WILSHIRE MUTUAL FUNDS, INC. | ||||
WILSHIRE INCOME OPPORTUNITIES FUND | September 30, 2022 (Unaudited) | |||
SCHEDULE OF INVESTMENTS |
Par Value | Value | |||||||
U.S. TREASURY OBLIGATIONS - 10.0% | ||||||||
U.S. Treasury Bonds - 3.7% | ||||||||
2.250%, due 05/15/41 | $ | 380,000 | $ | 287,019 | ||||
2.375%, due 02/15/42 | 920,000 | 704,662 | ||||||
3.250%, due 05/15/42 | 639,000 | 566,813 | ||||||
3.375%, due 08/15/42 | 546,300 | 494,914 | ||||||
3.000%, due 02/15/49 | 1,230,000 | 1,048,575 | ||||||
2.000%, due 02/15/50 | 495,000 | 339,771 | ||||||
1.250%, due 05/15/50 | 7,690,000 | 4,299,191 | ||||||
2.875%, due 05/15/52 | 801,400 | 671,798 | ||||||
3.000%, due 08/15/52 | 310,000 | 267,617 | ||||||
8,680,360 | ||||||||
U.S. Treasury Notes - 6.3% | ||||||||
0.125%, due 04/30/23 | 340,000 | 332,244 | ||||||
0.125%, due 07/31/23 | 190,000 | 183,647 | ||||||
2.250%, due 03/31/24 | 710,000 | 688,478 | ||||||
3.250%, due 08/31/24 | 842,000 | 826,739 | ||||||
2.875%, due 06/15/25 | 426,800 | 411,595 | ||||||
3.000%, due 07/15/25 | 193,500 | 187,030 | ||||||
3.500%, due 09/15/25 | 1,600,000 | 1,567,500 | ||||||
0.375%, due 11/30/25 | 610,000 | 540,708 | ||||||
0.500%, due 02/28/26 | 660,000 | 582,347 | ||||||
0.750%, due 08/31/26 | 240,000 | 210,525 | ||||||
2.000%, due 11/15/26 | 310,000 | 284,667 | ||||||
1.250%, due 11/30/26 | 33,400 | 29,721 | ||||||
1.500%, due 01/31/27 | 1,078,300 | 966,763 | ||||||
2.625%, due 05/31/27 | 230,000 | 215,913 | ||||||
2.750%, due 07/31/27 | 1,000,000 | 941,719 | ||||||
3.125%, due 08/31/27 | 205,000 | 196,672 | ||||||
0.375%, due 09/30/27 | 69,000 | 57,561 | ||||||
1.250%, due 03/31/28 | 400,000 | 344,875 | ||||||
1.500%, due 11/30/28 | 287,700 | 248,006 | ||||||
2.375%, due 03/31/29 | 485,000 | 439,228 | ||||||
2.625%, due 07/31/29 | 870,000 | 799,584 | ||||||
3.125%, due 08/31/29 (a) | 375,000 | 355,898 | ||||||
3.875%, due 09/30/29 | 79,000 | 78,667 | ||||||
1.125%, due 02/15/31 (a) | 47,000 | 38,070 | ||||||
1.875%, due 02/15/32 | 515,000 | 436,463 | ||||||
2.875%, due 05/15/32 | 3,960,000 | 3,663,000 | ||||||
2.750%, due 08/15/32 | 383,000 | 350,325 | ||||||
14,977,945 | ||||||||
Total U.S. Treasury Obligations (Cost $25,531,249) | 23,658,305 | |||||||
AGENCY MORTGAGE-BACKED OBLIGATIONS - 6.3% | ||||||||
Federal Home Loan Mortgage Corp. - 3.1% | ||||||||
Freddie Mac REMICS | ||||||||
Series 2989, 14.226%, due 08/15/34 (-7 x 1 Month U.S. LIBOR + 33.950%) (b) | 105,699 | 116,393 | ||||||
Series 4249, 2.727%, due 09/15/43 (-0.75 x 1 Month U.S. LIBOR + 4.650%) (b) | 531,152 | 383,586 | ||||||
Series 4355, 4.000%, due 05/15/44 | 4,484,972 | 4,253,228 | ||||||
Freddie Mac STACR REMIC Trust 2020-HQA1 | ||||||||
Series 2020-HQA1, 4.984%, due 01/25/50 (1 Month U.S. LIBOR + 1.900%) (b)(c) | 91,139 | 90,147 | ||||||
Freddie Mac STACR REMIC Trust 2021-HQA1 | ||||||||
Series M-2, 4.531%, due 08/25/33 (SOFR 30 Day Average + 2.250%) (b)(c) | 300,000 | 275,324 | ||||||
Freddie Mac STACR REMIC Trust 2021-HQA4 | ||||||||
Series M-2, 4.631%, due 12/26/41 (SOFR 30 Day Average + 2.350%) (b)(c) | 400,000 | 332,686 | ||||||
Series B-1, 6.031%, due 12/26/41 (SOFR 30 Day Average + 3.750%) (b)(c) | 700,000 | 594,454 | ||||||
Freddie Mac STACR REMIC Trust 2022-DNA2 | ||||||||
Series FLT, 4.681%, due 02/25/42 (SOFR 30 Day Average + 2.400%) (b)(c) | 200,000 | 187,677 | ||||||
Freddie Mac STACR REMIC Trust 2022-DNA3 | ||||||||
Series FLT, 4.281%, due 04/25/42 (SOFR 30 Day Average + 2.000%) (b)(c) | 168,272 | 167,012 | ||||||
Freddie Mac STACR REMIC Trust 2022-DNA4 | ||||||||
Series FLT, 4.481%, due 05/27/42 (SOFR 30 Day Average + 2.200%) (b)(c) | 191,507 | 190,304 | ||||||
Series FLT, 5.631%, due 05/27/42 (SOFR 30 Day Average + 3.350%) (b)(c) | 265,000 | 254,089 | ||||||
Freddie Mac STACR REMIC Trust 2022-DNA6 | ||||||||
Series FLT, 4.435%, due 09/25/42 (SOFR 30 Day Average + 2.150%) (b)(c) | 190,000 | 188,820 | ||||||
Freddie Mac STACR REMIC Trust 2022-DNA7 | ||||||||
Series 2022-HQA1, 5.781%, due 03/25/42 (SOFR 30 Day Average + 3.500%) (b)(c) | 85,000 | 81,334 | ||||||
4.876%, due 09/25/42 (SOFR 30 Day Average + 2.500%) (b)(c) | 150,000 | 150,047 | ||||||
Freddie Mac STACR REMIC Trust 2022-HQA3 | ||||||||
Series FLT, 5.831%, due 08/25/42 (SOFR 30 Day Average + 3.550%) (b)(c) | 125,000 | 116,476 | ||||||
7,381,577 | ||||||||
Federal Home Loan Mortgage Corp. Interest-Only Strips - 0.7% | ||||||||
FHLMC REMIC SERIES K-1515 | ||||||||
Series K-1515, 1.637%, due 02/25/35 (d) | 796,752 | 95,541 | ||||||
Freddie Mac Multiclass Certificates Series 2021-P011 | ||||||||
Series X1, 1.848%, due 09/25/45 (d) | 550,153 | 71,039 | ||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
Series K-L06, 1.467%, due 12/25/29 (d) | 956,000 | 69,571 | ||||||
Series K-109, 1.699%, due 04/25/30 (d) | 667,111 | 60,371 | ||||||
Series K-117, 1.338%, due 08/25/30 (d) | 1,289,938 | 95,137 | ||||||
Series K-G04, 0.939%, due 11/25/30 (d) | 1,897,229 | 98,272 | ||||||
Series K-122, 0.973%, due 11/25/30 (d) | 1,855,143 | 99,977 | ||||||
Series K-1517, 1.443%, due 07/25/35 (d) | 898,213 | 98,882 | ||||||
Series K-1518, 0.958%, due 10/25/35 (d) | 1,484,971 | 109,673 | ||||||
Series K-1521, 1.095%, due 08/25/36 (d) | 818,136 | 72,723 | ||||||
Freddie Mac REMICS | ||||||||
Series 2980, 3.882%, due 05/15/35 (6.700% - 1 Month U.S. LIBOR) (b) | 228,977 | 17,311 | ||||||
Series 3311, 3.592%, due 05/15/37 (6.410% - 1 Month U.S. LIBOR) (b) | 1,254,228 | 133,762 | ||||||
Series 3359, 2.902%, due 08/15/37 (5.720% - 1 Month U.S. LIBOR) (b) | 608,956 | 42,001 | ||||||
Series 4077, 3.182%, due 05/15/41 (6.000% - 1 Month U.S. LIBOR) (b) | 329,489 | 29,216 | ||||||
Series 3966, 3.082%, due 12/15/41 (5.900% - 1 Month U.S. LIBOR) (b) | 568,581 | 50,720 | ||||||
Series 4089, 3.182%, due 08/15/42 (6.000% - 1 Month U.S. LIBOR) (b) | 475,255 | 44,399 | ||||||
Series 4994, 2.516%, due 02/25/49 (5.600% - 1 Month U.S. LIBOR) (b) | 5,552,076 | 405,398 | ||||||
1,593,993 | ||||||||
Federal National Mortgage Association - 1.2% | ||||||||
Connecticut Avenue Securities Trust 2019-R02 | ||||||||
Series 2019-R02, 5.384%, due 08/25/31 (1 Month U.S. LIBOR + 2.300%) (b)(c) | 10,731 | 10,704 | ||||||
Connecticut Avenue Securities Trust 2019-R06 | ||||||||
Series 2019-R06, 5.184%, due 09/25/39 (1 Month U.S. LIBOR + 2.100%) (b)(c) | 2,609 | 2,605 | ||||||
Connecticut Avenue Securities Trust 2020-R02 | ||||||||
Series 2020-R02, 5.084%, due 01/25/40 (1 Month U.S. LIBOR + 2.000%) (b)(c) | 221,626 | 217,943 | ||||||
Connecticut Avenue Securities Trust 2022-R01 | ||||||||
Series FLT, 3.281%, due 12/26/41 (SOFR 30 Day Average + 1.000%) (b)(c) | 67,475 | 65,956 | ||||||
Connecticut Avenue Securities Trust 2022-R03 | ||||||||
Series FLT, 4.381%, due 03/25/42 (SOFR 30 Day Average + 2.100%) (b)(c) | 25,614 | 25,343 | ||||||
Connecticut Avenue Securities Trust 2022-R04 | ||||||||
Series FLT, 4.281%, due 03/25/42 (SOFR 30 Day Average + 2.000%) (b)(c) | 55,421 | 54,884 | ||||||
Connecticut Avenue Securities Trust 2022-R05 | ||||||||
Series FLT, 5.281%, due 04/25/42 (SOFR 30 Day Average + 3.000%) (b)(c) | 240,000 | 221,504 | ||||||
Connecticut Avenue Securities Trust 2022-R06 | ||||||||
5.031%, due 05/25/42 (SOFR 30 Day Average + 2.750%) (b)(c) | 91,205 | 91,125 | ||||||
Connecticut Avenue Securities Trust 2022-R08 | ||||||||
Series FLT, 5.905%, due 07/25/42 (SOFR 30 Day Average + 3.600%) (b)(c) | 300,000 | 282,047 | ||||||
Connecticut Avenue Securities Trust 2022-R09 | ||||||||
Series FLT, 4.781%, due 09/25/42 (SOFR 30 Day Average + 2.500%) (b)(c) | 175,000 | 174,885 | ||||||
Fannie Mae Connecticut Avenue Securities | ||||||||
Series 1M2, 7.084%, due 05/27/25 (1 Month U.S. LIBOR + 4.000%) (b) | 127,717 | 129,926 | ||||||
Series 2015-C04, 8.634%, due 04/25/28 (1 Month U.S. LIBOR + 5.550%) (b) | 79,676 | 82,359 | ||||||
Series 2017-C07, 5.584%, due 05/28/30 (1 Month U.S. LIBOR + 2.500%) (b) | 255,298 | 253,228 | ||||||
Series 2018-C06, 5.084%, due 03/25/31 (1 Month U.S. LIBOR + 2.000%) (b) | 262,361 | 261,285 | ||||||
Series 2018-C06, 5.184%, due 03/25/31 (1 Month U.S. LIBOR + 2.100%) (b) | 360,453 | 354,051 | ||||||
FNCL 2 10/20 | ||||||||
2.000%, due 03/25/50 | 99,000 | 80,107 | ||||||
FNMA TBA 30YR TBA 4% OCT | ||||||||
4.000%, due 10/15/41 | 85,000 | 78,784 | ||||||
FNMA TBA 30YR TBA 4.50% OCT | ||||||||
4.500%, due 10/15/41 | 453,000 | 430,492 | ||||||
2,817,228 | ||||||||
Federal National Mortgage Association Interest-Only Strips - 1.1% | ||||||||
Fannie Mae Interest Strip | ||||||||
3.500%, due 04/01/44 | 2,406,270 | 399,643 | ||||||
Fannie Mae REMICS | ||||||||
Series 2013-60, 3.000%, due 06/25/31 | 2,164,853 | 59,908 | ||||||
Series 2014-63, 3.500%, due 06/25/33 | 893,448 | 25,689 | ||||||
Series 2007-50, 3.366%, due 06/25/37 (6.450% - 1 Month U.S. LIBOR) (b) | 2,146,374 | 232,116 | ||||||
Series 2009-52, 5.000%, due 07/25/39 | 83,923 | 14,786 | ||||||
Series 2009-78, 3.656%, due 10/25/39 (6.740% - 1 Month U.S. LIBOR) (b) | 2,878,470 | 375,232 | ||||||
Series 2009-86, 5.500%, due 10/25/39 | 73,135 | 13,791 | ||||||
Series 2011-124, 3.416%, due 12/25/41 (6.500% - 1 Month U.S. LIBOR) (b) | 401,003 | 49,093 | ||||||
Series 2012-20, 3.366%, due 03/25/42 (6.450% - 1 Month U.S. LIBOR) (b) | 401,941 | 44,528 | ||||||
Series 2012-76, 2.916%, due 07/25/42 (6.000% - 1 Month U.S. LIBOR) (b) | 191,353 | 20,792 | ||||||
Series 2014-28, 2.966%, due 05/25/44 (6.050% - 1 Month U.S. LIBOR) (b) | 867,060 | 80,186 | ||||||
Series 2017-53, 4.000%, due 07/25/47 | 158,816 | 26,146 | ||||||
Series 2008-22, 3.076%, due 04/25/48 (6.160% - 1 Month U.S. LIBOR) (b) | 1,476,795 | 150,607 | ||||||
Series PS, 2.966%, due 07/25/49 (6.050% - 1 Month U.S. LIBOR) (b) | 4,920,140 | 551,612 | ||||||
Series QS, 2.866%, due 01/25/50 (5.950% - 1 Month U.S. LIBOR) (b) | 4,910,444 | 632,837 | ||||||
2,676,966 | ||||||||
Government National Mortgage Association Interest-Only Strips - 0.2% | ||||||||
Government National Mortgage Association | ||||||||
Series 2010-133, 3.131%, due 10/16/40 (6.070% - 1 Month U.S. LIBOR) (b) | 2,306,886 | 129,880 | ||||||
Series 2014-102, 2.636%, due 02/20/44 (5.650% - 1 Month U.S. LIBOR) (b) | 1,800,930 | 111,734 | ||||||
Series 2018-083, 5.000%, due 01/20/48 | 896,362 | 130,366 | ||||||
371,980 | ||||||||
Total Agency Mortgage-Backed Obligations (Cost $17,435,795) | 14,841,744 | |||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 13.3% | ||||||||
280 Park Avenue 2017-280P Mortgage Trust | ||||||||
Series 2017-280P, 5.532%, due 09/15/34 (1 Month U.S. LIBOR + 2.827%) (b)(c) | 168,000 | 160,616 | ||||||
ACE Securities Corp Mortgage Loan Trust Series 2007-D1 | ||||||||
Series 2007-D1, 6.930%, due 02/25/38 (c) | 367,356 | 297,730 | ||||||
Alen 2021-ACEN Mortgage Trust | ||||||||
Series 2021-ACEN, 5.918%, due 04/17/34 (1 Month U.S. LIBOR + 3.100%) (b)(c) | 135,000 | 124,875 | ||||||
Alternative Loan Trust 2006-HY11 | ||||||||
Series A-1, 3.324%, due 06/25/36 (1 Month U.S. LIBOR + 0.240%) (b) | 252,536 | 232,780 | ||||||
Alternative Loan Trust 2006-OA6 | ||||||||
Series FLT, 3.504%, due 07/25/46 (1 Month U.S. LIBOR + 0.420%) (b) | 1,163,763 | 940,750 | ||||||
Alternative Loan Trust 2007-16CB | ||||||||
Series 2007-16CB, 6.250%, due 08/25/37 | 507,903 | 294,539 | ||||||
Alternative Loan Trust 2007-OA4 | ||||||||
Series 2007-OA4, 3.424%, due 05/25/47 (1 Month U.S. LIBOR + 0.340%) (b) | 277,587 | 248,800 | ||||||
Angel Oak Mortgage Trust I LLC 2019-2 | ||||||||
Series 2019-2, 6.286%, due 03/25/49 (c)(d) | 1,300,000 | 1,272,382 | ||||||
Arroyo Mortgage Trust 2019-1 | ||||||||
Series 2019-1, 3.805%, due 01/25/49 (c)(d) | 57,963 | 53,967 | ||||||
Arroyo Mortgage Trust 2019-2 | ||||||||
Series 2019-2, 3.800%, due 04/25/49 (c)(d) | 112,574 | 102,875 | ||||||
BBCMS 2019-BWAY Mortgage Trust | ||||||||
Series 2019-BWAY, 5.668%, due 11/15/34 (1 Month U.S. LIBOR + 2.850%) (b)(c) | 100,000 | 93,565 | ||||||
BCRR 2016-FRR3 Trust | ||||||||
Series TRUST, 4.294%, due 05/27/26 (1 Month U.S. LIBOR + 18.348%) (b)(c) | 797,720 | 705,391 | ||||||
Bear Stearns ARM Trust 2004-10 | ||||||||
Series 2004-10, 3.271%, due 01/25/35 (d) | 178,101 | 164,335 | ||||||
Benchmark 2018-B2 Mortgage Trust | ||||||||
Series 2018-B2, 4.381%, due 02/17/51 (d) | 150,000 | 129,058 | ||||||
Benchmark 2020-IG3 Mortgage Trust | ||||||||
Series 2020-IG3, 3.390%, due 09/17/48 (c)(d) | 1,000,000 | 814,854 | ||||||
BF 2019-NYT Mortgage Trust | ||||||||
Series 2019-NYT, 5.318%, due 12/17/35 (1 Month U.S. LIBOR + 2.500%) (b)(c) | 325,000 | 298,299 | ||||||
BOCA Commercial Mortgage Trust 2022-BOCA | ||||||||
Series 2022-BOCA, 5.164%, due 05/15/35 (1 Month SOFR Rate + 2.319%) (b)(c) | 100,000 | 98,361 | ||||||
BPR Trust 2021-TY | ||||||||
Series 2021-TY, 5.168%, due 09/15/38 (1 Month U.S. LIBOR + 2.350%) (b)(c) | 167,000 | 159,814 | ||||||
BX Commercial Mortgage Trust 2019-XL | ||||||||
Series 2019-XL, 3.738%, due 10/15/36 (1 Month U.S. LIBOR + 0.920%) (b)(c) | 381,490 | 375,773 | ||||||
BX Commercial Mortgage Trust 2021-CIP | ||||||||
Series 2021-CIP, 3.739%, due 12/15/38 (1 Month U.S. LIBOR + 0.921%) (b)(c) | 110,000 | 105,887 | ||||||
BX Commercial Mortgage Trust 2021-SOAR | ||||||||
Series TR, 5.168%, due 06/15/38 (1 Month U.S. LIBOR + 2.350%) (b)(c) | 992,482 | 921,335 | ||||||
BX Commercial Mortgage Trust 2021-VOLT | ||||||||
Series 2021-VOLT, 3.518%, due 09/15/36 (1 Month U.S. LIBOR + 0.700%) (b)(c) | 115,000 | 109,786 | ||||||
BX Commercial Mortgage Trust 2021-VOLT | ||||||||
Series 2021-VOLT, 5.218%, due 09/15/36 (1 Month U.S. LIBOR + 2.400%) (b)(c) | 167,000 | 155,229 | ||||||
BX Trust 2018-GW | ||||||||
Series 2018-GW, 5.738%, due 05/15/37 (1 Month U.S. LIBOR + 2.920%) (b)(c) | 83,000 | 77,999 | ||||||
BX Trust 2019-CALM | ||||||||
Series 2019-CALM, 4.818%, due 11/15/32 (1 Month U.S. LIBOR + 2.000%) (b)(c) | 136,500 | 128,189 | ||||||
BX TRUST 2021-BXMF | ||||||||
Series 2021-BXMF, 6.168%, due 10/15/38 (1 Month U.S. LIBOR + 3.350%) (b)(c) | 162,000 | 150,485 | ||||||
BX Trust 2022-GPA | ||||||||
Series 2022-GPA, 4.665%, due 08/15/39 (1 Month SOFR Rate + 2.165%) (b)(c) | 180,000 | 179,327 | ||||||
BX Trust 2022-GPA | ||||||||
Series 2022-GPA, 5.164%, due 08/15/39 (1 Month SOFR Rate + 2.664%) (b)(c) | 110,000 | 108,214 | ||||||
BX Trust 2022-GPA | ||||||||
Series 2022-GPA, 6.561%, due 08/15/39 (1 Month SOFR Rate + 4.061%) (b)(c) | 75,000 | 74,767 | ||||||
CAMB COML MTG TR 2019-LIFE | ||||||||
Series 2019-LIFE, 3.888%, due 12/15/37 (1 Month U.S. LIBOR + 1.070%) (b)(c) | 100,000 | 98,407 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY5 | ||||||||
Series 2007-HY5, 4.029%, due 09/25/37 (d) | 740,494 | 622,376 | ||||||
CIM Trust 2018-INV1 | ||||||||
Series 2018-INV1, 4.000%, due 08/25/48 (c)(d) | 247,283 | 229,616 | ||||||
CIM Trust 2019-INV2 | ||||||||
Series 2019-INV2, 4.000%, due 05/25/49 (c)(d) | 18,790 | 17,717 | ||||||
CIM Trust 2019-J1 | ||||||||
Series 2019-J1, 3.948%, due 08/25/49 (c)(d) | 179,076 | 159,067 | ||||||
Citigroup Commercial Mortgage Trust 2013-GC17 | ||||||||
Series D, 5.252%, due 11/13/46 (c)(d) | 100,000 | 90,699 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC27 | ||||||||
Series C, 4.565%, due 02/12/48 (d) | 164,000 | 151,830 | ||||||
Citigroup Commercial Mortgage Trust 2016-P4 | ||||||||
Series 2016-P4, 4.099%, due 07/12/49 (c)(d) | 500,000 | 404,497 | ||||||
Citigroup Commercial Mortgage Trust 2018-C6 | ||||||||
Series D, 5.233%, due 11/10/51 (c)(d) | 380,000 | 313,709 | ||||||
Citigroup Commercial Mortgage Trust 2019-SMRT | ||||||||
Series E, 4.903%, due 01/11/36 (c)(d) | 116,000 | 109,334 | ||||||
Citigroup Mortgage Loan Trust 2015-RP2 | ||||||||
Series B-4, 4.250%, due 01/25/53 (c) | 570,543 | 535,357 | ||||||
Citigroup Mortgage Loan Trust 2019-E | ||||||||
Series 2019-E, 3.228%, due 11/25/70 (c) | 463,957 | 463,400 | ||||||
COLT 2022-5 Mortgage Loan Trust | ||||||||
Series 2022-5, 4.550%, due 04/25/67 (c)(d) | 93,593 | 89,288 | ||||||
Credit Suisse Mortgage Capital Certificates 2019-ICE4 | ||||||||
Series 2019-ICE4, 3.798%, due 05/15/36 (1 Month U.S. LIBOR + 0.980%) (b)(c) | 240,000 | 236,404 | ||||||
CSAIL 2020-C19 Commercial Mortgage Trust | ||||||||
Series 2020-C19, 2.500%, due 03/17/53 (c) | 400,000 | 254,305 | ||||||
CSMC 2020-NET | ||||||||
Series 2020-NET, 3.828%, due 08/17/37 (c)(d) | 118,000 | 103,829 | ||||||
CSMC Series 2019-NQM1 | ||||||||
Series 2019-NQM1, 2.656%, due 10/25/59 (c) | 18,541 | 17,790 | ||||||
DBGS 2018-5BP Mortgage Trust | ||||||||
Series 2018-5BP, 5.418%, due 06/15/33 (1 Month U.S. LIBOR + 2.600%) (b)(c) | 140,000 | 126,377 | ||||||
DBUBS 2011-LC2 Mortgage Trust | ||||||||
Series 2011-LC2, 4.000%, due 07/12/44 (1 Month U.S. LIBOR + 3.650%) (b)(c) | 6,896 | 6,743 | ||||||
Deephaven Residential Mortgage Trust 2022-2 | ||||||||
Series 2022-2, 4.300%, due 03/25/67 (SOFR 30 Day Average + 1.700%) (c)(d) | 555,766 | 527,634 | ||||||
First Republic Mortgage Trust 2020-1 | ||||||||
Series B-1, 2.881%, due 04/25/50 (c)(d) | 695,638 | 554,869 | ||||||
Flagstar Mortgage Trust 2018-6RR | ||||||||
Series 2018-6RR, 4.916%, due 10/25/48 (c)(d) | 458,580 | 429,796 | ||||||
Fontainebleau Miami Beach Trust 2019-FBLU | ||||||||
Series F, 4.095%, due 12/12/36 (c)(d) | 120,000 | 107,285 | ||||||
Fontainebleau Miami Beach Trust 2019-FBLU | ||||||||
Series G, 4.095%, due 12/12/36 (c)(d) | 112,000 | 99,004 | ||||||
FREMF 2018-KF49 Mortgage Trust | ||||||||
Series 2018-KF49, 4.453%, due 06/25/25 (1 Month U.S. LIBOR + 1.900%) (b)(c) | 38,230 | 37,814 | ||||||
FREMF 2019-KF71 Mortgage Trust | ||||||||
Series 2019-KF71, 8.553%, due 10/25/29 (1 Month U.S. LIBOR + 6.000%) (b)(c) | 166,107 | 160,801 | ||||||
FREMF 2019-KG01 Mortgage Trust | ||||||||
Series 2019-KG01, 0.000%, due 05/25/29 (c) | 400,000 | 228,224 | ||||||
GCAT 2020-3 LLC | ||||||||
Series LLC, 2.981%, due 09/25/25 (c) | 798,907 | 781,383 | ||||||
GCAT 2022-NQM4 Trust | ||||||||
Series 2022-NQM4, 5.269%, due 08/25/67 (c) | 99,584 | 97,396 | ||||||
GS Mortgage Securities Corp Trust 2018-RIVR | ||||||||
Series C, 4.068%, due 07/16/35 (1 Month U.S. LIBOR + 1.250%) (b)(c) | 122,000 | 114,116 | ||||||
GS Mortgage Securities Corp Trust 2018-RIVR | ||||||||
Series F, 4.918%, due 07/16/35 (1 Month U.S. LIBOR + 2.100%) (b)(c) | 1,000,000 | 798,306 | ||||||
GS Mortgage-Backed Securities Corp Trust 2020-PJ6 | ||||||||
Series A-4, 2.500%, due 05/25/51 (c)(d) | 345,662 | 277,269 | ||||||
GS Mortgage-Backed Securities Trust 2022-PJ1 | ||||||||
Series 2022-PJ1, 2.500%, due 05/25/52 (c)(d) | 283,226 | 219,456 | ||||||
GSAA Home Equity Trust 2005-6 | ||||||||
Series 2005-6, 3.729%, due 06/25/35 (1 Month U.S. LIBOR + 0.645%) (b) | 506,249 | 509,430 | ||||||
GSAA Home Equity Trust 2006-4 | ||||||||
Series 2006-4, 2.986%, due 03/25/36 (d) | 415,468 | 266,234 | ||||||
GSAA Home Equity Trust 2007-7 | ||||||||
Series 2007-7, 3.624%, due 07/25/37 (1 Month U.S. LIBOR + 0.540%) (b) | 146,975 | 139,281 | ||||||
GSCG Trust 2019-600C | ||||||||
Series 2019-600C, 4.118%, due 09/06/34 (c)(d) | 183,000 | 162,141 | ||||||
Home RE 2021-1 Ltd. | ||||||||
Series LTD, 5.384%, due 07/25/33 (1 Month U.S. LIBOR + 2.300%) (b)(c) | 500,000 | 473,474 | ||||||
Homeward Opportunities Fund Trust 2020-BPL1 | ||||||||
Series A2, 5.438%, due 08/25/25 (c) | 312,700 | 312,258 | ||||||
Hundred Acre Wood Trust 2021-INV1 | ||||||||
Series A27, 2.500%, due 07/25/51 (c)(d) | 341,966 | 265,825 | ||||||
INTOWN 2022-STAY Mortgage Trust | ||||||||
Series 2022-STAY, 6.131%, due 08/17/37 (1 Month SOFR Rate + 3.286%) (b)(c) | 140,000 | 137,570 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2018-AON | ||||||||
Series D, 4.767%, due 07/08/31 (c)(d) | 382,000 | 330,969 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2019-MFP | ||||||||
Series E, 4.978%, due 07/15/36 (1 Month U.S. LIBOR + 2.160%) (b)(c) | 125,000 | 118,155 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT | ||||||||
Series FLT, 5.542%, due 07/08/33 (c)(d) | 1,400,000 | 1,267,000 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN | ||||||||
Series 3.97200, 3.972%, due 01/16/37 (c) | 100,000 | 84,500 | ||||||
JP Morgan Mortgage Trust 2018-8 | ||||||||
Series 2018-8, 4.065%, due 01/25/49 (c)(d) | 458,040 | 412,640 | ||||||
JP Morgan Mortgage Trust 2019-8 | ||||||||
Series 2019-8, 3.150%, due 03/25/50 (c)(d) | 188,706 | 157,431 | ||||||
JP Morgan Mortgage Trust 2019-8 | ||||||||
Series 2019-8, 3.500%, due 03/25/50 (c)(d) | 9,708 | 8,927 | ||||||
JP Morgan Mortgage Trust 2020-4 | ||||||||
Series 2020-4, 3.000%, due 11/25/50 (c)(d) | 209,560 | 182,115 | ||||||
JP Morgan Mortgage Trust 2022-5 | ||||||||
Series 2022-5, 2.800%, due 09/25/52 (c)(d) | 483,715 | 388,333 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C27 | ||||||||
Series D, 3.944%, due 02/18/48 (c)(d) | 124,000 | 103,886 | ||||||
Legacy Mortgage Asset Trust 2020-GS3 | ||||||||
Series A2, 4.000%, due 05/25/60 (c) | 900,000 | 868,440 | ||||||
Life 2022-BMR Mortgage Trust | ||||||||
Series A-1, 4.141%, due 05/17/38 (1 Month SOFR Rate + 1.295%) (b)(c) | 270,000 | 269,825 | ||||||
Life 2022-BMR Mortgage Trust | ||||||||
Series B, 4.639%, due 05/17/38 (1 Month SOFR Rate + 1.794%) (b)(c) | 250,000 | 241,487 | ||||||
Life 2022-BMR Mortgage Trust | ||||||||
Series D, 5.387%, due 05/17/38 (1 Month SOFR Rate + 2.542%) (b)(c) | 205,000 | 194,112 | ||||||
LSTAR Commercial Mortgage Trust 2016-4 | ||||||||
Series 2016-4, 4.755%, due 03/12/49 (c)(d) | 274,000 | 251,781 | ||||||
Med Trust 2021-MDLN | ||||||||
Series 2021-MDLN, 8.068%, due 11/15/38 (1 Month U.S. LIBOR + 5.250%) (b)(c) | 161,000 | 148,489 | ||||||
MFA 2020-NQM3 Trust | ||||||||
1.632%, due 01/26/65 (c)(d) | 138,407 | 126,895 | ||||||
MHC Commercial Mortgage Trust 2021-MHC | ||||||||
Series 2021-MHC, 5.419%, due 04/15/38 (1 Month U.S. LIBOR + 2.601%) (b)(c) | 300,000 | 276,395 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 | ||||||||
Series 2017-C34, 4.315%, due 11/18/52 (d) | 170,000 | 147,516 | ||||||
Morgan Stanley Capital I Trust 2018-SUN | ||||||||
Series 2018-SUN, 5.368%, due 07/16/35 (1 Month U.S. LIBOR + 2.550%) (b)(c) | 60,000 | 56,867 | ||||||
Morgan Stanley Capital I Trust 2019-NUGS | ||||||||
Series E, 5.062%, due 12/15/36 (1 Month U.S. LIBOR + 2.244%) (b)(c) | 147,000 | 141,797 | ||||||
Morgan Stanley Capital I Trust 2019-NUGS | ||||||||
Series F, 5.662%, due 12/15/36 (1 Month U.S. LIBOR + 2.844%) (b)(c) | 125,000 | 119,573 | ||||||
Morgan Stanley Capital I Trust 2019-PLND | ||||||||
Series E, 4.968%, due 05/15/36 (1 Month U.S. LIBOR + 2.150%) (b)(c) | 189,000 | 167,468 | ||||||
MSCG Trust 2018-SELF | ||||||||
Series 2018-SELF, 5.868%, due 10/15/37 (1 Month U.S. LIBOR + 3.050%) (b)(c) | 150,000 | 139,085 | ||||||
NewRez Warehouse Securitization Trust 2021-1 | ||||||||
Series 21-1, 8.334%, due 05/25/55 (1 Month U.S. LIBOR + 5.250%) (b)(c) | 1,000,000 | 994,982 | ||||||
One New York Plaza Trust 2020-1NYP | ||||||||
Series C, 5.018%, due 01/15/26 (1 Month U.S. LIBOR + 2.200%) (b)(c) | 160,000 | 151,631 | ||||||
PR Mortgage Loan Trust 2014-1 | ||||||||
Series 2014-1, 5.874%, due 10/25/49 (c)(d)(e) | 1,202,960 | 1,078,847 | ||||||
Provident Funding Mortgage Trust 2021-J1 | ||||||||
Series FLT, 2.000%, due 10/25/51 (c)(d) | 200,000 | 119,048 | ||||||
RATE Mortgage Trust 2021-HB1 | ||||||||
Series FLT, 2.500%, due 12/25/51 (c)(d) | 478,170 | 370,507 | ||||||
RCKT Mortgage Trust 2021-1 | ||||||||
Series 2021-1, 2.721%, due 03/25/51 (c)(d) | 479,799 | 344,582 | ||||||
Renaissance Home Equity Loan Trust 2004-4 | ||||||||
Series 2004-4, 5.818%, due 02/25/35 | 325,176 | 278,013 | ||||||
RLGH Trust 2021-TROT | ||||||||
Series 2021-TROT, 4.532%, due 04/15/36 (1 Month U.S. LIBOR + 1.714%) (b)(c) | 175,000 | 172,335 | ||||||
Sequoia Mortgage Trust 2021-3 | ||||||||
Series B-3, 2.653%, due 05/25/51 (c)(d) | 483,368 | 314,545 | ||||||
Soho Trust 2021-SOHO | ||||||||
Series 2021-SOHO, 2.786%, due 08/12/38 (c)(d) | 168,000 | 130,976 | ||||||
SREIT Trust 2021-IND | ||||||||
Series 2021-IND, 5.353%, due 10/15/38 (1 Month U.S. LIBOR + 2.535%) (b)(c) | 164,000 | 148,422 | ||||||
TTAN 2021-MHC | ||||||||
Series 2021-MHC, 5.718%, due 03/15/38 (1 Month U.S. LIBOR + 2.900%) (b)(c) | 199,365 | 185,114 | ||||||
UBS Commercial Mortgage Trust 2017-C4 | ||||||||
Series 2017-C4, 4.678%, due 10/17/50 (d) | 250,000 | 214,481 | ||||||
Velocity Commercial Capital Loan Trust 2020-2 | ||||||||
5.000%, due 05/25/50 (c)(d) | 500,000 | 459,345 | ||||||
Verus Securitization Trust 2022-4 | ||||||||
Series A-2, 4.740%, due 04/25/67 (c)(d) | 182,040 | 174,298 | ||||||
Verus Securitization Trust 2022-INV1 | ||||||||
Series 2022-INV1, 5.041%, due 08/25/67 (c) | 98,675 | 96,112 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2007-HY3 Trust | ||||||||
Series 2007-HY3, 2.921%, due 03/25/37 (d) | 381,923 | 318,495 | ||||||
Wells Fargo Commercial Mortgage Trust 2021-C59 | ||||||||
Series E, 2.500%, due 04/17/54 (c) | 400,000 | 235,120 | ||||||
WFRBS Commercial Mortgage Trust 2014-C21 | ||||||||
Series 2014-C21, 3.497%, due 08/16/47 (c) | 300,000 | 256,477 | ||||||
Total Non-Agency Mortgage-Backed Obligations (Cost $34,992,336) | 31,557,309 | |||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATION INTEREST-ONLY STRIPS - 1.8% | ||||||||
BANK 2017-BNK8 | ||||||||
Series 2017-BNK8, 1.400%, due 11/17/50 (c)(d) | 7,050,000 | �� | 402,518 | |||||
BANK 2018-BNK11 | ||||||||
Series 2018-BNK11, 0.606%, due 03/17/61 (d) | 11,364,661 | 239,269 | ||||||
BANK 2019-BNK21 | ||||||||
Series 2019-BNK21, 0.966%, due 10/18/52 (d) | 4,097,516 | 177,634 | ||||||
BANK 2020-BNK30 | ||||||||
Series 2020-BNK30, 1.424%, due 12/17/53 (d) | 1,274,696 | 91,132 | ||||||
Barclays Commercial Mortgage Trust 2019-C3 | ||||||||
Series 2019-C3, 1.494%, due 05/17/52 (d) | 1,450,755 | 92,496 | ||||||
BBCMS Mortgage Trust 2021-C11 | ||||||||
Series 2021-C11, 1.640%, due 09/17/54 (c)(d) | 1,255,000 | 131,831 | ||||||
Benchmark 2018-B4 Mortgage Trust | ||||||||
Series 2018-B4, 1.750%, due 07/17/51 (c)(d) | 7,000,000 | 561,931 | ||||||
Benchmark 2019-B10 Mortgage Trust | ||||||||
Series 2019-B10, 1.061%, due 03/17/62 (c)(d) | 2,820,000 | 137,738 | ||||||
Benchmark 2020-B17 Mortgage Trust | ||||||||
Series 2020-B17, 1.539%, due 03/17/53 (d) | 2,532,864 | 156,878 | ||||||
Benchmark 2020-B18 Mortgage Trust | ||||||||
Series 2020-B18, 1.915%, due 07/17/53 (d) | 1,554,518 | 125,372 | ||||||
Benchmark 2021-B25 Mortgage Trust | ||||||||
Series 2021-B25, 1.223%, due 04/17/54 (d) | 2,228,120 | 141,639 | ||||||
CD 2017-CD4 Mortgage Trust | ||||||||
Series 2017-CD4, 1.383%, due 05/12/50 (d) | 1,398,622 | 59,044 | ||||||
CFCRE Commercial Mortgage Trust 2016-C4 | ||||||||
Series 2016-C4, 1.770%, due 05/10/58 (d) | 655,748 | 28,004 | ||||||
CFCRE Commercial Mortgage Trust 2017-C8 | ||||||||
Series 2017-C8, 1.646%, due 06/17/50 (d) | 1,109,676 | 56,581 | ||||||
Citigroup Commercial Mortgage Trust 2016-C1 | ||||||||
Series XA, 1.989%, due 05/10/49 (d) | 744,109 | 38,416 | ||||||
Citigroup Commercial Mortgage Trust 2017-P8 | ||||||||
Series X-A, 1.019%, due 09/16/50 (d) | 981,123 | 32,463 | ||||||
Citigroup Commercial Mortgage Trust 2019-C7 | ||||||||
Series X-A, 0.996%, due 12/16/72 (d) | 6,229,471 | 280,468 | ||||||
COMM 2013-CCRE12 Mortgage Trust | ||||||||
Series 2013-CCRE12, 1.240%, due 10/15/46 (d) | 2,933,340 | 22,107 | ||||||
COMM 2015-LC21 Mortgage Trust | ||||||||
Series 2015-LC21, 0.807%, due 07/10/48 (d) | 1,357,833 | 19,219 | ||||||
CSAIL 2016-C6 Commercial Mortgage Trust | ||||||||
Series 2016-C6, 2.028%, due 01/15/49 (d) | 616,362 | 30,821 | ||||||
CSAIL 2017-CX10 Commercial Mortgage Trust | ||||||||
Series 2017-CX10, 0.889%, due 11/17/50 (d) | 4,752,931 | 127,497 | ||||||
CSAIL 2018-CX12 Commercial Mortgage Trust | ||||||||
Series 2018-CX12, 0.725%, due 08/17/51 (d) | 4,463,112 | 111,291 | ||||||
FREMF 2019-KG01 Mortgage Trust | ||||||||
Series 2019-KG01, 0.100%, due 04/25/29 (c) | 5,096,531 | 18,394 | ||||||
FREMF 2019-KG01 Mortgage Trust | ||||||||
Series 2019-KG01, 0.100%, due 05/25/29 (c) | 570,000 | 2,594 | ||||||
GS Mortgage Securities Corp II | ||||||||
Series 2013-GC10, 1.595%, due 02/10/46 (d) | 1,459,741 | 106 | ||||||
GS Mortgage Securities Trust 2011-GC3 | ||||||||
Series 2011-GC3, 0.000%, due 03/10/44 (c)(d)(e) | 514,681 | 1,562 | ||||||
GS Mortgage Securities Trust 2019-GC42 | ||||||||
Series X-A, 0.931%, due 09/12/52 (d) | 2,312,990 | 92,611 | ||||||
GS Mortgage Securities Trust 2020-GC47 | ||||||||
Series X-A, 1.245%, due 05/14/53 (d) | 1,463,631 | 92,767 | ||||||
GS Mortgage Securities Trust 2020-GSA2 | ||||||||
Series X-A, 1.843%, due 12/12/53 (c)(d) | 1,205,573 | 114,013 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C19 | ||||||||
Series X-A, 0.785%, due 04/17/47 (d) | 13,427,230 | 79,155 | ||||||
JPMDB Commercial Mortgage Securities Trust 2016-C2 | ||||||||
Series X-A, 1.646%, due 06/17/49 (d) | 910,406 | 35,741 | ||||||
LSTAR Commercial Mortgage Trust 2016-4 | ||||||||
Series 2016-4, 1.853%, due 03/12/49 (c)(d) | 888,110 | 25,442 | ||||||
LSTAR Commercial Mortgage Trust 2017-5 | ||||||||
Series 2017-5, 0.945%, due 03/11/50 (c)(d) | 1,926,126 | 42,248 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 | ||||||||
Series 2013-C13, 1.098%, due 11/19/46 (d) | 4,676,976 | 29,072 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19 | ||||||||
Series 2014-C19, 1.102%, due 12/17/47 (d) | 2,108,100 | 31,444 | ||||||
Morgan Stanley Capital I Trust 2016-UBS12 | ||||||||
Series X-A, 0.791%, due 12/17/49 (d) | 2,687,700 | 58,010 | ||||||
PMTT4 | ||||||||
Series 2017-PM1, 0.000%, due 10/26/48 (c) | 166,689,525 | 210,996 | ||||||
SG Commercial Mortgage Securities Trust 2016-C5 | ||||||||
Series 2016-C5, 2.040%, due 10/13/48 (d) | 971,069 | 45,604 | ||||||
UBS Commercial Mortgage Trust 2018-C9 | ||||||||
Series 2018-C9, 1.094%, due 03/17/51 (d) | 2,331,264 | 91,459 | ||||||
Wells Fargo Commercial Mortgage Trust 2018-C45 | ||||||||
Series X-A, 0.949%, due 06/16/51 (d) | 5,079,573 | 180,352 | ||||||
Total Non-Agency Mortgage-Backed Obligations Interest-Only Strips (Cost $6,573,983) | 4,215,919 | |||||||
ASSET-BACKED SECURITIES - 5.8% | ||||||||
Air Canada 2017-1 Class B Pass Through Trust | ||||||||
Series 2017-1, 3.700%, due 07/15/31 (c) | 608,466 | 543,055 | ||||||
AMSR 2021-SFR1 Trust | ||||||||
Series 2021-SFR1, 2.900%, due 06/19/40 (c) | 1,200,000 | 927,596 | ||||||
AMSR 2021-SFR3 Trust | ||||||||
Series 2021-SFR3, 4.896%, due 10/09/26 (c) | 550,000 | 468,761 | ||||||
Applebee's Funding LLC | ||||||||
Series 2019-1, 4.194%, due 06/05/49 (c) | 148,500 | 140,995 | ||||||
Series 2019-1, 4.723%, due 06/05/49 (c) | 99,000 | 92,082 | ||||||
AQUA FIN TR 2021-A | ||||||||
Series 2021-A, 1.540%, due 07/17/46 (c) | 104,040 | 94,485 | ||||||
Bojangles Issuer LLC | ||||||||
Series LLC, 3.832%, due 10/20/50 (c) | 99,500 | 89,696 | ||||||
CARDS II Trust | ||||||||
Series 2021-1, 0.931%, due 04/15/27 (c) | 150,000 | 140,638 | ||||||
Carmax Auto Owner Trust 2019-3 | ||||||||
Series 2019-3, 2.850%, due 01/15/26 | 100,000 | 97,965 | ||||||
Castlelake Aircraft Structured Trust 2019-1 | ||||||||
Series 2091-1, 6.899%, due 04/15/39 (c) | 971,875 | 484,969 | ||||||
Commonbond Student Loan Trust 2018-BGS | ||||||||
Series C, 4.120%, due 09/25/45 (c) | 8,470 | 7,527 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
Series 2006-6, 3.424%, due 09/25/36 (1 Month U.S. LIBOR + 0.340%) (b) | 146,179 | 146,342 | ||||||
DB Master Finance LLC | ||||||||
Series 2019-1, 4.021%, due 05/20/49 (c) | 87,300 | 81,334 | ||||||
Domino's Pizza Master Issuer LLC | ||||||||
Series 3.15100, 3.151%, due 04/25/51 (c) | 98,750 | 78,338 | ||||||
First Franklin Mortgage Loan Trust 2004-FF10 | ||||||||
Series M-1, 4.359%, due 07/25/34 (1 Month U.S. LIBOR + 1.275%) (b) | 174,861 | 182,582 | ||||||
FirstKey Homes 2020-SFR2 Trust | ||||||||
Series TR, 1.266%, due 10/19/37 (c) | 99,193 | 89,516 | ||||||
GM Financial Automobile Leasing Trust 2022-3 | ||||||||
Series C, 5.130%, due 08/20/26 | 250,000 | 246,562 | ||||||
Home Partners of America 2019-1 Trust | ||||||||
Series 2019-1, 3.157%, due 09/19/39 (c) | 81,289 | 73,564 | ||||||
Jack in the Box Funding LLC | ||||||||
Series 4.47600, 4.476%, due 08/25/49 (c) | 11,820 | 10,724 | ||||||
Marlette Funding Trust 2022-3 | ||||||||
Series 2022-3, 5.180%, due 11/15/32 (c) | 150,000 | 149,539 | ||||||
Mill City Solar Loan 2019-2 Ltd. | ||||||||
Series 2019-2, 3.690%, due 07/20/43 (c) | 80,409 | 75,638 | ||||||
Morgan Stanley ABS Capital I Inc Trust 2006-NC1 | ||||||||
Series 2006-NC1, 3.654%, due 12/25/35 (1 Month U.S. LIBOR + 0.570%) (b) | 349,333 | 354,671 | ||||||
Mosaic Solar Loan Trust 2018-1 | ||||||||
Series 2018-1, 4.010%, due 06/22/43 (c) | 185,815 | 176,436 | ||||||
Mosaic Solar Loan Trust 2018-2-GS | ||||||||
Series 2018-2-GS, 4.200%, due 02/22/44 (c) | 196,337 | 181,521 | ||||||
Series 2018-2-GS, 4.740%, due 02/22/44 (c) | 244,797 | 235,837 | ||||||
MVW Owner Trust 2018-1 | ||||||||
Series 2018-1, 3.450%, due 01/21/36 (c) | 25,117 | 24,596 | ||||||
Navient Private Education Refi Loan Trust 2020-H | ||||||||
Series A, 1.310%, due 01/15/69 (c) | 102,950 | 92,425 | ||||||
Navient Private Education Refi Loan Trust 2021-F | ||||||||
Series A, 1.110%, due 02/18/70 (c) | 516,087 | 433,677 | ||||||
Neighborly Issuer LLC | ||||||||
Series A-2, 3.584%, due 04/30/51 (c) | 493,750 | 412,471 | ||||||
Progress Residential 2020-SFR3 Trust | ||||||||
Series TR, 4.105%, due 10/19/37 (c) | 2,000,000 | 1,804,620 | ||||||
Progress Residential 2021-SFR3 | ||||||||
Series TR, 4.254%, due 05/19/38 (c) | 1,100,000 | 950,011 | ||||||
Progress Residential Trust | ||||||||
Series TR, 4.003%, due 07/19/38 (c) | 700,000 | 595,703 | ||||||
Santander Drive Auto Receivables Trust 2022-3 | ||||||||
Series C, 4.490%, due 08/15/29 | 200,000 | 194,363 | ||||||
Sofi Consumer Loan Program 2018-3 Trust | ||||||||
Series C, 4.670%, due 08/25/27 (c) | 76,877 | 76,283 | ||||||
SoFi Consumer Loan Program 2018-4 Trust | ||||||||
Series D, 4.760%, due 11/26/27 (c) | 363,017 | 362,753 | ||||||
Sofi Professional Loan Program 2018-C Trust | ||||||||
Series R-1, 0.000%, due 01/25/48 (c)(e) | 10,000 | 144,159 | ||||||
SoFi Professional Loan Program 2021-A Trust | ||||||||
0.000%, due 08/17/43 (c) | 23,000 | 389,852 | ||||||
SoFi Professional Loan Program 2021-B Trust | ||||||||
Series TR, 0.000%, due 02/15/47 (c)(e) | 10,000 | 494,067 | ||||||
Structured Asset Securities Corp Mortgage Loan Trust 2006-BC3 | ||||||||
Series A3, 3.404%, due 10/25/36 (1 Month U.S. LIBOR + 0.320%) (b) | 507,021 | 493,788 | ||||||
Sunnova Sol II Issuer LLC | ||||||||
Series A, 2.730%, due 11/01/55 (c) | 478,638 | 378,311 | ||||||
Sunrun Xanadu Issuer 2019-1 LLC | ||||||||
Series 2019-1, 3.980%, due 06/30/54 (c) | 112,203 | 104,704 | ||||||
Taco Bell Funding LLC | ||||||||
Series 2016-1, 4.970%, due 05/25/46 (c) | 410,268 | 398,569 | ||||||
Series 1.94600, 1.946%, due 08/25/51 (c) | 99,250 | 83,080 | ||||||
United Airlines 2020-1 Class A Pass Through Trust | ||||||||
Series 2020-1, 5.875%, due 10/15/27 | 114,606 | 109,735 | ||||||
VOLT XCII LLC | ||||||||
Series 2021-NPL1, 4.949%, due 02/27/51 (c) | 700,000 | 575,540 | ||||||
Wendy's Funding LLC | ||||||||
Series 2019-1, 3.783%, due 06/15/49 (c) | 91,250 | 83,870 | ||||||
Wingstop Funding LLC | ||||||||
Series 2020-1, 2.841%, due 12/05/50 (c) | 248,125 | 212,207 | ||||||
Zaxby's Funding LLC | ||||||||
Series 2021-1, 3.238%, due 07/30/51 (c) | 148,500 | 122,677 | ||||||
Total Asset-Backed Securities (Cost $16,207,121) | 13,707,834 | |||||||
COLLATERALIZED LOAN OBLIGATIONS - 4.8% | ||||||||
ACREC 2021-FL1 Ltd. | ||||||||
Series 2021-FL1, 5.143%, due 10/20/36 (1 Month U.S. LIBOR + 2.150%) (b)(c) | 375,000 | 358,580 | ||||||
ALM 2020 Ltd. | ||||||||
Series 2020-1, 4.362%, due 10/15/29 (3 Month U.S. LIBOR + 1.850%) (b)(c) | 500,000 | 487,310 | ||||||
Arbor Realty Collateralized Loan Obligation 2020-FL1 Ltd. | ||||||||
Series 2020-FL1, 5.410%, due 02/15/35 (1 Month SOFR Rate + 2.564%) (b)(c) | 170,000 | 161,474 | ||||||
Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd. | ||||||||
Series 2021-FL4, 5.718%, due 11/17/36 (1 Month U.S. LIBOR + 2.900%) (b)(c)(e) | 275,000 | 253,981 | ||||||
Ares XLIX CLO Ltd. | ||||||||
Series 2018-49, 4.709%, due 07/22/30 (3 Month U.S. LIBOR + 1.950%) (b)(c) | 1,000,000 | 925,557 | ||||||
Atrium IX | ||||||||
Series 2013-40R, 6.643%, due 05/28/30 (3 Month U.S. LIBOR + 3.600%) (b)(c) | 500,000 | 450,915 | ||||||
BDS 2020-FL5 Ltd. | ||||||||
Series LTD, 5.183%, due 02/18/37 (1 Month SOFR Rate + 2.164%) (b)(c)(e) | 340,000 | 326,516 | ||||||
BlueMountain CLO XXVIII Ltd. | ||||||||
Series C, 4.512%, due 04/17/34 (3 Month U.S. LIBOR + 2.000%) (b)(c) | 250,000 | 223,542 | ||||||
Canyon Capital CLO 2014-1 Ltd. | ||||||||
Series 2014-1R, 5.532%, due 01/30/31 (3 Month U.S. LIBOR + 2.750%) (b)(c) | 250,000 | 212,382 | ||||||
Canyon Capital CLO 2021-2 Ltd. | ||||||||
Series D, 5.862%, due 04/17/34 (3 Month U.S. LIBOR + 3.350%) (b)(c) | 500,000 | 435,349 | ||||||
CIFC Funding 2015-IV Ltd. | ||||||||
Series IVR2, 4.610%, due 04/20/34 (3 Month U.S. LIBOR + 1.900%) (b)(c) | 250,000 | 224,694 | ||||||
CIFC Funding 2021-IV Ltd. | ||||||||
Series 2021-IV, 5.412%, due 07/15/33 (3 Month U.S. LIBOR + 2.900%) (b)(c) | 500,000 | 443,192 | ||||||
CLNC 2019-FL1 Ltd. | ||||||||
Series 2019-FL1, 5.033%, due 08/17/35 (1 Month SOFR Rate + 2.014%) (b)(c) | 100,000 | 99,419 | ||||||
Columbia Cent CLO 27 Ltd. | ||||||||
Series 2018-27R, 6.613%, due 01/25/35 (3 Month U.S. LIBOR + 3.830%) (b)(c) | 500,000 | 444,734 | ||||||
Dryden 40 Senior Loan Fund | ||||||||
Series 2015-40R, 5.005%, due 08/15/31 (3 Month U.S. LIBOR + 2.100%) (b)(c) | 500,000 | 467,360 | ||||||
Goldentree Loan Management US CLO 2 Ltd. | ||||||||
Series D, 5.360%, due 11/29/30 (3 Month U.S. LIBOR + 2.650%) (b)(c) | 500,000 | 445,806 | ||||||
Greystone CRE Notes 2019-FL2 Ltd. | ||||||||
Series C, 4.818%, due 09/15/37 (1 Month U.S. LIBOR + 2.000%) (b)(c)(e) | 200,000 | 192,967 | ||||||
Greystone CRE Notes 2019-FL2 Ltd. | ||||||||
Series D, 5.218%, due 09/15/37 (1 Month U.S. LIBOR + 2.400%) (b)(c)(e) | 183,000 | 177,967 | ||||||
Hayfin Kingsland VIII Ltd. | ||||||||
Series 2018-8, 4.190%, due 04/21/31 (3 Month U.S. LIBOR + 1.480%) (b)(c) | 500,000 | 475,881 | ||||||
LCM XXIV Ltd. | ||||||||
Series LTD, 4.610%, due 03/20/30 (3 Month U.S. LIBOR + 1.900%) (b)(c) | 250,000 | 228,353 | ||||||
Madison Park Funding XXI Ltd. | ||||||||
Series FLT, 4.712%, due 10/15/32 (3 Month U.S. LIBOR + 2.200%) (b)(c) | 250,000 | 230,549 | ||||||
Neuberger Berman Loan Advisers CLO 40 Ltd. | ||||||||
Series C, 4.490%, due 04/18/33 (3 Month U.S. LIBOR + 1.750%) (b)(c) | 250,000 | 229,197 | ||||||
Octagon Investment Partners 31 Ltd. | ||||||||
Series C-R, 4.760%, due 07/22/30 (3 Month U.S. LIBOR + 2.050%) (b)(c) | 280,000 | 261,589 | ||||||
Octagon Investment Partners XIV Ltd. | ||||||||
Series LTD, 6.412%, due 07/16/29 (3 Month U.S. LIBOR + 3.900%) (b)(c) | 500,000 | 437,540 | ||||||
OHA Credit Funding 5 Ltd. | ||||||||
Series E, 8.990%, due 04/18/33 (3 Month U.S. LIBOR + 6.250%) (b)(c) | 500,000 | 434,971 | ||||||
OHA Credit Funding 8 Ltd. | ||||||||
Series 2021-8, 4.640%, due 01/18/34 (3 Month U.S. LIBOR + 1.900%) (b)(c) | 250,000 | 226,378 | ||||||
OHA Credit Partners XIII Ltd. | ||||||||
Series D-R, 5.932%, due 10/23/34 (3 Month U.S. LIBOR + 3.200%) (b)(c) | 500,000 | 441,174 | ||||||
OHA Loan Funding 2013-1 Ltd. | ||||||||
Series FLT, 4.853%, due 07/23/31 (3 Month U.S. LIBOR + 2.070%) (b)(c) | 500,000 | 469,488 | ||||||
Palmer Square Loan Funding 2022-2 Ltd. | ||||||||
Series B, 3.288%, due 10/15/30 (3 Month SOFR Rate + 2.200%) (b)(c) | 800,000 | 736,691 | ||||||
TCI-Flatiron Clo 2018-1 Ltd. | ||||||||
Series C-R, 4.556%, due 01/29/32 (3 Month U.S. LIBOR + 1.750%) (b)(c) | 250,000 | 226,533 | ||||||
TCW CLO 2021-1 Ltd. | ||||||||
Series LTD, 4.610%, due 03/20/34 (3 Month U.S. LIBOR + 1.900%) (b)(c) | 250,000 | 225,015 | ||||||
Wind River 2014-3 CLO Ltd. | ||||||||
Series FLT, 6.159%, due 10/22/31 (3 Month U.S. LIBOR + 3.400%) (b)(c) | 500,000 | 432,802 | ||||||
Total Collateralized Loan Obligations (Cost $12,425,065) | 11,387,906 | |||||||
CORPORATE BONDS - 20.8% | ||||||||
Basic Materials - 0.9% | ||||||||
Arconic Corp. | ||||||||
6.125%, due 02/15/28 (c) | 55,000 | 48,812 | ||||||
ASP Unifrax Holdings, Inc. | ||||||||
5.250%, due 09/30/28 (c) | 50,000 | 38,500 | ||||||
Cleveland-Cliffs, Inc. | ||||||||
4.625%, due 03/01/29 (c)(a) | 295,000 | 246,325 | ||||||
4.875%, due 03/01/31 (c)(a) | 180,000 | 148,500 | ||||||
Coeur Mining, Inc. | ||||||||
5.125%, due 02/15/29 (c)(a) | 25,000 | 18,000 | ||||||
CVR Partners LP | ||||||||
6.125%, due 06/15/28 (c) | 30,000 | 26,172 | ||||||
Ecolab, Inc. | ||||||||
1.000%, due 01/15/24 | EUR | 150,000 | 143,155 | |||||
Freeport-McMoRan, Inc. | ||||||||
4.125%, due 03/01/28 | $ | 25,000 | 22,375 | |||||
4.375%, due 08/01/28 | 50,000 | 44,813 | ||||||
4.625%, due 08/01/30 | 400,000 | 350,000 | ||||||
5.450%, due 03/15/43 | 480,000 | 401,400 | ||||||
Glencore Funding LLC | ||||||||
1.625%, due 04/27/26 (c) | 80,000 | 69,146 | ||||||
3.375%, due 09/23/51 (c) | 70,000 | 42,156 | ||||||
Illuminate Buyer LLC | ||||||||
9.000%, due 07/01/28 (c) | 25,000 | 20,719 | ||||||
Iris Holdings, Inc. | ||||||||
8.750%, due 02/15/26 (c) | 25,000 | 22,089 | ||||||
LSF11 A5 HoldCo LLC | ||||||||
6.625%, due 10/15/29 (c) | 15,000 | 11,550 | ||||||
Mativ Holdings, Inc. | ||||||||
6.875%, due 10/01/26 (c) | 25,000 | 22,063 | ||||||
Novelis Corp. | ||||||||
3.875%, due 08/15/31 (c) | 25,000 | 18,625 | ||||||
Olin Corp. | ||||||||
5.125%, due 09/15/27 | 25,000 | 22,375 | ||||||
Sasol Financing USA LLC | ||||||||
5.500%, due 03/18/31 | 200,000 | 150,000 | ||||||
Tronox, Inc. | ||||||||
4.625%, due 03/15/29 (c) | 20,000 | 14,800 | ||||||
Vibrantz Technologies, Inc. | ||||||||
9.000%, due 02/15/30 (c) | 25,000 | 16,250 | ||||||
Westlake Corp. | ||||||||
0.875%, due 08/15/24 | 105,000 | 98,031 | ||||||
WR Grace Holdings LLC | ||||||||
5.625%, due 08/15/29 (c) | 60,000 | 44,700 | ||||||
2,040,556 | ||||||||
Communications - 2.4% | ||||||||
AMC Networks, Inc. | ||||||||
4.250%, due 02/15/29 | 25,000 | 18,687 | ||||||
AT&T, Inc. | ||||||||
0.900%, due 03/25/24 | 73,000 | 69,096 | ||||||
3.500%, due 09/15/53 | 280,000 | 186,806 | ||||||
Audacy Capital Corp. | ||||||||
6.500%, due 05/01/27 (c) | 25,000 | 6,125 | ||||||
Beasley Mezzanine Holdings LLC | ||||||||
8.625%, due 02/01/26 (c) | 25,000 | 19,125 | ||||||
CCO Holdings LLC | ||||||||
5.125%, due 05/01/27 (c) | 360,000 | 324,900 | ||||||
4.750%, due 03/01/30 (c) | 230,000 | 186,300 | ||||||
4.500%, due 08/15/30 (c) | 125,000 | 98,750 | ||||||
4.250%, due 02/01/31 (c) | 35,000 | 26,862 | ||||||
4.750%, due 02/01/32 (c) | 30,000 | 23,325 | ||||||
4.500%, due 06/01/33 (c) | 100,000 | 73,750 | ||||||
4.250%, due 01/15/34 (c) | 55,000 | 39,738 | ||||||
Cengage Learning, Inc. | ||||||||
9.500%, due 06/15/24 (c)(a) | 40,000 | 37,400 | ||||||
Charter Communications Operating LLC | ||||||||
4.908%, due 07/23/25 | 240,000 | 234,267 | ||||||
2.800%, due 04/01/31 | 130,000 | 98,485 | ||||||
5.750%, due 04/01/48 | 180,000 | 145,376 | ||||||
5.125%, due 07/01/49 | 405,000 | 298,611 | ||||||
Clear Channel Outdoor Holdings, Inc. | ||||||||
7.500%, due 06/01/29 (c) | 55,000 | 39,875 | ||||||
Comcast Corp. | ||||||||
3.400%, due 04/01/30 | 125,000 | 109,701 | ||||||
2.937%, due 11/01/56 | 106,000 | 63,046 | ||||||
CommScope Technologies LLC | ||||||||
5.000%, due 03/15/27 (c) | 25,000 | 18,875 | ||||||
CommScope, Inc. | ||||||||
4.750%, due 09/01/29 (c) | 40,000 | 32,400 | ||||||
CSC Holdings LLC | ||||||||
5.250%, due 06/01/24 | 25,000 | 23,125 | ||||||
Directv Financing LLC | ||||||||
5.875%, due 08/15/27 (c) | 55,000 | 47,300 | ||||||
DISH DBS Corp. | ||||||||
5.750%, due 12/01/28 (c) | 30,000 | 22,650 | ||||||
5.125%, due 06/01/29 | 25,000 | 14,687 | ||||||
Embarq Corp. | ||||||||
7.995%, due 06/01/36 | 25,000 | 12,562 | ||||||
Expedia Group, Inc. | ||||||||
5.000%, due 02/15/26 | 120,000 | 117,781 | ||||||
3.250%, due 02/15/30 | 135,000 | 109,600 | ||||||
Frontier Communications Holdings LLC | ||||||||
5.875%, due 10/15/27 (c) | 10,000 | 9,050 | ||||||
5.000%, due 05/01/28 (c) | 25,000 | 21,375 | ||||||
6.000%, due 01/15/30 (c) | 35,000 | 27,212 | ||||||
GCI LLC | ||||||||
4.750%, due 10/15/28 (c) | 25,000 | 20,562 | ||||||
Gray Escrow II, Inc. | ||||||||
5.375%, due 11/15/31 (c) | 25,000 | 19,437 | ||||||
iHeartCommunications, Inc. | ||||||||
8.375%, due 05/01/27 (a) | 25,000 | 21,000 | ||||||
Liberty Broadband Corp. CVRT | ||||||||
1.250%, due 09/30/50 (c) | 245,000 | 229,145 | ||||||
2.750%, due 09/30/50 (c) | 165,000 | 157,117 | ||||||
Liberty Media Corp. CVRT | ||||||||
0.500%, due 12/01/50 (c) | 100,000 | 104,200 | ||||||
Lumen Technologies, Inc. | ||||||||
5.125%, due 12/15/26 (c) | 40,000 | 34,500 | ||||||
Match Group Holdings II LLC | ||||||||
4.125%, due 08/01/30 (c) | 200,000 | 164,250 | ||||||
McGraw-Hill Education, Inc. | ||||||||
5.750%, due 08/01/28 (c) | 30,000 | 25,125 | ||||||
8.000%, due 08/01/29 (c) | 25,000 | 20,500 | ||||||
MercadoLibre, Inc. | ||||||||
2.375%, due 01/14/26 | 200,000 | 170,250 | ||||||
Millennium Escrow Corp. | ||||||||
6.625%, due 08/01/26 (c) | 25,000 | 19,688 | ||||||
Netflix, Inc. | ||||||||
5.875%, due 11/15/28 | 15,000 | 14,588 | ||||||
5.375%, due 11/15/29 (c) | 77,000 | 72,380 | ||||||
News Corp. | ||||||||
3.875%, due 05/15/29 (c) | 395,000 | 333,775 | ||||||
5.125%, due 02/15/32 (c) | 20,000 | 17,600 | ||||||
Paramount Global | ||||||||
6.250%, due 02/28/57 (3 Month U.S. LIBOR + 3.899%) (b) | 25,000 | 21,563 | ||||||
6.375%, due 03/30/62 (5 Year CMT Rate + 3.999%) (b) | 145,000 | 125,425 | ||||||
Radiate Holdco LLC | ||||||||
4.500%, due 09/15/26 (c) | 25,000 | 20,563 | ||||||
Scripps Escrow, Inc. | ||||||||
5.875%, due 07/15/27 (c) | 45,000 | 39,150 | ||||||
Sinclair Television Group, Inc. | ||||||||
4.125%, due 12/01/30 (c) | 25,000 | 18,813 | ||||||
Sirius XM Radio, Inc. | ||||||||
5.000%, due 08/01/27 (c) | 25,000 | 22,875 | ||||||
4.125%, due 07/01/30 (c) | 235,000 | 190,938 | ||||||
Spanish Broadcasting System, Inc. | ||||||||
9.750%, due 03/01/26 (c) | 25,000 | 16,000 | ||||||
Sprint Corp. | ||||||||
7.625%, due 03/01/26 | 25,000 | 25,875 | ||||||
Stagwell Global LLC | ||||||||
5.625%, due 08/15/29 (c) | 25,000 | 20,437 | ||||||
T-Mobile USA, Inc. | ||||||||
2.250%, due 02/15/26 | 130,000 | 115,922 | ||||||
2.625%, due 04/15/26 | 45,000 | 40,601 | ||||||
4.750%, due 02/01/28 | 35,000 | 33,075 | ||||||
2.625%, due 02/15/29 | 90,000 | 74,130 | ||||||
3.375%, due 04/15/29 | 95,000 | 82,414 | ||||||
2.875%, due 02/15/31 | 85,000 | 68,425 | ||||||
3.500%, due 04/15/31 | 155,000 | 130,781 | ||||||
Townsquare Media, Inc. | ||||||||
6.875%, due 02/01/26 (c) | 30,000 | 27,300 | ||||||
Uber Technologies, Inc. | ||||||||
4.500%, due 08/15/29 (c) | 30,000 | 25,200 | ||||||
Uber Technologies, Inc. CVRT | ||||||||
0.000%, due 12/15/25 | 195,000 | 161,945 | ||||||
Univision Communications, Inc. | ||||||||
6.625%, due 06/01/27 (c) | 25,000 | 23,500 | ||||||
Urban One, Inc. | ||||||||
7.375%, due 02/01/28 (c) | 25,000 | 21,188 | ||||||
Verizon Communications, Inc. | ||||||||
0.750%, due 03/22/24 | 54,000 | 50,930 | ||||||
4.005%, due 05/15/25 (3 Month U.S. LIBOR + 1.100%) (b) | 115,000 | 115,284 | ||||||
3.875%, due 03/01/52 | 45,000 | 33,472 | ||||||
Viasat, Inc. | ||||||||
5.625%, due 09/15/25 (c) | 25,000 | 19,063 | ||||||
Viavi Solutions, Inc. | ||||||||
3.750%, due 10/01/29 (c) | 25,000 | 19,906 | ||||||
Zayo Group Holdings, Inc. | ||||||||
6.125%, due 03/01/28 (c) | 25,000 | 17,500 | ||||||
5,543,234 | ||||||||
Consumer, Cyclical - 3.3% | ||||||||
Academy Ltd. | ||||||||
6.000%, due 11/15/27 (c) | 25,000 | 22,750 | ||||||
Adams Homes, Inc. | ||||||||
7.500%, due 02/15/25 (c) | 25,000 | 20,625 | ||||||
Affinity Gaming | ||||||||
6.875%, due 12/15/27 (c) | 25,000 | 20,500 | ||||||
Allison Transmission, Inc. | ||||||||
5.875%, due 06/01/29 (c) | 25,000 | 22,875 | ||||||
American Airlines Group, Inc. CVRT | ||||||||
6.500%, due 07/01/25 (a) | 285,000 | 290,481 | ||||||
American Airlines, Inc. | ||||||||
5.500%, due 04/20/26 (c) | 220,000 | 206,250 | ||||||
5.750%, due 04/20/29 (c) | 260,000 | 226,850 | ||||||
American Axle & Manufacturing, Inc. | ||||||||
5.000%, due 10/01/29 (a) | 25,000 | 18,875 | ||||||
Arko Corp. | ||||||||
5.125%, due 11/15/29 (c) | 15,000 | 11,662 | ||||||
Asbury Automotive Group, Inc. | ||||||||
4.750%, due 03/01/30 | 25,000 | 19,500 | ||||||
Bath & Body Works, Inc. | ||||||||
6.750%, due 07/01/36 | 25,000 | 20,594 | ||||||
BCPE Empire Holdings, Inc. | ||||||||
7.625%, due 05/01/27 (c) | 35,000 | 30,275 | ||||||
Burlington Stores, Inc. CVRT | ||||||||
2.250%, due 04/15/25 | 225,000 | 215,036 | ||||||
Caesars Entertainment, Inc. | ||||||||
6.250%, due 07/01/25 (c) | 25,000 | 24,094 | ||||||
4.625%, due 10/15/29 (c) | 55,000 | 42,075 | ||||||
CCM Merger, Inc. | ||||||||
6.375%, due 05/01/26 (c) | 25,000 | 23,000 | ||||||
Century Communities, Inc. | ||||||||
3.875%, due 08/15/29 (c) | 25,000 | 19,187 | ||||||
Crocs, Inc. | ||||||||
4.125%, due 08/15/31 (c) | 25,000 | 19,000 | ||||||
Dealer Tire LLC | ||||||||
8.000%, due 02/01/28 (c) | 5,000 | 4,375 | ||||||
Delta Air Lines 2020-1 Class A Pass Through Trust | ||||||||
2.500%, due 12/10/29 | 81,928 | 68,683 | ||||||
Delta Air Lines, Inc. | ||||||||
2.900%, due 10/28/24 | 200,000 | 186,000 | ||||||
4.500%, due 10/20/25 (c) | 95,000 | 92,222 | ||||||
7.375%, due 01/15/26 | 35,000 | 35,350 | ||||||
4.375%, due 04/19/28 | 25,000 | 21,250 | ||||||
4.750%, due 10/20/28 (c) | 735,000 | 682,875 | ||||||
Dick's Sporting Goods, Inc. | ||||||||
3.150%, due 01/15/32 | 155,000 | 118,126 | ||||||
Dollar Tree, Inc. | ||||||||
4.000%, due 05/15/25 | 240,000 | 232,465 | ||||||
Ferrellgas LP | ||||||||
5.375%, due 04/01/26 (c) | 25,000 | 21,937 | ||||||
Fertitta Entertainment LLC | ||||||||
6.750%, due 01/15/30 (c) | 75,000 | 57,000 | ||||||
Foot Locker, Inc. | ||||||||
4.000%, due 10/01/29 (c) | 25,000 | 19,312 | ||||||
Ford Motor Co. | ||||||||
3.250%, due 02/12/32 | 190,000 | 136,479 | ||||||
6.100%, due 08/19/32 | 25,000 | 22,038 | ||||||
Ford Motor Credit Co. LLC | ||||||||
2.748%, due 06/14/24 | GBP | 100,000 | 100,456 | |||||
4.950%, due 05/28/27 | $ | 200,000 | 179,284 | |||||
4.125%, due 08/17/27 | 300,000 | 258,388 | ||||||
2.900%, due 02/16/28 | 200,000 | 156,840 | ||||||
3.625%, due 06/17/31 | 245,000 | 181,408 | ||||||
Foundation Building Materials, Inc. | ||||||||
6.000%, due 03/01/29 (c) | 25,000 | 18,250 | ||||||
General Motors Financial Co., Inc. | ||||||||
1.200%, due 10/15/24 | 380,000 | 348,490 | ||||||
3.500%, due 11/07/24 | 95,000 | 91,275 | ||||||
2.400%, due 10/15/28 | 145,000 | 114,566 | ||||||
Golden Entertainment, Inc. | ||||||||
7.625%, due 04/15/26 (c) | 25,000 | 24,562 | ||||||
Hilton Domestic Operating Co., Inc. | ||||||||
4.875%, due 01/15/30 | 160,000 | 139,200 | ||||||
3.625%, due 02/15/32 (c) | 100,000 | 77,000 | ||||||
Hyatt Hotels Corp. | ||||||||
5.750%, due 04/23/30 | 148,000 | 143,106 | ||||||
Installed Building Products, Inc. | ||||||||
5.750%, due 02/01/28 (c) | 25,000 | 22,375 | ||||||
Interface, Inc. | ||||||||
5.500%, due 12/01/28 (c) | 25,000 | 21,375 | ||||||
LBM Acquisition LLC | ||||||||
6.250%, due 01/15/29 (c) | 25,000 | 16,937 | ||||||
LCM Investments Holdings II LLC | ||||||||
4.875%, due 05/01/29 (c) | 25,000 | 19,313 | ||||||
LGI Homes, Inc. | ||||||||
4.000%, due 07/15/29 (c) | 25,000 | 18,625 | ||||||
Lindblad Expeditions LLC | ||||||||
6.750%, due 02/15/27 (c) | 25,000 | 22,000 | ||||||
Lions Gate Capital Holdings LLC | ||||||||
5.500%, due 04/15/29 (c) | 60,000 | 44,550 | ||||||
Lowe's Cos., Inc. | ||||||||
5.625%, due 04/15/53 | 35,000 | 32,403 | ||||||
4.450%, due 04/01/62 | 88,000 | 65,004 | ||||||
M/I Homes, Inc. | ||||||||
3.950%, due 02/15/30 | 25,000 | 18,250 | ||||||
Macy's Retail Holdings LLC | ||||||||
6.125%, due 03/15/32 (c) | 25,000 | 19,125 | ||||||
Marriott International, Inc. | ||||||||
3.125%, due 06/15/26 | 130,000 | 120,054 | ||||||
McDonald's Corp. | ||||||||
3.600%, due 07/01/30 | 125,000 | 112,331 | ||||||
MGM Resorts International | ||||||||
4.750%, due 10/15/28 | 20,000 | 16,850 | ||||||
Midwest Gaming Borrower LLC | ||||||||
4.875%, due 05/01/29 (c) | 70,000 | 57,050 | ||||||
Murphy Oil USA, Inc. | ||||||||
5.625%, due 05/01/27 | 25,000 | 23,844 | ||||||
Penn Entertainment, Inc. | ||||||||
4.125%, due 07/01/29 (c) | 25,000 | 19,188 | ||||||
Premier Entertainment Sub LLC | ||||||||
5.625%, due 09/01/29 (c) | 35,000 | 24,150 | ||||||
5.875%, due 09/01/31 (c) | 11,000 | 7,425 | ||||||
Real Hero Merger Sub 2, Inc. | ||||||||
6.250%, due 02/01/29 (c) | 25,000 | 17,875 | ||||||
Scientific Games Holdings LP | ||||||||
6.625%, due 03/01/30 (c) | 80,000 | 64,100 | ||||||
Scientific Games International, Inc. | ||||||||
7.250%, due 11/15/29 (c) | 30,000 | 27,900 | ||||||
Shea Homes LP | ||||||||
4.750%, due 04/01/29 (c) | 25,000 | 19,375 | ||||||
Sizzling Platter LLC | ||||||||
8.500%, due 11/28/25 (c) | 15,000 | 13,181 | ||||||
Sonic Automotive, Inc. | ||||||||
4.625%, due 11/15/29 (c) | 85,000 | 66,725 | ||||||
Southwest Airlines Co. CVRT | ||||||||
1.250%, due 05/01/25 | 180,000 | 205,150 | ||||||
Specialty Building Products Holdings LLC | ||||||||
6.375%, due 09/30/26 (c) | 25,000 | 20,500 | ||||||
SRS Distribution, Inc. | ||||||||
4.625%, due 07/01/28 (c) | 50,000 | 42,750 | ||||||
6.125%, due 07/01/29 (c) | 25,000 | 19,938 | ||||||
Staples, Inc. | ||||||||
7.500%, due 04/15/26 (c) | 40,000 | 33,500 | ||||||
10.750%, due 04/15/27 (c)(a) | 25,000 | 18,531 | ||||||
Station Casinos LLC | ||||||||
4.500%, due 02/15/28 (c) | 25,000 | 20,500 | ||||||
STL Holding Co. LLC | ||||||||
7.500%, due 02/15/26 (c) | 25,000 | 21,188 | ||||||
Suburban Propane Partners LP | ||||||||
5.000%, due 06/01/31 (c) | 45,000 | 36,900 | ||||||
SWF Escrow Issuer Corp. | ||||||||
6.500%, due 10/01/29 (c) | 20,000 | 11,850 | ||||||
Taylor Morrison Communities, Inc. | ||||||||
5.125%, due 08/01/30 (c) | 25,000 | 20,125 | ||||||
Tempur Sealy International, Inc. | ||||||||
3.875%, due 10/15/31 (c) | 25,000 | 18,313 | ||||||
The Gap, Inc. | ||||||||
3.875%, due 10/01/31 (c) | 25,000 | 15,875 | ||||||
The Goodyear Tire & Rubber Co. | ||||||||
5.250%, due 07/15/31 | 75,000 | 60,000 | ||||||
The Home Depot, Inc. | ||||||||
3.625%, due 04/15/52 | 115,000 | 86,765 | ||||||
The Michaels Cos, Inc. | ||||||||
5.250%, due 05/01/28 (c) | 5,000 | 3,500 | ||||||
The William Carter Co. | ||||||||
5.625%, due 03/15/27 (c) | 25,000 | 23,375 | ||||||
Travel + Leisure Co. | ||||||||
6.625%, due 07/31/26 (c) | 69,000 | 64,343 | ||||||
4.500%, due 12/01/29 (c) | 170,000 | 131,325 | ||||||
United Airlines Holdings, Inc. | ||||||||
4.875%, due 01/15/25 | 25,000 | 23,281 | ||||||
Victoria's Secret & Co. | ||||||||
4.625%, due 07/15/29 (c) | 55,000 | 41,250 | ||||||
Warnermedia Holdings, Inc. | ||||||||
3.755%, due 03/15/27 (c) | 130,000 | 116,442 | ||||||
WMG Acquisition Corp. | ||||||||
3.000%, due 02/15/31 (c) | 340,000 | 258,400 | ||||||
Wolverine World Wide, Inc. | ||||||||
4.000%, due 08/15/29 (c) | 25,000 | 18,875 | ||||||
Wyndham Hotels & Resorts, Inc. | ||||||||
4.375%, due 08/15/28 (c) | 130,000 | 112,938 | ||||||
Wynn Las Vegas LLC | ||||||||
5.250%, due 05/15/27 (c) | 25,000 | 22,000 | ||||||
Yum! Brands, Inc. | ||||||||
4.750%, due 01/15/30 (c) | 352,000 | 306,240 | ||||||
3.625%, due 03/15/31 | 420,000 | 332,850 | ||||||
4.625%, due 01/31/32 | 175,000 | 147,000 | ||||||
7,908,275 | ||||||||
Consumer, Non-cyclical - 3.6% | ||||||||
AbbVie, Inc. | ||||||||
4.700%, due 05/14/45 | 255,000 | 216,278 | ||||||
Acadia Healthcare Co., Inc. | ||||||||
5.500%, due 07/01/28 (c) | 25,000 | 22,875 | ||||||
ACCO Brands Corp. | ||||||||
4.250%, due 03/15/29 (c) | 25,000 | 18,844 | ||||||
AdaptHealth LLC | ||||||||
5.125%, due 03/01/30 (c) | 50,000 | 41,000 | ||||||
Albertsons Cos., Inc. | ||||||||
3.500%, due 03/15/29 (c) | 20,000 | 16,100 | ||||||
Allied Universal Holdco LLC | ||||||||
6.625%, due 07/15/26 (c) | 40,000 | 35,600 | ||||||
9.750%, due 07/15/27 (c) | 15,000 | 12,356 | ||||||
Alta Equipment Group, Inc. | ||||||||
5.625%, due 04/15/26 (c) | 25,000 | 21,000 | ||||||
Altria Group, Inc. | ||||||||
4.450%, due 05/06/50 | 135,000 | 90,100 | ||||||
AMN Healthcare, Inc. | ||||||||
4.625%, due 10/01/27 (c) | 25,000 | 22,386 | ||||||
Anheuser-Busch Cos. LLC | ||||||||
4.900%, due 02/01/46 | 125,000 | 108,200 | ||||||
APi Group DE, Inc. | ||||||||
4.750%, due 10/15/29 (c) | 25,000 | 21,000 | ||||||
BellRing Brands, Inc. | ||||||||
7.000%, due 03/15/30 (c) | 25,000 | 22,812 | ||||||
Catalent Pharma Solutions, Inc. | ||||||||
5.000%, due 07/15/27 (c) | 25,000 | 22,250 | ||||||
Centene Corp. | ||||||||
4.625%, due 12/15/29 | 65,000 | 58,175 | ||||||
3.375%, due 02/15/30 | 385,000 | 313,775 | ||||||
3.000%, due 10/15/30 | 300,000 | 236,250 | ||||||
2.500%, due 03/01/31 | 325,000 | 244,427 | ||||||
2.625%, due 08/01/31 | 15,000 | 11,288 | ||||||
Chobani LLC | ||||||||
4.625%, due 11/15/28 (c) | 10,000 | 8,462 | ||||||
Community Health Systems, Inc. | ||||||||
6.000%, due 01/15/29 (c) | 45,000 | 33,300 | ||||||
6.875%, due 04/15/29 (c) | 20,000 | 9,600 | ||||||
5.250%, due 05/15/30 (c) | 25,000 | 17,375 | ||||||
Constellation Brands, Inc. | ||||||||
3.150%, due 08/01/29 | 125,000 | 107,263 | ||||||
2.875%, due 05/01/30 | 5,000 | 4,145 | ||||||
CoreLogic, Inc. | ||||||||
4.500%, due 05/01/28 (c) | 25,000 | 17,000 | ||||||
Coty, Inc. | ||||||||
5.000%, due 04/15/26 (c) | 30,000 | 27,450 | ||||||
CPI CG, Inc. | ||||||||
8.625%, due 03/15/26 (c) | 15,000 | 13,969 | ||||||
CVS Health Corp. | ||||||||
5.050%, due 03/25/48 | 185,000 | 162,344 | ||||||
Darling Ingredients, Inc. | ||||||||
6.000%, due 06/15/30 (c) | 290,000 | 276,225 | ||||||
DaVita, Inc. | ||||||||
4.625%, due 06/01/30 (c) | 25,000 | 19,125 | ||||||
Elevance Health, Inc. | ||||||||
2.375%, due 01/15/25 | 110,000 | 103,801 | ||||||
4.550%, due 05/15/52 | 40,000 | 33,775 | ||||||
Encompass Health Corp. | ||||||||
4.750%, due 02/01/30 | 25,000 | 20,625 | ||||||
Gartner, Inc. | ||||||||
3.750%, due 10/01/30 (c) | 125,000 | 102,187 | ||||||
Graham Holdings Co. | ||||||||
5.750%, due 06/01/26 (c) | 25,000 | 24,187 | ||||||
HCA, Inc. | ||||||||
5.375%, due 02/01/25 | 230,000 | 226,262 | ||||||
4.125%, due 06/15/29 | 490,000 | 433,650 | ||||||
3.500%, due 09/01/30 | 786,000 | 650,415 | ||||||
JBS USA LUX SA | ||||||||
3.625%, due 01/15/32 (c) | 200,000 | 157,500 | ||||||
5.750%, due 04/01/33 (c) | 170,000 | 153,754 | ||||||
KeHE Distributors LLC | ||||||||
8.625%, due 10/15/26 (c) | 15,000 | 15,000 | ||||||
Kraft Heinz Foods Co. | ||||||||
3.000%, due 06/01/26 | 125,000 | 115,139 | ||||||
3.875%, due 05/15/27 | 200,000 | 186,010 | ||||||
4.250%, due 03/01/31 | 390,000 | 351,616 | ||||||
6.875%, due 01/26/39 | 260,000 | 267,654 | ||||||
7.125%, due 08/01/39 (c) | 35,000 | 36,592 | ||||||
4.625%, due 10/01/39 | 220,000 | 182,062 | ||||||
4.375%, due 06/01/46 | 55,000 | 42,373 | ||||||
Kronos Acquisition Holdings, Inc. | ||||||||
5.000%, due 12/31/26 (c) | 30,000 | 25,950 | ||||||
7.000%, due 12/31/27 (c) | 45,000 | 34,425 | ||||||
Medline Borrower LP | ||||||||
3.875%, due 04/01/29 (c) | 25,000 | 20,000 | ||||||
5.250%, due 10/01/29 (c) | 55,000 | 41,525 | ||||||
Metis Merger Sub LLC | ||||||||
6.500%, due 05/15/29 (c) | 45,000 | 35,100 | ||||||
ModivCare Escrow Issuer, Inc. | ||||||||
5.000%, due 10/01/29 (c) | 15,000 | 12,075 | ||||||
MPH Acquisition Holdings LLC | ||||||||
5.750%, due 11/01/28 (c)(a) | 25,000 | 18,875 | ||||||
NESCO Holdings II, Inc. | ||||||||
5.500%, due 04/15/29 (c) | 25,000 | 20,625 | ||||||
Nielsen Finance LLC | ||||||||
4.750%, due 07/15/31 (c) | 25,000 | 24,500 | ||||||
Owens & Minor, Inc. | ||||||||
6.625%, due 04/01/30 (c) | 40,000 | 35,200 | ||||||
PECF USS Intermediate Holding III Corp. | ||||||||
8.000%, due 11/15/29 (c) | 25,000 | 18,625 | ||||||
Performance Food Group, Inc. | ||||||||
5.500%, due 10/15/27 (c) | 45,000 | 40,837 | ||||||
4.250%, due 08/01/29 (c) | 30,000 | 24,975 | ||||||
Post Holdings, Inc. | ||||||||
5.625%, due 01/15/28 (c) | 325,000 | 296,563 | ||||||
5.500%, due 12/15/29 (c) | 255,000 | 220,575 | ||||||
4.625%, due 04/15/30 (c) | 32,000 | 26,280 | ||||||
4.500%, due 09/15/31 (c) | 145,000 | 117,450 | ||||||
Primo Water Holdings, Inc. | ||||||||
4.375%, due 04/30/29 (c) | 25,000 | 20,719 | ||||||
Quanta Services, Inc. | ||||||||
2.350%, due 01/15/32 | 150,000 | 111,062 | ||||||
Radiology Partners, Inc. | ||||||||
9.250%, due 02/01/28 (c) | 25,000 | 16,250 | ||||||
Select Medical Corp. | ||||||||
6.250%, due 08/15/26 (c) | 25,000 | 23,375 | ||||||
Simmons Foods, Inc. | ||||||||
4.625%, due 03/01/29 (c) | 25,000 | 20,313 | ||||||
Smithfield Foods, Inc. | ||||||||
4.250%, due 02/01/27 (c) | 195,000 | 180,732 | ||||||
3.000%, due 10/15/30 (c) | 35,000 | 27,102 | ||||||
Spectrum Brands, Inc. | ||||||||
5.750%, due 07/15/25 | 25,000 | 23,625 | ||||||
Stryker Corp. | ||||||||
0.600%, due 12/01/23 | 225,000 | 214,341 | ||||||
1.150%, due 06/15/25 | 145,000 | 130,705 | ||||||
Sysco Corp. | ||||||||
5.950%, due 04/01/30 | 110,000 | 111,233 | ||||||
Tenet Healthcare Corp. | ||||||||
6.125%, due 10/01/28 (c) | 50,000 | 44,125 | ||||||
6.125%, due 06/15/30 (c) | 45,000 | 41,456 | ||||||
The ADT Security Corp. | ||||||||
4.125%, due 08/01/29 (c) | 25,000 | 20,750 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
0.750%, due 09/12/24 | EUR | 100,000 | 93,966 | |||||
1.400%, due 01/23/26 | EUR | 115,000 | 106,037 | |||||
0.500%, due 03/01/28 | EUR | 100,000 | 83,896 | |||||
Triton Water Holdings, Inc. | ||||||||
6.250%, due 04/01/29 (c) | $ | 25,000 | 19,125 | |||||
United Natural Foods, Inc. | ||||||||
6.750%, due 10/15/28 (c) | 50,000 | 46,625 | ||||||
United Rentals North America, Inc. | ||||||||
4.875%, due 01/15/28 | 185,000 | 169,737 | ||||||
4.000%, due 07/15/30 | 110,000 | 90,200 | ||||||
3.875%, due 02/15/31 | 230,000 | 186,875 | ||||||
3.750%, due 01/15/32 | 25,000 | 19,563 | ||||||
UnitedHealth Group, Inc. | ||||||||
0.550%, due 05/15/24 | 90,000 | 84,276 | ||||||
4.950%, due 05/15/62 | 45,000 | 40,401 | ||||||
Varex Imaging Corp. | ||||||||
7.875%, due 10/15/27 (c) | 10,000 | 9,800 | ||||||
WASH Multifamily Acquisition, Inc. | ||||||||
5.750%, due 04/15/26 (c) | 45,000 | 41,513 | ||||||
Williams Scotsman International, Inc. | ||||||||
4.625%, due 08/15/28 (c) | 25,000 | 21,625 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
1.450%, due 11/22/24 | 145,000 | 134,070 | ||||||
8,480,653 | ||||||||
Energy - 1.8% | ||||||||
Aethon United BR LP | ||||||||
8.250%, due 02/15/26 (c) | 25,000 | 24,125 | ||||||
Antero Midstream Partners LP | ||||||||
5.750%, due 03/01/27 (c) | 45,000 | 41,400 | ||||||
Archrock Partners LP | ||||||||
6.250%, due 04/01/28 (c) | 25,000 | 21,750 | ||||||
Ascent Resources Utica Holdings LLC | ||||||||
5.875%, due 06/30/29 (c) | 25,000 | 22,250 | ||||||
BP Capital Markets America, Inc. | ||||||||
2.939%, due 06/04/51 | 170,000 | 107,447 | ||||||
Callon Petroleum Co. | ||||||||
7.500%, due 06/15/30 (c) | 30,000 | 26,175 | ||||||
Cheniere Energy Partners LP | ||||||||
4.500%, due 10/01/29 | 75,000 | 66,187 | ||||||
4.000%, due 03/01/31 | 295,000 | 247,063 | ||||||
Chesapeake Energy Corp. | ||||||||
5.875%, due 02/01/29 (c) | 50,000 | 46,625 | ||||||
6.750%, due 04/15/29 (c) | 25,000 | 23,875 | ||||||
Chord Energy Corp. | ||||||||
6.375%, due 06/01/26 (c) | 25,000 | 24,000 | ||||||
CNX Midstream Partners LP | ||||||||
4.750%, due 04/15/30 (c) | 25,000 | 19,562 | ||||||
CNX Resources Corp. | ||||||||
6.000%, due 01/15/29 (c) | 35,000 | 32,025 | ||||||
7.375%, due 01/15/31 (c) | 20,000 | 19,500 | ||||||
Colgate Energy Partners III LLC | ||||||||
5.875%, due 07/01/29 (c) | 25,000 | 22,312 | ||||||
Comstock Resources, Inc. | ||||||||
5.875%, due 01/15/30 (c) | 25,000 | 21,750 | ||||||
Continental Resources, Inc. | ||||||||
5.750%, due 01/15/31 (c) | 307,000 | 277,451 | ||||||
2.875%, due 04/01/32 (c) | 246,000 | 179,580 | ||||||
Crescent Energy Finance LLC | ||||||||
7.250%, due 05/01/26 (c) | 25,000 | 22,375 | ||||||
Crestwood Midstream Partners LP | ||||||||
5.750%, due 04/01/25 | 25,000 | 23,563 | ||||||
Delek Logistics Partners LP | ||||||||
6.750%, due 05/15/25 | 25,000 | 23,500 | ||||||
Devon Energy Corp. | ||||||||
5.250%, due 10/15/27 | 17,000 | 16,978 | ||||||
DT Midstream, Inc. | ||||||||
4.125%, due 06/15/29 (c) | 25,000 | 21,125 | ||||||
Earthstone Energy Holdings LLC | ||||||||
8.000%, due 04/15/27 (c) | 25,000 | 23,563 | ||||||
Encino Acquisition Partners Holdings LLC | ||||||||
8.500%, due 05/01/28 (c) | 25,000 | 22,875 | ||||||
Energy Transfer LP | ||||||||
4.750%, due 01/15/26 | 120,000 | 115,811 | ||||||
7.125%, Perpetual (5 Year CMT Rate + 5.306%) (b) | 175,000 | 145,157 | ||||||
Enviva Partners LP | ||||||||
6.500%, due 01/15/26 (c) | 25,000 | 23,625 | ||||||
EQM Midstream Partners LP | ||||||||
6.000%, due 07/01/25 (c) | 4,000 | 3,700 | ||||||
4.750%, due 01/15/31 (c) | 65,000 | 51,188 | ||||||
EQT Corp. | ||||||||
3.125%, due 05/15/26 (c) | 40,000 | 36,550 | ||||||
3.900%, due 10/01/27 | 67,000 | 60,970 | ||||||
3.625%, due 05/15/31 (c) | 550,000 | 458,563 | ||||||
Hess Midstream Operations LP | ||||||||
5.125%, due 06/15/28 (c) | 45,000 | 39,375 | ||||||
4.250%, due 02/15/30 (c) | 85,000 | 68,638 | ||||||
Hilcorp Energy I LP | ||||||||
6.250%, due 11/01/28 (c) | 35,000 | 32,025 | ||||||
5.750%, due 02/01/29 (c) | 50,000 | 43,875 | ||||||
Howard Midstream Energy Partners LLC | ||||||||
6.750%, due 01/15/27 (c) | 25,000 | 22,250 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
6.950%, due 01/15/38 | 115,000 | 114,413 | ||||||
Kinder Morgan, Inc. | ||||||||
5.300%, due 12/01/34 | 55,000 | 49,745 | ||||||
Murphy Oil Corp. | ||||||||
6.375%, due 07/15/28 | 25,000 | 23,625 | ||||||
NGL Energy Operating LLC | ||||||||
7.500%, due 02/01/26 (c) | 40,000 | 35,600 | ||||||
NuStar Logistics LP | ||||||||
6.375%, due 10/01/30 | 35,000 | 30,013 | ||||||
Occidental Petroleum Corp. | ||||||||
3.400%, due 04/15/26 | 47,000 | 44,532 | ||||||
3.200%, due 08/15/26 | 31,000 | 28,753 | ||||||
6.625%, due 09/01/30 | 355,000 | 358,550 | ||||||
6.125%, due 01/01/31 | 180,000 | 177,750 | ||||||
7.500%, due 05/01/31 | 70,000 | 73,150 | ||||||
6.450%, due 09/15/36 | 25,000 | 24,875 | ||||||
Ovintiv, Inc. | ||||||||
6.500%, due 08/15/34 | 190,000 | 185,716 | ||||||
6.500%, due 02/01/38 | 115,000 | 111,695 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
5.000%, due 03/15/27 | 105,000 | 100,931 | ||||||
Southwestern Energy Co. | ||||||||
5.950%, due 01/23/25 | 3,000 | 2,955 | ||||||
5.375%, due 02/01/29 (a) | 35,000 | 31,675 | ||||||
4.750%, due 02/01/32 | 30,000 | 25,125 | ||||||
SunCoke Energy, Inc. | ||||||||
4.875%, due 06/30/29 (c) | 65,000 | 50,050 | ||||||
Sunoco LP | ||||||||
6.000%, due 04/15/27 | 35,000 | 33,163 | ||||||
4.500%, due 05/15/29 | 40,000 | 33,000 | ||||||
Tallgrass Energy Partners LP | ||||||||
5.500%, due 01/15/28 (c) | 25,000 | 21,250 | ||||||
The Williams Cos., Inc. | ||||||||
3.500%, due 11/15/30 | 30,000 | 25,436 | ||||||
Transcontinental Gas Pipe Line Co. LLC | ||||||||
3.250%, due 05/15/30 | 30,000 | 25,270 | ||||||
USA Compression Partners LP | ||||||||
6.875%, due 09/01/27 | 75,000 | 67,875 | ||||||
Western Midstream Operating LP | ||||||||
4.050%, due 02/01/30 | 210,000 | 178,500 | ||||||
5.450%, due 04/01/44 | 25,000 | 20,500 | ||||||
4,352,930 | ||||||||
Financial - 5.0% | ||||||||
Air Lease Corp. | ||||||||
1.875%, due 08/15/26 | 125,000 | 106,010 | ||||||
Alexandria Real Estate Equities, Inc. | ||||||||
3.000%, due 05/18/51 | 170,000 | 102,810 | ||||||
Alliant Holdings Intermediate LLC | ||||||||
6.750%, due 10/15/27 (c) | 30,000 | 26,100 | ||||||
Ally Financial, Inc. | ||||||||
5.750%, due 11/20/25 | 25,000 | 24,247 | ||||||
American Express Co. | ||||||||
3.950%, due 08/01/25 | 146,000 | 141,413 | ||||||
American Tower Corp. | ||||||||
1.950%, due 05/22/26 | EUR | 100,000 | 91,319 | |||||
0.500%, due 01/15/28 | EUR | 100,000 | 79,341 | |||||
AmWINS Group, Inc. | ||||||||
4.875%, due 06/30/29 (c) | $ | 40,000 | 33,400 | |||||
Ares Capital Corp. | ||||||||
2.150%, due 07/15/26 | 125,000 | 104,558 | ||||||
Aretec Escrow Issuer, Inc. | ||||||||
7.500%, due 04/01/29 (c) | 25,000 | 20,937 | ||||||
Athene Global Funding | ||||||||
2.845%, due 08/19/24 (SOFR Index + 0.560%) (b)(c) | 245,000 | 238,318 | ||||||
Bank of America Corp. | ||||||||
0.981%, due 09/25/25 (SOFR Rate + 0.910%) (b) | 140,000 | 127,449 | ||||||
1.530%, due 12/06/25 (SOFR Rate + 0.650%) (b) | 252,000 | 230,266 | ||||||
3.384%, due 04/02/26 (SOFR Rate + 1.330%) (b) | 1,130,000 | 1,069,039 | ||||||
5.015%, due 07/22/33 (SOFR Rate + 2.160%) (b) | 45,000 | 41,807 | ||||||
2.482%, due 09/21/36 (5 Year CMT Rate + 1.200%) (b) | 245,000 | 176,990 | ||||||
3.846%, due 03/08/37 (5 Year CMT Rate + 2.000%) (b) | 20,000 | 16,128 | ||||||
Berkshire Hathaway Finance Corp. | ||||||||
2.375%, due 06/19/39 | GBP | 120,000 | 87,972 | |||||
Berkshire Hathaway, Inc. | ||||||||
0.000%, due 03/12/25 | EUR | 200,000 | 181,914 | |||||
BroadStreet Partners, Inc. | ||||||||
5.875%, due 04/15/29 (c) | $ | 25,000 | 19,625 | |||||
Burford Capital Global Finance LLC | ||||||||
6.875%, due 04/15/30 (c) | 25,000 | 21,812 | ||||||
Capital One Financial Corp. | ||||||||
4.166%, due 05/09/25 (SOFR Rate + 1.370%) (b) | 203,000 | 197,546 | ||||||
Chubb INA Holdings, Inc. | ||||||||
0.300%, due 12/15/24 | EUR | 160,000 | 146,729 | |||||
Citigroup, Inc. | ||||||||
3.057%, due 01/25/33 (SOFR Rate + 1.351%) (b) | $ | 210,000 | 165,963 | |||||
Corebridge Financial, Inc. | ||||||||
6.875%, due 12/15/52 (5 Year CMT Rate + 3.846%) (b)(c) | 240,000 | 219,606 | ||||||
Crown Castle, Inc. | ||||||||
1.350%, due 07/15/25 | 36,000 | 32,290 | ||||||
3.650%, due 09/01/27 | 120,000 | 108,703 | ||||||
2.250%, due 01/15/31 | 40,000 | 30,572 | ||||||
Cushman & Wakefield US Borrower LLC | ||||||||
6.750%, due 05/15/28 (c) | 25,000 | 23,187 | ||||||
Discover Financial Services | ||||||||
4.100%, due 02/09/27 | 165,000 | 151,896 | ||||||
Freedom Mortgage Corp. | ||||||||
8.250%, due 04/15/25 (c) | 15,000 | 12,375 | ||||||
6.625%, due 01/15/27 (c) | 10,000 | 7,125 | ||||||
GTCR AP Finance, Inc. | ||||||||
8.000%, due 05/15/27 (c) | 35,000 | 32,200 | ||||||
Host Hotels & Resorts LP | ||||||||
3.375%, due 12/15/29 | 65,000 | 52,905 | ||||||
3.500%, due 09/15/30 | 65,000 | 51,813 | ||||||
Icahn Enterprises LP | ||||||||
5.250%, due 05/15/27 | 30,000 | 26,325 | ||||||
Invitation Homes Operating Partnership LP | ||||||||
2.700%, due 01/15/34 | 150,000 | 105,578 | ||||||
Iron Mountain, Inc. | ||||||||
4.500%, due 02/15/31 (c) | 25,000 | 19,250 | ||||||
JPMorgan Chase & Co. | ||||||||
0.653%, due 09/16/24 (3 Month SOFR Rate + 0.600%) (b) | 215,000 | 205,129 | ||||||
0.563%, due 02/16/25 (SOFR Rate + 0.420%) (b) | 230,000 | 214,976 | ||||||
4.080%, due 04/26/26 (SOFR Rate + 1.320%) (b) | 753,000 | 724,631 | ||||||
4.851%, due 07/25/28 (SOFR Rate + 1.990%) (b) | 60,000 | 57,488 | ||||||
2.963%, due 01/25/33 (SOFR Rate + 1.260%) (b) | 280,000 | 220,959 | ||||||
5.717%, due 09/14/33 (SOFR Rate + 2.580%) (b) | 132,000 | 124,476 | ||||||
Ladder Capital Finance Holdings LLLP | ||||||||
4.750%, due 06/15/29 (c) | 25,000 | 18,625 | ||||||
Midcap Financial Issuer Trust | ||||||||
6.500%, due 05/01/28 (c) | 15,000 | 12,863 | ||||||
Morgan Stanley | ||||||||
2.188%, due 04/28/26 (SOFR Rate + 1.990%) (b) | 611,000 | 559,545 | ||||||
4.679%, due 07/17/26 (SOFR Rate + 1.669%) (b) | 883,000 | 859,352 | ||||||
2.484%, due 09/16/36 (SOFR Rate + 1.360%) (b) | 275,000 | 197,533 | ||||||
MPT Operating Partnership LP | ||||||||
3.500%, due 03/15/31 | 25,000 | 17,406 | ||||||
Nationstar Mortgage Holdings, Inc. | ||||||||
5.125%, due 12/15/30 (c) | 25,000 | 18,125 | ||||||
5.750%, due 11/15/31 (c) | 80,000 | 58,800 | ||||||
Navient Corp. | ||||||||
5.000%, due 03/15/27 | 20,000 | 16,300 | ||||||
4.875%, due 03/15/28 | 25,000 | 19,125 | ||||||
NFP Corp. | ||||||||
6.875%, due 08/15/28 (c) | 25,000 | 19,500 | ||||||
OneMain Finance Corp. | ||||||||
6.625%, due 01/15/28 | 65,000 | 55,250 | ||||||
Park Intermediate Holdings LLC | ||||||||
4.875%, due 05/15/29 (c) | 35,000 | 28,350 | ||||||
PennyMac Financial Services, Inc. | ||||||||
4.250%, due 02/15/29 (c) | 65,000 | 45,744 | ||||||
PRA Group, Inc. | ||||||||
5.000%, due 10/01/29 (c) | 25,000 | 20,250 | ||||||
Prudential Financial, Inc. | ||||||||
3.905%, due 12/07/47 | 135,000 | 103,291 | ||||||
Realogy Group LLC | ||||||||
5.750%, due 01/15/29 (c) | 25,000 | 18,000 | ||||||
5.250%, due 04/15/30 (c) | 55,000 | 37,538 | ||||||
RLJ Lodging Trust LP | ||||||||
4.000%, due 09/15/29 (c) | 25,000 | 19,594 | ||||||
Santander Holdings USA, Inc. | ||||||||
3.400%, due 01/18/23 | 215,000 | 214,097 | ||||||
2.490%, due 01/06/28 (SOFR Rate + 1.249%) (b) | 140,000 | 116,443 | ||||||
SBA Communications Corp. | ||||||||
3.875%, due 02/15/27 | 430,000 | 382,700 | ||||||
3.125%, due 02/01/29 | 220,000 | 176,939 | ||||||
Starwood Property Trust, Inc. | ||||||||
4.375%, due 01/15/27 (c) | 75,000 | 63,750 | ||||||
Synchrony Financial | ||||||||
2.875%, due 10/28/31 | 245,000 | 173,740 | ||||||
The Goldman Sachs Group, Inc. | ||||||||
1.375%, due 05/15/24 | EUR | 150,000 | 142,896 | |||||
3.375%, due 03/27/25 | EUR | 14,000 | 13,652 | |||||
2.618%, due 09/10/27 (SOFR Rate + 0.820%) (b) | $ | 245,000 | 232,988 | |||||
2.000%, due 11/01/28 | EUR | 63,000 | 54,125 | |||||
The Western Union Co. | ||||||||
1.350%, due 03/15/26 | $ | 85,000 | 73,566 | |||||
2.750%, due 03/15/31 | 190,000 | 145,361 | ||||||
United Wholesale Mortgage LLC | ||||||||
5.750%, due 06/15/27 (c) | 25,000 | 20,094 | ||||||
Uniti Group LP | ||||||||
6.000%, due 01/15/30 (c) | 25,000 | 15,875 | ||||||
US Bancorp | ||||||||
0.850%, due 06/07/24 | EUR | 445,000 | 418,528 | |||||
3.700%, Perpetual (5 Year CMT Rate + 2.541%) (b) | $ | 308,000 | 231,288 | |||||
USB Capital IX | ||||||||
3.532%, due 04/15/42 (3 Month U.S. LIBOR + 1.020%) (b) | 19,000 | 14,321 | ||||||
VICI Properties LP | ||||||||
4.625%, due 12/01/29 (c) | 70,000 | 60,900 | ||||||
4.125%, due 08/15/30 (c) | 165,000 | 137,363 | ||||||
5.125%, due 05/15/32 | 175,000 | 154,656 | ||||||
VistaJet Malta Finance PLC | ||||||||
6.375%, due 02/01/30 (c) | 25,000 | 20,125 | ||||||
Wells Fargo & Co. | ||||||||
4.540%, due 08/15/26 (SOFR Rate + 1.560%) (b) | 519,000 | 503,811 | ||||||
4.808%, due 07/25/28 (SOFR Rate + 1.980%) (b) | 45,000 | 42,975 | ||||||
4.650%, due 11/04/44 | 135,000 | 107,230 | ||||||
Welltower, Inc. | ||||||||
2.050%, due 01/15/29 | 140,000 | 112,082 | ||||||
Willis North America, Inc. | ||||||||
4.500%, due 09/15/28 | 125,000 | 115,847 | ||||||
XHR LP | ||||||||
4.875%, due 06/01/29 (c) | 25,000 | 20,625 | ||||||
11,764,345 | ||||||||
Industrial - 1.5% | ||||||||
AECOM | ||||||||
5.125%, due 03/15/27 | 320,000 | 299,200 | ||||||
Ardagh Metal Packaging Finance USA LLC | ||||||||
3.250%, due 09/01/28 (c) | 200,000 | 162,500 | ||||||
Ball Corp. | ||||||||
5.250%, due 07/01/25 | 220,000 | 215,050 | ||||||
4.875%, due 03/15/26 | 240,000 | 227,700 | ||||||
2.875%, due 08/15/30 | 215,000 | 162,325 | ||||||
Berry Global, Inc. | ||||||||
5.625%, due 07/15/27 (c) | 180,000 | 166,725 | ||||||
Brundage-Bone Concrete Pumping Holdings, Inc. | ||||||||
6.000%, due 02/01/26 (c) | 25,000 | 22,437 | ||||||
Builders FirstSource, Inc. | ||||||||
5.000%, due 03/01/30 (c) | 25,000 | 21,250 | ||||||
6.375%, due 06/15/32 (c) | 25,000 | 22,125 | ||||||
Cargo Aircraft Management, Inc. | ||||||||
4.750%, due 02/01/28 (c) | 25,000 | 21,500 | ||||||
Cascades, Inc. | ||||||||
5.375%, due 01/15/28 (c) | 25,000 | 21,312 | ||||||
Clydesdale Acquisition Holdings, Inc. | ||||||||
6.625%, due 04/15/29 (c) | 40,000 | 36,300 | ||||||
CSX Corp. | ||||||||
3.800%, due 11/01/46 | 145,000 | 110,656 | ||||||
Energizer Holdings, Inc. | ||||||||
4.750%, due 06/15/28 (c) | 50,000 | 39,500 | ||||||
FedEx Corp. | ||||||||
4.100%, due 02/01/45 | 78,000 | 56,376 | ||||||
Fortress Transportation and Infrastructure Investors LLC | ||||||||
5.500%, due 05/01/28 (c) | 25,000 | 20,062 | ||||||
Global Infrastructure Solutions, Inc. | ||||||||
5.625%, due 06/01/29 (c) | 25,000 | 18,500 | ||||||
GrafTech Finance, Inc. | ||||||||
4.625%, due 12/15/28 (c) | 25,000 | 18,969 | ||||||
Graham Packaging Co., Inc. | ||||||||
7.125%, due 08/15/28 (c) | 25,000 | 20,125 | ||||||
Granite US Holdings Corp. | ||||||||
11.000%, due 10/01/27 (c) | 25,000 | 23,375 | ||||||
Griffon Corp. | ||||||||
5.750%, due 03/01/28 | 30,000 | 25,800 | ||||||
Imola Merger Corp. | ||||||||
4.750%, due 05/15/29 (c) | 25,000 | 21,031 | ||||||
Koppers, Inc. | ||||||||
6.000%, due 02/15/25 (c) | 25,000 | 22,250 | ||||||
Madison IAQ LLC | ||||||||
4.125%, due 06/30/28 (c) | 40,000 | 32,200 | ||||||
New Enterprise Stone & Lime Co., Inc. | ||||||||
9.750%, due 07/15/28 (c) | 25,000 | 21,187 | ||||||
Owens Corning | ||||||||
4.400%, due 01/30/48 | 145,000 | 107,890 | ||||||
Packaging Corp. of America | ||||||||
3.000%, due 12/15/29 | 135,000 | 113,706 | ||||||
Parker-Hannifin Corp. | ||||||||
4.250%, due 09/15/27 | 60,000 | 57,108 | ||||||
Penske Truck Leasing Co. LP | ||||||||
4.200%, due 04/01/27 (c) | 120,000 | 111,378 | ||||||
PGT Innovations, Inc. | ||||||||
4.375%, due 10/01/29 (c) | 25,000 | 20,563 | ||||||
Raytheon Technologies Corp. | ||||||||
3.030%, due 03/15/52 | 165,000 | 108,471 | ||||||
Roller Bearing Co. of America, Inc. | ||||||||
4.375%, due 10/15/29 (c) | 25,000 | 20,875 | ||||||
Sealed Air Corp. | ||||||||
5.000%, due 04/15/29 (c) | 100,000 | 89,250 | ||||||
Sensata Technologies, Inc. | ||||||||
3.750%, due 02/15/31 (c) | 25,000 | 19,438 | ||||||
Standard Industries, Inc. | ||||||||
3.375%, due 01/15/31 (c) | 25,000 | 17,625 | ||||||
Stevens Holding Co., Inc. | ||||||||
6.125%, due 10/01/26 (c) | 25,000 | 24,313 | ||||||
The Boeing Co. | ||||||||
5.040%, due 05/01/27 | 265,000 | 255,355 | ||||||
2.950%, due 02/01/30 | 140,000 | 112,822 | ||||||
5.150%, due 05/01/30 | 570,000 | 525,334 | ||||||
TransDigm, Inc. | ||||||||
6.250%, due 03/15/26 (c) | 50,000 | 48,500 | ||||||
5.500%, due 11/15/27 | 50,000 | 43,375 | ||||||
Weekley Homes LLC | ||||||||
4.875%, due 09/15/28 (c) | 25,000 | 20,125 | ||||||
WRKCo, Inc. | ||||||||
3.750%, due 03/15/25 | 120,000 | 115,430 | ||||||
3,620,013 | ||||||||
Technology - 1.1% | ||||||||
Apple, Inc. | ||||||||
0.875%, due 05/24/25 | EUR | 215,000 | 201,171 | |||||
Broadcom, Inc. | ||||||||
3.500%, due 02/15/41 (c) | $ | 325,000 | 219,364 | |||||
Castle US Holding Corp. | ||||||||
9.500%, due 02/15/28 (c) | 10,000 | 7,350 | ||||||
CDW LLC | ||||||||
4.250%, due 04/01/28 | 165,000 | 145,612 | ||||||
3.250%, due 02/15/29 | 25,000 | 20,469 | ||||||
Clarivate Science Holdings Corp. | ||||||||
4.875%, due 07/01/29 (c) | 30,000 | 23,475 | ||||||
Condor Merger Sub, Inc. | ||||||||
7.375%, due 02/15/30 (c) | 25,000 | 20,500 | ||||||
Consensus Cloud Solutions, Inc. | ||||||||
6.500%, due 10/15/28 (c) | 25,000 | 21,500 | ||||||
Dell International LLC | ||||||||
8.350%, due 07/15/46 | 110,000 | 119,882 | ||||||
Fidelity National Information Services, Inc. | ||||||||
1.500%, due 05/21/27 | EUR | 210,000 | 184,018 | |||||
1.000%, due 12/03/28 | EUR | 100,000 | 80,563 | |||||
Fiserv, Inc. | ||||||||
1.125%, due 07/01/27 | EUR | 100,000 | 86,116 | |||||
Minerva Merger Sub, Inc. | ||||||||
6.500%, due 02/15/30 (c)(a) | $ | 45,000 | 35,437 | |||||
MSCI, Inc. | ||||||||
3.625%, due 09/01/30 (c) | 340,000 | 280,500 | ||||||
3.875%, due 02/15/31 (c) | 155,000 | 129,812 | ||||||
3.625%, due 11/01/31 (c) | 166,000 | 133,630 | ||||||
3.250%, due 08/15/33 (c) | 80,000 | 61,200 | ||||||
NCR Corp. | ||||||||
5.125%, due 04/15/29 (c) | 25,000 | 18,625 | ||||||
NetApp, Inc. | ||||||||
1.875%, due 06/22/25 | 125,000 | 114,175 | ||||||
NXP BV | ||||||||
3.875%, due 06/18/26 | 245,000 | 229,075 | ||||||
Oracle Corp. | ||||||||
3.800%, due 11/15/37 | 81,000 | 58,483 | ||||||
3.600%, due 04/01/50 | 140,000 | 87,650 | ||||||
3.950%, due 03/25/51 | 44,000 | 29,153 | ||||||
Picard Midco, Inc. | ||||||||
6.500%, due 03/31/29 (c) | 95,000 | 80,513 | ||||||
Playtika Holding Corp. | ||||||||
4.250%, due 03/15/29 (c) | 25,000 | 19,844 | ||||||
Qorvo, Inc. | ||||||||
1.750%, due 12/15/24 (c) | 45,000 | 40,950 | ||||||
Rackspace Technology Global, Inc. | ||||||||
5.375%, due 12/01/28 (c) | 5,000 | 2,288 | ||||||
Veritas US, Inc. | ||||||||
7.500%, due 09/01/25 (c) | 25,000 | 18,906 | ||||||
Virtusa Corp. | ||||||||
7.125%, due 12/15/28 (c) | 25,000 | 18,344 | ||||||
2,488,605 | ||||||||
Utilities - 1.2% | ||||||||
Calpine Corp. | ||||||||
5.125%, due 03/15/28 (c) | 40,000 | 34,600 | ||||||
4.625%, due 02/01/29 (c) | 15,000 | 12,206 | ||||||
Clearway Energy Operating LLC | ||||||||
4.750%, due 03/15/28 (c) | 25,000 | 22,250 | ||||||
Dominion Energy, Inc. | ||||||||
4.650%, due 06/15/25 (5 Year CMT Rate + 2.993%) (b) | 128,000 | 113,280 | ||||||
DPL, Inc. | ||||||||
4.125%, due 07/01/25 | 270,000 | 249,075 | ||||||
DTE Energy Co. | ||||||||
1.050%, due 06/01/25 | 75,000 | 67,124 | ||||||
4.220%, due 11/01/25 | 60,000 | 58,736 | ||||||
Duke Energy Carolinas LLC | ||||||||
3.550%, due 03/15/52 | 40,000 | 29,120 | ||||||
Duke Energy Corp. | ||||||||
4.875%, due 03/16/25 (5 Year CMT Rate + 3.388%) (b) | 51,000 | 45,964 | ||||||
4.300%, due 03/15/28 | 70,000 | 65,921 | ||||||
Duke Energy Florida LLC | ||||||||
4.200%, due 07/15/48 | 38,000 | 31,052 | ||||||
Duke Energy Indiana LLC | ||||||||
3.250%, due 10/01/49 | 53,000 | 36,062 | ||||||
Essential Utilities, Inc. | ||||||||
2.704%, due 04/15/30 | 135,000 | 109,828 | ||||||
Exelon Corp. | ||||||||
4.100%, due 03/15/52 (c) | 35,000 | 26,944 | ||||||
FirstEnergy Corp. | ||||||||
4.400%, due 07/15/27 | 180,000 | 166,950 | ||||||
7.375%, due 11/15/31 | 320,000 | 350,904 | ||||||
Mercury Chile Holdco LLC | ||||||||
6.500%, due 01/24/27 (c) | 200,000 | 174,750 | ||||||
Monongahela Power Co. | ||||||||
5.400%, due 12/15/43 (c) | 85,000 | 78,349 | ||||||
National Rural Utilities Cooperative Finance Corp. | ||||||||
4.750%, due 04/30/43 (3 Month U.S. LIBOR + 2.910%) (b) | 167,000 | 153,640 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
5.650%, due 05/01/79 (3 Month U.S. LIBOR + 3.156%) (b) | 110,000 | 96,250 | ||||||
NRG Energy, Inc. | ||||||||
3.625%, due 02/15/31 (c) | 60,000 | 46,800 | ||||||
Pacific Gas and Electric Co. | ||||||||
2.500%, due 02/01/31 | 155,000 | 112,305 | ||||||
Pike Corp. | ||||||||
5.500%, due 09/01/28 (c) | 70,000 | 56,700 | ||||||
Pinnacle West Capital Corp. | ||||||||
1.300%, due 06/15/25 | 80,000 | 71,424 | ||||||
South Jersey Industries, Inc. | ||||||||
5.020%, due 04/15/31 | 136,000 | 114,548 | ||||||
The AES Corp. | ||||||||
3.950%, due 07/15/30 (c) | 30,000 | 25,592 | ||||||
The Brooklyn Union Gas Co. | ||||||||
4.487%, due 03/04/49 (c) | 145,000 | 108,873 | ||||||
The Southern Co. | ||||||||
4.475%, due 08/01/24 | 102,000 | 100,365 | ||||||
4.000%, due 01/15/51 (5 Year CMT Rate + 3.733%) (b) | 130,000 | 115,212 | ||||||
3.750%, due 09/15/51 (5 Year CMT Rate + 2.915%) (b) | 135,000 | 110,157 | ||||||
Virginia Electric and Power Co. | ||||||||
3.750%, due 05/15/27 | 55,000 | 51,945 | ||||||
Vistra Operations Co. LLC | ||||||||
5.625%, due 02/15/27 (c) | 25,000 | 23,375 | ||||||
WEC Energy Group, Inc. | ||||||||
0.800%, due 03/15/24 | 71,000 | 66,600 | ||||||
2,926,901 | ||||||||
Total Corporate Bonds (Cost $57,938,940) | 49,125,512 | |||||||
FOREIGN BONDS - 19.6% | ||||||||
Australia - 0.7% | ||||||||
Asian Development Bank | ||||||||
3.000%, due 10/14/26 | AUD | 130,000 | 78,881 | |||||
Australia Government Bond | ||||||||
0.250%, due 11/21/24 | AUD | 455,000 | 272,263 | |||||
0.500%, due 09/21/26 | AUD | 155,000 | 87,813 | |||||
FMG Resources August 2006 Pty Ltd. | ||||||||
4.375%, due 04/01/31 (c) | $ | 180,000 | 137,700 | |||||
Inter-American Development Bank | ||||||||
2.750%, due 10/30/25 | AUD | 115,000 | 70,268 | |||||
2.700%, due 01/29/26 | AUD | 135,000 | 82,182 | |||||
International Finance Corp. | ||||||||
3.600%, due 02/24/26 | AUD | 310,000 | 194,560 | |||||
Macquarie Group Ltd. | ||||||||
5.108%, due 08/09/26 (SOFR Rate + 2.208%) (b)(c) | $ | 140,000 | 137,315 | |||||
Mineral Resources Ltd. | ||||||||
8.000%, due 11/01/27 (c) | 15,000 | 14,438 | ||||||
New South Wales Treasury Corp. | ||||||||
1.250%, due 03/20/25 | AUD | 325,000 | 195,362 | |||||
3.000%, due 05/20/27 | AUD | 380,000 | 231,984 | |||||
Nufarm Australia Ltd. | ||||||||
5.000%, due 01/27/30 (c) | $ | 20,000 | 16,600 | |||||
Queensland Treasury Corp. | ||||||||
2.750%, due 08/20/27 (c) | AUD | 190,000 | 114,470 | |||||
Westpac Banking Corp. | ||||||||
3.020%, due 11/18/36 (5 Year CMT Rate + 1.530%) (b) | $ | 150,000 | 110,118 | |||||
1,743,954 | ||||||||
Austria - 0.0% (f) | ||||||||
Republic of Austria Government Bond | ||||||||
0.500%, due 02/20/29 (c) | EUR | 140,000 | 120,495 | |||||
Bermuda - 0.1% | ||||||||
Digicel Group Holdings Ltd. | ||||||||
8.000%, due 04/01/25 (c) | $ | 67,290 | 26,512 | |||||
7.000%, due 12/29/49 (c)(e) | 95,549 | 19,110 | ||||||
NCL Corp. Ltd. | ||||||||
5.875%, due 02/15/27 (c) | 30,000 | 25,050 | ||||||
7.750%, due 02/15/29 (c) | 25,000 | 19,000 | ||||||
Triton Container International Ltd. | ||||||||
3.250%, due 03/15/32 | 140,000 | 104,123 | ||||||
Viking Cruises Ltd. | ||||||||
13.000%, due 05/15/25 (c) | 10,000 | 10,300 | ||||||
5.875%, due 09/15/27 (c) | 90,000 | 68,625 | ||||||
Weatherford International Ltd. | ||||||||
6.500%, due 09/15/28 (c) | 30,000 | 27,075 | ||||||
8.625%, due 04/30/30 (c) | 25,000 | 21,812 | ||||||
321,607 | ||||||||
Brazil - 0.6% | ||||||||
Brazil Notas do Tesouro Nacional Serie F | ||||||||
10.000%, due 01/01/25 | BRL | 2,210 | 396,233 | |||||
Brazilian Government International Bond | ||||||||
5.625%, due 02/21/47 | $ | 500,000 | 383,125 | |||||
Globo Comunicacao e Participacoes SA | ||||||||
5.500%, due 01/14/32 (c) | 200,000 | 149,000 | ||||||
Natura Cosmeticos SA | ||||||||
4.125%, due 05/03/28 (c) | 200,000 | 156,500 | ||||||
Nota do Tesouro Nacional | ||||||||
10.000%, due 01/01/23 | BRL | 920 | 169,036 | |||||
Simpar Finance Sarl | ||||||||
10.750%, due 02/12/28 (c) | BRL | 590,000 | 91,533 | |||||
1,345,427 | ||||||||
Britain - 0.9% | ||||||||
Barclays PLC | ||||||||
4.375%, Perpetual (5 Year CMT Rate + 3.410%) (b) | $ | 200,000 | 124,000 | |||||
European Investment Bank | ||||||||
0.399%, due 06/29/23 (SONIA Rate + 0.350%) (b) | GBP | 200,000 | 223,691 | |||||
International Finance Corp. | ||||||||
2.550%, due 09/18/23 | CNY | 720,000 | 101,017 | |||||
MARB BondCo PLC | ||||||||
3.950%, due 01/29/31 (c) | $ | 400,000 | 288,446 | |||||
Royalty Pharma PLC | ||||||||
3.300%, due 09/02/40 | 170,000 | 114,670 | ||||||
United Kingdom Gilt | ||||||||
0.125%, due 01/31/24 | GBP | 235,000 | 248,298 | |||||
0.250%, due 01/31/25 | GBP | 75,000 | 75,693 | |||||
Vedanta Resources Finance II PLC | ||||||||
9.250%, due 04/23/26 (c) | $ | 200,000 | 114,250 | |||||
Virgin Media Finance PLC | ||||||||
5.000%, due 07/15/30 (c) | 200,000 | 146,750 | ||||||
Virgin Media Secured Finance PLC | ||||||||
5.500%, due 05/15/29 (c) | 276,000 | 235,290 | ||||||
4.500%, due 08/15/30 (c) | 200,000 | 157,170 | ||||||
Vmed O2 UK Financing I PLC | ||||||||
3.250%, due 01/31/31 (c) | EUR | 150,000 | 110,629 | |||||
4.250%, due 01/31/31 (c) | $ | 415,000 | 312,287 | |||||
2,252,191 | ||||||||
Canada - 2.7% | ||||||||
1011778 BC ULC | ||||||||
3.875%, due 01/15/28 (c) | 327,000 | 282,855 | ||||||
3.500%, due 02/15/29 (c) | 336,000 | 277,200 | ||||||
4.000%, due 10/15/30 (c) | 551,000 | 432,535 | ||||||
Air Canada | ||||||||
4.000%, due 07/01/25 | 100,000 | 107,754 | ||||||
Bank of Montreal | ||||||||
3.803%, due 12/15/32 (5 Year USD Swap Rate + 1.432%) (b) | 130,000 | 112,287 | ||||||
Bausch Health Cos., Inc. | ||||||||
6.125%, due 02/01/27 (c) | 20,000 | 13,800 | ||||||
6.250%, due 02/15/29 (c) | 20,000 | 7,550 | ||||||
Baytex Energy Corp. | ||||||||
8.750%, due 04/01/27 (c) | 25,000 | 25,125 | ||||||
Canada Housing Trust No 1 | ||||||||
1.950%, due 12/15/25 (c) | CAD | 295,000 | 201,777 | |||||
1.250%, due 06/15/26 (c) | CAD | 390,000 | 258,670 | |||||
Canadian Government Bond | ||||||||
1.500%, due 09/01/24 | CAD | 240,000 | 166,571 | |||||
2.250%, due 12/01/29 | CAD | 310,000 | 210,774 | |||||
Canadian Pacific Railway Co. | ||||||||
1.350%, due 12/02/24 | $ | 70,000 | 64,721 | |||||
Cenovus Energy, Inc. | ||||||||
3.500%, due 02/07/28 | CAD | 100,000 | 67,324 | |||||
5.250%, due 06/15/37 | $ | 44,000 | 38,584 | |||||
6.750%, due 11/15/39 | 434,000 | 431,311 | ||||||
5.400%, due 06/15/47 | 154,000 | 132,083 | ||||||
CPPIB Capital, Inc. | ||||||||
2.250%, due 12/01/31 (c) | CAD | 145,000 | 90,993 | |||||
Enbridge, Inc. | ||||||||
3.125%, due 11/15/29 | $ | 175,000 | 149,722 | |||||
Garda World Security Corp. | ||||||||
6.000%, due 06/01/29 (c) | 35,000 | 25,725 | ||||||
GFL Environmental, Inc. | ||||||||
4.000%, due 08/01/28 (c) | 25,000 | 20,812 | ||||||
Hudbay Minerals, Inc. | ||||||||
4.500%, due 04/01/26 (c) | 25,000 | 20,688 | ||||||
Intelligent Packaging Ltd. Co-Issuer LLC | ||||||||
6.000%, due 09/15/28 (c) | 25,000 | 19,750 | ||||||
International Bank for Reconstruction & Development | ||||||||
1.900%, due 01/16/25 | CAD | 260,000 | 179,929 | |||||
1.800%, due 01/19/27 | CAD | 145,000 | 96,707 | |||||
Mattamy Group Corp. | ||||||||
4.625%, due 03/01/30 (c) | $ | 45,000 | 34,270 | |||||
MEG Energy Corp. | ||||||||
7.125%, due 02/01/27 (c) | 45,000 | 45,563 | ||||||
5.875%, due 02/01/29 (c) | 10,000 | 8,925 | ||||||
Open Text Corp. | ||||||||
3.875%, due 02/15/28 (c) | 25,000 | 20,625 | ||||||
Parkland Corp. | ||||||||
4.500%, due 10/01/29 (c) | 40,000 | 32,350 | ||||||
Province of Ontario Canada | ||||||||
2.900%, due 06/02/28 | CAD | 275,000 | 190,062 | |||||
1.350%, due 12/02/30 | CAD | 1,175,000 | 703,937 | |||||
3.450%, due 06/02/45 | CAD | 195,000 | 125,569 | |||||
Province of Quebec Canada | ||||||||
3.000%, due 09/01/23 | CAD | 325,000 | 233,049 | |||||
1.500%, due 12/15/23 | GBP | 105,000 | 112,772 | |||||
0.200%, due 04/07/25 | EUR | 200,000 | 183,829 | |||||
Royal Bank of Canada | ||||||||
4.200%, Perpetual (5 Year Canadian Government Bond Rate + 2.710%) (b) | CAD | 200,000 | 118,223 | |||||
St Marys Cement, Inc. | ||||||||
5.750%, due 01/28/27 (c) | $ | 200,000 | 191,750 | |||||
Strathcona Resources Ltd. | ||||||||
6.875%, due 08/01/26 (c) | 25,000 | 21,250 | ||||||
Superior Plus LP | ||||||||
4.500%, due 03/15/29 (c) | 40,000 | 32,800 | ||||||
Taseko Mines Ltd. | ||||||||
7.000%, due 02/15/26 (c) | 25,000 | 19,813 | ||||||
The Bank of Nova Scotia | ||||||||
3.450%, due 04/11/25 | 240,000 | 229,857 | ||||||
The Toronto-Dominion Bank | ||||||||
4.693%, due 09/15/27 | 375,000 | 360,598 | ||||||
TransCanada PipeLines Ltd. | ||||||||
1.000%, due 10/12/24 | 143,000 | 131,778 | ||||||
4.100%, due 04/15/30 | 310,000 | 277,080 | ||||||
6,509,347 | ||||||||
Cayman Islands - 0.2% | ||||||||
Avolon Holdings Funding Ltd. | ||||||||
3.250%, due 02/15/27 (c) | 235,000 | 194,462 | ||||||
Bioceanico Sovereign Certificate Ltd. | ||||||||
0.000%, due 06/05/34 | 140,418 | 88,463 | ||||||
Global Aircraft Leasing Co. Ltd. | ||||||||
7.250%, due 09/15/24 (c) | 50,072 | 37,617 | ||||||
Rutas 2 and 7 Finance Ltd. | ||||||||
0.000%, due 09/30/36 | 193,333 | 116,967 | ||||||
Seagate HDD Cayman | ||||||||
4.091%, due 06/01/29 | 10,000 | 7,875 | ||||||
Transocean Poseidon Ltd. | ||||||||
6.875%, due 02/01/27 (c) | 39,375 | 36,127 | ||||||
481,511 | ||||||||
Chile - 0.5% | ||||||||
CAP SA | ||||||||
3.900%, due 04/27/31 (c)(a) | 200,000 | 140,000 | ||||||
Chile Electricity PEC SpA | ||||||||
0.000%, due 01/25/28 (c) | 200,000 | 141,250 | ||||||
Chile Government International Bond | ||||||||
3.100%, due 05/07/41 | 600,000 | 405,759 | ||||||
Empresa Electrica Angamos SA | ||||||||
4.875%, due 05/25/29 | 121,700 | 107,096 | ||||||
Empresa Electrica Cochrane SpA | ||||||||
5.500%, due 05/14/27 | 146,300 | 130,803 | ||||||
Guacolda Energia SA | ||||||||
4.560%, due 04/30/25 | 200,000 | 66,250 | ||||||
Inversiones La Construccion SA | ||||||||
4.750%, due 02/07/32 | 200,000 | 145,500 | ||||||
1,136,658 | ||||||||
China - 0.4% | ||||||||
China Government Bond | ||||||||
2.880%, due 11/05/23 | CNY | 2,980,000 | 424,476 | |||||
1.990%, due 04/09/25 | CNY | 2,720,000 | 380,637 | |||||
2.690%, due 08/12/26 | CNY | 910,000 | 129,266 | |||||
934,379 | ||||||||
Colombia - 0.9% | ||||||||
Colombia Government International Bond | ||||||||
3.125%, due 04/15/31 | $ | 200,000 | 138,051 | |||||
3.250%, due 04/22/32 | 405,000 | 271,475 | ||||||
5.000%, due 06/15/45 | 200,000 | 121,639 | ||||||
4.125%, due 05/15/51 | 200,000 | 106,239 | ||||||
Colombian TES | ||||||||
10.000%, due 07/24/24 | COP | 1,310,000,000 | 275,728 | |||||
6.250%, due 11/26/25 | COP | 750,000,000 | 137,788 | |||||
7.500%, due 08/26/26 | COP | 770,000,000 | 142,293 | |||||
Ecopetrol SA | ||||||||
5.375%, due 06/26/26 | $ | 45,000 | 40,725 | |||||
6.875%, due 04/29/30 | 145,000 | 121,619 | ||||||
4.625%, due 11/02/31 | 140,000 | 97,650 | ||||||
5.875%, due 05/28/45 | 95,000 | 56,881 | ||||||
5.875%, due 11/02/51 | 300,000 | 175,875 | ||||||
Empresas Publicas de Medellin ESP | ||||||||
4.375%, due 02/15/31 | 400,000 | 276,463 | ||||||
Oleoducto Central SA | ||||||||
4.000%, due 07/14/27 | 200,000 | 154,239 | ||||||
2,116,665 | ||||||||
Dominican Republic - 0.1% | ||||||||
Dominican Republic International Bond | ||||||||
6.000%, due 02/22/33 (c) | 150,000 | 121,688 | ||||||
5.875%, due 01/30/60 | 150,000 | 98,625 | ||||||
220,313 | ||||||||
France - 0.2% | ||||||||
BNP Paribas SA | ||||||||
2.219%, due 06/09/26 (SOFR Rate + 2.074%) (b)(c) | 220,000 | 197,464 | ||||||
Engie SA | ||||||||
0.375%, due 06/21/27 | EUR | 100,000 | 84,701 | |||||
TotalEnergies Capital International SA | ||||||||
3.386%, due 06/29/60 | $ | 135,000 | 88,199 | |||||
370,364 | ||||||||
Germany - 0.0% (f) | ||||||||
E.ON SE | ||||||||
0.375%, due 09/29/27 | EUR | 65,000 | 54,360 | |||||
Greece - 0.2% | ||||||||
Hellenic Republic Government Bond | ||||||||
2.000%, due 04/22/27 (c) | EUR | 230,000 | 206,859 | |||||
1.500%, due 06/18/30 (c) | EUR | 205,000 | 161,093 | |||||
4.200%, due 01/30/42 | EUR | 190,000 | 171,847 | |||||
539,799 | ||||||||
India - 0.3% | ||||||||
Adani International Container Terminal Pvt Ltd. | ||||||||
3.000%, due 02/16/31 | $ | 192,000 | 148,080 | |||||
Export-Import Bank of India | ||||||||
3.875%, due 02/01/28 (c) | 200,000 | 181,708 | ||||||
Indian Railway Finance Corp. Ltd. | ||||||||
3.249%, due 02/13/30 (c) | 200,000 | 163,623 | ||||||
JSW Steel Ltd. | ||||||||
5.050%, due 04/05/32 | 400,000 | 282,000 | ||||||
775,411 | ||||||||
Indonesia - 1.5% | ||||||||
Freeport Indonesia PT | ||||||||
5.315%, due 04/14/32 (c) | 200,000 | 165,000 | ||||||
Indonesia Asahan Aluminium Persero PT | ||||||||
4.750%, due 05/15/25 (c) | 225,000 | 217,688 | ||||||
5.800%, due 05/15/50 | 200,000 | 149,750 | ||||||
Indonesia Government International Bond | ||||||||
2.625%, due 06/14/23 (c) | EUR | 250,000 | 243,443 | |||||
2.150%, due 07/18/24 (c) | EUR | 150,000 | 142,328 | |||||
3.850%, due 10/15/30 (a) | $ | 200,000 | 179,251 | |||||
1.100%, due 03/12/33 | EUR | 100,000 | 66,449 | |||||
3.700%, due 10/30/49 | $ | 200,000 | 143,497 | |||||
3.050%, due 03/12/51 | 200,000 | 131,997 | ||||||
Indonesia Treasury Bond | ||||||||
6.500%, due 06/15/25 | IDR | 6,493,000,000 | 423,457 | |||||
8.375%, due 09/15/26 | IDR | 1,606,000,000 | 110,635 | |||||
6.125%, due 05/15/28 | IDR | 1,631,000,000 | 101,828 | |||||
9.000%, due 03/15/29 | IDR | 1,457,000,000 | 103,653 | |||||
8.750%, due 05/15/31 | IDR | 3,000,000,000 | 212,241 | |||||
6.375%, due 04/15/32 | IDR | 6,625,000,000 | 405,223 | |||||
6.625%, due 05/15/33 | IDR | 1,779,000,000 | 109,456 | |||||
7.500%, due 06/15/35 | IDR | 1,015,000,000 | 66,382 | |||||
7.500%, due 05/15/38 | IDR | 1,447,000,000 | 94,997 | |||||
Perusahaan Penerbit SBSN Indonesia III | ||||||||
4.150%, due 03/29/27 (c) | $ | 200,000 | 191,000 | |||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | ||||||||
4.125%, due 05/15/27 (c) | 250,000 | 231,250 | ||||||
3,489,525 | ||||||||
Ireland - 0.2% | ||||||||
C&W Senior Financing DAC | ||||||||
6.875%, due 09/15/27 | 200,000 | 162,000 | ||||||
Ireland Government Bond | ||||||||
1.100%, due 05/15/29 | EUR | 45,000 | 40,741 | |||||
Johnson Controls International PLC | ||||||||
0.375%, due 09/15/27 | EUR | 100,000 | 82,721 | |||||
LCPR Senior Secured Financing DAC | ||||||||
5.125%, due 07/15/29 (c) | $ | 200,000 | 150,750 | |||||
436,212 | ||||||||
Isle Of Man - 0.1% | ||||||||
AngloGold Ashanti Holdings PLC | ||||||||
3.750%, due 10/01/30 | 200,000 | 154,156 | ||||||
Israel - 0.3% | ||||||||
Bank Hapoalim BM | ||||||||
3.255%, due 01/21/32 | 200,000 | 166,352 | ||||||
Bank Leumi Le-Israel BM | ||||||||
3.275%, due 01/29/31 (5 Year CMT Rate + 1.631%) (b)(c) | 200,000 | 170,070 | ||||||
Israel Electric Corp. Ltd. | ||||||||
6.875%, due 06/21/23 (c) | 200,000 | 201,610 | ||||||
3.750%, due 02/22/32 (c) | 200,000 | 171,691 | ||||||
709,723 | ||||||||
Italy - 0.2% | ||||||||
Intesa Sanpaolo SpA | ||||||||
4.198%, due 06/01/32 (1 Year CMT Rate + 2.600%) (b)(c) | 200,000 | 134,547 | ||||||
Italy Buoni Poliennali Del Tesoro | ||||||||
1.850%, due 07/01/25 (c) | EUR | 280,000 | 263,954 | |||||
Republic of Italy Government International Bond | ||||||||
1.250%, due 02/17/26 | $ | 200,000 | 170,733 | |||||
569,234 | ||||||||
Japan - 0.4% | ||||||||
Japan Government Five Year Bond | ||||||||
0.100%, due 06/20/25 | JPY | 101,850,000 | 706,497 | |||||
0.005%, due 03/20/27 | JPY | 25,000,000 | 172,521 | |||||
879,018 | ||||||||
Jersey - 0.1% | ||||||||
Galaxy Pipeline Assets Bidco Ltd. | ||||||||
2.160%, due 03/31/34 (c) | $ | 192,172 | 157,060 | |||||
Liberia - 0.2% | ||||||||
Royal Caribbean Cruises Ltd. | ||||||||
9.125%, due 06/15/23 (c) | 10,000 | 10,150 | ||||||
4.250%, due 07/01/26 (c) | 240,000 | 179,400 | ||||||
11.625%, due 08/15/27 (c) | 60,000 | 55,350 | ||||||
5.500%, due 04/01/28 (c) | 295,000 | 206,500 | ||||||
451,400 | ||||||||
Luxembourg - 1.1% | ||||||||
Allergan Funding SCS | ||||||||
1.250%, due 06/01/24 | EUR | 100,000 | 93,813 | |||||
2.625%, due 11/15/28 | EUR | 100,000 | 87,325 | |||||
Atento Luxco 1 SA | ||||||||
8.000%, due 02/10/26 (c) | $ | 23,000 | 9,775 | |||||
Becton Dickinson Euro Finance Sarl | ||||||||
1.208%, due 06/04/26 | EUR | 245,000 | 220,576 | |||||
DH Europe Finance II Sarl | ||||||||
0.450%, due 03/18/28 | EUR | 310,000 | 256,690 | |||||
EverArc Escrow Sarl | ||||||||
5.000%, due 10/30/29 (c) | $ | 60,000 | 48,375 | |||||
FS Luxembourg Sarl | ||||||||
10.000%, due 12/15/25 (c) | 200,000 | 201,500 | ||||||
Intelsat Jackson Holdings SA | ||||||||
6.500%, due 03/15/30 (c) | 30,000 | 25,506 | ||||||
Kenbourne Invest SA | ||||||||
4.700%, due 01/22/28 (c) | 200,000 | 152,269 | ||||||
MC Brazil Downstream Trading SARL | ||||||||
7.250%, due 06/30/31 (c) | 200,000 | 149,500 | ||||||
7.250%, due 06/30/31 | 200,000 | 149,500 | ||||||
Millicom International Cellular SA | ||||||||
4.500%, due 04/27/31 (c) | 200,000 | 142,500 | ||||||
Movida Europe SA | ||||||||
5.250%, due 02/08/31 | 200,000 | 141,250 | ||||||
Petrorio Luxembourg Trading Sarl | ||||||||
6.125%, due 06/09/26 (c) | 200,000 | 182,000 | ||||||
Rede D'or Finance Sarl | ||||||||
4.950%, due 01/17/28 (c) | 200,000 | 176,500 | ||||||
Simpar Europe SA | ||||||||
5.200%, due 01/26/31 | 200,000 | 138,750 | ||||||
Swiss Insured Brazil Power Finance Sarl | ||||||||
9.850%, due 07/16/32 (c) | BRL | 1,766,473 | 299,633 | |||||
Telecom Italia Capital SA | ||||||||
6.375%, due 11/15/33 | $ | 25,000 | 19,438 | |||||
Trinseo Materials Operating SCA | ||||||||
5.125%, due 04/01/29 (c) | 20,000 | 11,800 | ||||||
2,506,700 | ||||||||
Malaysia - 0.4% | ||||||||
Malaysia Government Bond | ||||||||
4.059%, due 09/30/24 | MYR | 875,000 | 190,060 | |||||
3.882%, due 03/14/25 | MYR | 805,000 | 174,083 | |||||
3.900%, due 11/30/26 | MYR | 360,000 | 77,279 | |||||
3.899%, due 11/16/27 | MYR | 975,000 | 208,859 | |||||
3.733%, due 06/15/28 | MYR | 400,000 | ��83,958 | |||||
3.844%, due 04/15/33 | MYR | 980,000 | 198,413 | |||||
3.828%, due 07/05/34 | MYR | 360,000 | 71,638 | |||||
1,004,290 | ||||||||
Mauritius - 0.2% | ||||||||
Greenko Wind Projects Mauritius Ltd. | ||||||||
5.500%, due 04/06/25 (c) | $ | 205,000 | 180,913 | |||||
Network i2i Ltd. | ||||||||
3.975%, Perpetual (5 Year CMT Rate + 3.390%) (b) | 200,000 | 162,250 | ||||||
UPL Corp. Ltd. | ||||||||
4.625%, due 06/16/30 | 200,000 | 158,000 | ||||||
501,163 | ||||||||
Mexico - 1.6% | ||||||||
Banco Actinver SA | ||||||||
9.500%, due 12/18/32 (c) | MXN | 3,000,000 | 84,908 | |||||
Banco Mercantil del Norte SA | ||||||||
6.625%, Perpetual (10 Year CMT Rate + 5.034%) (b) | $ | 300,000 | 237,000 | |||||
BBVA Bancomer SA | ||||||||
5.125%, due 01/18/33 (5 Year CMT Rate + 2.650%) (b) | 200,000 | 164,060 | ||||||
Becle SAB de CV | ||||||||
2.500%, due 10/14/31 (c) | 205,000 | 156,820 | ||||||
Braskem Idesa SAPI | ||||||||
6.990%, due 02/20/32 (c) | 200,000 | 134,452 | ||||||
6.990%, due 02/20/32 | 200,000 | 134,926 | ||||||
Cemex SAB de CV | ||||||||
3.875%, due 07/11/31 (c) | 200,000 | 157,250 | ||||||
5.125%, Perpetual (5 Year CMT Rate + 4.534%) (b) | 200,000 | 161,750 | ||||||
Mexican Bonos | ||||||||
5.000%, due 03/06/25 | MXN | 52,500 | 232,652 | |||||
5.750%, due 03/05/26 | MXN | 48,300 | 211,555 | |||||
7.500%, due 06/03/27 | MXN | 110,200 | 514,245 | |||||
7.750%, due 05/29/31 | MXN | 71,000 | 321,157 | |||||
Mexico Government International Bond | ||||||||
2.659%, due 05/24/31 | $ | 200,000 | 152,964 | |||||
3.500%, due 02/12/34 | 350,000 | 265,037 | ||||||
4.280%, due 08/14/41 | 650,000 | 472,555 | ||||||
Petroleos Mexicanos | ||||||||
6.750%, due 09/21/47 | 200,000 | 111,700 | ||||||
Total Play Telecomunicaciones SA de CV | ||||||||
7.500%, due 11/12/25 (c) | 205,000 | 173,225 | ||||||
Unifin Financiera SAB de CV | ||||||||
8.875%, due 07/29/25 (5 Year CMT Rate + 6.308%) (b)(e) | 200,000 | 2,000 | ||||||
�� | 3,688,256 | |||||||
Netherlands - 0.7% | ||||||||
Airbus SE | ||||||||
1.625%, due 06/09/30 | EUR | 100,000 | 84,568 | |||||
BMW Finance NV | ||||||||
1.000%, due 11/14/24 | EUR | 75,000 | 70,677 | |||||
BNG Bank NV | ||||||||
0.250%, due 06/07/24 | EUR | 120,000 | 113,238 | |||||
Braskem Netherlands Finance BV | ||||||||
5.875%, due 01/31/50 (c) | $ | 200,000 | 139,500 | |||||
Greenko Dutch BV | ||||||||
3.850%, due 03/29/26 (c) | 191,000 | 155,187 | ||||||
ING Groep NV | ||||||||
5.750%, Perpetual (5 Year CMT Rate + 4.342%) (b) | 200,000 | 172,000 | ||||||
Minejesa Capital BV | ||||||||
4.625%, due 08/10/30 | 200,000 | 164,000 | ||||||
5.625%, due 08/10/37 | 400,000 | 286,000 | ||||||
MV24 Capital BV | ||||||||
6.748%, due 06/01/34 | 177,780 | 149,780 | ||||||
Petrobras Global Finance BV | ||||||||
6.750%, due 06/03/50 | 200,000 | 162,500 | ||||||
VTR Finance NV | ||||||||
6.375%, due 07/15/28 (c) | 200,000 | 110,000 | ||||||
6.375%, due 07/15/28 | 200,000 | 110,000 | ||||||
1,717,450 | ||||||||
New Zealand - 0.6% | ||||||||
International Bank for Reconstruction & Development | ||||||||
2.875%, due 11/30/26 | NZD | 155,000 | 80,313 | |||||
International Finance Corp. | ||||||||
0.375%, due 09/10/25 | NZD | 250,000 | 122,782 | |||||
New Zealand Government Bond | ||||||||
0.500%, due 05/15/24 | NZD | 985,000 | 519,591 | |||||
0.500%, due 05/15/26 | NZD | 645,000 | 315,916 | |||||
4.500%, due 04/15/27 | NZD | 120,000 | 67,825 | |||||
New Zealand Local Government Funding Agency Bond | ||||||||
1.500%, due 04/15/26 | NZD | 155,000 | 77,013 | |||||
4.500%, due 04/15/27 | NZD | 270,000 | 148,153 | |||||
1,331,593 | ||||||||
Norway - 0.7% | ||||||||
Aker BP ASA | ||||||||
3.750%, due 01/15/30 (c) | $ | 185,000 | 157,712 | |||||
Kommunalbanken AS | ||||||||
5.250%, due 07/15/24 | AUD | 178,000 | 115,736 | |||||
4.250%, due 07/16/25 | AUD | 184,000 | 117,198 | |||||
Nordea Eiendomskreditt AS | ||||||||
3.120%, due 06/21/23 (3 Month NIBOR + 0.300%) (b) | NOK | 1,000,000 | 91,941 | |||||
3.100%, due 06/19/24 (3 Month NIBOR + 0.340%) (b) | NOK | 1,000,000 | 91,886 | |||||
Nordic Investment Bank | ||||||||
1.875%, due 04/10/24 | NOK | 980,000 | 87,914 | |||||
Norway Government Bond | ||||||||
2.000%, due 05/24/23 (c) | NOK | 2,650,000 | 242,038 | |||||
1.750%, due 03/13/25 (c) | NOK | 3,790,000 | 336,587 | |||||
1.500%, due 02/19/26 (c) | NOK | 1,625,000 | 141,145 | |||||
1.750%, due 02/17/27 (c) | NOK | 1,790,000 | 154,695 | |||||
2.125%, due 05/18/32 (c) | NOK | 2,470,000 | 204,253 | |||||
1,741,105 | ||||||||
Panama - 0.3% | ||||||||
Carnival Corp. | ||||||||
5.750%, due 03/01/27 (c) | $ | 325,000 | 227,500 | |||||
Panama Government International Bond | ||||||||
2.252%, due 09/29/32 | 200,000 | 141,000 | ||||||
4.300%, due 04/29/53 | 300,000 | 201,000 | ||||||
UEP Penonome II SA | ||||||||
6.500%, due 10/01/38 | 189,725 | 166,009 | ||||||
735,509 | ||||||||
Peru - 0.4% | ||||||||
Banco de Credito del Peru S.A. | ||||||||
3.125%, due 07/01/30 (5 Year CMT Rate + 3.000%) (b) | 400,000 | 349,321 | ||||||
Banco Internacional del Peru SAA Interbank | ||||||||
4.000%, due 07/08/30 (1 Year CMT Rate + 3.711%) (b) | 200,000 | 179,750 | ||||||
Hunt Oil Co of Peru LLC Sucursal Del Peru | ||||||||
6.375%, due 06/01/28 | 183,200 | 163,506 | ||||||
Petroleos del Peru SA | ||||||||
4.750%, due 06/19/32 | 200,000 | 140,000 | ||||||
Transportadora de Gas del Peru SA | ||||||||
4.250%, due 04/30/28 | 200,000 | 185,218 | ||||||
1,017,795 | ||||||||
Philippines - 0.2% | ||||||||
Philippine Government International Bond | ||||||||
0.875%, due 05/17/27 | EUR | 285,000 | 241,421 | |||||
6.250%, due 01/14/36 | PHP | 5,000,000 | 76,171 | |||||
3.700%, due 02/02/42 | $ | 200,000 | 152,015 | |||||
469,607 | ||||||||
Portugal - 0.2% | ||||||||
Portugal Obrigacoes do Tesouro OT | ||||||||
0.700%, due 10/15/27 (c) | EUR | 85,000 | 76,069 | |||||
0.475%, due 10/18/30 (c) | EUR | 460,000 | 371,747 | |||||
447,816 | ||||||||
Puerto Rico - 0.2% | ||||||||
Popular, Inc. | ||||||||
6.125%, due 09/14/23 | $ | 380,000 | 384,731 | |||||
Qatar - 0.1% | ||||||||
Qatar Energy | ||||||||
2.250%, due 07/12/31 (c) | 235,000 | 187,812 | ||||||
2.250%, due 07/12/31 | 200,000 | 160,531 | ||||||
348,343 | ||||||||
Saudi Arabia - 0.1% | ||||||||
Saudi Government International Bond | ||||||||
2.250%, due 02/02/33 | 200,000 | 156,935 | ||||||
Singapore - 0.5% | ||||||||
LLPL Capital Pte Ltd. | ||||||||
6.875%, due 02/04/39 (c) | 255,960 | 208,928 | ||||||
Medco Oak Tree Pte Ltd. | ||||||||
7.375%, due 05/14/26 (c) | 420,000 | 364,875 | ||||||
Singapore Government Bond | ||||||||
2.375%, due 06/01/25 | SGD | 165,000 | 111,729 | |||||
1.250%, due 11/01/26 | SGD | 210,000 | 133,442 | |||||
Temasek Financial I Ltd. | ||||||||
1.000%, due 10/06/30 (c) | $ | 400,000 | 308,149 | |||||
1,127,123 | ||||||||
South Africa - 0.1% | ||||||||
Republic of South Africa Government International Bond | ||||||||
4.300%, due 10/12/28 | 200,000 | 166,250 | ||||||
South Korea - 0.6% | ||||||||
Korea Treasury Bond | ||||||||
2.375%, due 03/10/27 | KRW | 901,030,000 | 583,133 | |||||
2.125%, due 06/10/27 | KRW | 293,300,000 | 186,882 | |||||
LG Chem Ltd. | ||||||||
2.375%, due 07/07/31 (c) | $ | 200,000 | 157,798 | |||||
Shinhan Financial Group Co. Ltd. | ||||||||
2.875%, Perpetual (5 Year CMT Rate + 2.064%) (b)(c) | 400,000 | 336,500 | ||||||
The Korea Development Bank | ||||||||
1.625%, due 01/19/31 | 200,000 | 156,926 | ||||||
1,421,239 | ||||||||
Spain - 0.3% | ||||||||
AI Candelaria Spain SA | ||||||||
7.500%, due 12/15/28 | 250,000 | 216,250 | ||||||
Cellnex Telecom SA | ||||||||
1.875%, due 06/26/29 | EUR | 100,000 | 73,873 | |||||
Spain Government Bond | ||||||||
0.250%, due 07/30/24 (c) | EUR | 170,000 | 160,960 | |||||
0.800%, due 07/30/27 (c) | EUR | 170,000 | 152,963 | |||||
604,046 | ||||||||
Sweden - 0.1% | ||||||||
Sweden Government International Bond | ||||||||
0.125%, due 04/24/23 (c) | EUR | 225,000 | 218,442 | |||||
Switzerland - 0.1% | ||||||||
UBS Group AG | ||||||||
3.875%, due 12/02/26 (5 Year CMT Rate + 3.098%) (b)(c) | $ | 171,000 | 129,956 | |||||
4.375%, Perpetual (5 Year CMT Rate + 3.313%) (b)(c) | 200,000 | 130,560 | ||||||
260,516 | ||||||||
Thailand - 0.1% | ||||||||
Kasikornbank PCL | ||||||||
5.275%, Perpetual (5 Year CMT Rate + 4.940%) (b) | 400,000 | 353,392 | ||||||
United Arab Emirates - 0.2% | ||||||||
Abu Dhabi Government International Bond | ||||||||
3.125%, due 04/16/30 (c) | 200,000 | 180,392 | ||||||
1.700%, due 03/02/31 (c) | 185,000 | 146,197 | ||||||
3.875%, due 04/16/50 (c) | 200,000 | 161,780 | ||||||
488,369 | ||||||||
Total Foreign Bonds (Cost $57,861,278) | 46,459,479 | |||||||
BANK LOANS - 6.0% (b) | ||||||||
1011778 BC ULC | ||||||||
4.871%, due 11/13/26 (1 Month U.S. LIBOR + 1.750%) | 766,127 | 734,455 | ||||||
AAdvantage Loyalty IP Ltd. | ||||||||
7.460%, due 04/20/28 (3 Month U.S. LIBOR + 4.750%) | 445,000 | 432,317 | ||||||
Abe Investment Holdings, Inc. | ||||||||
7.625%, due 02/19/26 (1 Month U.S. LIBOR + 4.500%) | 26,807 | 26,663 | ||||||
Access CIG LLC | ||||||||
6.820%, due 02/27/25 (3 Month U.S. LIBOR + 3.750%) | 43,618 | 41,884 | ||||||
Acrisure LLC | ||||||||
7.365%, due 02/15/27 (1 Month U.S. LIBOR + 4.250%) | 99,250 | 93,543 | ||||||
Acrisure LLC | ||||||||
6.615%, due 02/16/27 (1 Month U.S. LIBOR + 3.500%) | 133,315 | 122,261 | ||||||
ADMI Corp. | ||||||||
6.274%, due 12/23/27 (1 Month U.S. LIBOR + 3.750%) | 48,066 | 42,899 | ||||||
Air Canada | ||||||||
6.421%, due 08/11/28 (3 Month U.S. LIBOR + 3.500%) | 79,800 | 76,088 | ||||||
Allied Universal Holdco LLC | ||||||||
6.784%, due 05/12/28 (1 Month U.S. LIBOR + 3.750%) | 95,530 | 84,246 | ||||||
Allspring Buyer LLC | ||||||||
6.688%, due 04/21/28 (3 Month U.S. LIBOR + 3.000%) | 101,506 | 98,803 | ||||||
AP Core Holdings II LLC | ||||||||
8.615%, due 07/21/27 (1 Month U.S. LIBOR + 5.500%) | 133,000 | 123,690 | ||||||
AP Core Holdings II LLC | ||||||||
8.615%, due 09/30/27 (1 Month U.S. LIBOR + 5.500%) | 100,000 | 93,000 | ||||||
APX Group, Inc. | ||||||||
8.500%, due 07/10/28 (Prime + 2.250%) | 8 | 8 | ||||||
6.243%, due 07/10/28 (1 Month U.S. LIBOR + 3.250%) | 21,337 | 20,228 | ||||||
Aramark Services, Inc. | ||||||||
4.865%, due 03/11/25 (1 Month U.S. LIBOR + 1.750%) | 340,000 | 330,225 | ||||||
Ascend Learning LLC | ||||||||
6.615%, due 11/18/28 (1 Month U.S. LIBOR + 3.500%) | 188,210 | 174,283 | ||||||
Astra Acquisition Corp. | ||||||||
8.365%, due 10/22/28 (1 Month U.S. LIBOR + 5.250%) | 91,939 | 78,608 | ||||||
Asurion LLC | ||||||||
6.365%, due 07/30/27 (1 Month U.S. LIBOR + 3.250%) | 93,810 | 79,410 | ||||||
Asurion LLC | ||||||||
8.365%, due 01/19/29 (1 Month U.S. LIBOR + 5.250%) | 130,000 | 100,100 | ||||||
AthenaHealth Group, Inc. | ||||||||
6.518%, due 01/14/27 (1 Month SOFR Rate + 3.500%) | 10,551 | 9,480 | ||||||
AthenaHealth Group, Inc. | ||||||||
6.576%, due 01/26/29 (1 Month SOFR Rate + 3.500%) | 61,845 | 55,568 | ||||||
Aveanna Healthcare LLC | ||||||||
6.743%, due 06/30/28 (1 Month U.S. LIBOR + 3.750%) | 112,733 | 91,102 | ||||||
Aveanna Healthcare LLC | ||||||||
6.743%, due 06/30/28 (1 Month U.S. LIBOR + 3.750%) | 26,415 | 21,347 | ||||||
Bally's Corp. | ||||||||
5.935%, due 08/06/28 (1 Month U.S. LIBOR + 3.250%) | 68,250 | 61,828 | ||||||
Bausch + Lomb Corp. | ||||||||
6.098%, due 05/05/27 (1 Month SOFR Rate + 3.250%) | 84,788 | 79,038 | ||||||
Berry Global, Inc. | ||||||||
4.178%, due 07/01/26 (1 Month U.S. LIBOR + 1.750%) | 440,100 | 427,132 | ||||||
Brown Group Holding LLC | ||||||||
5.615%, due 06/07/28 (1 Month U.S. LIBOR + 2.500%) | 53,636 | 51,111 | ||||||
Burlington Coat Factory Warehouse Corp. | ||||||||
5.120%, due 06/26/28 (1 Month U.S. LIBOR + 2.000%) | 122,701 | 117,026 | ||||||
Camelot US Acquisition LLC | ||||||||
6.115%, due 10/30/26 (1 Month U.S. LIBOR + 3.000%) | 108,075 | 104,743 | ||||||
Carnival Corp. | ||||||||
5.877%, due 06/30/25 (6 Month U.S. LIBOR + 3.000%) | 315,985 | 289,126 | ||||||
Carnival Corp. | ||||||||
6.127%, due 10/31/28 (6 Month U.S. LIBOR + 3.250%) | 277,900 | 245,247 | ||||||
Castle US Holding Corp. | ||||||||
6.865%, due 01/27/27 (1 Month U.S. LIBOR + 3.750%) | 142,010 | 115,205 | ||||||
Cengage Learning, Inc. | ||||||||
7.814%, due 07/14/26 (6 Month U.S. LIBOR + 4.750%) | 98,664 | 89,584 | ||||||
Charter Communications Operating LLC | ||||||||
4.870%, due 02/01/27 (1 Month U.S. LIBOR + 1.750%) | 483,548 | 466,421 | ||||||
Charter Next Generation, Inc. | ||||||||
6.556%, due 12/01/27 (3 Month U.S. LIBOR + 3.750%) | 68,775 | 65,438 | ||||||
CHG Healthcare Services, Inc. | ||||||||
6.365%, due 10/31/28 (1 Month U.S. LIBOR + 3.250%) | 108,900 | 104,850 | ||||||
Clarios Global LP | ||||||||
6.365%, due 04/30/26 (1 Month U.S. LIBOR + 3.250%) | 548,645 | 520,642 | ||||||
Clean Harbors, Inc. | ||||||||
4.524%, due 09/30/28 (1 Month U.S. LIBOR + 2.000%) | 34,381 | 34,202 | ||||||
Cornerstone OnDemand, Inc. | ||||||||
6.274%, due 10/31/28 (1 Month U.S. LIBOR + 3.750%) | 109,450 | 92,485 | ||||||
CQP Holdco LP | ||||||||
7.424%, due 06/05/28 (3 Month U.S. LIBOR + 3.750%) | 180,032 | 174,043 | ||||||
Dcert Buyer, Inc. | ||||||||
6.903%, due 10/16/26 (3 Month SOFR Rate + 4.000%) | 78,589 | 75,195 | ||||||
Directv Financing LLC | ||||||||
8.115%, due 08/02/27 (1 Month U.S. LIBOR + 5.000%) | 46,251 | 43,201 | ||||||
EAB Global, Inc. | ||||||||
6.306%, due 06/25/28 (3 Month U.S. LIBOR + 3.500%) | 168,725 | 158,511 | ||||||
EG Finco Ltd. | ||||||||
7.674%, due 02/07/25 (3 Month U.S. LIBOR + 4.000%) | 27,714 | 25,930 | ||||||
Envision Healthcare Corp. | ||||||||
6.325%, due 03/31/27 (3 Month SOFR Rate + 3.750%) | 32,739 | 9,276 | ||||||
Envision Healthcare Corp. | ||||||||
6.825%, due 03/31/27 (3 Month SOFR Rate + 4.250%) | 13,371 | 6,218 | ||||||
Fertitta Entertainment LLC | ||||||||
7.034%, due 01/31/29 (1 Month SOFR Rate + 4.000%) | 99,500 | 92,587 | ||||||
Filtration Group Corp. | ||||||||
6.115%, due 03/31/25 (1 Month U.S. LIBOR + 3.000%) | 118,808 | 114,427 | ||||||
Finastra USA, Inc. | ||||||||
10.621%, due 06/16/25 (6 Month U.S. LIBOR + 7.250%) | 20,000 | 16,463 | ||||||
Gainwell Acquisition Corp. | ||||||||
7.674%, due 08/17/27 (3 Month U.S. LIBOR + 4.000%) | 183,344 | 175,185 | ||||||
Genesys Cloud Services Holdings II LLC | ||||||||
7.115%, due 12/01/27 (1 Month U.S. LIBOR + 4.000%) | 194,654 | 185,877 | ||||||
Gogo Intermediate Holdings LLC | ||||||||
6.556%, due 04/28/28 (3 Month U.S. LIBOR + 3.750%) | 64,188 | 62,422 | ||||||
Great Outdoors Group LLC | ||||||||
6.865%, due 03/31/28 (1 Month U.S. LIBOR + 3.750%) | 191,602 | 177,711 | ||||||
H-Food Holdings LLC | ||||||||
6.211%, due 05/17/25 (1 Month U.S. LIBOR + 3.688%) | 53,403 | 42,108 | ||||||
Hunter Douglas, Inc. | ||||||||
6.340%, due 02/09/29 (3 Month SOFR Rate + 3.500%) | 190,000 | 157,320 | ||||||
ICON Luxembourg Sarl | ||||||||
5.938%, due 07/03/28 (3 Month U.S. LIBOR + 2.250%) | 184,379 | 180,634 | ||||||
Intelsat Jackson Holdings SA | ||||||||
7.445%, due 12/08/28 (6 Month SOFR Rate + 4.250%) | 98,743 | 92,917 | ||||||
ION Trading Finance Ltd. | ||||||||
8.424%, due 03/31/28 (3 Month U.S. LIBOR + 4.750%) | 237,000 | 220,647 | ||||||
Jazz Financing Lux Sarl | ||||||||
6.615%, due 05/05/28 (1 Month U.S. LIBOR + 3.500%) | 338,421 | 327,754 | ||||||
JELD-WEN, Inc. | ||||||||
5.365%, due 07/28/28 (1 Month U.S. LIBOR + 2.250%) | 61,190 | 56,993 | ||||||
KFC Holding Co. | ||||||||
4.743%, due 03/15/28 (1 Month U.S. LIBOR + 1.750%) | 402,968 | 399,611 | ||||||
Kraton Corp. | ||||||||
6.718%, due 11/17/28 (3 Month SOFR Rate + 3.250%) | 59,700 | 57,741 | ||||||
Kronos Acquisition Holdings, Inc. | ||||||||
6.820%, due 12/22/26 (3 Month U.S. LIBOR + 3.750%) | 127,725 | 118,820 | ||||||
Level 3 Financing, Inc. | ||||||||
4.865%, due 03/01/27 (1 Month U.S. LIBOR + 1.750%) | 261,414 | 248,936 | ||||||
LifePoint Health, Inc. | ||||||||
6.871%, due 11/14/25 (1 Month U.S. LIBOR + 3.750%) | 46,829 | 43,659 | ||||||
Lumen Technologies, Inc. | ||||||||
5.365%, due 03/15/27 (1 Month U.S. LIBOR + 2.250%) | 486,250 | 443,591 | ||||||
Lummus Technology Holdings V LLC | ||||||||
6.615%, due 06/30/27 (1 Month U.S. LIBOR + 3.500%) | 79,468 | 72,266 | ||||||
Marriott Ownership Resorts, Inc. | ||||||||
4.865%, due 08/29/25 (1 Month U.S. LIBOR + 1.750%) | 115,000 | 109,897 | ||||||
McAfee Corp. | ||||||||
6.362%, due 02/02/29 (1 Month SOFR Rate + 3.750%) | 84,788 | 77,565 | ||||||
Messer Industries USA, Inc. | ||||||||
6.174%, due 10/01/25 (3 Month U.S. LIBOR + 2.500%) | 15,864 | 15,211 | ||||||
Mileage Plus Holdings LLC | ||||||||
8.777%, due 07/30/27 (3 Month U.S. LIBOR + 5.250%) | 304,000 | 306,117 | ||||||
MillerKnoll, Inc. | ||||||||
5.125%, due 07/19/28 (1 Month U.S. LIBOR + 2.000%) | 41,614 | 38,671 | ||||||
Mirion Technologies US, Inc. | ||||||||
5.627%, due 10/05/28 (6 Month U.S. LIBOR + 2.750%) | 74,250 | 71,249 | ||||||
Mister Car Wash Holdings, Inc. | ||||||||
6.115%, due 05/14/26 (1 Month U.S. LIBOR + 3.000%) | 47,522 | 45,969 | ||||||
Olympus Water US Holding Corp. | ||||||||
7.438%, due 09/21/28 (3 Month U.S. LIBOR + 3.750%) | 84,363 | 77,218 | ||||||
OneDigital Borrower LLC | ||||||||
6.977%, due 11/16/27 (3 Month SOFR Rate + 4.250%) | 186,082 | 173,987 | ||||||
Organon & Co. | ||||||||
6.188%, due 06/02/28 (3 Month U.S. LIBOR + 3.000%) | 307,511 | 301,361 | ||||||
Packers Holdings LLC | ||||||||
6.006%, due 03/06/28 (1 Month U.S. LIBOR + 3.250%) | 47,521 | 43,735 | ||||||
Padagis LLC | ||||||||
7.043%, due 07/06/28 (3 Month U.S. LIBOR + 4.750%) | 186,471 | 163,162 | ||||||
Patagonia Holdco LLC | ||||||||
8.386%, due 08/01/29 (3 Month SOFR Rate + 5.750%) | 140,000 | 113,225 | ||||||
Peraton Corp. | ||||||||
6.865%, due 02/01/28 (1 Month U.S. LIBOR + 3.750%) | 125,725 | 119,486 | ||||||
PetSmart LLC | ||||||||
6.870%, due 02/11/28 (1 Month U.S. LIBOR + 3.750%) | 74,250 | 70,522 | ||||||
PG&E Corp. | ||||||||
6.125%, due 06/23/25 (1 Month U.S. LIBOR + 3.000%) | 73,313 | 70,380 | ||||||
PRA Health Sciences, Inc. | ||||||||
5.938%, due 07/03/28 (3 Month U.S. LIBOR + 2.250%) | 45,645 | 44,718 | ||||||
Pretium PKG Holdings, Inc. | ||||||||
7.168%, due 09/22/28 (3 Month U.S. LIBOR + 4.000%) | 22,159 | 19,976 | ||||||
6.293%, due 09/22/28 (3 Month U.S. LIBOR + 4.000%) | 22,728 | 20,490 | ||||||
6.277%, due 09/22/28 (3 Month U.S. LIBOR + 4.000%) | 44,438 | 40,060 | ||||||
Proofpoint, Inc. | ||||||||
6.320%, due 06/09/28 (3 Month U.S. LIBOR + 3.250%) | 138,950 | 130,825 | ||||||
Quest Software, Inc. | ||||||||
6.977%, due 01/19/29 (3 Month SOFR Rate + 4.250%) | 18,000 | 13,410 | ||||||
Radiate Holdco LLC | ||||||||
6.365%, due 09/25/26 (1 Month U.S. LIBOR + 3.250%) | 119,100 | 110,466 | ||||||
Radiology Partners, Inc. | ||||||||
7.334%, due 07/09/25 (1 Month U.S. LIBOR + 4.250%) | 53,887 | 45,642 | ||||||
7.302%, due 07/09/25 (1 Month U.S. LIBOR + 4.250%) | 46,203 | 39,134 | ||||||
Rentpath LLC | ||||||||
3.250%, due 12/31/22 (Prime + 0.000%) (e) | 3,634 | 109 | ||||||
RH | ||||||||
5.615%, due 11/30/28 (1 Month U.S. LIBOR + 2.500%) | 65,180 | 57,937 | ||||||
Scientific Games International, Inc. | ||||||||
5.906%, due 04/06/29 (1 Month SOFR Rate + 3.000%) | 74,813 | 72,867 | ||||||
Sedgwick Claims Management Services, Inc. | ||||||||
6.865%, due 08/07/26 (1 Month U.S. LIBOR + 3.750%) | 29,025 | 27,800 | ||||||
Sophia LP | ||||||||
7.174%, due 10/07/27 (3 Month U.S. LIBOR + 3.500%) | 137,561 | 132,574 | ||||||
Spin Holdco, Inc. | ||||||||
7.144%, due 03/06/28 (3 Month U.S. LIBOR + 4.000%) | 33,338 | 29,379 | ||||||
SRS Distribution, Inc. | ||||||||
6.306%, due 06/04/28 (6 Month U.S. LIBOR + 3.500%) | 108,900 | 100,801 | ||||||
Sunset Debt Merger Sub, Inc. | ||||||||
7.602%, due 09/30/28 (3 Month U.S. LIBOR + 4.000%) | 55,091 | 43,356 | ||||||
Team Health Holdings, Inc. | ||||||||
5.865%, due 02/06/24 (1 Month U.S. LIBOR + 2.750%) | 24,293 | 22,319 | ||||||
Tempo Acquisition LLC | ||||||||
6.034%, due 08/31/28 (1 Month SOFR Rate + 3.000%) | 64,513 | 63,013 | ||||||
The EW Scripps Co. | ||||||||
5.678%, due 05/01/26 (1 Month U.S. LIBOR + 2.563%) | 32,838 | 31,824 | ||||||
The Hertz Corp. | ||||||||
6.370%, due 09/29/28 (1 Month U.S. LIBOR + 3.250%) | 102,191 | 96,955 | ||||||
The Hertz Corp. | ||||||||
6.370%, due 09/29/28 (1 Month U.S. LIBOR + 3.250%) | 19,900 | 18,880 | ||||||
The Hillman Group, Inc. | ||||||||
5.830%, due 02/24/28 (1 Month U.S. LIBOR + 2.750%) | 0 | 0 | ||||||
Titan Acquisition Ltd. | ||||||||
5.877%, due 03/28/25 (6 Month U.S. LIBOR + 3.000%) | 43,740 | 39,362 | ||||||
TK Elevator US Newco, Inc. | ||||||||
6.871%, due 07/29/27 (6 Month U.S. LIBOR + 3.500%) | 191,613 | 184,108 | ||||||
Trans Union LLC | ||||||||
5.365%, due 11/16/28 (1 Month U.S. LIBOR + 2.250%) | 49,712 | 48,252 | ||||||
TransDigm, Inc. | ||||||||
5.924%, due 12/09/25 (3 Month U.S. LIBOR + 2.250%) | 180,364 | 173,245 | ||||||
Traverse Midstream Partners LLC | ||||||||
5.950%, due 09/27/24 (6 Month SOFR Rate + 4.250%) | 55,059 | 53,941 | ||||||
TricorBraun Holdings, Inc. | ||||||||
6.365%, due 03/03/28 (1 Month U.S. LIBOR + 3.250%) | 74,085 | 69,774 | ||||||
United Airlines, Inc. | ||||||||
6.533%, due 04/21/28 (3 Month U.S. LIBOR + 3.750%) | 463,440 | 444,291 | ||||||
United Natural Foods, Inc. | ||||||||
6.399%, due 10/22/25 (1 Month SOFR Rate + 3.250%) | 8,733 | 8,621 | ||||||
Univision Communications, Inc. | ||||||||
5.774%, due 03/13/26 (1 Month U.S. LIBOR + 3.250%) | 138,101 | 131,390 | ||||||
Univision Communications, Inc. | ||||||||
6.254%, due 06/09/29 (3 Month SOFR Rate + 4.250%) | 20,000 | 19,550 | ||||||
Verscend Holding Corp. | ||||||||
7.115%, due 08/27/25 (1 Month U.S. LIBOR + 4.000%) | 74,056 | 72,020 | ||||||
Vibrantz Technologies, Inc. | ||||||||
6.977%, due 03/30/29 (3 Month SOFR Rate + 4.250%) | 45,000 | 36,520 | ||||||
WestJet Airlines Ltd. | ||||||||
5.993%, due 08/07/26 (1 Month U.S. LIBOR + 3.000%) | 45,214 | 40,076 | ||||||
Whatabrands LLC | ||||||||
6.365%, due 08/03/28 (1 Month U.S. LIBOR + 3.250%) | 119,100 | 110,540 | ||||||
WMG Acquisition Corp. | ||||||||
5.240%, due 01/20/28 (1 Month U.S. LIBOR + 2.125%) | 190,000 | 184,419 | ||||||
Zelis Payments Buyer, Inc. | ||||||||
6.064%, due 09/30/26 (1 Month U.S. LIBOR + 3.500%) | 159,708 | 154,318 | ||||||
Total Bank Loans (Cost $15,176,909) | 14,305,046 | |||||||
Shares | ||||||||
COMMON STOCKS - 0.2% | ||||||||
Consumer Discretionary - 0.0% (f) | ||||||||
General Motors Co. | 2,553 | 81,926 | ||||||
Financials - 0.1% | ||||||||
US Bancorp | 2,792 | 112,573 | ||||||
Industrials - 0.1% | ||||||||
Delta Air Lines, Inc. (g) | 2,661 | 74,668 | ||||||
The Boeing Co. (g) | 1,130 | 136,820 | ||||||
211,488 | ||||||||
Real Estate - 0.0% (f) | ||||||||
Americold Realty Trust, Inc. | 2,788 | 68,585 | ||||||
Total Common Stocks (Cost $694,169) | 474,572 | |||||||
PREFERRED STOCKS - 1.2% | ||||||||
Communication Services - 0.2% | ||||||||
2020 Cash Mandatory Exchangeable Trust CVRT (c)(e) | 240 | 270,576 | ||||||
Paramount Global CVRT (a) | 2,200 | 67,980 | ||||||
338,556 | ||||||||
Financials - 0.2% | ||||||||
KKR & Co., Inc. CVRT | 1,000 | 54,420 | ||||||
Stifel Financial Corp. | 6,550 | 112,267 | ||||||
US Bancorp | 175 | 130,375 | ||||||
Valley National Bancorp | 5,475 | 122,476 | ||||||
Wells Fargo & Co. | 4,300 | 96,535 | ||||||
516,073 | ||||||||
Health Care - 0.2% | ||||||||
Becton Dickinson and Co. CVRT | 2,150 | 101,351 | ||||||
Danaher Corp. CVRT (a) | 225 | 303,185 | ||||||
404,536 | ||||||||
Information Technology - 0.0% (f) | ||||||||
Sabre Corp. CVRT | 400 | 28,552 | ||||||
Utilities - 0.6% | ||||||||
Algonquin Power & Utilities Corp. CVRT | 5,050 | 191,243 | ||||||
American Electric Power Co., Inc. CVRT | 5,650 | 279,675 | ||||||
NextEra Energy, Inc. CVRT | 11,700 | 538,200 | ||||||
NextEra Energy, Inc. CVRT | 3,500 | 169,960 | ||||||
The AES Corp. CVRT | 2,800 | 247,436 | ||||||
1,426,514 | ||||||||
Total Preferred Stocks (Cost $3,083,946) | 2,714,231 | |||||||
Notional | ||||||||
PURCHASED OTC OPTIONS - 0.0% (f) | Contracts | Amount | ||||||
Currency Call Options - 0.0% (f) | ||||||||
Australian Dollar, 10/17/22 at 0.625 Counterparty: Morgan Stanley Capital | 5,789,000 | $ | 5,789,000 | 36,726 | ||||
Japanese Yen, 9/9/32 at 140.00 Counterparty: BNP Paribas Brokerage Services, Inc. | 1,058,600 | 1,058,600 | 19,371 | |||||
56,097 | ||||||||
Currency Put Options - 0.0% (f) | ||||||||
Canadian Dollar, 12/12/22 at 1.235 Counterparty: Goldman Sachs Bank, USA | 1,386,000 | 1,386,000 | �� 151 | |||||
Euro, 3/16/23 at 1.08 Counterparty: BNP Paribas Brokerage Services, Inc. | 830,800 | 830,800 | 4,211 | |||||
Japanese Yen, 2/27/25 at 107.50 Counterparty: BNP Paribas Brokerage Services, Inc. | 437,000 | 437,000 | 5,841 | |||||
Japanese Yen, 4/5/23 at 120.50 Counterparty: Goldman Sachs Bank, USA | 2,100,000 | 2,100,000 | 6,819 | |||||
17,022 | ||||||||
Total Purchased OTC Options (Cost $124,970) | 73,119 | |||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES - 7.0% | Shares | |||||||
Voya Emerging Markets Corporate Debt Fund - Class P | 95,702 | 749,344 | ||||||
Voya Emerging Markets Hard Currency Debt Fund - Class P | 435,537 | 3,013,918 | ||||||
Voya Floating Rate Fund - Class P | 813,001 | 6,650,348 | ||||||
Voya High Yield Bond Fund - Class P | 963,328 | 6,261,633 | ||||||
Total Affiliated Registered Investment Companies (Cost $19,627,628) | 16,675,243 | |||||||
Total Investments at Value - 96.8% (Cost $267,673,389) | 229,196,219 | |||||||
Other Assets in Excess of Liabilities - 3.2% | 7,498,422 | |||||||
Net Assets - 100.0% | $ | 236,694,641 |
Percentages are stated as a percent of net assets. | |||||
(a) | This security or a partial position of this security is on loan at September 30, 2022. The total fair value of securities on loan at September 30, 2022 was $1,721,087. | ||||
(b) | Variable rate security based on a reference index and spread. The rate listed is as of September 30, 2022. | ||||
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other ‘‘qualified institutional buyers.’’ As of September 30, 2022, the value of these investments was $88,152,796, or 37.2% of total net assets. | ||||
(d) | Variable rate security. The coupon is based on an underlying pool of loans. The rate listed is as of September 30, 2022 | ||||
(e) | Illiquid security. The total fair value of such securities is $2,961,861 as of September 30, 2022, representing 1.3% of net assets. | ||||
(f) | Represents less than 0.1%. | ||||
(g) | Non-income producing security. | ||||
CVRT | Convertible Security | ||||
REMIC | Real Estate Mortgage Investment Conduit | ||||
CMT | Constant Maturity U.S. Treasury | ||||
LIBOR | London Interbank Offered Rate | ||||
NIBOR | Norwegian Interbank Offered Rate | ||||
SOFR | Secured Overnight Financing Rate | ||||
SONIA | Sterling Overnight Interbank Average Rate | ||||
AUD | Australian Dollar | ||||
BRL | Brazilian Real | ||||
CAD | Canadian Dollar | ||||
CNY | Chinese Yuan | ||||
COP | Colombian Peso | ||||
EUR | Euro | ||||
GBP | British Pound | ||||
IDR | Indonesian Rupiah | ||||
JPY | Japanese Yen | ||||
KRW | South Korean Won | ||||
MXN | Mexican Peso | ||||
MYR | Malaysian Ringgit | ||||
NOK | Norwegian Krone | ||||
NZD | New Zealand Dollar | ||||
PHP | Philippine Peso | ||||
SGD | Singapore Dollar | ||||
The Accompanying Footnotes are an Integral Part of this Schedule of Investments. |
WILSHIRE INCOME OPPORTUNITIES FUND | |||||||
SCHEDULE OF FUTURES CONTRACTS | |||||||
September 30, 2022 (Unaudited) | |||||||
Value/ | |||||||
Notional | Unrealized | ||||||
FUTURES CONTRACTS PURCHASED | Contracts | Expiration Date | Amount | Depreciation | |||
2-Year U.S. Treasury Note Future | 99 | 12/30/2022 | $ | 18,835,088 | $ | (235,174) | |
5-Year U.S. Treasury Note Future | 170 | 12/30/2022 | 15,533,053 | (623,164) | |||
10-Year U.S. Treasury Note Future | 29 | 12/20/2022 | 2,774,688 | (151,189) | |||
Euro Bund Future | 2 | 12/08/2022 | 196,009 | (9,998) | |||
Total Futures Contracts Purchased | $ | 37,338,838 | $ | (1,019,525) | |||
The average monthly notional amount of futures contracts purchased for Wilshire Income Opportunities Fund during the nine months ended September 30, 2022 was $35,575,085. | |||||||
Value/ | |||||||
Notional | Unrealized | ||||||
FUTURES CONTRACTS SOLD SHORT | Contracts | Expiration Date | Amount | Appreciation | |||
10-Year U.S. Treasury Note Future | 1 | 12/20/2022 | $ | 95,677 | $ | 735 | |
U.S. Treasury Long Bond Future | 35 | 12/20/2022 | 3,719,442 | 355,790 | |||
Ultra 10-Year U.S. Treasury Bond Future | 47 | 12/20/2022 | 4,346,982 | 331,639 | |||
Ultra Long-Term U.S. Treasury Bond Future | 15 | 12/20/2022 | 1,261,976 | 208,250 | |||
Euro Bund Future | 3 | 12/08/2022 | 294,014 | 19,547 | |||
Total Futures Contracts Sold Short | $ | 9,718,091 | $ | 915,961 | |||
The average monthly notional amount of futures contracts sold short for Wilshire Income Opportunities Fund during the nine months ended September 30, 2022 was $13,340,020. |
WILSHIRE INCOME OPPORTUNITIES FUND | |||||||||||||
SCHEDULE OF FORWARD FOREIGN CURRENCY CONTRACTS | |||||||||||||
September 30, 2022 (Unaudited) | |||||||||||||
Counterparty | Settlement Date | Fund Receiving | Amount Of Currency To Be Received In Local Currency | Fund Delivering | Amount Of Currency To Be Delivered In Local Currency | Unrealized Appreciation (Depreciation) | |||||||
Australia and New Zealand Banking Group Ltd. | 1/18/2023 | USD | 1,676,336 | AUD | 2,468,725 | $ | 93,733 | ||||||
Bank of America, San Francisco | 10/7/2022 | CHF | 1,378,745 | USD | 1,405,639 | (7,456) | |||||||
Bank of America, San Francisco | 10/7/2022 | EUR | 696,876 | USD | 701,130 | (17,831) | |||||||
Bank of America, San Francisco | 10/7/2022 | GBP | 278,127 | USD | 329,417 | (18,827) | |||||||
Bank of America, San Francisco | 10/7/2022 | JPY | 149,467,439 | USD | 1,056,964 | (23,573) | |||||||
Bank of America, San Francisco | 10/7/2022 | NOK | 3,055,297 | USD | 314,746 | (34,157) | |||||||
Bank of America, San Francisco | 10/7/2022 | NZD | 1,190,116 | USD | 731,835 | (65,758) | |||||||
Bank of America, San Francisco | 10/7/2022 | USD | 772,024 | CAD | 997,139 | 50,174 | |||||||
Bank of America, San Francisco | 10/7/2022 | USD | 540,132 | CHF | 520,568 | 12,225 | |||||||
Bank of America, San Francisco | 10/7/2022 | USD | 272,040 | EUR | 270,548 | 6,763 | |||||||
Bank of America, San Francisco | 1/18/2023 | USD | 1,009,651 | EUR | 1,000,000 | 20,762 | |||||||
Bank of America, San Francisco | 10/7/2022 | USD | 345,150 | GBP | 298,697 | 11,590 | |||||||
Bank of America, San Francisco | 10/7/2022 | USD | 1,213,005 | NZD | 1,950,709 | 121,244 | |||||||
Bank of America, San Francisco | 10/7/2022 | USD | 494,903 | SEK | 5,299,122 | 17,259 | |||||||
Barclays Capital, Inc. | 1/18/2023 | EUR | 465,605 | USD | 453,876 | 6,556 | |||||||
BNP Paribas Brokerage Services, Inc. | 10/7/2022 | AUD | 1,807,063 | USD | 1,193,140 | (37,175) | |||||||
BNP Paribas Brokerage Services, Inc. | 10/7/2022 | CAD | 2,472,243 | USD | 1,912,310 | (122,600) | |||||||
BNP Paribas Brokerage Services, Inc. | 10/7/2022 | CHF | 994,378 | USD | 1,027,335 | (18,938) | |||||||
BNP Paribas Brokerage Services, Inc. | 10/7/2022 | EUR | 798,357 | USD | 810,317 | (27,514) | |||||||
BNP Paribas Brokerage Services, Inc. | 10/7/2022 | GBP | 1,269,419 | USD | 1,541,167 | (123,583) | |||||||
BNP Paribas Brokerage Services, Inc. | 10/7/2022 | JPY | 288,583,416 | USD | 2,038,950 | (43,737) | |||||||
BNP Paribas Brokerage Services, Inc. | 10/7/2022 | NOK | 12,502,519 | USD | 1,247,908 | (99,714) | |||||||
BNP Paribas Brokerage Services, Inc. | 10/7/2022 | NZD | 3,824,741 | USD | 2,370,947 | (230,340) | |||||||
BNP Paribas Brokerage Services, Inc. | 10/7/2022 | SEK | 27,506,128 | USD | 2,549,854 | (70,552) | |||||||
BNP Paribas Brokerage Services, Inc. | 10/7/2022 | USD | 1,939,917 | AUD | 2,919,419 | 72,385 | |||||||
BNP Paribas Brokerage Services, Inc. | 10/7/2022 | USD | 2,741,207 | CAD | 3,617,105 | 122,707 | |||||||
BNP Paribas Brokerage Services, Inc. | 10/7/2022 | USD | 1,759,076 | CHF | 1,709,192 | 25,787 | |||||||
BNP Paribas Brokerage Services, Inc. | 10/7/2022 | USD | 1,134,639 | EUR | 1,135,494 | 21,268 | |||||||
BNP Paribas Brokerage Services, Inc. | 10/7/2022 | USD | 806,487 | GBP | 686,010 | 40,406 | |||||||
BNP Paribas Brokerage Services, Inc. | 10/7/2022 | USD | 3,419,935 | JPY | 473,968,235 | 143,006 | |||||||
BNP Paribas Brokerage Services, Inc. | 10/7/2022 | USD | 1,616,782 | NOK | 16,355,984 | 114,698 | |||||||
BNP Paribas Brokerage Services, Inc. | 10/7/2022 | USD | 360,923 | NZD | 588,344 | 31,643 | |||||||
BNP Paribas Brokerage Services, Inc. | 10/7/2022 | USD | 1,336,294 | SEK | 14,006,666 | 73,785 | |||||||
Brown Brothers Harriman & Co. | 10/7/2022 | USD | 509,665 | CAD | 670,539 | 24,248 | |||||||
Brown Brothers Harriman & Co. | 10/7/2022 | USD | 475,344 | CHF | 456,040 | 12,874 | |||||||
CIBC, Toronto | 1/18/2023 | CAD | 3,544,513 | USD | 2,603,902 | (35,748) | |||||||
CIBC, Toronto | 1/18/2023 | USD | 525,227 | CAD | 711,403 | 9,784 | |||||||
CIBC, Toronto | 1/18/2023 | USD | 611,430 | JPY | 86,986,974 | 2,094 | |||||||
CIBC, Toronto | 1/18/2023 | USD | 400,930 | SGD | 573,430 | 883 | |||||||
Citigroup | 1/18/2023 | BRL | 893,041 | USD | 163,951 | (2,480) | |||||||
Citigroup | 1/18/2023 | CAD | 554,777 | USD | 408,695 | (6,735) | |||||||
Citigroup | 10/7/2022 | EUR | 172,689 | USD | 173,161 | (3,837) | |||||||
Citigroup | 1/18/2023 | EUR | 1,500,000 | USD | 1,512,638 | (29,304) | |||||||
Citigroup | 10/7/2022 | JPY | 49,433,353 | USD | 342,473 | (700) | |||||||
Citigroup | 1/18/2023 | USD | 645,591 | BRL | 3,441,194 | 23,387 | |||||||
Citigroup | 1/18/2023 | USD | 380,676 | COP | 1,720,751,537 | 15,074 | |||||||
Citigroup | 1/18/2023 | USD | 506,088 | EUR | 511,924 | (148) | |||||||
Citigroup | 1/18/2023 | USD | 230,007 | NZD | 386,183 | 13,708 | |||||||
Citigroup | 1/18/2023 | USD | 320,744 | SGD | 458,689 | 745 | |||||||
Goldman Sachs Bank, USA | 10/7/2022 | AUD | 539,926 | USD | 371,286 | (25,900) | |||||||
Goldman Sachs Bank, USA | 10/7/2022 | CAD | 1,937,400 | USD | 1,440,349 | (37,823) | |||||||
Goldman Sachs Bank, USA | 1/18/2023 | CAD | 1,367,173 | USD | 997,500 | (6,923) | |||||||
Goldman Sachs Bank, USA | 10/7/2022 | CHF | 1,458,234 | USD | 1,527,481 | (48,689) | |||||||
Goldman Sachs Bank, USA | 10/7/2022 | EUR | 1,470,695 | USD | 1,457,041 | (14,999) | |||||||
Goldman Sachs Bank, USA | 10/7/2022 | GBP | 678,873 | USD | 784,085 | (25,974) | |||||||
Goldman Sachs Bank, USA | 10/7/2022 | JPY | 274,751,543 | USD | 1,954,248 | (54,666) | |||||||
Goldman Sachs Bank, USA | 1/18/2023 | JPY | 34,456,319 | USD | 241,257 | 107 | |||||||
Goldman Sachs Bank, USA | 10/7/2022 | NOK | 12,659,125 | USD | 1,235,489 | (72,913) | |||||||
Goldman Sachs Bank, USA | 10/7/2022 | NZD | 468,313 | USD | 268,438 | (6,335) | |||||||
Goldman Sachs Bank, USA | 1/18/2023 | USD | 328,828 | CAD | 447,186 | 4,822 | |||||||
Goldman Sachs Bank, USA | 10/7/2022 | USD | 381,927 | CHF | 373,186 | 3,479 | |||||||
Goldman Sachs Bank, USA | 10/7/2022 | USD | 2,474,179 | EUR | 2,503,297 | 19,654 | |||||||
Goldman Sachs Bank, USA | 10/7/2022 | USD | 456,643 | GBP | 386,086 | 25,493 | |||||||
Goldman Sachs Bank, USA | 10/7/2022 | USD | 728,314 | JPY | 105,078,672 | 1,819 | |||||||
Goldman Sachs Bank, USA | 10/7/2022 | USD | 929,474 | NOK | 9,211,392 | 83,528 | |||||||
Goldman Sachs Bank, USA | 10/7/2022 | USD | 657,663 | SEK | 6,987,961 | 27,794 | |||||||
HSBC Bank, USA | 1/18/2023 | CAD | 557,586 | USD | 408,304 | (4,309) | |||||||
HSBC Bank, USA | 1/18/2023 | EUR | 331,875 | USD | 331,415 | (3,227) | |||||||
HSBC Bank, USA | 1/18/2023 | USD | 1,071,409 | CAD | 1,447,761 | 22,443 | |||||||
HSBC Bank, USA | 1/18/2023 | USD | 2,849,702 | EUR | 2,819,109 | 61,917 | |||||||
HSBC Bank, USA | 1/18/2023 | USD | 371,830 | GBP | 332,500 | 145 | |||||||
HSBC Bank, USA | 1/18/2023 | USD | 721,674 | SGD | 1,031,992 | 1,716 | |||||||
JPMChase, New York | 1/18/2023 | CAD | 556,791 | USD | 408,695 | (5,276) | |||||||
JPMChase, New York | 1/18/2023 | EUR | 290,087 | USD | 279,646 | 7,218 | |||||||
JPMChase, New York | 1/18/2023 | GBP | 332,500 | USD | 369,109 | 2,575 | |||||||
JPMChase, New York | 1/18/2023 | USD | 326,102 | CAD | 444,115 | 4,321 | |||||||
JPMChase, New York | 1/18/2023 | USD | 957,913 | EUR | 971,161 | (2,457) | |||||||
JPMChase, New York | 1/18/2023 | USD | 272,898 | JPY | 38,092,003 | 6,067 | |||||||
JPMChase, New York | 1/18/2023 | USD | 721,674 | SGD | 1,031,681 | 1,933 | |||||||
Morgan Stanley Capital | 10/7/2022 | AUD | 3,265,100 | USD | 2,227,341 | (138,679) | |||||||
Morgan Stanley Capital | 10/7/2022 | CAD | 2,220,070 | USD | 1,695,678 | (88,522) | |||||||
Morgan Stanley Capital | 1/18/2023 | CAD | 456,357 | USD | 331,875 | (1,225) | |||||||
Morgan Stanley Capital | 10/7/2022 | CHF | 711,155 | USD | 724,194 | (3,014) | |||||||
Morgan Stanley Capital | 10/7/2022 | EUR | 1,063,349 | USD | 1,064,573 | (21,941) | |||||||
Morgan Stanley Capital | 1/18/2023 | EUR | 766,788 | USD | 751,023 | 7,245 | |||||||
Morgan Stanley Capital | 10/7/2022 | GBP | 951,157 | USD | 1,097,846 | (35,670) | |||||||
Morgan Stanley Capital | 10/7/2022 | JPY | 121,774,173 | USD | 916,204 | (74,280) | |||||||
Morgan Stanley Capital | 10/7/2022 | NZD | 612,257 | USD | 366,846 | (24,182) | |||||||
Morgan Stanley Capital | 10/7/2022 | SEK | 12,049,875 | USD | 1,125,945 | (39,813) | |||||||
Morgan Stanley Capital | 10/7/2022 | USD | 892,090 | AUD | 1,251,423 | 91,563 | |||||||
Morgan Stanley Capital | 10/7/2022 | USD | 631,072 | CAD | 816,491 | 39,996 | |||||||
Morgan Stanley Capital | 1/18/2023 | USD | 688,919 | CAD | 930,795 | 14,517 | |||||||
Morgan Stanley Capital | 10/7/2022 | USD | 939,074 | CHF | 918,113 | 8,017 | |||||||
Morgan Stanley Capital | 10/7/2022 | USD | 1,462,872 | EUR | 1,506,724 | (14,496) | |||||||
Morgan Stanley Capital | 1/18/2023 | USD | 964,225 | EUR | 965,385 | 9,566 | |||||||
Morgan Stanley Capital | 10/7/2022 | USD | 865,620 | GBP | 730,958 | 49,345 | |||||||
Morgan Stanley Capital | 1/18/2023 | USD | 893,824 | GBP | 772,898 | 29,841 | |||||||
Morgan Stanley Capital | 10/7/2022 | USD | 637,080 | JPY | 90,769,321 | 9,517 | |||||||
Morgan Stanley Capital | 10/7/2022 | USD | 482,572 | NOK | 5,150,206 | 9,593 | |||||||
Morgan Stanley Capital | 1/18/2023 | USD | 728,067 | NOK | 7,308,913 | 54,819 | |||||||
Morgan Stanley Capital | 10/7/2022 | USD | 2,013,456 | NZD | 3,352,302 | 137,261 | |||||||
Morgan Stanley Capital | 1/18/2023 | USD | 230,188 | NZD | 386,183 | 13,889 | |||||||
Morgan Stanley Capital | 10/7/2022 | USD | 1,205,094 | SEK | 13,091,150 | 25,106 | |||||||
Royal Bank of Canada, Toronto | 1/18/2023 | CAD | 670,042 | USD | 489,965 | (4,491) | |||||||
Royal Bank of Canada, Toronto | 1/18/2023 | USD | 796,500 | CAD | 1,077,913 | 15,505 | |||||||
Royal Bank of Canada, Toronto | 1/18/2023 | USD | 972,544 | MXN | 19,922,735 | 3,109 | |||||||
Royal Bank of Canada, Toronto | 1/18/2023 | USD | 482,089 | NZD | 801,431 | 33,210 | |||||||
Standard Chartered Securities N.A. | 10/7/2022 | AUD | 632,729 | USD | 449,834 | (45,082) | |||||||
Standard Chartered Securities N.A. | 10/7/2022 | CHF | 137 | USD | 146 | (7) | |||||||
Standard Chartered Securities N.A. | 10/7/2022 | EUR | 175,353 | USD | 175,544 | (3,608) | |||||||
Standard Chartered Securities N.A. | 1/18/2023 | USD | 664,375 | CAD | 908,280 | 6,286 | |||||||
Standard Chartered Securities N.A. | 10/7/2022 | USD | 224,221 | EUR | 222,891 | 5,673 | |||||||
Standard Chartered Securities N.A. | 10/7/2022 | USD | 347,562 | GBP | 319,824 | (9,591) | |||||||
Standard Chartered Securities N.A. | 1/18/2023 | USD | 656,650 | GBP | 598,500 | (12,382) | |||||||
Standard Chartered Securities N.A. | 10/7/2022 | USD | 972,430 | JPY | 135,133,877 | 38,139 | |||||||
Standard Chartered Securities N.A. | 10/7/2022 | USD | 436,904 | NZD | 678,931 | 56,924 | |||||||
State Street Bank, Boston | 10/7/2022 | AUD | 83,376 | USD | 57,997 | (4,663) | |||||||
State Street Bank, Boston | 10/7/2022 | CHF | 312,921 | USD | 330,504 | (13,171) | |||||||
State Street Bank, Boston | 10/7/2022 | EUR | 1,783,265 | USD | 1,752,261 | (3,739) | |||||||
State Street Bank, Boston | 10/7/2022 | SEK | 2,589,840 | USD | 249,736 | (16,297) | |||||||
State Street Bank, Boston | 10/7/2022 | USD | 1,082,201 | AUD | 1,578,924 | 72,175 | |||||||
State Street Bank, Boston | 1/18/2023 | USD | 953,188 | CAD | 1,297,470 | 13,114 | |||||||
State Street Bank, Boston | 10/7/2022 | USD | 752,002 | CHF | 715,645 | 26,268 | |||||||
State Street Bank, Boston | 10/7/2022 | USD | 1,331,992 | EUR | 1,322,576 | 35,183 | |||||||
State Street Bank, Boston | 1/18/2023 | USD | 668,118 | EUR | 663,750 | 11,743 | |||||||
State Street Bank, Boston | 10/7/2022 | USD | 911,611 | GBP | 766,875 | 55,227 | |||||||
State Street Bank, Boston | 10/7/2022 | USD | 1,048,473 | JPY | 151,216,238 | 2,991 | |||||||
State Street Bank, Boston | 1/18/2023 | USD | 400,930 | SGD | 573,919 | 541 | |||||||
UBS AG, Stamford | 1/18/2023 | CAD | 441,224 | USD | 331,875 | (12,189) | |||||||
UBS AG, Stamford | 1/18/2023 | USD | 3,583,174 | EUR | 3,562,171 | 60,583 | |||||||
$ | 403,525 | ||||||||||||
AUD - Australian Dollar | |||||||||||||
BRL - Brazillian Real | |||||||||||||
CAD - Canadian Dollar | |||||||||||||
CHF - Swiss Franc | |||||||||||||
COP - Colombian Peso | |||||||||||||
EUR - Euro | |||||||||||||
GBP - British Pound | |||||||||||||
JPY - Japanese Yen | |||||||||||||
MXN - Mexican Peso | |||||||||||||
NOK - Norwegian Krone | |||||||||||||
NZD - New Zealand Dollar | |||||||||||||
SEK - Sedish Krona | |||||||||||||
SGD - Singpore Dollar | |||||||||||||
USD - U.S. Dollar | |||||||||||||
The average monthly notional amount of forward foreign currency contracts purchased and sold for Wilshire Income Opportunities Fund during the nine months ended September 30, 2022 were $55,054,944 and $72,860,765, respectively. |
WILSHIRE INCOME OPPORTUNITIES FUND | |||||||
SCHEDULE OF WRITTEN OPTIONS | |||||||
September 30, 2022 (Unaudited) | |||||||
Notional | |||||||
WRITTEN OPTIONS | Counterparty | Contracts | Amount | Value | |||
Currency Call Options | |||||||
Euro, 11/17/22 at 0.96 | BNP Paribas Brokerage Services, Inc. | 830,800 | $ | 830,800 | $ | (8,553) | |
Euro, 10/27/22 at 1.0025 | BNP Paribas Brokerage Services, Inc. | 830,800 | 830,800 | (21,547) | |||
Euro, 11/10/22 at 1.02 | Citigroup | 830,800 | 830,800 | (33,169) | |||
Japanese Yen, 9/9/27 at 140.00 | BNP Paribas Brokerage Services, Inc. | 1,058,600 | 1,058,600 | (29,528) | |||
$ | 3,551,000 | $ | (92,797) | ||||
Currency Put Options | |||||||
Euro, 10/27/22 at 1.0025 | BNP Paribas Brokerage Services, Inc. | 830,800 | $ | 830,800 | $ | (3,793) | |
Euro, 11/10/22 at 1.02 | Citigroup | 830,800 | 830,800 | (5,266) | |||
Japanese Yen, 4/5/23 at 112.75 | Goldman Sachs Bank, USA | 2,100,000 | 2,100,000 | (3,058) | |||
Total Written Options (Premiums Received $103,749) | $ | 7,312,600 | $ | (104,914) | |||
The average monthly notional amount of written options contracts for Wilshire Income Opportunities Fund during the nine months ended September 30, 2022 was $6,586,317 |
WILSHIRE INCOME OPPORTUNITIES FUND | ||||||||||||||
SCHEDULE OF INTEREST RATE SWAPTIONS | ||||||||||||||
September 30, 2022 (Unaudited) | ||||||||||||||
Upfront | Unrealized | |||||||||||||
Exercise | Expiration | Notional | Premium | Appreciation | ||||||||||
Counterparty | Protection | Description | Rate | Date | Amount | Value | Received | (Depreciation) | ||||||
Calls | ||||||||||||||
Barclays Capital, Inc. | Buy | Interest Rate, SOFR | 0.000% | 06/03/2027 | $ | 775,000 | $ | 1,791 | $ | - | $ | 1,791 | ||
Barclays Capital, Inc. | Buy | Interest Rate, SOFR | 0.000% | 06/14/2027 | 775,000 | 1,718 | - | 1,718 | ||||||
Deutsche Bank, London | Buy | Interest Rate, SOFR | 2.950% | 06/30/2027 | 1,239,900 | 197 | - | 197 | ||||||
BNP Paribas Brokerage Services, Inc. | Sell | Interest Rate, SOFR | 3.350% | 09/28/2023 | 2,696,700 | (93,824) | 114,610 | 20,786 | ||||||
Deutsche Bank, London | Sell | Interest Rate, SOFR | 2.750% | 06/30/2027 | 9,919,300 | (3,660) | - | (3,660) | ||||||
Puts | ||||||||||||||
Barclays Capital, Inc. | Buy | Interest Rate, SOFR | 0.000% | 05/25/2027 | 2,436,500 | (3,483) | - | (3,483) | ||||||
Deutsche Bank, London | Buy | Interest Rate, SOFR | 2.950% | 06/30/2027 | 1,239,900 | 32,124 | - | 32,124 | ||||||
BNP Paribas Brokerage Services, Inc. | Sell | Interest Rate, SOFR | 3.350% | 09/28/2023 | 2,696,700 | (122,317) | 114,610 | (7,707) | ||||||
Deutsche Bank, London | Sell | Interest Rate, SOFR | 2.750% | 06/30/2027 | 9,919,300 | (46,105) | - | (46,105) | ||||||
Total Interest Rate Swaptions | $ | (233,559) | $ | 229,220 | $ | (4,339) | ||||||||
SOFR - Secured Overnight Financing Rate. | ||||||||||||||
The average monthly notional amount of swaptions purchased and written for Wilshire Income Opportunities Fund during the nine months ended September 30, 2022 were $3,268,533 and $14,995,089, respectively. |
WILSHIRE INCOME OPPORTUNITIES FUND | ||||||||||||||
SCHEDULE OF CENTRALLY CLEARED CREDIT DEFAULT SWAPS | ||||||||||||||
September 30, 2022 (Unaudited) | ||||||||||||||
Pay | ||||||||||||||
Reference | Fixed | Termination | Payment | Notional | Premium | Unrealized | ||||||||
Counterparty | Entity | Protection | Rate | Date | Frequency | Amount | Value | Received | Appreciation | |||||
Morgan Stanley Capital | Prudential Financial, Inc. | Buy | 1.000% | 12/20/2024 | Quarterly | 445,000 | $ | (5,214) | $ | 5,546 | $ 332 | |||
Morgan Stanley Capital | CDX North American High Yield Index | Buy | 5.000% | 06/20/2027 | Quarterly | 1,544,047 | 32,595 | 30,963 | 63,558 | |||||
Total Credit Default Swap Contracts | $ | 27,381 | $ | 36,509 | $ 63,890 | |||||||||
The average monthly notional amount of credit default swaps for Wilshire Income Opportunities Fund during the nine months ended September 30, 2022 was $2,472,937. |
WILSHIRE INCOME OPPORTUNITIES FUND | ||||||||||
SCHEDULE OF CENTRALLY CLEARED INTEREST RATE SWAPS | ||||||||||
September 30, 2022 (Unaudited) | ||||||||||
Pay | Receive | Termination | Payment | Notional | Unrealized | |||||
Counterparty | Floating Rate | Fixed Rate | Date | Frequency | Value | Value | Depreciation | |||
Morgan Stanley Capital | SOFR | (3.393%) | 08/25/2024 | At Maturity | $ | 7,700,000 | $ | (106,835) | $ | (106,835) |
Total Interest Rate Swap Contracts | $ | (106,835) | ||||||||
SOFR - Secured Overnight Financing Rate. | ||||||||||
The average monthly notional amount of interest rate swaps for Wilshire Income Opportunities Fund during the nine months ended September 30, 2022 was $6,590,696. |
WILSHIRE INCOME OPPORTUNITIES FUND | ||||||||||||||
NOTES TO SCHEDULE OF INVESTMENTS | ||||||||||||||
September 30, 2022 (Unaudited) | ||||||||||||||
1. Securities Valuation | ||||||||||||||
Securities listed or traded on U.S. exchanges, including options, futures, swaptions and swap contracts, are valued at the last sales price on the exchange where they are principally traded. In the absence of a current quotation, a security is valued at the mean between the last bid and asked prices on that exchange. Securities quoted on the National Association of Securities Dealers Automatic Quotation (NASDAQ) System, for which there have been sales, are valued at the NASDAQ official closing price. If there are no such sales, a security is valued at the mean between the last bid and ask prices. Securities traded over-the-counter (other than on NASDAQ) are valued at the last current sale price; and if there are no such sales, a security is valued at the mean between the last bid and ask prices. Debt securities are typically valued at an evaluated bid price by a third-party pricing agent employing methodologies that utilize actual market transactions, broker-supplied valuations, or other inputs designed to identify the market value for such securities. Third-party pricing agents often utilize proprietary models that are subjective and require the use of judgment and the application of various assumptions including, but not limited to, interest rates, prepayment speeds, and default rate assumptions. Debt securities that have a remaining maturity of 60 days or less are valued at prices supplied by the Portfolios’ pricing agent for such securities, if available. Otherwise such securities are valued at amortized cost if the Adviser’s Pricing Committee concludes it approximates fair value. Equity securities primarily traded on a foreign exchange are typically valued daily at a price as provided by an independent pricing service, which is an estimate of the fair value price. | ||||||||||||||
Foreign currency contracts, including forward contracts, are valued at the applicable translation rates as supplied by the third-party pricing vendor. In the event market quotations are not readily available, such securities are valued at fair value according to procedures adopted by the Board of Directors (the “Board”) or as determined in good faith by the Adviser’s Pricing Committee, whose members include at least two representatives of Wilshire Advisors LLC (the “Adviser”), one of whom is an officer of the Company, or by the Company’s Valuation Committee which is composed of Directors of the Company. Fair value is defined as the amount the owner of a security might reasonably expect to receive upon a current sale. Securities whose value does not reflect fair value because a significant valuation event has occurred may be valued at fair value by the Pricing Committee or the Valuation Committee in accordance with the Company’s valuation procedures. Significant events may include, but are not limited to, the following: significant fluctuations in domestic markets, foreign markets or foreign currencies; occurrences not directly tied to the securities markets such as natural disasters, armed conflicts or significant governmental actions; and major announcements affecting a single issuer or an entire market or market sector. The value of fair valued securities may be different from the last sale price (or the mean between the last bid and asked prices), and there is no guarantee that a fair valued security will be sold at the price at which a Portfolio is carrying the security. | ||||||||||||||
In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Portfolios disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The guidance establishes three levels of the fair value hierarchy as follows: ● Level 1 – Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Portfolios have the ability to access at the measurement date; ● Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, etc.); and ● Level 3 – Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity). | ||||||||||||||
The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. During the period ended September 30, 2022, there have been no significant changes to the Portfolio's fair value methodologies. | ||||||||||||||
The following is a summary of the inputs used to value the Portfolio's investments as of September 30, 2022: |
Wilshire Income Opportunities Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Treasury Obligations . . . . . . . . . . . . . . . . | $ | - | $ | 23,658,305 | $ | - | $ | 23,658,305 | ||||||||
Agency Mortgage-Backed Obligations . . . . . . . | - | 14,841,744 | - | 14,841,744 | ||||||||||||
Non-Agency Mortgage-Backed Obligations . . . | - | 31,557,309 | - | 31,557,309 | ||||||||||||
Non-Agency Mortgage-Backed Obligations | ||||||||||||||||
Interest-Only Strips . . . . . . . . . . . . . . . . . . | - | 4,215,919 | - | 4,215,919 | ||||||||||||
Asset-Backed Securities . . . . . . . . . . . . . . . . . | - | 13,707,834 | - | 13,707,834 | ||||||||||||
Collateralized Loan Obligations . . . . . . . . . . . . | - | 11,387,906 | - | 11,387,906 | ||||||||||||
Corporate Bonds . . . . . . . . . . . . . . . . . . . . . . | - | 49,125,512 | - | 49,125,512 | ||||||||||||
Foreign Bonds . . . . . . . . . . . . . . . . . . . . . . . . | - | 46,459,479 | - | 46,459,479 | ||||||||||||
Bank Loans . . . . . . . . . . . . . . . . . . . . | - | 14,305,046 | - | 14,305,046 | ||||||||||||
Common Stocks . . . . . . . . . . . . . . . . . . . . . . | 474,572 | - | - | 474,572 | ||||||||||||
Preferred Stocks . . . . . . . . . . . . . . . . . . . . . . | 2,443,655 | 270,576 | - | 2,714,231 | ||||||||||||
Purchased Options . . . . . . . . . . . . . . . . . . . . | - | 73,119 | - | 73,119 | ||||||||||||
Affiliated Registered Investment Companies . . | 16,675,243 | - | - | 16,675,243 | ||||||||||||
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 19,593,470 | $ | 209,602,749 | $ | - | $ | 229,196,219 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Asset | ||||||||||||||||
Unrealized appreciation on forward currency contracts | $ | - | $ | 2,300,765 | $ | - | $ | 2,300,765 | ||||||||
Unrealized appreciation on futures contracts | 915,961 | - | - | 915,961 | ||||||||||||
Unrealized appreciation on swap contracts | - | 63,890 | - | 63,890 | ||||||||||||
Unrealized appreciation on swaption contracts | - | 56,616 | 56,616 | |||||||||||||
Total Assets . . . . . . . | $ | 915,961 | $ | 2,421,271 | $ | - | $ | 3,337,232 | ||||||||
Liabilities | ||||||||||||||||
Written Options | $ | - | $ | (104,914 | ) | $ | - | $ | (104,914 | ) | ||||||
Unrealized depreciation on forward currency contracts | - | (1,897,240 | ) | - | (1,897,240 | ) | ||||||||||
Unrealized depreciation on futures contracts | (1,019,525 | ) | - | - | (1,019,525 | ) | ||||||||||
Unrealized depreciation on swap contracts | - | (106,835 | ) | - | (106,835 | ) | ||||||||||
Unrealized depreciation on swaption contracts | - | (60,955 | ) | - | (60,955 | ) | ||||||||||
Total Liabilities. . . . . . . . . | $ | (1,019,525 | ) | $ | (2,169,944 | ) | $ | - | $ | (3,189,469 | ) | |||||
** Other financial instruments are derivative financial instruments not reflected in the Schedule of Investments, | ||||||||||||||||
such as futures contracts, swap contracts, swaption contracts, and forward foreign currency contracts. These contracts | ||||||||||||||||
are valued at the unrealized appreciation (depreciation) on the instrument. | ||||||||||||||||
Refer to the Portfolio's Schedule of Investments for a listing of the securities by industry or sector type.Wilshire Income Opportunities Portfolio did not hold any assets or liabilities that were measured at fair value on a recurring basis using significant unobservable inputs (Level 3) as of September 30, 2022. | ||||||||||||||||
2. Affiliated Investments | |||||||||||||||
Due to Voya managing a portion of Wilshire Income Opportunities Fund during the nine months ended September 30, 2022, certain securities held by the Portfolio are considered | |||||||||||||||
affiliated investments. Purchases and sales of shares of affiliated registered investment companies by Wilshire Income Opportunities Fund during the nine months ended | |||||||||||||||
September 30, 2022 and the value of such investments as of September 30, 2022 were as follows: |
Fund | Value as of December 31, 2021 | Purchases | Proceeds from Sales | Realized Loss | Change in Unrealized Depreciation | Value as of September 30, 2022 | Income Distribution | Long-Term Capital Gain Distribution | ||||||||||||||||||||||||
Voya Emerging Markets Hard | ||||||||||||||||||||||||||||||||
Currency Debt - Class P . . . | $ | 5,128,114 | $ | 171,175 | $ | (1,000,000 | ) | $ | (259,633 | ) | $ | (1,025,738 | ) | $ | 3,013,918 | $ | 164,716 | $ | - | |||||||||||||
Voya Emerging Markets | ||||||||||||||||||||||||||||||||
Corporate Debt Fund - Class P . . . | - | 922,272 | - | - | (172,928 | ) | 749,344 | 25,543 | - | |||||||||||||||||||||||
Voya Floating Rate Fund - Class P . . . | 12,081,644 | 308,541 | (5,000,000 | ) | (454,626 | ) | (285,211 | ) | 6,650,348 | 305,259 | - | |||||||||||||||||||||
Voya High Yield Bond Fund - Class P . . | 3,965,944 | 5,277,262 | (1,600,000 | ) | (122,412 | ) | (1,259,161 | ) | 6,261,633 | 296,450 | - | |||||||||||||||||||||
$ | 21,175,702 | $ | 6,679,250 | $ | (7,600,000 | ) | $ | (836,671 | ) | $ | (2,743,038 | ) | $ | 16,675,243 | $ | 791,968 | $ | - | ||||||||||||||