BROOKFIELD REAL ASSETS INCOME FUND INC. Schedule of Investments (Unaudited) March 31, 2024 | ||||||
Principal Amount | Value | |||||
| U.S. GOVERNMENT & AGENCY OBLIGATIONS – 0.2% | ||||||
| U.S. Government Agency Collateralized Mortgage Obligations – 0.0% | ||||||
| Federal National Mortgage Association | ||||||
6.85%, 1997-79, Class PL, 12/18/27 | $ | 19,310 | $ | 19,655 | ||
| U.S. Government Agency Pass-Through Certificates – 0.2% | ||||||
| Federal Home Loan Mortgage Corporation | ||||||
7.00%, Pool C69047, 06/01/32 | 116,992 | 122,059 | ||||
8.00%, Pool C56878, 08/01/31 | 30,551 | 31,380 | ||||
8.00%, Pool C59641, 10/01/31 | 25,650 | 26,353 | ||||
8.50%, Pool C55167, 07/01/31 | 28,840 | 29,493 | ||||
8.50%, Pool C55169, 07/01/31 | 36,738 | 38,037 | ||||
| Federal National Mortgage Association | ||||||
7.00%, Pool 645913, 06/01/32 | 114,270 | 118,610 | ||||
7.00%, Pool 645912, 06/01/32 | 111,491 | 115,931 | ||||
7.00%, Pool 650131, 07/01/32 | 121,308 | 126,566 | ||||
7.50%, Pool 827853, 10/01/29 | 4,886 | 4,856 | ||||
7.50%, Pool 545990, 04/01/31 | 80,886 | 83,070 | ||||
7.50%, Pool 255053, 12/01/33 | 35,875 | 37,947 | ||||
7.50%, Pool 735576, 11/01/34 | 78,124 | 81,461 | ||||
7.50%, Pool 896391, 06/01/36 | 69,722 | 71,575 | ||||
8.00%, Pool 735800, 01/01/35 | 99,613 | 106,775 | ||||
8.16%, Pool 458132, 03/15/31 | 168 | 168 | ||||
8.50%, Pool 636449, 04/01/32 | 102,330 | 108,617 | ||||
9.00%, Pool 545436, 10/01/31 | 86,918 | 93,958 | ||||
| Total U.S. Government Agency Pass-Through Certificates | 1,196,856 | |||||
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost $1,176,363) | 1,216,511 | |||||
| SECURITIZED CREDIT – 41.8% | ||||||
| Commercial Mortgage-Backed Securities – 10.3% | ||||||
| ACAM Ltd. | ||||||
| 8.19%, 2019-FL1, Class D (CME Term SOFR 1 Month + 2.86%), 11/17/34(a)(b)(c) | 1,902,000 | 1,895,171 | ||||
| 8.44%, 2019-FL1, Class E (CME Term SOFR 1 Month + 3.11%), 11/17/34(a)(b)(c) | 2,098,000 | 1,995,454 | ||||
| ACRES Commercial Realty Ltd. | ||||||
| 8.09%, 2021-FL1, Class D (CME Term SOFR 1 Month + 2.76%), 06/15/36(a)(b)(c) | 1,000,000 | 881,089 | ||||
| BAMLL Commercial Mortgage Securities Trust | ||||||
| 10.44%, 2021-JACX, Class F (CME Term SOFR 1 Month + 5.11%), 09/15/38(a)(c) | 5,000,000 | 4,157,629 | ||||
| BBCMS Mortgage Trust | ||||||
| 10.24%, 2021-AGW, Class G (CME Term SOFR 1 Month + 4.91%), 06/15/36(a)(c) | 4,000,000 | 3,382,551 | ||||
| BBCMS Trust | ||||||
| 8.45%, 2018-BXH, Class F (CME Term SOFR 1 Month + 3.12%), 10/15/37(a)(c) | 3,000,000 | 2,871,722 | ||||
| Beast Mortgage Trust | ||||||
| 9.89%, 2021-1818, Class F (CME Term SOFR 1 Month + 4.56%), 03/15/36(a)(c) | 1,250,000 | 764,716 | ||||
| Benchmark Mortgage Trust | ||||||
3.09%, 2018-B6, Class E, 10/10/51(a) | 2,000,000 | 927,018 | ||||
| BWAY Mortgage Trust | ||||||
4.87%, 2022-26BW, Class E, 02/10/44(a)(b) | 3,000,000 | 2,016,432 | ||||
| BX Trust | ||||||
| 7.68%, 2021-ARIA, Class E (CME Term SOFR 1 Month + 2.36%), 10/15/36(a)(c) | 1,000,000 | 973,895 | ||||
| 9.47%, 2021-SDMF, Class J (CME Term SOFR 1 Month + 4.15%), 09/15/34(a)(c) | 4,796,264 | 4,406,338 | ||||
| CGDB Commercial Mortgage Trust | ||||||
| 8.43%, 2019-MOB, Class G (CME Term SOFR 1 Month + 3.11%), 11/15/36(a)(c) | 2,441,000 | 2,319,145 | ||||
| Citigroup Commercial Mortgage Trust | ||||||
| 10.09%, 2021-KEYS, Class G (CME Term SOFR 1 Month + 4.76%), 10/15/36(a)(c) | 3,500,000 | 3,400,985 | ||||
| CLNC Ltd. | ||||||
| 8.64%, 2019-FL1, Class E (CME Term SOFR 1 Month + 3.31%), 08/20/35(a)(b)(c) | 3,000,000 | 2,797,395 | ||||
| Federal Home Loan Mortgage Corp. | ||||||
4.33%, K-152, Class X3, 11/25/55 | 5,250,000 | 1,435,217 | ||||
| FS Rialto | ||||||
| 7.94%, 2019-FL1, Class C (CME Term SOFR 1 Month + 2.61%), 12/16/36(a)(b)(c) | 2,000,000 | 1,979,234 | ||||
| GS Mortgage Securities Trust | ||||||
2.45%, 2020-GC47, Class F, 05/12/53(a) | 3,500,000 | 1,820,613 | ||||
| Hilton USA Trust | ||||||
4.12%, 2016-SFP, Class C, 11/05/35(a) | 581,000 | 313,922 | ||||
4.19%, 2016-HHV, Class E, 11/05/38(a) | 11,000,000 | 10,276,660 | ||||
4.93%, 2016-SFP, Class D, 11/05/35(a) | 1,929,000 | 959,076 | ||||
5.52%, 2016-SFP, Class E, 11/05/35(a) | 1,300,000 | 130,000 | ||||
| JP Morgan Chase Commercial Mortgage Securities Trust | ||||||
6.35%, 2007-LD12, Class AJ, 02/15/51 | 28,656 | 28,208 | ||||
6.60%, 2008-C2, Class AM, 02/12/51 | 4,858,691 | 2,523,402 | ||||
| 9.71%, 2021-HTL5, Class F (CME Term SOFR 1 Month + 4.38%), 11/15/38(a)(c) | 3,201,000 | 3,074,988 | ||||
| 10.29%, 2021-1440, Class F (CME Term SOFR 1 Month + 4.96%), 03/15/36(a)(c)(d) | 2,586,000 | 1,877,436 | ||||
| KIND Trust | ||||||
| 8.69%, 2021-KIND, Class E (CME Term SOFR 1 Month + 3.36%), 08/15/38(a)(c) | 1,487,782 | 1,425,636 | ||||
| 9.39%, 2021-KIND, Class F (CME Term SOFR 1 Month + 4.06%), 08/15/38(a)(c) | 3,331,912 | 3,055,392 | ||||
| Last Mile Securities | ||||||
| 8.92%, 2021-1A, Class F (3 Month EURIBOR + 5.00%), 08/17/31(a)(b)(c) | €2,037,581 | 2,125,027 | ||||
| Morgan Stanley Capital I Trust | ||||||
2.73%, 2017-HR2, Class D, 12/15/50 | $3,000,000 | 2,241,804 | ||||
| Taurus CMBS | ||||||
7.57%, 2021-UK5, Class E (SONIA + 2.35%), 05/17/31(b)(c) | £ 861,000 | 1,038,783 | ||||
8.32%, 2021-UK4X, Class E (SONIA + 3.10%), 08/17/31(b)(c) | 644,923 | 774,999 | ||||
| TPG Real Estate Finance Issuer Ltd. | ||||||
| 9.79%, 2021-FL4, Class E (CME Term SOFR 1 Month + 4.46%), 03/15/38(a)(b)(c) | $4,000,000 | 3,536,351 | ||||
| TTAN | ||||||
| 9.64%, 2021-MHC, Class G (CME Term SOFR 1 Month + 4.31%), 03/15/38(a)(c) | 4,197,820 | 3,966,567 | ||||
| VMC Finance LLC | ||||||
| 8.94%, 2021-FL4, Class D (CME Term SOFR 1 Month + 3.61%), 06/16/36(a)(c) | 893,000 | 774,748 | ||||
| 9.39%, 2021-FL4, Class E (CME Term SOFR 1 Month + 4.06%), 06/16/36(a)(c) | 3,107,000 | 2,648,909 | ||||
| 9.94%, 2021-HT1, Class B (CME Term SOFR 1 Month + 4.61%), 01/18/37(a)(c) | 5,000,000 | 4,771,423 | ||||
| Wachovia Bank Commercial Mortgage Trust | ||||||
5.79%, 2006-C28, Class E, 10/15/48 | 1,038,138 | 1,034,666 | ||||
| Total Commercial Mortgage-Backed Securities | 84,602,601 | |||||
| Commercial Real Estate – 2.0% | ||||||
| 111 Wall Street | ||||||
| 13.62% (1 Month US LIBOR + 9.25%), 03/31/24, (Acquired 6/9/2021 - 2/9/2024, cost $4,694,226)(c)(d)(e) | 4,702,934 | 3,546,012 | ||||
| 125 West End Office Mezz LLC | ||||||
| 14.90% (CME Term SOFR 1 Month + 10.50%), 03/12/26, (Acquired 3/11/2021 - 3/1/2024, cost $3,165,142)(c)(d)(e) | 3,188,394 | 3,188,394 | ||||
| 575 Lexington Junior Mezz | ||||||
| 30.36% (1 Month US LIBOR + 25.00%), 06/18/25, (Acquired 3/17/2021 - 1/15/2024, cost $4,816,574)(c)(d)(e)(f) | 5,947,676 | 4,086,053 | ||||
| 575 Lexington Senior Mezz | ||||||
| 10.75%, 06/18/25, (Acquired 9/20/2023 - 3/14/2024, cost $1,096,730)(d)(e) | 1,096,730 | 1,096,730 | ||||
| Hyatt Lost Pines | ||||||
| 9.41% (CME Term SOFR 1 Month + 6.70%), 09/09/24, (Acquired 9/17/2021, cost $4,995,921)(c)(d)(e) | 5,000,000 | 5,000,000 | ||||
| Total Commercial Real Estate | 16,917,189 | |||||
| Interest-Only Securities – 0.2% | ||||||
| Government National Mortgage Association | ||||||
0.41%, 2010-132, Class IO, 11/16/52 | 183,390 | 467 | ||||
| JP Morgan Mortgage Trust | ||||||
0.23%, 2021-INV1, Class AX1, 10/25/51(a) | 44,870,962 | 500,280 | ||||
0.24%, 2014-5, Class AX4, 10/25/29(a) | 1,689,119 | 4,487 | ||||
0.25%, 2015-4, Class 2X1, 06/25/45(a) | 35,106,288 | 270,234 | ||||
| Mello Mortgage Capital Acceptance | ||||||
0.11%, 2021-INV1, Class AX1, 06/25/51(a) | 47,971,823 | 265,831 | ||||
| Morgan Stanley Capital I Trust | ||||||
1.25%, 2016-UBS9, Class XE, 03/15/49(a) | 14,999,000 | 309,471 | ||||
| Vendee Mortgage Trust | ||||||
0.00%, 1997-2, Class IO, 06/15/27 | 1,407,187 | 1 | ||||
| Total Interest-Only Securities | 1,350,771 | |||||
| Other – 1.0% | ||||||
| Lehman ABS Manufactured Housing Contract Trust | ||||||
6.63%, 2001-B, Class M1, 04/15/40 | 2,540,769 | 2,493,330 | ||||
| Mid-State Trust X | ||||||
7.54%, 10, Class B, 02/15/36 | 1,181,224 | 1,180,357 | ||||
| Oakwood Mortgage Investors, Inc. | ||||||
6.81%, 2001-E, Class A4, 12/15/31 | 2,317,197 | 2,225,053 | ||||
6.93%, 2001-D, Class A4, 09/15/31 | 460,373 | 228,574 | ||||
| Progress Residential Trust | ||||||
4.50%, 2023-SFR2, Class D, 10/17/28(a) | 2,500,000 | 2,340,145 | ||||
| Total Other | 8,467,459 | |||||
| Residential Mortgage-Backed Securities – 28.3% | ||||||
| Alternative Loan Trust | ||||||
| 0.00%, 2006-41CB, Class 1A14 (CME Term SOFR 1 Month + 5.24%), 01/25/37(c)(g) | 6,257,257 | 575,503 | ||||
4.91%, 2005-84, Class 2A1, 02/25/36 | 8,666,173 | 8,026,911 | ||||
| 5.50%, 2005-10CB, Class 1A1 (CME Term SOFR 1 Month + 0.61%), 05/25/35(c) | 1,190,623 | 913,290 | ||||
| 5.72%, 2007-OA3, Class 1A1 (CME Term SOFR 1 Month + 0.39%), 04/25/47(c) | 5,653,120 | 4,753,895 | ||||
| 5.75%, 2007-2CB, Class 2A11 (CME Term SOFR 1 Month + 0.51%), 03/25/37(c) | 2,309,033 | 925,193 | ||||
5.75%, 2007-12T1, Class A22, 06/25/37 | 1,675,659 | 735,572 | ||||
| 5.86%, 2007-HY6, Class A1 (CME Term SOFR 1 Month + 0.53%), 08/25/47(c) | 2,003,691 | 1,637,950 | ||||
| 5.94%, 2007-16CB, Class 4A5 (CME Term SOFR 1 Month + 0.61%), 08/25/37(c) | 3,563,237 | 2,257,119 | ||||
| 6.00%, 2006-19CB, Class A9 (CME Term SOFR 1 Month + 0.81%), 08/25/36(c) | 1,789,138 | 875,901 | ||||
6.00%, 2006-29T1, Class 2A5, 10/25/36 | 1,093,853 | 598,390 | ||||
6.00%, 2006-45T1, Class 2A5, 02/25/37 | 2,008,563 | 1,069,937 | ||||
6.50%, 2006-29T1, Class 2A6, 10/25/36 | 1,716,514 | 993,152 | ||||
| 6.62%, 2006-23CB, Class 2A7 (CME Term SOFR 1 Month + 27.94%), 08/25/36(c)(g) | 1,191,576 | 653,004 | ||||
5.75%, 2007-15CB, Class A2, 07/25/37(b) | 1,621,425 | 950,851 | ||||
| 23.33%, 2006-29T1, Class 3A3 (CME Term SOFR 1 Month + 77.24%), 10/25/36(c)(g) | 633,319 | 773,256 | ||||
6.00%, 2006-41CB, Class 1A7, 01/25/37(b) | 12,240,537 | 6,311,150 | ||||
| Bellemeade Re Ltd. | ||||||
8.47%, 2021-3A, Class M2 (SOFR30A + 3.15%), 09/25/31(a)(b)(c) | 1,389,000 | 1,400,546 | ||||
| BRAVO Residential Funding Trust | ||||||
5.50%, 2022-NQM3, Class A3, 07/25/62(a) | 1,634,942 | 1,621,926 | ||||
7.49%, 2023-NQM5, Class B1, 06/25/63(a) | 1,000,000 | 983,403 | ||||
| Chase Mortgage Finance Trust | ||||||
4.35%, 2007-A1, Class 11M1, 03/25/37 | 1,814,040 | 1,628,361 | ||||
4.79%, 2005-A2, Class 3A2, 01/25/36 | 669,856 | 568,692 | ||||
| CHL Mortgage Pass-Through Trust | ||||||
5.50%, 2007-5, Class A29, 05/25/37 | 161,572 | 75,650 | ||||
6.00%, 2004-21, Class A10, 11/25/34 | 35,904 | 34,506 | ||||
| 6.00%, 2006-20, Class 1A18 (CME Term SOFR 1 Month + 0.76%), 02/25/37(c) | 3,739,692 | 1,517,902 | ||||
6.00%, 2007-18, Class 1A1, 11/25/37 | 183,203 | 85,868 | ||||
| CHNGE Mortgage Trust | ||||||
3.99%, 2022-1, Class M1, 01/25/67(a) | 2,700,000 | 2,197,466 | ||||
4.55%, 2022-1, Class B1, 01/25/67(a) | 2,500,000 | 2,058,267 | ||||
4.62%, 2022-2, Class B1, 03/25/67(a) | 3,000,000 | 2,362,970 | ||||
8.24%, 2023-2, Class M1, 06/25/58(a) | 3,500,000 | 3,526,080 | ||||
8.44%, 2023-4, Class M1, 09/25/58(a)(b) | 1,641,000 | 1,635,157 | ||||
| Citicorp Mortgage Securities Trust | ||||||
| 6.34%, 2006-5, Class 1A11 (CME Term SOFR 1 Month + 1.01%), 10/25/36(c) | 301,551 | 245,090 | ||||
| Citigroup Mortgage Loan Trust | ||||||
4.91%, 2007-AR5, Class 1A2A, 04/25/37 | 343,956 | 311,654 | ||||
6.10%, 2009-8, Class 2A2, 04/25/37(a) | 4,272,643 | 2,171,548 | ||||
| CWABS Asset-Backed Certificates | ||||||
3.98%, 2006-13, Class 1AF4, 01/25/37 | 713,674 | 676,595 | ||||
| Deephaven Residential Mortgage Trust | ||||||
4.34%, 2022-2, Class B1, 03/25/67(a) | 3,000,000 | 2,374,668 | ||||
| Eagle Re Ltd. | ||||||
9.27%, 2023-1, Class M1B (SOFR30A + 3.95%), 09/26/33(a)(b)(c) | 5,000,000 | 5,164,018 | ||||
| First Horizon Alternative Mortgage Securities Trust | ||||||
| 5.50%, 2005-FA8, Class 1A6 (CME Term SOFR 1 Month + 0.76%), 11/25/35(c) | 1,079,424 | 472,372 | ||||
| GCAT Trust | ||||||
5.75%, 2022-NQM4, Class M1, 08/25/67(a) | 250,000 | 238,052 | ||||
5.73%, 2022-NQM4, Class A3, 08/25/67(a)(b)(h) | 1,296,365 | 1,297,131 | ||||
| GMACM Home Equity Loan Trust | ||||||
6.05%, 2007-HE2, Class A2, 12/25/37 | 293,059 | 283,019 | ||||
6.19%, 2007-HE2, Class A3, 12/25/37 | 564,554 | 546,481 | ||||
| 5.94%, 2005-HE3, Class A2 (CME Term SOFR 1 Month + 0.61%), 02/25/36(b)(c) | 951,817 | 900,421 | ||||
| GSAMP Trust | ||||||
| 5.74%, 2006-NC2, Class A2C (CME Term SOFR 1 Month + 0.41%), 06/25/36(c) | 444,919 | 238,379 | ||||
| GSR Mortgage Loan Trust | ||||||
4.71%, 2006-AR1, Class 2A4, 01/25/36 | 2,004,437 | 1,840,567 | ||||
| 5.74%, 2007-1F, Class 4A1 (CME Term SOFR 1 Month + 0.41%), 01/25/37(c) | 5,741,014 | 1,354,324 | ||||
| Home Equity Asset Trust | ||||||
| 5.74%, 2006-7, Class 2A3 (CME Term SOFR 1 Month + 0.41%), 01/25/37(c) | 3,540,305 | 2,946,959 | ||||
| Home RE Ltd. | ||||||
8.12%, 2021-2, Class M1C (SOFR30A + 2.80%), 01/25/34(a)(c) | 4,647,000 | 4,662,231 | ||||
8.57%, 2021-2, Class M2 (SOFR30A + 3.25%), 01/25/34(a)(c) | 5,331,000 | 5,323,631 | ||||
| Imperial Fund Mortgage Trust | ||||||
5.39%, 2022-NQM5, Class A1, 08/25/67(a)(h) | 626,648 | 625,566 | ||||
6.12%, 2022-NQM5, Class A2, 08/25/67(a)(h) | 417,766 | 421,399 | ||||
6.25%, 2022-NQM5, Class M1, 08/25/67(a)(h) | 1,026,000 | 1,033,246 | ||||
| Indymac INDA Mortgage Loan Trust | ||||||
4.02%, 2007-AR1, Class 1A1, 03/25/37 | 609,123 | 457,679 | ||||
4.66%, 2007-AR3, Class 1A1, 07/25/37 | 1,522,462 | 1,288,555 | ||||
| Irwin Home Equity Loan Trust | ||||||
6.27%, 2006-1, Class 2A3, 09/25/35(a)(h) | 240,057 | 238,501 | ||||
| JP Morgan Mortgage Trust | ||||||
4.58%, 2007-A2, Class 3A2, 04/25/37 | 3,650,623 | 2,896,345 | ||||
5.37%, 2003-A2, Class B4, 11/25/33 | 73,205 | 1 | ||||
5.38%, 2003-A1, Class B4, 10/25/33 | 82,607 | 68,347 | ||||
2.98%, 2021-INV1, Class B5, 10/25/51(a)(b) | 827,000 | 301,603 | ||||
7.82%, 2023-HE3, Class M2 (SOFR30A + 2.50%), 05/25/54(a)(c) | 1,695,000 | 1,716,237 | ||||
9.22%, 2024-CES1, Class B2, 06/25/54(a) | 1,101,000 | 1,102,412 | ||||
| JPMorgan Chase Bank NA | ||||||
6.62%, 2021-CL1, Class M1 (SOFR30A + 1.30%), 03/25/51(a)(c) | 451,376 | 435,072 | ||||
6.87%, 2021-CL1, Class M2 (SOFR30A + 1.55%), 03/25/51(a)(c) | 151,413 | 145,056 | ||||
| 7.54%, 2019-CL1, Class M3 (CME Term SOFR 1 Month + 2.21%), 04/25/47(a)(c) | 159,795 | 160,087 | ||||
| 8.79%, 2020-CL1, Class M3 (CME Term SOFR 1 Month + 3.46%), 10/25/57(a)(c) | 156,524 | 158,877 | ||||
| 9.79%, 2020-CL1, Class M4 (CME Term SOFR 1 Month + 4.46%), 10/25/57(a)(c) | 179,913 | 182,859 | ||||
| MASTR Asset Backed Securities Trust | ||||||
| 5.64%, 2006-NC3, Class A3 (CME Term SOFR 1 Month + 0.31%), 10/25/36(c) | 2,562,379 | 1,222,901 | ||||
| 5.76%, 2006-NC3, Class A4 (CME Term SOFR 1 Month + 0.43%), 10/25/36(c) | 4,323,049 | 2,063,186 | ||||
| 5.92%, 2006-NC2, Class A5 (CME Term SOFR 1 Month + 0.59%), 08/25/36(c) | 367,144 | 133,080 | ||||
| Mello Mortgage Capital Acceptance | ||||||
2.79%, 2021-INV1, Class B6, 06/25/51(a) | 352,021 | 115,505 | ||||
2.96%, 2021-INV1, Class B4, 06/25/51(a)(b) | 607,305 | 394,604 | ||||
| MFA Trust | ||||||
3.29%, 2021-INV1, Class B1, 01/25/56(a) | 700,000 | 627,829 | ||||
| New Residential Mortgage Loan Trust | ||||||
8.07%, 2022-RTL1, Class A1V (SOFR30A + 2.75%), 12/25/26(a)(c) | 2,000,000 | 2,002,108 | ||||
| New York Mortgage Trust, Inc. | ||||||
7.15%, 2024-BPL1, Class A1, 02/25/29(a)(h) | 2,000,000 | 2,003,234 | ||||
| NewRez Warehouse Securitization Trust | ||||||
| 8.69%, 2021-1, Class E (CME Term SOFR 1 Month + 3.36%), 05/25/55(a)(c) | 866,667 | 865,215 | ||||
| Nomura Resecuritization Trust | ||||||
| 3.32%, 2014-1R, Class 2A11 (CME Term SOFR 1 Month + 0.24%), 02/26/37(a)(c) | 21,697,593 | 16,722,667 | ||||
3.85%, 2015-11R, Class 4A5, 06/26/37(a) | 2,898,007 | 2,466,049 | ||||
4.31%, 2015-1R, Class 3A7, 03/26/37(a) | 4,108,067 | 2,520,310 | ||||
5.67%, 2015-1R, Class 4A7, 12/26/37(a) | 1,094,035 | 984,793 | ||||
| NRZ Excess Spread-Collateralized Notes | ||||||
2.98%, 2021-FNT1, Class A, 03/25/26(a) | 183,364 | 171,455 | ||||
3.10%, 2021-FHT1, Class A, 07/25/26(a) | 701,963 | 653,227 | ||||
3.23%, 2021-FNT2, Class A, 05/25/26(a) | 380,204 | 356,077 | ||||
4.21%, 2020-FHT1, Class A, 11/25/25(a) | 758,035 | 725,607 | ||||
| Oaktown Re Ltd. | ||||||
7.98%, 2019-1A, Class M2 (SOFR30A + 2.66%), 07/25/29(a)(c) | 2,084,000 | 2,081,324 | ||||
8.67%, 2021-2, Class M1C (SOFR30A + 3.35%), 04/25/34(a)(c) | 3,769,000 | 3,836,858 | ||||
| Option One Mortgage Loan Trust | ||||||
5.66%, 2007-FXD1, Class 3A6, 01/25/37(h) | 131,288 | 119,142 | ||||
| PRKCM Trust | ||||||
6.21%, 2022-AFC2, Class B1, 08/25/57(a) | 2,000,000 | 1,912,908 | ||||
7.09%, 2023-AFC2, Class A3, 06/25/58(a) | 3,467,533 | 3,482,455 | ||||
7.56%, 2023-AFC1, Class B1, 02/25/58(a) | 1,000,000 | 981,529 | ||||
7.88%, 2023-AFC2, Class M1, 06/25/58(a) | 750,000 | 768,006 | ||||
7.90%, 2023-AFC3, Class B1, 09/25/58(a) | 4,128,000 | 4,089,231 | ||||
8.06%, 2024-AFC1, Class B1, 03/25/59(a) | 1,000,000 | 997,172 | ||||
8.24%, 2023-AFC2, Class B1, 06/25/58(a) | 3,000,000 | 2,997,317 | ||||
| Progress Residential Trust | ||||||
3.40%, 2024-SFR2, Class E1, 04/17/41(a) | 2,100,000 | 1,801,174 | ||||
| PRPM LLC | ||||||
1.79%, 2021-5, Class A1, 06/25/26(a)(h) | 649,326 | 617,898 | ||||
3.72%, 2022-1, Class A1, 02/25/27(a)(h) | 1,104,220 | 1,072,840 | ||||
3.72%, 2021-5, Class A2, 06/25/26(a)(h) | 2,500,000 | 2,389,753 | ||||
4.00%, 2024-RCF1, Class M1, 01/25/54(a)(h) | 1,000,000 | 884,591 | ||||
4.83%, 2021-10, Class A2, 10/25/26(a)(h) | 3,000,000 | 2,877,952 | ||||
1.87%, 2021-3, Class A1, 04/25/26(a)(h) | 306,379 | 294,693 | ||||
5.00%, 2022-2, Class A1, 03/25/27(a)(h) | 2,369,501 | 2,324,034 | ||||
5.12%, 2021-2, Class A1, 03/25/26(a) | 2,307,847 | 2,240,017 | ||||
5.36%, 2020-6, Class A1, 11/25/25(a)(h) | 473,170 | 467,524 | ||||
6.29%, 2022-1, Class A2, 02/25/27(a)(h) | 500,000 | 482,508 | ||||
6.77%, 2021-2, Class A2, 03/25/26(a) | 1,935,000 | 1,872,154 | ||||
7.47%, 2024-NQM1, Class B1, 12/25/68(a) | 2,000,000 | 1,956,132 | ||||
7.70%, 2020-6, Class A2, 11/25/25(a)(h) | 1,390,427 | 1,368,814 | ||||
| Radnor RE Ltd. | ||||||
8.47%, 2021-1, Class M2 (SOFR30A + 3.15%), 12/27/33(a)(c) | 1,443,000 | 1,448,223 | ||||
| RALI Trust | ||||||
| 5.76%, 2007-QO3, Class A1 (CME Term SOFR 1 Month + 0.43%), 03/25/47(c) | 1,060,280 | 959,224 | ||||
| 5.94%, 2006-QO7, Class 2A1 (12 Month US Treasury Average + 0.85%), 09/25/46(c) | 5,242,164 | 4,324,733 | ||||
6.00%, 2006-QS3, Class 1A10, 03/25/36 | 1,467,363 | 1,251,317 | ||||
| 10.48%, 2006-QS14, Class A30 (CME Term SOFR 1 Month + 79.76%), 11/25/36(c)(g) | 46,680 | 71,525 | ||||
| RFMSI Trust | ||||||
5.50%, 2007-S3, Class 1A5, 03/25/37 | 1,145,723 | 817,512 | ||||
| Rithm Capital Corp. | ||||||
5.44%, 2020-FNT1, Class A, 06/25/25(a) | 868,736 | 849,202 | ||||
| Santander Holdings USA, Inc. | ||||||
9.47%, 2023-MTG1, Class M1 (SOFR30A + 4.15%), 02/26/52(a)(c) | 5,370,459 | 5,734,851 | ||||
| Seasoned Credit Risk Transfer Trust | ||||||
4.25%, 2021-1, Class M, 09/25/60(a) | 2,000,000 | 1,850,402 | ||||
4.50%, 2019-4, Class M, 02/25/59(a) | 1,617,000 | 1,408,738 | ||||
4.50%, 2022-1, Class M, 11/25/61(a) | 3,000,000 | 2,536,405 | ||||
| Securitized Asset Backed Receivables LLC Trust | ||||||
| 5.74%, 2006-NC3, Class A2B (CME Term SOFR 1 Month + 0.41%), 09/25/36(c) | 5,180,567 | 1,696,555 | ||||
| 5.74%, 2007-NC1, Class A2B (CME Term SOFR 1 Month + 0.41%), 12/25/36(c) | 3,258,228 | 1,576,456 | ||||
| STAR Trust | ||||||
| 8.29%, 2021-SFR2, Class F (CME Term SOFR 1 Month + 2.96%), 01/17/39(a)(c) | 3,000,000 | 2,875,703 | ||||
| 9.03%, 2022-SFR3, Class E2 (CME Term SOFR 1 Month + 3.70%), 05/17/24(a)(c) | 3,750,000 | 3,731,387 | ||||
| Toorak Mortgage Trust | ||||||
9.16%, 2024-RRTL1, Class M1, 02/25/39(a) | 1,500,000 | 1,503,393 | ||||
| Towd Point Mortgage Trust | ||||||
6.86%, 2024-CES1, Class M2, 01/25/64(a) | 1,000,000 | 1,013,018 | ||||
| Tricon American Homes | ||||||
4.88%, 2020-SFR1, Class F, 07/17/38(a) | 2,382,000 | 2,281,055 | ||||
| Verus Securitization Trust | ||||||
5.83%, 2022-INV1, Class A3, 08/25/67(a)(h) | 424,169 | 427,320 | ||||
5.85%, 2022-INV1, Class M1, 08/25/67(a) | 500,000 | 493,581 | ||||
6.67%, 2024-1, Class M1, 01/25/69(a) | 1,000,000 | 999,286 | ||||
7.08%, 2023-INV2, Class A3, 08/25/68(a)(h) | 107,726 | 107,827 | ||||
7.35%, 2023-INV2, Class M1, 08/25/68(a) | 121,000 | 121,926 | ||||
7.40%, 2023-4, Class M1, 05/25/68(a) | 1,500,000 | 1,524,536 | ||||
7.58%, 2023-2, Class B1, 03/25/68(a) | 1,000,000 | 983,122 | ||||
7.86%, 2024-2, Class B1, 02/25/69(a) | 1,000,000 | 995,264 | ||||
7.91%, 2024-1, Class B1, 01/25/69(a) | 500,000 | 498,183 | ||||
8.09%, 2024-INV1, Class B1, 03/25/69(a) | 1,000,000 | 1,004,698 | ||||
8.16%, 2023-INV2, Class B1, 08/25/68(a) | 100,000 | 100,366 | ||||
8.19%, 2023-4, Class B1, 05/25/68(a) | 2,000,000 | 1,999,350 | ||||
| Washington Mutual Mortgage Pass-Through Certificates Trust | ||||||
3.69%, 2007-HY5, Class 1A1, 05/25/37 | 1,685,658 | 1,490,144 | ||||
3.85%, 2007-HY5, Class 3A1, 05/25/37 | 609,865 | 531,072 | ||||
4.20%, 2007-HY1, Class 4A1, 02/25/37 | 4,707,973 | 4,226,261 | ||||
4.63%, 2007-HY3, Class 4A1, 03/25/37 | 4,948,054 | 4,395,085 | ||||
| Wells Fargo Mortgage Backed Securities Trust | ||||||
6.13%, 2006-AR12, Class 2A1, 09/25/36 | 648,588 | 620,676 | ||||
6.33%, 2006-AR1, Class 2A5, 03/25/36 | 940,313 | 884,439 | ||||
| Western Alliance Bancorp | ||||||
9.42%, 2021-CL2, Class M3 (SOFR30A + 4.10%), 07/25/59(a)(c) | 954,108 | 944,221 | ||||
10.67%, 2021-CL2, Class M4 (SOFR30A + 5.35%), 07/25/59(a)(c) | 1,640,754 | 1,665,821 | ||||
| Woodward Capital Management | ||||||
7.98%, 2023-CES1, Class M2, 06/25/43(a) | 965,000 | 975,564 | ||||
8.18%, 2023-CES2, Class M2, 09/25/43(a) | 1,200,000 | 1,209,566 | ||||
| Total Residential Mortgage-Backed Securities | 232,098,730 | |||||
TOTAL SECURITIZED CREDIT (Cost $396,370,573) | 343,436,750 | |||||
| CORPORATE CREDIT – 67.0% | ||||||
| Basic Industrial – 2.0% | ||||||
| Cascades, Inc. | ||||||
5.38%, 01/15/28(a)(b)(i) | 5,915,000 | 5,679,235 | ||||
| Clearwater Paper Corp. | ||||||
4.75%, 08/15/28(a)(i) | 3,000,000 | 2,781,680 | ||||
| Methanex Corp. | ||||||
5.25%, 12/15/29(b)(i) | 1,490,000 | 1,426,402 | ||||
| NOVA Chemicals Corp. | ||||||
4.25%, 05/15/29(a)(b) | 1,681,000 | 1,438,560 | ||||
8.50%, 11/15/28(a)(b) | 1,405,000 | 1,495,302 | ||||
| Tronox, Inc. | ||||||
4.63%, 03/15/29(a)(j) | 4,245,000 | 3,808,090 | ||||
| Total Basic Industrial | 16,629,269 | |||||
| Construction & Building Materials – 1.7% | ||||||
| Beazer Homes USA, Inc. | ||||||
7.25%, 10/15/29 | 1,067,000 | 1,081,145 | ||||
| KB Home | ||||||
7.25%, 07/15/30(i) | 2,640,000 | 2,732,054 | ||||
| M/I Homes, Inc. | ||||||
4.95%, 02/01/28(i) | 2,747,000 | 2,620,212 | ||||
| STL Holding Co. LLC | ||||||
8.75%, 02/15/29(a) | 2,320,000 | 2,379,671 | ||||
| Summit Materials LLC | ||||||
7.25%, 01/15/31(a)(i) | 2,575,000 | 2,677,006 | ||||
| Taylor Morrison Communities, Inc. | ||||||
5.88%, 06/15/27(a)(i) | 2,645,000 | 2,644,245 | ||||
| Total Construction & Building Materials | 14,134,333 | |||||
| Diversified – 0.5% | ||||||
| Five Point Operating Co. LP | ||||||
10.50%, 01/15/28(a)(i) | 2,098,966 | 2,161,056 | ||||
| Kennedy Wilson Europe Real Estate Ltd. | ||||||
3.25%, 11/12/25(b) | €1,000,000 | 1,011,859 | ||||
| Kennedy-Wilson, Inc. | ||||||
4.75%, 02/01/30 | $1,700,000 | 1,357,181 | ||||
| Total Diversified | 4,530,096 | |||||
| Diversified Real Estate – 1.8% | ||||||
| Forestar Group, Inc. | ||||||
5.00%, 03/01/28(a)(i) | 5,365,000 | 5,158,186 | ||||
| The Howard Hughes Corp. | ||||||
4.38%, 02/01/31(a)(i) | 3,600,000 | 3,125,934 | ||||
5.38%, 08/01/28(a)(i) | 6,525,000 | 6,258,091 | ||||
| Total Diversified Real Estate | 14,542,211 | |||||
| Energy – 7.3% | ||||||
| Antero Resources Corp. | ||||||
5.38%, 03/01/30(a)(i)(j) | 4,200,000 | 4,033,645 | ||||
| Baytex Energy Corp. | ||||||
8.50%, 04/30/30(a)(b)(i) | 2,617,000 | 2,729,060 | ||||
8.75%, 04/01/27(a)(b) | 825,000 | 861,094 | ||||
| California Resources Corp. | ||||||
7.13%, 02/01/26(a)(i) | 3,447,000 | 3,466,779 | ||||
| Civitas Resources, Inc. | ||||||
8.38%, 07/01/28(a)(i) | 5,295,000 | 5,575,116 | ||||
| CNX Resources Corp. | ||||||
7.38%, 01/15/31(a)(i) | 2,533,000 | 2,582,107 | ||||
| Comstock Resources, Inc. | ||||||
6.75%, 03/01/29(a)(i) | 2,883,000 | 2,749,580 | ||||
| Continental Resources, Inc. | ||||||
5.75%, 01/15/31(a) | 8,009,000 | 7,966,237 | ||||
| Crescent Energy Finance LLC | ||||||
7.63%, 04/01/32(a) | 2,700,000 | 2,721,116 | ||||
9.25%, 02/15/28(a)(i) | 2,130,000 | 2,249,363 | ||||
| EQT Corp. | ||||||
7.00%, 02/01/30(i) | 2,331,000 | 2,474,804 | ||||
| MEG Energy Corp. | ||||||
5.88%, 02/01/29(a)(i) | 4,650,000 | 4,571,451 | ||||
| Moss Creek Resources Holdings, Inc. | ||||||
10.50%, 05/15/27(a) | 1,640,000 | 1,691,429 | ||||
| Occidental Petroleum Corp. | ||||||
8.88%, 07/15/30(i) | 5,600,000 | 6,506,309 | ||||
| Range Resources Corp. | ||||||
8.25%, 01/15/29 | 1,750,000 | 1,820,187 | ||||
| Southwestern Energy Co. | ||||||
5.38%, 02/01/29(i) | 5,565,000 | 5,404,790 | ||||
| Transocean Titan Financing Ltd. | ||||||
| 8.38%, 02/01/28, (Acquired 2/22/2023 - 3/1/2023, cost $2,609,785)(a)(e)(i) | 2,580,000 | 2,682,973 | ||||
| Total Energy | 60,086,040 | |||||
| Health Facilities – 2.3% | ||||||
| CHS/Community Health Systems, Inc. | ||||||
4.75%, 02/15/31(a)(i) | 6,675,000 | 5,156,981 | ||||
8.00%, 03/15/26(a) | 2,100,000 | 2,096,706 | ||||
| Tenet Healthcare Corp. | ||||||
6.13%, 10/01/28(i) | 11,800,000 | 11,771,711 | ||||
| Total Health Facilities | 19,025,398 | |||||
| Hotel – 0.4% | ||||||
| Hilton Domestic Operating Company, Inc. | ||||||
3.75%, 05/01/29(a)(i) | 3,700,000 | 3,394,109 | ||||
| Infrastructure Services – 0.4% | ||||||
| GFL Environmental, Inc. | ||||||
3.50%, 09/01/28(a)(i) | 2,910,000 | 2,662,447 | ||||
6.75%, 01/15/31(a) | 273,000 | 279,881 | ||||
| Total Infrastructure Services | 2,942,328 | |||||
| Leisure – 5.7% | ||||||
| Boyd Gaming Corp. | ||||||
4.75%, 06/15/31(a)(i) | 1,250,000 | 1,148,917 | ||||
| Caesars Entertainment, Inc. | ||||||
6.50%, 02/15/32(a)(i) | 2,850,000 | 2,876,551 | ||||
7.00%, 02/15/30(a)(i) | 5,250,000 | 5,387,959 | ||||
| Cedar Fair LP | ||||||
6.50%, 10/01/28(i) | 2,660,000 | 2,665,746 | ||||
| Park Intermediate Holdings LLC | ||||||
5.88%, 10/01/28(a)(i) | 5,885,000 | 5,766,194 | ||||
| RHP Hotel Properties LP | ||||||
4.50%, 02/15/29(a)(i) | 5,610,000 | 5,236,044 | ||||
| Royal Caribbean Cruises Ltd. | ||||||
5.50%, 04/01/28(a)(i) | 4,040,000 | 3,992,797 | ||||
| Six Flags Entertainment Corp. | ||||||
7.25%, 05/15/31(a)(j) | 7,795,000 | 7,907,973 | ||||
| Station Casinos LLC | ||||||
4.50%, 02/15/28(a)(i) | 6,190,000 | 5,831,299 | ||||
4.63%, 12/01/31(a) | 654,000 | 587,569 | ||||
| Wynn Resorts Finance LLC | ||||||
7.13%, 02/15/31(a)(i) | 5,200,000 | 5,381,797 | ||||
| Total Leisure | 46,782,846 | |||||
| Media – 9.3% | ||||||
| Cable One, Inc. | ||||||
4.00%, 11/15/30, (Acquired 12/4/2020, cost $1,785,456)(a)(e)(i) | 1,740,000 | 1,357,871 | ||||
| CCO Holdings LLC | ||||||
4.75%, 03/01/30(a)(i) | 19,655,000 | 16,916,457 | ||||
6.38%, 09/01/29(a)(i) | 3,360,000 | 3,187,358 | ||||
| CSC Holdings LLC | ||||||
4.50%, 11/15/31(a)(i) | 17,399,000 | 12,316,185 | ||||
4.63%, 12/01/30(a) | 6,245,000 | 3,171,197 | ||||
11.75%, 01/31/29(a) | 600,000 | 600,848 | ||||
| Directv Financing LLC | ||||||
5.88%, 08/15/27(a)(i) | 5,600,000 | 5,299,931 | ||||
| DISH Network Corp. | ||||||
11.75%, 11/15/27(a)(i) | 16,735,000 | 17,045,580 | ||||
| Sunrise FinCo I BV | ||||||
4.88%, 07/15/31(a)(b)(i) | 1,698,000 | 1,515,427 | ||||
| Telenet Finance Luxembourg Notes Sarl | ||||||
5.50%, 03/01/28(a)(b) | 3,000,000 | 2,817,696 | ||||
| Videotron Ltd. | ||||||
3.63%, 06/15/29(a)(b)(i) | 1,465,000 | 1,324,109 | ||||
| Virgin Media Secured Finance PLC | ||||||
4.50%, 08/15/30(a)(b)(i) | 4,675,000 | 4,046,730 | ||||
| VZ Secured Financing BV | ||||||
5.00%, 01/15/32(a)(i) | 5,775,000 | 4,957,688 | ||||
| Ziggo Bond Co. BV | ||||||
5.13%, 02/28/30(a)(b) | 1,790,000 | 1,534,070 | ||||
| Total Media | 76,091,147 | |||||
| Media Content – 0.4% | ||||||
| Paramount Global | ||||||
4.20%, 05/19/32(j) | 3,440,000 | 2,860,605 | ||||
4.38%, 03/15/43 | 715,000 | 485,351 | ||||
| Total Media Content | 3,345,956 | |||||
| Oil Gas Transportation & Distribution – 15.8% | ||||||
| Antero Midstream Partners LP | ||||||
5.38%, 06/15/29(a)(i) | 5,400,000 | 5,192,580 | ||||
| Beazer Homes USA, Inc. | ||||||
7.50%, 03/15/31(a) | 2,340,000 | 2,363,838 | ||||
| Buckeye Partners LP | ||||||
3.95%, 12/01/26(i) | 2,500,000 | 2,390,626 | ||||
4.13%, 12/01/27(i) | 3,655,000 | 3,439,961 | ||||
| DT Midstream, Inc. | ||||||
4.13%, 06/15/29(a)(j) | 4,420,000 | 4,063,471 | ||||
| Enbridge, Inc. | ||||||
5.50% (CME Term SOFR 3 Month + 3.68%), 07/15/77(b)(c)(i) | 8,485,000 | 8,042,838 | ||||
7.38% (5 Year CMT Rate + 3.71%), 01/15/83(c) | 825,000 | 828,336 | ||||
| Energy Transfer LP | ||||||
6.75% (5 Year CMT Rate + 5.13%), Perpetual(c)(i) | 5,869,000 | 5,766,268 | ||||
7.13% (5 Year CMT Rate + 5.31%), Perpetual(c)(i) | 4,597,000 | 4,490,347 | ||||
8.59% (CME Term SOFR 3 Month + 3.28%), 11/01/66(c)(i) | 4,770,000 | 4,332,667 | ||||
| EnLink Midstream LLC | ||||||
5.38%, 06/01/29(i) | 4,975,000 | 4,881,737 | ||||
| EnLink Midstream Partners LP | ||||||
9.70% (CME Term SOFR 3 Month + 4.37%), Perpetual(c)(i) | 4,755,000 | 4,660,049 | ||||
| Enterprise Products Operating LLC | ||||||
5.25% (CME Term SOFR 3 Month + 3.29%), 08/16/77(c) | 1,460,000 | 1,385,403 | ||||
5.38% (CME Term SOFR 3 Month + 2.83%), 02/15/78(c)(i) | 8,516,000 | 7,937,120 | ||||
| EQM Midstream Partners LP | ||||||
4.50%, 01/15/29(a)(i)(j) | 8,660,000 | 8,118,658 | ||||
| Ferrellgas LP | ||||||
5.38%, 04/01/26(a) | 1,875,000 | 1,834,185 | ||||
| Genesis Energy LP | ||||||
7.75%, 02/01/28 | 1,215,000 | 1,221,646 | ||||
8.25%, 01/15/29 | 100,000 | 102,669 | ||||
| Global Partners LP | ||||||
7.00%, 08/01/27(i) | 2,750,000 | 2,752,123 | ||||
8.25%, 01/15/32(a) | 532,000 | 551,524 | ||||
| Kinetik Holdings LP | ||||||
5.88%, 06/15/30(a)(j) | 4,440,000 | 4,345,190 | ||||
| NuStar Logistics LP | ||||||
5.63%, 04/28/27(i) | 3,255,000 | 3,219,585 | ||||
5.75%, 10/01/25(i) | 2,052,000 | 2,041,827 | ||||
| Parkland Corp. | ||||||
4.50%, 10/01/29(a)(b)(i) | 3,247,000 | 3,003,672 | ||||
| Plains All American Pipeline LP | ||||||
9.68% (CME Term SOFR 3 Month + 4.37%), Perpetual(c)(i) | 7,920,000 | 7,869,341 | ||||
| Suburban Propane Partners LP | ||||||
5.00%, 06/01/31(a)(i) | 4,389,000 | 4,001,075 | ||||
| Sunoco LP | ||||||
4.50%, 05/15/29(j) | 1,981,000 | 1,841,439 | ||||
| Tallgrass Energy Partners LP | ||||||
6.00%, 12/31/30(a)(i) | 6,169,000 | 5,860,791 | ||||
| Targa Resources Partners LP | ||||||
4.88%, 02/01/31(i) | 5,650,000 | 5,404,872 | ||||
| TransCanada PipeLines Ltd. | ||||||
7.78% (3 Month LIBOR USD + 2.21%), 05/15/67(b)(c)(i) | 6,663,000 | 6,018,036 | ||||
| Transcanada Trust | ||||||
5.60% (5 Year CMT Rate + 3.99%), 03/07/82(b)(c)(i) | 4,005,000 | 3,654,409 | ||||
| Venture Global Calcasieu Pass LLC | ||||||
6.25%, 01/15/30(a)(i) | 4,005,000 | 4,029,218 | ||||
| Venture Global LNG, Inc. | ||||||
8.38%, 06/01/31(a)(i) | 4,035,000 | 4,161,320 | ||||
| Total Oil Gas Transportation & Distribution | 129,806,821 | |||||
| Real Estate – 6.2% | ||||||
| EPR Properties | ||||||
3.60%, 11/15/31 | 1,846,000 | 1,544,479 | ||||
3.75%, 08/15/29(i) | 6,600,000 | 5,831,045 | ||||
| Essential Properties LP | ||||||
2.95%, 07/15/31(i) | 6,989,000 | 5,673,320 | ||||
| Global Net Lease, Inc. | ||||||
3.75%, 12/15/27(a)(i) | 3,705,000 | 3,173,520 | ||||
| Highwoods Realty LP | ||||||
4.20%, 04/15/29(i) | 3,315,000 | 3,018,942 | ||||
| Iron Mountain, Inc. | ||||||
| 4.88%, 09/15/29, (Acquired 2/10/2021 - 2/11/2021, cost $4,877,020)(a)(e)(i) | 4,750,000 | 4,461,519 | ||||
| Piedmont Operating Partnership LP | ||||||
2.75%, 04/01/32(i) | 8,227,000 | 5,919,449 | ||||
9.25%, 07/20/28(i) | 2,970,000 | 3,163,416 | ||||
| RLJ Lodging Trust LP | ||||||
3.75%, 07/01/26(a)(i) | 4,180,000 | 3,980,258 | ||||
| Safehold GL Holdings LLC | ||||||
6.10%, 04/01/34(i) | 2,820,000 | 2,804,284 | ||||
| Service Properties Trust | ||||||
4.50%, 03/15/25(i) | 4,075,000 | 3,981,766 | ||||
| SITE Centers Corp. | ||||||
4.70%, 06/01/27(i) | 2,570,000 | 2,533,898 | ||||
| Starwood Property Trust, Inc. | ||||||
7.25%, 04/01/29(a) | 2,735,000 | 2,757,151 | ||||
| Store Capital LLC | ||||||
2.70%, 12/01/31(i) | 2,213,000 | 1,741,913 | ||||
| Total Real Estate | 50,584,960 | |||||
| Telecommunication Services – 5.3% | ||||||
| Altice Financing SA | ||||||
5.75%, 08/15/29(a)(b) | 1,535,000 | 1,229,713 | ||||
| Altice France SA | ||||||
5.50%, 01/15/28(a)(b)(i) | 9,165,000 | 6,526,664 | ||||
| Cogent Communications Group, Inc. | ||||||
3.50%, 05/01/26(a)(i) | 3,390,000 | 3,227,538 | ||||
| Consolidated Communications, Inc. | ||||||
6.50%, 10/01/28(a)(i) | 3,410,000 | 2,978,717 | ||||
| Frontier Communications Holdings LLC | ||||||
8.75%, 05/15/30(a) | 1,000,000 | 1,023,013 | ||||
| Level 3 Financing, Inc. | ||||||
4.50%, 04/01/30(a) | 2,000,000 | 1,240,000 | ||||
10.50%, 05/15/30(a)(i) | 9,246,000 | 9,454,035 | ||||
| Rogers Communications, Inc. | ||||||
5.25% (5 Year CMT Rate + 3.59%), 03/15/82(a)(b)(c)(i) | 8,680,000 | 8,327,850 | ||||
| Telecom Italia Capital SA | ||||||
6.38%, 11/15/33(b)(i) | 2,820,000 | 2,664,208 | ||||
| Uniti Group LP | ||||||
10.50%, 02/15/28(a) | 2,290,000 | 2,374,108 | ||||
| Vodafone Group PLC | ||||||
4.13% (5 Year CMT Rate + 2.77%), 06/04/81(b)(c)(i) | 3,705,000 | 3,193,816 | ||||
| Windstream Escrow LLC | ||||||
7.75%, 08/15/28(a) | 1,475,000 | 1,364,504 | ||||
| Total Telecommunication Services | 43,604,166 | |||||
| Transportation – 0.1% | ||||||
| BNSF Funding Trust I | ||||||
6.61% (3 Month LIBOR USD + 2.35%), 12/15/55(c)(i) | 675,000 | 669,603 | ||||
| Utility – 7.8% | ||||||
| Atlantica Sustainable Infrastructure PLC | ||||||
4.13%, 06/15/28(a)(b)(i) | 4,845,000 | 4,450,660 | ||||
| Calpine Corp. | ||||||
5.13%, 03/15/28(a)(j) | 7,405,000 | 7,107,464 | ||||
| Clearway Energy Operating LLC | ||||||
3.75%, 02/15/31(a)(i) | 5,297,000 | 4,545,636 | ||||
| CMS Energy Corp. | ||||||
4.75% (5 Year CMT Rate + 4.12%), 06/01/50(c) | 2,891,000 | 2,661,602 | ||||
| Dominion Energy, Inc. | ||||||
4.35% (5 Year CMT Rate + 3.20%), Perpetual(c)(i) | 3,000,000 | 2,807,076 | ||||
4.65% (5 Year CMT Rate + 2.99%), Perpetual(c)(i) | 4,850,000 | 4,742,169 | ||||
| Duke Energy Corp. | ||||||
4.88% (5 Year CMT Rate + 3.39%), Perpetual(c) | 1,285,000 | 1,273,796 | ||||
| Emera, Inc. | ||||||
6.75% (3 Month LIBOR USD + 5.44%), 06/15/76(b)(c)(i) | 7,600,000 | 7,505,943 | ||||
| Ferrellgas LP | ||||||
5.88%, 04/01/29(a)(i) | 2,815,000 | 2,686,597 | ||||
| NRG Energy, Inc. | ||||||
6.63%, 01/15/27(i) | 2,159,000 | 2,160,675 | ||||
10.25% (5 Year CMT Rate + 5.92%), Perpetual(a)(c) | 3,750,000 | 4,020,956 | ||||
| PPL Capital Funding, Inc. | ||||||
8.24% (CME Term SOFR 3 Month + 2.93%), 03/30/67(c)(i) | 7,618,000 | 7,541,616 | ||||
| Sempra | ||||||
4.88% (5 Year CMT Rate + 4.55%), Perpetual(c)(i) | 8,039,000 | 7,861,753 | ||||
6.88% (5 Year CMT Rate + 2.79%), 10/01/54(c)(i) | 3,265,000 | 3,304,402 | ||||
| Southern California Edison Co. | ||||||
9.77% (CME Term SOFR 3 Month + 4.46%), Perpetual(c) | 1,501,000 | 1,501,234 | ||||
| Total Utility | 64,171,579 | |||||
TOTAL CORPORATE CREDIT (Cost $556,330,877) | 550,340,862 | |||||
| TERM LOANS – 4.5% | ||||||
| Carnival Corp., First Lien | ||||||
8.33% (CME Term SOFR 1 Month + 3.00%), 08/09/27(b)(c) | 2,985,000 | 2,986,880 | ||||
| Cogeco Communications USA II LP, First Lien | ||||||
8.58% (CME Term SOFR 1 Month + 3.25%), 09/30/30(c) | 2,000,000 | 1,948,340 | ||||
| Cushman & Wakefield US Borrower LLC, First Lien | ||||||
9.43% (CME Term SOFR 1 Month + 4.00%), 01/31/30(c) | 3,000,000 | 3,003,750 | ||||
| Fertitta Entertainment LLC/NV, First Lien | ||||||
9.43% (CME Term SOFR 1 Month + 4.00%), 01/29/29(c) | 5,500,000 | 5,510,340 | ||||
| Frontier Communications Holdings LLC, First Lien | ||||||
9.08% (CME Term SOFR 1 Month + 3.75%), 10/08/27(c) | 7,194,656 | 7,165,446 | ||||
| GIP II Blue Holding LP, First Lien | ||||||
9.94% (CME Term SOFR 1 Month + 4.50%), 09/29/28(c) | 3,017,806 | 3,023,932 | ||||
| Greystar Real Estate Partners LLC, First Lien | ||||||
8.58% (CME Term SOFR 1 Month + 3.25%), 08/21/30(c) | 5,487,500 | 5,487,500 | ||||
| Lumen Technologies, Inc., First Lien | ||||||
7.69% (CME Term SOFR 1 Month + 2.25%), 03/15/27(c) | 3,000,000 | 2,200,500 | ||||
| Select Medical Corp., First Lien | ||||||
8.43% (CME Term SOFR 1 Month + 3.00%), 03/05/27(c) | 2,700,000 | 2,701,701 | ||||
| Sunrise Financing Partnership | ||||||
7.58% (CME Term SOFR 1 Month + 2.25%), 04/30/28(c) | 2,750,000 | 2,706,605 | ||||
| Vistra Energy Corp. | ||||||
0.00%, 10/31/25 | 25,848 | 317 | ||||
TOTAL TERM LOANS (Cost $36,650,588) | 36,735,311 | |||||
| Shares | ||||||
| PREFERRED STOCKS – 2.8% | ||||||
| Net Lease – 0.7% | ||||||
Realty Income Corp., Series A, 6.00% | 242,243 | 5,990,669 | ||||
| Oil Gas Transportation & Distribution – 0.3% | ||||||
NuStar Energy LP, Series B, 11.23%(i) | 71,701 | 1,811,167 | ||||
Global Partners LP, Series B, 9.50% | 32,100 | 841,287 | ||||
| Total Oil Gas Transportation & Distribution | 2,652,454 | |||||
| Real Estate – 0.2% | ||||||
EPR Properties, Series E, 9.00% | 39,354 | 1,064,919 | ||||
| Retail – 0.3% | ||||||
Kimco Realty Corp., Series N, 7.25% | 46,600 | 2,626,376 | ||||
| Telecommunication Services – 0.2% | ||||||
Liberty Broadband Corp., Series A, 7.00% | 73,185 | 1,705,211 | ||||
| Utility – 1.1% | ||||||
SCE Trust IV, Series J, 5.38% | 272,921 | 6,416,373 | ||||
SCE Trust V, Series K, 5.45%(i) | 92,789 | 2,231,575 | ||||
| Total Utility | 8,647,948 | |||||
TOTAL PREFERRED STOCKS (Cost $21,867,745) | 22,687,577 | |||||
| COMMON STOCKS – 2.6% | ||||||
| Airports – 0.2% | ||||||
Aena SME SA(a)(b)(i) | 1,947 | 383,470 | ||||
Athens International Airport SA(b)(k) | 18,599 | 170,557 | ||||
Auckland International Airport Ltd.(b) | 76,590 | 382,085 | ||||
Grupo Aeroportuario del Pacifico SAB de CV(b) | 26,362 | 428,097 | ||||
Japan Airport Terminal Co. Ltd.(b) | 4,454 | 176,005 | ||||
| Total Airports | 1,540,214 | |||||
| Clean Technology – 0.0% | ||||||
Carrier Global Corp.(i) | 960 | 55,805 | ||||
Itron, Inc.(k) | 207 | 19,152 | ||||
Nexans SA(b)(i) | 512 | 53,525 | ||||
Trane Technologies PLC | 62 | 18,612 | ||||
| Total Clean Technology | 147,094 | |||||
| Communications – 0.2% | ||||||
American Tower Corp.(i) | 415 | 82,000 | ||||
Cellnex Telecom SA(a)(b)(i) | 11,465 | 405,572 | ||||
Crown Castle, Inc.(i) | 6,480 | 685,778 | ||||
SBA Communications Corp.(i) | 2,017 | 437,084 | ||||
| Total Communications | 1,610,434 | |||||
| Construction Materials – 0.0% | ||||||
Ferrovial SE(b)(i) | 9,143 | 361,989 | ||||
| Data Centers – 0.0% | ||||||
Digital Realty Trust, Inc.(i) | 82 | 11,811 | ||||
Equinix, Inc.(i) | 66 | 54,472 | ||||
Keppel DC REIT(b) | 6,300 | 8,069 | ||||
| Total Data Centers | 74,352 | |||||
| Diversified – 0.0% | ||||||
CapitaLand Integrated Commercial Trust(b) | 4,800 | 7,038 | ||||
Charter Hall Group(b)(i) | 1,800 | 16,120 | ||||
CK Asset Holdings Ltd.(b) | 1,200 | 4,945 | ||||
Fastighets AB Balder(b)(k) | 1,300 | 9,549 | ||||
Stockland(b) | 5,200 | 16,431 | ||||
Sun Hung Kai Properties Ltd.(b) | 1,600 | 15,456 | ||||
The GPT Group(b) | 2,400 | 7,142 | ||||
Tokyu Fudosan Holdings Corp.(b) | 600 | 4,848 | ||||
| Total Diversified | 81,529 | |||||
| Electricity Transmission & Distribution – 0.3% | ||||||
CenterPoint Energy, Inc.(i) | 17,170 | 489,173 | ||||
Equatorial Energia SA(b) | 50,570 | 329,712 | ||||
PG&E Corp.(i) | 28,625 | 479,755 | ||||
Redeia Corp. SA(b) | 10,883 | 185,894 | ||||
Sempra(i) | 9,956 | 715,140 | ||||
| Total Electricity Transmission & Distribution | 2,199,674 | |||||
| Gas Utilities – 0.1% | ||||||
China Resources Gas Group Ltd.(b) | 99,194 | 316,533 | ||||
ENN Energy Holdings Ltd.(b) | 20,781 | 161,696 | ||||
NiSource, Inc.(i) | 17,956 | 496,663 | ||||
| Total Gas Utilities | 974,892 | |||||
| Gathering & Processing – 0.0% | ||||||
Hess Midstream LP(i) | 3,073 | 111,027 | ||||
| Health Care – 0.0% | ||||||
CareTrust REIT, Inc.(i) | 763 | 18,594 | ||||
Omega Healthcare Investors, Inc.(i) | 370 | 11,718 | ||||
Ventas, Inc.(i) | 353 | 15,370 | ||||
Welltower, Inc.(i) | 307 | 28,686 | ||||
| Total Health Care | 74,368 | |||||
| Hotel – 0.0% | ||||||
DiamondRock Hospitality Co.(i) | 1,110 | 10,667 | ||||
Pebblebrook Hotel Trust(i) | 520 | 8,013 | ||||
RLJ Lodging Trust(i) | 650 | 7,683 | ||||
| Total Hotel | 26,363 | |||||
| Industrial – 0.0% | ||||||
CTP NV(a)(b)(i) | 562 | 10,025 | ||||
Daiwa House REIT Investment Corp.(b)(i) | 5 | 8,553 | ||||
First Industrial Realty Trust, Inc.(i) | 340 | 17,864 | ||||
GLP J-Reit(b)(i) | 11 | 9,218 | ||||
Goodman Group(b)(i) | 470 | 10,353 | ||||
Prologis, Inc.(i) | 414 | 53,911 | ||||
Tritax Big Box REIT PLC(b)(i) | 5,235 | 10,408 | ||||
| Total Industrial | 120,332 | |||||
| Midstream – 0.3% | ||||||
AltaGas Ltd.(b)(i) | 14,606 | 322,625 | ||||
Cheniere Energy, Inc.(i) | 3,993 | 643,991 | ||||
ONEOK, Inc.(i) | 2,822 | 226,240 | ||||
Targa Resources Corp.(i) | 4,850 | 543,151 | ||||
The Williams Companies, Inc.(i) | 10,965 | 427,306 | ||||
| Total Midstream | 2,163,313 | |||||
| Net Lease – 0.0% | ||||||
Agree Realty Corp.(i) | 233 | 13,309 | ||||
Essential Properties Realty Trust, Inc.(i) | 802 | 21,381 | ||||
Realty Income Corp.(i) | 698 | 37,762 | ||||
VICI Properties, Inc.(i) | 817 | 24,339 | ||||
| Total Net Lease | 96,791 | |||||
| Office – 0.0% | ||||||
Castellum AB(b)(k) | 350 | 4,603 | ||||
Cousins Properties, Inc.(i) | 640 | 15,386 | ||||
Daiwa Office Investment Corp.(b)(i) | 2 | 7,788 | ||||
Gecina SA(b)(i) | 138 | 14,096 | ||||
Japan Real Estate Investment Corp.(b)(i) | 5 | 17,824 | ||||
Kilroy Realty Corp.(i) | 270 | 9,836 | ||||
Mitsubishi Estate Co. Ltd.(b)(i) | 1,040 | 18,976 | ||||
Mitsui Fudosan Company Ltd.(b)(i) | 2,136 | 23,029 | ||||
| Total Office | 111,538 | |||||
| Oil Gas Transportation & Distribution – 0.0% | ||||||
| Thunderbird Resources Equity, Inc.(Acquired 4/1/2015, cost $1,114,211)(d)(e)(k) | 11 | 11 | ||||
| Pipeline (MLP) – 0.1% | ||||||
Energy Transfer LP(i) | 7,116 | 111,935 | ||||
Enterprise Products Partners LP(i) | 3,738 | 109,075 | ||||
MPLX LP(i) | 2,643 | 109,843 | ||||
Pembina Pipeline Corp.(b)(i) | 3,084 | 108,989 | ||||
Plains All American Pipeline LP(i) | 6,381 | 112,050 | ||||
TC Energy Corp.(b) | 2,617 | 105,203 | ||||
Western Midstream Partners LP(i) | 3,376 | 120,017 | ||||
| Total Pipeline (MLP) | 777,112 | |||||
| Pipelines – 0.1% | ||||||
TC Energy Corp.(b)(i) | 11,270 | 452,947 | ||||
| Rail – 0.2% | ||||||
Canadian Pacific Kansas City Ltd.(b)(i) | 3,909 | 344,654 | ||||
CSX Corp.(i) | 11,040 | 409,253 | ||||
East Japan Railway Co.(b)(i) | 18,411 | 353,218 | ||||
Rumo SA(b) | 56,660 | 250,685 | ||||
West Japan Railway Co.(b)(i) | 6,578 | 137,087 | ||||
| Total Rail | 1,494,897 | |||||
| Renewable Power & Infrastructure – 0.2% | ||||||
Boralex, Inc.(b)(i) | 2,800 | 59,161 | ||||
Clearway Energy, Inc.(i) | 1,500 | 34,575 | ||||
E.ON SE(b)(i) | 4,050 | 56,384 | ||||
EDP Renovaveis SA(b)(i) | 3,500 | 47,398 | ||||
Enel SpA(b)(i) | 14,243 | 94,025 | ||||
Eversource Energy(i) | 6,680 | 399,264 | ||||
First Solar, Inc.(i)(k) | 310 | 52,328 | ||||
Fortis, Inc.(b)(i) | 800 | 31,609 | ||||
Iberdrola SA(b)(i) | 7,361 | 91,426 | ||||
Mercury NZ Ltd.(b) | 12,543 | 51,875 | ||||
National Grid PLC(b)(i) | 38,964 | 525,001 | ||||
NEXTracker, Inc.(i)(k) | 790 | 44,453 | ||||
Orsted A/S(a)(b)(k) | 3,790 | 211,781 | ||||
SSE PLC(b)(i) | 2,180 | 45,449 | ||||
Vestas Wind Systems A/S(b)(k) | 1,200 | 33,472 | ||||
| Total Renewable Power & Infrastructure | 1,778,201 | |||||
| Renewables/Electric Generation – 0.6% | ||||||
Ameren Corp.(i) | 5,835 | 431,557 | ||||
CLP Holdings Ltd.(b) | 47,019 | 375,035 | ||||
CMS Energy Corp.(i) | 9,400 | 567,196 | ||||
DTE Energy Co.(i) | 3,364 | 377,239 | ||||
Duke Energy Corp.(i) | 6,743 | 652,115 | ||||
Entergy Corp.(i) | 4,820 | 509,378 | ||||
NextEra Energy, Inc.(i) | 18,466 | 1,180,162 | ||||
Public Service Enterprise Group, Inc.(i) | 8,632 | 576,445 | ||||
RWE AG(b)(i) | 9,902 | 336,542 | ||||
Serena Energia SA(b)(k) | 24,132 | 44,988 | ||||
Xcel Energy, Inc.(i) | 5,021 | 269,879 | ||||
| Total Renewables/Electric Generation | 5,320,536 | |||||
| Residential – 0.0% | ||||||
American Homes 4 Rent(i) | 634 | 23,318 | ||||
Boardwalk Real Estate Investment Trust(b)(i) | 276 | 15,909 | ||||
Equity Residential(i) | 589 | 37,172 | ||||
InterRent Real Estate Investment Trust(b)(i) | 1,603 | 16,047 | ||||
Sun Communities, Inc.(i) | 134 | 17,230 | ||||
TAG Immobilien AG(b)(i)(k) | 671 | 9,171 | ||||
The UNITE Group PLC(b)(i) | 1,328 | 16,428 | ||||
UDR, Inc.(i) | 556 | 20,800 | ||||
Vonovia SE(b)(i) | 675 | 19,947 | ||||
| Total Residential | 176,022 | |||||
| Retail – 0.0% | ||||||
Capital & Counties Properties PLC(b)(i) | 8,094 | 14,692 | ||||
Kite Realty Group Trust(i) | 860 | 18,645 | ||||
Regency Centers Corp.(i) | 380 | 23,013 | ||||
Simon Property Group, Inc.(i) | 144 | 22,534 | ||||
Tanger, Inc.(i) | 230 | 6,792 | ||||
Unibail-Rodamco-Westfield(b)(i)(k) | 270 | 21,721 | ||||
Wharf Real Estate Investment Company Ltd.(b) | 3,007 | 9,790 | ||||
| Total Retail | 117,187 | |||||
| Self Storage – 0.0% | ||||||
Extra Space Storage, Inc.(i) | 226 | 33,222 | ||||
Public Storage(i) | 31 | 8,992 | ||||
| Total Self Storage | 42,214 | |||||
| Toll Roads – 0.1% | ||||||
Transurban Group(b)(i) | 104,057 | 902,705 | ||||
| Water – 0.1% | ||||||
Pennon Group PLC(b)(i) | 29,102 | 237,657 | ||||
Severn Trent PLC(b)(i) | 10,050 | 313,592 | ||||
| Total Water | 551,249 | |||||
| Water & Waste Infrastructure – 0.1% | ||||||
American Water Works Company, Inc.(i) | 570 | 69,660 | ||||
Republic Services, Inc.(i) | 518 | 99,166 | ||||
Veolia Environment SA(b)(i) | 1,758 | 57,191 | ||||
Waste Connections, Inc.(i) | 450 | 77,363 | ||||
Waste Management, Inc.(i) | 357 | 76,094 | ||||
Xylem, Inc.(i) | 286 | 36,963 | ||||
| Total Water & Waste Infrastructure | 416,437 | |||||
TOTAL COMMON STOCKS (Cost $21,071,890) | 21,723,428 | |||||
| MONEY MARKET FUND – 3.8% | ||||||
First American Treasury Obligations Fund - Class X, 5.21%(l) | 31,598,367 | 31,598,367 | ||||
TOTAL MONEY MARKET FUND (Cost $31,598,367) | 31,598,367 | |||||
Total Investments – 122.7% (Cost $1,065,066,403) | 1,007,738,806 | |||||
Liabilities in Excess of Other Assets – (22.7)% | (186,470,998) | |||||
TOTAL NET ASSETS – 100.0% | $ | 821,267,808 | ||||
| The following notes should be read in conjunction with the accompanying Schedule of Investments. |
| (a) | — | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of March 31, 2024, the total value of all such securities was $575,194,201 or 70.0% of net assets. |
| (b) | — | Foreign security or a U.S. security of a foreign company. |
| (c) | — | 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. Securities that reference SOFR may be subject to a credit spread adjustment, particularly to legacy holdings that reference LIBOR that have transitioned to SOFR as the base lending rate. |
| (d) | — | These securities are characterized as Level 3 securities within the disclosure hierarchy. Level 3 security values are determined using significant unobservable inputs. As of March 31, 2024, the total value of all such securities was $18,794,636 or 2.3% of net assets. |
| (e) | — | Restricted security. Purchased in a private placement transaction; resale to the public may require registration. As of March 31, 2024, the total value of all such securities was $25,419,563 or 3.1% of net assets. |
| (f) | — | Issuer is currently in default on its regularly scheduled interest payment. |
| (g) | — | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor. |
| (h) | — | 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, 2024. |
| (i) | — | All or a portion of security has been pledged as collateral for credit facility. As of March 31, 2024, the total value of the collateral was $279,358,389. |
| (j) | — | Portion or entire principal amount delivered as collateral for reverse repurchase agreements. As of March 31, 2024, the total value of the collateral was $33,935,997. |
| (k) | — | Non-income producing security. |
| (l) | — | The rate shown represents the seven-day yield as of March 31, 2024. |
| Abbreviations: | |
| CME | Chicago Mercantile Exchange |
| CMT | Constant Maturity Treasury Rate |
| EURIBOR | Euro Interbank Offered Rate |
| LIBOR | London Interbank Offered Rates |
| LLC | Limited Liability Corporation |
| LP | Limited Partnership |
| MLP | Master Limited Partnership |
| PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
| SOFR | Secured Overnight Financial Rate |
| SOFR30A | Secured Overnight Financial Rate 30 Day Average |
| SONIA | Sterling Overnight Index Average |
| USD | United States Dollar |
| Currencies: | |
| GBP(£) | British Pound |
| EUR(€) | Euro |
| USD($) | US Dollar |
Forward Currency Contracts: | |||||||
| As of March 31, 2024, the following forward currency contracts were outstanding: | |||||||
Settlement Date | Currency Purchased | Currency Sold | Counterparty | Unrealized Appreciation (Depreciation) | |||
| 7/31/2024 | 1,009,203 USD | 925,000 EUR | J.P. Morgan Securities, Inc. | $ | 5,944 | ||
| 5/7/2024 | 2,266,523 USD | 1,792,087 GBP | State Street Bank & Trust Co. | 4,139 | |||
| 5/7/2024 | 330,036 GBP | 419,401 USD | State Street Bank & Trust Co. | (2,754 | ) | ||
| 5/7/2024 | 3,120,581 USD | 2,882,324 EUR | State Street Bank & Trust Co. | 5,987 | |||
| 5/7/2024 | 875,000 EUR | 952,275 USD | State Street Bank & Trust Co. | (6,764 | ) | ||
| $ | 6,552 | ||||||
Notes to Schedule of Investments (Unaudited)
Valuation of Investments: The Board of Directors (the “Board”) has adopted procedures for the valuation of the 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.
The Board has designated the Adviser as the valuation designee pursuant to Rule 2a-5 under the 1940 Act to perform fair value determination relating to any or all Fund investments. The Board oversees the Adviser in its role as the valuation designee in accordance with the requirements of Rule 2a-5 under the 1940 Act.
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 net asset value (“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.
Over-the-counter financial derivative instruments, such as forward currency contracts, options contracts, or swap agreements, derive their values from underlying asset prices, indices, reference rates, other inputs or a combination of these factors. These instruments are normally valued on the basis of evaluations provided by independent pricing services or broker dealer quotations. Depending on the instrument and the terms of the transaction, the value of the derivative instruments can be estimated by a pricing service provider using a series of techniques, such as simulation pricing models. The pricing models use issuer details and other inputs that are observed from actively quoted markets such as indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are normally categorized as Level 2 of the fair value hierarchy.
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 the Fund’s own assumptions in determining the fair value of assets or liabilities)
Brookfield Real Assets Income Fund Inc. | ||||||||||||||||
The following table summarizes the Fund’s investments valuation inputs categorized in the disclosure hierarchy as of March 31, 2024: | ||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| U.S. Government & Agency Obligations | $ | – | $ | 1,216,511 | $ | – | $ | 1,216,511 | ||||||||
Securitized Credit | 1,956,132 | 322,685,993 | 18,794,625 | 343,436,750 | ||||||||||||
Corporate Credit | – | 550,340,862 | – | 550,340,862 | ||||||||||||
Term Loans | – | 36,735,311 | – | 36,735,311 | ||||||||||||
Preferred Stocks | 22,687,577 | – | – | 22,687,577 | ||||||||||||
Common Stocks | 15,064,578 | 6,658,839 | 11 | 21,723,428 | ||||||||||||
Money Market Fund | 31,598,367 | – | – | 31,598,367 | ||||||||||||
Total Investments | $ | 71,306,654 | $ | 917,637,516 | $ | 18,794,636 | $ | 1,007,738,806 | ||||||||
Other Financial Instruments:(1) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Currency Contracts | $ | – | $ | 6,552 | $ | – | $ | 6,552 | ||||||||
Total | $ | – | $ | 6,552 | $ | – | $ | 6,552 | ||||||||
(1) | Forward currency contracts are reflected at the net unrealized appreciation (depreciation) on the instruments. |
For further information regarding security characteristics, see the Schedule of Investments.
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 825 Disclosures about Fair Values of Financial Instruments, approximates the carrying amounts of $152,000,000 for the credit facility and $26,372,000 for the reverse repurchase agreements presented herein. As of March 31, 2024, 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 31,2024.
| Quantitative Information about Level 3 Fair Value Measurements | ||||||||||||
Value as of March 31, 2024 | Valuation Approach | Valuation Technique | Unobservable Input | Amount or Range/ (Weighted Average) | Impact to Valuation from an Increase in Input (1) | |||||||
| Securitized Credit | ||||||||||||
Commercial Real Estate | 13,371,177 | Income Approach | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 10.0%-17.0% (14.2%) | Decrease | ||||||
3,546,012 | Market Approach | Expected Recovery Value | Multiple of Underlying Assets | 1x | Increase | |||||||
Commercial Mortgage-Backed Securities | 1,877,436 | Income Approach | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 18.0%-20.0% (19.0%) | Decrease | ||||||
| Common Stocks | ||||||||||||
Thunderbird Resources Equity, Inc. | 11 | Asset-Based Approach | Analysis of Enterprise Value | Enterprise Value | $1 | Increase | ||||||
| Total | $ | 18,794,636 | ||||||||||
(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:
Securitized Credit | Common Stocks | Total | ||||||||||
| Balance as of December 31, 2023 | $ | 19,117,510 | $ | 11 | $ | 19,117,521 | ||||||
| Accrued discounts (premiums) | 4,764 | - | 4,764 | |||||||||
| Realized gain (loss) | - | - | - | |||||||||
| Change in unrealized appreciation (depreciation) | (832,126 | ) | - | (832,126 | ) | |||||||
| Purchases at cost | 504,477 | - | 504,477 | |||||||||
| Sales proceeds | - | - | - | |||||||||
| Transfers into Level 3 | - | - | - | |||||||||
| Balance as of March 31, 2024 | $ | 18,794,625 | $ | 11 | $ | 18,794,636 | ||||||
| Change in unrealized appreciation (depreciation) for Level 3 assets still held at the reporting date | $ | (832,126 | ) | $ | - | $ | (832,126 | ) | ||||
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 0.90% plus the Overnight Bank Funding Rate (“OBFR”) on the amount of eligible equity securities outstanding and 1.00% plus the OBFR on the amount of other eligible securities outstanding. As of March 31, 2024, the Fund had outstanding borrowings of $152,000,000. For the three months ended March 31, 2024, the Fund borrowed an average daily balance of $152,000,000 at a weighted average borrowing cost of 6.38%, and the interest expense amounted to $2,417,396. As of March 31, 2024, the total value of the collateral was $279,358,389.
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. 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, 2024, 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 | 5.25% | 03/14/24 | 05/14/24 | $ | 4,510,000 | $ | 4,521,839 | |||||||
JPMorgan Chase JPMorgan Chase | 5.45% 5.50% | 03/14/24 03/14/24 | 05/14/24 05/14/24 | 5,465,000 9,075,000 | 5,479,892 9,099,956 | |||||||||
| JPMorgan Chase | 5.50% | 03/28/24 | 05/14/24 | 4,708,000 | 4,710,877 | |||||||||
| JPMorgan Chase | 5.80% | 03/28/24 | 05/14/24 | 2,614,000 | 2,615,685 | |||||||||
| $ | 26,372,000 | $ | 26,428,249 | |||||||||||
(1) | The average daily balance of reverse repurchase agreements outstanding for the Fund during the three months ended March 31, 2024 was $20,148,659 at a weighted average daily interest rate of 5.55% and the interest expense amounted to $278,030. As of March 31, 2024, the total value of the collateral was $33,935,997. |
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 | $ | - | $ | - | $ | 26,372,000 | $ | - | $ | 26,372,000 | ||||||||||
| Total | $ | - | $ | - | $ | 26,372,000 | $ | - | $ | 26,372,000 | ||||||||||