| BROOKFIELD REAL ASSETS INCOME FUND INC. | |||||
| Schedule of Investments (Unaudited) | |||||
| March 31, 2020 | |||||
Principal Amount (000s) | Value | ||||
| U.S. GOVERNMENT & AGENCY OBLIGATIONS - 0.4% | |||||
| U.S. Government Agency Collateralized Mortgage Obligations - 0.0% | |||||
| Federal National Mortgage Association | |||||
| Series 1997-79, Class PL, 6.85%, 12/18/27 | $ | 74 | $ | 84,322 | |
| Total U.S. Government Agency Collateralized Mortgage Obligations | 84,322 | ||||
| U.S. Government Agency Pass-Through Certificates - 0.4% | |||||
| Federal Home Loan Mortgage Corporation | |||||
| Pool C69047, 7.00%, 06/01/32 | 157 | 182,342 | |||
| Pool C56878, 8.00%, 08/01/31 | 40 | 41,083 | |||
| Pool C58516, 8.00%, 09/01/31 | 33 | 33,039 | |||
| Pool C59641, 8.00%, 10/01/31 | 61 | 64,148 | |||
| Pool C55166, 8.50%, 07/01/31 | 83 | 88,136 | |||
| Pool C55167, 8.50%, 07/01/31 | 49 | 51,133 | |||
| Pool C55169, 8.50%, 07/01/31 | 50 | 51,988 | |||
| Pool G01466, 9.50%, 12/01/22 | 2 | 2,451 | |||
| Pool 555559, 10.00%, 03/01/21 | 0 | 109 | |||
| Pool 555538, 10.00%, 03/01/21 | 0 | 1 | |||
| Federal National Mortgage Association | |||||
| Pool 761836, 6.00%, 06/01/33 | 185 | 204,893 | |||
| Pool 948362, 6.50%, 08/01/37 | 20 | �� 23,162 | |||
| Pool 645912, 7.00%, 06/01/32 | 170 | 195,440 | |||
| Pool 645913, 7.00%, 06/01/32 | 234 | 271,273 | |||
| Pool 650131, 7.00%, 07/01/32 | 226 | 261,857 | |||
| Pool 827853, 7.50%, 10/01/29 | 20 | 19,860 | |||
| Pool 545990, 7.50%, 04/01/31 | 229 | 261,357 | |||
| Pool 255053, 7.50%, 12/01/33 | 66 | 77,513 | |||
| Pool 735576, 7.50%, 11/01/34 | 230 | 275,816 | |||
| Pool 896391, 7.50%, 06/01/36 | 81 | 84,712 | |||
| Pool 735800, 8.00%, 01/01/35 | 194 | 235,839 | |||
| Pool 636449, 8.50%, 04/01/32 | 206 | 237,596 | |||
| Pool 458132, 8.78%, 03/15/31 | 55 | 59,447 | |||
| Pool 545436, 9.00%, 10/01/31 | 151 | 184,192 | |||
| Total U.S. Government Agency Pass-Through Certificates | 2,907,387 | ||||
| Total U.S. GOVERNMENT & AGENCY OBLIGATIONS | |||||
| (Cost $2,676,190) | 2,991,709 | ||||
| SECURITIZED CREDIT - 39.8% | |||||
| Commercial Mortgage-Backed Securities - 5.7% | |||||
| CDO Repack SPC Ltd. | |||||
| Series 2006-CLF1, Class D1, 1.00%, 05/20/30 (e) (u) | 4,140 | 4,289,773 | |||
| Class B Notes | |||||
| Browns Bridge, 9.50%, 11/01/20 (Acquired 10/28/15, Cost $118,000) (f) (l) (p) | 118 | 117,274 | |||
| Fayetteville, 9.50%, 11/01/20 (Acquired 10/28/15, Cost $28,444) (f) (l) (p) | 28 | 28,469 | |||
| Marshalls, 9.50%, 11/01/20 (Acquired 10/28/15, Cost $366,637) (f) (l) (p) | 367 | 366,828 | |||
| Moreland Avenue, 9.23%, 11/01/20 (Acquired 11/16/15, Cost $219,441) (f) (l) (p) | 219 | 217,650 | |||
| North River, 9.50%, 11/01/20 (Acquired 10/28/15, Cost $186,154) (f) (l) (p) | 186 | 186,775 | |||
| St. Louis Holiday Inn, 10.08%, 07/01/20 (Acquired 06/25/15, Cost $1,943,107) (f) (l) (p) | 1,943 | 1,922,182 | |||
| Town and Country, 9.50%, 11/01/20 (Acquired 10/28/15, Cost $486,276) (f) (l) (p) | 486 | 484,093 | |||
| Hilton USA Trust | |||||
| Series 2016-HHV, Class E, 4.19%, 11/05/38 (e) (v) | 20,000 | 12,614,072 | |||
| JP Morgan Chase Commercial Mortgage Securities Trust | |||||
| Series 2008-C2, Class AM, 6.57%, 02/12/51 (v) | 6,503 | 4,220,967 | |||
| Morgan Stanley Capital I Trust | |||||
| Series 2007-T25, Class AJ, 5.57%, 11/12/49 (v) | 5,857 | 5,862,480 | |||
| Series 2007-T27, Class AJ, 5.95%, 06/11/42 (v) | 2,210 | 2,205,365 | |||
| Soundview Home Loan Trust | |||||
| Series 2006-EQ1, Class A3, 1.11% (1 Month LIBOR USD + 0.16%), 10/25/36 (r) (s) (v) | 11,883 | 11,539,356 | |||
| Total Commercial Mortgage-Backed Securities | 44,055,284 | ||||
| Interest-Only Securities - 0.5% | |||||
| Government National Mortgage Association | |||||
| Series 2010-132, Class IO, 0.41%, 11/16/52 (v) | 995 | 43,327 | |||
| JP Morgan Mortgage Trust | |||||
| Series 2015-4, Class 2X1, 0.28%, 06/25/45 (e) (v) | 80,005 | 686,680 | |||
| Series 2014-5, Class AX4, 0.46%, 10/25/29 (e) (v) | 7,546 | 52,056 | |||
| Vendee Mortgage Trust | |||||
| Series 1997-2, Class IO, 0.00%, 06/15/27 (v) | 4,458 | 4 | |||
| Voyager CNTYW Delaware Trust | |||||
| Series 2009-1, Class 3QB1, 23.31%, 03/16/30 (e) (v) | 3,414 | 3,029,639 | |||
| Total Interest-Only Securities | 3,811,706 |
| Other - 4.1% | |||||
| GMACM Home Equity Loan Trust | |||||
| Series 2005-HE3, Class A2, 1.45% (1 Month LIBOR USD + 0.50%), 02/25/36 (s) (v) | 1,400 | 1,286,291 | |||
| Series 2005-HE3, Class A1VN, 1.45% (1 Month LIBOR USD + 0.50%), 02/25/36 (s) (v) | 1,254 | 1,195,929 | |||
| Series 2007-HE2, Class A2, 6.05%, 12/25/37 (v) | 1,005 | 975,942 | |||
| Series 2007-HE2, Class A3, 6.19%, 12/25/37 (v) | 1,937 | 1,886,636 | |||
| GMACM Home Loan Trust | |||||
| Series 2006-HLTV, Class A5, 6.51%, 10/25/29 (s) | 507 | 506,085 | |||
| Irwin Home Equity Loan Trust | |||||
| Series 2006-1, Class 2A3, 6.27%, 09/25/35 (e) (s) | 1,430 | 1,435,887 | |||
| Lehman ABS Manufactured Housing Contract Trust | |||||
| Series 2001-B, Class M1, 6.63%, 04/15/40 (v) | 8,265 | 8,378,709 | |||
| Mid-State Capital Corporation Trust | |||||
| Series 2004-1, Class M1, 6.50%, 08/15/37 | 2,061 | 2,133,115 | |||
| Series 2004-1, Class M2, 8.11%, 08/15/37 | 1,698 | 1,822,167 | |||
| Series 2004-1, Class B, 8.90%, 08/15/37 | 515 | 555,438 | |||
| Mid-State Trust X | |||||
| Series 10, Class B, 7.54%, 02/15/36 | 3,081 | 3,204,058 | |||
| Oakwood Mortgage Investors, Inc. | |||||
| Series 2001-E, Class A4, 6.81%, 12/15/31 | 4,751 | 4,722,013 | |||
| Series 2001-D, Class A4, 6.93%, 09/15/31 (v) | �� 693 | 522,180 | |||
| SFAVE Commercial Mortgage Securities Trust | |||||
| Series 2015-5AVE, Class D, 4.39%, 01/05/43 (e) (v) | 4,750 | 3,309,974 | |||
| Total Other | 31,934,424 | ||||
| Residential Mortgage-Backed Securities - 29.5% | |||||
| Alternative Loan Trust | |||||
| Series 2007-OA3, Class 1A1, 1.09% (1 Month LIBOR USD + 0.14%), 04/25/47 (s) (v) | 10,519 | 8,525,951 | |||
| Series 2007-HY6, Class A1, 1.16% (1 Month LIBOR USD + 0.21%), 08/25/47 (s) (v) | 3,358 | 2,694,687 | |||
| Series 2007-2CB, Class 2A11, 1.35% (1 Month LIBOR USD + 0.40%), 03/25/37 (v) | 3,615 | 1,687,226 | |||
| Series 2005-51, Class 4A1, 1.41% (1 Month LIBOR USD + 0.64%), 11/20/35 (s) (v) | 2,275 | 1,812,023 | |||
| Series 2005-10CB, Class 1A1, 1.45% (1 Month LIBOR USD + 0.50%), 05/25/35 (v) | 2,220 | 1,651,092 | |||
| Series 2007-16CB, Class 4A5, 1.45% (1 Month LIBOR USD + 0.50%), 08/25/37 (v) | 6,436 | 4,506,784 | |||
| Series 2006-19CB, Class A9, 1.65% (1 Month LIBOR USD + 0.70%), 08/25/36 (v) | 2,777 | 1,493,848 | |||
| Series 2005-84, Class 2A1, 3.67%, 02/25/36 (v) | 19,663 | 16,361,917 | |||
| Series 2007-12T1, Class A22, 5.75%, 06/25/37 | 2,260 | 1,295,190 | |||
| Series 2007-15CB, Class A2, 5.75%, 07/25/37 | 1,302 | 1,014,480 | |||
| Series 2007-15CB, Class A5, 5.75%, 07/25/37 | 1,198 | 933,810 | |||
| Series 2006-29T1, Class 2A5, 6.00%, 10/25/36 | 1,693 | 1,286,795 | |||
| Series 2006-41CB, Class 1A7, 6.00%, 01/25/37 | 1,459 | 1,047,721 | |||
| Series 2006-45T1, Class 2A5, 6.00%, 02/25/37 | 2,765 | 2,006,093 | |||
| Series 2006-29T1, Class 2A6, 6.50%, 10/25/36 | 2,656 | 2,104,785 | |||
| Series 2006-23CB, Class 2A7, 24.61% (1 Month LIBOR USD + 28.40%), 08/25/36 (i) (v) | 1,422 | 2,199,335 | |||
| Series 2006-29T1, Class 3A3, 68.82% (1 Month LIBOR USD + 78.40%), 10/25/36 (i) (v) | 670 | 2,416,571 | |||
| BCAP LLC Trust | |||||
| Series 2010-RR6, Class 1910, 2.31% (1 Month LIBOR USD + 0.33%), 11/26/35 (e) (s) (v) | 5,746 | 4,620,550 | |||
| Series 2010-RR5, Class 5A10, 2.31% (1 Month LIBOR USD + 0.33%), 11/26/35 (e) (v) | 4,556 | 3,680,851 | |||
| Series 2012-RR4, Class 5A6, 3.72%, 05/26/36 (e) (v) | 7,873 | 6,655,701 | |||
| Series 2013-RR2, Class 3A2, 4.07%, 03/26/36 (e) (v) | 2,893 | 2,608,216 | |||
| Chase Mortgage Finance Trust | |||||
| Series 2005-A2, Class 3A2, 3.56%, 01/25/36 (v) | 1,529 | 1,217,637 | |||
| Series 2007-A1, Class 11M1, 3.87%, 03/25/37 (v) | 3,668 | 3,194,294 | |||
| CHL Mortgage Pass-Through Trust | |||||
| Series 2006-20, Class 1A18, 1.60% (1 Month LIBOR USD + 0.65%), 02/25/37 (v) | 5,574 | 2,203,967 | |||
| Series 2007-5, Class A29, 5.50%, 05/25/37 | 268 | 184,543 | |||
| Series 2004-21, Class A10, 6.00%, 11/25/34 | 89 | 92,237 | |||
| Series 2007-18, Class 1A1, 6.00%, 11/25/37 | 353 | 261,627 | |||
| Citicorp Mortgage Securities Trust | |||||
| Series 2006-5, Class 1A11, 1.85% (1 Month LIBOR USD + 0.90%), 10/25/36 (v) | 703 | 532,526 | |||
| Citigroup Mortgage Loan Trust | |||||
| Series 2009-11, Class 8A2, 3.53%, 04/25/45 (e) (v) | 3,244 | 2,720,004 | |||
| Series 2012-6, Class 2A2, 3.98%, 08/25/36 (e) (v) | 10,841 | 9,561,874 | |||
| Series 2007-AR5, Class 1A2A, 4.06%, 04/25/37 (v) | 1,148 | 948,610 | |||
| Series 2009-6, Class 19A2, 6.00%, 03/25/36 (e) (v) | 3,005 | 2,689,169 | |||
| Series 2009-8, Class 2A2, 6.10%, 04/25/37 (e) (v) | 5,921 | 4,419,880 | |||
| Countrywide Asset-Backed Certificates | |||||
| Series 2006-13, Class 1AF4, 4.26%, 01/25/37 (v) | 3,570 | 3,365,346 | |||
| Credit Suisse Mortgage Trust | |||||
| Series 2011-10R, Class 3A2, 4.82%, 09/27/36 (e) (v) | 2,547 | 2,285,970 | |||
| First Horizon Alternative Mortgage Securities Trust | |||||
| Series 2005-FA8, Class 1A6, 1.60% (1 Month LIBOR USD + 0.65%), 11/25/35 (v) | 1,916 | 878,376 | |||
| GSAMP Trust | |||||
| Series 2006-NC2, Class A2C, 1.10% (1 Month LIBOR USD + 0.15%), 06/25/36 (s) (v) | 628 | 365,264 | |||
| GSR Mortgage Loan Trust | |||||
| Series 2007-1F, Class 4A1, 1.25% (1 Month LIBOR USD + 0.30%), 01/25/37 (v) | 7,784 | 2,464,955 |
| Home Equity Asset Trust | |||||
| Series 2006-7, Class 2A3, 1.10% (1 Month LIBOR USD + 0.15%), 01/25/37 (s) (v) | 7,093 | 5,812,432 | |||
| IndyMac INDA Mortgage Loan Trust | |||||
| Series 2007-AR1, Class 1A1, 3.68%, 03/25/37 (v) | 1,250 | 1,044,331 | |||
| Series 2007-AR3, Class 1A1, 4.60%, 07/25/37 (v) | 2,534 | 2,037,053 | |||
| IXIS Real Estate Capital Trust | |||||
| Series 2007-HE1, Class A1, 1.01% (1 Month LIBOR USD + 0.06%), 05/25/37 (s) (v) | 2,799 | 766,301 | |||
| Series 2006-HE3, Class A2, 1.05% (1 Month LIBOR USD + 0.10%), 01/25/37 (s) (v) | 772 | 254,358 | |||
| Series 2007-HE1, Class A2, 1.06% (1 Month LIBOR USD + 0.11%), 05/25/37 (s) (v) | 4,456 | 1,238,791 | |||
| Series 2006-HE2, Class A3, 1.11% (1 Month LIBOR USD + 0.16%), 08/25/36 (s) (v) | 14,588 | 4,669,984 | |||
| Series 2007-HE1, Class A3, 1.11% (1 Month LIBOR USD + 0.16%), 05/25/37 (s) (v) | 1,374 | 387,708 | |||
| Series 2007-HE1, Class A4, 1.18% (1 Month LIBOR USD + 0.23%), 05/25/37 (s) (v) | 2,605 | 750,468 | |||
| Series 2006-HE1, Class A4, 1.55% (1 Month LIBOR USD + 0.60%), 03/25/36 (s) (v) | 508 | 259,188 | |||
| JP Morgan Mortgage Trust | |||||
| Series 2007-A2, Class 3A2, 3.62%, 04/25/37 (v) | 8,466 | 6,559,991 | |||
| Series 2003-A1, Class B4, 3.67%, 10/25/33 (v) | 104 | 84,470 | |||
| Series 2003-A2, Class B4, 3.79%, 11/25/33 (v) | 73 | 1 | |||
| MASTR Asset Backed Securities Trust | |||||
| Series 2006-NC3, Class A3, 1.05% (1 Month LIBOR USD + 0.10%), 10/25/36 (s) (v) | 3,469 | 1,736,349 | |||
| Series 2006-NC2, Class A4, 1.10% (1 Month LIBOR USD + 0.15%), 08/25/36 (s) (v) | 9,371 | 4,329,593 | |||
| Series 2006-NC3, Class A4, 1.11% (1 Month LIBOR USD + 0.16%), 10/25/36 (s) (v) | 5,852 | 2,973,003 | |||
| Series 2006-HE5, Class A3, 1.11% (1 Month LIBOR USD + 0.16%), 11/25/36 (s) (v) | 13,769 | 8,911,255 | |||
| Series 2006-NC2, Class A5, 1.19% (1 Month LIBOR USD + 0.24%), 08/25/36 (s) (v) | 463 | 219,681 | |||
| Series 2005-NC2, Class A4, 1.65% (1 Month LIBOR USD + 0.70%), 11/25/35 (s) (v) | 9,252 | 6,142,753 | |||
| Nomura Resecuritization Trust | |||||
| Series 2014-1R, Class 2A11, 2.54% (1 Month LIBOR USD + 0.13%), 02/26/37 (e) (v) | 31,767 | 21,832,342 | |||
| Series 2015-1R, Class 4A7, 2.91%, 12/26/37 (e) (v) | 2,336 | 1,902,585 | |||
| Series 2015-11R, Class 4A5, 3.72%, 06/26/37 (e) (v) | 2,931 | 1,794,006 | |||
| Series 2015-1R, Class 3A7, 3.80%, 03/26/37 (e) (v) | 5,599 | 3,886,323 | |||
| Series 2014-2R, Class 1A7, 3.95%, 01/26/36 (e) (v) | 3,067 | 2,738,793 | |||
| Series 2015-6R, Class 2A4, 6.04%, 01/26/37 (e) (v) | 14,883 | 11,683,385 | |||
| Option One Mortgage Loan Trust | |||||
| Series 2007-FXD1, Class 3A6, 5.66%, 01/25/37 (s) | 457 | 431,609 | |||
| RALI Trust | |||||
| Series 2007-QO3, Class A1, 1.11% (1 Month LIBOR USD + 0.16%), 03/25/47 (s) (v) | 2,099 | 1,725,447 | |||
| Series 2006-QO7, Class 2A1, 2.82% (12 Month US Treasury Average + 0.85%), 09/25/46 (v) | 8,860 | 7,165,073 | |||
| Series 2006-QS14, Class A30, 68.94% (1 Month LIBOR USD + 81.25%), 11/25/36 (i) (v) | 89 | 291,730 | |||
| Residential Asset Securitization Trust | |||||
| Series 2005-A13, Class 1A1, 1.65% (1 Month LIBOR USD + 0.70%), 10/25/35 (v) | 4,241 | 2,930,221 | |||
| RFMSI Trust | |||||
| Series 2007-S3, Class 1A5, 5.50%, 03/25/37 | 2,039 | 1,660,741 | |||
| Securitized Asset Backed Receivables LLC Trust | |||||
| Series 2006-NC3, Class A2B, 1.10% (1 Month LIBOR USD + 0.15%), 09/25/36 (s) (v) | 6,465 | 2,535,532 | |||
| Series 2007-NC1, Class A2B, 1.10% (1 Month LIBOR USD + 0.15%), 12/25/36 (s) (v) | 4,372 | 2,535,923 | |||
| Washington Mutual Mortgage Pass-Through Certificates Trust | |||||
| Series 2007-OA1, Class A1A, 2.67% (12 Month US Treasury Average + 0.70%), 02/25/47 (v) | 2,726 | 2,166,195 | |||
| Series 2007-HY5, Class 1A1, 3.64%, 05/25/37 (v) | 2,849 | 2,383,158 | |||
| Series 2007-HY5, Class 3A1, 3.91%, 05/25/37 (v) | 1,523 | 1,286,457 | |||
| Wells Fargo Mortgage Backed Securities Trust | |||||
| Series 2006-AR5, Class 1A1, 4.21%, 04/25/36 (v) | 3,410 | 3,001,959 | |||
| Total Residential Mortgage-Backed Securities | 228,119,094 | ||||
| Total SECURITIZED CREDIT | |||||
| (Cost $371,727,293) | 307,920,508 | ||||
| CORPORATE CREDIT - 48.3% | |||||
| Automotive - 0.0% | |||||
| Motors Liquidation Co., 0.00%, 07/15/33 (f) (l) (n) | 8,250 | 825 | |||
| Basic Industrial - 1.3% | |||||
| Cascades, Inc., 5.38%, 01/15/28 (c) (e) (u) | 4,400 | 4,202,000 | |||
| INEOS Group Holdings SA, 5.63%, 08/01/24 (c) (e) (u) | 6,450 | 5,869,500 | |||
| Total Basic Industrial | 10,071,500 | ||||
| Construction & Building Materials - 5.6% | |||||
| Boise Cascade Co., 5.63%, 09/01/24 (c) (e) | 4,350 | 4,121,625 | |||
| Lennar Corp., 4.75%, 11/29/27 (c) (r) | 6,675 | 6,658,313 | |||
| M/I Homes, Inc., 4.95%, 02/01/28 (c) (e) | 7,025 | 5,962,469 | |||
| Meritage Homes Corp., 5.13%, 06/06/27 (c) | 6,500 | 6,110,000 | |||
| PulteGroup, Inc., 5.00%, 01/15/27 (c) | 7,100 | 7,084,380 | |||
| Taylor Morrison Communities, Inc., 5.63%, 03/01/24 (c) (e) | 2,832 | 2,662,080 | |||
| Taylor Morrison Communities, Inc., 5.88%, 06/15/27 (c) (e) (r) | 4,625 | 4,295,561 | |||
| Toll Brothers Finance Corp., 4.35%, 02/15/28 (c) (r) | 7,375 | 6,711,250 | |||
| Total Construction & Building Materials | 43,605,678 | ||||
| Diversified - 0.5% | |||||
| Five Point Operating Company LP, 7.88%, 11/15/25 (c) (e) | 4,750 | 4,085,000 |
| Energy - 1.1% | |||||
| EP Energy LLC, 6.38%, 06/15/23 (d) | 2,385 | 239 | |||
| EQT Corp., 7.00%, 02/01/30 (r) | 3,357 | 2,500,819 | |||
| Indigo Natural Resources LLC, 6.88%, 02/15/26 (e) | 677 | 446,962 | |||
| MEG Energy Corp., 7.13%, 02/01/27 (c) (e) (u) | �� 660 | 326,119 | |||
| Parsley Energy LLC, 5.63%, 10/15/27 (c) (e) | 6,975 | 4,917,375 | |||
| SM Energy Co., 5.00%, 01/15/24 | 793 | 261,690 | |||
| SM Energy Co., 5.63%, 06/01/25 | 690 | 188,032 | |||
| Total Energy | 8,641,236 | ||||
| Financial Services - 0.9% | |||||
| Ambac LSNI LLC, 6.45% (3 Month LIBOR USD + 5.00%), 02/12/23 (e) (u) (v) | 7,580 | 7,201,409 | |||
| Health Facilities - 2.4% | |||||
| HCA, Inc., 5.25%, 06/15/26 (c) | 11,000 | 11,536,455 | |||
| Tenet Healthcare Corp., 4.88%, 01/01/26 (c) (e) (r) | 6,975 | 6,643,687 | |||
| Total Health Facilities | 18,180,142 | ||||
| Infrastructure Services - 2.6% | |||||
| Ashtead Capital, Inc., 4.25%, 11/01/29 (e) (r) (u) | 4,600 | 3,896,453 | |||
| Terex Corp., 5.63%, 02/01/25 (c) (e) (r) | 8,625 | 8,108,362 | |||
| United Rentals North America, Inc., 5.50%, 05/15/27 (c) | 7,950 | 8,023,538 | |||
| Total Infrastructure Services | 20,028,353 | ||||
| Leisure - 4.1% | |||||
| Boyd Gaming Corp., 6.38%, 04/01/26 (c) | 4,600 | 3,979,000 | |||
| Cedar Fair LP, 5.25%, 07/15/29 (c) (e) | 4,415 | 3,730,675 | |||
| ESH Hospitality, Inc., 5.25%, 05/01/25 (c) (e) | 3,550 | 2,982,000 | |||
| GLP Capital LP, 5.38%, 04/15/26 (c) | 8,150 | 7,224,160 | |||
| MGM Growth Properties Operating Partnership LP, 4.50%, 01/15/28 (c) | 9,000 | 7,650,000 | |||
| VICI Properties LP, 4.63%, 12/01/29 (c) (e) | 6,950 | 6,341,041 | |||
| Total Leisure | 31,906,876 | ||||
| Media - 4.7% | |||||
| CCO Holdings LLC, 4.75%, 03/01/30 (c) (e) | 14,100 | 14,029,500 | |||
| CSC Holdings LLC, 5.50%, 04/15/27 (c) (e) (r) | 9,800 | 10,142,020 | |||
| CSC Holdings LLC, 10.88%, 10/15/25 (c) (e) | 5,128 | 5,544,650 | |||
| Lamar Media Corp., 5.75%, 02/01/26 (c) (r) | 6,375 | 6,470,625 | |||
| Total Media | 36,186,795 | ||||
| Metals & Mining - 3.4% | |||||
| Alcoa Nederland Holding BV, 7.00%, 09/30/26 (c) (e) (r) | 8,625 | 8,021,250 | |||
| ArcelorMittal SA, 6.13%, 06/01/25 (r) (u) | 6,075 | 6,013,688 | |||
| ArcelorMittal SA, 6.75%, 03/01/41 (c) (u) | 3,475 | 3,418,466 | |||
| Kinross Gold Corp., 4.50%, 07/15/27 (r) (u) | 9,000 | 8,470,890 | |||
| Total Metals & Mining | 25,924,294 | ||||
| Oil Gas Transportation & Distribution - 6.8% | |||||
| Antero Midstream Partners LP, 5.38%, 09/15/24 (c) | 5,825 | 4,046,627 | |||
| Buckeye Partners LP, 4.13%, 12/01/27 (c) | 2,750 | 2,254,175 | |||
| Crestwood Midstream Partners LP, 6.25%, 04/01/23 (c) | 5,000 | 2,801,000 | |||
| Enable Midstream Partners LP, 4.15%, 09/15/29 (r) | 12,048 | 5,343,546 | |||
| Energy Transfer Operating LP, 4.75%, 01/15/26 | 662 | 603,457 | |||
| EnLink Midstream LLC, 5.38%, 06/01/29 (c) | 5,245 | 2,727,400 | |||
| Genesis Energy LP, 6.50%, 10/01/25 (c) | 8,825 | 6,378,710 | |||
| Global Partners LP, 7.00%, 08/01/27 (c) | 4,925 | 3,693,750 | |||
| Holly Energy Partners LP, 5.00%, 02/01/28 (c) (e) | 5,327 | 4,461,363 | |||
| NuStar Logistics LP, 5.63%, 04/28/27 (c) | 4,750 | 3,651,800 | |||
| Parkland Fuel Corp., 6.00%, 04/01/26 (c) (e) (u) | 3,842 | 3,573,060 | |||
| Phillips 66 Partners LP, 3.75%, 03/01/28 (c) | 648 | 597,874 | |||
| Targa Pipeline Partners LP, 5.88%, 08/01/23 (c) | 5,725 | 5,309,938 | |||
| Targa Resources Partners LP, 5.25%, 05/01/23 (c) | 5,000 | 4,300,000 | |||
| Targa Resources Partners LP, 5.38%, 02/01/27 (c) | 2,300 | 1,892,900 | |||
| The Williams Companies, Inc., 3.75%, 06/15/27 | 648 | 593,590 | |||
| Total Oil Gas Transportation & Distribution | 52,229,190 | ||||
| Real Estate - 3.3% | |||||
| American Homes 4 Rent LP, 4.25%, 02/15/28 (r) | 7,375 | 7,308,326 | |||
| iStar, Inc., 4.25%, 08/01/25 (c) | 2,995 | 2,463,227 | |||
| iStar, Inc., 4.75%, 10/01/24 (c) | 1,000 | 840,000 | |||
| iStar, Inc., 5.25%, 09/15/22 (c) | 3,601 | 3,322,210 | |||
| Service Properties Trust, 4.95%, 02/15/27 (c) | 4,927 | 3,733,601 | |||
| Starwood Property Trust, Inc., 4.75%, 03/15/25 (c) (r) | 8,700 | 7,656,000 | |||
| Total Real Estate | 25,323,364 | ||||
| Telecommunication Services - 7.0% | |||||
| American Tower Corp., 3.60%, 01/15/28 (c) | 7,529 | 7,483,258 | |||
| Crown Castle International Corp., 3.80%, 02/15/28 (c) (r) | 8,975 | 9,174,795 | |||
| Digital Realty Trust LP, 3.60%, 07/01/29 (c) | 1,125 | 1,096,539 | |||
| Digital Realty Trust LP, 3.70%, 08/15/27 (r) | 6,809 | 6,760,231 | |||
| Equinix, Inc., 5.38%, 05/15/27 (c) | 8,900 | 8,801,210 | |||
| Level 3 Financing, Inc., 4.63%, 09/15/27 (c) (e) | 9,000 | 8,945,100 |
| SBA Communications Corp., 4.88%, 09/01/24 (c) | 7,025 | 7,121,594 | |||
| T-Mobile USA, Inc., 4.75%, 02/01/28 (c) | 4,575 | 4,766,235 | |||
| Total Telecommunication Services | 54,148,962 | ||||
| Transportation - 0.6% | |||||
| Watco Companies LLC, 6.38%, 04/01/23 (c) (e) | 5,050 | 4,923,750 | |||
| Utility - 4.0% | |||||
| AES Corp., 4.88%, 05/15/23 (r) | 3,654 | 3,516,938 | |||
| AES Corp., 6.00%, 05/15/26 (c) | 2,275 | 2,240,875 | |||
| Calpine Corp., 5.75%, 01/15/25 (c) | 2,119 | 1,960,075 | |||
| Emera, Inc., 6.75%, 06/15/76 (c) (u) (v) | 9,600 | 8,702,496 | |||
| NRG Energy, Inc., 6.63%, 01/15/27 (c) (r) | 6,875 | 7,150,000 | |||
| Pattern Energy Group, Inc., 5.88%, 02/01/24 (c) (e) | 7,550 | 7,494,734 | |||
| Total Utility | 31,065,118 | ||||
| Total CORPORATE CREDIT | |||||
| (Cost $418,040,428) | 373,522,492 | ||||
| Term Loans - 2.0% | |||||
| Buckeye Partners LP, 4.41% (1 Month LIBOR USD + 0.55%), 11/1/2026 (Acquired 10/16/19, Cost $1,990,000) (p) (v) | 2,000 | 1,824,000 | |||
| Crestwood Holdings LLC, 8.50% (3 Month LIBOR USD + 0.75%), 3/5/2023 (Acquired 02/20/18-10/09/18, Cost $3,608,069) (p) (v) | 3,660 | 1,449,202 | |||
| EPIC Y-Grade Services LP, 7.00% (1 Month LIBOR USD + 0.55%), 6/13/2024 (Acquired 06/07/18-03/04/19, Cost $4,325,895) (p) (v) | 4,400 | 3,176,800 | |||
| Level 3 Financing, Inc., 2.12% (1 Month LIBOR USD + 0.55%), 03/01/2027 (Acquired 02/06/2020, Cost $4,993,750) (p) (v) | 5,000 | 4,650,000 | |||
| Texas Nevada Transmission LLC, 0.00%, 10/31/2025 (Acquired 10/17/16, Cost $0) (p) | 26 | 276 | |||
| Zayo Group Holdings, Inc., 3.99% (1 Month LIBOR USD + 0.55%), 3/9/2027 (Acquired 2/21/20-2/24/20), Cost $4,996,250) (p) (v) | 5,000 | 4,700,000 | |||
| Total TERM LOANS | 15,800,278 | ||||
| (Cost $19,913,964) | |||||
| Shares | Value | ||||
| COMMON STOCKS - 32.0% | |||||
| Airports - 1.3% | |||||
| Aena SME SA (e) (u) | 32,390 | 3,514,136 | |||
| Grupo Aeroportuario del Pacifico SAB de CV (u) | 475,426 | 2,570,477 | |||
| Japan Airport Terminal Company Ltd. (u) | 18,249 | 701,343 | |||
| Sydney Airport (u) | 955,900 | 3,302,734 | |||
| Total Airports | 10,088,690 | ||||
| Communications - 3.0% | |||||
| American Tower Corp. (c) | 54,139 | 11,788,767 | |||
| China Tower Corporation Ltd. (e) (u) | 11,998,784 | 2,666,141 | |||
| Crown Castle International Corp. (c) | 5,665 | 818,026 | |||
| Infrastrutture Wireless Italiane SpA (e) (u) | 166,000 | 1,797,416 | |||
| SBA Communications Corp. (c) | 21,400 | 5,777,358 | |||
| Total Communications | 22,847,708 | ||||
| Datacenters - 0.5% | |||||
| CyrusOne, Inc. (c) | 19,580 | 1,209,065 | |||
| Digital Realty Trust, Inc. (c) | 10,700 | 1,486,337 | |||
| Equinix, Inc. (c) | 864 | 539,628 | |||
| Keppel DC REIT (u) | 327,960 | 526,347 | |||
| Total Datacenters | 3,761,377 | ||||
| Diversified - 1.0% | |||||
| CapitaLand Ltd. (u) | 307,999 | 617,208 | |||
| City Developments Ltd. (u) | 185,881 | 942,541 | |||
| CK Asset Holdings Ltd. (u) | 154,093 | 836,061 | |||
| Dexus (u) | 358,750 | 1,988,051 | |||
| Hufvudstaden AB (u) | 45,550 | 622,388 | |||
| Mirvac Group (u) | 397,049 | 504,449 | |||
| Sun Hung Kai Properties Ltd. (u) | 96,012 | 1,255,264 | |||
| Swire Properties Ltd. (u) | 280,002 | 782,254 | |||
| Tokyu Fudosan Holdings Corp. (u) | 68,574 | 329,368 | |||
| Total Diversified | 7,877,584 | ||||
| Electricity Transmission & Distribution - 2.1% | |||||
| CPFL Energia SA (u) | 175,306 | 910,926 | |||
| National Grid PLC (c) (u) | 927,285 | 10,834,630 | |||
| Sempra Energy (c) | 36,783 | 4,156,111 | |||
| Total Electricity Transmission & Distribution | 15,901,667 | ||||
| Gas Utilities - 0.5% | |||||
| China Gas Holdings Ltd. (u) | 518,730 | 1,793,732 | |||
| NiSource, Inc. (c) | 94,700 | 2,364,659 | |||
| Total Gas Utilities | 4,158,391 | ||||
| Healthcare - 0.5% | |||||
| CareTrust REIT, Inc. (c) | 39,378 | 582,401 | |||
| Healthpeak Properties, Inc. (c) | 29,638 | 706,866 | |||
| Physicians Realty Trust (c) | 63,935 | 891,254 | |||
| Welltower, Inc. (c) | 44,207 | 2,023,796 | |||
| Total Healthcare | 4,204,317 | ||||
| Hotel - 0.2% | |||||
| Host Hotels & Resorts, Inc. | 39,242 | 433,232 |
| Park Hotels & Resorts, Inc. | 67,630 | 534,953 | |||
| Pebblebrook Hotel Trust (c) | 27,647 | 301,076 | |||
| Ryman Hospitality Properties, Inc. | 8,374 | 300,208 | |||
| Total Hotel | 1,569,469 | ||||
| Industrial - 1.4% | |||||
| Americold Realty Trust (c) | 32,851 | 1,118,248 | |||
| Duke Realty Corp. | 22,720 | 735,674 | |||
| GLP J-REIT (u) | 1,094 | 1,240,536 | |||
| Granite Real Estate Investment Trust (u) | 10,343 | 427,229 | |||
| LaSalle Logiport REIT (u) | 570 | 772,660 | |||
| Mitsui Fudosan Logistics Park, Inc. (u) | 169 | 714,918 | |||
| Prologis, Inc. (c) | 50,082 | 4,025,090 | |||
| Tritax Big Box REIT PLC (c) (u) | 1,070,722 | 1,490,482 | |||
| Tritax EuroBox PLC (e) (u) | 342,416 | 398,108 | |||
| Total Industrial | 10,922,945 | ||||
| Manufactured Homes - 0.1% | |||||
| Sun Communities, Inc. | 3,377 | 421,618 | |||
| Midstream - 0.7% | |||||
| Cheniere Energy, Inc. (c) (n) | 53,800 | 1,802,300 | |||
| The Williams Companies, Inc. | 231,553 | 3,276,475 | |||
| Total Midstream | 5,078,775 | ||||
| Net Lease - 0.5% | |||||
| Four Corners Property Trust, Inc. (c) | 28,170 | 527,061 | |||
| MGM Growth Properties LLC (c) | 64,802 | 1,533,863 | |||
| National Retail Properties, Inc. (c) | 25,467 | 819,783 | |||
| VICI Properties, Inc. (c) | 53,552 | 891,105 | |||
| Total Net Lease | 3,771,812 | ||||
| Office - 1.5% | |||||
| Allied Properties Real Estate Investment Trust (u) | 28,041 | 891,462 | |||
| alstria office REIT-AG (n) (u) | 29,990 | 430,386 | |||
| Boston Properties, Inc. | 851 | 78,488 | |||
| CapitaLand Commercial Trust (u) | 888,398 | 953,304 | |||
| Cousins Properties, Inc. | 21,016 | 615,138 | |||
| Derwent London PLC (u) | 28,790 | 1,162,980 | |||
| Douglas Emmett, Inc. (c) | 33,927 | 1,035,113 | |||
| Gecina SA (u) | 4,861 | 639,658 | |||
| Invesco Office J-Reit, Inc. (u) | 4,776 | 632,643 | |||
| Keppel REIT (u) | 480,490 | 319,638 | |||
| Kilroy Realty Corp. (c) | 15,307 | 975,056 | |||
| MCUBS MidCity Investment Corp. (u) | 1,109 | 785,844 | |||
| Mitsui Fudosan Company Ltd. (u) | 101,313 | 1,754,206 | |||
| Vornado Realty Trust (c) | 24,860 | 900,180 | |||
| Total Office | 11,174,096 | ||||
| Pipeline (MLP) - 0.0% | |||||
| Thunderbird Resources Equity, Inc. (f) (l) (n) | 11 | 11 | |||
| Pipelines - 1.6% | |||||
| Pembina Pipeline Corp. (u) | 154,700 | 2,902,068 | |||
| TC Energy Corp. (c) (u) | 212,238 | 9,433,303 | |||
| Total Pipelines | 12,335,371 | ||||
| Rail - 1.9% | |||||
| Canadian Pacific Railway Ltd. (u) | 800 | 175,672 | |||
| Canadian Pacific Railway Ltd. (u) | 17,900 | 3,950,007 | |||
| CSX Corp. (c) | 42,400 | 2,429,520 | |||
| East Japan Railway Co. (u) | 40,300 | 3,049,517 | |||
| MTR Corp Ltd. (u) | 388,054 | 1,996,010 | |||
| Rumo SA (n) (u) | 848,938 | 3,215,315 | |||
| Total Rail | 14,816,041 | ||||
| Renewables/Electric Generation - 9.5% | |||||
| Ameren Corp. (c) | 64,500 | 4,697,535 | |||
| American Electric Power Company, Inc. (c) | 104,900 | 8,389,902 | |||
| Chubu Electric Power Company, Inc. (u) | 234,000 | 3,302,486 | |||
| CLP Holdings Ltd. (u) | 314,491 | 2,880,739 | |||
| CMS Energy Corp. (c) | 135,473 | 7,959,039 | |||
| EDP - Energias de Portugal SA (n) (u) | 727,600 | 2,927,417 | |||
| Entergy Corp. (c) | 71,200 | 6,690,664 | |||
| FirstEnergy Corp. (c) | 143,500 | 5,750,045 | |||
| NextEra Energy, Inc. (c) | 69,200 | 16,650,904 | |||
| Orsted A/S (e) (u) | 22,300 | 2,183,118 | |||
| RWE Ag (u) | 89,900 | 2,351,031 | |||
| Vistra Energy Corp. | 25,848 | 412,534 | |||
| Xcel Energy, Inc. (c) | 153,400 | 9,250,020 | |||
| Total Renewables/Electric Generation | 73,445,434 |
| Residential - 1.3% | |||||
| American Homes 4 Rent | 13,269 | 307,841 | |||
| AvalonBay Communities, Inc. (c) | 10,542 | 1,551,466 | |||
| Boardwalk Real Estate Investment Trust (u) | 40,969 | 666,951 | |||
| Deutsche Wohnen SE (u) | 41,700 | 1,580,377 | |||
| Equity Residential (c) | 34,015 | 2,099,066 | |||
| Essex Property Trust, Inc. (c) | 4,558 | 1,003,854 | |||
| Mid-America Apartment Communities, Inc. (c) | 12,972 | 1,336,505 | |||
| Vonovia SE (c) (n) (u) | 35,622 | 1,771,965 | |||
| Total Residential | 10,318,025 | ||||
| Retail - 0.2% | |||||
| Capital & Counties Properties PLC (u) | 108,400 | 220,666 | |||
| Federal Realty Investment Trust (c) | 6,073 | 453,106 | |||
| Hammerson PLC (u) | 234,462 | 223,559 | |||
| Hang Lung Properties Ltd. (u) | 305,081 | 615,208 | |||
| Retail Properties of America, Inc. (c) | 65,762 | 339,990 | |||
| Total Retail | 1,852,529 | ||||
| Self Storage - 0.3% | |||||
| Public Storage (c) | 12,981 | 2,578,156 | |||
| Toll Roads - 2.1% | |||||
| Atlantia SpA (c) (u) | 161,928 | 2,011,547 | |||
| Ferrovial SA (c) (n) (u) | 146,757 | 3,483,535 | |||
| Promotora y Operadora de Infraestructura SAB de CV (u) | 414,817 | 2,783,283 | |||
| Transurban Group (u) | 775,695 | 5,777,876 | |||
| Vinci SA (c) (u) | 27,400 | 2,238,837 | |||
| Total Toll Roads | 16,295,078 | ||||
| Water - 1.8% | |||||
| American Water Works Company, Inc. (c) | 57,200 | 6,838,832 | |||
| China Water Affairs Group Ltd. (u) | 2,459,054 | 1,836,494 | |||
| Pennon Group PLC (c) (u) | 414,500 | 5,542,338 | |||
| Total Water | 14,217,664 | ||||
| Total COMMON STOCKS | |||||
| (Cost $260,410,075) | 247,636,758 | ||||
| SHORT-TERM INVESTMENT - 18.3% | |||||
| Money Market Fund - 18.3% | |||||
| First American Treasury Obligations Fund, Class X, 0.32% (y) | 141,395,041 | 141,395,041 | |||
| Total SHORT-TERM INVESTMENT | |||||
| (Cost $141,395,041) | 141,395,041 | ||||
| Total Investments - 140.8% | |||||
| (Cost $1,214,162,991) | 1,089,266,786 | ||||
| Liabilities in Excess of Other Assets - (40.8)% | (315,760,938) | ||||
| TOTAL NET ASSETS - 100.0% | $ | 773,505,848 | |||
| LIBOR — London Interbank Offered Rate | |||||
| USD — United States Dollar | |||||
| LLC — Limited Liability Company | |||||
| LP — Limited Partnership | |||||
| MLP — Master Limited Partnership | |||||
| (c) - All or a portion of this security is pledged as collateral for credit facility. As of March 31, 2020, the total value of the collateral was $414,885,725. | |||||
| (d) - Issuer is currently in default on its regularly scheduled interest payment. | |||||
| (e) - Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2020, the total value of all such securities was $261,984,394 or 33.9% of net assets. | |||||
| (f) - Security fair valued in good faith pursuant to the fair value procedures adopted by the Board of Directors. As of March 31, 2020, the total value of all such securities was $3,324,107 or 0.4% of net assets. | |||||
| (i) - Security is an inverse floating rate bond. Reference interest rates are typically based on a negative multiplier or slope. | |||||
| (l) - Level 3 security - Value determined using significant unobservable inputs. | |||||
| (n) - Non-income producing security. | |||||
| (p) - Restricted security. Purchased in a private placement transaction; resale to the public may require registration. As of March 31, 2020 the total value of all such securities was $19,123,549 or 2.5% of net assets. | |||||
| (r) - Portion or entire principal amount delivered as collateral for reverse repurchase agreements. As of March 31, 2020, the total value of the collateral was $78,170,980. | |||||
| (s) - Security is a “step up” bond where the coupon increases or steps up at a predetermined date. Interest rate shown is the rate in effect as of March 31, 2020. | |||||
| (u) - Foreign security or a U.S. security of a foreign company. | |||||
| (v) - Variable rate security –Interest rate is based on reference rate and spread or based on the underlying assets. Interest rate may also be subject to a cap or floor. | |||||
| (y) - The rate quoted is the annualized seven-day yield as of March 31, 2020. | |||||
Notes to Schedule of Investments (Unaudited)
Valuation of Investments: The Fund’s Board of Trustees (the “Board”) has adopted procedures for the valuation of each Fund’s securities. The Adviser oversees the day to day responsibilities for valuation determinations under these procedures. The Board regularly reviews the application of these procedures to the securities in the Fund’s portfolio. The Adviser’s Valuation Committee is comprised of senior members of the Adviser’s management team.
Investments in equity securities listed or traded on any securities exchange or traded in the over-the-counter market are valued at the last trade price as of the close of business on the valuation date. If the NYSE closes early, then the equity security will be valued at the last traded price before the NYSE close. Prices of foreign equities that are principally traded on certain foreign markets will generally be adjusted daily pursuant to a fair value pricing service approved by the Board in order to reflect an adjustment for the factors occurring after the close of certain foreign markets but before the NYSE close. When fair value pricing is employed, the value of the portfolio securities used to calculate the Fund’s NAV may differ from quoted or official closing prices. Investments in open-end registered investment companies, if any, are valued at the NAV as reported by those investment companies.
Debt securities, including U.S. government securities, listed corporate bonds, other fixed income and asset-backed securities, and unlisted securities and private placement securities, are generally valued at the bid prices furnished by an independent pricing service or, if not valued by an independent pricing service, using bid prices obtained from active and reliable market makers in any such security or a broker-dealer. Valuations from broker-dealers or pricing services consider appropriate factors such as market activity, market activity of comparable securities, yield, estimated default rates, timing of payments, underlying collateral, coupon rate, maturity date, and other factors. Short-term debt securities with remaining maturities of sixty days or less are valued at amortized cost of discount or premium to maturity, unless such valuation, in the judgment of the Adviser’s Valuation Committee, does not represent fair value.
Securities for which market prices are not readily available cannot be determined using the sources described above, or the Adviser’s Valuation Committee determines that the quotation or price for a portfolio security provided by a broker-dealer or an independent pricing service is inaccurate will be valued at a fair value determined by the Adviser’s Valuation Committee following the procedures adopted by the Adviser under the supervision of the Board. The Adviser’s valuation policy establishes parameters for the sources, methodologies, and inputs the Adviser’s Valuation Committee uses in determining fair value.
The fair valuation methodology may include or consider the following guidelines, as appropriate: (1) evaluation of all relevant factors, including but not limited to, pricing history, current market level, supply and demand of the respective security; (2) comparison to the values and current pricing of securities that have comparable characteristics; (3) knowledge of historical market information with respect to the security; (4) other factors relevant to the security which would include, but not be limited to, duration, yield, fundamental analytical data, the Treasury yield curve, and credit quality. The fair value may be difficult to determine and thus judgment plays a greater role in the valuation process. Imprecision in estimating fair value can also impact the amount of unrealized appreciation or depreciation recorded for a particular portfolio security and differences in the assumptions used could result in a different determination of fair value, and those differences could be material. For those securities valued by fair valuations, the Adviser’s Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available. There can be no assurance that the Fund could purchase or sell a portfolio security at the price used to calculate the Fund’s NAV.
A three-tier hierarchy has been established to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical assets or liabilities
Level 2 - quoted prices in markets that are not active or other significant observable inputs (including, but not limited to: quoted prices for similar assets or liabilities, quoted prices based on recently executed
transactions, interest rates, credit risk, etc.)
Level 3 - significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of assets or liabilities)
The following table summarizes the Fund’s investments valuation inputs categorized in the disclosure hierarchy as of March 31, 2020:
| Asset Type | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Government & Agency Obligations | $ | - | $ | 2,991,709 | $ | - | $ | 2,991,709 | ||||||||
Securitized Credit | - | 304,597,237 | 3,323,271 | 307,920,508 | ||||||||||||
Corporate Credit | - | 373,521,667 | 825 | 373,522,492 | ||||||||||||
Term Loans | - | 15,800,278 | - | 15,800,278 | ||||||||||||
Common Stocks | 159,256,113 | 88,380,634 | 11 | 247,636,758 | ||||||||||||
Money Market Fund | 141,395,041 | - | - | 141,395,041 | ||||||||||||
Total Investments | $ | 300,651,154 | $ | 785,291,525 | $ | 3,324,107 | $ | 1,089,266,786 | ||||||||
The fair value of the Fund’s credit facility and reverse repurchase agreements, which qualify as financial instruments under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 820 Disclosures about Fair Values of Financial Instruments, approximates the carrying amounts presented herein. As of March 31, 2020, these financial instruments are categorized as a Level 2 within the disclosure hierarchy.
The table below shows the significant unobservable valuation inputs that were used by the Adviser’s Valuation Committee to fair value these Level 3 investments as of March 31, 2020.
| Quantitative Information about Level 3 Fair Value Measurements | ||||||
| Asset Type | Value as of March 31, 2020 | Valuation Approach | Valuation Methodology | Unobservable Input | Amount or Range/ (Weighted Average) | Impact to Valuation from an Increase in Input (1) |
| Securitized Credit | ||||||
| Class B Notes | $ 3,323,271 | Income Approach | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 6.3%-12.8% (10.6%) | Decrease |
| Corporate Credit | ||||||
| Motors Liquidation Co. | 825 | Asset-Based Approach | Analysis of Residual Value | Anticipated Residual Value | $0.01 | Increase |
Common Stocks | ||||||
| Thunderbird Resources Equity, Inc. | 11 | Asset-Based Approach | Analysis of Enterprise Value | Enterprise Value | $1 | Increase |
| Total | $ 3,324,107 | |||||
(1) The impact represents the expected directional change in the fair value of the Level 3 investments that would result from an increase in the corresponding input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs could result in significantly higher or lower fair value measurements. | ||||||
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| Investments in Securities | Securitized Credit | Corporate Credit | Common Stocks | Total | ||||||||||||
| Balance as of December 31, 2019 | $ | 3,353,491 | $ | 825 | $ | 11 | $ | 3,354,327 | ||||||||
| Accrued discounts (premiums) | - | - | - | - | ||||||||||||
| Realized gain (loss) | - | - | - | - | ||||||||||||
| Change in unrealized appreciation (depreciation) | (15,261 | ) | - | - | (15,261 | ) | ||||||||||
| Purchases at cost | - | - | - | - | ||||||||||||
| Sales proceeds | (14,949 | ) | - | - | (14,959 | ) | ||||||||||
| Balance as of March 31, 2020 | $ | 3,323,271 | $ | 825 | $ | 11 | $ | 3,324,107 | ||||||||
| Change in unrealized gains or losses relating to assets still held at the reporting date | $ | (15,261 | ) | $ | - | $ | - | $ | (15,261 | ) | ||||||
For further information regarding the security characteristics of the Fund, see the Schedule of Investments.
Credit facility: The Fund has established a line of credit with BNP Paribas for investment purposes subject to the limitations of the 1940 Act for borrowings by registered investment companies. The Fund pays interest in the amount of 0.70% plus the 3-month London Interbank Offered Rate (“LIBOR”) on the amount of eligible equity securities outstanding, and 0.80% plus the 3-month LIBOR on the amount of other eligible securities outstanding. As of March 31, 2020, the Fund had outstanding borrowings of $251,000,000. For the three months ended March 31, 2020, the Fund borrowed an average daily balance of $197,945,055 at a weighted average borrowing cost of 2.47%. As of March 31, 2020, the total value of the collateral was $414,885,725.
Reverse Repurchase Agreements: The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. The Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund to counterparties are reflected as a liability. Interest payments made by the Fund to counterparties are recorded as a component of interest expense. The Fund will segregate assets determined to be liquid by the Adviser or will otherwise cover its obligations under reverse repurchase agreements.
Reverse repurchase agreements involve the risk that the market value of the securities retained in lieu of sale by the Fund may decline below the price of the securities the Fund has sold but is obligated to repurchase. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision. Also, the Fund would bear the risk of loss to the extent that the proceeds of the reverse repurchase agreement are less than the value of the securities subject to such agreements.
At March 31, 2020, the Fund had the following reverse repurchase agreements outstanding:
| Counterparty | Borrowing Rate | Borrowing Date | Maturity Date | Amount Borrowed(1) | Payable For Reverse Repurchase Agreements | ||||
| JPMorgan Chase | 1.25% | 03/13/20 | 04/07/20 | $ | 1,491,000 | $ | 1,491,984 | ||
| JPMorgan Chase | 1.35 | 03/05/20 | 04/07/20 | 3,966,000 | 3,970,016 | ||||
| JPMorgan Chase | 1.45 | 03/05/20 | 04/07/20 | 10,881,000 | 10,892,833 | ||||
| JPMorgan Chase | 1.55 | 03/05/20 | 04/07/20 | 213,000 | 213,248 | ||||
| JPMorgan Chase | 1.65 | 03/13/20 | 04/07/20 | 5,965,000 | 5,970,194 | ||||
| JPMorgan Chase | 2.00 | 03/17/20 | 04/07/20 | 2,432,000 | 2,434,027 | ||||
| JPMorgan Chase | 2.50 | 03/17/20 | 04/07/20 | 1,548,000 | 1,549,613 | ||||
| JPMorgan Chase | 2.50 | 03/23/20 | 04/07/20 | 3,703,000 | 3,705,314 | ||||
| JPMorgan Chase | 2.75 | 03/17/20 | 04/04/20 | 9,251,000 | 9,261,600 | ||||
| RBC Capital Markets | 2.25 | 02/14/20 | 05/13/20 | 9,473,000 | 9,500,874 | ||||
| RBC Capital Markets | 2.25 | 02/21/20 | 05/21/20 | 6,168,000 | 6,183,392 | ||||
| RBC Capital Markets | 2.26 | 02/13/20 | 05/13/20 | 4,089,000 | 4,101,307 | ||||
| RBC Capital Markets | 2.46 | 01/03/20 | 04/03/20 | 4,731,000 | 4,759,753 | ||||
| RBC Capital Markets | 2.95 | 03/18/20 | 06/18/20 | 4,710,375 | 4,715,779 | ||||
| Total | $ | 68,621,375 | $ | 68,749,934 | |||||
(1) | The average daily balance of reverse repurchase agreements outstanding for the Fund during the three months ended March 31, 2020 was $58,917,611 at a weighted average daily interest rate of 2.33%. As of March 31, 2020, the total value of the collateral was $78,170,980. |
The following is a summary of the reverse repurchase agreements by the type of collateral and the remaining contractual maturity of the agreements:
Overnight and Continuous | Up to 30 Days | 30 to 90 Days | Greater Than 90 Days | Total | ||||||||||||||||
| Corporate Credit | $ | - | $ | 44,181,000 | $ | 24,440,375 | $ | - | $ | 68,621,375 | ||||||||||
| Total | $ | - | $ | 44,181,000 | $ | 24,440,375 | $ | - | $ | 68,621,375 | ||||||||||