AXONIC STRATEGIC INCOME FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS |
January 31, 2024 (Unaudited) |
Description | Shares | Value | ||||||
COMMON STOCKS (0.03%) | ||||||||
United States (0.03%) | ||||||||
Financials (0.03%) | ||||||||
Redwood Trust, Inc. REIT | 44,220 | $ | 296,716 | |||||
TPG RE Finance Trust, Inc. REIT | 77,880 | 474,289 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $1,443,521) | 771,005 |
Rate | Shares | Value | ||||||||
PREFERRED STOCKS (0.93%) | ||||||||||
United States (0.93%) | ||||||||||
Financials (0.93%) | ||||||||||
ACRES Commercial Realty Corp., Series D, (a) | 7.88% | 200,000 | 4,398,000 | |||||||
Arbor Realty Trust, Series F, | 6.25% | 200,000 | 3,700,000 | |||||||
Granite Point Mortgage Trust, Inc., Series A, (a)(b) | 1D US SOFR + 5.83% | 190,571 | 3,382,635 | |||||||
Rithm Capital Corp., Series A, (a)(b) | 7.50% | 171,890 | 3,941,673 | |||||||
New York Mortgage Trust, Inc., Series F, (a)(b) | 6.88% | 92,824 | 1,803,571 | |||||||
TPG RE Finance Trust, Inc., Series C, (a) | 6.25% | 160,000 | 2,532,800 | |||||||
TOTAL PREFERRED STOCKS | ||||||||||
(Cost $25,101,559) | 19,758,679 |
Rate | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (20.21%) | ||||||||||||
Ireland (0.29%) | ||||||||||||
Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class C(c) | 5.68% | 09/15/28 | $ | 7,350,214 | $ | 6,297,663 | ||||||
United States (19.92%) | ||||||||||||
Achieve Personal Loan Master Pass-Through Trust Series 2023-PT1, Series 2023-1, Class PT(b)(c) | 21.15% | 09/15/53 | 11,038,003 | 10,918,793 | ||||||||
Achieve Personal Loan Master Pass-Through Trust Series 2023-PT2, Series 2023-2, Class PT(b)(c) | 20.62% | 10/15/53 | 1,625,113 | 1,631,613 | ||||||||
ACHM Trust, Series 2023-HE2, Class A(b)(c) | 7.50% | 10/25/38 | 15,239,831 | 15,656,699 | ||||||||
ACM Auto Trust 2024-1, Series 2024-1A, Class A(c) | 7.71% | 01/21/31 | 5,500,000 | 5,525,850 | ||||||||
Affirm Asset Securitization Trust, Series 2022-Z1, Class A(c) | 4.55% | 06/15/27 | 15,713,065 | 15,549,649 | ||||||||
Arivo Acceptance Auto Loan Receivables Trust 2021-1, Series 2021-1A, Class A(c) | 1.19% | 01/15/27 | 452,476 | 445,643 | ||||||||
Asset Backed Securities Corp. Home Equity Loan Trust Series NC, Series 2006-HE2, Class A3(b) | 1M CME TERM SOFR + 0.49% | 03/25/36 | 230,100 | 228,844 | ||||||||
Avant Credit Card Master Trust, Series 2021-1A, Class D(c) | 4.28% | 10/15/24 | 3,500,000 | 3,328,150 | ||||||||
Castlelake Aircraft Securitization Trust, Series 2018-1, Class B(c) | 5.30% | 06/15/25 | 4,334,216 | 3,369,853 | ||||||||
Castlelake Aircraft Structured Trust, Series 2017-1R, Class C(c) | 6.50% | 08/15/25 | 14,463,657 | 7,568,831 | ||||||||
Castlelake Aircraft Structured Trust, Series 2019-1A, Class A(c) | 3.97% | 04/15/26 | 5,109,232 | 4,578,383 | ||||||||
Castlelake Aircraft Structured Trust, Series 2019-1A, Class B(c) | 5.01% | 04/15/26 | 2,422,091 | 1,603,667 | ||||||||
Castlelake Aircraft Structured Trust, Series 2021-1A, Class B(c) | 6.66% | 07/15/27 | 910,666 | 848,741 | ||||||||
Castlelake Aircraft Structured Trust, Series 2021-1A, Class C(c) | 7.00% | 10/15/26 | 10,821,861 | 8,911,803 | ||||||||
Clsec Holdings 22t LLC, Series 2021-1, Class C(c) | 6.17% | 11/10/28 | 6,862,103 | 5,307,151 | ||||||||
Cologix Data Centers US Issuer LLC, Series 2021-1A, Class C(c) | 5.99% | 12/28/26 | 3,700,000 | 3,082,470 | ||||||||
DT Auto Owner Trust 2022-1, Series 2022-1A, Class E(c) | 5.53% | 11/17/25 | 3,170,000 | 3,056,514 |
Rate | Maturity Date | Principal Amount | Value | |||||||||
Falcon Aerospace, Ltd., Series 2019-1, Class B(c) | 4.79% | 09/15/26 | $ | 3,389,332 | $ | 2,618,259 | ||||||
Falcon Aerospace, Ltd., Series 2019-1, Class A(c) | 3.60% | 09/15/26 | 1,807,617 | 1,648,366 | ||||||||
FAT Brands Fazoli's Native I LLC, Series 2021-1, Class B2(c) | 8.00% | 01/25/25 | 1,980,000 | 1,833,282 | ||||||||
FAT Brands GFG Royalty I LLC, Series 2021-1A, Class A2(c) | 7.00% | 07/25/51 | 26,287,470 | 24,121,382 | ||||||||
FAT Brands GFG Royalty I LLC, Series 2021-1A, Class B2(c) | 8.00% | 07/25/51 | 9,083,250 | 8,036,860 | ||||||||
FAT Brands GFG Royalty I LLC, Series 2022-1A, Class A2(c) | 6.00% | 07/25/26 | 2,475,000 | 2,281,702 | ||||||||
FAT Brands Twin Peaks I LLC, Series 2021-1A, Class A2(c) | 8.00% | 01/25/25 | 11,400,840 | 11,022,332 | ||||||||
FAT Brands Twin Peaks I LLC, Series 2021-1A, Class B2(c) | 10.00% | 01/25/25 | 2,970,000 | 2,790,612 | ||||||||
First Investors Auto Owner Trust, Series 2021-1A, Class F(c) | 5.37% | 02/15/25 | 1,270,000 | 1,218,311 | ||||||||
Flexential Issuer 2021-1, Series 2021-1A, Class C(c) | 6.93% | 11/25/26 | 8,000,000 | 6,827,200 | ||||||||
Flexential Issuer 2021-1, Series 2021-1A, Class B(c) | 3.72% | 11/25/26 | 7,934,000 | 7,046,979 | ||||||||
GAIA Aviation, Ltd., Series 2019-1, Class B(c)(d) | 5.19% | 12/15/26 | 13,426,043 | 11,224,172 | ||||||||
Hertz Vehicle Financing III LP, Series 2021-2A, Class D(c) | 4.34% | 12/25/26 | 30,000,000 | 27,303,000 | ||||||||
Horizon Aircraft Finance I, Ltd., Series 2018-1, Class A(c) | 4.46% | 12/15/25 | 4,522,326 | 3,922,665 | ||||||||
Horizon Aircraft Finance I, Ltd., Series 2018-1, Class B(c) | 5.27% | 12/15/25 | 1,080,960 | 596,906 | ||||||||
Horizon Aircraft Finance II, Ltd., Series 2019-1, Class A(c) | 3.72% | 07/15/26 | 1,547,604 | 1,373,963 | ||||||||
Horizon Aircraft Finance III, Ltd., Series 2019-2, Class A(c) | 3.43% | 11/15/26 | 5,294,795 | 4,228,953 | ||||||||
JOL Air, Ltd., Series 2019-1, Class B(c) | 4.95% | 04/15/26 | 15,238,507 | 11,934,798 | ||||||||
JPMorgan Chase Bank NA - Chase Auto Credit Linked Notes, Series 2021-2, Class G(c) | 8.48% | 07/25/25 | 2,350,000 | 2,312,400 | ||||||||
Lendingpoint Asset Securitization Trust, Series 2021-B, Class D(c) | 6.12% | 12/16/24 | 3,000,000 | 2,079,600 | ||||||||
LUNAR AIRCRAFT, Ltd., Series 2020-1A, Class B(c) | 4.34% | 02/15/27 | 5,321,302 | 4,363,468 | ||||||||
MAPS 2021-1 Trust, Series 2021-1A, Class C(c) | 5.44% | 06/15/28 | 5,387,011 | 4,400,111 | ||||||||
New Residential Mortgage Loan Trust, Series 2022-SFR1, Class G(c) | 5.00% | 02/17/27 | 5,000,000 | 4,395,410 | ||||||||
Pagaya AI Debt Selection Trust, Series 2021-3, Class B(c) | 1.74% | 05/15/29 | 2,759,300 | 2,735,018 | ||||||||
Pagaya AI Debt Trust, Series 2022-5, Class A(c) | 8.10% | 06/17/30 | 4,115,592 | 4,178,561 | ||||||||
Pagaya AI Debt Trust 2022-6, Series 2023-6, Class A1(c) | 6.16% | 05/15/30 | 1,623,406 | 1,622,919 | ||||||||
Pagaya AI Debt Trust, Series 2023-1, Class A(c) | 7.56% | 07/15/30 | 2,697,175 | 2,709,312 | ||||||||
Pagaya AI Debt Trust, Series 2023-3, Class A(c) | 7.60% | 12/16/30 | 3,273,527 | 3,295,460 | ||||||||
Pagaya AI Debt Trust, Series 2023-5, Class A(c) | 7.18% | 04/15/31 | 12,691,011 | 12,735,429 | ||||||||
Pagaya AI Debt Trust, Series 2023-6, Class ABC(b)(c) | 7.49% | 06/16/31 | 9,294,764 | 9,353,321 | ||||||||
Pagaya AI Debt Trust, Series 2023-7, Class A(c) | 7.23% | 07/15/31 | 10,000,000 | 10,041,000 | ||||||||
Pagaya AI Debt Trust, Series 2023-7, Class ABC(b)(c) | 7.68% | 07/15/31 | 10,000,000 | 10,128,000 | ||||||||
Pagaya AI Debt Trust, Series 2024-1, Class D(c) | 9.00% | 07/15/31 | 2,500,000 | 2,378,500 | ||||||||
Pagaya AI Debt Trust, Series 2024-1, Class ABC(b)(c) | 0.00% | 07/15/31 | 11,000,000 | 11,019,800 | ||||||||
Pagaya AI Debt Trust, Series 2024-1, Class B(c) | 7.11% | 07/15/31 | 3,250,000 | 3,274,375 | ||||||||
Pioneer Aircraft Finance, Ltd., Series 2019-1, Class A(c) | 3.97% | 06/15/26 | 13,841,870 | 12,280,507 | ||||||||
Pioneer Aircraft Finance, Ltd., Series 2019-1, Class B(c) | 4.95% | 06/15/26 | 1,656,250 | 1,275,809 | ||||||||
Project Silver, Series 2019-1, Class A(c) | 3.97% | 07/15/26 | 174,653 | 150,795 | ||||||||
Prosper Marketplace Issuance Trust Series 2023-1, Series 2023-1A, Class A(c) | 7.06% | 06/15/25 | 7,339,357 | 7,378,989 | ||||||||
Prosper Marketplace Issuance Trust Series 2023-1, Series 2023-1A, Class B(c) | 7.48% | 11/15/25 | 2,300,000 | 2,343,470 | ||||||||
RAMP, Series 2007-RS1, Class A4(b) | 1M CME TERM SOFR + 0.67% | 02/25/37 | 17,244,743 | 4,136,219 | ||||||||
Reach Abs Trust 2024-1, Series 2024-1A, Class A(c) | 6.30% | 12/15/25 | 20,000,000 | 20,062,000 | ||||||||
RMF Buyout Issuance Trust, Series 2021-HB1, Class M4(b)(c) | 4.70% | 11/25/31 | 3,250,000 | 2,792,725 | ||||||||
Saluda Grade Alternative Mortgage Trust, Series 2022-SEQ2, Class A1(b)(c) | 3.50% | 05/25/55 | 9,799,465 | 9,470,839 | ||||||||
Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class E(c) | 8.41% | 12/15/29 | 2,573,000 | 2,604,391 | ||||||||
Santander Consumer Auto Receivables Trust, Series 2021-AA, Class F(c) | 5.79% | 07/15/25 | 1,370,000 | 1,323,420 |
Rate | Maturity Date | Principal Amount | Value | |||||||||
Sapphire Aviation Finance II, Ltd., Series 2020-1A, Class C(c) | 6.78% | 03/15/27 | $ | 2,952,958 | $ | 1,229,021 | ||||||
Start II, Ltd., Series 2019-1, Class B(c) | 5.09% | 03/15/26 | 2,024,381 | 1,716,878 | ||||||||
Stellar Jay Ireland DAC, Series 2021-1, Class B(c) | 5.93% | 03/15/28 | 3,839,595 | 3,146,932 | ||||||||
Stonepeak 2021-1 ABS, Series 2021-1A, Class C(c) | 5.93% | 05/15/28 | 7,069,506 | 5,910,814 | ||||||||
Theorem Funding Trust 2021-1, Series 2021-1A, Class B(c) | 1.84% | 12/15/27 | 1,415,809 | 1,406,890 | ||||||||
Theorem Funding Trust 2022-3, Series 2022-3A, Class A(c) | 7.60% | 04/15/29 | 1,322,062 | 1,334,489 | ||||||||
Thunderbolt III Aircraft Lease, Ltd., Series 2019-1, Class B(c) | 4.75% | 11/15/26 | 10,868,487 | 6,530,874 | ||||||||
Towd Point HE Trust 2021- HE1, Series 2021-HE1, Class A1(b)(c) | 0.92% | 10/25/24 | 9,022,141 | 8,603,786 | ||||||||
Upstart Securitization Trust, Series 2023-2, Class A(c) | 6.77% | 01/20/26 | 11,027,757 | 11,048,709 | ||||||||
Veros Auto Receivables Trust, Series 2022-1, Class B(c) | 4.39% | 10/15/24 | 2,114,000 | 2,082,713 | ||||||||
WAVE LLC, Series 2019-1, Class A(c) | 3.60% | 09/15/27 | 908,095 | 762,164 | ||||||||
WAVE LLC, Series 2019-1, Class B(c) | 4.58% | 09/15/27 | 6,963,966 | 4,063,474 | ||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||
(Cost $464,296,606) | 430,618,651 | |||||||||||
BANK LOANS (1.74%) | ||||||||||||
United States (1.74%) | ||||||||||||
Mortgage (1.74%) | ||||||||||||
BRE Select Service(e) | 3M US L + 13.61% | 12/31/49 | 9,530,305 | 9,503,011 | ||||||||
Copper Hill Sportsmans RT | 4.25% | 02/01/27 | 7,040,311 | 6,559,093 | ||||||||
Tower Bellflower LLC | 9.44% | 02/01/26 | 19,050,000 | 19,050,000 | ||||||||
UTEX-DEFEASED(e) | 1M US L + 6.35% | 12/31/49 | 1,946,087 | 1,938,303 | ||||||||
TOTAL BANK LOANS | ||||||||||||
(Cost $36,881,355) | 37,050,407 | |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (25.76%) | ||||||||||||
United States (25.76%) | ||||||||||||
BAMLL Commercial Mortgage Securities Trust, Series 2019-AHT, Class E(b)(c) | 1M CME TERM SOFR + 3.24% | 03/15/34 | 25,835,000 | 25,289,882 | ||||||||
BAMLL Commercial Mortgage Securities Trust, Series 2022-DKLX, Class E(b)(c) | 1M CME TERM SOFR + 4.13% | 01/15/24 | 2,000,000 | 1,925,200 | ||||||||
BBCMS Mortgage Trust, Series 2018-TALL, Class C(b)(c) | 1M CME TERM SOFR + 1.32% | 03/15/37 | 3,312,000 | 2,923,171 | ||||||||
BBCMS Mortgage Trust, Series 2018-TALL, Class E(b)(c) | 1M US L + 2.44% | 03/15/37 | 14,615,000 | 11,300,318 | ||||||||
BBCMS Mortgage Trust, Series 2022-C17, Class E(c) | 2.50% | 08/15/32 | 5,223,000 | 2,678,354 | ||||||||
BBCMS Mortgage Trust, Series 2023-5C23, Class E(b)(c) | 7.70% | 11/15/28 | 4,079,000 | 3,432,886 | ||||||||
BCP Trust, Series 2021-330N, Class E(b)(c) | 1M US L + 3.64% | 06/15/38 | 15,300,000 | 11,450,520 | ||||||||
BCP Trust, Series 2021-330N, Class F(b)(c) | 1M US L + 4.63% | 06/15/38 | 8,500,000 | 6,319,750 | ||||||||
BCRR , Series 2016-FRR3, Class E(b)(c) | 18.46% - 30D US SOFR% | 05/26/26 | 24,057,599 | 23,352,712 | ||||||||
Benchmark Mortgage Trust, Series 2023-V3, Class XA(b)(f) | 1.05% | 03/15/28 | 76,603,331 | 2,481,948 | ||||||||
BFLD, Series 2019-DPLO, Class B(b)(c) | 1M CME TERM SOFR + 1.45% | 10/15/34 | 3,780,000 | 3,766,770 | ||||||||
BFLD, Series 2019-DPLO, Class D(b)(c) | 1M CME TERM SOFR + 1.95% | 10/15/34 | 3,485,000 | 3,452,590 | ||||||||
BFLD 2019-DPLO E(c) | 7.72% | 10/15/34 | 7,667,000 | 7,607,197 | ||||||||
BMO Mortgage Trust, Series 2023-5C1, Class XA(b)(f) | 0.82% | 07/15/28 | 134,087,160 | 3,110,822 | ||||||||
BMO Mortgage Trust, Series 2023-5C1, Class C(b) | 7.36% | 08/15/28 | 1,000,000 | 994,700 | ||||||||
BX Mortgage Trust, Series 2022-MVRK, Class G(b)(c) | 1M US SOFR + 5.61% | 03/15/27 | 13,844,079 | 13,342,924 |
Rate | Maturity Date | Principal Amount | Value | |||||||||
BX Trust, Series 2018-GW, Class E(b)(c) | 1M CME TERM SOFR + 2.27% | 05/15/25 | $ | 16,731,000 | $ | 16,464,977 | ||||||
BX Trust, Series 2019-ATL, Class G(b)(c) | 1M US L + 3.49% | 10/15/36 | 8,242,707 | 7,866,840 | ||||||||
BX Trust, Series 2019-ATL, Class B(b)(c) | 1M CME TERM SOFR + 1.50% | 10/15/36 | 2,700,000 | 2,672,730 | ||||||||
BXSC Commercial Mortgage Trust, Series 2022-WSS, Class F(b)(c) | 1M CME TERM SOFR + 5.33% | 03/15/27 | 5,100,000 | 5,010,750 | ||||||||
BXSC Commercial Mortgage Trust, Series 2022-WSS, Class E(b)(c) | 1M CME TERM SOFR + 4.13% | 03/15/27 | 5,000,000 | 4,918,500 | ||||||||
Cantor Commercial Real Estate Lending, Series 2019-CF1, Class 65D(b)(c) | 4.66% | 04/15/24 | 4,600,000 | 2,830,840 | ||||||||
Cantor Commercial Real Estate Lending, Series 2019-CF2, Class SWD(c) | 4.52% | 09/15/29 | 4,988,052 | 3,848,781 | ||||||||
Cascade Funding Mortgage Trust, Series 2021-FRR1, Class CK58(c) | 0.00% | 09/29/29 | 24,870,000 | 19,164,822 | ||||||||
COLT Mortgage Loan Trust, Series 2020-3, Class A1(b)(c) | 1.51% | 04/27/65 | 2,336,110 | 2,179,551 | ||||||||
COMM Mortgage Trust, Series 2019-WCM, Class H(b)(c) | 1M CME TERM SOFR + 3.71% | 10/15/21 | 10,500,000 | 10,508,400 | ||||||||
Countrywide Alternative Loan, Series 2007-17CB | 5.01% | 08/25/37 | 6,720,572 | 2,879,037 | ||||||||
Credit Suisse Commercial Mortgage Trust 2020-FACT E(b)(c) | 10.59% | 10/15/37 | 1,745,000 | 1,623,548 | ||||||||
Credit Suisse Mortgage Capital Certificates, Series 2020-FACT, Class F(b)(c) | 1M US L + 6.16% | 10/15/25 | 11,200,000 | 10,166,240 | ||||||||
Credit Suisse Mortgage Capital Certificates, Series 2010-6R, Class 2A7(c) | 6.25% | 05/26/48 | 2,887,094 | 2,287,334 | ||||||||
Credit Suisse Mortgage Capital Certificates, Series 2021-980M, Class G(b)(c) | 3.54% | 07/15/26 | 6,311,003 | 5,436,929 | ||||||||
CSMC, Series 2020-FACT, Class C(b)(c) | 1M CME TERM SOFR + 2.96% | 10/15/25 | 5,000,000 | 4,755,000 | ||||||||
CSMC, Series 2021-980M, Class E(b)(c) | 3.65% | 07/15/26 | 2,000,000 | 1,756,400 | ||||||||
CSMC, Series 2021-980M, Class F(b)(c) | 3.65% | 07/15/26 | 11,700,000 | 10,195,380 | ||||||||
CSMC, Series 2022-LION, Class A(b)(c) | 1M CME TERM SOFR + 3.44% | 02/15/24 | 6,000,000 | 5,460,600 | ||||||||
Extended Stay America Trust, Series 2021-ESH, Class C(b)(c) | 1M CME TERM SOFR + 1.81% | 07/15/26 | 11,295,147 | 11,184,455 | ||||||||
Freddie Mac Multifamily Structured Credit Risk, Series 2023-MN6, Class B1(b)(c) | 30D US SOFR + 9.25% | 02/25/33 | 4,998,000 | 4,998,000 | ||||||||
Freddie Mac Multifamily Structured Credit Risk, Series 2023-MN7, Class M2(b)(c) | 30D US SOFR + 5.70% | 04/25/33 | 2,300,000 | 2,294,250 | ||||||||
Freddie Mac Multifamily Structured Credit Risk, Series 2021-MN1, Class M2(b)(c) | 30D US SOFR + 3.75% | 01/25/51 | 2,000,000 | 1,910,600 | ||||||||
Freddie Mac Multifamily Structured Pass Through Certificates, Series 2023-153, Class X3(b)(f) | 4.84% | 01/25/33 | 19,488,345 | 5,764,653 | ||||||||
Freddie Mac Multifamily Structured Pass Through Certificates, Series 2023-154, Class X3(b)(f) | 5.28% | 01/25/33 | 11,437,000 | 3,707,875 | ||||||||
Freddie Mac Multifamily Structured Pass Through Certificates, Series 2018-Q008, Class X(b)(f) | 1.41% | 12/25/24 | 18,139,132 | 308,365 | ||||||||
Freddie Mac Multifamily Structured Pass Through Certificates, Series 2022-151, Class X3(b)(f) | 4.53% | 11/25/32 | 6,840,000 | 1,870,056 | ||||||||
FREMF Mortgage Trust, Series 2016-KF24, Class B(b)(c) | 30D US SOFR + 5.11% | 10/25/26 | 3,125,160 | 3,085,470 | ||||||||
FREMF Mortgage Trust, Series 2018-KF49, Class B(b)(c) | 30D US SOFR + 2.01% | 06/25/25 | 4,849,698 | 4,786,652 |
Rate | Maturity Date | Principal Amount | Value | |||||||||
FREMF Mortgage Trust, Series 2018-KF49, Class C(b)(c) | 30D US SOFR + 6.11% | 06/25/25 | $ | 20,662,824 | $ | 20,226,838 | ||||||
FRESB Mortgage Trust, Series 2019-SB66, Class X1(b)(f) | 0.99% | 07/25/29 | 32,034,570 | 857,258 | ||||||||
FRESB Mortgage Trust, Series 2020-SB74, Class X1(b)(f) | 1.22% | 03/25/30 | 26,480,258 | 828,832 | ||||||||
FRESB Mortgage Trust, Series 2020-SB79, Class X1(b)(f) | 1.19% | 07/25/40 | 15,261,110 | 627,702 | ||||||||
FRESB Mortgage Trust, Series 2020-SB80, Class X1(b)(f) | 1.23% | 09/25/30 | 56,415,677 | 2,520,805 | ||||||||
FRESB Mortgage Trust, Series 2020-SB81, Class X1(b)(f) | 1.14% | 10/25/30 | 18,700,556 | 831,419 | ||||||||
FRESB Mortgage Trust, Series 2021-SB82, Class X1(b)(f) | 1.17% | 10/25/40 | 45,172,995 | 1,454,896 | ||||||||
FRESB Mortgage Trust, Series 2021-SB83, Class X1(b)(f) | 0.97% | 01/25/41 | 28,486,558 | 943,905 | ||||||||
FRESB Mortgage Trust, Series 2021-SB84, Class X1(b)(f) | 0.60% | 01/25/31 | 27,617,922 | 608,478 | ||||||||
FRESB Mortgage Trust, Series 2022-SB95, Class X1(b)(f) | 0.10% | 11/25/31 | 116,834,216 | 1,345,521 | ||||||||
GAM RE-REMIC Trust, Series 2022-FRR3, Class EK41(c)(g) | 0.00% | 10/27/47 | 2,445,000 | 2,264,559 | ||||||||
Government National Mortgage Association, Series 2018-16, Class IO(b)(f) | 0.58% | 03/16/59 | 72,308,642 | 2,617,573 | ||||||||
Great Wolf Trust, Series 2019-WOLF, Class C(b)(c) | 1M CME TERM SOFR + 1.95% | 12/15/24 | 10,695,000 | 10,643,664 | ||||||||
Hudsons Bay Simon JV Trust 2015-HBS, Series 2015-HB7, Class A7(c) | 3.91% | 08/05/34 | 11,712,915 | 11,213,945 | ||||||||
Hudsons Bay Simon JV Trust 2015-HBS, Series 2015-HB7, Class B7(c) | 4.67% | 08/05/22 | 3,000,000 | 2,834,700 | ||||||||
Hudsons Bay Simon JV Trust 2015-HBS, Series 2015-HBFL, Class AFL(b)(c) | 1M CME TERM SOFR + 1.95% | 08/05/34 | 755 | 742 | ||||||||
Hudsons Bay Simon JV Trust 2015-HBS, Series 2015-HB10, Class A10(c) | 4.15% | 08/05/25 | 2,764,207 | 2,562,143 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2022-ACB, Class G(b)(c) | 30D US SOFR + 5.50% | 03/15/27 | 3,563,000 | 3,412,285 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2022-NLP, Class B(b)(c) | 1M CME TERM SOFR + 1.11% | 04/15/27 | 22,454,430 | 20,119,169 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class AJ(b) | 6.50% | 02/15/51 | 4,893,852 | 4,769,548 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2008-C2, Class AM(b) | 7.06% | 02/12/51 | 3,684,596 | 1,985,260 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2022-NLP, Class G(b)(c) | 1M US SOFR + 4.27% | 04/15/27 | 7,400,199 | 6,350,851 | ||||||||
MRCD 2019-MARK Mortgage Trust, Series 2019-PARK, Class G(c) | 2.72% | 12/15/24 | 8,944,000 | 5,500,883 | ||||||||
MTK Mortgage Trust, Series 2021-GRNY, Class F(b)(c) | 1M CME TERM SOFR + 5.91% | 12/15/38 | 2,600,000 | 2,352,480 | ||||||||
MTK Mortgage Trust, Series 2021-GRNY, Class B(b)(c) | 1M CME TERM SOFR + 2.76% | 12/15/38 | 22,648,900 | 21,912,811 | ||||||||
MTN Commercial Mortgage Trust, Series 2022-LPFL, Class F(b)(c) | 1M US SOFR + 5.29% | 03/15/27 | 10,000,000 | 9,416,000 | ||||||||
Multifamily Connecticut Avenue Securities Trust, Series 2023-01, Class B1(b)(c) | 30D US SOFR + 9.75% | 09/25/32 | 5,000,000 | 5,048,000 | ||||||||
Multifamily Connecticut Avenue Securities Trust, Series 2023-01, Class M10(b)(c) | 30D US SOFR + 6.50% | 02/25/32 | 22,000,000 | 22,554,400 | ||||||||
NCMF Trust, Series 2022-MFP, Class G(b)(c) | 1M CME TERM SOFR + 5.13% | 03/15/27 | 12,600,000 | 12,170,340 | ||||||||
SB Multifamily Repack Trust, Series 2020-FRR1, Class A(c) | 5.60% | 05/27/26 | 15,637,082 | 15,416,599 | ||||||||
Series RR , Series 2014-1, Class A(c)(g) | 0.00% | 04/25/24 | 700,000 | 690,690 | ||||||||
SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A2B(b)(c) | 4.14% | 01/05/35 | 7,000,000 | 4,894,400 |
Rate | Maturity Date | Principal Amount | Value | |||||||||
SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class B(b)(c) | 4.53% | 01/05/35 | $ | 4,237,000 | $ | 2,686,258 | ||||||
SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class C(b)(c) | 4.53% | 01/05/35 | 9,479,000 | 5,508,247 | ||||||||
SMR Mortgage Trust, Series 2022-IND, Class E(b)(c) | 1M CME TERM SOFR + 5.00% | 02/15/24 | 10,483,290 | 9,643,578 | ||||||||
THPT Mortgage Trust, Series 2023-THL, Class F(b)(c) | 7.43% | 12/10/26 | 7,100,000 | 6,331,780 | ||||||||
Velocity Commercial Capital Loan Trust, Series 2019-2, Class M6(b)(c) | 6.30% | 02/25/28 | 333,384 | 289,100 | ||||||||
Velocity Commercial Capital Loan Trust, Series 2019-2, Class M5(b)(c) | 4.93% | 03/25/27 | 275,876 | 250,708 | ||||||||
Velocity Commercial Capital Loan Trust, Series 2019-1, Class M6(b)(c) | 6.79% | 10/29/29 | 1,446,067 | 1,144,997 | ||||||||
Velocity Commercial Capital Loan Trust, Series 2019-3, Class M5(b)(c) | 4.73% | 08/25/28 | 301,240 | 256,009 | ||||||||
Velocity Commercial Capital Loan Trust, Series 2020-1, Class M6(b)(c) | 5.69% | 02/25/50 | 1,010,338 | 814,895 | ||||||||
Velocity Commercial Capital Loan Trust, Series 2021-1, Class M6(b)(c) | 5.03% | 03/25/31 | 1,940,046 | 1,227,378 | ||||||||
Velocity Commercial Capital Loan Trust, Series 2021-3, Class M6(b)(c) | 5.03% | 11/25/31 | 680,725 | 483,941 | ||||||||
Velocity Commercial Capital Loan Trust, Series 2022-1, Class M5(b)(c) | 5.81% | 06/25/32 | 3,779,000 | 3,107,141 | ||||||||
Velocity Commercial Capital Loan Trust, Series 2022-1, Class M6(b)(c) | 5.81% | 08/25/33 | 2,228,040 | 1,821,498 | ||||||||
Velocity Commercial Capital Loan Trust, Series 2022-2, Class M5(b)(c) | 5.81% | 04/25/52 | 3,471,506 | 2,649,800 | ||||||||
VMC Finance LLC, Series 2021-HT1, Class B(b)(c) | 1M CME TERM SOFR + 4.61% | 01/18/37 | 20,580,000 | 19,629,204 | ||||||||
WBCMT 2007-C34 H | 8.09% | 05/15/46 | 2,209,839 | 2,187,741 | ||||||||
Wells Fargo Commercial Mortgage Trust, Series 2020-SDAL, Class E(b)(c) | 1M CME TERM SOFR + 2.85% | 02/15/25 | 4,247,000 | 4,207,503 | ||||||||
Wells Fargo Commercial Mortgage Trust, Series 2020-SDAL, Class C(b)(c) | 1M CME TERM SOFR + 1.85% | 02/15/25 | 2,665,000 | 2,638,617 | ||||||||
Wells Fargo Commercial Mortgage Trust, Series 2020-SDAL, Class F(b)(c) | 1M CME TERM SOFR + 3.61% | 02/15/25 | 1,469,000 | 1,448,728 | ||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | ||||||||||||
(Cost $588,856,895) | 548,670,598 | |||||||||||
CONVERTIBLE CORPORATE BONDS (3.11%) | ||||||||||||
United States (3.11%) | ||||||||||||
MFA Financial, Inc. | 6.25% | 06/15/24 | 30,730,000 | 30,720,781 | ||||||||
PennyMac Corp. | 5.50% | 11/01/24 | 5,000,000 | 4,907,500 | ||||||||
PennyMac Corp. | 5.50% | 03/15/26 | 10,682,000 | 10,076,331 | ||||||||
Redwood Trust, Inc. | 5.63% | 07/15/24 | 8,763,000 | 8,743,721 | ||||||||
Redwood Trust, Inc. | 7.75% | 06/15/27 | 1,000,000 | 949,800 | ||||||||
RWT Holdings, Inc. | 5.75% | 10/01/25 | 11,300,000 | 10,887,550 | ||||||||
TOTAL CONVERTIBLE CORPORATE BONDS | ||||||||||||
(Cost $65,822,797) | 66,285,683 | |||||||||||
CORPORATE BONDS (0.68%) |
Rate | Maturity Date | Principal Amount | Value | |||||||||
United States (0.68%) | ||||||||||||
GKN Subordinated CTL Pass-Through Trust/Auburn MI(b)(c) | 0.00% | 03/15/30 | $ | 7,076,849 | $ | 3,764,884 | ||||||
Rithm Capital Corp.(c) | 6.25% | 10/15/25 | 10,839,000 | 10,730,610 | ||||||||
TOTAL CORPORATE BONDS | ||||||||||||
(Cost $15,241,058) | 14,495,494 | |||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (26.90%) | ||||||||||||
United States (26.90%) | ||||||||||||
A&D Mortgage Trust, Series 2023-NQM4, Class A2(c)(d) | 7.83% | 10/25/27 | 4,017,700 | 4,143,483 | ||||||||
A&D Mortgage Trust, Series 2023-NQM4, Class A3(c)(d) | 8.10% | 10/25/27 | 963,477 | 993,894 | ||||||||
A&D Mortgage Trust, Series 2023-NQM5, Class A3(c)(d) | 7.76% | 11/25/68 | 2,191,291 | 2,249,169 | ||||||||
AlphaFlow Transitional Mortgage Trust, Series 2021-WL1, Class A2(c)(d) | 5.61% | 01/25/26 | 451,766 | 289,358 | ||||||||
Alternative Loan Trust, Series 2006-14CB, Class A5(b) | 1M CME TERM SOFR + 0.81% | 06/25/36 | 2,197,496 | 1,010,792 | ||||||||
Alternative Loan Trust, Series 2006-18CB, Class A1(b) | 1M CME TERM SOFR + 0.58% | 07/25/36 | 9,298,601 | 3,909,159 | ||||||||
Alternative Loan Trust, Series 2006-18CB, Class A5(b) | 1M CME TERM SOFR + 0.46% | 07/25/36 | 1,982,815 | 817,060 | ||||||||
Alternative Loan Trust, Series 2006-18CB, Class A7(b) | 1M CME TERM SOFR + 0.46% | 07/25/36 | 24,615,524 | 10,143,331 | ||||||||
Alternative Loan Trust, Series 2006-20CB, Class A4(b) | 1M CME TERM SOFR + 0.46% | 07/25/36 | 4,858,702 | 1,580,653 | ||||||||
Alternative Loan Trust, Series 2006-20CB, Class A6(b) | 1M CME TERM SOFR + 0.61% | 07/25/36 | 1,849,462 | 620,252 | ||||||||
Alternative Loan Trust, Series 2006-24CB, Class A5(b) | 1M CME TERM SOFR + 0.71% | 08/25/36 | 5,310,304 | 2,371,000 | ||||||||
Alternative Loan Trust, Series 2006-24CB, Class A19(b) | 1M CME TERM SOFR + 0.61% | 08/25/36 | 2,450,397 | 1,076,535 | ||||||||
Alternative Loan Trust, Series 2006-40T1, Class 1A3(b) | 1M CME TERM SOFR + 0.66% | 01/25/37 | 4,522,716 | 2,369,146 | ||||||||
Alternative Loan Trust, Series 2006-41CB, Class 2A7(b) | 1M CME TERM SOFR + 0.71% | 01/25/37 | 3,050,535 | 1,254,846 | ||||||||
Alternative Loan Trust, Series 2006-41CB, Class 2A8(b) | 1M CME TERM SOFR + 0.76% | 01/25/37 | 3,196,677 | 1,326,829 | ||||||||
Alternative Loan Trust, Series 2006-42, Class 1A1(b) | 1M CME TERM SOFR + 0.71% | 01/25/47 | 6,372,299 | 2,873,980 | ||||||||
Alternative Loan Trust, Series 2006-6CB, Class 2A13(b) | 1M CME TERM SOFR + 0.51% | 05/25/36 | 3,947,887 | 1,135,574 | ||||||||
Alternative Loan Trust, Series 2007-2CB, Class 1A12(b) | 1M CME TERM SOFR + 0.61% | 03/25/37 | 1,608,210 | 672,266 | ||||||||
Alternative Loan Trust, Series 2007-5CB, Class 1A19(b) | 1M CME TERM SOFR + 0.56% | 04/25/37 | 13,047,130 | 5,384,499 | ||||||||
Alternative Loan Trust, Series 2007-5CB, Class 1A21(b) | 1M CME TERM SOFR + 0.65% | 04/25/37 | 2,090,101 | 876,047 | ||||||||
AMSR, Series 2021-SFR3, Class G(c) | 3.80% | 10/17/26 | 7,000,000 | 6,130,501 | ||||||||
Angel Oak Mortgage Trust, Series 2020-R1, Class A1(b)(c) | 0.99% | 12/25/24 | 2,449,557 | 2,259,093 | ||||||||
Angel Oak Mortgage Trust I LLC, Series 2019-1, Class M1(b)(c) | 4.50% | 11/25/48 | 3,490,667 | 3,431,204 | ||||||||
ANTLR Mortgage Trust, Series 2021-RTL1, Class A1(c)(d) | 3.12% | 11/25/24 | 1,115,039 | 1,113,367 | ||||||||
Banc of America Funding 2006 8T2 Trust, Series 2006-8T2, Class A6(d) | 6.55% | 10/25/36 | 1,661,388 | 1,360,882 |
Rate | Maturity Date | Principal Amount | Value | |||||||||
Bear Stearns Asset Backed Securities I Trust, Series 2007-AC5, Class A2 | 6.00% | 07/25/37 | $ | 4,492,645 | $ | 1,649,445 | ||||||
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE3, Class 1A3(b) | 1M CME TERM SOFR + 0.36% | 04/25/37 | 535,661 | 716,568 | ||||||||
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE3, Class 1A4(b) | 1M CME TERM SOFR + 0.46% | 04/25/37 | 511,918 | 501,135 | ||||||||
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE7, Class M1(b) | 1M CME TERM SOFR + 0.51% | 10/25/37 | 3,986,727 | 3,073,738 | ||||||||
Bear Stearns Mortgage Funding Trust, Series 2006-AR3, Class 1A2A(b) | 1M CME TERM SOFR + 0.59% | 10/25/36 | 327,458 | 351,608 | ||||||||
Bear Stearns Mortgage Funding Trust, Series 2006-AR3, Class 1A2G(b) | 1M CME TERM SOFR + 0.59% | 10/25/36 | 2,617,380 | 2,810,409 | ||||||||
Bear Stearns Mortgage Funding Trust, Series 2007-AR2, Class A2(b) | 1M CME TERM SOFR + 0.51% | 03/25/37 | 6,193,963 | 5,547,891 | ||||||||
Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class G2AB(b) | 1M CME TERM SOFR + 0.35% | 04/25/37 | 5,634,635 | 5,001,463 | ||||||||
Bear Stearns Mortgage Funding Trust, Series 2007-AR5, Class 1A2G(b) | 1M CME TERM SOFR + 0.55% | 06/25/37 | 820,930 | 685,360 | ||||||||
Bear Stearns Mortgage Funding Trust, Series 2007-AR5, Class 2A2(b) | 1M CME TERM SOFR + 0.34% | 06/25/37 | 2,116,266 | 1,817,010 | ||||||||
Boston Lending Trust, Series 2022-1, Class M2(b)(c) | 2.75% | 02/25/27 | 2,639,565 | 1,958,293 | ||||||||
BRAVO Residential Funding Trust, Series 2021-NQM1, Class A3(b)(c) | 1.33% | 02/25/49 | 993,690 | 887,180 | ||||||||
BRAVO Residential Funding Trust, Series 2021-NQM1, Class A1(b)(c) | 0.94% | 02/25/49 | 3,114,749 | 2,781,922 | ||||||||
CHL Mortgage Pass-Through Trust, Series 2007-4, Class 1A51(b) | 1M CME TERM SOFR + 0.71% | 05/25/37 | 2,261,378 | 811,544 | ||||||||
CHNGE Mortgage Trust, Series 2022-4, Class A1(c)(d) | 6.00% | 10/25/57 | 10,833,566 | 10,759,575 | ||||||||
CHNGE Mortgage Trust, Series 2023-2, Class A1(c)(d) | 6.53% | 05/25/27 | 1,728,164 | 1,737,051 | ||||||||
CHNGE Mortgage Trust, Series 2023-3, Class A1(c)(d) | 7.10% | 06/25/27 | 4,527,854 | 4,598,156 | ||||||||
CHNGE Mortgage Trust, Series 2023-4, Class A1(c)(d) | 7.57% | 09/25/58 | 7,341,312 | 7,524,074 | ||||||||
CitiMortgage Alternative Loan Trust, Series 2007-A2, Class 1A1(b) | 1M CME TERM SOFR + 0.71% | 02/25/37 | 1,308,112 | 1,057,132 | ||||||||
COLTMortgage Pass-Through Certificates, Series 2021-1R, Class A3(b)(c) | 1.42% | 05/25/65 | 3,180,750 | 2,709,338 | ||||||||
COLT Mortgage Loan Trust, Series 2023-3, Class A3(c)(d) | 7.58% | 09/25/68 | 2,239,490 | 2,297,929 | ||||||||
COLT Mortgage Loan Trust, Series 2023-4, Class A2(c)(d) | 7.47% | 10/25/68 | 3,571,162 | 3,671,743 | ||||||||
Deephaven Residential Mortgage Trust, Series 2020-2, Class A3(c) | 2.86% | 07/25/24 | 952,274 | 921,965 | ||||||||
Dominion Mortgage Trust, Series 2021-RTL1, Class A1(c)(d) | 2.49% | 02/25/25 | 20,000,000 | 19,074,634 | ||||||||
Dominion Mortgage Trust, Series 2021-RTL1, Class M(c)(d) | 5.73% | 02/25/25 | 3,500,000 | 2,718,421 | ||||||||
Ellington Financial Mortgage Trust 2017-1, Series 2021-1, Class A1(b)(c) | 0.80% | 02/25/66 | 2,398,196 | 1,979,248 | ||||||||
GCAT, Series 2021-NQM4, Class A1(b)(c) | 1.09% | 08/25/25 | 623,744 | 506,580 | ||||||||
GS Mortgage-Backed Securities Trust, Series 2021-NQM1, Class B2(b)(c) | 4.21% | 07/25/61 | 1,000,000 | 708,492 | ||||||||
Home Partners of America, Series 2021-2, Class G(c) | 4.51% | 12/17/26 | 5,772,666 | 5,120,355 | ||||||||
Imperial Fund Mortgage Trust, Series 2020-NQM1, Class A1(b)(c) | 1.38% | 09/25/23 | 6,079,431 | 5,393,203 | ||||||||
Imperial Fund Mortgage Trust, Series 2021-NQM1, Class A2(b)(c) | 1.21% | 06/25/56 | 5,331,701 | 4,448,436 | ||||||||
Imperial Fund Mortgage Trust, Series 2021-NQM1, Class A3(b)(c) | 1.62% | 06/25/56 | 5,816,401 | 4,906,928 | ||||||||
Lehman Mortgage Trust, Series 2005-2, Class 2A1(b) | 1M CME TERM SOFR + 0.79% | 12/25/35 | 4,870,903 | 2,625,387 | ||||||||
Lehman Mortgage Trust, Series 2005-2, Class 3A1(b) | 1M CME TERM SOFR + 0.86% | 12/25/35 | 3,843,554 | 1,756,524 |
Rate | Maturity Date | Principal Amount | Value | |||||||||
Lehman Mortgage Trust, Series 2006-9, Class 1A5(b) | 1M CME TERM SOFR + 0.71% | 01/25/37 | $ | 1,681,240 | $ | 892,933 | ||||||
Lehman Mortgage Trust, Series 2008-3, Class A1(b) | 1M CME TERM SOFR + 0.48% | 02/25/37 | 30,961,132 | 6,975,586 | ||||||||
Lehman XS Trust, Series 2007-6, Class 3A32(b) | 1M CME TERM SOFR + 0.61% | 05/25/37 | 6,780,028 | 6,042,788 | ||||||||
Lehman XS Trust, Series 2007-6, Class 3A31(d) | 4.27% | 05/25/37 | 3,198,379 | 2,854,176 | ||||||||
LHOME Mortgage Trust, Series 2022-RTL1, Class A1(c) | 3.97% | 02/25/27 | 22,000,000 | 21,626,306 | ||||||||
LHOME Mortgage Trust, Series 2022-RTL2, Class M(c)(d) | 8.00% | 04/25/27 | 4,413,000 | 4,159,361 | ||||||||
LHOME Mortgage Trust, Series 2021-RTL2, Class M(c)(d) | 5.61% | 01/25/24 | 4,750,000 | 4,405,739 | ||||||||
LHOME Mortgage Trust, Series 2021-RTL3, Class M(c)(d) | 5.19% | 05/25/25 | 9,000,000 | 8,300,239 | ||||||||
LHOME Mortgage Trust, Series 2023-RTL1, Class A1(c)(d) | 7.87% | 01/25/28 | 15,000,000 | 15,084,673 | ||||||||
LHOME Mortgage Trust, Series 2023-RTL2, Class A1(c)(d) | 8.00% | 06/25/28 | 15,000,000 | 15,140,475 | ||||||||
LHOME Mortgage Trust, Series 2023-RTL3, Class A1(c)(d) | 8.00% | 08/25/28 | 22,500,000 | 22,728,692 | ||||||||
LHOME Mortgage Trust, Series 2023-RTL3, Class A2(c)(d) | 9.00% | 08/25/28 | 3,000,000 | 2,992,711 | ||||||||
LHOME Mortgage Trust, Series 2023-RTL4, Class A1(c)(d) | 7.63% | 06/25/26 | 10,000,000 | 10,038,746 | ||||||||
MFA 2021-1 Trust, Series 2021-INV1, Class A2(b)(c) | 1.06% | 01/25/56 | 502,509 | 461,350 | ||||||||
MFA 2022-RTL1 Trust, Series 2022-RTL1, Class A1(c)(d) | 5.07% | 03/25/24 | 19,850,000 | 19,453,643 | ||||||||
MFA 2022-RTL1 Trust, Series 2022-RTL1, Class A2(c)(d) | 6.41% | 03/25/24 | 13,000,000 | 12,430,681 | ||||||||
MFA 2023-NQM3 Trust, Series 2023-RTL1, Class A1(c)(d) | 7.58% | 08/25/27 | 7,500,000 | 7,483,720 | ||||||||
MFA 2023-RTL2 Trust, Series 2023-RTL2, Class A1(c)(d) | 8.50% | 04/25/26 | 25,486,000 | 25,817,527 | ||||||||
Morgan Stanley Resecuritization Trust, Series 2015-R4, Class 4B2(b)(c) | 4.46% | 08/26/47 | 1,709,207 | 1,215,184 | ||||||||
New Residential Mortgage Loan Trust, Series 2022-RTL1, Class A1F(c) | 4.34% | 12/25/26 | 8,287,000 | 8,116,097 | ||||||||
NYMT Loan Trust, Series 2022-BPL1, Class A1(c)(d) | 3.97% | 11/25/27 | 12,545,000 | 12,435,756 | ||||||||
NYMT Loan Trust, Series 2024-BPL1, Class A2(c)(d) | 8.62% | 07/25/26 | 6,000,000 | 5,972,579 | ||||||||
NYMT Loan Trust, Series 2024-BPL1, Class A1(c)(d) | 7.15% | 07/25/26 | 5,000,000 | 4,977,287 | ||||||||
OBX , Series 2021-NQM2, Class A1(b)(c) | 1.10% | 05/25/61 | 6,118,668 | 4,715,257 | ||||||||
Point Securitization Trust, Series 2021-1, Class A2(b)(c)(f) | 5.56% | 02/25/52 | 14,000,001 | 12,579,170 | ||||||||
Progress Residential , Series 2021-SFR10, Class G(c) | 4.86% | 12/17/28 | 3,968,532 | 3,450,789 | ||||||||
Progress Residential , Series 2022-SFR1, Class G(c) | 5.52% | 02/17/29 | 2,000,000 | 1,701,369 | ||||||||
PRPM , Series 2023-NQM2, Class A2(c)(d) | 7.00% | 09/25/27 | 8,197,259 | 8,322,995 | ||||||||
PRPM , Series 2023-NQM3, Class A3(c)(d) | 6.98% | 11/25/68 | 7,000,000 | 7,076,215 | ||||||||
RAAC, Series 2007-SP1, Class M3(b) | 1M CME TERM SOFR + 1.61% | 03/25/37 | 3,219,351 | 2,533,359 | ||||||||
RALI, Series 2006-QS2, Class 1A10(b) | 1M CME TERM SOFR + 0.61% | 02/25/36 | 1,173,942 | 840,521 | ||||||||
RALI, Series 2006-QS2, Class 1A14(b) | 1M CME TERM SOFR + 0.81% | 02/25/36 | 5,663,512 | 4,097,170 | ||||||||
RALI, Series 2006-QS8, Class A4(b) | 1M CME TERM SOFR + 0.56% | 08/25/36 | 1,010,106 | 742,309 | ||||||||
RALI, Series 2007-QO5, Class A(b) | 12M US FED + 3.12% | 08/25/47 | 9,462,102 | 1,625,715 | ||||||||
RBSSP Resecuritization Trust, Series 2009-7, Class 5A3(b)(c) | 1M CME TERM SOFR + 0.51% | 06/26/37 | 3,481,796 | 2,363,065 | ||||||||
Residential Asset Securitization Trust, Series 2006-R1, Class A2(b) | 1M CME TERM SOFR + 0.51% | 01/25/46 | 9,902,918 | 2,994,861 | ||||||||
Residential Asset Securitization Trust, Series 2007-A1, Class A1 | 6.00% | 03/25/37 | 3,525,800 | 1,115,199 | ||||||||
Residential Mortgage Loan Trust, Series 2020-1, Class A3(b)(c) | 2.68% | 01/26/60 | 850,163 | 815,123 | ||||||||
RMF Proprietary Issuance Trust, Series 2022-1, Class M2(b)(c) | 3.00% | 01/25/28 | 5,000,000 | 3,860,000 | ||||||||
Roc Mortgage Trust, Series 2021-RTL1, Class M(b)(c) | 5.68% | 03/25/24 | 6,745,000 | 6,118,586 | ||||||||
Roc Mortgage Trust, Series 2021-RTL1, Class A1(b)(c) | 2.49% | 03/25/24 | 21,658,572 | 21,443,994 |
Rate | Maturity Date | Principal Amount | Value | |||||||||
SG Residential Mortgage Trust, Series 2019-3, Class A2(b)(c) | 2.88% | 09/25/59 | $ | 555,436 | $ | 542,027 | ||||||
SG Residential Mortgage Trust, Series 2019-3, Class A3(b)(c) | 3.08% | 09/25/59 | 1,563,016 | 1,519,401 | ||||||||
Specialty Underwriting & Residential Finance, Series 2005-BC1, Class B1(b) | 1M CME TERM SOFR + 1.91% | 12/25/35 | 2,006,161 | 1,774,652 | ||||||||
Spruce Hill Mortgage Loan Trust, Series 2020-SH2, Class M1(b)(c) | 4.33% | 06/25/55 | 3,322,533 | 3,262,499 | ||||||||
STAR , Series 2021-1, Class A1(b)(c) | 1.22% | 05/25/65 | 1,079,990 | 949,791 | ||||||||
Starwood Mortgage Residential Trust, Series 2019-INV1, Class A3(b)(c) | 2.92% | 09/27/49 | 9,102,591 | 8,716,852 | ||||||||
Starwood Mortgage Residential Trust, Series 2021-2, Class A2(b)(c) | 1.17% | 05/25/65 | 926,636 | 834,903 | ||||||||
Starwood Mortgage Residential Trust, Series 2021-2, Class A3(b)(c) | 1.43% | 05/25/65 | 1,130,043 | 1,018,763 | ||||||||
Starwood Mortgage Residential Trust, Series 2021-4, Class A1(b)(c) | 1.16% | 08/25/56 | 8,351,763 | 6,934,109 | ||||||||
Structured Asset Mortgage Investments II Trust, Series 2007-AR1, Class 2A2(b) | 1M CME TERM SOFR + 0.32% | 01/25/37 | 1,515,521 | 1,530,676 | ||||||||
Structured Asset Mortgage Investments II Trust, Series 2007-AR2, Class 1A2(b) | 1M CME TERM SOFR + 0.49% | 02/25/37 | 4,762,456 | 5,523,924 | ||||||||
Toorak Mortgage Corp., Ltd., Series 2021-1, Class M1(c)(d) | 8.80% | 06/25/24 | 9,500,000 | 8,957,650 | ||||||||
Toorak Mortgage Corp., Ltd., Series 2021-1, Class A1(c)(d) | 3.24% | 06/25/24 | 1,093,969 | 1,079,558 | ||||||||
Toorak Mortgage Trust, Series 2022-1, Class A1(c)(d) | 3.97% | 03/25/29 | 6,506,000 | 6,336,470 | ||||||||
TVC Mortgage Trust, Series 2023-RTL1, Class A1(c)(d) | 8.25% | 11/25/27 | 12,000,000 | 12,116,148 | ||||||||
Velocity Commercial Capital Loan Trust, Series 2023-RTL1, Class A1(c)(d) | 8.00% | 01/25/26 | 2,903,000 | 2,892,364 | ||||||||
Verus Securitization Trust, Series 2021-3 | 1.05% | 06/25/66 | 30,082 | 25,034 | ||||||||
Verus Securitization Trust, Series 2019-INV2, Class A2(b)(c) | 4.12% | 07/25/59 | 1,042,128 | 1,018,811 | ||||||||
Verus Securitization Trust, Series 2021-R1, Class A1(b)(c) | 0.82% | 10/25/63 | 2,133,251 | 1,970,531 | ||||||||
Verus Securitization Trust, Series 2021-R1, Class A2(b)(c) | 1.06% | 10/25/63 | 1,583,360 | 1,463,574 | ||||||||
Verus Securitization Trust, Series 2021-R1, Class A3(b)(c) | 1.26% | 10/25/63 | 3,791,690 | 3,505,493 | ||||||||
Verus Securitization Trust, Series 2021-R3, Class B2(b)(c) | 4.07% | 04/25/64 | 3,000,000 | 2,304,463 | ||||||||
Verus Securitization Trust, Series 2023-3, Class A2(c)(d) | 6.44% | 03/25/68 | 964,101 | 969,764 | ||||||||
Verus Securitization Trust, Series 2023-6, Class A3(c)(d) | 7.09% | 09/25/27 | 2,504,074 | 2,542,666 | ||||||||
Verus Securitization Trust, Series 2023-7, Class A3(c)(d) | 7.42% | 10/25/68 | 4,253,941 | 4,346,457 | ||||||||
Verus Securitization Trust, Series 2023-7, Class A2(c)(d) | 7.27% | 10/25/68 | 8,725,039 | 8,923,479 | ||||||||
Verus Securitization Trust, Series 2023-8, Class A3(c)(d) | 6.97% | 12/25/68 | 2,555,584 | 2,592,325 | ||||||||
Verus Securitization Trust, Series 2023-INV1, Class A1(c)(d) | 6.00% | 02/25/68 | 29,912 | 29,959 | ||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-3, Class 1CB3(b) | 1M CME TERM SOFR + 0.56% | 05/25/35 | 1,153,549 | 926,014 | ||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES | ||||||||||||
(Cost $602,072,232) | 573,111,960 |
7-Day | ||||||||||
Yield | Shares | Value | ||||||||
SHORT TERM INVESTMENTS - COMMON SHARES (20.57%) | ||||||||||
First American Government Obligations Fund | 5.26% | 438,119,452 | 438,119,452 | |||||||
TOTAL SHORT TERM INVESTMENTS | ||||||||||
(Cost $438,119,452) | 438,119,452 | |||||||||
TOTAL INVESTMENTS (99.93%) | ||||||||||
(Cost $2,237,835,475) | $ | 2,128,881,929 | ||||||||
Other Assets In Excess Of Liabilities (0.07%) | 1,484,435 | |||||||||
NET ASSETS (100.00%) | $ | 2,130,366,364 |
(a) | Perpetual maturity. |
(b) | Floating or variable rate security. The Reference Rates are described below. Interest rate shown reflects the rate in effect at January 31, 2024. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(c) | Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may normally be sold to qualified institutional buyers in transactions exempt from registration. The total value of Rule 144A securities amounts to $1,412,152,264, which represents 66.29% of net assets as of January 31, 2024. |
(d) | Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at January 31, 2024. |
(e) | The Fund's interest in this loan is held through a wholly-owned LLC of the Fund. |
(f) | Interest only securities. |
(g) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
Investment Abbreviations: |
LIBOR - London Interbank Offered Rate |
REIT - Real Estate Investment Trust |
SOFR - Secured Overnight Financing Rate |
FED - Federal Funds Rate |
Reference Rates: |
1M US L - 1 Month LIBOR as of January 31, 2024 was 5.44% |
3M US L - 3 Month LIBOR as of January 31, 2024 was 5.58% |
1M CME Term SOFR - 1 Month CME SOFR as of January 31, 2024 was 5.33% |
12M US FED - 12 Month US FED as of January 31, 2024 was 5.33% |
1D US SOFR - 1 Day US SOFR as of January 31, 2024 was 5.32% |
1M US SOFR - 1 Month US SOFR as of January 31, 2024 was 5.33% |
30D US SOFR - 30 Day US SOFR as of January 31, 2024 was 5.33% |
INTEREST RATE SWAP CONTRACTS (CENTRALLY CLEARED) | ||||||||||||||||||||||||
Pay/Receive Floating Rate* | Clearing House | Floating Rate | Expiration Date | Notional Amount** | Currency | Fixed Rate | Fair Value | Unrealized Appreciation | ||||||||||||||||
Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 01/22/2034 | 13,256,000 | USD | 3.74% | $ | 153,777 | $ | 153,777 | ||||||||||||||
Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 04/07/2027 | 4,000,000 | USD | 2.46% | 156,869 | 156,869 | ||||||||||||||||
Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 04/07/2024 | 13,000,000 | USD | 2.45% | 72,155 | 72,155 | ||||||||||||||||
Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 05/25/2026 | 20,000,000 | USD | 0.91% | 1,454,861 | 1,454,861 | ||||||||||||||||
Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 08/05/2026 | 50,000,000 | USD | 0.73% | 4,078,147 | 4,078,147 | ||||||||||||||||
Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 07/07/2027 | 5,000,000 | USD | 2.54% | 193,047 | 193,047 | ||||||||||||||||
Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 08/05/2024 | 2,000,000 | USD | 3.04% | 21,586 | 21,586 | ||||||||||||||||
Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 08/05/2025 | 2,000,000 | USD | 2.82% | 44,369 | 44,369 | ||||||||||||||||
Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 04/11/2025 | 2,800,000 | USD | 2.51% | 66,470 | 66,470 | ||||||||||||||||
Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 03/21/2026 | 9,000,000 | USD | 1.99% | 374,748 | 374,748 | ||||||||||||||||
Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 04/19/2026 | 2,000,000 | USD | 2.50% | 63,327 | 63,327 | ||||||||||||||||
Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 07/08/2024 | 2,000,000 | USD | 2.87% | 20,426 | 20,426 | ||||||||||||||||
Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 08/05/2024 | 2,000,000 | USD | 3.10% | 20,955 | 20,955 | ||||||||||||||||
Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 08/05/2025 | 2,000,000 | USD | 2.87% | 42,955 | 42,955 | ||||||||||||||||
Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 04/14/2025 | 3,000,000 | USD | 2.43% | 74,281 | 74,281 | ||||||||||||||||
Receive | Goldman Sachs & Co. LLC | 1D US SOFR | 05/13/2026 | 3,837,000 | USD | 2.69% | 108,020 | 108,020 | ||||||||||||||||
$ | 6,945,993 | $ | 6,945,993 | |||||||||||||||||||||
Pay | Goldman Sachs & Co. LLC | 1D US SOFR | 04/24/2033 | 35,542,920 | USD | 3.78% | $ | (842,513 | ) | $ | (842,513 | ) | ||||||||||||
Pay | Goldman Sachs & Co. LLC | 1D US SOFR | 04/03/2033 | 34,745,115 | USD | 3.39% | (773,115 | ) | (773,115 | ) | ||||||||||||||
$ | (1,615,628 | ) | $ | (1,615,628 | ) | |||||||||||||||||||
$ | 5,330,365 | $ | 5,330,365 |
* | The swap contracts with the floating of 1D US SOFR pay and receive amounts annually. |
** | The notional amount of each interest rate swap contract is stated in the currency in which the derivative is denominated. |
Axonic Strategic Income Fund
CONSOLIDATED NOTES TO STATEMENT OF INVESTMENTS (Unaudited)
January 31, 2024
1. ORGANIZATION
Axonic Strategic Income Fund (the “Fund”), is a non-diversified series of the Axonic Funds (the ”Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”) as an open-end management investment company. The Trust was organized as a Delaware statutory trust on October 17, 2019 pursuant to a Declaration of Trust governed by the laws of the State of Delaware. Axonic Capital LLC (the “Adviser”) acts as the Fund’s investment adviser. The Adviser is a registered investment adviser and is responsible for making the investment decisions for the Fund’s portfolio. The Fund’s investment objective is to seek total return. The Fund’s portfolio will be deemed to be non-diversified under the 1940 Act, meaning it may invest a greater percentage of its assets in a single or limited number of issuers than a diversified fund. Under normal circumstances, the Fund will concentrate its investments (i.e., invest 25% or more of its total assets (measured at the time of purchase)) in Mortgage-Backed Securities (“MBS”) and other mortgage-related securities (such as CMOs), which the Fund treats as investments in a group of industries.
The Fund currently offers Class A and Class I shares. Class A shares commenced operations on July 17, 2020 and Class I commenced operations on December 31, 2019. Class A shares are offered subject to a maximum sales charge of 2.25%. Class I shares are offered at NAV and are not subject to sales charges. The Fund may offer additional classes of shares in the future.
On December 23, 2021, the Fund formed a wholly-owned subsidiary (the "Subsidiary"). To the extent permitted by the 1940 Act, the Fund may make investments through the Subsidiary, which is a pass-through entity.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the Fund in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The Fund is considered an investment company for financial reporting purposes under GAAP. The Fund follows the Investment Company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 “Financial Services – Investment Companies”. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
Consolidation of Subsidiary – The consolidated financial statements include the financial position and the results of operations of the Fund and its Subsidiary. As of January 31, 2024, the total value of investments held by the Subsidiary is $11,441,314, or approximately 0.54% of the Fund’s net assets.
All intercompany accounts and transactions have been eliminated in these consolidated financial statements.
Securities Valuation – The Fund values its investments at fair value. The Fund’s Board of Trustees (the “Board”) has approved pricing policies and procedures and fair valuation policies and procedures pursuant to which the Fund will value its investments. The Adviser has appointed an independent Administrator of the Fund, pursuant to the administration agreement, under which the Administrator independently calculates the daily Net Asset Value per share (“NAV”) of the Fund. In doing so, the Administrator, on a daily basis, in compliance with the policies and procedures described above, independently values the investment positions within the Fund’s portfolio. The Administrator at its discretion may notify the Fund or the Board of any valuation conflicts and/or non-compliance with the policies and procedures. The Administrator and the Adviser will include in quarterly written reports to the Board confirmation that the policies and procedures provide fair and accurate prices. Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the exchange on the business day the value is being determined. Investments in shares of funds, including money market funds that are not traded on an exchange are valued at the end of day NAV of such fund.
Structured credit and other similar debt securities including, but not limited to, asset-backed securities, collateralized debt obligations, collateralized loan obligations, collateralized mortgage obligations, mortgage-backed securities, commercial mortgage-backed security, and other securitized investments backed by certain debt or other receivables (collectively, “Structured Credit Securities”), are valued on the basis of valuations provided by independent pricing services and /or dealers in those instruments recommended by the Adviser and approved by the Board. Interest Rate Swaps are valued by an independent pricing service as approved by the Board. For centrally cleared swaps, the daily change in valuation and upfront payments, if any, are recorded as a receivable or payable for variation margin on the statement of assets and liabilities. In determining fair value, pricing services and dealers will generally use information with respect to transactions in the securities being valued, quotations from other dealers, market transactions in comparable securities, analyses and evaluations of various relationships between securities, and yield to maturity information. The Adviser will, based on its reasonable judgment, select the pricing service or dealer quotation that most accurately reflects the fair market value of the Structured Credit Security while taking into account the information utilized by the pricing service or dealer to formulate the quotation in addition to any other relevant factors.
When price quotations for certain securities are not readily available, or if the available quotations are not believed to be reflective of market value by the Adviser, those securities will be valued at “fair value” as determined in good faith by the Adviser’s Valuation Committee using the fair valuation policies and procedures adopted by, and under the supervision of, the Board. 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.
The fair valuation policies and procedures may be used to value a substantial portion of the assets of the Fund. The Fund may use the fair value of a security to calculate its NAV when, for example, (1) a portfolio security is not traded in a public market or the principal market in which the security trades is closed, (2) trading in a portfolio security is suspended and has not resumed prior to the normal market close, (3) a portfolio security is not traded in significant volume for a substantial period, or (4) the Adviser determines that the quotation or price for a portfolio security provided by an independent pricing service and broker-dealer is inaccurate.
The “fair value” of securities may be difficult to determine and thus judgment plays a greater role in the valuation process. 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 and 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; and (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.
Fair Value Measurements – A three-tier hierarchy has been established to classify fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability that are 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 that are developed based on the best information available. In accordance with the authoritative guidance on fair value measurements and disclosure under GAAP, the Fund discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value.
Various inputs are used in determining the value of the Fund’s investments as of the reporting period end. These inputs are categorized in the following hierarchy under applicable financial accounting standards:
Level 1 – | Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date; |
Level 2 – | Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly) for substantially the full term of the asset or liability at the measurement date; and |
Level 3 – | Significant unobservable prices or inputs (including the Fund’s own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date. |
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
An investment level within the fair value hierarchy is based on the lowest level input, individually or in the aggregate, that is significant to fair value measurement. To the extent practicable, the Adviser generally endeavors to maximize the use of observable inputs and minimize the use of unobservable inputs by requiring that the most observable inputs are to be used when available.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk or liquidity associated with investing in those securities. The following is a summary of the inputs used in valuing the Fund’s investments as of January 31, 2024:
Investments in Securities at Value(a) | Level 1 - Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 771,005 | $ | – | $ | – | $ | 771,005 | ||||||||
Preferred Stocks | 19,758,679 | – | – | 19,758,679 | ||||||||||||
Asset-Backed Securities | – | 430,618,651 | – | 430,618,651 | ||||||||||||
Bank Loans | – | 37,050,407 | – | 37,050,407 | ||||||||||||
Commercial Mortgage-Backed Securities | – | 548,670,598 | – | 548,670,598 | ||||||||||||
Convertible Corporate Bonds | – | 66,285,683 | – | 66,285,683 | ||||||||||||
Corporate Bonds | – | 14,495,494 | – | 14,495,494 | ||||||||||||
Residential Mortgage-Backed Securities | – | 573,111,960 | – | 573,111,960 | ||||||||||||
Short Term Investments | 438,119,452 | – | – | 438,119,452 | ||||||||||||
Total | $ | 458,649,136 | $ | 1,670,232,793 | $ | – | $ | 2,128,881,929 | ||||||||
Other Financial Instruments(b) | ||||||||||||||||
Assets: | ||||||||||||||||
Interest Rate Swap Contracts | $ | – | $ | 6,945,993 | $ | – | $ | 6,945,993 | ||||||||
Liabilities: | ||||||||||||||||
Interest Rate Swap Contracts | $ | – | $ | (1,615,628 | ) | $ | – | $ | (1,615,628 | ) | ||||||
Total | $ | – | $ | 5,330,365 | $ | – | $ | 5,330,365 | ||||||||
(a) | For detailed descriptions of industries, see the accompanying Consolidated Schedule of Investments. |
(b) | Other financial instruments are derivative instruments reflected in the Consolidated Schedule of Investments. The derivatives shown in this table are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract's value. |
Securities Transactions and Investment Income – Investment security transactions are accounted for on a trade date basis. Cost is determined and gains and losses are based upon the specific identification method for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Dividend income from REITs is recognized on the ex-dividend date. It is common for distributions from REITs to exceed taxable earnings and profits, resulting in the excess portion of such dividends being designated as a return of capital. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Fund’ investment in REITs are reported to the Fund after the end of the calendar year; accordingly, the Fund estimates these amounts for accounting purposes until the characterization of REIT distributions is reported to the Fund after the end of the calendar year. Estimates are based on the most recent REIT distribution information available.
3. SWAPS
The Fund may transact in credit default swaps, total return swaps, interest rate swaps, equity swaps, currency swaps and other types of swaps. Such transactions are subject to market risk, liquidity risk, risk of default by the other party to the transaction, known as “counterparty risk,” regulatory risk and risk of imperfect correlation between the value of such instruments and the underlying assets and may involve commissions or other costs.
Swap agreements are primarily entered into by institutional investors and the value of such agreements may be extremely volatile. Certain swap agreements are traded OTC between two parties, while other more standardized swaps must be transacted through a futures commission merchant and centrally cleared or exchange-traded. While central clearing and exchange-trading are intended to reduce counterparty credit and liquidity risk, they do not make a swap transaction risk-free. The current regulatory environment regarding swap agreements is subject to change. The Adviser will continue to monitor these developments, particularly to the extent regulatory changes affect the Fund’s ability to enter into or close out swap agreements.
The swap market has matured in recent years with a large number of banks and investment banking firms acting both as principals and as agents utilizing standardized swap documentation. As a result, the swap market has become relatively liquid; however there is no guarantee that the swap market will continue to provide liquidity and may be subject to liquidity risk, which exists when a particular swap is difficult to purchase or sell. The absence of liquidity may also make it more difficult for the Fund to ascertain a market value for such instruments. The inability to close derivative positions also could have an adverse impact on the Fund’s ability to effectively hedge its portfolio. If the Adviser is incorrect in its forecasts of market values, interest rates or currency exchange rates, the investment performance of the Fund would be less favorable than it would have been if these investment techniques were not used. In a total return swap, the Fund pays the counterparty a floating short-term interest rate and receives in exchange the total return of underlying loans or debt securities. The Fund bears the risk of default on the underlying loans or debt securities, based on the notional amount of the swap and, therefore, incurs a form of leverage. The Fund would typically have to post collateral to cover this potential obligation.
The Fund will “cover” its swap positions by segregating an amount of cash and/or liquid securities as required by the 1940 Act and applicable SEC interpretations and guidance from time to time.