 7.88%, 04/15/30 | 2,839,000 | 2,874,090 | |
Stonegate Pub Co. Financing 2019 PLC(a) 10.75%, 07/31/29 | 15,557,000 | 20,312,904 | |
Vertical Topco(f)(g) 12.00%, 07/29/30 | 10,000,000 | 10,075,000 | |
Rakuten Group, Inc.(a) 11.25%, 02/15/27 | 2,000,000 | 2,179,986 | |
Rakuten Group, Inc.(a) 9.75%, 04/15/29 | 5,000,000 | 5,410,366 | |
TOTAL FOREIGN ISSUER BONDS (Cost $88,209,024) | 89,731,158 | ||
MORTGAGE-BACKED SECURITIES | 16.0 % | ||
PRIVATE | 10.6 % | ||
Home Equity | 10.2 % | ||
A&D Mortgage Trust Series 2024-NQM5(a)(c) 7.75%, 11/25/69 | 6,308,000 | 6,145,035 | |
ADMT Series 2024-NQM6(a)(c) 7.31%, 01/25/70 | 4,000,000 | 3,956,878 |
Percentage of Net Assets | Principal Amount | Value | |
Angel Oak Mortgage Trust Series 2022-3(a)(c) 4.14%, 01/10/67 | $5,548,729 | $5,098,090 | |
Barclays Mortgage Loan Trust Series 2022-INV1(a)(c) 4.51%, 02/25/62 | 8,472,800 | 6,374,807 | |
Builders Capital Loan Acquisition Trust Series 2024-NPL1(a) 9.00%, 11/29/29 | 20,000,000 | 19,981,700 | |
Cascade Funding Mortgage Trust Series 2024-RM5(a)(c) 4.00%, 10/25/54 | 10,000,000 | 8,326,385 | |
CFMT LLC Series 2023-H12(a) 4.25%, 04/25/33 | 5,000,000 | 4,684,522 | |
CFMT LLC Series 2024-NR1 (Step to 12.32% on 12/25/27)(a)(j) 9.32%, 11/25/29 | 10,000,000 | 9,989,227 | |
CWHEQ Home Equity Loan Trust Series 2006-S2(g) 5.60%, 07/25/27 | 272,073 | 257,109 | |
CWHEQ Home Equity Loan Trust Series 2006-S3 (Step to 6.11% on 02/25/25)(f)(j)(k) 5.45%, 06/25/21 | 2 | 594,880 | |
CWHEQ Home Equity Loan Trust Series 2006-S5(f)(k) 5.75%, 06/25/35 | 4 | 1,646,500 | |
EFMT Series 2024-RM3(a) 5.00%, 12/25/54 | 3,500,000 | 3,207,548 | |
FIGRE Trust Series 2024-HE1(a)(c) 10.03%, 03/25/54 | 1,000,000 | 1,020,663 | |
FIGRE Trust Series 2024-HE5(a) 7.01%, 10/25/54 | 4,109,000 | 4,058,650 | |
Home Equity Mortgage Trust Series 2006-3 (Floating, CME Term SOFR 1M + 0.57%, 0.46% Floor)(b)(f)(g) 4.91%, 09/25/36 | 2,708,000 | 228 | |
Home Equity Mortgage Trust Series 2006-3 (Step to 5.61% on 01/25/25)(g)(j) 6.09%, 09/25/36 | 2,626,536 | 156,809 | |
Home Equity Mortgage Trust Series 2006-4 (Floating, ICE LIBOR USD 1M + 0.61%, 0.61% Floor)(b)(f)(g) 3.99%, 11/25/36 | 4,391,000 | 128 | |
Home Equity Mortgage Trust Series 2006-4 (Floating, CME Term SOFR 1M + 0.61%, 0.50% Floor)(b)(g) 4.95%, 11/25/36 | 1,354,000 | 989 | |
Home Equity Mortgage Trust Series 2006-4(g) 6.23%, 11/25/36 | 1,634,293 | 100,385 | |
Home Equity Mortgage Trust Series 2006-5 (Floating, CME Term SOFR 1M + 0.51%, 0.40% Floor)(b)(g) 4.85%, 01/25/37 | 258,011 | 12,900 | |
Imperial Fund Mortgage Trust Series 2022-NQM4 (Step to 4.99% on 02/25/25)(a)(j) 5.04%, 06/25/67 | 4,000,000 | 3,153,197 | |
Imperial Fund Mortgage Trust Series 2022-NQM5 (Step to 6.28% on 08/25/26)(a)(j) 6.25%, 08/25/67 | 4,125,000 | 4,058,627 |
Percentage of Net Assets | Principal Amount | Value | |
Indymac Residential Mortgage-Backed Trust Series 2005-L3 (Floating, CME Term SOFR 1M + 0.55%, 0.44% Floor)(b)(f) 4.89%, 12/16/35 | $965,711 | $772,569 | |
JP Morgan Resecuritization Trust Series 2009-7(a)(c) 7.00%, 09/27/37 | 9,554,751 | 4,249,661 | |
PRPM LLC Series 2024-7 (Step to 11.84% on 12/25/27)(a)(j) 8.84%, 11/25/29 | 5,000,000 | 4,994,579 | |
PRPM Trust Series 2022-INV1(a)(c) 4.43%, 04/25/67 | 2,600,000 | 2,159,339 | |
Residential Asset Securitization Trust Series 2006-A6 (Floating, 5.79% - CME Term SOFR 1M, 5.90% Cap)(b)(f)(l) 1.45%, 07/25/36 | 12,004,552 | 762,200 | |
Saluda Grade Alternative Mortgage Trust Series 2023-SEQ3(a)(c) 10.25%, 06/01/53 | 10,502,250 | 10,593,392 | |
Total Home Equity (Cost $110,289,412) | 106,356,997 | ||
Commercial Mortgage-Backed Securities | 0.4 % | ||
CSMC Trust Series 2022-NQM4 (Step to 5.17% on 07/25/26)(a)(j) 4.82%, 06/25/67 | 4,055,750 | 3,995,509 | |
Total Commercial Mortgage-Backed Securities (Cost $3,898,626) | 3,995,509 | ||
U.S. GOVERNMENT AGENCIES | 5.4 % | ||
Fannie Mae REMICS Series 2013-67 (Floating, 5.99% - U.S. 30-Day Average SOFR, 6.10% Cap)(b)(f)(l) 1.42%, 07/25/43 | 7,384,508 | 714,998 | |
Fannie Mae REMICS Series 2020-27 (Floating, 5.84% - U.S. 30-Day Average SOFR, 5.95% Cap)(b)(f)(l) 1.27%, 05/25/50 | 16,023,530 | 1,487,155 | |
Fannie Mae REMICS Series 2022-19 (Floating, 5.60% - U.S. 30-Day Average SOFR, 5.60% Cap)(b)(f)(l) 1.03%, 04/25/52 | 30,290,684 | 2,374,559 | |
Freddie Mac REMICS Series 4833 (Floating, 5.89% - U.S. 30-Day Average SOFR, 6.00% Cap)(b)(f)(l) 1.29%, 10/15/44 | 16,306,858 | 1,351,289 | |
Freddie Mac REMICS Series 5240 (Floating, 5.89% - U.S. 30-Day Average SOFR, 9999.00% Cap)(b)(f)(l) 1.15%, 03/25/50 | 15,460,235 | 1,541,770 | |
FREMF Mortgage Trust Series 2019-KF59 (Floating, U.S. 30-Day Average SOFR + 6.11%, 6.00% Floor)(a)(b) 10.78%, 02/25/29 | 19,291,012 | 19,093,252 | |
Government National Mortgage Association Series 2013-9 (Floating, 6.64% - CME Term SOFR 1M, 6.75% Cap)(b)(f)(l) 2.27%, 01/20/43 | 16,355,791 | 1,912,535 | |
Government National Mortgage Association Series 2016-116 (Floating, 5.99% - CME Term SOFR 1M, 6.10% Cap)(b)(f)(l) 1.62%, 09/20/46 | 10,328,014 | 980,163 |
Percentage of Net Assets | Principal Amount | Value | |
Government National Mortgage Association Series 2019-110 (Floating, 5.94% - CME Term SOFR 1M, 6.05% Cap)(b)(f)(l) 1.57%, 09/20/49 | $52,604,482 | $5,372,733 | |
Government National Mortgage Association Series 2019-115 (Floating, 5.99% - CME Term SOFR 1M, 6.10% Cap)(b)(l) 1.62%, 09/20/49 | 18,187,941 | 2,050,057 | |
Government National Mortgage Association Series 2020-47 (Floating, 5.89% - CME Term SOFR 1M, 6.00% Cap)(b)(f)(l) 1.52%, 02/20/49 | 36,258,625 | 3,020,891 | |
Government National Mortgage Association Series 2020-7 (Floating, 5.94% - CME Term SOFR 1M, 6.05% Cap)(b)(f)(l) 1.57%, 01/20/50 | 16,431,276 | 1,543,373 | |
Government National Mortgage Association Series 2021-160 (Floating, 6.19% - CME Term SOFR 1M, 6.30% Cap)(b)(f)(l) 1.82%, 09/20/51 | 12,717,390 | 1,590,219 | |
Government National Mortgage Association Series 2021-205 (Floating, 3.20% - U.S. 30-Day Average SOFR, 3.20% Cap)(b)(l) 0.00%, 11/20/51 | 153,427,230 | 2,461,694 | |
Government National Mortgage Association Series 2022-190 (Floating, 5.99% - CME Term SOFR 1M, 6.10% Cap)(b)(f)(l) 1.62%, 08/20/49 | 30,085,598 | 3,143,428 | |
Government National Mortgage Association Series 2023-135 (Floating, 28.17% - U.S. 30-Day Average SOFR, 28.17% Cap)(b) 8.21%, 09/20/53 | 3,252,013 | 3,419,451 | |
Government National Mortgage Association, Series 2024-128 (Floating, 18.29% - U.S. 30-Day Average SOFR, 18.29% Cap)(b) 5.62%, 08/20/54 | 4,838,244 | 4,850,724 | |
TOTAL U.S. GOVERNMENT AGENCIES (Cost $65,792,719) | 56,908,291 | ||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $179,980,757) | 167,260,797 | ||
U.S. GOVERNMENT OBLIGATIONS | 2.7 % | ||
U.S. Treasury Bonds 4.25%, 02/15/54 | 15,000,000 | 13,707,422 | |
U.S. Treasury Notes 3.88%, 08/15/34 | 15,000,000 | 14,186,719 | |
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost $29,126,334) | 27,894,141 | ||
MUNICIPAL BONDS | 3.4 % | ||
GDB Debt Recovery Authority of Commonwealth Puerto Rico Taxable Revenue Bond 7.50%, 08/20/40 | 4,689,240 | 4,595,455 | |
PR Custodial Trust(d)(f) 0.00%, 03/15/49 | 521,000 | 76,603 | |
PR Custodial Trust(d) 0.00%, 03/15/49 | 7,510,000 | 1,384,446 | |
PRCCDA Custodial Trust(d) 0.00%, 03/15/49 | 1,415,000 | 352,013 |
Percentage of Net Assets | Principal Amount | Value | |
PRHTA Custodial Trust(d)(f) 0.00%, 12/06/49 | $6,890,000 | $1,859,997 | |
PRIFA Custodial Trust(d)(f) 0.00%, 03/15/49 | 128,011,000 | 26,998,314 | |
TOTAL MUNICIPAL BONDS (Cost $35,189,720) | 35,266,828 |
Percentage of Net Assets | Shares | Value | |
SHORT-TERM INVESTMENTS | 12.3 % | ||
Northern Institutional Treasury Portfolio (Premier Class), 4.29%(m) | 128,549,664 | 128,549,664 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $128,549,664) | 128,549,664 | ||
TOTAL INVESTMENTS (Cost $1,087,859,944) | 101.6 % | 1,059,831,145 | |
NET OTHER ASSETS (LIABILITIES) | (1.6 )% | (16,356,354 ) | |
NET ASSETS | 100.0 % | $1,043,474,791 |
(a)Securities purchased in a transaction exempt from registration under Rule 144A of the Securities Act of 1933. These securities may not be publicly traded without registration under the Securities Act of 1933. The value of these securities is determined by valuations supplied by a pricing service or brokers. As of December 31, 2024, these securities had a total market value of $666,013,750 or 64% of net assets. |
(b)Floating rate security. The rate presented is the rate in effect at December 31, 2024, and the related index and spread are shown parenthetically for each security. |
(c)Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
(d)Zero coupon bond. |
(e)Equity tranche security. |
(f)Non-income producing security. |
(g)Security valued pursuant to Level 3 unobservable inputs. |
(h)Position is unfunded. Contract rate was not determined at December 31, 2024 and does not take effect until drawn. |
(i)Security represents purchased rights to future bankruptcy settlement amounts, inclusive of any post-petition interest, on certain secured claims against FTX Trading LTD. |
(j)Step coupon bond. Rate as of December 31, 2024 is disclosed. |
(k)FGIC insured bond in which the current value primarily relates to pending insurance payments. |
(l)Interest only security |
(m)7-day current yield as of December 31, 2024 is disclosed. |
Abbreviations: |
CLO – Collateralized Loan Obligation |
USD – United States Dollar |
Counterparty | Settlement Date | Currency Purchased | Currency Purchased Amount | Currency Sold | Currency Sold Amount | Unrealized Appreciation (Depreciation) |
Goldman Sachs International | 02/28/25 | USD | 9,120,066 | EUR | 8,663,500 | $123,838 |
Goldman Sachs International | 03/31/25 | USD | 20,230,455 | GBP | 16,100,000 | 88,629 |
Total | $212,467 |
