Description | Shares | Value | ||||||
COMMON STOCK§ — 97.1% | ||||||||
Communication Services — 11.2% | ||||||||
Alphabet, Cl C * | 6,045 | $ | 13,899,450 | |||||
Alphabet, Cl A * | 6,029 | 13,759,324 | ||||||
Match Group * | 15,000 | 1,187,250 | ||||||
Meta Platforms, Cl A * | 36,690 | 7,355,244 | ||||||
Netflix * | 9,750 | 1,856,010 | ||||||
Snap, Cl A * | 34,500 | 981,870 | ||||||
|
| |||||||
39,039,148 | ||||||||
|
| |||||||
Consumer Discretionary — 19.7% | ||||||||
Airbnb, Cl A * | 15,000 | 2,298,150 | ||||||
Amazon.com * | 10,871 | 27,021,284 | ||||||
Booking Holdings * | 2,020 | 4,464,826 | ||||||
Chipotle Mexican Grill, Cl A * | 3,150 | 4,585,171 | ||||||
Floor & Decor Holdings, Cl A * | 20,000 | 1,594,400 | ||||||
Home Depot | 24,590 | 7,386,836 | ||||||
Lululemon Athletica * | 6,500 | 2,305,095 | ||||||
NIKE, Cl B | 32,500 | 4,052,750 | ||||||
O’Reilly Automotive * | 5,250 | 3,184,388 | ||||||
Starbucks | 29,050 | 2,168,292 | ||||||
Tesla * | 7,500 | 6,530,700 | ||||||
TJX | 53,000 | 3,247,840 | ||||||
|
| |||||||
68,839,732 | ||||||||
|
| |||||||
Consumer Staples — 1.0% | ||||||||
Costco Wholesale | 6,882 | 3,659,297 | ||||||
|
| |||||||
Energy — 0.6% | ||||||||
Diamondback Energy | 16,500 | 2,082,795 | ||||||
|
| |||||||
Financials — 2.7% | ||||||||
JPMorgan Chase | 21,500 | 2,566,240 | ||||||
Moody’s | 12,905 | 4,084,174 | ||||||
S&P Global | 7,000 | 2,635,500 | ||||||
|
| |||||||
9,285,914 | ||||||||
|
| |||||||
Health Care — 12.2% | ||||||||
Abbott Laboratories | 35,000 | 3,972,500 | ||||||
Boston Scientific * | 80,500 | 3,389,855 | ||||||
Danaher | 22,500 | 5,650,425 | ||||||
Edwards Lifesciences * | 36,000 | 3,808,080 | ||||||
Eli Lilly and Co | 28,000 | 8,179,640 | ||||||
Humana | 6,500 | 2,889,640 | ||||||
Merck | 20,000 | 1,773,800 | ||||||
Seagen * | 20,000 | 2,620,200 | ||||||
UnitedHealth Group | 13,800 | 7,017,990 | ||||||
Zoetis, Cl A | 17,235 | 3,054,904 | ||||||
|
| |||||||
42,357,034 | ||||||||
|
| |||||||
Industrials — 3.8% | ||||||||
Canadian Pacific Railway | 55,200 | 4,041,744 | ||||||
Fortive | 32,000 | 1,840,000 | ||||||
Uber Technologies * | 55,000 | 1,731,400 | ||||||
Union Pacific | 23,000 | 5,388,670 | ||||||
|
| |||||||
13,001,814 | ||||||||
|
| |||||||
Information Technology — 44.4% | ||||||||
Adobe * | 16,800 | 6,651,960 | ||||||
Advanced Micro Devices * | 39,500 | 3,378,040 | ||||||
Apple | 221,084 | 34,853,892 | ||||||
Block, Cl A * | 17,500 | 1,741,950 | ||||||
Lam Research | 5,000 | 2,328,800 | ||||||
Marvell Technology | 134,535 | 7,813,793 | ||||||
Mastercard, Cl A | 34,660 | 12,594,751 | ||||||
Microsoft | 153,550 | 42,613,196 | ||||||
NVIDIA | 33,000 | 6,120,510 |
Description | Shares | Value | ||||||
PayPal Holdings * | 29,270 | $ | 2,573,711 | |||||
QUALCOMM | 27,500 | 3,841,475 | ||||||
Salesforce * | 36,135 | 6,357,592 | ||||||
ServiceNow * | 12,500 | 5,976,250 | ||||||
Snowflake, Cl A * | 16,000 | 2,743,040 | ||||||
Twilio, Cl A * | 12,000 | 1,341,840 | ||||||
Visa, Cl A | 53,100 | 11,317,203 | ||||||
Workday, Cl A * | 12,500 | 2,583,750 | ||||||
|
| |||||||
154,831,753 | ||||||||
|
| |||||||
Materials — 1.1% | ||||||||
Sherwin-Williams | 13,500 | 3,711,960 | ||||||
|
| |||||||
Real Estate — 0.4% | ||||||||
American Tower ‡ | 6,000 | 1,446,120 | ||||||
|
| |||||||
Total Common Stock | 338,255,567 | |||||||
|
| |||||||
Total Investments — 97.1% | $ | 338,255,567 | ||||||
|
|
Percentages are based on Net Assets of $348,468,002.
* | Non-income producing security. |
§ | Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. |
‡ | Real Estate Investment Trust |
Cl — Class
As of April 30, 2022, all of the Fund’s investments in securities were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
FIA-QH-001-2900
1 |
Description | Face Amount | Value | ||||||
U.S. TREASURY OBLIGATIONS — 29.7% | ||||||||
U.S. Treasury Bonds | ||||||||
1.875%, 02/15/41 | $ | 30,000,000 | $ | 24,492,188 | ||||
1.375%, 11/15/40 | 30,000,000 | 22,450,781 | ||||||
1.250%, 05/15/50 | 20,000,000 | 13,332,031 | ||||||
U.S. Treasury Inflation Protection Securities | ||||||||
1.000%, 02/15/48 | 11,505,300 | 12,948,107 | ||||||
0.875%, 01/15/29 | 33,708,600 | 36,080,930 | ||||||
U.S. Treasury Note | ||||||||
1.500%, 01/15/23 to 02/15/25 | 85,000,000 | 83,405,664 | ||||||
U.S. Treasury Notes | ||||||||
2.875%, 05/15/28 | 200,000,000 | 198,906,250 | ||||||
1.250%, 04/30/28 | 30,000,000 | 27,176,953 | ||||||
1.125%, 01/15/25 to 02/15/31 | 450,000,000 | 424,050,001 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 842,842,905 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 18.0% |
| |||||||
Consumer Discretionary — 3.8% | ||||||||
Airswift Global | ||||||||
8.895%, ICE LIBOR USD 3 Month + 8.500%, 05/12/25 (A) | 13,000,000 | 13,101,292 | ||||||
Carvana | ||||||||
4.875%, 09/01/29 (A) | 9,000,000 | 6,568,200 | ||||||
Choice Hotels International | ||||||||
3.700%, 01/15/31 | 3,000,000 | 2,772,925 | ||||||
3.700%, 12/01/29 | 8,000,000 | 7,475,620 | ||||||
Expedia | ||||||||
3.800%, 02/15/28 | 5,915,000 | 5,633,399 | ||||||
Ford Motor | ||||||||
4.346%, 12/08/26 | 15,033,000 | 14,431,680 | ||||||
General Motors Financial | ||||||||
1.200%, 10/15/24 | 6,333,000 | 5,945,121 | ||||||
Jaguar Land Rover Automotive | ||||||||
4.500%, 10/01/27 (A) | 6,000,000 | 4,912,500 | ||||||
MajorDrive Holdings IV | ||||||||
6.375%, 06/01/29 (A) | 21,750,000 | 17,236,875 | ||||||
Marriott International | ||||||||
3.500%, 10/15/32 | 3,000,000 | 2,679,223 | ||||||
2.850%, 04/15/31 | 3,000,000 | 2,580,083 | ||||||
QVC | ||||||||
4.750%, 02/15/27 | 4,000,000 | 3,579,960 | ||||||
Scientific Games International | ||||||||
8.625%, 07/01/25 (A) | 5,750,000 | 6,023,125 | ||||||
STL Holding | ||||||||
7.500%, 02/15/26 (A) | 12,500,000 | 11,812,500 | ||||||
TransJamaican Highway | ||||||||
5.750%, 10/10/36 (A) | 1,449,735 | 1,365,665 | ||||||
|
| |||||||
106,118,168 | ||||||||
|
| |||||||
Energy — 7.3% | ||||||||
Apache | ||||||||
7.750%, 12/15/29 | 4,138,000 | 4,551,800 | ||||||
Intesa Sanpaolo | ||||||||
4.000%, 09/23/29 (A) | 5,000,000 | 4,599,898 | ||||||
Marathon Oil | ||||||||
4.400%, 07/15/27 | 3,000,000 | 2,995,350 | ||||||
New England Power | ||||||||
2.807%, 10/06/50 (A) | 5,000,000 | 3,596,019 | ||||||
Noble Finance | ||||||||
11.000%, 02/15/28 | 1,893,334 | 2,120,534 |
Description | Face Amount | Value | ||||||
11.000%, 02/15/28 (A) | $ | 869,000 | $ | 973,280 | ||||
Petroleos Mexicanos | ||||||||
6.700%, 02/16/32 (A) | 6,352,000 | 5,473,391 | ||||||
Reliance Industries | ||||||||
2.875%, 01/12/32 (A) | 2,000,000 | 1,711,000 | ||||||
SBL Holdings | ||||||||
7.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.580%, 05/13/70 (A) | 2,500,000 | 2,243,750 | ||||||
Seadrill New Finance | ||||||||
10.000%, 07/15/26 (B) | 77,162,086 | 72,918,171 | ||||||
10.000%, 07/15/26 (B) | 16,032,021 | 15,150,260 | ||||||
Seamex Finance Ltd. | ||||||||
12.000%, 08/31/24 | 38,961,909 | 42,273,671 | ||||||
Tiger Holdco Pte | ||||||||
13.000%, 06/10/23 (A) | 19,553,480 | 18,966,876 | ||||||
Transocean | ||||||||
11.500%, 01/30/27 (A) | 19,718,000 | 19,614,284 | ||||||
Transocean Sentry | ||||||||
5.375%, 05/15/23 (A) | 7,273,476 | 7,055,272 | ||||||
VistaJet Malta Finance | ||||||||
7.875%, 05/01/27 (A) | 5,000,000 | 4,703,500 | ||||||
6.375%, 02/01/30 (A) | 2,000,000 | 1,745,360 | ||||||
|
| |||||||
210,692,416 | ||||||||
|
| |||||||
Financials — 2.5% | ||||||||
Athene Holding | ||||||||
6.150%, 04/03/30 | 10,000,000 | 10,515,056 | ||||||
BAC Capital Trust XIV | ||||||||
5.630%, ICE LIBOR USD 3 | 9,870,000 | 8,167,195 | ||||||
Barclays MTN | ||||||||
4.972%, ICE LIBOR USD 3 Month + 1.902%, 05/16/29 | 2,000,000 | 2,007,296 | ||||||
Credit Suisse Group | ||||||||
5.100%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.293%, 07/24/70 | 10,000,000 | 8,650,000 | ||||||
Enova International | ||||||||
8.500%, 09/15/25 (A) | 11,007,000 | 10,951,965 | ||||||
Farmers Exchange Capital | ||||||||
7.050%, 07/15/28 (A) | 6,075,000 | 6,718,202 | ||||||
PROG Holdings | ||||||||
6.000%, 11/15/29 (A) | 1,550,000 | 1,369,735 | ||||||
Royal Bank of Canada MTN | ||||||||
0.750%, 10/07/24 | 17,250,000 | 16,187,211 | ||||||
Wachovia | ||||||||
6.605%, 10/01/25 | 5,650,000 | 6,064,143 | ||||||
|
| |||||||
70,630,803 | ||||||||
|
| |||||||
Industrials — 1.1% | ||||||||
AerCap Ireland Capital DAC | ||||||||
1.750%, 10/29/24 | 4,000,000 | 3,722,312 | ||||||
American Airlines Group | ||||||||
3.750%, 03/01/25 (A) | 11,465,000 | 10,232,513 | ||||||
Boeing | ||||||||
2.950%, 02/01/30 | 3,344,000 | 2,878,746 | ||||||
Burlington Northern Santa Fe | ||||||||
7.290%, 06/01/36 | 5,000,000 | 6,276,555 | ||||||
Equifax | ||||||||
3.100%, 05/15/30 | 3,000,000 | 2,725,677 | ||||||
Flowserve | ||||||||
3.500%, 10/01/30 | 4,000,000 | 3,582,007 |
1 |
Description | Face Amount | Value | ||||||
Leidos | ||||||||
2.300%, 02/15/31 | $ | 3,291,000 | $ | 2,710,943 | ||||
|
| |||||||
32,128,753 | ||||||||
|
| |||||||
Information Technology — 2.1% |
| |||||||
Amkor Technology | ||||||||
6.625%, 09/15/27 (A) | 10,372,000 | 10,553,510 | ||||||
Avaya | ||||||||
6.125%, 09/15/28 (A) | 4,000,000 | 3,711,014 | ||||||
Avnet | ||||||||
3.000%, 05/15/31 | 7,000,000 | 5,988,851 | ||||||
Citrix Systems | ||||||||
3.300%, 03/01/30 | 6,000,000 | 5,916,816 | ||||||
Diebold Nixdorf | ||||||||
9.375%, 07/15/25 (A) | 250,000 | 221,250 | ||||||
Jabil | ||||||||
3.600%, 01/15/30 | 4,496,000 | 4,150,963 | ||||||
Kyndryl Holdings | ||||||||
4.100%, 10/15/41 (A) | 5,500,000 | 3,901,486 | ||||||
Motorola Solutions | ||||||||
4.600%, 05/23/29 | 21,435,000 | 21,010,790 | ||||||
Vericast | ||||||||
11.000%, 09/15/26 (A) | 3,650,000 | 3,467,500 | ||||||
|
| |||||||
58,922,180 | ||||||||
|
| |||||||
Materials — 0.3% |
| |||||||
Mineral Resources | ||||||||
8.125%, 05/01/27 (A) | 8,136,000 | 8,259,911 | ||||||
Nacional del Cobre de Chile | ||||||||
3.150%, 01/15/51 (A) | 500,000 | 366,640 | ||||||
|
| |||||||
8,626,551 | ||||||||
|
| |||||||
Real Estate — 0.2% |
| |||||||
GLP Capital | ||||||||
3.250%, 01/15/32 ‡ | 750,000 | 630,997 | ||||||
Invitation Homes Operating Partnership | ||||||||
2.000%, 08/15/31 ‡ | 2,000,000 | 1,601,248 | ||||||
Sabra Health Care | ||||||||
3.200%, 12/01/31 ‡ | 3,920,000 | 3,289,476 | ||||||
|
| |||||||
5,521,721 | ||||||||
|
| |||||||
Utilities — 0.7% |
| |||||||
Georgia Power | ||||||||
3.250%, 03/15/51 | 8,000,000 | 6,127,456 | ||||||
Pacific Gas and Electric | ||||||||
4.500%, 07/01/40 | 11,000,000 | 9,019,109 | ||||||
3.750%, 08/15/42 | 5,000,000 | 3,670,357 | ||||||
|
| |||||||
18,816,922 | ||||||||
|
| |||||||
Total Corporate Obligations | 511,457,514 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 17.4% |
| |||||||
Automotive — 12.8% |
| |||||||
ACC Auto Trust, Ser 2021-A, Cl D | ||||||||
6.100%, 06/15/29 (A) | 13,000,000 | 12,420,156 | ||||||
American Credit Acceptance | ||||||||
4.410%, 06/13/28 (A) | 5,000,000 | 5,014,871 | ||||||
American Credit Acceptance Receivables Trust, Ser 2018-3, Cl F | ||||||||
6.440%, 06/12/25 (A) | 4,000,000 | 4,045,083 |
Description | Face Amount | Value | ||||||
American Credit Acceptance Receivables Trust, Ser 2020-1, Cl D | ||||||||
2.390%, 03/13/26 (A) | $ | 2,000,000 | $ | 1,987,610 | ||||
American Credit Acceptance Receivables Trust, Ser 2020-2, Cl E | ||||||||
7.600%, 02/16/27 (A) | 13,750,000 | 14,180,764 | ||||||
American Credit Acceptance Receivables Trust, Ser 2020-3, Cl D | ||||||||
2.400%, 06/15/26 (A) | 6,500,000 | 6,415,520 | ||||||
American Credit Acceptance Receivables Trust, Ser 2020-4, Cl E | ||||||||
3.650%, 12/14/26 (A) | 4,000,000 | 3,916,510 | ||||||
Avid Automobile Receivables Trust, Ser 2019-1, Cl D | ||||||||
4.030%, 07/15/26 (A) | 1,300,000 | 1,301,238 | ||||||
BlueMountain CLO XXX, Ser 2022-30A, Cl BR | ||||||||
2.751%, TSFR3M + 1.900%, 04/15/35 (A) | 2,250,000 | 2,212,861 | ||||||
BlueMountain CLO XXX, Ser 2022-30A, Cl DR | ||||||||
4.151%, TSFR3M + 3.300%, 04/15/35 (A) | 1,250,000 | 1,234,809 | ||||||
BlueMountain CLO XXX, Ser 2022-30A, Cl ER | ||||||||
7.551%, TSFR3M + 6.700%, 04/15/35 (A) | 2,350,000 | 2,306,783 | ||||||
BlueMountain CLO, Ser 2021-2A, Cl A2R2 | ||||||||
2.180%, ICE LIBOR USD 3 Month + 1.700%, 08/20/32 (A) | 10,000,000 | 9,917,320 | ||||||
CarNow Auto Receivables Trust, Ser 2021-2A, Cl C | ||||||||
1.690%, 03/15/27 (A) | 3,330,000 | 3,202,319 | ||||||
CarNow Auto Receivables Trust, Ser 2021-2A, Cl E | ||||||||
4.450%, 02/15/28 (A) | 4,000,000 | 3,791,425 | ||||||
Carvana Auto Receivables Trust, Ser 2019-1A, Cl E | ||||||||
5.640%, 01/15/26 (A) | 8,000,000 | 8,114,728 | ||||||
Carvana Auto Receivables Trust, Ser 2019-3A, Cl E | ||||||||
4.600%, 07/15/26 (A) | 5,000,000 | 5,027,859 | ||||||
Carvana Auto Receivables Trust, Ser 2019-4A, Cl E | ||||||||
4.700%, 10/15/26 (A) | 6,000,000 | 5,957,540 | ||||||
CIFC Funding 2022-II, Ser 2022-2A, Cl A1 | ||||||||
2.057%, TSFR3M + 1.320%, 04/19/35 (A) | 4,500,000 | 4,468,991 | ||||||
CIFC Funding 2022-II, Ser 2022-2A, Cl B | ||||||||
2.587%, TSFR3M + 1.850%, 04/19/35 (A) | 9,125,000 | 9,058,597 | ||||||
CIG Auto Receivables Trust, Ser 2021-1A, Cl E | ||||||||
4.450%, 05/12/28 (A) | 7,000,000 | 6,628,168 |
2 |
Description | Face Amount | Value | ||||||
CPS Auto Receivables Trust, Ser 2019-B, Cl F | ||||||||
7.480%, 06/15/26 (A) | $ | 6,055,000 | $ | 6,125,090 | ||||
CPS Auto Receivables Trust, Ser 2019-D, Cl D | ||||||||
2.720%, 09/15/25 (A) | 3,000,000 | 2,988,355 | ||||||
CPS Auto Receivables Trust, Ser 2019-D, Cl E | ||||||||
3.860%, 10/15/25 (A) | 6,000,000 | 5,940,987 | ||||||
DT Auto Owner Trust, Ser 2020-1A, Cl E | ||||||||
3.480%, 02/16/27 (A) | 4,500,000 | 4,431,628 | ||||||
DT Auto Owner Trust, Ser 2020-3A, Cl D | ||||||||
1.840%, 06/15/26 (A) | 2,000,000 | 1,921,964 | ||||||
DT Auto Owner Trust, Ser 2021-1A, Cl E | ||||||||
2.380%, 01/18/28 (A) | 1,000,000 | 940,033 | ||||||
DT Auto Owner Trust, Ser 2021-3A, Cl D | ||||||||
1.310%, 05/17/27 (A) | 5,500,000 | 5,030,217 | ||||||
Exeter Automobile Receivables Trust, Ser 2020-1A, Cl D | ||||||||
2.730%, 12/15/25 (A) | 2,500,000 | 2,475,721 | ||||||
First Investors Auto Owner Trust 2022-1, Ser 2022-1A, Cl E | ||||||||
5.410%, 06/15/29 (A) | 2,280,000 | 2,188,616 | ||||||
First Investors Auto Owner Trust, Ser 2020-1A, Cl D | ||||||||
3.150%, 04/15/26 (A) | 4,000,000 | 3,988,826 | ||||||
First Investors Auto Owner Trust, Ser 2020-1A, Cl E | ||||||||
4.630%, 06/16/26 (A) | 5,510,000 | 5,545,009 | ||||||
First Investors Auto Owner Trust, Ser 2020-1A, Cl F | ||||||||
7.070%, 06/15/27 (A) | 5,300,000 | 5,468,996 | ||||||
Flagship Credit Auto Trust, Ser 2019-2, Cl D | ||||||||
3.530%, 05/15/25 (A) | 5,190,000 | 5,155,796 | ||||||
Flagship Credit Auto Trust, Ser 2020-1, Cl E | ||||||||
3.520%, 06/15/27 (A) | 7,931,000 | 7,575,013 | ||||||
Flagship Credit Auto Trust, Ser 2020-2, Cl E | ||||||||
8.220%, 09/15/27 (A) | 8,000,000 | 8,508,515 | ||||||
Foursight Capital Automobile Receivables Trust, Ser 2018-2, Cl D | ||||||||
4.330%, 07/15/24 (A) | 43,790 | 43,889 | ||||||
Foursight Capital Automobile Receivables Trust, Ser 2020-1, Cl E | ||||||||
3.490%, 04/15/26 (A) | 1,300,000 | 1,286,773 | ||||||
Foursight Capital Automobile Receivables Trust, Ser 2022-1, Cl E | ||||||||
4.690%, 08/15/29 (A) | 4,230,000 | 3,931,147 | ||||||
Global SC Finance VII Srl, Ser 2020-1A, Cl A | ||||||||
2.170%, 10/17/40 (A) | 3,300,864 | 3,071,408 |
Description | Face Amount | Value | ||||||
GLS Auto Receivables Issuer Trust, Ser 2019-3A, Cl D | ||||||||
3.840%, 05/15/26 (A) | $ | 6,000,000 | $ | 5,953,907 | ||||
GLS Auto Receivables Issuer Trust, Ser 2020-1A, Cl D | ||||||||
3.680%, 11/16/26 (A) | 5,000,000 | 4,959,185 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2020-4A, Cl E | ||||||||
3.510%, 10/15/27 (A) | 650,000 | 626,879 | ||||||
GLS Auto Receivables Trust, Ser 2022-1A, Cl E | ||||||||
5.640%, 05/15/29 (A) | 4,000,000 | 3,843,180 | ||||||
Hertz Vehicle Financing, Ser 2021-1A, Cl D | ||||||||
3.980%, 12/26/25 (A) | 10,000,000 | 9,357,636 | ||||||
Kapitus Asset Securitization, Ser 2022-1A, Cl A | ||||||||
3.382%, 07/10/28 (A) | 8,000,000 | 7,683,863 | ||||||
Mercury Financial Credit Card Master Trust, Ser 2022-1A, Cl A | ||||||||
2.500%, 09/21/26 (A) | 3,000,000 | 2,865,576 | ||||||
Mercury Financial Credit Card Master Trust, Ser 2022-1A, Cl C | ||||||||
5.200%, 09/21/26 (A) | 1,780,000 | 1,691,755 | ||||||
Oaktree CLO, Ser 2021-3A, Cl BR | ||||||||
2.813%, ICE LIBOR USD 3 Month + 1.750%, 10/20/34 (A) | 13,500,000 | 13,219,403 | ||||||
Octane Receivables Trust, Ser 2021-2A, Cl B | ||||||||
2.020%, 09/20/28 (A) | 3,000,000 | 2,796,039 | ||||||
OHA Credit Funding 7, Ser 2022-7A, Cl AR | ||||||||
2.146%, TSFR3M + 1.300%, 02/24/37 (A) | 25,000,000 | 24,706,025 | ||||||
OHA Credit Funding 7, Ser 2022-7A, Cl ER | ||||||||
7.096%, TSFR3M + 6.250%, 02/24/37 (A) | 2,500,000 | 2,453,333 | ||||||
Pawneee Equipment Receivables, Ser 2021-1, Cl C | ||||||||
2.300%, 07/15/27 (A) | 4,700,000 | 4,351,363 | ||||||
PRET, Ser 2021-NPL5, Cl A2 | ||||||||
4.704%, 10/25/51 (A) | 7,000,000 | 6,745,816 | ||||||
PRET, Ser 2021-RN4, Cl A2 | ||||||||
5.194%, 10/25/51 (A)(C) | 6,000,000 | 5,783,826 | ||||||
Pretium Mortgage Credit Partners I, Ser 2021-NPL2, Cl A2 | ||||||||
3.844%, 06/27/60 (A) | 2,750,000 | 2,591,849 | ||||||
Santander Consumer Auto Receivables Trust, Ser 2020-AA, Cl E | ||||||||
7.690%, 05/15/26 (A) | 9,006,000 | 9,284,737 | ||||||
Santander Consumer Auto Receivables Trust, Ser 2020-AA, Cl F | ||||||||
10.120%, 01/16/29 (A) | 27,740,000 | 28,385,072 | ||||||
Santander Consumer Auto Receivables Trust, Ser 2020-BA, Cl F | ||||||||
7.030%, 08/15/28 (A) | 6,250,000 | 6,401,195 |
3 |
Description | Face Amount | Value | ||||||
Santander Consumer Auto Receivables Trust, Ser 2021-AA, Cl E | ||||||||
3.280%, 03/15/27 (A) | $ | 1,000,000 | $ | 941,107 | ||||
Tricolor Auto Securitization Trust, Ser 2021-1A, Cl C | ||||||||
1.330%, 09/16/24 (A) | 2,000,000 | 1,965,199 | ||||||
United Auto Credit Securitization Trust, Ser 2020-1, Cl F | ||||||||
9.080%, 01/12/26 (A) | 3,680,000 | 3,730,855 | ||||||
Venture 37 CLO, Ser 2021-37A, Cl BR | ||||||||
2.794%, ICE LIBOR USD 3 Month + 1.750%, 07/15/32 (A) | 10,000,000 | 9,922,340 | ||||||
Veros Auto Receivables Trust, Ser 2021-1, Cl C | ||||||||
3.640%, 08/15/28 (A) | 4,320,000 | 4,121,021 | ||||||
VR Funding, Ser 2020-1A, Cl A | ||||||||
2.790%, 11/15/50 (A) | 7,265,302 | 6,728,118 | ||||||
VR Funding, Ser 2020-1A, Cl C | ||||||||
6.420%, 11/15/50 (A) | 4,229,375 | 4,038,287 | ||||||
|
| |||||||
362,968,701 | ||||||||
|
| |||||||
Credit Card — 0.1% |
| |||||||
Master Credit Card Trust II, Ser 2020-1A, Cl C | ||||||||
2.590%, 09/21/24 (A) | 2,000,000 | 1,983,505 | ||||||
|
| |||||||
Other Asset-Backed Securities — 3.7% |
| |||||||
321 Henderson Receivables I, Ser 2010-2A, Cl B | ||||||||
7.450%, 01/15/50 (A) | 1,333,891 | 1,388,655 | ||||||
321 Henderson Receivables I, Ser 2012-1A, Cl B | ||||||||
7.140%, 02/15/67 (A) | 568,062 | 637,315 | ||||||
321 Henderson Receivables I, Ser 2012-2A, Cl B | ||||||||
6.770%, 10/17/61 (A) | 1,524,180 | 1,669,876 | ||||||
Amur Equipment Finance Receivables IX, Ser 2021-1A, Cl D | ||||||||
2.300%, 11/22/27 (A) | 1,250,000 | 1,177,363 | ||||||
Audax Senior Debt CLO 6, Ser 2021-6A, Cl B | ||||||||
3.013%, ICE LIBOR USD 3 Month + 1.950%, 10/20/33 (A) | 8,000,000 | 7,884,096 | ||||||
BX Commercial Mortgage Trust, Ser 2020-VIV3, Cl B | ||||||||
3.662%, 03/09/44 (A)(C) | 8,000,000 | 7,316,309 | ||||||
BXMT, Ser 2020-FL2, Cl A | ||||||||
1.282%, SOFR30A + 1.014%, 02/15/38 (A) | 13,000,000 | 12,904,632 | ||||||
CAL Funding IV, Ser 2020-1A, Cl B | ||||||||
3.500%, 09/25/45 (A) | 1,471,208 | 1,381,373 | ||||||
CF Hippolyta, Ser 2020-1, Cl A2 | ||||||||
1.990%, 07/15/60 (A) | 5,426,792 | 4,850,794 | ||||||
Diamond Resorts Owner Trust, Ser 2019-1A, Cl A | ||||||||
2.890%, 02/20/32 (A) | 1,461,899 | 1,443,816 | ||||||
Harley Marine Financing, Ser 2018-1A, Cl A2 | ||||||||
5.682%, 05/15/43 (A) | 9,997,489 | 9,950,861 | ||||||
Harley Marine Financing, Ser 2018-1A, Cl B | ||||||||
7.869%, 05/15/43 (A) | 6,000,000 | 5,944,506 |
Description | Face Amount | Value | ||||||
Harvest SBA Loan Trust, Ser 2018-1, Cl A | ||||||||
2.707%, ICE LIBOR USD 1 Month + 2.250%, 08/25/44 (A) | $ | 2,783,157 | $ | 2,756,701 | ||||
Marlette Funding Trust, Ser 2020-1A, Cl D | ||||||||
3.540%, 03/15/30 (A) | 1,500,000 | 1,472,475 | ||||||
Mosaic Solar Loan Trust, Ser 2020-2A, Cl B | ||||||||
2.210%, 08/20/46 (A) | 3,255,686 | 2,979,514 | ||||||
Orange Lake Timeshare Trust, Ser 2019-A, Cl C | ||||||||
3.610%, 04/09/38 (A) | 1,864,562 | 1,815,359 | ||||||
Orange Lake Timeshare Trust, Ser 2019-A, Cl D | ||||||||
4.930%, 04/09/38 (A) | 307,657 | 292,919 | ||||||
Pawnee Equipment Receivables Series, Ser 2019-1, Cl D | ||||||||
2.860%, 10/15/24 (A) | 5,500,000 | 5,331,438 | ||||||
Pawnee Equipment Receivables Series, Ser 2019-1, Cl E | ||||||||
3.800%, 01/15/26 (A) | 2,500,000 | 2,414,562 | ||||||
Pretium Mortgage Credit Partners I, Ser 2021-NPL1, Cl A2 | ||||||||
4.213%, 09/27/60 (A) | 9,000,000 | 8,555,721 | ||||||
Pretium Mortgage Credit Partners, Ser 2021-NPL3, Cl A2 | ||||||||
3.721%, 07/25/51 (A) | 2,000,000 | 1,840,134 | ||||||
Sapphire Aviation Finance I, Ser 2018-1A, Cl B | ||||||||
5.926%, 03/15/40 (A) | 1,715,776 | 1,310,491 | ||||||
Stack Infrastructure Issuer Series, Ser 2019-1A, Cl A2 | ||||||||
4.540%, 02/25/44 (A) | 3,486,000 | 3,478,099 | ||||||
Textainer Marine Containers VIII, Ser 2020-2A, Cl B | ||||||||
3.340%, 09/20/45 (A) | 1,700,535 | 1,593,816 | ||||||
Triton Container Finance VIII, Ser 2020-1A, Cl B | ||||||||
3.740%, 09/20/45 (A) | 865,417 | 799,438 | ||||||
TRTX Issuer, Ser 2021-FL4, Cl C | ||||||||
2.954%, ICE LIBOR USD 1 Month + 2.400%, 03/15/38 (A) | 10,000,000 | 9,895,020 | ||||||
VOLT CIII, Ser 2021-CF1, Cl A2 | ||||||||
3.967%, 08/25/51 (A) | 3,303,000 | 3,222,991 | ||||||
|
| |||||||
104,308,274 | ||||||||
|
| |||||||
Student Loan — 0.8% |
| |||||||
Brazos Student Finance, Ser 2009-1, Cl B | ||||||||
3.466%, ICE LIBOR USD 3 Month + 2.500%, 12/27/39 | 5,000,000 | 5,061,970 | ||||||
College Ave Student Loans, Ser 2018-A, Cl A1 | ||||||||
1.868%, ICE LIBOR USD 1 Month + 1.200%, 12/26/47 (A) | 2,031,295 | 2,011,631 | ||||||
Commonbond Student Loan Trust, Ser 2017-AGS, Cl A1 | ||||||||
2.550%, 05/25/41 (A) | 1,614,103 | 1,606,216 | ||||||
Nelnet Student Loan Trust, Ser 2013-3A, Cl B | ||||||||
2.168%, ICE LIBOR USD 1 Month + 1.500%, 07/25/47 (A) | 10,000,000 | 9,847,365 |
4 |
Description | Face Amount | Value | ||||||
SLM Student Loan Trust, Ser 2012-7, Cl B | ||||||||
2.468%, ICE LIBOR USD 1 | $ | 5,000,000 | $ | 4,966,903 | ||||
|
| |||||||
23,494,085 | ||||||||
|
| |||||||
Total Asset-Backed Securities (Cost $497,178,760) | 492,754,565 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 15.3% |
| |||||||
Agency Mortgage-Backed Obligation — 3.3% |
| |||||||
FHLMC | ||||||||
3.053%, ICE LIBOR USD 12 | 3,417,037 | 3,426,670 | ||||||
2.336%, ICE LIBOR USD 12 | 2,760,937 | 2,796,165 | ||||||
FHLMC REMIC, Ser 2011-3898, Cl FC | ||||||||
1.064%, LIBOR USD 1 Month + 0.510%, 11/15/36 | 1,332,641 | 1,339,993 | ||||||
FHLMC, Ser 2012-293, Cl IO, IO | ||||||||
4.000%, 11/15/32 | 711,040 | 76,954 | ||||||
FHLMC, Ser 2012-3996, Cl QL | ||||||||
4.000%, 02/15/42 | 5,699,066 | 5,860,968 | ||||||
FHLMC, Ser 2012-4029, Cl LI, IO | ||||||||
3.000%, 01/15/27 | 1,976,752 | 66,696 | ||||||
FHLMC, Ser 2012-4054, Cl HI, IO | ||||||||
3.000%, 05/15/26 | 64,833 | 12 | ||||||
FHLMC, Ser 2012-4077, Cl AI, IO | ||||||||
3.000%, 01/15/27 | 2,678,296 | 68,427 | ||||||
FHLMC, Ser 2012-4106, Cl YI, IO | ||||||||
2.500%, 09/15/27 | 1,633,680 | 80,622 | ||||||
FHLMC, Ser 2012-4116, Cl MI, IO | ||||||||
4.000%, 10/15/42 | 14,604,557 | 2,053,910 | ||||||
FHLMC, Ser 2012-4116, Cl PI, IO | ||||||||
4.000%, 10/15/42 | 4,689,586 | 926,837 | ||||||
FHLMC, Ser 2012-4134, Cl BI, IO | ||||||||
2.500%, 11/15/27 | 4,693,856 | 225,527 | ||||||
FHLMC, Ser 2012-4136, Cl PI, IO | ||||||||
3.000%, 11/15/32 | 9,721,128 | 1,102,797 | ||||||
FHLMC, Ser 2012-4148, Cl LI, IO | ||||||||
2.500%, 12/15/27 | 3,134,556 | 155,155 | ||||||
FHLMC, Ser 2013-4213, Cl IG, IO | ||||||||
4.000%, 06/15/43 | 7,152,062 | 906,449 | ||||||
FHLMC, Ser 2014-4349, Cl KI, IO | ||||||||
3.000%, 04/15/33 | 5,348,654 | 356,338 | ||||||
FHLMC, Ser 2015-4457, Cl EI, IO | ||||||||
3.500%, 02/15/45 | 351,615 | 33,192 | ||||||
FHLMC, Ser 2017-4675, Cl VE | ||||||||
3.500%, 08/15/37 | 4,707,000 | 4,671,475 | ||||||
FHLMC, Ser 2019-4908, Cl AS, IO | ||||||||
5.432%, ICE LIBOR USD 1 Month + 6.100%, 01/25/45 | 11,523,276 | 1,973,806 | ||||||
FNMA | ||||||||
5.500%, 05/01/44 | 4,266,217 | 4,538,056 | ||||||
4.500%, 08/01/41 | 2,337,027 | 2,425,716 | ||||||
3.000%, 10/01/32 to 11/01/46 | 6,225,647 | 6,044,333 | ||||||
2.813%, ICE LIBOR USD 12 Month + 1.700%, 10/01/42 | 1,033,086 | 1,068,894 | ||||||
2.710%, 08/01/23 | 250,899 | 250,475 | ||||||
2.250%, 10/30/24 | 10,000,000 | 9,847,370 |
Description | Face Amount | Value | ||||||
2.000%, ICE LIBOR USD 12 Month + 1.750%, 02/01/42 | $ | 1,060,328 | $ | 1,088,274 | ||||
FNMA REMIC, Ser 2017-52, Cl DI, IO | ||||||||
4.500%, 07/25/47 | 8,729,153 | 1,430,444 | ||||||
FNMA STRIPS, Ser 2009-397, Cl 2, IO | ||||||||
5.000%, 09/25/39 | 1,330,829 | 232,262 | ||||||
FNMA STRIPS, Ser 2009-400, Cl 2, IO | ||||||||
4.500%, 11/25/39 | 1,026,488 | 168,802 | ||||||
FNMA STRIPS, Ser 2010-404, Cl 2, IO | ||||||||
4.500%, 05/25/40 | 1,833,300 | 388,422 | ||||||
FNMA STRIPS, Ser 2011-407, Cl 2, IO | ||||||||
4.000%, 03/25/41 | 1,832,058 | 298,612 | ||||||
FNMA, Ser 2011-103, Cl GI, IO | ||||||||
3.500%, 10/25/26 | 1,063,892 | 40,856 | ||||||
FNMA, Ser 2011-146, Cl AY | ||||||||
3.500%, 01/25/32 | 2,665,582 | 2,620,987 | ||||||
FNMA, Ser 2012-410, Cl C5, IO | �� | |||||||
3.500%, 05/25/27 | 4,157,705 | 181,364 | ||||||
FNMA, Ser 2012-61, Cl KI, IO | ||||||||
4.000%, 12/25/41 | 3,882,189 | 300,477 | ||||||
FNMA, Ser 2012-68, Cl GY | ||||||||
3.000%, 07/25/32 | 5,000,000 | 4,875,508 | ||||||
FNMA, Ser 2013-104, Cl TI, IO | ||||||||
3.000%, 08/25/32 | 1,632,628 | 80,436 | ||||||
FNMA, Ser 2013-36, Cl MH | ||||||||
2.500%, 12/25/36 | 874,449 | 874,524 | ||||||
FNMA, Ser 2014-40, Cl GI, IO | ||||||||
3.000%, 06/25/33 | 5,150,986 | 547,340 | ||||||
FNMA, Ser 2015-421, Cl C1, IO | ||||||||
3.000%, 05/25/30 | 2,942,550 | 248,824 | ||||||
FNMA, Ser 2019-44, Cl CI, IO | ||||||||
4.000%, 08/25/59 | 6,733,774 | 1,425,589 | ||||||
FNMA, Ser 2019-44, Cl PI, IO | ||||||||
4.000%, 08/25/49 | 5,619,546 | 903,226 | ||||||
GNMA REMIC, Ser 2011-125, Cl BI, IO | ||||||||
4.000%, 12/20/30 | 614,356 | 4,053 | ||||||
GNMA, Ser 2013-170, Cl QI, IO | ||||||||
5.500%, 11/20/43 (C) | 8,775,855 | 1,341,042 | ||||||
GNMA, Ser 2013-42, Cl MI, IO | ||||||||
3.500%, 04/20/41 | 668,748 | 10,870 | ||||||
GNMA, Ser 2013-62, Cl NI, IO | ||||||||
4.000%, 08/20/40 | 3,462,343 | 238,233 | ||||||
GNMA, Ser 2014-32, Cl CI, IO | ||||||||
4.000%, 03/20/43 | 2,644,303 | 237,606 | ||||||
GNMA, Ser 2014-44, Cl IO, IO | ||||||||
4.000%, 11/16/26 | 4,146,370 | 189,674 | ||||||
GNMA, Ser 2015-103, Cl CI, IO | ||||||||
4.000%, 07/20/45 | 12,860,634 | 1,959,135 | ||||||
GNMA, Ser 2015-17, Cl JI, IO | ||||||||
3.500%, 05/20/28 | 3,797,375 | 155,730 | ||||||
GNMA, Ser 2016-99, Cl ID, IO | ||||||||
4.500%, 04/16/44 | 16,335,483 | 3,819,456 | ||||||
GNMA, Ser 2017-137, Cl DI, IO | ||||||||
3.000%, 02/20/47 | 1,188,146 | 28,342 | ||||||
GNMA, Ser 2019-137, Cl GI, IO | ||||||||
4.000%, 11/20/49 | 57,651,405 | 9,313,486 |
5 |
Description | Face Amount | Value | ||||||
GNMA, Ser 2020-189, Cl IJ, IO | ||||||||
2.500%, 12/20/50 | $ | 23,581,775 | $ | 2,782,466 | ||||
GNMA, Ser 2020-191, Cl CT | ||||||||
1.250%, 12/20/50 | 4,557,053 | 3,798,837 | ||||||
GNMA, Ser 2021-8, Cl IG, IO | ||||||||
2.500%, 01/20/51 | 31,334,690 | 3,691,568 | ||||||
|
| |||||||
93,573,282 | ||||||||
|
| |||||||
Commercial Mortgage-Backed Obligation — 9.7% |
| |||||||
280 Park Avenue Mortgage Trust, Ser 201-280P, Cl F | ||||||||
3.316%, ICE LIBOR USD 1 Month + 2.827%, 09/15/34 (A) | 12,500,000 | 12,061,388 | ||||||
510 Asset Backed Trust, Ser 2021- NPL2, Cl A2 | ||||||||
4.090%, 06/25/61 (A) | 7,000,000 | 6,458,826 | ||||||
Angel Oak Mortgage Trust, Ser 2021-4, Cl A3 | ||||||||
1.446%, 01/20/65 (A)(C) | 2,641,349 | 2,473,932 | ||||||
Banc of America Commercial Mortgage Trust, Ser 2008-1, Cl AJ | ||||||||
6.786%, 02/10/51 (C) | 240,943 | 243,381 | ||||||
BANK, Ser 2018-BN10, Cl A5 | ||||||||
3.688%, 02/15/61 | 10,000,000 | 9,843,829 | ||||||
BANK, Ser 2018-BN14, Cl A3 | ||||||||
3.966%, 09/15/60 | 10,000,000 | 9,912,559 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, Ser 2007-T26, Cl AJ | ||||||||
5.566%, 01/12/45 (C) | 4,271,790 | 423,524 | ||||||
Benchmark Mortgage Trust, Ser 2020-B18, Cl E | ||||||||
2.250%, 07/15/53 (A) | 8,000,000 | 5,397,255 | ||||||
Benchmark Mortgage Trust, Ser 2020-B21, Cl D | ||||||||
2.000%, 12/17/53 (A) | 13,000,000 | 9,546,590 | ||||||
Benchmark Mortgage Trust, Ser 2020-IG3, Cl A4 | ||||||||
2.437%, 09/15/48 (A) | 10,000,000 | 8,886,174 | ||||||
CAFL, Ser 2021-RTL1, Cl A1 | ||||||||
2.239%, 03/28/29 (A) | 2,000,000 | 1,861,713 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2015-GC31, Cl C | ||||||||
4.174%, 06/10/48 (C) | 5,000,000 | 4,757,024 | ||||||
Commercial Mortgage Trust, Ser 2012-CR2, Cl C | ||||||||
4.959%, 08/15/45 (C) | 1,000,000 | 995,680 | ||||||
Commercial Mortgage Trust, Ser 2012-CR2, Cl D | ||||||||
4.959%, 08/15/45 (A)(C) | 224,200 | 220,923 | ||||||
Commercial Mortgage Trust, Ser 2014-LC15, Cl D | ||||||||
5.169%, 04/10/47 (A)(C) | 9,500,000 | 9,065,986 | ||||||
Commercial Mortgage Trust, Ser 2014-UBS6, Cl C | ||||||||
4.588%, 12/10/47 (C) | 4,000,000 | 3,897,957 | ||||||
Commercial Mortgage Trust, Ser 2015-DC1, Cl D | ||||||||
4.441%, 02/10/48 (A)(C) | 9,000,000 | 7,792,934 | ||||||
Credit Suisse Commercial Mortgage Trust, Ser 2008-C1, Cl D | ||||||||
6.010%, 02/15/41 (A)(C) | 2,795,407 | 111,816 |
Description | Face Amount | Value | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl AMFL | ||||||||
0.804%, ICE LIBOR USD 1 Month + 0.250%, 04/15/37 | $ | 55,889 | $ | 55,471 | ||||
Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl AMFX | ||||||||
4.877%, 04/15/37 | 4,995 | 4,887 | ||||||
CSAIL Commercial Mortgage Trust, Ser 2019-C15, Cl A4 | ||||||||
4.053%, 03/15/52 | 10,000,000 | 9,967,697 | ||||||
CSMC Trust, Ser 2019-AFC1, Cl A1 | ||||||||
2.573%, 07/25/49 (A) | 3,128,695 | 3,028,630 | ||||||
DROP Mortgage Trust, Ser 2021-FILE, Cl D | ||||||||
3.300%, ICE LIBOR USD 1 Month + 2.750%, 04/15/26 (A) | 15,000,000 | 14,585,508 | ||||||
FHLMC Military Housing Bonds Resecuritization Trust Certificates, Ser 2015-R1, Cl C3 | ||||||||
5.940%, 11/25/52 (A)(C) | 33,800,974 | 30,849,676 | ||||||
FHLMC, Ser 2021-5085, Cl IG, IO | ||||||||
2.500%, 03/25/51 | 23,327,828 | 3,416,969 | ||||||
FHLMC, Ser 2022-5202, Cl KI, IO | ||||||||
3.500%, 06/25/49 | 18,511,160 | 2,974,445 | ||||||
FNMA, Ser 2020-44, Cl MI, IO | ||||||||
2.500%, 01/25/57 | 13,687,228 | 2,318,953 | ||||||
Fontainebleau Miami Beach Trust, Ser 2019-FBLU, Cl A | ||||||||
3.144%, 12/10/36 (A) | 10,000,000 | 9,687,922 | ||||||
FREMF Mortgage Trust, Ser 2016-K54, Cl C | ||||||||
4.190%, 04/25/48 (A)(C) | 5,000,000 | 4,853,012 | ||||||
FREMF Mortgage Trust, Ser 2016-K57, Cl C | ||||||||
4.052%, 08/25/49 (A)(C) | 8,840,000 | 8,554,372 | ||||||
GS Mortgage Securities Trust, Ser 2018-GS9, Cl A4 | ||||||||
3.992%, 03/10/51 (C) | 10,000,000 | 10,032,426 | ||||||
Hudson Yards Mortgage Trust, Ser 2019-30HY, Cl B | ||||||||
3.380%, 07/10/39 (A)(C) | 2,500,000 | 2,325,433 | ||||||
JPMDB Commercial Mortgage Securities Trust, Ser 2016-C2, Cl C | ||||||||
3.512%, 06/15/49 (C) | 4,328,000 | 3,655,925 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl AMS | ||||||||
5.337%, 05/15/47 | 1,924,010 | 1,817,504 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl AJ | ||||||||
6.720%, 02/15/51 (C) | 1,804,277 | 1,623,849 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LD12, Cl J | ||||||||
5.994%, 02/15/51 (A)(B)(C) | 1,000,000 | — | ||||||
LStar Commercial Mortgage Trust, Ser 2016-4, Cl AS | ||||||||
3.188%, 03/10/49 (A) | 3,000,000 | 2,858,033 | ||||||
MFA 2022-INV1 Trust, Ser 2022-INV1, Cl A3 | ||||||||
4.250%, 04/25/66 (A)(C) | 4,000,000 | 3,819,695 |
6 |
Description | Face Amount | Value | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2016-C29, Cl C | ||||||||
4.886%, 05/15/49 (C) | $ | 2,413,000 | $ | 2,262,514 | ||||
Morgan Stanley Capital I, Ser 2007-T25, Cl AJ | ||||||||
5.574%, 11/12/49 (C) | 86,444 | 61,882 | ||||||
PRET, Ser 2021-RN3, Cl A1 | ||||||||
1.843%, 09/25/51 (A) | 8,395,106 | 7,948,684 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl D | ||||||||
5.059%, 05/10/63 (A)(C) | 7,245,000 | 2,861,775 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl E | ||||||||
5.059%, 05/10/63 (A)(C) | 15,614,806 | 468,444 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl C | ||||||||
5.216%, 08/10/49 (A)(C) | 3,000,000 | 3,003,683 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl D | ||||||||
4.607%, 12/10/45 (A)(C) | 13,624,000 | 12,627,263 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2016-C32, Cl C | ||||||||
4.880%, 01/15/59 (C) | 5,000,000 | 4,762,631 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2016-C32, Cl D | ||||||||
3.788%, 01/15/59 (A)(C) | 2,000,000 | 1,744,865 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2016-C34, Cl B | ||||||||
4.089%, 06/15/49 | 5,000,000 | 4,608,019 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2018-AUS, Cl A | ||||||||
4.194%, 08/17/36 (A)(C) | 5,000,000 | 4,934,225 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2018-C43, Cl A4 | ||||||||
4.012%, 03/15/51 (C) | 6,000,000 | 5,988,924 | ||||||
West Town Mall Trust, Ser 2017-KNOX, Cl A | ||||||||
3.823%, 07/05/30 (A) | 4,688,153 | 4,683,875 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2013-UBS1, Cl C | ||||||||
5.192%, 03/15/46 (C) | 3,000,000 | 2,994,862 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2014-C25, Cl D | ||||||||
3.803%, 11/15/47 (A)(C) | 7,310,000 | 6,497,390 | ||||||
|
| |||||||
275,830,934 | ||||||||
|
| |||||||
Non-Agency Residential Mortgage-Backed Obligation — 2.3% |
| |||||||
510 Asset Backed Trust, Ser 2021-NPL1, Cl A2 | ||||||||
3.967%, 06/25/61 (A) | 20,000,000 | 18,643,718 | ||||||
Arroyo Mortgage Trust, Ser 2019-2, Cl A2 | ||||||||
3.498%, 04/25/49 (A)(C) | 3,112,537 | 3,050,733 | ||||||
Carrington Mortgage Loan Trust, Ser 2007-FRE1, Cl M8 | ||||||||
2.461%, ICE LIBOR USD 1 Month + 2.250%, 02/25/37 (B)(D) | 1,000,000 | — | ||||||
FirstKey Mortgage Trust, Ser 2015-1, Cl A3 | ||||||||
3.500%, 03/25/45 (A)(C) | 939,886 | 900,957 |
Description | Face Amount | Value | ||||||
Galton Funding Mortgage Trust, Ser 2019-1, Cl A22 | ||||||||
4.000%, 02/25/59 (A)(C) | $ | 230,669 | $ | 228,814 | ||||
Galton Funding Mortgage Trust, Ser 2019-2, Cl A21 | ||||||||
4.000%, 06/25/59 (A)(C) | 1,838,474 | 1,834,036 | ||||||
PRPM, Ser 2021-10, Cl A2 | ||||||||
4.826%, 10/25/26 (A) | 8,000,000 | 7,556,637 | ||||||
PRPM, Ser 2021-5, Cl A2 | ||||||||
3.721%, 06/25/26 (A) | 4,014,354 | 3,741,134 | ||||||
PSMC Trust, Ser 2020-2, Cl A2 | ||||||||
3.000%, 05/25/50 (A)(C) | 716,726 | 700,952 | ||||||
RCO VI Mortgage, Ser 2022-1, Cl A2 | ||||||||
5.250%, 01/25/27 (A) | 5,000,000 | 4,750,000 | ||||||
Sequoia Mortgage Trust, Ser 2013-4, Cl AIO1, IO | ||||||||
0.857%, 04/25/43 (A)(C) | 54,533,674 | 829,604 | ||||||
Sequoia Mortgage Trust, Ser 2017-CH1, Cl A2 | ||||||||
3.500%, 08/25/47 (A)(C) | 109,007 | 105,968 | ||||||
Sequoia Mortgage Trust, Ser 2018-CH4, Cl A2 | ||||||||
4.000%, 10/25/48 (A)(C) | 201,636 | 201,017 | ||||||
Sequoia Mortgage Trust, Ser 2019-CH1, Cl A1 | ||||||||
4.500%, 03/25/49 (A)(C) | 26,041 | 25,969 | ||||||
Toorak Mortgage, Ser 2021-1, Cl M1 | ||||||||
5.805%, 06/25/24 (A) | 15,000,000 | 14,097,202 | ||||||
VOLT, Ser 2021-CF2, Cl A2 | ||||||||
5.316%, 11/27/51 (A) | 4,000,000 | 3,824,214 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Ser 2020-1, Cl A1 | ||||||||
3.000%, 12/25/49 (A)(C) | 2,803,320 | 2,634,485 | ||||||
WinWater Mortgage Loan Trust, Ser 2014-1, Cl A1 | ||||||||
3.909%, 06/20/44 (A)(C) | 602,141 | 601,267 | ||||||
WinWater Mortgage Loan Trust, Ser 2014-2, Cl A1 | ||||||||
4.000%, 09/20/44 (A)(C) | 193,645 | 191,108 | ||||||
WinWater Mortgage Loan Trust, Ser 2014-3, Cl A3 | ||||||||
3.500%, 11/20/44 (A)(C) | 488,603 | 477,061 | ||||||
WinWater Mortgage Loan Trust, Ser 2015-2, Cl A11 | ||||||||
3.500%, 02/20/45 (A)(C) | 509,228 | 480,088 | ||||||
WinWater Mortgage Loan Trust, Ser 2015-3, Cl A3 | ||||||||
3.500%, 03/20/45 (A)(C) | 650,922 | 620,772 | ||||||
|
| |||||||
65,495,736 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 434,899,952 | |||||||
|
| |||||||
COLLATERALIZED LOAN OBLIGATIONS — 14.9% |
| |||||||
Apidos CLO XI, Ser 2021-11A, Cl CR3 | ||||||||
3.044%, ICE LIBOR USD 3 Month + 2.000%, 04/17/34 (A) | 13,750,000 | 13,601,926 |
7 |
Description | Face Amount | Value | ||||||
Apidos CLO XI, Ser 2021-11A, Cl ER3 | ||||||||
7.614%, ICE LIBOR USD 3 Month + 6.570%, 04/17/34 (A) | $ | 5,000,000 | $ | 4,819,315 | ||||
Apidos Funding RR Subsidiary, Ser 2018-12RR, Cl A | ||||||||
2.574%, ICE LIBOR USD 3 Month + 1.530%, 04/15/31 (A) | 3,000,000 | 3,002,025 | ||||||
Apidos XXVIII, Ser 2017-28A, Cl A2 | ||||||||
2.463%, ICE LIBOR USD 3 Month + 1.400%, 01/20/31 (A) | 15,000,000 | 14,781,645 | ||||||
Battalion CLO 17, Ser 2021-17A, Cl B | ||||||||
2.663%, ICE LIBOR USD 3 Month + 1.600%, 03/09/34 (A) | 5,000,000 | 4,952,565 | ||||||
BCC Middle Market, Ser 2018-1A, Cl A1A | ||||||||
2.613%, ICE LIBOR USD 3 Month + 1.550%, 10/20/30 (A) | 21,000,000 | 20,814,423 | ||||||
Benefit Street Partners CLO III, Ser 2021-IIIA, Cl BR2 | ||||||||
3.463%, ICE LIBOR USD 3 Month + 2.400%, 07/20/29 (A) | 15,000,000 | 14,899,605 | ||||||
Benefit Street Partners CLO IV, Ser 2021-IVA, Cl A2AR | ||||||||
2.613%, ICE LIBOR USD 3 Month + 1.550%, 01/20/32 (A) | 8,750,000 | 8,625,689 | ||||||
Benefit Street Partners III, Ser 2017-IIIA, Cl DR | ||||||||
7.663%, ICE LIBOR USD 3 Month + 6.600%, 07/20/29 (A) | 5,000,000 | 4,767,410 | ||||||
Benefit Street Partners VIII, Ser 2018-8A, Cl A1AR | ||||||||
2.163%, ICE LIBOR USD 3 Month + 1.100%, 01/20/31 (A) | 5,450,000 | 5,418,662 | ||||||
Carlyle Global Market Strategies, Ser 2018-1A, Cl CR2 | ||||||||
2.844%, ICE LIBOR USD 3 Month + 1.800%, 04/17/31 (A) | 4,500,000 | 4,361,548 | ||||||
Carlyle Global Market Strategies, Ser 2018-3A, Cl A1A2 | ||||||||
2.218%, ICE LIBOR USD 3 Month + 1.180%, 01/14/32 (A) | 24,855,641 | 24,404,810 | ||||||
Carlyle Global Market Strategies, Ser 2018-3A, Cl A2A2 | ||||||||
2.888%, ICE LIBOR USD 3 Month + 1.850%, 01/14/32 (A) | 7,000,000 | 6,986,077 | ||||||
Carlyle Global Market Strategies, Ser 2018-3RA, Cl A1A | ||||||||
2.275%, ICE LIBOR USD 3 Month + 1.050%, 07/27/31 (A) | 14,877,491 | 14,784,491 | ||||||
Carlyle Global Market Strategies, Ser 2018-3RA, Cl A2 | ||||||||
2.775%, ICE LIBOR USD 3 Month + 1.550%, 07/27/31 (A) | 9,000,000 | 8,925,309 | ||||||
Carlyle Global Market Strategies, Ser 2018-5A, Cl A1RR | ||||||||
2.184%, ICE LIBOR USD 3 Month + 1.140%, 07/15/31 (A) | 15,834,091 | 15,746,117 |
Description | Face Amount | Value | ||||||
CIFC Funding, Ser 2018-1A, Cl A | ||||||||
2.044%, ICE LIBOR USD 3 Month + 1.000%, 04/18/31 (A) | $ | 10,000,000 | $ | 9,920,290 | ||||
CIFC Funding, Ser 2018-1A, Cl C | ||||||||
2.794%, ICE LIBOR USD 3 Month + 1.750%, 04/18/31 (A) | 2,000,000 | 1,961,704 | ||||||
Dryden 68 CLO, Ser 2021-68A, Cl BR | ||||||||
2.744%, ICE LIBOR USD 3 Month + 1.700%, 07/15/35 (A) | 11,750,000 | 11,633,640 | ||||||
Galaxy XV CLO, Ser 2021-15A, Cl CRR | ||||||||
2.894%, ICE LIBOR USD 3 Month + 1.850%, 10/15/30 (A) | 4,814,000 | 4,770,183 | ||||||
Galaxy XXI, Ser 2015-21A, Cl AR | ||||||||
2.083%, ICE LIBOR USD 3 Month + 1.020%, 04/20/31 (A) | 5,000,000 | 4,948,330 | ||||||
GoldenTree Credit Opportunities Financing, Ser 2018-1A, Cl A1R | ||||||||
2.506%, ICE LIBOR USD 3 Month + 1.680%, 06/15/34 (A) | 7,438,986 | 7,416,118 | ||||||
Golub Capital Partners, Ser 2017-17A, Cl A1R | ||||||||
2.834%, ICE LIBOR USD 3 Month + 1.650%, 10/25/30 (A) | 9,000,000 | 8,968,824 | ||||||
Golub Capital Partners, Ser 2017-21A, Cl AR | ||||||||
2.654%, ICE LIBOR USD 3 Month + 1.470%, 01/25/31 (A) | 11,000,000 | 10,912,957 | ||||||
Golub Capital Partners, Ser 2017-21A, Cl CR | ||||||||
3.634%, ICE LIBOR USD 3 Month + 2.450%, 01/25/31 (A) | 2,000,000 | 1,964,000 | ||||||
Golub Capital Partners, Ser 2017-22A, Cl AR | ||||||||
2.243%, ICE LIBOR USD 3 Month + 1.180%, 01/20/31 (A) | 9,000,000 | 8,975,655 | ||||||
Golub Capital Partners, Ser 2017-23A, Cl AR | ||||||||
2.263%, ICE LIBOR USD 3 Month + 1.200%, 01/20/31 (A) | 20,000,000 | 19,935,700 | ||||||
Golub Capital Partners, Ser 2017-23A, Cl BR | ||||||||
2.613%, ICE LIBOR USD 3 Month + 1.550%, 01/20/31 (A) | 4,000,000 | 3,997,980 | ||||||
Golub Capital Partners, Ser 2017-24A, Cl AR | ||||||||
1.915%, ICE LIBOR USD 3 Month + 1.600%, 11/05/29 (A) | 9,500,000 | 9,457,535 | ||||||
Golub Capital Partners, Ser 2017-24A, Cl DR | ||||||||
4.215%, ICE LIBOR USD 3 Month + 3.900%, 11/05/29 (A) | 3,000,000 | 2,927,154 | ||||||
Golub Capital Partners, Ser 2018-26A, Cl BR | ||||||||
2.613%, ICE LIBOR USD 3 Month + 1.550%, 04/20/31 (A) | 12,000,000 | 11,876,724 | ||||||
Golub Capital Partners, Ser 2018-36A, Cl A | ||||||||
2.663%, ICE LIBOR USD 3 Month + 1.300%, 02/05/31 (A) | 11,000,000 | 10,929,369 |
8 |
Description | Face Amount | Value | ||||||
Golub Capital Partners, Ser 2019-34A, Cl AR | ||||||||
1.840%, ICE LIBOR USD 3 Month + 1.700%, 03/14/31 (A) | $ | 7,000,000 | $ | 6,966,505 | ||||
Golub Capital Partners, Ser 2021-19RA, Cl B1R2 | ||||||||
2.613%, ICE LIBOR USD 3 Month + 1.550%, 04/20/34 (A) | 20,000,000 | 19,808,260 | ||||||
LCM Loan Income Fund I Income Note Issuer, Ser 2018-27A, Cl A1 | ||||||||
2.124%, ICE LIBOR USD 3 Month + 1.080%, 07/16/31 (A) | 13,000,000 | 12,958,192 | ||||||
NXT Capital CLO, Ser 2021-1A, Cl BRR | ||||||||
3.098%, ICE LIBOR USD 3 Month + 2.000%, 07/20/33 (A) | 9,000,000 | 8,879,022 | ||||||
NXT Capital, Ser 2020-1A, Cl B | ||||||||
3.463%, ICE LIBOR USD 3 Month + 2.400%, 01/20/31 (A) | 2,250,000 | 2,227,075 | ||||||
Oak Hill Credit Partners X-R, Ser 2021-10RA, Cl BR | ||||||||
2.613%, ICE LIBOR USD 3 Month + 1.550%, 04/20/34 (A) | 8,000,000 | 7,942,784 | ||||||
Oak Hill Credit Partners X-R, Ser 2021-10RA, Cl CR | ||||||||
3.063%, ICE LIBOR USD 3 Month + 2.000%, 04/20/34 (A) | 5,100,000 | 5,045,083 | ||||||
OZLM Funding IV, Ser 2017-4A, Cl A2R | ||||||||
2.836%, ICE LIBOR USD 3 Month + 1.700%, 10/22/30 (A) | 5,000,000 | 4,960,970 | ||||||
Thayer Park CLO, Ser 2021-1A, Cl A2AR | ||||||||
2.463%, ICE LIBOR USD 3 Month + 1.400%, 04/20/34 (A) | 9,250,000 | 9,077,820 | ||||||
Thayer Park CLO, Ser 2021-1A, Cl BR | ||||||||
2.863%, ICE LIBOR USD 3 Month + 1.800%, 04/20/34 (A) | 9,500,000 | 9,402,720 | ||||||
Venture XIX, Ser 2018-19A, Cl ARR | ||||||||
2.304%, ICE LIBOR USD 3 Month + 1.260%, 01/15/32 (A) | 19,250,000 | 19,095,384 | ||||||
Zais, Ser 2017-1A, Cl A2 | ||||||||
2.544%, ICE LIBOR USD 3 Month + 1.500%, 07/15/29 (A) | 11,250,000 | 11,107,103 | ||||||
Zais, Ser 2018-1A, Cl B | ||||||||
2.494%, ICE LIBOR USD 3 Month + 1.450%, 04/15/29 (A) | 5,000,000 | 4,946,135 | ||||||
|
| |||||||
Total Collateralized Loan Obligations | 423,904,833 | |||||||
|
| |||||||
MUNICIPAL BONDS — 1.7% |
| |||||||
GDB Debt Recovery Authority of Puerto Rico, RB | ||||||||
7.500%, 08/20/40 | 7,319,594 | 6,743,176 | ||||||
Mission, Economic Development, RB (D) | ||||||||
8.550%, 12/01/21(B) | 2,125,000 | 21,250 |
Description | Face Amount | Value | ||||||
Mission, Economic Development, RB(D) | ||||||||
Callable 06/06/22 @ 200 | ||||||||
10.875%, 12/01/28(B) | $ | 3,315,000 | $ | 33,150 | ||||
9.750%, 12/01/25(B) | 3,045,000 | 30,450 | ||||||
North Texas Tollway Authority, RB | ||||||||
8.410%, 02/01/30 | 2,005,000 | 2,395,363 | ||||||
Northwest Independent School District, Ser A, GO, PSF-GTD | ||||||||
1.776%, 02/15/31 | 2,000,000 | 1,725,841 | ||||||
1.836%, 02/15/32 | 1,890,000 | 1,598,087 | ||||||
Rhode Island State, Health & Educational System, Providence Public Schools, Ser A, RB, CITY APPROP ST AID WITHHLDG Callable 06/06/22 @ 100 | ||||||||
8.000%, 05/15/29 | 5,000,000 | 5,008,823 | ||||||
San Juan, Higher Education Finance Authority, RB | ||||||||
8.250%, 08/15/29 | 4,400,000 | 4,410,043 | ||||||
State of Illinois, Ser A, GO | ||||||||
3.140%, 10/01/24 | 14,460,000 | 14,202,891 | ||||||
Texas State, Public Finance Authority Charter School, Ser 2010-Q, RB | ||||||||
8.125%, 02/15/27 | 1,900,000 | 2,084,469 | ||||||
Texas State, Transportation Commission State Highway Fund, RB | ||||||||
4.000%, 10/01/33 | 3,000,000 | 3,040,885 | ||||||
Texas State, Transportation Commission State Highway Fund, Ser B-BUILD, RB | ||||||||
5.178%, 04/01/30 | 3,980,000 | 4,269,070 | ||||||
University of Texas, Build America Bonds, Ser D, RB | ||||||||
5.134%, 08/15/42 | 3,000,000 | 3,497,023 | ||||||
|
| |||||||
Total Municipal Bonds | 49,060,521 | |||||||
|
| |||||||
SOVEREIGN DEBT — 1.2% |
| |||||||
Argentine Republic Government International Bond | ||||||||
1.125%, 07/09/35 (E) | 8,925,940 | 2,547,017 | ||||||
1.000%, 07/09/29 | 717,588 | 229,987 | ||||||
0.500%, 07/09/30 (E) | 5,141,000 | 1,614,325 | ||||||
Colombia Government International Bond | ||||||||
3.250%, 04/22/32 | 5,000,000 | 3,819,350 | ||||||
El Salvador Government International Bond | ||||||||
7.750%, 01/24/23 | 2,000,000 | 1,554,819 | ||||||
Oman Government International Bond | ||||||||
6.500%, 03/08/47 (A) | 15,000,000 | 13,711,950 | ||||||
Provincia de Buenos Aires | ||||||||
3.900%, 09/01/37 (A)(E) | 333,959 | 137,762 | ||||||
Suriname Government International Bond | ||||||||
12.875%, 12/30/23 | 8,000,000 | 6,560,000 |
9 |
Description | Face Amount | Value | ||||||
Ukraine Government International Bond | ||||||||
7.750%, 09/01/22 | $ | 5,000,000 | $ | 2,745,000 | ||||
|
| |||||||
Total Sovereign Debt | 32,920,210 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.8% |
| |||||||
FAMC | ||||||||
1.820%, 08/19/31 | 5,000,000 | 4,416,789 | ||||||
FFCB | ||||||||
2.920%, 04/29/26 | 5,635,000 | 5,593,786 | ||||||
2.070%, 12/21/40 | 5,000,000 | 3,823,040 | ||||||
1.940%, 06/30/31 | 5,000,000 | 4,495,654 | ||||||
FHLB | ||||||||
2.625%, 12/08/36 | 1,000,000 | 879,399 | ||||||
2.375%, 01/14/37 | 3,000,000 | 2,568,500 | ||||||
2.150%, 09/23/36 | 1,500,000 | 1,255,210 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations | 23,032,378 | |||||||
|
| |||||||
|
| |||||||
Number of Warrants | ||||||||
|
| |||||||
WARRANTS — 0.3% | ||||||||
United States — 0.3% | ||||||||
Noble Corp, Expires 05/02/28 | 269,009 | 4,550,825 | ||||||
Noble Corp, Expires 05/02/28 | 269,009 | 4,113,955 | ||||||
|
| |||||||
Total Warrants | 8,664,780 | |||||||
|
| |||||||
|
| |||||||
Shares | ||||||||
|
| |||||||
COMMON STOCK — 0.1% | ||||||||
Noble Corp* | 64,980 | 2,144,340 | ||||||
Paratus Energy Services Ltd.* | 27,367 | 273,670 | ||||||
Seadrill Ltd.* | 305 | 9,989 | ||||||
|
| |||||||
Total Common Stock | 2,427,999 | |||||||
|
| |||||||
Total Investments — 99.4% | $ | 2,821,965,657 | ||||||
|
|
Percentages are based on Net Assets of $2,839,851,205.
* | Non-income producing security. |
‡ | Real Estate Investment Trust |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of such securities at April 30, 2022 was $1,366,642,508 and represents 48.1% of Net Assets. |
(B) | Level 3 security in accordance with fair value hierarchy. |
(C) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(D) | Security in default on interest payments. |
(E) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on April 30, 2022. The coupon on a step bond changes on a specific date. |
Cl — Class
CLO — Collateralized Loan Obligation
FAMC — Federal Agricultural Mortgage Corporation
FFCB — Federal Farm Credit Bank
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
GO — General Obligation
ICE — Intercontinental Exchange
IO — Interest Only - face amount represents notional amount
LIBOR — London Interbank Offered Rate
MTN — Medium Term Note
PSF-GTD — Texas Public School Fund Guarantee
RB — Revenue Bond
REMIC — Real Estate Mortgage Investment Conduit
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Securities
USD — U.S. Dollar
The following is a summary of the level of inputs used as of April 30, 2022, in valuing the Fund’s investments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
U.S. Treasury Obligations | $ | 755,304,493 | $ | 87,538,412 | $ | — | $ | 842,842,905 | ||||||||
Corporate Obligations | — | 423,389,083 | 88,068,431 | 511,457,514 | ||||||||||||
Asset-Backed Securities | — | 492,754,565 | — | 492,754,565 | ||||||||||||
Mortgage-Backed Securities | — | 434,899,952 | — | 434,899,952 | ||||||||||||
Collateralized Loan Obligations | — | 423,904,833 | — | 423,904,833 | ||||||||||||
Municipal Bonds | — | 48,975,671 | 84,850 | 49,060,521 | ||||||||||||
Sovereign Debt | — | 32,920,210 | — | 32,920,210 | ||||||||||||
U.S. Government Agency Obligations | — | 23,032,378 | — | 23,032,378 | ||||||||||||
Warrants | — | 8,664,780 | — | 8,664,780 | ||||||||||||
Common Stock | 283,659 | 2,144,340 | — | 2,427,999 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 755,588,152 | $ | 1,978,224,224 | $ | 88,153,281 | $ | 2,821,965,657 | ||||||||
|
|
|
|
|
|
|
|
10 |
(1)The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value as of April 30, 2022:
| ||||||||||||||||
Municipal Bond | Corporate Obligations | Warrants | Total | |||||||||||||
| ||||||||||||||||
Balance as of | $ | 701,100 | $ | — | $ | 3,530,743 | $ | 4,231,843 | ||||||||
Accrued discounts/premiums | — | — | — | — | ||||||||||||
Realized gain/(loss) | — | — | — | — | ||||||||||||
Change in unrealized appreciation/(depreciation) | (616,250) | 6,243,815 | — | 5,627,565 | ||||||||||||
Purchases | — | 81,824,616 | — | 81,824,616 | ||||||||||||
Sales | — | — | — | — | ||||||||||||
Net transfer into Level 3 | — | — | — | — | ||||||||||||
Net transfer out of Level 3 | — | — | (3,530,743) | (3,530,743) | ||||||||||||
|
| |||||||||||||||
Ending Balance as of April 30, 2022 | $ | 84,850 | $ | 88,068,431 | $ | — | $ | 88,153,281 | ||||||||
|
|
(1) A reconciliation of Level 3 investments, including certain disclosures related to significant inputs used in valuing Level 3 investments is only presented when the Fund has over 1% of Level 3 investments at the beginning and/or end of the period in relation to net assets.
For the period ended April 30, 2022, there were transfers of $3,530,743 out of Level 3 as a result of increased trading activity.
Amounts designated as “—” are $0 or have been rounded to $0.
For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
FIA-QH-001-2900
11 |
Description | Face Amount | Value | ||||||
CORPORATE OBLIGATIONS — 43.1% |
| |||||||
Communication Services — 4.5% |
| |||||||
ANGI Group | ||||||||
3.875%, 08/15/28 (A) | $ | 2,000,000 | $ | 1,583,760 | ||||
LCPR Senior Secured Financing DAC | ||||||||
6.750%, 10/15/27 (A) | 900,000 | 894,397 | ||||||
Photo Holdings Merger Sub | ||||||||
8.500%, 10/01/26 (A) | 1,500,000 | 1,387,500 | ||||||
Sprint | ||||||||
7.875%, 09/15/23 | 1,500,000 | 1,575,000 | ||||||
T-Mobile USA | ||||||||
3.500%, 04/15/31 (A) | 3,000,000 | 2,658,990 | ||||||
|
| |||||||
8,099,647 | ||||||||
|
| |||||||
Consumer Discretionary — 17.9% |
| |||||||
Airswift Global | ||||||||
8.895%, ICE LIBOR USD 3 Month + 8.500%, 05/12/25 (A) | 2,000,000 | 2,015,583 | ||||||
APX Group | ||||||||
5.750%, 07/15/29 (A) | 2,000,000 | 1,638,700 | ||||||
Beazer Homes USA | ||||||||
7.250%, 10/15/29 (A) | 1,000,000 | 952,490 | ||||||
Block Financial | ||||||||
3.875%, 08/15/30 | 2,000,000 | 1,856,002 | ||||||
Bloomin’ Brands | ||||||||
5.125%, 04/15/29 (A) | 2,000,000 | 1,860,000 | ||||||
Carvana | ||||||||
4.875%, 09/01/29 (A) | 1,000,000 | 729,800 | ||||||
Choice Hotels International | ||||||||
3.700%, 12/01/29 | 2,000,000 | 1,868,905 | ||||||
Dillard’s | ||||||||
7.000%, 12/01/28 | 500,000 | 544,318 | ||||||
Empire Resorts | ||||||||
7.750%, 11/01/26 (A) | 2,000,000 | 1,925,220 | ||||||
Expedia | ||||||||
3.800%, 02/15/28 | 2,000,000 | 1,904,784 | ||||||
Ford Motor Credit | ||||||||
3.087%, 01/09/23 | 2,000,000 | 2,001,760 | ||||||
Jaguar Land Rover Automotive | ||||||||
4.500%, 10/01/27 (A) | 2,000,000 | 1,637,500 | ||||||
MajorDrive Holdings IV | ||||||||
6.375%, 06/01/29 (A) | 3,000,000 | 2,377,500 | ||||||
Marriott International | ||||||||
3.500%, 10/15/32 | 2,000,000 | 1,786,149 | ||||||
QVC | ||||||||
5.450%, 08/15/34 | 1,000,000 | 801,250 | ||||||
4.850%, 04/01/24 | 500,000 | 497,150 | ||||||
4.750%, 02/15/27 | 1,000,000 | 894,990 | ||||||
Rent-A-Center | ||||||||
6.375%, 02/15/29 (A) | 1,000,000 | 862,640 | ||||||
Scientific Games International | ||||||||
8.625%, 07/01/25 (A) | 2,000,000 | 2,095,000 | ||||||
STL Holding | ||||||||
7.500%, 02/15/26 (A) | 1,500,000 | 1,417,500 | ||||||
Under Armour | ||||||||
3.250%, 06/15/26 | 2,000,000 | 1,840,469 | ||||||
Whirlpool | ||||||||
4.600%, 05/15/50 | 1,000,000 | 922,483 | ||||||
|
| |||||||
32,430,193 | ||||||||
|
|
Description | Face Amount | Value | ||||||
Energy — 4.0% |
| |||||||
Murphy Oil | ||||||||
6.875%, 08/15/24 | $ | 222,000 | $ | 222,120 | ||||
5.750%, 08/15/25 | 2,000,000 | 2,000,000 | ||||||
Tiger Holdco Pte | ||||||||
13.000%, 06/10/23 (A) | 2,063,513 | 2,001,608 | ||||||
Transocean | ||||||||
11.500%, 01/30/27 (A) | 1,500,000 | 1,492,110 | ||||||
VistaJet Malta Finance | ||||||||
7.875%, 05/01/27 (A) | 1,500,000 | 1,411,050 | ||||||
|
| |||||||
7,126,888 | ||||||||
|
| |||||||
Financials — 4.9% |
| |||||||
Athene Holding | ||||||||
6.150%, 04/03/30 | 500,000 | 525,753 | ||||||
Deutsche Bank MTN | ||||||||
4.296%, USD Swap Semi 30/360 5 Yr Curr + 2.248%, 05/24/28 | 2,500,000 | 2,452,388 | ||||||
HSBC Holdings | ||||||||
6.500%, 09/15/37 | 1,500,000 | 1,672,033 | ||||||
PROG Holdings | ||||||||
6.000%, 11/15/29 (A) | 1,562,000 | 1,380,339 | ||||||
Springleaf Finance | ||||||||
5.375%, 11/15/29 | 500,000 | 448,750 | ||||||
UBS | ||||||||
5.125%, 05/15/24 | 1,500,000 | 1,525,059 | ||||||
Westpac Banking | ||||||||
2.894%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 1.350%, 02/04/30 | 1,000,000 | 953,845 | ||||||
|
| |||||||
8,958,167 | ||||||||
|
| |||||||
Industrials — 4.8% |
| |||||||
Boeing | ||||||||
5.150%, 05/01/30 | 2,000,000 | 1,984,179 | ||||||
2.196%, 02/04/26 | 1,000,000 | 912,089 | ||||||
Brundage-Bone Concrete Pumping Holdings | ||||||||
6.000%, 02/01/26 (A) | 2,000,000 | 1,870,000 | ||||||
Builders FirstSource | ||||||||
6.750%, 06/01/27 (A) | 788,000 | 812,625 | ||||||
Flowserve | ||||||||
3.500%, 10/01/30 | 2,000,000 | 1,791,003 | ||||||
Masco | ||||||||
7.750%, 08/01/29 | 1,088,000 | 1,275,723 | ||||||
|
| |||||||
8,645,619 | ||||||||
|
| |||||||
Information Technology — 4.4% |
| |||||||
Amkor Technology | ||||||||
6.625%, 09/15/27 (A) | 1,000,000 | 1,017,500 | ||||||
Castle US Holding | ||||||||
9.500%, 02/15/28 (A) | 1,000,000 | 917,500 | ||||||
Consensus Cloud Solutions | ||||||||
6.000%, 10/15/26 (A) | 1,000,000 | 950,000 | ||||||
Diebold Nixdorf | ||||||||
9.375%, 07/15/25 (A) | 500,000 | 442,500 | ||||||
8.500%, 04/15/24 | 1,000,000 | 657,190 | ||||||
Vericast | ||||||||
11.000%, 09/15/26 (A) | 1,350,000 | 1,282,500 | ||||||
VeriSign | ||||||||
4.750%, 07/15/27 | 1,000,000 | 1,004,596 | ||||||
Western Digital | ||||||||
2.850%, 02/01/29 | 2,000,000 | 1,771,385 | ||||||
|
| |||||||
8,043,171 | ||||||||
|
|
1 |
Description | Face Amount | Value | ||||||
Materials — 0.3% |
| |||||||
Mineral Resources | ||||||||
8.125%, 05/01/27 (A) | $ | 420,000 | $ | 426,397 | ||||
|
| |||||||
Real Estate — 1.9% |
| |||||||
GLP Capital | ||||||||
3.250%, 01/15/32 ‡ | 2,000,000 | 1,682,660 | ||||||
Sabra Health Care | ||||||||
3.200%, 12/01/31 ‡ | 2,000,000 | 1,678,304 | ||||||
|
| |||||||
3,360,964 | ||||||||
|
| |||||||
Utilities — 0.4% |
| |||||||
Pacific Gas and Electric | ||||||||
4.500%, 07/01/40 | 1,000,000 | 819,919 | ||||||
|
| |||||||
Total Corporate Obligations | 77,910,965 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 24.7% |
| |||||||
Automotive — 16.6% |
| |||||||
ACC Auto Trust, Ser 2021-A, Cl D | ||||||||
6.100%, 06/15/29 (A) | 1,000,000 | 955,397 | ||||||
American Credit Acceptance Receivables Trust, Ser 2022-1, Cl F | ||||||||
4.870%, 11/13/28 (A) | 2,600,000 | 2,489,293 | ||||||
Avid Automobile Receivables Trust, Ser 2019-1, Cl E | ||||||||
6.760%, 05/17/27 (A) | 1,000,000 | 1,007,934 | ||||||
Avid Automobile Receivables Trust, Ser 2021-1, Cl F | ||||||||
5.160%, 10/16/28 (A) | 2,000,000 | 1,883,805 | ||||||
BlueMountain CLO XXX, Ser 2022-30A, Cl ER | ||||||||
7.551%, TSFR3M + 6.700%, 04/15/35 (A) | 2,000,000 | 1,963,220 | ||||||
CarNow Auto Receivables Trust, Ser 2021-2A, Cl E | ||||||||
4.450%, 02/15/28 (A) | 1,000,000 | 947,856 | ||||||
Carvana Auto Receivables Trust, Ser 2019-1A, Cl E | ||||||||
5.640%, 01/15/26 (A) | 1,584,000 | 1,606,716 | ||||||
Carvana Auto Receivables Trust, Ser 2019-4A, Cl E | ||||||||
4.700%, 10/15/26 (A) | 1,000,000 | 992,923 | ||||||
Carvana Auto Receivables Trust, Ser 2021-N2, Cl E | ||||||||
2.900%, 03/10/28 (A) | 2,000,000 | 1,866,902 | ||||||
CIG Auto Receivables Trust, Ser 2021-1A, Cl E | ||||||||
4.450%, 05/12/28 (A) | 1,590,000 | 1,505,541 | ||||||
CPS Auto Receivables Trust, Ser 2019-B, Cl F | ||||||||
7.480%, 06/15/26 (A) | 500,000 | 505,788 | ||||||
CPS Auto Receivables Trust, Ser 2019-D, Cl E | ||||||||
3.860%, 10/15/25 (A) | 2,000,000 | 1,980,329 | ||||||
DT Auto Owner Trust, Ser 2019-4A, Cl E | ||||||||
3.930%, 10/15/26 (A) | 2,000,000 | 1,958,272 | ||||||
DT Auto Owner Trust, Ser 2020-3A, Cl E | ||||||||
3.620%, 10/15/27 (A) | 1,500,000 | 1,465,049 |
Description | Face Amount | Value | ||||||
Exeter Automobile Receivables Trust 2022-2, Ser 2022-2A, Cl E | ||||||||
6.340%, 10/15/29 (A) | $ | 1,443,000 | $ | 1,433,944 | ||||
Foursight Capital Automobile Receivables Trust, Ser 2022-1, Cl E | ||||||||
4.690%, 08/15/29 (A) | 1,000,000 | 929,349 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2021-4A, Cl E | ||||||||
4.430%, 10/16/28 (A) | 1,500,000 | 1,407,312 | ||||||
Kapitus Asset Securitization, Ser 2022-1A, Cl A | ||||||||
3.382%, 07/10/28 (A) | 1,500,000 | 1,440,725 | ||||||
Mercury Financial Credit Card Master Trust, Ser 2022-1A, Cl C | ||||||||
5.200%, 09/21/26 (A) | 2,000,000 | 1,900,848 | ||||||
PRET, Ser 2021-RN4, Cl A2 | ||||||||
5.194%, 10/25/51 (A)(B) | 1,850,000 | 1,783,346 | ||||||
|
| |||||||
30,024,549 | ||||||||
|
| |||||||
Credit Card — 0.6% |
| |||||||
Mission Lane Credit Card Master Trust, Ser 2021-A, Cl B | ||||||||
2.240%, 09/15/26 (A) | 1,000,000 | 973,978 | ||||||
|
| |||||||
Other Asset-Backed Securities — 7.5% |
| |||||||
Amur Equipment Finance Receivables X, Ser 2022-1A, Cl E | ||||||||
5.020%, 12/20/28 (A) | 1,348,000 | 1,282,329 | ||||||
Audax Senior Debt CLO 6, Ser 2021-6A, Cl B | ||||||||
3.013%, ICE LIBOR USD 3 Month + 1.950%, 10/20/33 (A) | 1,000,000 | 985,512 | ||||||
BXMT, Ser 2020-FL2, Cl A | ||||||||
1.282%, SOFR30A + 1.014%, 02/15/38 (A) | 1,000,000 | 992,664 | ||||||
Cold Storage Trust, Ser 2020-ICE5, Cl E | ||||||||
3.320%, ICE LIBOR USD 1 Month + 2.766%, 11/15/37 (A) | 982,991 | 972,268 | ||||||
Credible Asset Securitization II, Ser 2021-1A, Cl B | ||||||||
3.380%, 04/15/26 (A) | 524,000 | 480,727 | ||||||
Harley Marine Financing, Ser 2018-1A, Cl A2 | ||||||||
5.682%, 05/15/43 (A) | 1,753,945 | 1,745,765 | ||||||
Mosaic Solar Loans, Ser 2017-2A, Cl B | ||||||||
4.770%, 06/22/43 (A) | 239,522 | 236,778 | ||||||
NMEF Funding, Ser 2021-A, Cl D | ||||||||
5.780%, 12/15/27 (A) | 1,300,000 | 1,260,029 | ||||||
Octane Receivables Trust, Ser 2019-1A, Cl A | ||||||||
3.160%, 09/20/23 (A) | 1,207 | 1,208 | ||||||
Pawnee Equipment Receivables Series, Ser 2019-1, Cl E | ||||||||
3.800%, 01/15/26 (A) | 1,500,000 | 1,448,737 | ||||||
Pawneee Equipment Receivables, Ser 2021-1, Cl E | ||||||||
5.210%, 05/15/28 (A) | 353,000 | 328,674 | ||||||
Pretium Mortgage Credit Partners I, Ser 2021-NPL1, Cl A2 | ||||||||
4.213%, 09/27/60 (A) | 1,000,000 | 950,636 |
2 |
Description | Face Amount | Value | ||||||
Pretium Mortgage Credit Partners, Ser 2021-NPL3, Cl A2 | ||||||||
3.721%, 07/25/51 (A) | $ | 500,000 | $ | 460,033 | ||||
Sapphire Aviation Finance I, Ser 2018-1A, Cl B | ||||||||
5.926%, 03/15/40 (A) | 285,963 | 218,415 | ||||||
SCF Equipment Leasing, Ser 2021-1A, Cl D | ||||||||
1.930%, 09/20/30 (A) | 1,500,000 | 1,380,158 | ||||||
Stack Infrastructure Issuer Series, Ser 2019-1A, Cl A2 | ||||||||
4.540%, 02/25/44 (A) | 968,333 | 966,139 | ||||||
|
| |||||||
13,710,072 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 44,708,599 | |||||||
|
| |||||||
COLLATERALIZED LOAN OBLIGATIONS — 21.8% |
| |||||||
Apidos CLO XI, Ser 2021-11A, Cl ER3 | ||||||||
7.614%, ICE LIBOR USD 3 Month + 6.570%, 04/17/34 (A) | 1,000,000 | 963,863 | ||||||
BCC Middle Market, Ser 2018-1A, Cl B | ||||||||
4.063%, ICE LIBOR USD 3 Month + 3.000%, 10/20/30 (A) | 1,000,000 | 990,121 | ||||||
Benefit Street Partners III, Ser 2017-IIIA, Cl CR | ||||||||
4.963%, ICE LIBOR USD 3 Month + 3.900%, 07/20/29 (A) | 2,000,000 | 1,973,356 | ||||||
Benefit Street Partners III, Ser 2017-IIIA, Cl DR | ||||||||
7.663%, ICE LIBOR USD 3 Month + 6.600%, 07/20/29 (A) | 2,500,000 | 2,383,705 | ||||||
Carlyle Global Market Strategies, Ser 2018-1A, Cl CR2 | ||||||||
2.844%, ICE LIBOR USD 3 Month + 1.800%, 04/17/31 (A) | 1,250,000 | 1,211,541 | ||||||
CARLYLE US, Ser 2018-1A, Cl B | ||||||||
2.913%, ICE LIBOR USD 3 Month + 1.850%, 04/20/31 (A) | 2,000,000 | 1,940,436 | ||||||
Chenango Park, Ser 2018-1A, Cl B | ||||||||
2.894%, ICE LIBOR USD 3 Month + 1.850%, 04/15/30 (A) | 1,000,000 | 975,564 | ||||||
CIFC Funding, Ser 2018-1A, Cl C | ||||||||
2.794%, ICE LIBOR USD 3 Month + 1.750%, 04/18/31 (A) | 500,000 | 490,426 | ||||||
Golub Capital Partners, Ser 2017-17A, Cl BR | ||||||||
4.084%, ICE LIBOR USD 3 Month + 2.900%, 10/25/30 (A) | 1,500,000 | 1,485,921 | ||||||
Golub Capital Partners, Ser 2017-21A, Cl CR | ||||||||
3.634%, ICE LIBOR USD 3 Month + 2.450%, 01/25/31 (A) | 3,000,000 | 2,946,000 | ||||||
Golub Capital Partners, Ser 2017-22A, Cl CR | ||||||||
2.913%, ICE LIBOR USD 3 Month + 1.850%, 01/20/31 (A) | 1,500,000 | 1,456,685 |
Description | Face Amount | Value | ||||||
Golub Capital Partners, Ser 2017-23A, Cl BR | ||||||||
2.613%, ICE LIBOR USD 3 Month + 1.550%, 01/20/31 (A) | $ | 1,000,000 | $ | 999,495 | ||||
Golub Capital Partners, Ser 2017-23A, Cl CR | ||||||||
2.863%, ICE LIBOR USD 3 Month + 1.800%, 01/20/31 (A) | 2,000,000 | 1,944,022 | ||||||
Golub Capital Partners, Ser 2017-24A, Cl DR | ||||||||
4.215%, ICE LIBOR USD 3 Month + 3.900%, 11/05/29 (A) | 2,000,000 | 1,951,436 | ||||||
Golub Capital Partners, Ser 2018-26A, Cl BR | ||||||||
2.613%, ICE LIBOR USD 3 Month + 1.550%, 04/20/31 (A) | 1,000,000 | 989,727 | ||||||
Golub Capital Partners, Ser 2018-36A, Cl B | ||||||||
3.013%, ICE LIBOR USD 3 Month + 1.650%, 02/05/31 (A) | 2,000,000 | 1,976,536 | ||||||
Golub Capital Partners, Ser 2018-36A, Cl C | ||||||||
3.463%, ICE LIBOR USD 3 Month + 2.100%, 02/05/31 (A) | 1,500,000 | 1,470,519 | ||||||
Jay Park, Ser 2018-1A, Cl BR | ||||||||
3.063%, ICE LIBOR USD 3 Month + 2.000%, 10/20/27 (A) | 1,000,000 | 989,916 | ||||||
LCM XXII, Ser 2018-22A, Cl BR | ||||||||
3.063%, ICE LIBOR USD 3 Month + 2.000%, 10/20/28 (A) | 1,500,000 | 1,481,188 | ||||||
MCF VIII, Ser 2018-1A, Cl B | ||||||||
2.794%, ICE LIBOR USD 3 Month + 1.750%, 07/18/30 (A) | 3,000,000 | 2,974,494 | ||||||
OZLM Funding IV, Ser 2017-4A, Cl BR | ||||||||
3.336%, ICE LIBOR USD 3 Month + 2.200%, 10/22/30 (A) | 2,000,000 | 1,981,956 | ||||||
Race Point IX, Ser 2017-9A, Cl BR | ||||||||
3.194%, ICE LIBOR USD 3 Month + 2.150%, 10/15/30 (A) | 4,000,000 | 3,915,368 | ||||||
Race Point IX, Ser 2017-9A, Cl DR | ||||||||
7.944%, ICE LIBOR USD 3 Month + 6.900%, 10/15/30 (A) | 2,000,000 | 1,886,244 | ||||||
|
| |||||||
Total Collateralized Loan Obligations | 39,378,519 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 7.4% |
| |||||||
Commercial Mortgage-Backed Obligation — 5.8% |
| |||||||
Benchmark Mortgage Trust, Ser 2020-B21, Cl D | ||||||||
2.000%, 12/17/53 (A) | 1,000,000 | 734,353 | ||||||
Commercial Mortgage Trust, Ser 2014-UBS6, Cl C | ||||||||
4.588%, 12/10/47 (B) | 1,000,000 | 974,489 | ||||||
Commercial Mortgage Trust, Ser 2015-DC1, Cl D | ||||||||
4.441%, 02/10/48 (A)(B) | 1,517,000 | 1,313,542 | ||||||
Credit Suisse Commercial Mortgage Trust, Ser 2008-C1, Cl D | ||||||||
6.010%, 02/15/41 (A)(B) | 390,798 | 15,632 |
3 |
Description | Face Amount | Value | ||||||
FREMF Mortgage Trust, Ser 2016-K54, Cl C | ||||||||
4.190%, 04/25/48 (A)(B) | $ | 1,000,000 | $ | 970,603 | ||||
FREMF Mortgage Trust, Ser 2016-K722, Cl B | ||||||||
4.023%, 07/25/49 (A)(B) | 1,500,000 | 1,506,742 | ||||||
FREMF Mortgage Trust, Ser 2017-K70, Cl B | ||||||||
3.938%, 12/25/49 (A)(B) | 2,000,000 | 1,941,885 | ||||||
FREMF Mortgage Trust, Ser 2017-K71, Cl B | ||||||||
3.881%, 11/25/50 (A)(B) | 1,250,000 | 1,212,296 | ||||||
PRET, Ser 2021-RN3, Cl A1 | ||||||||
1.843%, 09/25/51 (A) | 932,790 | 883,187 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2014-C25, Cl D | ||||||||
3.803%, 11/15/47 (A)(B) | 1,000,000 | 888,836 | ||||||
|
| |||||||
10,441,565 | ||||||||
|
| |||||||
Non-Agency Residential Mortgage-Backed Obligation — 1.6% |
| |||||||
PRPM, Ser 2021-10, Cl A2 | ||||||||
4.826%, 10/25/26 (A) | 1,000,000 | 944,579 | ||||||
RCO VI Mortgage, Ser 2022-1, Cl A2 | ||||||||
5.250%, 01/25/27 (A) | 1,000,000 | 950,000 | ||||||
VOLT, Ser 2021-CF2, Cl A2 | ||||||||
5.316%, 11/27/51 (A) | 1,000,000 | 956,054 | ||||||
|
| |||||||
2,850,633 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 13,292,198 | |||||||
|
| |||||||
|
| |||||||
Shares | ||||||||
|
| |||||||
COMMON STOCK — 0.0% |
| |||||||
Erickson*(C) | 3,761 | 35,166 | ||||||
|
| |||||||
Total Common Stock | 35,166 | |||||||
|
| |||||||
PREFERRED STOCK — 0.0% |
| |||||||
Communication Services — 0.0% |
| |||||||
MYT Holding LLC | ||||||||
10.000%, 06/07/29 (A) | 64,528 | 70,013 | ||||||
|
| |||||||
Total Preferred Stock | 70,013 | |||||||
|
| |||||||
Total Investments — 97.0% | $ | 175,395,460 | ||||||
|
|
Percentages are based on Net Assets of $180,831,652.
* | Non-income producing security. |
‡ | Real Estate Investment Trust |
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of such securities at April 30, 2022 was $134,515,549 and represents 74.4% of Net Assets. |
(B) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(C) | Level 3 security in accordance with fair value hierarchy. |
Cl — Class
CLO — Collateralized Loan Obligation
ICE — Intercontinental Exchange
LIBOR — London Interbank Offered Rate
LLC — Limited Liability Company
MTN — Medium Term Note
Ser — Series
USD — U.S. Dollar
4 |
The following is a summary of the level of inputs used as of April 30, 2022, in valuing the Fund’s investments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3(1) | Total | ||||||||||||
| ||||||||||||||||
Corporate Obligations | $ | — | $ | 77,910,965 | $ | — | $ | 77,910,965 | ||||||||
Asset-Backed Securities | — | 44,708,599 | — | 44,708,599 | ||||||||||||
Collateralized Loan Obligations | — | 39,378,519 | — | 39,378,519 | ||||||||||||
Mortgage-Backed Securities | — | 13,292,198 | — | 13,292,198 | ||||||||||||
Preferred Stock | 70,013 | — | — | 70,013 | ||||||||||||
Common Stock | — | — | 35,166 | 35,166 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 70,013 | $ | 175,290,281 | $ | 35,166 | $ | 175,395,460 | ||||||||
|
|
|
|
|
|
|
|
(1) A reconciliation of Level 3 investments, including certain disclosures related to significant inputs used in valuing Level 3 investments is only presented when the Fund has over 1% of Level 3 investments at the beginning and/or end of the period in relation to net assets.
Amounts designated as “—” are $0 or have been rounded to $0.
For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
FIA-QH-001-2900
5 |
Description | Face Amount | Value | ||||||
ASSET-BACKED SECURITIES — 57.5% | ||||||||
Automotive — 49.2% | ||||||||
ACC Auto Trust, Ser 2021-A, Cl A | ||||||||
1.080%, 04/15/27 (A) | $ | 1,043,122 | $ | 1,031,715 | ||||
American Credit Acceptance Receivables Trust 2022-2, Ser 2022-2, Cl C | ||||||||
4.410%, 06/13/28 (A) | 2,000,000 | 2,005,948 | ||||||
American Credit Acceptance Receivables Trust, Ser 2020-4, Cl C | ||||||||
1.310%, 12/14/26 (A) | 8,250,000 | 8,161,737 | ||||||
American Credit Acceptance Receivables Trust, Ser 2021-4, Cl A | ||||||||
0.450%, 09/15/25 (A) | 1,526,325 | 1,509,122 | ||||||
Amur Equipment Finance Receivables IX, Ser 2021-1A, Cl C | ||||||||
1.750%, 06/21/27 (A) | 2,000,000 | 1,890,468 | ||||||
Amur Equipment Finance Receivables VIII, Ser 2020-1A, Cl B | ||||||||
2.500%, 03/20/26 (A) | 1,384,090 | 1,369,339 | ||||||
Amur Equipment Finance Receivables X, Ser 2022-1A, Cl C | ||||||||
2.370%, 04/20/28 (A) | 2,000,000 | 1,879,600 | ||||||
Amur Equipment Finance Receivables X, Ser 2022-1A, Cl D | ||||||||
2.910%, 08/21/28 (A) | 2,000,000 | 1,883,766 | ||||||
Aqua Finance Trust 2021-A, Ser 2021-A, Cl B | ||||||||
2.400%, 07/17/46 (A) | 1,000,000 | 882,967 | ||||||
Arivo Acceptance Auto Loan Receivables Trust 2022-1, Ser 2022-1A, Cl A | ||||||||
3.930%, 05/15/28 (A) | 1,000,000 | 997,553 | ||||||
Arivo Acceptance Auto Loan Receivables Trust, Ser 2021-1A, Cl A | ||||||||
1.190%, 01/15/27 (A) | 870,802 | 852,655 | ||||||
Avant Credit Card Master Trust, Ser 2021-1A, Cl A | ||||||||
1.370%, 04/15/27 (A) | 1,220,000 | 1,150,259 | ||||||
Avid Automobile Receivables Trust, Ser 2021-1, Cl D | ||||||||
1.990%, 04/17/28 (A) | 1,300,000 | 1,226,954 | ||||||
Canadian Pacer Auto Receivables Trust, Ser 2019-1A, Cl C | ||||||||
3.750%, 07/21/25 (A) | 2,550,000 | 2,551,704 | ||||||
Canadian Pacer Auto Receivables Trust, Ser 2020-1A, Cl C | ||||||||
2.490%, 05/19/26 (A) | 5,000,000 | 4,884,123 | ||||||
Canadian Pacer Auto Receivables Trust, Ser 2021-1A, Cl A3 | ||||||||
0.500%, 10/20/25 (A) | 2,500,000 | 2,407,256 | ||||||
Canadian Pacer Auto Receivables Trust, Ser 2021-1A, Cl A4 | ||||||||
0.820%, 07/20/26 (A) | 3,070,000 | 2,842,696 | ||||||
Canadian Pacer Auto Receivables Trust, Ser 2021-1A, Cl C | ||||||||
1.460%, 12/20/27 (A) | 2,000,000 | 1,857,043 |
Description | Face Amount | Value | ||||||
Capital One Multi-Asset Execution Trust, Ser 2019-A3, Cl A3 | ||||||||
2.060%, 08/15/28 | $ | 10,000,000 | $ | 9,491,188 | ||||
CARDS II Trust, Ser 2021-1A, Cl B | ||||||||
0.931%, 04/15/27 (A) | 7,250,000 | 6,860,973 | ||||||
CarNow Auto Receivables Trust, Ser 2021-2A, Cl B | ||||||||
1.300%, 01/15/26 (A) | 5,500,000 | 5,401,541 | ||||||
Carvana Auto Receivables Trust, Ser 2021-N2, Cl D | ||||||||
1.270%, 03/10/28 | 6,540,000 | 6,298,109 | ||||||
CLI Funding VI, Ser 2020-1A, Cl A | ||||||||
2.080%, 09/18/45 (A) | 2,080,625 | 1,904,860 | ||||||
Commonbond Student Loan Trust, Ser 2021-BGS, Cl B | ||||||||
1.640%, 09/25/51 (A) | 1,050,000 | 981,709 | ||||||
Continental Finance Credit Card ABS Master Trust, Ser 2021-A, Cl A | ||||||||
2.550%, 12/17/29 (A) | 5,000,000 | 4,741,410 | ||||||
Credit Acceptance Auto Loan Trust, Ser 2021-3A, Cl A | ||||||||
1.000%, 05/15/30 (A) | 2,590,000 | 2,479,096 | ||||||
Credit Acceptance Auto Loan Trust, Ser 2021-3A, Cl C | ||||||||
1.630%, 09/16/30 (A) | 1,700,000 | 1,583,025 | ||||||
DT Auto Owner Trust 2022-1, Ser 2022-1A, Cl A | ||||||||
1.580%, 04/15/26 (A) | 2,182,240 | 2,163,500 | ||||||
DT Auto Owner Trust, Ser 2020-1A, Cl D | ||||||||
2.550%, 11/17/25 (A) | 5,500,000 | 5,396,898 | ||||||
DT Auto Owner Trust, Ser 2020-2A, Cl C | ||||||||
3.280%, 03/16/26 (A) | 2,250,000 | 2,249,819 | ||||||
DT Auto Owner Trust, Ser 2020-3A, Cl C | ||||||||
1.470%, 06/15/26 (A) | 1,410,000 | 1,379,290 | ||||||
Exeter Automobile Receivables Trust 2021-2, Ser 2021-2A, Cl B | ||||||||
0.570%, 09/15/25 | 544,000 | 536,139 | ||||||
Exeter Automobile Receivables Trust, Ser 2020-3A, Cl C | ||||||||
1.320%, 07/15/25 | 1,250,000 | 1,239,995 | ||||||
Exeter Automobile Receivables Trust, Ser 2021-1A, Cl D | ||||||||
1.080%, 11/16/26 | 2,500,000 | 2,376,743 | ||||||
First Investors Auto Owner Trust 2022-1, Ser 2022-1A, Cl A | ||||||||
2.030%, 01/15/27 (A) | 2,336,188 | 2,303,493 | ||||||
First Investors Auto Owner Trust, Ser 2020-1A, Cl D | ||||||||
3.150%, 04/15/26 (A) | 3,000,000 | 2,991,619 | ||||||
Flagship Credit Auto Trust, Ser 2018-4, Cl D | ||||||||
4.330%, 12/16/24 (A) | 4,935,000 | 4,975,318 | ||||||
Foursight Capital Automobile Receivables Trust, Ser 2020-1, Cl D | ||||||||
2.600%, 01/15/26 (A) | 2,100,000 | 2,067,875 |
1 |
Description | Face Amount | Value | ||||||
Foursight Capital Automobile Receivables Trust, Ser 2021-2, Cl D | ||||||||
1.920%, 09/15/27 (A) | $ | 5,500,000 | $ | 5,109,933 | ||||
Foursight Capital Automobile Receivables Trust, Ser 2022-1, Cl D | ||||||||
3.070%, 05/15/28 (A) | 4,780,000 | 4,384,904 | ||||||
Genesis Sales Finance Master Trust, Ser 2021-AA, Cl A | ||||||||
1.200%, 12/21/26 (A) | 2,000,000 | 1,901,773 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2020-3A, Cl B | ||||||||
1.380%, 08/15/24 (A) | 438,481 | 438,394 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2020-4A, Cl C | ||||||||
1.140%, 11/17/25 (A) | 1,000,000 | 981,026 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2021-1A, Cl C | ||||||||
1.200%, 01/15/27 (A) | 2,200,000 | 2,150,784 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2021-1A, Cl D | ||||||||
1.680%, 01/15/27 (A) | 6,000,000 | 5,757,290 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2021-3A, Cl D | ||||||||
1.480%, 07/15/27 (A) | 3,000,000 | 2,740,194 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2021-4A, Cl A | ||||||||
0.840%, 07/15/25 (A) | 1,549,065 | 1,530,821 | ||||||
GLS Auto Receivables Trust, Ser 2021-2A, Cl D | ||||||||
1.420%, 04/15/27 (A) | 1,020,000 | 940,890 | ||||||
Hertz Vehicle Financing III, Ser 2021-2A, Cl A | ||||||||
1.680%, 12/27/27 (A) | 11,000,000 | 9,830,436 | ||||||
Hertz Vehicle Financing, Ser 2021-1A, Cl A | ||||||||
1.210%, 12/26/25 (A) | 3,000,000 | 2,818,074 | ||||||
Marlette Funding Trust, Ser 2021-2A, Cl C | ||||||||
1.500%, 09/15/31 (A) | 2,000,000 | 1,878,595 | ||||||
Mosaic Solar Loan Trust, Ser 2021-3A, Cl B | ||||||||
1.920%, 06/20/52 (A) | 917,141 | 820,320 | ||||||
New Economy Assets Phase 1 Sponsor, Ser 2021-1, Cl A1 | ||||||||
1.910%, 10/20/61 (A) | 2,000,000 | 1,794,518 | ||||||
Octane Receivables Trust, Ser 2021-1A, Cl A | ||||||||
0.930%, 03/22/27 (A) | 1,442,663 | 1,399,670 | ||||||
Octane Receivables Trust, Ser 2021-2A, Cl A | ||||||||
1.210%, 09/20/28 (A) | 1,434,499 | 1,391,129 | ||||||
Prestige Auto Receivables Trust, Ser 2020-1A, Cl C | ||||||||
1.310%, 11/16/26 (A) | 2,000,000 | 1,978,569 | ||||||
Prestige Auto Receivables Trust, Ser 2021-1A, Cl D | ||||||||
2.080%, 02/15/28 (A) | 4,000,000 | 3,706,123 |
Description | Face Amount | Value | ||||||
Prodigy Finance CM2021-1 DAC, Ser 2021-1A, Cl A | ||||||||
1.918%, ICE LIBOR USD 1 Month + 1.250%, 07/25/51 (A) | $ | 658,524 | $ | 652,587 | ||||
Santander Drive Auto Receivables Trust 2022-2, Ser 2022-2, Cl C | ||||||||
3.760%, 07/16/29 | 3,000,000 | 2,937,974 | ||||||
Sierra Timeshare 2021-2 Receivables Funding, Ser 2021-2A, Cl B | ||||||||
1.800%, 09/20/38 (A) | 3,407,133 | 3,219,676 | ||||||
Trillium Credit Card Trust II, Ser 2021-1A, Cl B | ||||||||
2.026%, 10/26/29 (A) | 6,500,000 | 6,001,330 | ||||||
United Auto Credit Securitization Trust, Ser 2020-1, Cl C | ||||||||
2.150%, 02/10/25 (A) | 445,700 | 445,770 | ||||||
United Auto Credit Securitization Trust, Ser 2021-1, Cl C | ||||||||
0.840%, 06/10/26 (A) | 5,500,000 | 5,414,422 | ||||||
VFI ABS 2022-1, Ser 2022-1A, Cl A | ||||||||
2.230%, 03/24/28 (A) | 2,652,459 | 2,621,314 | ||||||
Westgate Resorts, Ser 2022-1A, Cl C | ||||||||
2.488%, 08/20/36 (A) | 3,760,700 | 3,627,398 | ||||||
Westlake Automobile Receivables Trust, Ser 2020-2A, Cl C | ||||||||
2.010%, 07/15/25 (A) | 2,750,000 | 2,736,881 | ||||||
Westlake Automobile Receivables Trust, Ser 2020-2A, Cl D | ||||||||
2.760%, 01/15/26 (A) | 4,500,000 | 4,454,718 | ||||||
Westlake Automobile Receivables Trust, Ser 2020-3A, Cl C | ||||||||
1.240%, 11/17/25 (A) | 1,000,000 | 979,453 | ||||||
Westlake Automobile Receivables Trust, Ser 2021-1A, Cl D | ||||||||
1.230%, 04/15/26 (A) | 11,000,000 | 10,499,531 | ||||||
World Omni Auto Receivables Trust, Ser 2018-B, Cl B | ||||||||
3.170%, 01/15/25 | 1,520,000 | 1,523,438 | ||||||
|
| |||||||
203,475,440 | ||||||||
|
| |||||||
Credit Card — 0.8% | ||||||||
Master Credit Card Trust II, Ser 2020-1A, Cl C | ||||||||
2.590%, 09/21/24 (A) | 2,519,000 | 2,498,225 | ||||||
Synchrony Credit Card Master Note Trust, Ser 2018-2, Cl B | ||||||||
3.670%, 05/15/26 | 995,000 | 999,655 | ||||||
|
| |||||||
3,497,880 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 4.5% | ||||||||
BHG Securitization Trust, Ser 2021-B, Cl A | ||||||||
0.900%, 10/17/34 (A) | 1,521,065 | 1,472,954 | ||||||
Diamond Resorts Owner Trust, Ser 2019-1A, Cl A | ||||||||
2.890%, 02/20/32 (A) | 584,759 | 577,526 | ||||||
Mosaic Solar Loans, Ser 2017-1A, Cl A | ||||||||
4.450%, 06/20/42 (A) | 247,782 | 245,071 | ||||||
Oportun Issuance Trust, Ser 2021-B, Cl A | ||||||||
1.470%, 05/08/31 (A) | 1,750,000 | 1,640,811 |
2 |
Description | Face Amount | Value | ||||||
Pawnee Equipment Receivables Series, Ser 2019-1, Cl D | ||||||||
2.860%, 10/15/24 (A) | $ | 5,000,000 | $ | 4,846,762 | ||||
Pawnee Equipment Receivables Series, Ser 2020-1, Cl A | ||||||||
1.370%, 11/17/25 (A) | 1,399,431 | 1,389,422 | ||||||
SCF Equipment Leasing, Ser 2020-1A, Cl B | ||||||||
2.020%, 03/20/28 (A) | 2,000,000 | 1,927,195 | ||||||
SCF Equipment Leasing, Ser 2021-1A, Cl D | ||||||||
1.930%, 09/20/30 (A) | 2,600,000 | 2,392,274 | ||||||
Vantage Data Centers Issuer, Ser 2018-2A, Cl A2 | ||||||||
4.196%, 11/16/43 (A) | 3,863,333 | 3,875,411 | ||||||
|
| |||||||
18,367,426 | ||||||||
|
| |||||||
Student Loan — 3.0% | ||||||||
AccessLex Institute, Ser 2002-A, Cl A2 | ||||||||
4.313%, 09/25/37 (B) | 150,000 | 148,750 | ||||||
Commonbond Student Loan Trust, Ser 2017-AGS, Cl A1 | ||||||||
2.550%, 05/25/41 (A) | 624,274 | 621,224 | ||||||
Nelnet Student Loan Trust, Ser 2012-6A, Cl B | ||||||||
2.168%, ICE LIBOR USD 1 Month + 1.500%, 08/26/52 (A) | 3,000,000 | 2,999,998 | ||||||
Nelnet Student Loan Trust, Ser 2013-3A, Cl B | ||||||||
2.168%, ICE LIBOR USD 1 Month + 1.500%, 07/25/47 (A) | 4,000,000 | 3,938,946 | ||||||
Nelnet Student Loan Trust, Ser 2015-3A, Cl B | ||||||||
2.168%, ICE LIBOR USD 1 Month + 1.500%, 06/25/54 (A) | 3,000,000 | 2,893,573 | ||||||
SLM Student Loan Trust, Ser 2013-2, Cl B | ||||||||
2.168%, ICE LIBOR USD 1 Month + 1.500%, 06/25/43 | 2,000,000 | 1,955,794 | ||||||
|
| |||||||
12,558,285 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 237,899,031 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 21.1% |
| |||||||
U.S. Treasury Note | ||||||||
1.625%, 12/15/22 | 3,000,000 | 3,000,000 | ||||||
1.500%, 01/15/23 | 40,000,000 | 39,907,812 | ||||||
1.125%, 01/15/25 | 10,000,000 | 9,545,313 | ||||||
0.750%, 05/31/26 | 10,000,000 | 9,153,125 | ||||||
0.250%, 05/31/25 | 28,000,000 | 25,814,687 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 87,420,937 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 16.5% |
| |||||||
Consumer Discretionary — 0.7% | ||||||||
Hyatt Hotels | ||||||||
1.800%, 10/01/24 | 3,000,000 | 2,852,036 | ||||||
|
| |||||||
Financials — 6.2% | ||||||||
Bank of America MTN | ||||||||
1.319%, U.S. SOFR + 1.150%, 06/19/26 | 5,000,000 | 4,581,696 |
Description | Face Amount | Value | ||||||
Capital One Financial | ||||||||
4.200%, 10/29/25 | $ | 10,000,000 | $ | 9,974,713 | ||||
Danske Bank | ||||||||
3.875%, 09/12/23 (A) | 4,205,000 | 4,222,188 | ||||||
Deutsche Bank NY | ||||||||
2.222%, U.S. SOFR + 2.159%, 09/18/24 | 2,000,000 | 1,945,308 | ||||||
Wells Fargo MTN | ||||||||
2.406%, U.S. SOFR + 1.087%, 10/30/25 | 5,000,000 | 4,802,238 | ||||||
|
| |||||||
25,526,143 | ||||||||
|
| |||||||
Industrials — 3.3% | ||||||||
AerCap Ireland Capital DAC | ||||||||
1.750%, 01/30/26 | 5,000,000 | 4,444,952 | ||||||
1.750%, 10/29/24 | 1,000,000 | 930,578 | ||||||
Boeing | ||||||||
4.875%, 05/01/25 | 4,000,000 | 4,050,016 | ||||||
3.100%, 05/01/26 | 4,290,000 | 4,057,523 | ||||||
|
| |||||||
13,483,069 | ||||||||
|
| |||||||
Information Technology — 3.8% | ||||||||
Broadcom | ||||||||
3.150%, 11/15/25 | 8,000,000 | 7,795,963 | ||||||
Kyndryl Holdings | ||||||||
2.050%, 10/15/26 (A) | 8,000,000 | 6,982,096 | ||||||
Molex Electronic Technologies | ||||||||
3.900%, 04/15/25 (A) | 1,110,000 | 1,108,958 | ||||||
|
| |||||||
15,887,017 | ||||||||
|
| |||||||
Materials — 0.3% | ||||||||
Steel Dynamics | ||||||||
5.000%, 12/15/26 | 1,313,000 | 1,343,662 | ||||||
|
| |||||||
Real Estate — 2.2% | ||||||||
Corporate Office Properties | ||||||||
2.250%, 03/15/26 ‡ | 3,000,000 | 2,782,446 | ||||||
Equinix | ||||||||
1.000%, 09/15/25 ‡ | 5,000,000 | 4,530,692 | ||||||
Federal Realty Investment Trust | ||||||||
1.250%, 02/15/26 ‡ | 2,000,000 | 1,813,667 | ||||||
|
| |||||||
9,126,805 | ||||||||
|
| |||||||
Total Corporate Obligations | 68,218,732 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.7% |
| |||||||
FHLB | ||||||||
3.000%, 05/17/24 to 05/17/27 (C) | 11,000,000 | 10,979,881 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations | 10,979,881 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 1.6% |
| |||||||
Commercial Mortgage-Backed Obligation — 1.6% |
| |||||||
Benchmark Mortgage Trust, Ser 2020-B19, Cl A2 | ||||||||
1.691%, 09/15/53 | 1,305,000 | 1,218,223 | ||||||
Cold Storage Trust, Ser 2020-ICE5, Cl A | ||||||||
1.454%, ICE LIBOR USD 1 Month + 0.900%, 11/15/37 (A) | 5,406,448 | 5,343,605 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 6,561,828 | |||||||
|
| |||||||
Total Investments — 99.4% | $ | 411,080,409 | ||||||
|
|
3 |
Percentages are based on Net Assets of $413,440,455.
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of such securities at April 30, 2022 was $228,048,093 and represents 55.2% of Net Assets. |
(B) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(C) | Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on April 30, 2022. The coupon on a step bond changes on a specific date. |
‡ | Real Estate Investment Trust |
ABS — Asset-Backed Security
Cl — Class
DAC—Designated Activity Company
FHLB — Federal Home Loan Bank
ICE—Intercontinental Exchange
LIBOR—London Interbank Offered Rate
MTN — Medium Term Note
Ser — Series
USD — U.S. Dollar
The following is a summary of the level of inputs used as of April 30, 2022, in valuing the Fund’s investments carried at value:
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 237,899,031 | $ | — | $ | 237,899,031 | ||||||||
U.S. Treasury Obligations | 87,420,937 | — | — | 87,420,937 | ||||||||||||
Corporate Obligations | — | 68,218,732 | — | 68,218,732 | ||||||||||||
U.S. Government Agency Obligations | — | 10,979,881 | — | 10,979,881 | ||||||||||||
Mortgage-Backed Securities | — | 6,561,828 | — | 6,561,828 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 87,420,937 | $ | 323,659,472 | $ | — | $ | 411,080,409 | ||||||||
|
|
|
|
|
|
|
|
Amounts designated as “—” are $0 or have been rounded to $0.
For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
FIA-QH-001-2900
4 |
Description | Face Amount | Value | ||||||
MUNICIPAL BONDS — 82.8% |
| |||||||
California — 3.9% |
| |||||||
California State, Municipal Finance Authority, Ser A, RB (A) | ||||||||
5.000%, 03/01/25 | $ | 930,000 | $ | 927,755 | ||||
California State, School Finance Authority, RB(A) | ||||||||
5.350%, 08/01/24 | 285,000 | 291,207 | ||||||
Mount Diablo Unified School District, Ser A | ||||||||
4.000%, 08/01/31 | 100,000 | 107,741 | ||||||
|
| |||||||
1,326,703 | ||||||||
|
| |||||||
Colorado — 4.1% |
| |||||||
El Paso County, School District No. 49 Falcon, Ser A, COP | ||||||||
5.000%, 12/15/24 | 525,000 | 557,597 | ||||||
El Paso County, School District No. 49 Falcon, Ser B, COP | ||||||||
5.000%, 12/15/24 | 300,000 | 318,627 | ||||||
5.000%, 12/15/26 | 500,000 | 550,156 | ||||||
|
| |||||||
1,426,380 | ||||||||
|
| |||||||
District of Columbia — 1.3% | ||||||||
District of Columbia, RB | ||||||||
4.000%, 10/01/22 | 445,000 | 446,824 | ||||||
|
| |||||||
Idaho — 1.5% |
| |||||||
Idaho State, Housing & Finance Association, RB | ||||||||
4.000%, 07/01/26 | 500,000 | 501,138 | ||||||
|
| |||||||
Illinois — 2.3% |
| |||||||
Lee & Ogle Counties, School District No. 170 Dixon, GO, BAM | ||||||||
4.000%, 01/30/25 | 760,000 | 785,293 | ||||||
|
| |||||||
Kansas — 4.1% |
| |||||||
Geary County, GO | ||||||||
5.000%, 09/01/25 | 1,300,000 | 1,397,386 | ||||||
|
| |||||||
Michigan — 3.5% |
| |||||||
Taylor, Brownfield Redevelopment Authority, RB, NATL | ||||||||
4.000%, 05/01/28 | 1,175,000 | 1,205,478 | ||||||
|
| |||||||
Minnesota — 0.8% |
| |||||||
Minnesota State, Housing Finance Agency, Ser A, RB, GNMA | ||||||||
2.600%, 09/01/42 | 263,133 | 262,887 | ||||||
|
| |||||||
Missouri — 4.6% |
| |||||||
Saint Louis, Municipal Finance, RB, AGM | ||||||||
5.000%, 07/15/22 | 1,575,000 | 1,586,340 | ||||||
|
| |||||||
Ohio — 0.4% |
| |||||||
City of Medina Ohio | ||||||||
4.000%, 12/01/32 | 140,000 | 151,182 | ||||||
|
| |||||||
Oklahoma — 3.1% |
| |||||||
University of Oklahoma, Ser C, RB | ||||||||
5.000%, 07/01/35 | 1,000,000 | 1,063,397 | ||||||
|
|
Description | Face Amount | Value | ||||||
South Carolina — 3.9% |
| |||||||
Hilton Head Island, Ser C, GO, ST AID WITHHLDG | ||||||||
2.250%, 03/01/33 | $ | 530,000 | $ | 459,876 | ||||
2.125%, 03/01/32 | 520,000 | 455,205 | ||||||
2.000%, 03/01/30 | 495,000 | 445,633 | ||||||
|
| |||||||
1,360,714 | ||||||||
|
| |||||||
Texas — 49.3% |
| |||||||
Central Texas Turnpike System, Sub-Ser C, RB Callable 08/15/24 @ 100 | ||||||||
5.000%, 08/15/42 | 1,000,000 | 1,028,558 | ||||||
Clifton, Higher Education Finance, RB, PSF-GTD Callable 08/15/24 @ 100 | ||||||||
5.000%, 08/15/25 | 700,000 | 738,783 | ||||||
Clifton, Higher Education Finance, Ser A, RB | ||||||||
3.375%, 12/01/24 | 780,000 | 769,307 | ||||||
Clifton, Higher Education Finance, Ser B, RB | ||||||||
5.000%, 08/15/25 | 460,000 | 487,195 | ||||||
4.000%, 08/15/22 | 525,000 | 528,229 | ||||||
4.000%, 08/15/23 | 500,000 | 508,722 | ||||||
Cypress-Fairbanks Independent School District, Ser A, GO, PSF-GTD | ||||||||
5.000%, 02/15/30 | 1,500,000 | 1,709,086 | ||||||
Dallas Area, Rapid Transit, Ser A, RB | ||||||||
5.000%, 12/01/22 | 1,000,000 | 1,019,583 | ||||||
Downtown Redevelopment Authority, TA, BAM | ||||||||
5.000%, 09/01/25 | 1,000,000 | 1,062,105 | ||||||
Downtown Redevelopment Authority, TA, BAM Callable 09/01/25 @ 100 | ||||||||
5.000%, 09/01/29 | 1,000,000 | 1,074,912 | ||||||
El Paso County, Hospital District, GO | ||||||||
5.000%, 08/15/25 | 1,070,000 | 1,143,965 | ||||||
La Vernia, Higher Education Finance, Ser A, RB (A)(B) | ||||||||
4.200%, 08/15/25 | 425,000 | 437,137 | ||||||
La Vernia, Higher Education Finance, Ser A, RB(A), Pre-Refunded @ 100 | ||||||||
5.250%, 08/15/35 | 1,435,000 | 1,520,543 | ||||||
Love Field Airport Modernization, AMT, RB | ||||||||
5.000%, 11/01/22 | 1,000,000 | 1,014,678 | ||||||
Lower Colorado River Authority | ||||||||
5.000%, 05/15/39 | 1,000,000 | 1,104,232 | ||||||
San Antonio, Public Facilities, RB | ||||||||
5.000%, 09/15/26 | 1,000,000 | 1,010,303 | ||||||
Seminole, Hospital District, GO | ||||||||
4.000%, 02/15/31 | 545,000 | 558,919 |
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Description | Face Amount | Value | ||||||
Texas A&M University, Permanent University Fund, Ser B, RB | ||||||||
5.000%, 07/01/34 | $ | 1,000,000 | $ | 1,071,533 | ||||
|
| |||||||
16,787,790 | ||||||||
|
| |||||||
Total Municipal Bonds | 28,301,512 | |||||||
|
| |||||||
Total Investments — 82.8% | $ | 28,301,512 | ||||||
|
|
Percentages are based on Net Assets of $34,167,269.
(A) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” The total value of such securities at April 30, 2022 was $3,176,642 and represents 9.3% of Net Assets. |
(B) | Escrowed to Maturity |
AGM — Assured Guarantee Municipal
AMT — Alternative Minimum Tax (subject to)
BAM — Build America Mutual
COP — Certificate of Participation
GNMA — Government National Mortgage Association
GO — General Obligation
PSF-GTD — Texas Public School Fund Guarantee
RB — Revenue Bond
Ser — Series
TA — Tax Allocation
As of April 30, 2022, all of the Fund’s investments in securities were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
FIA-QH-001-2900
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