Wilshire Income Opportunities Fund
Schedule of Investments | |||||||||
as of March 31, 2024 (Unaudited) | |||||||||
CORPORATE BONDS - 31.5% | Par | Value | |||||||
Basic Materials - 2.0% | |||||||||
AngloGold Ashanti Holdings PLC, 3.75%, 10/01/2030 (Callable 07/01/2030) | $ | 200,000 | $ | 173,750 | |||||
Arsenal AIC Parent LLC, 8.00%, 10/01/2030 (Callable 10/01/2026)(a) | 25,000 | 26,156 | |||||||
ATI, Inc., 7.25%, 08/15/2030 (Callable 08/15/2026) | 25,000 | 25,813 | |||||||
BHP Billiton Finance USA Ltd., 5.25%, 09/08/2030 (Callable 07/08/2030) | 75,000 | 76,071 | |||||||
Braskem Netherlands Finance BV | |||||||||
5.88%, 01/31/2050 (a) | 200,000 | 153,750 | |||||||
8.50% to 01/23/2026 then 5 yr. CMT Rate + 8.22%, 01/23/2081 (Callable 10/24/2025) | 200,000 | 200,250 | |||||||
CAP SA, 3.90%, 04/27/2031 (Callable 01/27/2031) | 200,000 | 156,000 | |||||||
Cia de Minas Buenaventura SAA, 5.50%, 07/23/2026 (Callable 05/01/2024) | 200,000 | 192,000 | |||||||
Cleveland-Cliffs, Inc. | |||||||||
6.75%, 04/15/2030 (Callable 04/15/2026)(a) | 324,000 | 324,000 | |||||||
4.88%, 03/01/2031 (Callable 03/01/2026)(a) | 117,000 | 105,593 | |||||||
Coeur Mining, Inc., 5.13%, 02/15/2029 (Callable 05/02/2024)(a)(b) | 25,000 | 23,500 | |||||||
Corp. Nacional del Cobre de Chile, 6.44%, 01/26/2036 (Callable 10/26/2035)(a) | 200,000 | 206,250 | |||||||
CSN Resources SA, 5.88%, 04/08/2032 (Callable 04/08/2027)(b) | 200,000 | 174,750 | |||||||
Freeport-McMoRan, Inc. | |||||||||
4.13%, 03/01/2028 (Callable 05/02/2024) | 25,000 | 23,906 | |||||||
4.38%, 08/01/2028 (Callable 05/02/2024) | 50,000 | 48,125 | |||||||
4.63%, 08/01/2030 (Callable 08/01/2025) | 105,000 | 100,669 | |||||||
5.40%, 11/14/2034 (Callable 05/14/2034) | 95,000 | 93,575 | |||||||
5.45%, 03/15/2043 (Callable 09/15/2042) | 400,000 | 381,999 | |||||||
Glencore Funding LLC | |||||||||
1.63%, 04/27/2026 (Callable 03/27/2026)(a) | 50,000 | 46,307 | |||||||
5.37%, 04/04/2029 (Callable 03/04/2029)(a) | 85,000 | 85,000 | |||||||
Hudbay Minerals, Inc., 4.50%, 04/01/2026 (Callable 05/02/2024)(a) | 25,000 | 24,094 | |||||||
Illuminate Buyer LLC, 9.00%, 07/01/2028 (Callable 05/02/2024)(a) | 25,000 | 24,719 | |||||||
Indonesia Asahan Aluminium Persero PT, 4.75% (5 yr. CMT Rate + 0.00%), 05/15/2025 (Callable 04/15/2025)(a) | 225,000 | 222,187 | |||||||
Iris Holdings, Inc., 8.75% (9.50% PIK), 02/15/2026 (Callable 05/02/2024)(a) | 25,000 | 21,375 | |||||||
LSF11 A5 HoldCo LLC, 6.63%, 10/15/2029 (Callable 10/15/2024)(a) | 20,000 | 17,850 | |||||||
Mativ Holdings, Inc., 6.88%, 10/01/2026 (Callable 05/02/2024)(a) | 25,000 | 24,656 | |||||||
Minsur SA, 4.50%, 10/28/2031 | 200,000 | 174,500 | |||||||
Nexa Resources SA, 5.38%, 05/04/2027 (Callable 02/04/2027) | 200,000 | 194,500 | |||||||
NOVA Chemicals Corp, 8.50%, 11/15/2028 (Callable 11/15/2025)(a) | 25,000 | 26,563 | |||||||
Novelis Corp., 3.88%, 08/15/2031 (Callable 08/15/2026)(a) | 25,000 | 21,406 | |||||||
Nufarm Australia Ltd., 5.00%, 01/27/2030 (Callable 01/27/2025)(a) | 25,000 | 22,875 | |||||||
Sasol Financing USA LLC, 5.50%, 03/18/2031 (Callable 03/18/2030) | 200,000 | 168,500 | |||||||
Southern Copper Corp., 3.88%, 04/23/2025 | 50,000 | 48,875 | |||||||
Taseko Mines Ltd., 7.00%, 02/15/2026 (Callable 05/02/2024)(a) | 25,000 | 24,969 | |||||||
Trinseo Materials Operating SCA, 5.13%, 04/01/2029 (Callable 05/02/2024)(a) | 20,000 | 5,800 | |||||||
Tronox, Inc., 4.63%, 03/15/2029 (Callable 05/02/2024)(a) | 25,000 | 22,313 | |||||||
UPL Corp. Ltd., 4.63%, 06/16/2030 | 200,000 | 158,750 | |||||||
Vedanta Resources Finance II PLC, 9.25%, 04/23/2026 (Callable 05/02/2024)(a) | 200,000 | 162,500 | |||||||
WR Grace Holdings LLC, 5.63%, 08/15/2029 (Callable 08/15/2024)(a) | 20,000 | 17,875 | |||||||
4,001,771 | |||||||||
Communications - 2.3% | |||||||||
AT&T, Inc., 3.50%, 09/15/2053 (Callable 03/15/2053) | 115,000 | 80,430 | |||||||
Beasley Mezzanine Holdings LLC, 8.63%, 02/01/2026 (Callable 05/02/2024)(a) | 20,000 | 11,900 | |||||||
CCO Holdings LLC | |||||||||
4.75%, 03/01/2030 (Callable 09/01/2024)(a) | 40,000 | 34,450 | |||||||
4.75%, 02/01/2032 (Callable 02/01/2027)(a) | 30,000 | 24,450 | |||||||
4.25%, 01/15/2034 (Callable 01/15/2028)(a) | 25,000 | 18,813 | |||||||
Charter Communications Operating LLC | |||||||||
4.91%, 07/23/2025 (Callable 04/23/2025) | 160,000 | 158,120 | |||||||
2.80%, 04/01/2031 (Callable 01/01/2031) | 70,000 | 57,261 | |||||||
5.75%, 04/01/2048 (Callable 10/01/2047) | 90,000 | 75,771 | |||||||
5.13%, 07/01/2049 (Callable 01/01/2049) | 305,000 | 235,888 | |||||||
Clear Channel Outdoor Holdings, Inc., 7.50%, 06/01/2029 (Callable 06/01/2024)(a) | 15,000 | 12,375 | |||||||
CT Trust, 5.13%, 02/03/2032 (Callable 02/03/2027) | 200,000 | 176,500 | |||||||
Digicel Group | |||||||||
0.00%, 12/31/2030 (a) | 7,736 | 7,142 | |||||||
0.00%, 12/31/2030 (a) | 38,775 | 5,991 | |||||||
0.00%, 12/31/2030 (a) | 97,752 | 1,123 | |||||||
0.00%, 12/31/2030 (a) | 996 | 805 | |||||||
Directv Financing LLC, 5.88%, 08/15/2027 (Callable 05/02/2024)(a) | 75,000 | 70,688 | |||||||
DISH DBS Corp. | |||||||||
5.75%, 12/01/2028 (Callable 12/01/2027)(a) | 20,000 | 13,750 | |||||||
5.13%, 06/01/2029 | 25,000 | 10,375 | |||||||
Expedia Group, Inc. | |||||||||
5.00%, 02/15/2026 (Callable 11/15/2025) | 80,000 | 79,517 | |||||||
3.25%, 02/15/2030 (Callable 11/15/2029) | 90,000 | 80,928 | |||||||
Frontier Communications Holdings LLC | |||||||||
5.88%, 10/15/2027 (Callable 05/02/2024)(a) | 10,000 | 9,650 | |||||||
5.00%, 05/01/2028 (Callable 05/02/2024)(a) | 20,000 | 18,550 | |||||||
GCI LLC, 4.75%, 10/15/2028 (Callable 04/17/2024)(a) | 25,000 | 22,813 | |||||||
Gray Escrow II, Inc., 5.38%, 11/15/2031 (Callable 11/15/2026)(a) | 25,000 | 16,406 | |||||||
LCPR Senior Secured Financing DAC, 5.13%, 07/15/2029 (Callable 07/15/2024)(a) | 200,000 | 167,000 | |||||||
Level 3 Financing, Inc., 10.50%, 05/15/2030 (Callable 05/15/2026)(a)(b) | 15,000 | 15,338 | |||||||
Match Group Holdings II LLC | |||||||||
4.63%, 06/01/2028 (Callable 05/02/2024)(a) | 25,000 | 23,500 | |||||||
4.13%, 08/01/2030 (Callable 05/01/2025)(a) | 60,000 | 53,175 | |||||||
McGraw-Hill Education, Inc. | |||||||||
5.75%, 08/01/2028 (Callable 08/01/2024)(a) | 30,000 | 28,050 | |||||||
8.00%, 08/01/2029 (Callable 08/01/2024)(a) | 25,000 | 23,375 | |||||||
Meta Platforms, Inc., 3.85%, 08/15/2032 (Callable 05/15/2032) | 85,000 | 79,477 | |||||||
Millicom International Cellular SA, 6.25%, 03/25/2029 (Callable 04/11/2024) | 180,000 | 175,050 | |||||||
Netflix, Inc. | |||||||||
5.88%, 11/15/2028 | 15,000 | 15,600 | |||||||
5.38%, 11/15/2029 (a) | 40,000 | 40,750 | |||||||
Network i2i Ltd., 5.65% to 04/15/2025 then 5 yr. CMT Rate + 4.27%, Perpetual (Callable 01/15/2025) | 200,000 | 198,250 | |||||||
News Corp. | |||||||||
3.88%, 05/15/2029 (Callable 05/15/2024)(a) | 305,000 | 278,693 | |||||||
5.13%, 02/15/2032 (Callable 02/15/2027)(a) | 20,000 | 18,750 | |||||||
Paramount Global | |||||||||
6.25% to 02/28/2027 then 3 mo. LIBOR US + 3.90%, 02/28/2057 (Callable 02/28/2027) (c) | 25,000 | 21,897 | |||||||
6.38% to 03/30/2027 then 5 yr. CMT Rate + 4.00%, 03/30/2062 (Callable 03/30/2027) | 76,000 | 69,937 | |||||||
Scripps Escrow II, Inc., 3.88%, 01/15/2029 (Callable 05/02/2024)(a) | 25,000 | 19,750 | |||||||
Sinclair Television Group, Inc., 4.13%, 12/01/2030 (Callable 12/01/2025)(a) | 25,000 | 18,063 | |||||||
Sirius XM Radio, Inc. | |||||||||
5.00%, 08/01/2027 (Callable 05/02/2024)(a) | 25,000 | 24,000 | |||||||
4.13%, 07/01/2030 (Callable 07/01/2025)(a) | 235,000 | 205,037 | |||||||
Stagwell Global LLC, 5.63%, 08/15/2029 (Callable 08/15/2024)(a) | 25,000 | 22,625 | |||||||
Telecom Italia Capital SA, 6.38%, 11/15/2033 | 25,000 | 23,563 | |||||||
T-Mobile USA, Inc. | |||||||||
2.63%, 02/15/2029 (Callable 04/12/2024) | 90,000 | 80,489 | |||||||
3.38%, 04/15/2029 (Callable 04/15/2024) | 95,000 | 87,803 | |||||||
2.88%, 02/15/2031 (Callable 02/15/2026) | 85,000 | 73,630 | |||||||
3.50%, 04/15/2031 (Callable 04/15/2026) | 190,000 | 171,312 | |||||||
5.15%, 04/15/2034 (Callable 01/15/2034) | 40,000 | 39,690 | |||||||
5.50%, 01/15/2055 (Callable 07/15/2054) | 40,000 | 39,941 | |||||||
Townsquare Media, Inc., 6.88%, 02/01/2026 (Callable 05/02/2024)(a) | 30,000 | 29,250 | |||||||
Uber Technologies, Inc., 8.00%, 11/01/2026 (Callable 05/02/2024)(a) | 115,000 | 116,294 | |||||||
Univision Communications, Inc. | |||||||||
6.63%, 06/01/2027 (Callable 04/12/2024)(a) | 25,000 | 24,375 | |||||||
7.38%, 06/30/2030 (Callable 06/30/2025)(a)(b) | 20,000 | 19,700 | |||||||
Verizon Communications, Inc., 5.50%, 02/23/2054 (Callable 08/23/2053) | 80,000 | 80,708 | |||||||
Viavi Solutions, Inc., 3.75%, 10/01/2029 (Callable 10/01/2024)(a) | 25,000 | 21,438 | |||||||
Virgin Media Finance PLC, 5.00%, 07/15/2030 (Callable 07/15/2025)(a) | 200,000 | 169,000 | |||||||
Virgin Media Secured Finance PLC | |||||||||
5.50% (5 yr. CMT Rate + 0.00%), 05/15/2029 (Callable 05/15/2024)(a) | 276,000 | 253,919 | |||||||
4.50%, 08/15/2030 (Callable 08/15/2025)(a) | 200,000 | 171,988 | |||||||
Vmed O2 UK Financing I PLC | |||||||||
3.25%, 01/31/2031 (Callable 01/31/2026)(a) | EUR | 150,000 | 142,697 | ||||||
4.25%, 01/31/2031 (Callable 01/31/2026)(a) | 215,000 | 180,600 | |||||||
4,448,410 |
Consumer Cyclical - 3.8% | |||||||||
1011778 BC ULC | |||||||||
3.88%, 01/15/2028 (Callable 05/02/2024)(a) | 167,000 | 156,980 | |||||||
3.50%, 02/15/2029 (Callable 04/12/2024)(a) | 336,000 | 306,179 | |||||||
4.00%, 10/15/2030 (Callable 10/15/2025)(a) | 476,000 | 422,449 | |||||||
Adient Global Holdings Ltd., 8.25% (SOFR Rate + 0.00%), 04/15/2031 (Callable 04/15/2026)(a)(b) | 25,000 | 26,313 | |||||||
Allison Transmission, Inc., 5.88%, 06/01/2029 (Callable 06/01/2024)(a) | 25,000 | 24,688 | |||||||
Amer Sports Co., 6.75%, 02/16/2031 (Callable 02/16/2027)(a) | 25,000 | 24,938 | |||||||
American Airlines, Inc. | |||||||||
5.50% (5 yr. CMT Rate + 0.00%), 04/20/2026 (a) | 165,000 | 163,556 | |||||||
5.75% (SOFR Rate + 0.00%), 04/20/2029 (a) | 175,000 | 171,719 | |||||||
8.50%, 05/15/2029 (Callable 11/15/2025)(a) | 30,000 | 31,650 | |||||||
Arko Corp., 5.13%, 11/15/2029 (Callable 11/15/2024)(a) | 25,000 | 20,750 | |||||||
Asbury Automotive Group, Inc., 4.75%, 03/01/2030 (Callable 03/01/2025) | 25,000 | 22,938 | |||||||
Ashton Woods USA LLC, 4.63%, 08/01/2029 (Callable 08/01/2024)(a) | 25,000 | 23,031 | |||||||
Bath & Body Works, Inc., 6.75%, 07/01/2036 | 25,000 | 25,250 | |||||||
BCPE Empire Holdings, Inc., 7.63%, 05/01/2027 (Callable 05/02/2024)(a) | 35,000 | 34,081 | |||||||
Caesars Entertainment, Inc., 6.50%, 02/15/2032 (Callable 02/15/2027)(a)(b) | 40,000 | 40,400 | |||||||
Carnival Corp., 5.75%, 03/01/2027 (Callable 12/01/2026)(a) | 220,000 | 217,250 | |||||||
CCM Merger, Inc., 6.38%, 05/01/2026 (Callable 05/02/2024)(a) | 25,000 | 24,813 | |||||||
Dealer Tire LLC, 8.00%, 02/01/2028 (Callable 05/02/2024)(a) | 5,000 | 4,975 | |||||||
Delta Air Lines 2020-1 Class A Pass Through Trust, 2.50%, 06/10/2028 | 68,374 | 61,497 | |||||||
Delta Air Lines, Inc. | |||||||||
2.90%, 10/28/2024 (Callable 09/28/2024) | 80,000 | 78,400 | |||||||
7.38%, 01/15/2026 (Callable 12/15/2025) | 35,000 | 36,050 | |||||||
4.75%, 10/20/2028 (a) | 655,000 | 639,827 | |||||||
Dollar Tree, Inc., 4.00%, 05/15/2025 (Callable 03/15/2025) | 160,000 | 157,387 | |||||||
Dream Finders Homes, Inc., 8.25%, 08/15/2028 (Callable 08/15/2025)(a) | 25,000 | 26,094 | |||||||
Ferrellgas LP, 5.38%, 04/01/2026 (Callable 05/02/2024)(a) | 20,000 | 19,550 | |||||||
Fertitta Entertainment LLC, 6.75%, 01/15/2030 (Callable 01/15/2025)(a) | 20,000 | 17,950 | |||||||
Ford Motor Co., 3.25%, 02/12/2032 (Callable 11/12/2031) | 350,000 | 291,289 | |||||||
Ford Motor Credit Co. LLC | |||||||||
2.75%, 06/14/2024 | GBP | 100,000 | 125,345 | ||||||
4.95%, 05/28/2027 (Callable 04/28/2027) | 200,000 | 195,142 | |||||||
4.13%, 08/17/2027 (Callable 06/17/2027) | 300,000 | 284,031 | |||||||
3.63%, 06/17/2031 (Callable 03/17/2031) | 245,000 | 211,395 | |||||||
Foundation Building Materials, Inc., 6.00%, 03/01/2029 (Callable 05/02/2024)(a) | 25,000 | 23,000 | |||||||
Full House Resorts, Inc., 8.25%, 02/15/2028 (Callable 04/17/2024)(a) | 15,000 | 14,325 | |||||||
Gap, Inc., 3.88%, 10/01/2031 (Callable 10/01/2026)(a) | 55,000 | 46,475 | |||||||
General Motors Financial Co., Inc., 2.40%, 10/15/2028 (Callable 08/15/2028) | 90,000 | 79,447 | |||||||
Golden Entertainment, Inc., 7.63%, 04/15/2026 (Callable 04/15/2024)(a) | 25,000 | 25,000 | |||||||
Hilton Domestic Operating Co., Inc. | |||||||||
4.88%, 01/15/2030 (Callable 01/15/2025) | 160,000 | 153,000 | |||||||
4.00%, 05/01/2031 (Callable 05/01/2026)(a) | 25,000 | 22,344 | |||||||
3.63%, 02/15/2032 (Callable 08/15/2026)(a) | 100,000 | 85,875 | |||||||
Hyatt Hotels Corp., 5.75%, 04/23/2030 (Callable 01/23/2030) | 223,000 | 228,276 | |||||||
Hyundai Capital America, 5.30%, 01/08/2029 (Callable 12/08/2028)(a) | 80,000 | 79,918 | |||||||
Installed Building Products, Inc., 5.75%, 02/01/2028 (Callable 04/17/2024)(a) | 25,000 | 24,375 | |||||||
Interface, Inc., 5.50%, 12/01/2028 (Callable 04/17/2024)(a) | 25,000 | 23,813 | |||||||
LCM Investments Holdings II LLC, 4.88%, 05/01/2029 (Callable 05/02/2024)(a) | 25,000 | 22,875 | |||||||
Lithia Motors, Inc., 4.38%, 01/15/2031 (Callable 10/15/2025)(a) | 25,000 | 22,313 | |||||||
Lowe's Cos., Inc., 5.63%, 04/15/2053 (Callable 10/15/2052) | 25,000 | 25,166 | |||||||
M/I Homes, Inc., 3.95%, 02/15/2030 (Callable 08/15/2029) | 25,000 | 22,313 | |||||||
Macy's Retail Holdings LLC | |||||||||
5.88%, 04/01/2029 (Callable 05/02/2024)(a) | 20,000 | 19,625 | |||||||
6.13%, 03/15/2032 (Callable 03/15/2027)(a) | 25,000 | 24,219 | |||||||
Marriott International, Inc., 5.30%, 05/15/2034 (Callable 02/15/2034) | 80,000 | 78,881 | |||||||
Mattamy Group Corp., 4.63% (SOFR Rate + 0.00%), 03/01/2030 (Callable 03/01/2025)(a) | 45,000 | 40,613 | |||||||
McDonald's Corp., 5.45%, 08/14/2053 (Callable 02/14/2053) | 40,000 | 40,469 | |||||||
MGM Resorts International, 4.75%, 10/15/2028 (Callable 07/15/2028)(b) | 45,000 | 42,806 | |||||||
Michaels Cos., Inc., 5.25%, 05/01/2028 (Callable 04/12/2024)(a) | 50,000 | 42,500 | |||||||
Midwest Gaming Borrower LLC, 4.88%, 05/01/2029 (Callable 05/02/2024)(a) | 40,000 | 36,800 | |||||||
Murphy Oil USA, Inc., 5.63%, 05/01/2027 (Callable 05/02/2024) | 25,000 | 24,688 | |||||||
NCL Corp. Ltd. | |||||||||
5.88%, 02/15/2027 (Callable 04/12/2024)(a) | 30,000 | 29,550 | |||||||
7.75%, 02/15/2029 (Callable 11/15/2028)(a) | 25,000 | 25,875 | |||||||
Premier Entertainment Sub LLC | |||||||||
5.63%, 09/01/2029 (Callable 09/01/2024)(a) | 50,000 | 38,250 | |||||||
5.88%, 09/01/2031 (Callable 09/01/2026)(a) | 97,000 | 71,053 | |||||||
Raising Cane's Restaurants LLC, 9.38%, 05/01/2029 (Callable 11/01/2025)(a) | 25,000 | 26,938 | |||||||
Ritchie Bros Holdings, Inc., 7.75%, 03/15/2031 (Callable 03/15/2026)(a) | 25,000 | 26,063 | |||||||
Royal Caribbean Cruises Ltd. | |||||||||
5.38%, 07/15/2027 (Callable 10/15/2026)(a) | 25,000 | 24,563 | |||||||
5.50%, 04/01/2028 (Callable 10/01/2027)(a) | 240,000 | 236,700 | |||||||
6.25%, 03/15/2032 (Callable 03/15/2027)(a) | 15,000 | 15,113 | |||||||
Sally Holdings LLC, 6.75%, 03/01/2032 (Callable 03/01/2027) | 25,000 | 24,719 | |||||||
Scientific Games Holdings LP, 6.63%, 03/01/2030 (Callable 03/01/2025)(a) | 70,000 | 67,375 | |||||||
Scientific Games International, Inc. | |||||||||
7.00%, 05/15/2028 (Callable 04/17/2024)(a) | 25,000 | 25,156 | |||||||
7.25%, 11/15/2029 (Callable 11/15/2024)(a) | 25,000 | 25,563 | |||||||
Sonic Automotive, Inc., 4.63%, 11/15/2029 (Callable 11/15/2024)(a) | 50,000 | 44,625 | |||||||
SRS Distribution, Inc., 6.13%, 07/01/2029 (Callable 07/01/2024)(a) | 25,000 | 25,438 | |||||||
Staples, Inc., 7.50%, 04/15/2026 (Callable 05/02/2024)(a) | 35,000 | 34,169 | |||||||
Station Casinos LLC | |||||||||
4.50%, 02/15/2028 (Callable 05/02/2024)(a) | 25,000 | 23,500 | |||||||
6.63%, 03/15/2032 (Callable 03/15/2027)(a) | 30,000 | 30,300 | |||||||
STL Holding Co. LLC, 8.75%, 02/15/2029 (Callable 02/15/2026)(a) | 25,000 | 25,563 | |||||||
Suburban Propane Partners LP, 5.00%, 06/01/2031 (Callable 06/01/2026)(a) | 30,000 | 27,300 | |||||||
Superior Plus LP, 4.50%, 03/15/2029 (Callable 04/12/2024)(a) | 30,000 | 27,563 | |||||||
Taylor Morrison Communities, Inc., 5.13%, 08/01/2030 (Callable 02/01/2030)(a) | 25,000 | 23,813 | |||||||
Tempur Sealy International, Inc., 3.88%, 10/15/2031 (Callable 10/15/2026)(a) | 25,000 | 21,125 | |||||||
Travel + Leisure Co. | |||||||||
6.63%, 07/31/2026 (Callable 04/30/2026)(a) | 69,000 | 69,345 | |||||||
4.50%, 12/01/2029 (Callable 09/01/2029)(a) | 170,000 | 155,974 | |||||||
United Airlines Holdings, Inc., 4.88%, 01/15/2025 | 25,000 | 24,750 | |||||||
Viking Cruises Ltd. | |||||||||
5.88%, 09/15/2027 (Callable 05/02/2024)(a) | 55,000 | 53,900 | |||||||
9.13%, 07/15/2031 (Callable 07/15/2026)(a) | 65,000 | 70,931 | |||||||
VistaJet Malta Finance PLC, 6.38% (5 yr. CMT Rate + 0.00%), 02/01/2030 (Callable 02/01/2025)(a)(b) | 25,000 | 18,344 | |||||||
Walgreens Boots Alliance, Inc., 4.80%, 11/18/2044 (Callable 05/18/2044) | 25,000 | 21,028 | |||||||
Whirlpool Corp., 5.75%, 03/01/2034 (Callable 12/01/2033) | 25,000 | 25,013 | |||||||
White Cap Buyer LLC, 6.88%, 10/15/2028 (Callable 05/02/2024)(a) | 25,000 | 24,438 | |||||||
William Carter Co., 5.63%, 03/15/2027 (Callable 05/02/2024)(a) | 25,000 | 24,750 | |||||||
WMG Acquisition Corp., 3.00%, 02/15/2031 (Callable 02/15/2026)(a) | 345,000 | 292,387 | |||||||
Wynn Las Vegas LLC, 5.25%, 05/15/2027 (Callable 02/15/2027)(a) | 25,000 | 24,438 | |||||||
Yum! Brands, Inc. | |||||||||
4.75%, 01/15/2030 (Callable 10/15/2029)(a) | 307,000 | 290,114 | |||||||
3.63%, 03/15/2031 (Callable 12/15/2030) | 395,000 | 349,574 | |||||||
4.63%, 01/31/2032 (Callable 10/01/2026) | 175,000 | 161,437 | |||||||
7,661,770 |
Consumer Non-Cyclical - 4.2% | |||||||||
1375209 BC Ltd., 9.00%, 01/30/2028 (Callable 04/12/2024)(a) | 3,000 | 2,940 | |||||||
AbbVie, Inc., 4.70%, 05/14/2045 (Callable 11/14/2044) | 87,000 | 81,393 | |||||||
Acadia Healthcare Co., Inc., 5.50%, 07/01/2028 (Callable 05/02/2024)(a) | 25,000 | 24,344 | |||||||
Adani International Container Terminal Pvt Ltd., 3.00%, 02/16/2031 (Callable 08/18/2030) | 172,000 | 146,201 | |||||||
Adani Ports & Special Economic Zone Ltd., 4.20%, 08/04/2027 (Callable 02/04/2027) | 300,000 | 276,749 | |||||||
AdaptHealth LLC, 5.13%, 03/01/2030 (Callable 03/01/2025)(a) | 20,000 | 17,400 | |||||||
ADT Security Corp., 4.13%, 08/01/2029 (Callable 08/01/2028)(a) | 25,000 | 22,781 | |||||||
AHP Health Partners, Inc., 5.75%, 07/15/2029 (Callable 07/15/2024)(a) | 25,000 | 22,750 | |||||||
Albertsons Cos., Inc., 3.50%, 03/15/2029 (Callable 05/02/2024)(a) | 25,000 | 22,344 | |||||||
Allergan Funding SCS, 2.63%, 11/15/2028 (Callable 08/15/2028) | EUR | 100,000 | 100,443 | ||||||
Allied Universal Holdco LLC | |||||||||
6.63%, 07/15/2026 (Callable 05/02/2024)(a) | 15,000 | 14,963 | |||||||
9.75%, 07/15/2027 (Callable 05/02/2024)(a) | 20,000 | 20,000 | |||||||
7.88%, 02/15/2031 (Callable 02/15/2027)(a) | 30,000 | 30,263 | |||||||
Alta Equipment Group, Inc., 5.63%, 04/15/2026 (Callable 05/02/2024)(a) | 25,000 | 24,438 | |||||||
APi Group DE, Inc., 4.75%, 10/15/2029 (Callable 10/15/2024)(a) | 25,000 | 23,000 | |||||||
Avis Budget Car Rental LLC, 8.00%, 02/15/2031 (Callable 11/15/2026)(a) | 25,000 | 24,875 | |||||||
B&G Foods, Inc., 5.25%, 09/15/2027 (Callable 05/02/2024)(b) | 25,000 | 23,250 | |||||||
BAT Capital Corp., 4.54%, 08/15/2047 (Callable 02/15/2047) | 55,000 | 42,140 | |||||||
Bausch + Lomb Corp., 8.38%, 10/01/2028 (Callable 10/01/2025)(a) | 65,000 | 67,275 | |||||||
Bausch Health Cos., Inc. | |||||||||
6.13%, 02/01/2027 (Callable 05/02/2024)(a) | 15,000 | 9,300 | |||||||
14.00%, 10/15/2030 (Callable 10/15/2025)(a) | 1,000 | 580 | |||||||
Becle SAB de CV, 2.50%, 10/14/2031 (Callable 07/14/2031)(a) | 205,000 | 161,217 | |||||||
BellRing Brands, Inc., 7.00%, 03/15/2030 (Callable 03/15/2027)(a) | 25,000 | 25,750 | |||||||
Bimbo Bakeries USA, Inc., 5.38%, 01/09/2036 (Callable 10/09/2035)(a) | 200,000 | 198,615 | |||||||
Bristol-Myers Squibb Co. | |||||||||
5.50%, 02/22/2044 (Callable 08/22/2043) | 15,000 | 15,300 | |||||||
5.55%, 02/22/2054 (Callable 08/22/2053) | 65,000 | 66,833 | |||||||
Campbell Soup Co., 5.40%, 03/21/2034 (Callable 12/21/2033) | 40,000 | 40,295 | |||||||
Centene Corp. | |||||||||
4.63%, 12/15/2029 (Callable 12/15/2024) | 90,000 | 85,388 | |||||||
3.38%, 02/15/2030 (Callable 02/15/2025) | 305,000 | 269,924 | |||||||
3.00%, 10/15/2030 (Callable 07/15/2030) | 285,000 | 244,387 | |||||||
2.50%, 03/01/2031 (Callable 12/01/2030) | 275,000 | 225,461 | |||||||
Chobani LLC, 7.63%, 07/01/2029 (Callable 01/01/2026)(a) | 25,000 | 25,313 | |||||||
Community Health Systems, Inc. | |||||||||
6.00%, 01/15/2029 (Callable 04/17/2024)(a) | 25,000 | 21,750 | |||||||
5.25%, 05/15/2030 (Callable 05/15/2025)(a) | 25,000 | 20,313 | |||||||
Coty, Inc. | |||||||||
5.00%, 04/15/2026 (Callable 05/02/2024)(a) | 30,000 | 29,550 | |||||||
6.63%, 07/15/2030 (Callable 07/16/2026)(a) | 30,000 | 30,375 | |||||||
CPI CG, Inc., 8.63%, 03/15/2026 (Callable 05/02/2024)(a) | 25,000 | 24,813 | |||||||
CVS Health Corp. | |||||||||
5.30%, 06/01/2033 (Callable 03/01/2033) | 40,000 | 40,021 | |||||||
5.88%, 06/01/2053 (Callable 12/01/2052)(b) | 60,000 | 60,735 | |||||||
Darling Ingredients, Inc., 6.00%, 06/15/2030 (Callable 06/15/2025)(a) | 290,000 | 286,737 | |||||||
DaVita, Inc., 4.63%, 06/01/2030 (Callable 06/01/2025)(a) | 25,000 | 22,313 | |||||||
Duke University, 3.30%, 10/01/2046 | 163,000 | 125,128 | |||||||
Elevance Health, Inc. | |||||||||
2.38%, 01/15/2025 (Callable 12/15/2024) | 70,000 | 68,250 | |||||||
4.55%, 05/15/2052 (Callable 11/15/2051) | 30,000 | 26,295 | |||||||
Encompass Health Corp., 4.75%, 02/01/2030 (Callable 02/01/2025) | 25,000 | 23,313 | |||||||
Fiesta Purchaser, Inc., 7.88%, 03/01/2031 (Callable 03/01/2027)(a) | 25,000 | 25,813 | |||||||
Fortrea Holdings, Inc., 7.50%, 07/01/2030 (Callable 07/01/2026)(a) | 15,000 | 15,450 | |||||||
Garda World Security Corp., 6.00%, 06/01/2029 (Callable 06/01/2024)(a) | 45,000 | 39,994 | |||||||
Gartner, Inc., 3.75%, 10/01/2030 (Callable 10/01/2025)(a) | 125,000 | 111,405 | |||||||
Gilead Sciences, Inc., 5.55%, 10/15/2053 (Callable 04/15/2053) | 25,000 | 25,802 | |||||||
Graham Holdings Co., 5.75%, 06/01/2026 (Callable 04/12/2024)(a) | 25,000 | 24,750 | |||||||
HCA, Inc. | |||||||||
3.50%, 09/01/2030 (Callable 03/01/2030) | 666,000 | 601,064 | |||||||
5.60%, 04/01/2034 (Callable 01/01/2034) | 285,000 | 285,900 | |||||||
5.25%, 06/15/2049 (Callable 12/15/2048) | 90,000 | 82,238 | |||||||
IQVIA, Inc., 6.25%, 02/01/2029 (Callable 01/01/2029) | 55,000 | 57,184 | |||||||
JBS USA Food Co. | |||||||||
3.63%, 01/15/2032 (Callable 01/15/2027) | 200,000 | 170,500 | |||||||
5.75%, 04/01/2033 (Callable 01/01/2033) | 90,000 | 88,313 | |||||||
Kraft Heinz Foods Co. | |||||||||
6.88%, 01/26/2039 | 90,000 | 101,427 | |||||||
7.13%, 08/01/2039 (a) | 95,000 | 108,956 | |||||||
4.38%, 06/01/2046 (Callable 12/01/2045) | 290,000 | 243,759 | |||||||
Legacy LifePoint Health LLC, 4.38%, 02/15/2027 (Callable 05/02/2024)(a) | 35,000 | 33,163 | |||||||
Legends Hospitality Holding Co. LLC, 5.00%, 02/01/2026 (Callable 05/02/2024)(a) | 25,000 | 24,813 | |||||||
MARB BondCo PLC | |||||||||
3.95%, 01/29/2031 (Callable 01/29/2026) | 200,000 | 164,684 | |||||||
3.95%, 01/29/2031 (Callable 01/29/2026)(a) | 200,000 | 164,502 | |||||||
Massachusetts Institute of Technology, 2.99%, 07/01/2050 (Callable 01/01/2050) | 110,000 | 79,683 | |||||||
Medline Borrower LP | |||||||||
3.88%, 04/01/2029 (Callable 10/01/2024)(a)(b) | 25,000 | 22,719 | |||||||
5.25%, 10/01/2029 (Callable 10/01/2024)(a) | 45,000 | 42,525 | |||||||
Metis Merger Sub LLC, 6.50%, 05/15/2029 (Callable 05/15/2024)(a) | 30,000 | 28,500 | |||||||
ModivCare Escrow Issuer, Inc., 5.00%, 10/01/2029 (Callable 10/01/2024)(a) | 25,000 | 18,125 | |||||||
ModivCare, Inc., 5.88%, 11/15/2025 (Callable 05/02/2024)(a) | 25,000 | 24,344 | |||||||
MPH Acquisition Holdings LLC, 5.75%, 11/01/2028 (Callable 05/02/2024)(a) | 25,000 | 19,594 | |||||||
NESCO Holdings II, Inc., 5.50%, 04/15/2029 (Callable 05/02/2024)(a) | 25,000 | 23,594 | |||||||
Owens & Minor, Inc., 6.63%, 04/01/2030 (Callable 04/01/2025)(a) | 55,000 | 54,313 | |||||||
Pfizer Investment Enterprises Pte Ltd., 4.75%, 05/19/2033 (Callable 02/19/2033) | 60,000 | 59,270 | |||||||
Philip Morris International, Inc., 5.25%, 02/13/2034 (Callable 11/13/2033) | 40,000 | 39,482 | |||||||
Post Holdings, Inc. | |||||||||
5.63%, 01/15/2028 (Callable 04/17/2024)(a) | 265,000 | 260,030 | |||||||
5.50%, 12/15/2029 (Callable 12/15/2024)(a) | 85,000 | 82,025 | |||||||
4.63%, 04/15/2030 (Callable 04/15/2025)(a) | 25,000 | 22,875 | |||||||
4.50%, 09/15/2031 (Callable 09/15/2026)(a) | 5,000 | 4,475 | |||||||
President and Fellows of Harvard College, 2.52%, 10/15/2050 (Callable 04/15/2050) | 110,000 | 72,481 | |||||||
Prestige Brands, Inc., 3.75%, 04/01/2031 (Callable 04/01/2026)(a) | 25,000 | 21,688 | |||||||
Primo Water Holdings, Inc., 4.38%, 04/30/2029 (Callable 05/02/2024)(a) | 25,000 | 22,969 | |||||||
Quanta Services, Inc., 2.35%, 01/15/2032 (Callable 10/15/2031) | 100,000 | 81,283 | |||||||
Rede D'or Finance Sarl, 4.95%, 01/17/2028 (Callable 10/17/2027)(a) | 200,000 | 189,750 | |||||||
Rutas 2 and 7 Finance Ltd., 0.00%, 09/30/2036 (d) | 333,333 | 227,500 | |||||||
Select Medical Corp., 6.25%, 08/15/2026 (Callable 05/02/2024)(a)(b) | 25,000 | 25,031 | |||||||
Simmons Foods, Inc., 4.63%, 03/01/2029 (Callable 05/02/2024)(a) | 25,000 | 22,031 | |||||||
Smithfield Foods, Inc., 4.25%, 02/01/2027 (Callable 11/01/2026)(a) | 150,000 | 144,118 | |||||||
Sysco Corp., 5.95%, 04/01/2030 (Callable 01/01/2030) | 75,000 | 78,098 | |||||||
Teleflex, Inc., 4.25%, 06/01/2028 (Callable 05/02/2024)(a) | 25,000 | 23,406 | |||||||
Tenet Healthcare Corp. | |||||||||
6.25%, 02/01/2027 (Callable 04/17/2024) | 20,000 | 19,950 | |||||||
6.13%, 10/01/2028 (Callable 05/02/2024) | 25,000 | 24,906 | |||||||
6.13%, 06/15/2030 (Callable 06/15/2025)(b) | 35,000 | 34,869 | |||||||
Thermo Fisher Scientific, Inc., 0.50%, 03/01/2028 (Callable 12/01/2027) | EUR | 100,000 | 97,392 | ||||||
Triton Container International Ltd., 3.25%, 03/15/2032 (Callable 12/15/2031) | 90,000 | 73,048 | |||||||
Triton Water Holdings, Inc., 6.25%, 04/01/2029 (Callable 05/02/2024)(a) | 25,000 | 22,688 | |||||||
United Natural Foods, Inc., 6.75%, 10/15/2028 (Callable 05/02/2024)(a) | 20,000 | 16,600 | |||||||
United Rentals North America, Inc. | |||||||||
4.88%, 01/15/2028 (Callable 04/12/2024) | 105,000 | 101,980 | |||||||
6.00%, 12/15/2029 (Callable 12/15/2025)(a) | 150,000 | 150,937 | |||||||
4.00%, 07/15/2030 (Callable 07/15/2025) | 110,000 | 99,688 | |||||||
3.88%, 02/15/2031 (Callable 08/15/2025) | 230,000 | 205,274 | |||||||
3.75%, 01/15/2032 (Callable 07/15/2026) | 25,000 | 21,781 | |||||||
UnitedHealth Group, Inc. | |||||||||
5.05%, 04/15/2053 (Callable 10/15/2052) | 60,000 | 58,323 | |||||||
4.95%, 05/15/2062 (Callable 11/15/2061) | 35,000 | 32,690 | |||||||
US Foods, Inc., 7.25%, 01/15/2032 (Callable 09/15/2026)(a) | 25,000 | 25,969 | |||||||
Varex Imaging Corp., 7.88%, 10/15/2027 (Callable 05/02/2024)(a) | 25,000 | 25,313 | |||||||
VT Topco, Inc., 8.50%, 08/15/2030 (Callable 08/15/2026)(a) | 45,000 | 47,363 | |||||||
Wand NewCo 3, Inc., 7.63%, 01/30/2032 (Callable 01/30/2027)(a) | 45,000 | 46,463 | |||||||
WASH Multifamily Acquisition, Inc., 5.75%, 04/15/2026 (Callable 05/02/2024)(a) | 15,000 | 14,663 | |||||||
Williams Scotsman International, Inc., 4.63%, 08/15/2028 (Callable 05/02/2024)(a) | 25,000 | 23,563 | |||||||
8,338,591 | |||||||||
Energy - 4.8% | |||||||||
AI Candelaria Spain SA, 7.50%, 12/15/2028 (Callable 09/15/2028) | 206,250 | 200,578 | |||||||
Aker BP ASA, 3.75%, 01/15/2030 (Callable 10/15/2029)(a) | 185,000 | 168,887 | |||||||
Antero Midstream Partners LP | |||||||||
5.75%, 03/01/2027 (Callable 04/17/2024)(a) | 45,000 | 44,325 | |||||||
6.63%, 02/01/2032 (Callable 02/01/2027)(a)(b) | 20,000 | 20,075 | |||||||
Antero Resources Corp., 5.38%, 03/01/2030 (Callable 03/01/2025)(a) | 25,000 | 24,000 | |||||||
Archrock Partners LP, 6.25%, 04/01/2028 (Callable 05/02/2024)(a) | 25,000 | 24,625 | |||||||
Ascent Resources Utica Holdings LLC, 5.88%, 06/30/2029 (Callable 09/01/2024)(a) | 25,000 | 23,750 | |||||||
Baytex Energy Corp., 8.50%, 04/30/2030 (Callable 04/30/2026)(a) | 25,000 | 26,063 | |||||||
BP Capital Markets America, Inc., 4.89%, 09/11/2033 (Callable 06/11/2033) | 80,000 | 79,367 | |||||||
Canacol Energy Ltd, 5.75%, 11/24/2028 (Callable 11/24/2024) | 200,000 | 90,000 | |||||||
Cenovus Energy, Inc. | |||||||||
3.50%, 02/07/2028 (Callable 12/07/2027) | CAD | 100,000 | 70,433 | ||||||
5.25%, 06/15/2037 (Callable 12/15/2036) | 17,000 | 16,115 | |||||||
6.75%, 11/15/2039 | 434,000 | 475,502 | |||||||
5.40%, 06/15/2047 (Callable 12/15/2046) | 92,000 | 85,886 | |||||||
Cheniere Energy Partners LP, 4.00%, 03/01/2031 (Callable 03/01/2026) | 370,000 | 335,774 | |||||||
Cheniere Energy, Inc., 4.63%, 10/15/2028 (Callable 04/12/2024) | 80,000 | 77,400 | |||||||
Chesapeake Energy Corp., 5.88%, 02/01/2029 (Callable 05/02/2024)(a)(b) | 35,000 | 34,650 | |||||||
Chord Energy Corp., 6.38%, 06/01/2026 (Callable 05/02/2024)(a) | 25,000 | 24,969 | |||||||
Civitas Resources, Inc. | |||||||||
8.38%, 07/01/2028 (Callable 07/01/2025)(a) | 20,000 | 21,025 | |||||||
8.75%, 07/01/2031 (Callable 07/01/2026)(a) | 190,000 | 203,300 | |||||||
CNX Midstream Partners LP, 4.75%, 04/15/2030 (Callable 04/15/2025)(a) | 25,000 | 22,250 | |||||||
CNX Resources Corp., 6.00%, 01/15/2029 (Callable 05/02/2024)(a) | 35,000 | 34,213 | |||||||
Colgate Energy Partners III LLC, 5.88%, 07/01/2029 (Callable 07/01/2024)(a) | 25,000 | 24,500 | |||||||
Columbia Pipelines Operating Co. LLC, 6.04%, 11/15/2033 (Callable 08/15/2033)(a) | 45,000 | 46,581 | |||||||
Continental Resources, Inc. | |||||||||
5.75%, 01/15/2031 (Callable 07/15/2030)(a) | 307,000 | 305,080 | |||||||
2.88%, 04/01/2032 (Callable 01/01/2032)(a) | 376,000 | 306,439 | |||||||
Cosan Overseas Ltd., 8.25%, Perpetual (Callable 05/05/2024) | 200,000 | 203,000 | |||||||
Crescent Energy Finance LLC | |||||||||
7.25%, 05/01/2026 (Callable 05/01/2024)(a) | 25,000 | 25,455 | |||||||
7.63%, 04/01/2032 (Callable 04/01/2027)(a) | 20,000 | 20,150 | |||||||
Crestwood Midstream Partners LP, 5.75%, 04/01/2025 (Callable 05/02/2024) | 25,000 | 24,978 | |||||||
Delek Logistics Partners LP, 8.63%, 03/15/2029 (Callable 03/15/2026)(a) | 25,000 | 25,531 | |||||||
Devon Energy Corp., 5.25%, 10/15/2027 (Callable 04/12/2024) | 17,000 | 16,992 | |||||||
DT Midstream, Inc., 4.13%, 06/15/2029 (Callable 06/15/2024)(a) | 25,000 | 22,875 | |||||||
Ecopetrol SA | |||||||||
4.63%, 11/02/2031 (Callable 08/02/2031) | 50,000 | 41,500 | |||||||
5.88%, 11/02/2051 (Callable 05/02/2051) | 300,000 | 215,625 | |||||||
Enbridge, Inc. | |||||||||
3.13%, 11/15/2029 (Callable 08/15/2029) | 215,000 | 195,568 | |||||||
8.50% to 01/15/2034 then 5 yr. CMT Rate + 4.43%, 01/15/2084 (Callable 10/15/2033) | 210,000 | 227,175 | |||||||
Encino Acquisition Partners Holdings LLC, 8.50%, 05/01/2028 (Callable 05/02/2024)(a) | 25,000 | 25,188 | |||||||
Enerflex Ltd., 9.00%, 10/15/2027 (Callable 10/15/2024)(a) | 25,000 | 25,563 | |||||||
Energy Transfer LP | |||||||||
4.75%, 01/15/2026 (Callable 10/15/2025) | 80,000 | 79,086 | |||||||
7.13% to 05/15/2030 then 5 yr. CMT Rate + 5.31%, Perpetual (Callable 05/15/2030) | 175,000 | 171,063 | |||||||
8.00% to 05/15/2029 then 5 yr. CMT Rate + 4.02%, 05/15/2054 (Callable 02/15/2029) | 185,000 | 193,131 | |||||||
EnLink Midstream LLC, 5.38%, 06/01/2029 (Callable 03/01/2029)(b) | 25,000 | 24,469 | |||||||
EQM Midstream Partners LP, 4.75%, 01/15/2031 (Callable 07/15/2030)(a) | 30,000 | 27,825 | |||||||
EQT Corp. | |||||||||
3.63%, 05/15/2031 (Callable 05/15/2030)(a) | 350,000 | 308,236 | |||||||
5.75%, 02/01/2034 (Callable 11/01/2033) | 80,000 | 79,360 | |||||||
Fermaca Enterprises S de RL de CV, 6.38%, 03/30/2038 (Callable 09/30/2037) | 187,869 | 179,885 | |||||||
Geopark Ltd, 5.50%, 01/17/2027 (Callable 04/11/2024) | 200,000 | 181,250 | |||||||
Global Partners LP, 8.25%, 01/15/2032 (Callable 01/15/2027)(a)(b) | 25,000 | 25,906 | |||||||
GNL Quintero SA, 4.63%, 07/31/2029 | 129,440 | 126,042 | |||||||
Greenko Dutch BV, 3.85%, 03/29/2026 (Callable 05/02/2024)(a) | 185,000 | 173,669 | |||||||
Greenko Wind Projects Mauritius Ltd., 5.50%, 04/06/2025 (Callable 05/02/2024)(a) | 205,000 | 201,413 | |||||||
Guara Norte Sarl, 5.20%, 06/15/2034 | 171,358 | 156,578 | |||||||
Hilcorp Energy I LP | |||||||||
5.75%, 02/01/2029 (Callable 05/02/2024)(a) | 50,000 | 48,625 | |||||||
8.38%, 11/01/2033 (Callable 11/01/2028)(a) | 5,000 | 5,400 | |||||||
Kinder Morgan Energy Partners LP, 6.95%, 01/15/2038 | 75,000 | 81,729 | |||||||
Kinder Morgan, Inc., 5.30%, 12/01/2034 (Callable 06/01/2034) | 55,000 | 54,004 | |||||||
Kinetik Holdings LP, 5.88%, 06/15/2030 (Callable 06/15/2025)(a) | 25,000 | 24,438 | |||||||
Kodiak Gas Services LLC, 7.25%, 02/15/2029 (Callable 02/15/2026)(a) | 55,000 | 55,963 | |||||||
Matador Resources Co. | |||||||||
6.88%, 04/15/2028 (Callable 04/15/2025)(a) | 25,000 | 25,500 | |||||||
6.50%, 04/15/2032 (Callable 04/15/2027)(a) | 20,000 | 20,050 | |||||||
MC Brazil Downstream Trading SARL, 7.25%, 06/30/2031 (a) | 190,150 | 171,373 | |||||||
Medco Oak Tree Pte Ltd., 7.38%, 05/14/2026 (Callable 05/02/2024)(a) | 220,000 | 220,000 | |||||||
Moss Creek Resources Holdings, Inc., 7.50%, 01/15/2026 (Callable 05/02/2024)(a) | 25,000 | 24,938 | |||||||
Murphy Oil Corp., 6.38%, 07/15/2028 (Callable 07/15/2024) | 25,000 | 25,063 | |||||||
NGL Energy Operating LLC | |||||||||
8.13%, 02/15/2029 (Callable 02/15/2026)(a) | 25,000 | 25,563 | |||||||
8.38%, 02/15/2032 (Callable 02/15/2027)(a) | 25,000 | 25,625 | |||||||
Occidental Petroleum Corp. | |||||||||
3.20%, 08/15/2026 (Callable 06/15/2026) | 31,000 | 29,218 | |||||||
6.63%, 09/01/2030 (Callable 03/01/2030) | 245,000 | 259,087 | |||||||
6.13%, 01/01/2031 (Callable 07/01/2030) | 200,000 | 206,999 | |||||||
7.50%, 05/01/2031 | 70,000 | 77,875 | |||||||
ONEOK, Inc., 6.63%, 09/01/2053 (Callable 03/01/2053) | 35,000 | 38,499 | |||||||
Ovintiv, Inc. | |||||||||
6.50%, 08/15/2034 | 190,000 | 201,081 | |||||||
6.50%, 02/01/2038 | 115,000 | 118,648 | |||||||
Parkland Corp., 4.50%, 10/01/2029 (Callable 10/01/2024)(a) | 30,000 | 27,600 | |||||||
Permian Resources Operating LLC, 7.00%, 01/15/2032 (Callable 01/15/2027)(a) | 15,000 | 15,525 | |||||||
Petroleos del Peru SA, 4.75%, 06/19/2032 | 200,000 | 155,000 | |||||||
Petroleos Mexicanos, 6.75%, 09/21/2047 | 200,000 | 133,250 | |||||||
Petrorio Luxembourg Trading Sarl, 6.13%, 06/09/2026 (Callable 06/09/2024)(a) | 200,000 | 196,000 | |||||||
QatarEnergy Trading LLC, 2.25%, 07/12/2031 (Callable 04/12/2031)(a) | 235,000 | 196,622 | |||||||
Sabine Pass Liquefaction LLC, 5.00%, 03/15/2027 (Callable 09/15/2026) | 70,000 | 69,825 | |||||||
Sitio Royalties Operating Partnership LP, 7.88%, 11/01/2028 (Callable 11/01/2025)(a) | 15,000 | 15,506 | |||||||
Southwestern Energy Co. | |||||||||
5.70%, 01/23/2025 (Callable 10/23/2024) | 3,000 | 2,981 | |||||||
5.38%, 02/01/2029 (Callable 04/17/2024) | 45,000 | 43,650 | |||||||
SunCoke Energy, Inc., 4.88%, 06/30/2029 (Callable 06/30/2024)(a) | 30,000 | 27,188 | |||||||
Sunoco LP | |||||||||
6.00%, 04/15/2027 (Callable 05/02/2024) | 35,000 | 34,738 | |||||||
4.50%, 05/15/2029 (Callable 05/15/2024)(b) | 40,000 | 37,000 | |||||||
Tallgrass Energy Partners LP, 7.38%, 02/15/2029 (Callable 02/15/2026)(a) | 15,000 | 15,038 | |||||||
Talos Production, Inc., 9.00%, 02/01/2029 (Callable 02/01/2026)(a) | 25,000 | 26,438 | |||||||
TransCanada PipeLines Ltd., 4.10%, 04/15/2030 (Callable 01/15/2030) | 310,000 | 292,096 | |||||||
Transcontinental Gas Pipe Line Co. LLC, 3.25%, 05/15/2030 (Callable 02/15/2030) | 30,000 | 27,055 | |||||||
Transocean Inc, 8.00%, 02/01/2027 (Callable 04/12/2024)(a) | 15,000 | 14,850 | |||||||
Transocean Poseidon Ltd., 6.88%, 02/01/2027 (Callable 05/02/2024)(a) | 30,375 | 30,337 | |||||||
UEP Penonome II SA, 6.50%, 10/01/2038 | 176,085 | 136,906 | |||||||
Var Energi ASA, 7.50%, 01/15/2028 (Callable 12/15/2027)(a) | 200,000 | 211,885 | |||||||
Venture Global LNG, Inc. | |||||||||
8.13%, 06/01/2028 (Callable 06/01/2025)(a) | 45,000 | 45,900 | |||||||
8.38%, 06/01/2031 (Callable 06/01/2026)(a) | 15,000 | 15,431 | |||||||
9.88%, 02/01/2032 (Callable 02/01/2027)(a) | 15,000 | 16,125 | |||||||
Vital Energy, Inc., 7.88%, 04/15/2032 (Callable 04/15/2027)(a) | 10,000 | 10,188 | |||||||
Weatherford International Ltd, 8.63%, 04/30/2030 (Callable 10/30/2024)(a) | 10,000 | 10,425 | |||||||
Western Midstream Operating LP, 4.05%, 02/01/2030 (Callable 11/01/2029) | 210,000 | 195,300 | |||||||
Williams Cos., Inc. | |||||||||
3.50%, 11/15/2030 (Callable 08/15/2030) | 30,000 | 27,253 | |||||||
5.15%, 03/15/2034 (Callable 12/15/2033) | 55,000 | 54,487 | |||||||
9,607,577 | |||||||||
Financials - 5.9% | |||||||||
Air Lease Corp., 1.88%, 08/15/2026 (Callable 07/15/2026) | 75,000 | 69,059 | |||||||
Alexandria Real Estate Equities, Inc., 3.00%, 05/18/2051 (Callable 11/18/2050) | 130,000 | 81,944 | |||||||
Alliant Holdings Intermediate LLC, 6.75%, 10/15/2027 (Callable 05/02/2024)(a) | 25,000 | 24,531 | |||||||
Alliant Holdings Intermediate LLC / Alliant Holdings Co.-Issuer, 7.00%, 01/15/2031 (Callable 01/15/2027)(a) | 25,000 | 25,219 | |||||||
Ally Financial, Inc., 6.70%, 02/14/2033 (Callable 11/16/2032) | 25,000 | 25,197 | |||||||
American Express Co., 5.10% to 02/16/2027 then SOFR + 1.00%, 02/16/2028 (Callable 02/16/2027) | 160,000 | 158,890 | |||||||
American Homes 4 Rent LP, 5.50%, 02/01/2034 (Callable 11/01/2033) | 65,000 | 64,526 | |||||||
American Tower Corp. | |||||||||
0.50%, 01/15/2028 (Callable 10/15/2027) | EUR | 100,000 | 96,164 | ||||||
5.55%, 07/15/2033 (Callable 04/15/2033) | 80,000 | 80,348 | |||||||
AmWINS Group, Inc., 4.88%, 06/30/2029 (Callable 06/30/2024)(a) | 30,000 | 27,825 | |||||||
Ares Capital Corp., 3.25%, 07/15/2025 (Callable 06/15/2025) | 40,000 | 38,633 | |||||||
Aretec Escrow Issuer, Inc., 7.50%, 04/01/2029 (Callable 05/02/2024)(a) | 25,000 | 23,656 | |||||||
Athene Global Funding, 5.90% (SOFR + 0.56%), 08/19/2024 (a) | 80,000 | 80,006 | |||||||
Athene Holding Ltd., 6.25%, 04/01/2054 (Callable 10/01/2053) | 85,000 | 86,325 | |||||||
Avolon Holdings Funding Ltd., 5.75%, 03/01/2029 (Callable 02/01/2029)(a) | 140,000 | 139,511 | |||||||
Banco de Credito del Peru SA | |||||||||
5.85%, 01/11/2029 (Callable 12/11/2028)(a) | 50,000 | 50,413 | |||||||
3.13% to 07/01/2025 then 5 yr. CMT Rate + 3.00%, 07/01/2030 (Callable 07/01/2025) | 190,000 | 181,213 | |||||||
Banco do Estado do Rio Grande do Sul SA, 5.38% to 01/28/2026 then 5 yr. CMT Rate + 4.93%, 01/28/2031 (Callable 01/28/2026) | 200,000 | 193,364 | |||||||
Banco GNB Sudameris SA, 7.05% to 04/03/2027 then 5 yr. CMT Rate + 4.56%, 04/03/2027 | 50,000 | 48,375 | |||||||
Banco Industrial SA, 4.88% to 01/29/2026 then 5 yr. CMT Rate + 4.44%, 01/29/2031 (Callable 01/29/2026) (b) | 150,000 | 142,500 | |||||||
Banco Internacional del Peru SAA Interbank, 4.00% to 07/08/2025 then 5 yr. CMT Rate + 3.71%, 07/08/2030 (Callable 07/08/2025) | 200,000 | 191,500 | |||||||
Banco Mercantil del Norte SA, 6.63% to 01/24/2032 then 10 Year CMT Rate + 5.03%, Perpetual (Callable 01/24/2032) | 300,000 | 274,124 | |||||||
Bancolombia SA, 4.63% to 12/18/2024 then 5 yr. CMT Rate + 2.94%, 12/18/2029 (Callable 12/18/2024) | 200,000 | 194,500 | |||||||
Bank of America Corp. | |||||||||
3.38% to 04/02/2025 then SOFR + 1.33%, 04/02/2026 (Callable 04/02/2025) | 250,000 | 244,644 | |||||||
4.38% to 01/27/2027 then 5 yr. CMT Rate + 2.76%, Perpetual (Callable 01/27/2027) | 7,000 | 6,554 | |||||||
2.65% to 03/11/2031 then SOFR + 1.22%, 03/11/2032 (Callable 03/11/2031) | 2,000 | 1,688 | |||||||
2.69% to 04/22/2031 then SOFR + 1.32%, 04/22/2032 (Callable 04/22/2031) | 10,000 | 8,432 | |||||||
2.30% to 07/21/2031 then SOFR + 1.22%, 07/21/2032 (Callable 07/21/2031) | 2,000 | 1,631 | |||||||
4.57% to 04/27/2032 then SOFR + 1.83%, 04/27/2033 (Callable 04/27/2032) | 5,000 | 4,719 | |||||||
5.47% to 01/23/2034 then SOFR + 1.65%, 01/23/2035 (Callable 01/23/2034) | 32,000 | 32,223 | |||||||
2.48% to 09/21/2031 then 5 yr. CMT Rate + 1.20%, 09/21/2036 (Callable 09/21/2031) | 165,000 | 130,633 | |||||||
Bank of Montreal | |||||||||
3.80% to 12/15/2027 then 5 Yr. Swap Rate USD + 1.43%, 12/15/2032 (Callable 12/15/2027) | 85,000 | 79,085 | |||||||
7.33% to 11/26/2027 then Government of Canada 5 Year Bond Yield + 4.10%, 11/26/2082 (Callable 11/26/2027) | CAD | 270,000 | 200,494 | ||||||
BBVA Bancomer SA, 5.13% to 01/17/2028 then 5 yr. CMT Rate + 2.65%, 01/18/2033 (Callable 01/17/2028) | 200,000 | 184,492 | |||||||
Berkshire Hathaway Finance Corp., 2.38%, 06/19/2039 (Callable 03/19/2039) | GBP | 120,000 | 110,323 | ||||||
BlackRock Funding, Inc., 5.25%, 03/14/2054 (Callable 09/14/2053) | 50,000 | 50,298 | |||||||
BNG Bank NV, 3.30%, 07/17/2028 | AUD | 305,000 | 190,797 | ||||||
Boston Properties LP, 2.75%, 10/01/2026 (Callable 07/01/2026) | 28,000 | 26,225 | |||||||
BroadStreet Partners, Inc., 5.88%, 04/15/2029 (Callable 05/02/2024)(a) | 25,000 | 23,094 | |||||||
Capital One Financial Corp., 4.17% to 05/09/2024 then SOFR + 1.37%, 05/09/2025 (Callable 05/09/2024) | 203,000 | 201,963 | |||||||
Citigroup, Inc., 3.06% to 01/25/2032 then SOFR + 1.35%, 01/25/2033 (Callable 01/25/2032) | 140,000 | 119,032 | |||||||
Corp. Financiera de Desarrollo SA, 5.25% to 07/15/2024 then 3 mo. LIBOR US + 5.61%, 07/15/2029 (Callable 07/15/2024) (c) | 200,000 | 199,500 | |||||||
Crown Castle, Inc., 3.65%, 09/01/2027 (Callable 06/01/2027) | 85,000 | 80,555 | |||||||
Danske Bank AS, 6.47% (1 yr. CMT Rate + 2.10%), 01/09/2026 (Callable 01/09/2025)(a) | 200,000 | 200,693 | |||||||
Equinix, Inc. | |||||||||
3.90%, 04/15/2032 (Callable 01/15/2032) | 45,000 | 40,628 | |||||||
2.95%, 09/15/2051 (Callable 03/15/2051) | 75,000 | 47,642 | |||||||
Freedom Mortgage Corp., 6.63%, 01/15/2027 (Callable 05/02/2024)(a) | 25,000 | 24,250 | |||||||
GGAM Finance Ltd., 6.88%, 04/15/2029 (Callable 04/15/2026)(a) | 20,000 | 20,175 | |||||||
Global Aircraft Leasing Co. Ltd., 6.50% (7.25% PIK), 09/15/2024 (Callable 05/02/2024)(a) | 51,887 | 49,033 | |||||||
Goldman Sachs Group, Inc. | |||||||||
6.17% (SOFR + 0.82%), 09/10/2027 (Callable 09/10/2026)(b) | 160,000 | 159,824 | |||||||
0.25%, 01/26/2028 (Callable 10/26/2027) | EUR | 75,000 | 71,995 | ||||||
2.00%, 11/01/2028 | EUR | 63,000 | 64,060 | ||||||
GTCR AP Finance, Inc., 8.00%, 05/15/2027 (Callable 05/02/2024)(a) | 25,000 | 25,000 | |||||||
Host Hotels & Resorts LP | |||||||||
3.38%, 12/15/2029 (Callable 09/15/2029) | 185,000 | 164,627 | |||||||
3.50%, 09/15/2030 (Callable 06/15/2030) | 155,000 | 137,982 | |||||||
HUB International Ltd., 7.25%, 06/15/2030 (Callable 06/15/2026)(a) | 15,000 | 15,375 | |||||||
InRetail Shopping Malls, 5.75%, 04/03/2028 (Callable 04/11/2024) | 100,000 | 96,000 | |||||||
Iron Mountain, Inc. | |||||||||
7.00%, 02/15/2029 (Callable 08/15/2025)(a) | 45,000 | 45,675 | |||||||
4.50%, 02/15/2031 (Callable 02/15/2026)(a) | 20,000 | 18,000 | |||||||
Itau Unibanco Holding SA, 4.63% to 02/27/2025 then 5 yr. CMT Rate + 3.22%, Perpetual (Callable 02/27/2025) | 200,000 | 188,500 | |||||||
JPMorgan Chase & Co. | |||||||||
2.08% to 04/22/2025 then SOFR + 1.85%, 04/22/2026 (Callable 04/22/2025) | 500,000 | 481,615 | |||||||
4.85% to 07/25/2027 then SOFR + 1.99%, 07/25/2028 (Callable 07/25/2027) | 40,000 | 39,643 | |||||||
4.45% to 12/05/2028 then 3 mo. Term SOFR + 1.59%, 12/05/2029 (Callable 12/05/2028) | 11,000 | 10,712 | |||||||
2.96% to 01/25/2032 then SOFR + 1.26%, 01/25/2033 (Callable 01/25/2032) | 190,000 | 161,609 | |||||||
Kreditanstalt fuer Wiederaufbau, 2.88%, 02/17/2027 | NOK | 430,000 | 38,308 | ||||||
Ladder Capital Finance Holdings LLLP, 4.75%, 06/15/2029 (Callable 06/15/2024)(a) | 25,000 | 22,625 | |||||||
Macquarie Airfinance Holdings Ltd. | |||||||||
6.40%, 03/26/2029 (Callable 02/26/2029)(a) | 10,000 | 10,113 | |||||||
6.50%, 03/26/2031 (Callable 01/26/2031)(a) | 10,000 | 10,175 | |||||||
Macquarie Group Ltd., 5.11% to 08/09/2025 then SOFR + 2.21%, 08/09/2026 (Callable 08/09/2025) (a) | 95,000 | 94,463 | |||||||
MetLife, Inc., 5.25%, 01/15/2054 (Callable 07/15/2053) | 85,000 | 83,234 | |||||||
Morgan Stanley | |||||||||
2.19% to 04/28/2025 then SOFR + 1.99%, 04/28/2026 (Callable 04/28/2025) | 611,000 | 589,294 | |||||||
0.99% to 12/10/2025 then SOFR + 0.72%, 12/10/2026 (Callable 12/10/2025) | 499,000 | 461,867 | |||||||
5.42% to 07/21/2033 then SOFR + 1.88%, 07/21/2034 (Callable 07/21/2033) | 3,000 | 3,001 | |||||||
2.48% to 09/16/2031 then SOFR + 1.36%, 09/16/2036 (Callable 09/16/2031) | 185,000 | 146,245 | |||||||
MPT Operating Partnership LP, 3.50%, 03/15/2031 (Callable 03/15/2026) | 25,000 | 17,125 | |||||||
Nationstar Mortgage Holdings, Inc. | |||||||||
5.13%, 12/15/2030 (Callable 12/15/2025)(a) | 25,000 | 22,656 | |||||||
5.75%, 11/15/2031 (Callable 11/15/2026)(a) | 40,000 | 36,800 | |||||||
Navient Corp. | |||||||||
5.00%, 03/15/2027 (Callable 09/15/2026) | 20,000 | 19,100 | |||||||
4.88%, 03/15/2028 (Callable 06/15/2027) | 25,000 | 23,188 | |||||||
Northern Trust Corp., 3.38% to 05/08/2027 then 3 mo. LIBOR US + 1.13%, 05/08/2032 (Callable 05/08/2027) (c) | 5,000 | 4,647 | |||||||
OneMain Finance Corp., 6.63%, 01/15/2028 (Callable 07/15/2027) | 60,000 | 60,150 | |||||||
Ontario Teachers' Finance Trust, 2.00%, 04/16/2031 (a) | 250,000 | 210,532 | |||||||
Oversea-Chinese Banking Corp. Ltd., 1.83% to 09/10/2025 then 5 yr. CMT Rate + 1.58%, 09/10/2030 (Callable 09/10/2025) | 200,000 | 189,331 | |||||||
Panther Escrow Issuer LLC, 7.13%, 06/01/2031 (Callable 06/01/2027)(a) | 50,000 | 50,688 | |||||||
Park Intermediate Holdings LLC, 4.88%, 05/15/2029 (Callable 05/15/2024)(a) | 30,000 | 27,900 | |||||||
PennyMac Financial Services, Inc. | |||||||||
4.25%, 02/15/2029 (Callable 05/02/2024)(a) | 20,000 | 18,150 | |||||||
7.88%, 12/15/2029 (Callable 12/15/2026)(a) | 20,000 | 20,475 | |||||||
Popular, Inc., 7.25%, 03/13/2028 (Callable 02/13/2028) | 160,000 | 162,839 | |||||||
PRA Group, Inc., 5.00%, 10/01/2029 (Callable 10/01/2024)(a) | 25,000 | 21,063 | |||||||
Realogy Group LLC, 5.25%, 04/15/2030 (Callable 04/15/2025)(a) | 20,000 | 13,600 | |||||||
RHP Hotel Properties LP, 7.25%, 07/15/2028 (Callable 07/15/2025)(a) | 25,000 | 25,656 | |||||||
Royal Bank of Canada | |||||||||
4.20% to 02/24/2027 then Government of Canada 5 Year Bond Yield + 2.71%, Perpetual (Callable 02/24/2027) | CAD | 200,000 | 119,181 | ||||||
5.15%, 02/01/2034 | 40,000 | 40,047 | |||||||
SBA Communications Corp. | |||||||||
3.88%, 02/15/2027 (Callable 04/12/2024) | 440,000 | 417,450 | |||||||
3.13%, 02/01/2029 (Callable 05/02/2024) | 220,000 | 194,151 | |||||||
Sun Communities Operating LP, 2.70%, 07/15/2031 (Callable 04/15/2031) | 50,000 | 41,079 | |||||||
The Bank of Nova Scotia, 8.63% to 10/27/2027 then 5 yr. CMT Rate + 4.39%, 10/27/2082 (Callable 10/27/2027) | 200,000 | 207,274 | |||||||
The Toronto-Dominion Bank | |||||||||
2.67%, 09/09/2025 | CAD | 264,000 | 188,851 | ||||||
8.13% to 10/31/2027 then 5 yr. CMT Rate + 4.08%, 10/31/2082 (Callable 10/31/2027) | 205,000 | 214,056 | |||||||
Unifin Financiera SAB de CV, 8.88% to 01/29/2025 then 5 yr. CMT Rate + 6.31%, Perpetual (Callable 01/29/2025) | 200,000 | 20 | |||||||
United Overseas Bank Ltd., 1.75% to 03/16/2026 then 5 yr. CMT Rate + 1.52%, 03/16/2031 (Callable 03/16/2026) | 200,000 | 185,948 | |||||||
United Wholesale Mortgage LLC, 5.75%, 06/15/2027 (Callable 06/15/2024)(a) | 25,000 | 24,219 | |||||||
US Bancorp, 3.70% to 01/15/2027 then 5 yr. CMT Rate + 2.54%, Perpetual (Callable 01/15/2027) | 195,000 | 168,675 | |||||||
VICI Properties LP | |||||||||
4.63%, 12/01/2029 (Callable 12/01/2024)(a) | 105,000 | 98,963 | |||||||
4.13%, 08/15/2030 (Callable 02/15/2025)(a) | 165,000 | 149,944 | |||||||
5.13%, 05/15/2032 (Callable 02/15/2032)(b) | 175,000 | 166,906 | |||||||
Wells Fargo & Co. | |||||||||
4.54% to 08/15/2025 then SOFR + 1.56%, 08/15/2026 (Callable 08/15/2025) | 519,000 | 510,886 | |||||||
4.81% to 07/25/2027 then SOFR + 1.98%, 07/25/2028 (Callable 07/25/2027) | 35,000 | 34,504 | |||||||
5.57% to 07/25/2028 then SOFR + 1.74%, 07/25/2029 (Callable 07/25/2028) | 95,000 | 95,689 | |||||||
5.56% to 07/25/2033 then SOFR + 1.99%, 07/25/2034 (Callable 07/25/2033) | 5,000 | 5,003 | |||||||
5.50% to 01/23/2034 then SOFR + 1.78%, 01/23/2035 (Callable 01/23/2034) | 1,000 | 1,000 | |||||||
Welltower, Inc., 2.05%, 01/15/2029 (Callable 11/15/2028) | 90,000 | 78,293 | |||||||
Westpac Banking Corp., 3.02% to 11/18/2031 then 5 yr. CMT Rate + 1.53%, 11/18/2036 (Callable 11/18/2031) | 100,000 | 82,201 | |||||||
Willis North America, Inc., 4.50%, 09/15/2028 (Callable 06/15/2028) | 80,000 | 77,478 | |||||||
XHR LP, 4.88%, 06/01/2029 (Callable 06/01/2024)(a) | 25,000 | 23,063 | |||||||
11,765,349 | |||||||||
Government - 2.3% | |||||||||
Asian Development Bank, 3.00% (SOFR Rate + 0.00%), 10/14/2026 | AUD | 130,000 | 82,364 | ||||||
European Bank for Reconstruction & Development, 20.00%, 03/19/2025 | 200,000 | 208,974 | |||||||
European Investment Bank, 0.25%, 01/20/2032 | EUR | 230,000 | 206,087 | ||||||
Indonesia Government International Bond, 1.10%, 03/12/2033 | EUR | 100,000 | 85,318 | ||||||
Inter-American Development Bank | |||||||||
2.75%, 10/30/2025 | AUD | 115,000 | 73,215 | ||||||
2.70%, 01/29/2026 | AUD | 135,000 | 85,614 | ||||||
4.70%, 10/03/2030 | AUD | 195,000 | 128,909 | ||||||
International Bank for Reconstruction & Development | |||||||||
1.90%, 01/16/2025 | CAD | 130,000 | 93,786 | ||||||
1.25%, 03/16/2026 | NOK | 620,000 | 53,901 | ||||||
5.00%, 06/22/2026 | NZD | 365,000 | 218,543 | ||||||
1.80%, 01/19/2027 | CAD | 145,000 | 100,506 | ||||||
4.25%, 09/18/2030 | CAD | 95,000 | 71,582 | ||||||
1.20%, 08/08/2034 | EUR | 360,000 | 332,763 | ||||||
International Development Association, 1.75%, 02/17/2027 | NOK | 540,000 | 46,565 | ||||||
International Finance Corp. | |||||||||
6.30%, 11/25/2024 | INR | 11,510,000 | 137,227 | ||||||
0.38%, 09/10/2025 | NZD | 250,000 | 139,497 | ||||||
4.60%, 10/19/2028 | AUD | 160,000 | 105,889 | ||||||
Kommunalbanken AS | |||||||||
5.25%, 07/15/2024 | AUD | 108,000 | 70,501 | ||||||
4.25% (SOFR Index + 0.00%), 07/16/2025 | AUD | 184,000 | 119,611 | ||||||
New Zealand Government Bond | |||||||||
2.75% (5 yr. CMT Rate + 0.00%), 04/15/2025 | NZD | 585,000 | 340,988 | ||||||
3.50% (SOFR Rate + 0.00%), 04/14/2033 | NZD | 665,000 | 366,384 | ||||||
New Zealand Local Government Funding Agency Bond, 4.70%, 08/01/2028 | AUD | 155,000 | 102,206 | ||||||
Nordi Investment Bank, 3.00%, 08/23/2027 | NOK | 1,060,000 | 94,591 | ||||||
Nordic Investment Bank, 1.88% (SOFR Rate + 0.00%), 04/10/2024 | NOK | 980,000 | 90,214 | ||||||
Norway Government Bond, 1.75%, 02/17/2027 (a) | NOK | 700,000 | 61,131 | ||||||
Perusahaan Penerbit SBSN Indonesia III, 4.15%, 03/29/2027 (a) | 200,000 | 195,500 | |||||||
Philippine Government International Bond | |||||||||
0.88%, 05/17/2027 | EUR | 285,000 | 281,181 | ||||||
6.25%, 01/14/2036 | PHP | 5,000,000 | 83,766 | ||||||
Province of Alberta Canada, 0.63%, 04/18/2025 | EUR | 100,000 | 104,705 | ||||||
Province of Quebec Canada, 0.20%, 04/07/2025 | EUR | 100,000 | 104,305 | ||||||
The Asian Infrastructure Investment Bank, 0.20%, 12/15/2025 | GBP | 125,000 | 146,283 | ||||||
Treasury Corp. of Victoria, 4.25%, 12/20/2032 | AUD | 305,000 | 194,937 | ||||||
4,527,043 | |||||||||
Industrials - 2.6% | |||||||||
AAR Escrow Issuer LLC, 6.75%, 03/15/2029 (Callable 03/15/2026)(a) | 45,000 | 45,338 | |||||||
Advanced Drainage Systems, Inc., 6.38%, 06/15/2030 (Callable 07/15/2025)(a) | 55,000 | 55,138 | |||||||
AECOM, 5.13%, 03/15/2027 (Callable 12/15/2026) | 255,000 | 249,900 | |||||||
AGCO Corp., 5.80%, 03/21/2034 (Callable 12/21/2033) | 30,000 | 30,274 | |||||||
Airbus SE, 1.63%, 06/09/2030 (Callable 03/09/2030) | EUR | 100,000 | 99,088 | ||||||
AmeriTex Holdco Intermediate LLC, 10.25%, 10/15/2028 (Callable 10/15/2025)(a) | 25,000 | 26,875 | |||||||
Ardagh Metal Packaging Finance USA LLC, 3.25%, 09/01/2028 (Callable 05/15/2024)(a) | 200,000 | 172,500 | |||||||
Artera Services LLC, 8.50%, 02/15/2031 (Callable 02/15/2027)(a) | 15,000 | 15,375 | |||||||
Ball Corp. | |||||||||
6.88%, 03/15/2028 (Callable 11/15/2024) | 300,000 | 307,499 | |||||||
2.88%, 08/15/2030 (Callable 05/15/2030) | 380,000 | 323,474 | |||||||
Berry Global, Inc., 5.63%, 07/15/2027 (Callable 05/02/2024)(a) | 95,000 | 93,456 | |||||||
Bioceanico Sovereign Certificate Ltd., 0.00%, 06/05/2034 (d) | 260,322 | 190,686 | |||||||
Boeing Co. | |||||||||
5.15%, 05/01/2030 (Callable 02/01/2030) | 485,000 | 470,035 | |||||||
5.81%, 05/01/2050 (Callable 11/01/2049) | 145,000 | 135,725 | |||||||
Bombardier Inc, 8.75%, 11/15/2030 (Callable 11/15/2026)(a) | 25,000 | 26,720 | |||||||
Bombardier, Inc. | |||||||||
7.88%, 04/15/2027 (Callable 05/02/2024)(a) | 10,000 | 10,013 | |||||||
7.50%, 02/01/2029 (Callable 02/01/2026)(a)(b) | 15,000 | 15,431 | |||||||
7.25%, 07/01/2031 (Callable 07/01/2027)(a) | 5,000 | 5,006 | |||||||
Brand Industrial Services, Inc., 10.38%, 08/01/2030 (Callable 08/01/2026)(a) | 20,000 | 21,650 | |||||||
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 02/01/2026 (Callable 05/02/2024)(a) | 25,000 | 24,656 | |||||||
Builders FirstSource, Inc. | |||||||||
5.00%, 03/01/2030 (Callable 03/01/2025)(a) | 25,000 | 23,844 | |||||||
6.38%, 06/15/2032 (Callable 06/15/2027)(a) | 25,000 | 25,281 | |||||||
6.38%, 03/01/2034 (Callable 03/01/2029)(a) | 35,000 | 35,131 | |||||||
Carrier Global Corp., 6.20%, 03/15/2054 (Callable 09/15/2053) | 5,000 | 5,496 | |||||||
Cascades, Inc., 5.38%, 01/15/2028 (Callable 05/02/2024)(a) | 25,000 | 23,938 | |||||||
Cellnex Telecom SA, 1.88%, 06/26/2029 (Callable 03/26/2029) | EUR | 100,000 | 98,896 | ||||||
Cemex SAB de CV | |||||||||
5.13% to 09/08/2026 then 5 yr. CMT Rate + 4.53%, Perpetual (Callable 06/08/2026) | 200,000 | 192,499 | |||||||
3.88%, 07/11/2031 (Callable 07/11/2026)(a) | 200,000 | 177,000 | |||||||
Chart Industries, Inc., 7.50%, 01/01/2030 (Callable 01/01/2026)(a) | 25,000 | 25,969 | |||||||
Clean Harbors, Inc., 6.38%, 02/01/2031 (Callable 02/01/2026)(a) | 25,000 | 25,125 | |||||||
Clydesdale Acquisition Holdings, Inc., 8.75%, 04/15/2030 (Callable 04/15/2025)(a) | 25,000 | 24,531 | |||||||
CNH Industrial Capital LLC, 5.10%, 04/20/2029 (Callable 03/20/2029) | 40,000 | 39,785 | |||||||
CSX Corp., 3.80%, 11/01/2046 (Callable 05/01/2046) | 100,000 | 79,532 | |||||||
Emerald Debt Merger Sub LLC, 6.63%, 12/15/2030 (Callable 06/15/2026)(a) | 55,000 | 55,550 | |||||||
Energizer Holdings, Inc., 4.75%, 06/15/2028 (Callable 05/02/2024)(a) | 25,000 | 23,188 | |||||||
Fortress Transportation and Infrastructure Investors LLC | |||||||||
5.50%, 05/01/2028 (Callable 05/02/2024)(a) | 25,000 | 24,188 | |||||||
7.88%, 12/01/2030 (Callable 12/01/2026)(a) | 40,000 | 42,000 | |||||||
GFL Environmental Inc, 6.75%, 01/15/2031 (Callable 01/15/2027)(a) | 15,000 | 15,356 | |||||||
GFL Environmental, Inc., 4.00%, 08/01/2028 (Callable 04/12/2024)(a) | 25,000 | 22,969 | |||||||
Global Infrastructure Solutions, Inc., 5.63%, 06/01/2029 (Callable 06/01/2024)(a) | 25,000 | 22,625 | |||||||
Graham Packaging Co., Inc., 7.13%, 08/15/2028 (Callable 05/02/2024)(a) | 25,000 | 22,625 | |||||||
Griffon Corp., 5.75%, 03/01/2028 (Callable 05/02/2024) | 30,000 | 29,400 | |||||||
Husky Injection Molding Systems Ltd. / Titan Co.-Borrower LLC, 9.00%, 02/15/2029 (Callable 02/15/2026)(a) | 40,000 | 41,350 | |||||||
Imola Merger Corp., 4.75%, 05/15/2029 (Callable 05/15/2024)(a) | 25,000 | 23,438 | |||||||
Intelligent Packaging Ltd., 6.00%, 09/15/2028 (Callable 05/02/2024)(a) | 25,000 | 23,656 | |||||||
Johnson Controls International PLC, 0.38%, 09/15/2027 (Callable 07/15/2027) | EUR | 100,000 | 97,378 | ||||||
Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/2034 | 174,703 | 172,956 | |||||||
Lockheed Martin Corp., 5.20%, 02/15/2064 (Callable 08/15/2063) | 90,000 | 88,572 | |||||||
Madison IAQ LLC, 4.13%, 06/30/2028 (Callable 06/30/2024)(a) | 30,000 | 27,675 | |||||||
Maxim Crane Works Holdings Capital LLC, 11.50%, 09/01/2028 (Callable 09/01/2025)(a) | 25,000 | 27,031 | |||||||
Miter Brands Acquisition Holdco, Inc. / MIWD Borrower LLC, 6.75%, 04/01/2032 (Callable 04/01/2027)(a) | 5,000 | 5,013 | |||||||
MV24 Capital BV, 6.75%, 06/01/2034 | 161,272 | 150,991 | |||||||
New Enterprise Stone & Lime Co., Inc., 9.75%, 07/15/2028 (Callable 05/02/2024)(a) | 25,000 | 25,500 | |||||||
Northrop Grumman Corp., 5.20%, 06/01/2054 (Callable 12/01/2053) | 80,000 | 77,824 | |||||||
Owens-Brockway Glass Container, Inc., 7.25%, 05/15/2031 (Callable 05/15/2026)(a) | 25,000 | 25,469 | |||||||
Packaging Corp. of America, 3.00%, 12/15/2029 (Callable 09/15/2029) | 90,000 | 80,918 | |||||||
Pactiv Evergreen Group Issuer LLC, 4.38%, 10/15/2028 (Callable 10/15/2024)(a) | 30,000 | 27,900 | |||||||
Penske Truck Leasing Co. LP, 4.20%, 04/01/2027 (Callable 01/01/2027)(a) | 80,000 | 77,320 | |||||||
Roller Bearing Co. of America, Inc., 4.38%, 10/15/2029 (Callable 10/15/2024)(a) | 25,000 | 22,875 | |||||||
Sealed Air Corp. | |||||||||
4.00%, 12/01/2027 (Callable 09/01/2027)(a) | 25,000 | 23,375 | |||||||
5.00%, 04/15/2029 (Callable 04/15/2025)(a) | 100,000 | 96,000 | |||||||
Sensata Technologies, Inc., 3.75%, 02/15/2031 (Callable 02/15/2026)(a) | 25,000 | 21,438 | |||||||
Smyrna Ready Mix Concrete LLC, 8.88%, 11/15/2031 (Callable 11/15/2026)(a) | 25,000 | 26,625 | |||||||
Spirit AeroSystems, Inc., 9.75%, 11/15/2030 (Callable 11/15/2026)(a) | 15,000 | 16,781 | |||||||
Standard Industries, Inc., 3.38%, 01/15/2031 (Callable 07/15/2025)(a) | 25,000 | 20,969 | |||||||
Summit Materials LLC, 5.25%, 01/15/2029 (Callable 04/12/2024)(a) | 25,000 | 24,250 | |||||||
TransDigm, Inc. | |||||||||
5.50%, 11/15/2027 (Callable 05/02/2024) | 60,000 | 58,575 | |||||||
7.13%, 12/01/2031 (Callable 12/01/2026)(a) | 320,000 | 329,999 | |||||||
Trident TPI Holdings, Inc., 12.75%, 12/31/2028 (Callable 12/31/2025)(a) | 45,000 | 47,981 | |||||||
Veralto Corp., 5.35%, 09/18/2028 (Callable 08/18/2028)(a) | 80,000 | 80,789 | |||||||
Weekley Homes LLC, 4.88%, 09/15/2028 (Callable 05/02/2024)(a) | 25,000 | 23,125 | |||||||
WRKCo, Inc., 3.75%, 03/15/2025 (Callable 01/15/2025) | 80,000 | 78,663 | |||||||
XPO, Inc., 7.13%, 06/01/2031 (Callable 06/01/2026)(a) | 30,000 | 30,750 | |||||||
5,228,953 | |||||||||
Technology - 1.0% | |||||||||
AthenaHealth Group, Inc., 6.50%, 02/15/2030 (Callable 02/15/2025)(a) | 20,000 | 18,250 | |||||||
Broadcom, Inc., 3.50%, 02/15/2041 (Callable 08/15/2040)(a) | 210,000 | 163,022 | |||||||
CDW LLC, 4.25%, 04/01/2028 (Callable 05/02/2024) | 40,000 | 38,250 | |||||||
Central Parent LLC, 8.00%, 06/15/2029 (Callable 06/15/2025)(a) | 20,000 | 20,725 | |||||||
Clarivate Science Holdings Corp., 4.88%, 07/01/2029 (Callable 06/30/2024)(a) | 20,000 | 18,500 | |||||||
Cloud Software Group, Inc., 6.50%, 03/31/2029 (Callable 09/30/2025)(a) | 25,000 | 23,656 | |||||||
Condor Merger Sub, Inc., 7.38%, 02/15/2030 (Callable 02/15/2025)(a) | 25,000 | 23,000 | |||||||
Dell International LLC, 8.35%, 07/15/2046 (Callable 01/15/2046) | 110,000 | 141,774 | |||||||
Entegris, Inc., 3.63%, 05/01/2029 (Callable 05/02/2024)(a)(b) | 25,000 | 22,344 | |||||||
Fidelity National Information Services, Inc., 1.00%, 12/03/2028 (Callable 09/03/2028) | EUR | 100,000 | 96,331 | ||||||
Fiserv, Inc., 5.45%, 03/15/2034 (Callable 12/15/2033) | 80,000 | 80,937 | |||||||
Intuit, Inc., 5.50%, 09/15/2053 (Callable 03/15/2053) | 75,000 | 77,360 | |||||||
Marvell Technology, Inc., 5.95%, 09/15/2033 (Callable 06/15/2033) | 75,000 | 77,531 | |||||||
MSCI, Inc. | |||||||||
3.63%, 09/01/2030 (Callable 03/01/2025)(a) | 340,000 | 301,749 | |||||||
3.88%, 02/15/2031 (Callable 06/01/2025)(a) | 155,000 | 137,950 | |||||||
3.63%, 11/01/2031 (Callable 11/01/2026)(a) | 161,000 | 139,466 | |||||||
3.25%, 08/15/2033 (Callable 08/15/2027)(a) | 80,000 | 65,800 | |||||||
NCR Atleos Escrow Corp., 9.50%, 04/01/2029 (Callable 10/01/2026)(a) | 25,000 | 26,625 | |||||||
NetApp, Inc., 1.88%, 06/22/2025 (Callable 05/22/2025) | 80,000 | 76,448 | |||||||
NXP BV, 3.88%, 06/18/2026 (Callable 04/18/2026) | 160,000 | 155,049 | |||||||
Open Text Corp., 3.88%, 02/15/2028 (Callable 05/02/2024)(a) | 25,000 | 23,156 | |||||||
Oracle Corp. | |||||||||
6.25%, 11/09/2032 (Callable 08/09/2032) | 35,000 | 37,382 | |||||||
3.80%, 11/15/2037 (Callable 05/15/2037) | 25,000 | 20,940 | |||||||
Take-Two Interactive Software, Inc., 4.95%, 03/28/2028 (Callable 02/28/2028) | 75,000 | 74,708 | |||||||
UKG, Inc., 6.88%, 02/01/2031 (Callable 02/01/2027)(a) | 40,000 | 40,600 | |||||||
Virtusa Corp., 7.13%, 12/15/2028 (Callable 05/02/2024)(a) | 25,000 | 22,375 | |||||||
Workday, Inc., 3.70%, 04/01/2029 (Callable 02/01/2029) | 85,000 | 80,060 | |||||||
2,003,988 | |||||||||
Utilities - 2.6% | |||||||||
Adani Transmission Step-One Ltd., 4.25%, 05/21/2036 | 157,000 | 132,469 | |||||||
AEP Transmission Co. LLC, 5.40%, 03/15/2053 (Callable 09/15/2052) | 35,000 | 34,750 | |||||||
AES Corp., 3.95%, 07/15/2030 (Callable 04/15/2030)(a) | 30,000 | 27,300 | |||||||
Brazos Securitization LLC | |||||||||
5.01%, 09/01/2031 (a) | 173,908 | 173,056 | |||||||
5.41%, 09/01/2050 (a) | 200,000 | 207,756 | |||||||
Buffalo Energy Mexico Holdings, 7.88%, 02/15/2039 (Callable 11/15/2038)(a) | 200,000 | 216,250 | |||||||
Calpine Corp., 5.00%, 02/01/2031 (Callable 02/01/2026)(a) | 25,000 | 22,938 | |||||||
Chile Electricity PEC SpA, 0.00%, 01/25/2028 (a)(d) | 198,056 | 155,598 | |||||||
Cometa Energia SAB de CV, 6.38%, 04/24/2035 (Callable 01/24/2035) | 160,400 | 159,799 | |||||||
Dominion Energy, Inc., 4.65% to 12/15/2024 then 5 yr. CMT Rate + 2.99%, Perpetual (Callable 12/15/2024) | 128,000 | 124,960 | |||||||
DPL, Inc., 4.13%, 07/01/2025 (Callable 04/01/2025) | 225,000 | 219,375 | |||||||
DTE Energy Co., 5.10%, 03/01/2029 (Callable 02/01/2029) | 65,000 | 64,443 | |||||||
Duke Energy Corp. | |||||||||
4.88% to 09/16/2024 then 5 yr. CMT Rate + 3.39%, Perpetual (Callable 09/16/2024) | 51,000 | 50,426 | |||||||
5.00%, 08/15/2052 (Callable 02/15/2052) | 25,000 | 22,567 | |||||||
E.ON SE, 0.63%, 11/07/2031 (Callable 08/07/2031) | EUR | 75,000 | 66,133 | ||||||
Emera, Inc., 6.75% to 06/15/2026 then 3 mo. LIBOR US + 5.44%, 06/15/2076 (Callable 06/15/2026) (c) | 260,000 | 256,425 | |||||||
Empresa Electrica Angamos SA, 4.88%, 05/25/2029 | 95,600 | 85,801 | |||||||
Empresa Electrica Cochrane SpA, 5.50%, 05/14/2027 | 104,860 | 100,928 | |||||||
Empresas Publicas de Medellin ESP, 4.38%, 02/15/2031 (Callable 11/15/2030) | 400,000 | 331,000 | |||||||
Essential Utilities, Inc., 2.70%, 04/15/2030 (Callable 01/15/2030) | 90,000 | 77,440 | |||||||
Eversource Energy, 5.50%, 01/01/2034 (Callable 10/01/2033) | 80,000 | 79,836 | |||||||
FirstEnergy Corp. | |||||||||
4.15%, 07/15/2027 (Callable 04/15/2027) | 185,000 | 177,369 | |||||||
7.38%, 11/15/2031 | 255,000 | 300,262 | |||||||
Israel Electric Corp. Ltd., 3.75%, 02/22/2032 (a) | 200,000 | 169,000 | |||||||
LLPL Capital Pte Ltd., 6.88%, 02/04/2039 (a) | 232,260 | 230,808 | |||||||
Mexico Generadora de Energia S de RL, 5.50%, 12/06/2032 | 252,848 | 247,618 | |||||||
Minejesa Capital BV, 5.63%, 08/10/2037 | 400,000 | 361,999 | |||||||
Mong Duong Finance Holdings BV, 5.13% (5 yr. CMT Rate + 0.00%), 05/07/2029 (Callable 05/02/2024) | 230,573 | 220,197 | |||||||
National Rural Utilities Cooperative Finance Corp., 8.49% (3 mo. Term SOFR + 3.17%), 04/30/2043 (Callable 05/02/2024) | 125,000 | 124,617 | |||||||
NextEra Energy Capital Holdings, Inc. | |||||||||
5.55%, 03/15/2054 (Callable 09/15/2053) | 40,000 | 39,592 | |||||||
5.65% to 05/01/2029 then 3 mo. LIBOR US + 3.16%, 05/01/2079 (Callable 05/01/2029) (c) | 110,000 | 105,738 | |||||||
NiSource, Inc., 5.35%, 04/01/2034 (Callable 01/01/2034) | 80,000 | 79,327 | |||||||
NRG Energy, Inc., 3.63%, 02/15/2031 (Callable 02/15/2026)(a) | 20,000 | 17,175 | |||||||
Pacific Gas and Electric Co., 2.50%, 02/01/2031 (Callable 11/01/2030) | 100,000 | 83,022 | |||||||
Pike Corp. | |||||||||
5.50%, 09/01/2028 (Callable 05/02/2024)(a) | 30,000 | 28,650 | |||||||
8.63%, 01/31/2031 (Callable 01/31/2027)(a) | 15,000 | 15,938 | |||||||
San Diego Gas & Electric Co., 5.55%, 04/15/2054 (Callable 10/15/2053) | 80,000 | 80,941 | |||||||
South Jersey Industries, Inc., 5.02%, 04/15/2031 | 109,000 | 87,197 | |||||||
Southern Co., 3.75% to 09/15/2026 then 5 yr. CMT Rate + 2.92%, 09/15/2051 (Callable 06/15/2026) | 90,000 | 83,974 | |||||||
TransAlta Corp., 7.75%, 11/15/2029 (Callable 11/15/2025) | 25,000 | 25,938 | |||||||
Vistra Operations Co. LLC | |||||||||
5.63%, 02/15/2027 (Callable 04/12/2024)(a) | 25,000 | 24,531 | |||||||
7.75%, 10/15/2031 (Callable 10/15/2026)(a) | 20,000 | 20,900 | |||||||
5,134,043 | |||||||||
TOTAL CORPORATE BONDS (Cost $66,334,837) | 62,717,495 | ||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 20.3% | Par | Value | |||||||
ACE Securities Corp., Series 2007-D1, Class A4, 6.93%, 02/25/2038 (Callable 01/25/2034)(a)(e) | 271,510 | 215,475 | |||||||
American Tower Depositor Sub LLC, Series 2023-1, 5.49%, 03/15/2028 (Callable 03/15/2027)(a) | 155,000 | 155,851 | |||||||
Angel Oak Mortgage Trust LLC, Series 2019-2, Class B2, 6.29%, 03/25/2049 (Callable 04/25/2024)(a)(f) | 1,300,000 | 1,300,892 | |||||||
Arroyo Mortgage Trust | |||||||||
Series 2019-1, Class A1, 3.81%, 01/25/2049 (Callable 04/25/2024)(a)(f) | 42,347 | 39,558 | |||||||
Series 2019-2, Class A3, 3.80%, 04/25/2049 (Callable 04/25/2024)(a)(f) | 82,763 | 76,780 | |||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2017-BNK3, Class B, 3.88%, 02/15/2050 (Callable 02/15/2027)(f) | 350,000 | 319,312 | |||||||
Banc of America Re-Remic Trust, Series 2018-DSNY, Class C, 6.97% (1 mo. Term SOFR + 1.65%), 09/15/2034 (a) | 100,000 | 99,500 | |||||||
BANK-2017, Series 2017-BNK8, Class XE, 1.29%, 11/15/2050 (Callable 08/15/2027)(a)(f)(g) | 7,050,000 | 276,315 | |||||||
BANK-2018, Series 2018-BN11, Class XA, 0.45%, 03/15/2061 (Callable 01/15/2028)(f)(g) | 11,095,711 | 176,992 | |||||||
BANK-2019, Series 2019-BN21, Class XA, 0.84%, 10/17/2052 (Callable 07/15/2029)(f)(g) | 4,014,892 | 141,637 | |||||||
BANK-2020, Series 2020-BN30, Class XA, 1.29%, 12/15/2053 (f)(g) | 1,250,014 | 76,060 | |||||||
Bayview MSR Opportunity Master Fund Trust, Series 2022-2, Class AF, 5.00% (30 day avg SOFR US + 0.85%), 12/25/2051 (Callable 09/25/2043)(a) | 427,177 | 394,679 | |||||||
BBCMS Trust | |||||||||
Series 2019-BWAY, Class E, 8.29% (1 mo. Term SOFR + 2.96%), 11/15/2034 (a) | 100,000 | 16,152 | |||||||
Series 2021-C11, Class XD, 1.52%, 09/15/2054 (a)(f)(g) | 1,255,000 | 109,554 | |||||||
BCRR Trust, Series 2016-FRR3, Class E, 7.23% (30 day avg SOFR US + 18.46%), 05/26/2026 (a) | 797,720 | 762,066 | |||||||
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-10, Class 1M1, 5.28%, 01/25/2035 (Callable 04/25/2024)(f) | 144,271 | 133,666 | |||||||
Benchmark Mortgage Trust | |||||||||
Series 2018-B2, Class C, 4.29%, 02/15/2051 (Callable 02/15/2028)(f) | 150,000 | 123,390 | |||||||
Series 2018-B4, Class XD, 1.75%, 07/15/2051 (Callable 04/15/2028)(a)(f)(g) | 7,000,000 | 414,365 | |||||||
Series 2019-B10, Class XB, 0.88%, 03/15/2062 (Callable 01/15/2029)(a)(f)(g) | 2,820,000 | 110,147 | |||||||
Series 2020-B17, Class XA, 1.41%, 03/15/2053 (Callable 01/15/2030)(f)(g) | 2,525,936 | 121,011 | |||||||
Series 2020-B18, Class XA, 1.78%, 07/15/2053 (Callable 05/15/2030)(f)(g) | 1,510,716 | 94,361 | |||||||
BLP Commercial Mortgage Trust, Series 2024-IND2, Class B, 7.02% (1 mo. Term SOFR + 1.69%), 03/15/2041 (a) | 350,000 | 350,000 | |||||||
BOCA Commercial Mortgage Trust, Series 2022-BOCA, Class B, 7.64% (1 mo. Term SOFR + 2.32%), 05/15/2039 (a) | 100,000 | 100,053 | |||||||
BPR Trust, Series 2021-TY, Class D, 7.79% (1 mo. Term SOFR + 2.46%), 09/15/2038 (a) | 167,000 | 161,891 | |||||||
BX Trust | |||||||||
Series 2019-CALM, Class E, 7.44% (1 mo. Term SOFR + 2.11%), 11/15/2032 (a) | 136,500 | 135,690 | |||||||
Series 2019-IMC, Class D, 7.27% (1 mo. Term SOFR + 1.95%), 04/15/2034 (a) | 100,000 | 99,525 | |||||||
Series 2020-VKNG, Class A, 6.37% (1 mo. Term SOFR + 1.04%), 10/15/2037 (a) | 122,780 | 122,588 | |||||||
Series 2021-21M, Class A, 6.17% (1 mo. Term SOFR + 0.84%), 10/15/2036 (a) | 67,491 | 66,943 | |||||||
Series 2021-21M, Class E, 7.61% (1 mo. Term SOFR + 2.29%), 10/15/2036 (a) | 175,000 | 172,539 | |||||||
Series 2021-ARIA, Class C, 7.09% (1 mo. Term SOFR + 1.76%), 10/15/2036 (a) | 350,000 | 343,921 | |||||||
Series 2021-CIP, Class A, 6.36% (1 mo. Term SOFR + 1.04%), 12/15/2038 (a) | 110,000 | 108,831 | |||||||
Series 2021-LBA, Class EV, 7.44% (1 mo. Term SOFR + 2.11%), 02/15/2036 (a) | 197,702 | 193,502 | |||||||
Series 2021-SDMF, Class D, 6.83% (1 mo. Term SOFR + 1.50%), 09/15/2034 (a) | 335,738 | 329,025 | |||||||
Series 2021-VOLT, Class A, 6.14% (1 mo. Term SOFR + 0.81%), 09/15/2036 (a) | 115,000 | 113,531 | |||||||
Series 2022-CLS, Class A, 5.76%, 10/13/2027 (a) | 135,000 | 135,884 | |||||||
Series 2022-GPA, Class A, 7.49% (1 mo. Term SOFR + 2.17%), 08/15/2039 (a) | 178,616 | 179,062 | |||||||
Series 2022-GPA, Class B, 7.99% (1 mo. Term SOFR + 2.66%), 08/15/2041 (a) | 109,154 | 109,427 | |||||||
Series 2022-LBA6, Class C, 6.93% (1 mo. Term SOFR + 1.60%), 01/15/2039 (a) | 350,000 | 346,500 | |||||||
Series 2023-XL3, Class A, 7.09% (1 mo. Term SOFR + 1.76%), 12/09/2040 (a) | 450,000 | 452,531 | |||||||
Series 2024-BIO, Class D, 8.96% (1 mo. Term SOFR + 3.64%), 02/15/2041 (a) | 100,000 | 99,937 | |||||||
Series 2024-XL5, Class A, 6.69% (1 mo. Term SOFR + 1.39%), 03/15/2041 (a) | 155,000 | 155,000 | |||||||
CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class A, 6.69% (1 mo. Term SOFR + 1.37%), 12/15/2037 (a) | 100,000 | 99,969 | |||||||
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XA, 1.60%, 05/10/2058 (Callable 05/10/2026)(f)(g) | 619,380 | 14,359 | |||||||
CIM Trust | |||||||||
Series 2018-INV1, Class A10, 4.00%, 08/25/2048 (Callable 10/25/2028)(a)(f) | 196,679 | 179,857 | |||||||
Series 2019-INV2, Class A3, 4.00%, 05/25/2049 (Callable 01/25/2029)(a)(f) | 14,443 | 13,253 | |||||||
Series 2019-J1, Class B2, 3.94%, 08/25/2049 (Callable 11/25/2024)(a)(f) | 167,593 | 150,892 | |||||||
Citigroup Commercial Mortgage Trust | |||||||||
Series 2013-GC17, Class D, 5.11%, 11/10/2046 (Callable 04/10/2024)(a)(f) | 46,951 | 44,312 | |||||||
Series 2015-GC27, Class C, 4.42%, 02/10/2048 (Callable 01/10/2025)(f) | 164,000 | 156,292 | |||||||
Series 2016-C1, Class XA, 1.82%, 05/10/2049 (Callable 06/10/2026)(f)(g) | 715,013 | 20,696 | |||||||
Series 2016-P4, Class D, 3.93%, 07/10/2049 (Callable 07/10/2026)(a)(f) | 500,000 | 386,495 | |||||||
Series 2017-P8, Class XA, 0.87%, 09/15/2050 (Callable 07/15/2027)(f)(g) | 955,502 | 21,364 | |||||||
Series 2019-C7, Class XA, 0.86%, 12/15/2072 (Callable 10/15/2029)(f)(g) | 3,908,659 | 140,833 | |||||||
Series 2023-SMRT, Class A, 5.82%, 10/12/2040 (a)(f) | 100,000 | 101,257 | |||||||
Citigroup Mortgage Loan Trust, Inc., Series 2015-RP2, Class B4, 4.25%, 01/25/2053 (Callable 02/25/2031)(a) | 454,172 | 430,551 | |||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2017-CD4, Class XA, 1.22%, 05/10/2050 (Callable 05/10/2027)(f)(g) | 1,357,589 | 38,229 | |||||||
Cold Storage Trust, Series 2020-ICE5, Class A, 6.33% (1 mo. Term SOFR + 1.01%), 11/15/2037 (a) | 98,299 | 98,084 | |||||||
COLT Funding LLC, Series 2022-5, Class A1, 4.55%, 04/25/2067 (Callable 04/25/2025)(a)(f) | 81,799 | 80,312 | |||||||
Commercial Mortgage Pass Through Certificates | |||||||||
Series 2013-CR12, Class XA, 0.56%, 10/10/2046 (Callable 04/10/2024)(f)(g) | 312,570 | 19 | |||||||
Series 2015-LC21, Class XA, 0.62%, 07/10/2048 (Callable 07/10/2025)(f)(g) | 1,224,402 | 6,470 | |||||||
Computershare Corporate Trust | |||||||||
Series 2015-SG1, Class A4, 3.79%, 09/15/2048 (Callable 08/15/2025) | 291,173 | 283,506 | |||||||
Series 2018-C45, Class XA, 0.76%, 06/15/2051 (Callable 04/15/2028)(f)(g) | 4,723,348 | 121,690 | |||||||
Series 2021-C59, Class E, 2.50%, 04/15/2054 (Callable 04/15/2031)(a) | 400,000 | 228,822 | |||||||
Countrywide Alternative Loan Trust | |||||||||
Series 2006-HY11, Class A1, 5.68% (1 mo. Term SOFR + 0.35%), 06/25/2036 (Callable 04/25/2024) | 216,595 | 187,310 | |||||||
Series 2007-16CB, Class 5A4, 6.25%, 08/25/2037 (Callable 04/25/2024) | 459,581 | 228,507 | |||||||
Series 2007-OA4, Class A1, 5.78% (1 mo. Term SOFR + 0.45%), 05/25/2047 (Callable 04/25/2024) | 234,327 | 212,560 | |||||||
Countrywide Home Loan Mortgage Pass Through Trust, Series 2007-HY5, Class 3A1, 5.06%, 09/25/2037 (Callable 04/25/2024)(f) | 567,645 | 503,706 | |||||||
Credit Suisse Mortgage Capital Certificates | |||||||||
Series 2019-ICE4, Class A, 6.35% (1 mo. Term SOFR + 1.03%), 05/15/2036 (a) | 139,653 | 139,609 | |||||||
Series 2019-ICE4, Class B, 6.60% (1 mo. Term SOFR + 1.28%), 05/15/2036 (a) | 99,752 | 99,689 | |||||||
Series 2019-NQM1, Class A1, 3.66%, 10/25/2059 (Callable 04/25/2024)(a)(e) | 10,835 | 10,481 | |||||||
Series 2020-NET, Class D, 3.70%, 08/15/2037 (a)(f) | 118,000 | 107,984 | |||||||
CSAIL Commercial Mortgage Trust | |||||||||
Series 2016-C6, Class XA, 1.86%, 01/15/2049 (Callable 02/15/2026)(f)(g) | 590,146 | 16,044 | |||||||
Series 2017-CX10, Class XA, 0.75%, 11/15/2050 (Callable 09/15/2027)(f)(g) | 4,695,744 | 87,510 | |||||||
Series 2018-CX12, Class XA, 0.54%, 08/15/2051 (Callable 06/15/2028)(f)(g) | 4,097,186 | 101,505 | |||||||
DK Trust, Series 2024-SPBX, Class C, 7.30% (1 mo. Term SOFR + 1.95%), 03/15/2034 (a) | 400,000 | 399,750 | |||||||
Fannie Mae Connecticut Avenue Securities | |||||||||
Series 2020-R02, Class 2M2, 7.43% (30 day avg SOFR US + 2.11%), 01/25/2040 (Callable 01/25/2027)(a) | 133,986 | 135,473 | |||||||
Series 2022-R01, Class 1M1, 6.32% (30 day avg SOFR US + 1.00%), 12/25/2041 (Callable 12/25/2026)(a) | 41,235 | 41,234 | |||||||
Series 2022-R03, Class 1M1, 7.42% (30 day avg SOFR US + 2.10%), 03/25/2042 (Callable 03/25/2027)(a) | 18,576 | 18,841 | |||||||
Series 2022-R04, Class 1M1, 7.32% (30 day avg SOFR US + 2.00%), 03/25/2042 (Callable 03/25/2027)(a) | 39,041 | 39,502 | |||||||
Series 2022-R05, Class 2M2, 8.32% (30 day avg SOFR US + 3.00%), 04/25/2042 (Callable 04/25/2027)(a) | 305,000 | 314,323 | |||||||
Series 2022-R06, Class 1M1, 8.07% (30 day avg SOFR US + 2.75%), 05/25/2042 (Callable 05/25/2027)(a) | 128,853 | 132,164 | |||||||
Series 2022-R08, Class 1M2, 8.92% (30 day avg SOFR US + 3.60%), 07/25/2042 (Callable 07/25/2027)(a) | 300,000 | 316,464 | |||||||
Series 2022-R09, Class 2M1, 7.82% (30 day avg SOFR US + 2.50%), 09/25/2042 (Callable 09/25/2027)(a) | 85,467 | 86,901 | |||||||
Series 2023-R01, Class 1M1, 7.72% (30 day avg SOFR US + 2.40%), 12/25/2042 (Callable 12/25/2027)(a) | 49,777 | 51,070 | |||||||
Series 2023-R03, Class 2M2, 9.22% (30 day avg SOFR US + 3.90%), 04/25/2043 (Callable 04/25/2028)(a) | 65,000 | 69,300 | |||||||
Series 2023-R06, Class 1M2, 8.02% (30 day avg SOFR US + 2.70%), 07/25/2043 (Callable 07/25/2028)(a) | 85,000 | 87,878 | |||||||
Series 2024-R02, Class 1M1, 6.42% (30 day avg SOFR US + 1.10%), 02/25/2044 (Callable 02/25/2029)(a) | 239,578 | 239,606 | |||||||
Federal Home Loan Mortgage Corp. | |||||||||
Pool RA7784, 4.50%, 08/01/2052 | 191,922 | 182,975 | |||||||
Pool SD1571, 5.00%, 08/01/2052 | 111,404 | 109,972 | |||||||
Pool SD1741, 5.00%, 10/01/2052 | 165,944 | 163,707 | |||||||
Pool SD1805, 5.00%, 11/01/2052 | 93,816 | 92,320 | |||||||
Pool SD1822, 5.00%, 11/01/2052 | 121,595 | 120,032 | |||||||
Pool SD1926, 5.50%, 11/01/2052 | 147,661 | 148,275 | |||||||
Pool SD3689, 5.50%, 08/01/2053 | 278,172 | 278,981 | |||||||
Pool SD7565, 5.50%, 09/01/2053 | 676,838 | 681,766 | |||||||
Series 2980, Class SC, 1.27% (-1 x 30 day avg SOFR US + 6.59%), 05/15/2035 (g)(h) | 199,343 | 12,214 | |||||||
Series 2989, Class SG, 0.00% (-7 x 30 day avg SOFR US + 33.15%), 08/15/2034 (h) | 105,699 | 101,703 | |||||||
Series 3311, Class IA, 0.98% (-1 x 30 day avg SOFR US + 6.30%), 05/15/2037 (g)(h) | 995,092 | 82,424 | |||||||
Series 3359, Class SC, 0.29% (-1 x 30 day avg SOFR US + 5.61%), 08/15/2037 (g)(h) | 413,133 | 22,891 | |||||||
Series 3966, Class SA, 0.47% (-1 x 30 day avg SOFR US + 5.79%), 12/15/2041 (g)(h) | 468,247 | 35,495 | |||||||
Series 4077, Class TS, 0.57% (-1 x 30 day avg SOFR US + 5.89%), 05/15/2041 (g)(h) | 278,688 | 21,705 | |||||||
Series 4089, Class SH, 0.57% (-1 x 30 day avg SOFR US + 5.89%), 08/15/2042 (g)(h) | 446,742 | 35,012 | |||||||
Series 4249, Class CS, 0.57% (-1 x 30 day avg SOFR US + 4.56%), 09/15/2043 (h) | 531,152 | 365,166 | |||||||
Series K109, Class X1, 1.58%, 04/25/2030 (Callable 04/25/2030)(f)(g) | 662,049 | 49,269 | |||||||
Series K117, Class X1, 1.23%, 08/25/2030 (Callable 07/25/2030)(f)(g) | 1,276,439 | 76,100 | |||||||
Series K-1515, Class X1, 1.51%, 02/25/2035 (Callable 11/25/2034)(f)(g) | 793,468 | 85,567 | |||||||
Series K-1518, Class X1, 0.86%, 10/25/2035 (Callable 07/25/2035)(f)(g) | 1,471,570 | 95,895 | |||||||
Series K-1521, Class X1, 0.98%, 08/25/2036 (Callable 06/25/2036)(f)(g) | 813,868 | 61,507 | |||||||
Series KL06, Class XFX, 1.36%, 12/25/2029 (Callable 12/25/2024)(f)(g) | 956,000 | 50,664 | |||||||
Federal National Mortgage Association | |||||||||
Pool CB5113, 5.50%, 11/01/2052 | 189,312 | 189,034 | |||||||
Pool FS2914, 4.50%, 09/01/2052 | 213,100 | 204,897 | |||||||
Pool FS3053, 5.50%, 10/01/2052 | 121,143 | 121,798 | |||||||
Pool FS3331, 5.00%, 11/01/2052 | 165,672 | 163,335 | |||||||
Pool FS3332, 5.50%, 12/01/2052 | 230,614 | 231,572 | |||||||
Series 2007-50, Class SX, 1.02% (-1 x 30 day avg SOFR US + 6.34%), 06/25/2037 (g)(h) | 1,611,334 | 136,386 | |||||||
Series 2008-22, Class SB, 0.73% (-1 x 30 day avg SOFR US + 6.05%), 04/25/2048 (g)(h) | 1,238,580 | 107,147 | |||||||
Series 2009-52, Class PI, 5.00%, 07/25/2039 (g) | 65,299 | 9,785 | |||||||
Series 2009-78, Class XS, 1.31% (-1 x 30 day avg SOFR US + 6.63%), 10/25/2039 (g)(h) | 2,298,909 | 244,265 | |||||||
Series 2009-86, Class IP, 5.50%, 10/25/2039 (g) | 59,404 | 10,863 | |||||||
Series 2010-19, Class SM, 0.82% (-1 x 30 day avg SOFR US + 6.14%), 03/25/2040 (g)(h) | 3,549,678 | 293,700 | |||||||
Series 2011-124, Class NS, 1.07% (-1 x 30 day avg SOFR US + 6.39%), 12/25/2041 (g)(h) | 324,234 | 36,885 | |||||||
Series 2012-20, Class SA, 1.02% (-1 x 30 day avg SOFR US + 6.34%), 03/25/2042 (g)(h) | 323,266 | 31,558 | |||||||
Series 2012-76, Class SC, 0.57% (-1 x 30 day avg SOFR US + 5.89%), 07/25/2042 (g)(h) | 156,889 | 14,835 | |||||||
Series 2013-60, Class CI, 3.00%, 06/25/2031 (g) | 391,396 | 1,944 | |||||||
Series 2014-28, Class SD, 0.62% (-1 x 30 day avg SOFR US + 5.94%), 05/25/2044 (g)(h) | 799,023 | 65,061 | |||||||
Series 2014-63, Class BI, 3.50%, 06/25/2033 (g) | 233,772 | 1,782 | |||||||
Series 2017-53, Class IE, 4.00%, 07/25/2047 (g) | 140,690 | 22,512 | |||||||
Series 2019-33, Class PS, 0.62% (-1 x 30 day avg SOFR US + 5.94%), 07/25/2049 (g)(h) | 4,062,877 | 408,908 | |||||||
Series 2019-83, Class QS, 0.52% (-1 x 30 day avg SOFR US + 5.84%), 01/25/2050 (g)(h) | 4,389,464 | 512,787 | |||||||
Series 2020-53, Class DI, 3.00%, 08/25/2060 (g) | 1,434,567 | 241,675 | |||||||
Series 2020-79, Class IT, 4.00%, 11/25/2050 (g) | 5,420,147 | 1,093,699 | |||||||
Series 2020-99, Class IC, 3.50%, 04/25/2050 (g) | 4,038,455 | 742,319 | |||||||
Series 2021-R02, Class 2B2, 11.52% (30 day avg SOFR US + 6.20%), 11/25/2041 (Callable 11/25/2026)(a) | 55,000 | 57,932 | |||||||
Series 419, Class C4, 3.50%, 04/25/2044 (g) | 2,041,758 | 326,974 | |||||||
First Republic Mortgage Loan Trust, Series 2020-1, Class B1, 2.89%, 04/25/2050 (a)(f) | 692,745 | 633,874 | |||||||
Flagstar Mortgage Trust, Series 2018-6RR, Class B1, 4.94%, 10/25/2048 (Callable 11/25/2033)(a)(f) | 437,254 | 415,525 | |||||||
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class G, 3.96%, 12/10/2036 (a)(f) | 112,000 | 107,985 | |||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | |||||||||
Series 2021-DNA5, Class M2, 6.97% (30 day avg SOFR US + 1.65%), 01/25/2034 (Callable 01/25/2034)(a) | 233,577 | 234,753 | |||||||
Series 2021-HQA1, Class M2, 7.57% (30 day avg SOFR US + 2.25%), 08/25/2033 (Callable 08/25/2033)(a) | 257,372 | 263,002 | |||||||
Series 2021-HQA4, Class M2, 7.67% (30 day avg SOFR US + 2.35%), 12/25/2041 (Callable 12/25/2026)(a) | 400,000 | 403,103 | |||||||
Series 2021-HQA4, Class B1, 9.07% (30 day avg SOFR US + 3.75%), 12/25/2041 (Callable 12/25/2026)(a) | 700,000 | 720,889 | |||||||
Series 2022-DNA2, Class M1B, 7.72% (30 day avg SOFR US + 2.40%), 02/25/2042 (Callable 02/25/2027)(a) | 500,000 | 508,679 | |||||||
Series 2022-DNA3, Class M1A, 7.32% (30 day avg SOFR US + 2.00%), 04/25/2042 (Callable 04/25/2027)(a) | 73,608 | 74,593 | |||||||
Series 2022-DNA4, Class M1A, 7.52% (30 day avg SOFR US + 2.20%), 05/25/2042 (Callable 05/25/2027)(a) | 134,302 | 136,571 | |||||||
Series 2022-DNA4, Class M1B, 8.67% (30 day avg SOFR US + 3.35%), 05/25/2042 (Callable 05/25/2027)(a) | 160,000 | 167,207 | |||||||
Series 2022-DNA6, Class M1A, 7.47% (30 day avg SOFR US + 2.15%), 09/25/2042 (Callable 09/25/2027)(a) | 121,385 | 122,837 | |||||||
Series 2022-DNA7, Class M1A, 7.82% (30 day avg SOFR US + 2.50%), 03/25/2052 (Callable 09/25/2027)(a) | 99,438 | 101,115 | |||||||
Series 2022-HQA1, Class M1B, 8.82% (30 day avg SOFR US + 3.50%), 03/25/2042 (Callable 03/25/2027)(a) | 85,000 | 88,619 | |||||||
Series 2022-HQA3, Class M1B, 8.87% (30 day avg SOFR US + 3.55%), 08/25/2042 (Callable 08/25/2027)(a) | 125,000 | 131,845 | |||||||
Series 2024-HQA1, Class M2, 7.32% (30 day avg SOFR US + 2.00%), 03/25/2044 (Callable 03/25/2029)(a) | 250,000 | 250,078 | |||||||
FREMF Mortgage Trust | |||||||||
Series 2019-KF71, Class C, 11.43% (30 day avg SOFR US + 6.11%), 10/25/2029 (Callable 10/25/2029)(a) | 149,973 | 145,638 | |||||||
Series 2019-KG01, Class X2A, 0.10%, 04/25/2029 (Callable 02/25/2029)(a)(g) | 5,073,600 | 12,963 | |||||||
Series 2019-KG01, Class X2B, 0.10%, 05/25/2029 (Callable 02/25/2029)(a)(g) | 570,000 | 2,104 | |||||||
GCAT, Series 2022-NQM4, Class A1, 5.27%, 08/25/2067 (Callable 08/25/2025)(a)(e) | 86,424 | 86,787 | |||||||
Government National Mortgage Association | |||||||||
Series 2010-133, Class SD, 0.63% (-1 x 1 mo. Term SOFR + 5.96%), 10/16/2040 (g)(h) | 1,638,010 | 65,551 | |||||||
Series 2014-102, Class SY, 0.21% (-1 x 1 mo. Term SOFR + 5.54%), 02/20/2044 (g)(h) | 1,453,084 | 70,719 | |||||||
Series 2018-83, Class HI, 5.00% (1 Month U.S. LIBOR + 0.00%), 01/20/2048 (c)(g) | 661,386 | 111,059 | |||||||
Great Wolf Trust 2019-WOLF | |||||||||
Series 2019-WOLF, Class B, 6.97% (1 mo. Term SOFR + 1.65%), 12/15/2036 (a) | 76,765 | 76,645 | |||||||
Series 2019-WOLF, Class C, 7.27% (1 mo. Term SOFR + 1.95%), 12/15/2036 (a) | 230,294 | 229,862 | |||||||
Great Wolf Trust 2024-WOLF, Series 2024-WOLF, Class A, 6.84% (1 mo. Term SOFR + 1.54%), 03/15/2039 (a) | 350,000 | 350,547 | |||||||
GS Mortgage Securities Corp. II | |||||||||
Series 2018-RIVR, Class C, 6.87% (1 mo. Term SOFR + 1.55%), 07/15/2035 (a) | 122,000 | 70,991 | |||||||
Series 2019-GC42, Class XA, 0.81%, 09/10/2052 (Callable 06/10/2029)(f)(g) | 2,162,240 | 71,777 | |||||||
Series 2020-GC47, Class XA, 1.13%, 05/12/2053 (Callable 02/12/2030)(f)(g) | 1,460,169 | 74,927 | |||||||
Series 2020-GSA2, Class XA, 1.71%, 12/12/2053 (Callable 10/10/2030)(a)(f)(g) | 1,192,919 | 93,108 | |||||||
GS Mortgage-Backed Securities Trust | |||||||||
Series 2020-PJ6, Class A4, 2.50%, 05/25/2051 (Callable 11/25/2045)(a)(f) | 314,702 | 251,028 | |||||||
Series 2022-PJ1, Class A4, 2.50%, 05/28/2052 (Callable 01/25/2046)(a)(f) | 264,404 | 209,251 | |||||||
GSAA Trust | |||||||||
Series 2005-6, Class M1, 6.09% (1 mo. Term SOFR + 0.76%), 06/25/2035 (Callable 04/25/2024) | 184,777 | 181,178 | |||||||
Series 2006-4, Class 4A3, 4.23%, 03/25/2036 (Callable 04/25/2024)(f) | 390,236 | 245,696 | |||||||
Series 2007-7, Class A4, 5.98% (1 mo. Term SOFR + 0.65%), 07/25/2037 (Callable 04/25/2024) | 98,319 | 94,153 | |||||||
GSCG Trust, Series 2019-600C, Class E, 3.99%, 09/06/2034 (a)(f) | 183,000 | 17,937 | |||||||
Hundred Acre Wood Trust, Series 2021-INV1, Class A27, 2.50%, 07/25/2051 (Callable 11/25/2044)(a)(f) | 314,729 | 249,472 | |||||||
INTOWN Mortgage Trust, Series 2022-STAY, Class B, 8.61% (1 mo. Term SOFR + 3.29%), 08/15/2039 (Callable 08/15/2024)(a) | 140,000 | 140,356 | |||||||
JP Morgan Chase Commercial Mortgage Securities | |||||||||
Series 2018-AON, Class D, 4.61%, 07/05/2031 (a)(f) | 132,000 | 78,891 | |||||||
Series 2020-NNN, Class EFX, 3.97%, 01/16/2037 (Callable 01/16/2025)(a) | 100,000 | 47,388 | |||||||
JP Morgan Mortgage Trust | |||||||||
Series 2018-8, Class B1, 4.03%, 01/25/2049 (Callable 04/25/2024)(a)(f) | 436,615 | 390,708 | |||||||
Series 2019-8, Class B2A, 3.17%, 03/25/2050 (Callable 05/25/2028)(a)(f) | 182,016 | 153,413 | |||||||
Series 2019-8, Class A15, 3.50%, 03/25/2050 (Callable 05/25/2028)(a)(f) | 8,309 | 7,299 | |||||||
Series 2020-4, Class A5, 3.00%, 11/25/2050 (Callable 10/25/2039)(a)(f) | 184,246 | 156,763 | |||||||
Series 2022-5, Class A9, 2.80%, 09/25/2052 (Callable 08/25/2049)(a)(f) | 453,036 | 365,226 | |||||||
JPMBB Commercial Mortgage Securities Trust | |||||||||
Series 2014-C19, Class XA, 0.47%, 04/15/2047 (Callable 01/15/2025)(f)(g) | 2,742,222 | 712 | |||||||
Series 2015-C27, Class D, 3.80%, 02/15/2048 (Callable 09/15/2026)(a)(f) | 124,000 | 70,604 | |||||||
JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class XA, 1.48%, 06/15/2049 (Callable 03/15/2026)(f)(g) | 871,335 | 18,426 | |||||||
KSL Commercial Mortgage Trust, Series 2023-HT, Class A, 7.62% (1 mo. Term SOFR + 2.29%), 12/15/2036 (a) | 300,000 | 301,781 | |||||||
Legacy Mortgage Asset Trust, Series 2020-GS3, Class A2, 7.00%, 05/25/2060 (Callable 04/25/2024)(a)(e) | 959,464 | 879,755 | |||||||
Life Mortgage Trust US | |||||||||
Series 2022-BMR2, Class A1, 6.62% (1 mo. Term SOFR + 1.30%), 05/15/2039 (Callable 05/15/2024)(a) | 170,000 | 168,513 | |||||||
Series 2022-BMR2, Class B, 7.12% (1 mo. Term SOFR + 1.79%), 05/15/2039 (Callable 05/15/2024)(a) | 250,000 | 246,875 | |||||||
LSTAR Commercial Mortgage Trust | |||||||||
Series 2016-4, Class XA, 1.66%, 03/10/2049 (Callable 03/10/2026)(a)(f)(g) | 826,339 | 13,407 | |||||||
Series 2016-4, Class C, 4.59%, 03/10/2049 (Callable 03/10/2026)(a)(f) | 274,000 | 233,109 | |||||||
Series 2017-5, Class X, 0.83%, 03/10/2050 (Callable 03/10/2027)(a)(f)(g) | 1,796,370 | 25,782 | |||||||
Med Trust 2021-MDLN, Series 2021-MDLN, Class D, 7.44% (1 mo. Term SOFR + 2.11%), 11/15/2038 (a) | 348,328 | 347,022 | |||||||
MFRA Trust, Series 2020-NQM3, Class A3, 1.63%, 01/26/2065 (Callable 04/25/2024)(a)(f) | 97,119 | 89,596 | |||||||
MHC Commercial Mortgage Trust, Series 2021-MHC, Class F, 8.04% (1 mo. Term SOFR + 2.72%), 04/15/2038 (a) | 251,663 | 249,053 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class XA, 0.95%, 12/15/2047 (Callable 10/15/2026)(f)(g) | 1,828,655 | 3,070 | |||||||
Morgan Stanley Capital I, Inc. | |||||||||
Series 2016-UB12, Class XA, 0.65%, 12/15/2049 (Callable 09/15/2026)(f)(g) | 2,606,181 | 33,412 | |||||||
Series 2019-NUGS, Class E, 7.68% (1 mo. Term SOFR + 2.36%), 12/15/2036 (a) | 147,000 | 29,884 | |||||||
Series 2019-NUGS, Class F, 8.28% (1 mo. Term SOFR + 2.96%), 12/15/2036 (a) | 125,000 | 13,262 | |||||||
Series 2019-PLND, Class E, 7.59% (1 mo. Term SOFR + 2.26%), 05/15/2036 (Callable 05/15/2024)(a) | 189,000 | 97,046 | |||||||
NewRez Warehouse Securitization Trust, Series 2021-1, Class F, 10.69% (1 mo. Term SOFR + 5.36%), 05/25/2055 (Callable 05/25/2024)(a) | 866,667 | 865,212 | |||||||
One New York Plaza Trust, Series 2020-1NYP, Class C, 7.64% (1 mo. Term SOFR + 2.31%), 01/15/2036 (a) | 160,000 | 147,289 | |||||||
PennyMac Mortgage Investment Trust, Series 2017-PM1, Class XIO, 0.00%, 10/25/2048 (a)(g) | 143,031,991 | 523,197 | |||||||
PR Mortgage Loan Trust, Series 2014-1, Class APT, 5.86%, 10/25/2049 (Callable 09/25/2031)(a)(f) | 985,687 | 901,485 | |||||||
Provident Funding Mortgage Trust, Series 2021-J1, Class A10, 2.00%, 10/25/2051 (Callable 01/25/2049)(a)(f) | 200,000 | 123,526 | |||||||
Rate Mortgage Trust, Series 2021-HB1, Class A31, 2.50%, 12/25/2051 (Callable 12/25/2045)(a)(f) | 443,211 | 351,314 | |||||||
RCKT Mortgage Trust, Series 2021-1, Class B3, 2.72%, 03/25/2051 (Callable 02/25/2048)(a)(f) | 458,000 | 366,979 | |||||||
Renaissance Home Equity Loan Trust, Series 2004-4, Class MF2, 5.82%, 02/25/2035 (Callable 04/25/2024)(e) | 269,867 | 223,460 | |||||||
RLGH Trust | |||||||||
Series 2021-TROT, Class A, 6.24% (1 mo. Term SOFR + 0.91%), 04/15/2036 (a) | 100,000 | 98,063 | |||||||
Series 2021-TROT, Class D, 7.15% (1 mo. Term SOFR + 1.83%), 04/15/2036 (a) | 175,000 | 169,951 | |||||||
SCOTT Trust 2023-SFS, Series 2023-SFS, Class AS, 6.20%, 03/15/2040 (a) | 100,000 | 98,285 | |||||||
Sequoia Mortgage Trust, Series 2021-3, Class B3, 2.65%, 05/25/2051 (Callable 07/25/2048)(a)(f) | 463,709 | 364,736 | |||||||
SG Commercial Mortgage Securities LLC, Series 2016-C5, Class XA, 1.85%, 10/10/2048 (Callable 07/10/2026)(f)(g) | 911,575 | 25,383 | |||||||
SMRT 2022-MINI, Series 2022-MINI, Class B, 6.68% (1 mo. Term SOFR + 1.35%), 01/15/2039 (a) | 250,000 | 246,563 | |||||||
UBS Commercial Mortgage Trust | |||||||||
Series 2017-C4, Class C, 4.53%, 10/15/2050 (Callable 10/15/2027)(f) | 250,000 | 215,566 | |||||||
Series 2018-C9, Class XA, 0.91%, 03/15/2051 (Callable 01/15/2028)(f)(g) | 2,172,333 | 64,087 | |||||||
UBS-Barclays Commercial Mortgage Trust, Series 2019-C3, Class XA, 1.31%, 05/15/2052 (Callable 03/15/2029)(f)(g) | 1,402,473 | 72,606 | |||||||
Velocity Commercial Capital Loan Trust, Series 2020-2, Class A2, 5.00%, 05/25/2050 (a)(f) | 500,000 | 465,509 | |||||||
Verus Securitization Trust | |||||||||
Series 2022-8, Class A3, 6.13%, 09/25/2067 (Callable 10/25/2025)(a)(e) | 87,522 | 90,930 | |||||||
Series 2022-INV1, Class A1, 5.04%, 08/25/2067 (Callable 08/25/2025)(a)(e) | 84,834 | 84,176 | |||||||
Series 2024-1, Class A1, 5.71%, 01/25/2069 (Callable 01/25/2027)(a)(e) | 98,240 | 97,627 | |||||||
WaMu Mortgage Pass Through Certificates, Series 2007-HY3, Class 1A1, 3.91%, 03/25/2037 (Callable 04/25/2024)(f) | 346,053 | 271,102 | |||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $46,029,501) | 40,424,576 | ||||||||
U.S. TREASURY OBLIGATIONS - 12.1% | Par | Value | |||||||
United States Treasury Note/Bond | |||||||||
4.63%, 02/28/2026 | 920,000 | 919,281 | |||||||
1.50%, 01/31/2027 | 240,000 | 221,288 | |||||||
4.25%, 03/15/2027 | 1,049,000 | 1,044,083 | |||||||
2.63%, 05/31/2027 | 75,000 | 71,074 | |||||||
4.25%, 02/28/2029 | 6,800 | 6,810 | |||||||
1.88%, 02/15/2032 | 515,000 | 434,853 | |||||||
2.88%, 05/15/2032 | 1,725,000 | 1,566,515 | |||||||
2.75%, 08/15/2032 | 1,110,000 | 995,705 | |||||||
3.50%, 02/15/2033 | 1,030,000 | 975,603 | |||||||
4.00%, 02/15/2034 | 162,900 | 160,202 | |||||||
2.38%, 02/15/2042 | 570,000 | 423,759 | |||||||
2.75%, 11/15/2042 | 90,000 | 70,411 | |||||||
4.75%, 11/15/2043 | 650,000 | 674,375 | |||||||
4.50%, 02/15/2044 | 706,500 | 710,584 | |||||||
3.00%, 02/15/2049 | 1,280,000 | 997,200 | |||||||
2.00%, 02/15/2050 | 688,000 | 430,645 | |||||||
3.00%, 08/15/2052 | 220,000 | 170,844 | |||||||
3.63%, 02/15/2053 | 545,000 | 478,408 | |||||||
4.75%, 11/15/2053 | 281,400 | 300,351 | |||||||
4.25%, 02/15/2054 | 13,750,000 | 13,522,265 | |||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $24,592,104) | 24,174,256 | ||||||||
FOREIGN GOVERNMENT DEBT OBLIGATIONS - 7.5% | Par | Value | |||||||
Australia Government Bond | |||||||||
1.00%, 12/21/2030 | AUD | 150,000 | 81,692 | ||||||
1.50%, 02/20/2032 | AUD | 455,000 | 239,350 | ||||||
Brazil Notas do Tesouro Nacional Serie B, 6.00%, 08/15/2050 | BRL | 190,000 | 165,531 | ||||||
Brazil Notas do Tesouro Nacional Serie F, 10.00%, 01/01/2027 Bundesrepublik Deutschland Bundesanleihe BRL 1,160,000 230,271 | |||||||||
0.00%, 02/15/2031 | EUR | 175,000 | 162,479 | ||||||
0.00%, 05/15/2035 | EUR | 105,000 | 87,743 | ||||||
3.25%, 07/04/2042 | EUR | 55,000 | 66,113 | ||||||
Canadian Government Bond, 1.25%, 03/01/2025 | CAD | 465,000 | 333,167 | ||||||
China Government Bond, 2.69%, 08/12/2026 | CNY | 910,000 | 127,733 | ||||||
Finland Government Bond, 3.00%, 09/15/2033 (a) | EUR | 225,000 | 246,951 | ||||||
Indonesia Treasury Bond | |||||||||
6.50%, 06/15/2025 | IDR | 2,422,000,000 | 152,912 | ||||||
8.38%, 09/15/2026 | IDR | 1,606,000,000 | 105,740 | ||||||
5.13%, 04/15/2027 | IDR | 1,385,000,000 | 84,166 | ||||||
6.38%, 08/15/2028 | IDR | 5,707,000,000 | 357,286 | ||||||
9.00%, 03/15/2029 | IDR | 1,457,000,000 | 101,076 | ||||||
6.50%, 02/15/2031 | IDR | 5,458,000,000 | 339,942 | ||||||
8.75%, 05/15/2031 | IDR | 3,000,000,000 | 210,842 | ||||||
6.38% (SOFR Rate + 0.00%), 04/15/2032 | IDR | 3,726,000,000 | 230,328 | ||||||
6.63%, 05/15/2033 | IDR | 1,779,000,000 | 111,273 | ||||||
7.50%, 06/15/2035 | IDR | 1,015,000,000 | 67,596 | ||||||
7.50%, 05/15/2038 | IDR | 1,447,000,000 | 96,047 | ||||||
Ireland Government Bond, 1.10%, 05/15/2029 | EUR | 45,000 | 45,169 | ||||||
Korea Treasury Bond | |||||||||
2.38%, 03/10/2027 | KRW | 804,700,000 | 580,757 | ||||||
2.13%, 06/10/2027 | KRW | 293,300,000 | 209,740 | ||||||
3.13%, 09/10/2027 | KRW | 103,300,000 | 76,190 | ||||||
1.38%, 12/10/2029 | KRW | 377,860,000 | 251,719 | ||||||
4.25%, 12/10/2032 | KRW | 178,720,000 | 140,962 | ||||||
3.25%, 06/10/2033 | KRW | 207,000,000 | 151,983 | ||||||
Kuntarahoitus Oyj, 5.96% (Norway Interbank Offered Rate Fixing 3 Month + 1.25%), 01/10/2025 | NOK | 1,000,000 | 92,963 | ||||||
Malaysia Government Bond | |||||||||
3.88%, 03/14/2025 | MYR | 361,000 | 76,631 | ||||||
3.90%, 11/30/2026 | MYR | 360,000 | 77,000 | ||||||
3.90%, 11/16/2027 | MYR | 805,000 | 172,198 | ||||||
3.73%, 06/15/2028 | MYR | 400,000 | 84,953 | ||||||
4.50%, 04/15/2030 | MYR | 640,000 | 140,635 | ||||||
3.84%, 04/15/2033 | MYR | 980,000 | 206,788 | ||||||
3.83%, 07/05/2034 | MYR | 360,000 | 75,774 | ||||||
Mexican Bonos | |||||||||
5.00%, 03/06/2025 | MXN | 7,324,000 | 420,716 | ||||||
7.75%, 05/29/2031 | MXN | 21,110,000 | 1,199,948 | ||||||
7.50%, 05/26/2033 | MXN | 8,490,000 | 467,592 | ||||||
New South Wales Treasury Corp. | |||||||||
1.25%, 03/20/2025 | AUD | 210,000 | 133,118 | ||||||
2.00% (SOFR Rate + 0.00%), 03/08/2033 | AUD | 175,000 | 92,949 | ||||||
New Zealand Government Bond | |||||||||
0.50%, 05/15/2026 | NZD | 390,000 | 213,859 | ||||||
4.25%, 05/15/2034 | NZD | 210,000 | 121,764 | ||||||
New Zealand Local Government Funding Agency Bond | |||||||||
2.25%, 05/15/2031 | NZD | 25,000 | 12,477 | ||||||
3.50%, 04/14/2033 | NZD | 262,000 | 138,168 | ||||||
3.00% (SOFR Index + 0.00%), 05/15/2035 | NZD | 215,000 | 104,104 | ||||||
Nordea Eiendomskreditt AS, 5.04% (Norway Interbank Offered Rate Fixing 3 Month + 0.34%), 06/19/2024 | NOK | 1,000,000 | 92,166 | ||||||
Norway Government Bond | |||||||||
1.75%, 03/13/2025 (a) | NOK | 2,230,000 | 200,621 | ||||||
1.25%, 09/17/2031 (a) | NOK | 2,425,000 | 190,201 | ||||||
2.13%, 05/18/2032 (a) | NOK | 2,470,000 | 204,548 | ||||||
NOTA DO TESOURO NACIONAL (PRICES NEAR 1000), 10.00%, 01/01/2025 BRL 2,790,000 556,175 | |||||||||
Philippine Government Bond | |||||||||
2.63%, 08/12/2025 | PHP | 18,365,000 | 312,111 | ||||||
3.63%, 09/09/2025 | PHP | 6,865,000 | 118,021 | ||||||
6.13%, 08/22/2028 | PHP | 10,645,000 | 188,931 | ||||||
6.75%, 09/15/2032 | PHP | 9,250,000 | 169,845 | ||||||
8.00%, 09/30/2035 | PHP | 3,300,000 | 67,039 | ||||||
Queensland Treasury Corp, 5.25%, 07/21/2036 (a) | AUD | 385,000 | 261,394 | ||||||
Republic of Austria Government Bond, 2.90%, 02/20/2033 (a) | EUR | 205,000 | 223,178 | ||||||
Republic of South Africa Government Bond, 8.88%, 02/28/2035 | ZAR | 12,025,000 | 506,657 | ||||||
Singapore Government Bond | |||||||||
2.38% (SOFR Rate + 0.00%), 06/01/2025 | SGD | 5,000 | 3,652 | ||||||
1.25%, 11/01/2026 | SGD | 95,000 | 66,875 | ||||||
3.38%, 09/01/2033 | SGD | 265,000 | 200,533 | ||||||
South Australian Government Financing Authority, 4.75%, 05/24/2038 | AUD | 160,000 | 101,586 | ||||||
Treasury Corp. of Victoria, 2.25%, 11/20/2034 | AUD | 150,000 | 77,131 | ||||||
United Kingdom Gilt | |||||||||
0.25%, 01/31/2025 | GBP | 180,000 | 219,031 | ||||||
3.25%, 01/31/2033 | GBP | 145,000 | 174,813 | ||||||
CPPIB Capital, Inc., 2.25%, 12/01/2031 (a) | CAD | 145,000 | 94,541 | ||||||
Inter-American Development Bank, 4.60%, 03/01/2029 | CAD | 120,000 | 91,395 | ||||||
Abu Dhabi Government International Bond, 3.88% (SOFR Rate + 0.00%), 04/16/2050 (a) | 200,000 | 159,611 | |||||||
Canadian Government Bond, 1.50%, 09/01/2024 | CAD | 25,000 | 18,203 | ||||||
Colombia Government International Bond, 4.13%, 05/15/2051 (Callable 11/15/2050) | 200,000 | 123,026 | |||||||
Indonesia Government International Bond | |||||||||
3.85%, 10/15/2030 | 200,000 | 187,054 | |||||||
3.05%, 03/12/2051 | 200,000 | 141,163 | |||||||
Mexico Government International Bond, 3.50%, 02/12/2034 (Callable 11/12/2033) | 350,000 | 291,048 | |||||||
Panama Government International Bond, 4.30%, 04/29/2053 | 300,000 | 193,500 | |||||||
Province of Ontario Canada | |||||||||
1.35%, 12/02/2030 | CAD | 450,000 | 281,956 | ||||||
3.45%, 06/02/2045 | CAD | 210,000 | 135,114 | ||||||
Province of Quebec Canada, 4.50%, 09/08/2033 | 153,000 | 151,515 | |||||||
Republic of Italy Government International Bond, 1.25%, 02/17/2026 | 200,000 | 185,252 | |||||||
Republic of South Africa Government International Bond, 4.30%, 10/12/2028 | 200,000 | 179,500 | |||||||
TOTAL FOREIGN GOVERNMENT DEBT OBLIGATIONS (Cost $15,680,068) | 15,053,781 | ||||||||
ASSET-BACKED SECURITIES - 6.8% | Par | Value | |||||||
ACREC Trust, Series 2021-FL1, Class C, 7.59% (1 mo. Term SOFR + 2.26%), 10/16/2036 (Callable 04/16/2024)(a) | 375,000 | 362,424 | |||||||
Air Canada, Series 2017-1, 3.70%, 01/15/2026 (a) | 461,640 | 438,383 | |||||||
AMSR Trust | |||||||||
Series 2021-SFR1, Class E2, 2.90%, 06/17/2038 (a) | 1,200,000 | 1,042,824 | |||||||
Series 2021-SFR3, Class H, 4.90%, 10/17/2038 (a) | 550,000 | 501,398 | |||||||
Applebee's Funding LLC, Series 2019-1A, Class A2II, 4.72%, 06/05/2049 (Callable 06/05/2024)(a) | 99,000 | 93,873 | |||||||
Aqua Finance Trust, Series 2021-A, Class A, 1.54%, 07/17/2046 (Callable 12/17/2028)(a) | 66,685 | 59,577 | |||||||
Bojangles Issuer LLC, Series 2020-1A, Class A2, 3.83%, 10/20/2050 (Callable 04/20/2024)(a) | 98,250 | 92,400 | |||||||
Canadian Imperial Bank of Commerce, Series 2021-1A, Class B, 0.93%, 04/15/2027 (a) | 150,000 | 149,727 | |||||||
CLNC Ltd., Series 2019-FL1, Class B, 7.34% (1 mo. Term SOFR + 2.01%), 08/20/2035 (Callable 04/19/2024)(a) | 100,000 | 97,966 | |||||||
Commonbond Student Loan Trust, Series 2018-BGS, Class C, 4.12%, 09/25/2045 (Callable 11/25/2025)(a) | 7,674 | 5,985 | |||||||
Compass Datacenters LLC, Series 2024-1A, Class B, 7.00%, 02/25/2049 (Callable 02/25/2027)(a) | 250,000 | 235,780 | |||||||
DataBank Issuer, Series 2023-1A, Class A2, 5.12%, 02/25/2053 (Callable 02/25/2026)(a) | 605,000 | 576,465 | |||||||
DB Master Finance Parent LLC, Series 2019-1A, Class A2II, 4.02%, 05/20/2049 (Callable 05/20/2024)(a) | 85,950 | 83,292 | |||||||
Domino's SPV Guarantor LLC, Series 2021-1A, Class A2II, 3.15%, 04/25/2051 (Callable 04/25/2028)(a) | 97,250 | 84,373 | |||||||
Exeter Automobile Receivables Trust, Series 2024-1A, Class B, 5.29%, 08/15/2028 (Callable 10/15/2029) | 100,000 | 99,667 | |||||||
First Franklin Mortgage Loan Asset Backed Certificates, Series 2004-FF10, Class M1, 6.72% (1 mo. Term SOFR + 1.39%), 07/25/2034 (Callable 04/25/2024) | 97,258 | 94,414 | |||||||
FirstKey Homes 2020-SFR2 Trust, Series 2020-SFR2, Class A, 1.27%, 10/19/2037 (a) | 95,261 | 89,058 | |||||||
GM Financial Leasing Trust, Series 2022-3, Class C, 5.13% (1 Month U.S. LIBOR + 0.00%), 08/20/2026 (Callable 12/20/2024)(c) | 250,000 | 246,770 | |||||||
Helios Issuer LLC, Series 2020-2A, Class A, 2.73%, 11/01/2055 (Callable 10/30/2030)(a) | 453,056 | 344,876 | |||||||
Home Partners of America Trust, Series 2019-1, Class B, 3.16%, 09/17/2039 (Callable 09/17/2024)(a) | 78,024 | 71,702 | |||||||
Marlette Funding Trust, Series 2022-3A, Class A, 5.18%, 11/15/2032 (Callable 11/15/2026)(a) | 17,404 | 17,381 | |||||||
Mill City Solar Loan, Series 2019-2GS, Class A, 3.69%, 07/20/2043 (Callable 08/20/2035)(a) | 68,193 | 60,220 | |||||||
Morgan Stanley ABS Capital I, Inc., Series 2006-NC1, Class M1, 6.01% (1 mo. Term SOFR + 0.68%), 12/25/2035 (Callable 04/25/2024) | 130,334 | 128,094 | |||||||
Mosaic Solar Loans LLC | |||||||||
Series 2018-1A, Class A, 4.01%, 06/22/2043 (Callable 11/20/2030)(a) | 148,681 | 139,530 | |||||||
Series 2018-2GS, Class A, 4.20%, 02/22/2044 (Callable 11/20/2030)(a) | 163,569 | 151,669 | |||||||
Series 2018-2GS, Class B, 4.74% (1 Month U.S. LIBOR + 0.00%), 02/22/2044 (Callable 11/20/2030)(a)(c) | 102,615 | 93,882 | |||||||
MVW Owner Trust, Series 2018-1A, Class A, 3.45%, 01/21/2036 (Callable 07/20/2024)(a) | 13,864 | 13,748 | |||||||
Navient Student Loan Trust | |||||||||
Series 2019-GA, Class A, 2.40%, 10/15/2068 (Callable 03/15/2027)(a) | 49,424 | 46,161 | |||||||
Series 2020-BA, Class A2, 2.12%, 01/15/2069 (Callable 04/15/2027)(a) | 102,266 | 93,644 | |||||||
Series 2020-HA, Class A, 1.31%, 01/15/2069 (Callable 10/15/2027)(a) | 63,668 | 58,176 | |||||||
Series 2021-A, Class A, 0.84%, 05/15/2069 (Callable 06/15/2028)(a) | 53,345 | 46,656 | |||||||
Series 2021-BA, Class A, 0.94%, 07/15/2069 (Callable 03/15/2029)(a) | 46,145 | 40,428 | |||||||
Series 2021-FA, Class A, 1.11%, 02/18/2070 (Callable 05/15/2030)(a) | 410,545 | 349,680 | |||||||
Neighborly Issuer, Series 2021-1A, Class A2, 3.58%, 04/30/2051 (Callable 10/30/2026)(a) | 486,250 | 433,576 | |||||||
OCCU Auto Receivables Trust, Series 2022-1A, Class A3, 5.50%, 10/15/2027 (Callable 10/15/2027)(a) | 135,000 | 134,808 | |||||||
Pagaya AI Debt Selection Trust, Series 2023-3, Class A, 7.60%, 12/16/2030 (Callable 04/15/2025)(a) | 281,174 | 283,160 | |||||||
Progress Residential Trust | |||||||||
Series 2020-SFR3, Class G, 4.11%, 10/17/2027 (a) | 2,000,000 | 1,898,849 | |||||||
Series 2021-SFR3, Class G, 4.25%, 05/17/2026 (a) | 1,100,000 | 1,001,664 | |||||||
Series 2021-SFR6, Class G, 4.00%, 07/17/2038 (Callable 07/17/2026)(a) | 700,000 | 628,154 | |||||||
Santander Consumer USA Holdings, Inc., Series 2022-3, Class C, 4.49%, 08/15/2029 (Callable 02/15/2026) | 200,000 | 195,131 | |||||||
SBA Depositor LLC, Series 2022-1, 6.60%, 01/15/2028 (Callable 01/15/2027)(a) | 210,000 | 214,529 | |||||||
SERVPRO Master Issuer LLC, Series 2024-1A, Class A2, 6.17%, 01/25/2054 (Callable 01/25/2029)(a) | 100,000 | 101,227 | |||||||
SoFi Consumer Loan Program Trust, Series 2023-1S, Class A, 5.81%, 05/15/2031 (Callable 06/15/2025)(a) | 23,070 | 23,057 | |||||||
SoFi Professional Loan Program LLC | |||||||||
Series 2018-C, Class R1, 0.00%, 01/25/2048 (Callable 04/25/2026)(a) | 10,000 | 85,527 | |||||||
Series 2020-C, Class AFX, 1.95%, 02/15/2046 (Callable 06/15/2028)(a) | 78,364 | 70,789 | |||||||
Series 2021-B, Class R1, 0.00%, 02/15/2047 (Callable 08/15/2029)(a) | 10,000 | 339,590 | |||||||
Structured Asset Securities Corp., Series 2006-BC3, Class A3, 5.76% (1 mo. Term SOFR + 0.43%), 10/25/2036 (Callable 04/25/2024) | 434,917 | 330,002 | |||||||
Sunnova Energy International, Inc., Series 2023-A, Class A, 5.30%, 05/20/2050 (Callable 05/20/2028)(a) | 95,904 | 93,472 | |||||||
Sunrun, Inc., Series 2019-1A, Class A, 3.98%, 06/30/2054 (Callable 09/30/2030)(a) | 95,809 | 88,480 | |||||||
Taco Bell Corp. | |||||||||
Series 2016-1A, Class A23, 4.97%, 05/25/2046 (Callable 05/25/2024)(a) | 251,250 | 247,773 | |||||||
Series 2021-1A, Class A2I, 1.95% (1 Month U.S. LIBOR + 0.00%), 08/25/2051 (Callable 08/25/2024)(a)(c) | 98,250 | 88,952 | |||||||
T-Mobile US, Inc., Series 2022-1A, Class A, 4.91%, 05/22/2028 (Callable 11/20/2025)(a) | 160,000 | 159,258 | |||||||
Vericrest Opportunity Loan Transferee, Series 2021-NPL1, Class A2, 4.95%, 02/27/2051 (Callable 04/25/2024)(a)(e) | 708,696 | 674,347 | |||||||
Wendy's SPV Guarantor LLC, Series 2019-1A, Class A2I, 3.78%, 06/15/2049 (Callable 06/15/2024)(a) | 89,747 | 85,977 | |||||||
Wingstop, Inc., Series 2020-1A, Class A2, 2.84%, 12/05/2050 (Callable 06/05/2024)(a) | 246,250 | 220,459 | |||||||
Zaxby's Operating Co. LP, Series 2021-1A, Class A2, 3.24%, 07/30/2051 (Callable 07/30/2025)(a) | 146,250 | 130,293 | |||||||
TOTAL ASSET-BACKED SECURITIES (Cost $15,127,642) | 13,539,297 | ||||||||
COLLATERALIZED LOAN OBLIGATIONS - 5.4% | Par | Value | |||||||
ALM Ltd./KY, Series 2020-1A, Class A2, 7.43% (3 mo. Term SOFR + 2.11%), 10/15/2029 (Callable 04/15/2024)(a) | 500,000 | 500,527 | |||||||
Arbor Realty Trust, Inc., Series 2021-FL4, Class D, 8.34% (1 mo. Term SOFR + 3.01%), 11/15/2036 (Callable 06/15/2024)(a) | 275,000 | 254,597 | |||||||
ARES CLO, Series 2018-49A, Class C, 7.53% (3 mo. Term SOFR + 2.21%), 07/22/2030 (Callable 04/22/2024)(a) | 1,000,000 | 995,065 | |||||||
BDS Ltd., Series 2020-FL5, Class C, 7.49% (1 mo. Term SOFR + 2.16%), 02/16/2037 (Callable 04/16/2024)(a) | 340,000 | 331,875 | |||||||
BlueMountain CLO Ltd., Series 2021-28A, Class C, 7.58% (3 mo. Term SOFR + 2.26%), 04/15/2034 (Callable 04/15/2024)(a) | 250,000 | 247,206 | |||||||
Canyon Capital CLO Ltd. | |||||||||
Series 2014-1A, Class CR, 8.33% (3 mo. Term SOFR + 3.01%), 01/30/2031 (Callable 04/30/2024)(a) | 250,000 | 241,580 | |||||||
Series 2021-2A, Class D, 8.93% (3 mo. Term SOFR + 3.61%), 04/15/2034 (Callable 04/15/2024)(a) | 500,000 | 500,004 | |||||||
Cent CLO, Series 2018-27A, Class DR, 9.42% (3 mo. Term SOFR + 4.09%), 01/25/2035 (Callable 04/25/2024)(a) | 500,000 | 483,855 | |||||||
CIFC Funding Ltd. | |||||||||
Series 2015-4A, Class BR2, 7.48% (3 mo. Term SOFR + 2.16%), 04/20/2034 (Callable 04/20/2024)(a) | 250,000 | 247,764 | |||||||
Series 2021-4A, Class D, 8.48% (3 mo. Term SOFR + 3.16%), 07/15/2033 (Callable 04/15/2024)(a) | 500,000 | 499,967 | |||||||
Dryden Senior Loan Fund, Series 2015-40A, Class CR, 7.67% (3 mo. Term SOFR + 2.36%), 08/15/2031 (Callable 05/15/2024)(a) | 500,000 | 497,369 | |||||||
Greystone Commercial Real Estate Notes, Series 2019-FL2, Class C, 7.44% (1 mo. Term SOFR + 2.11%), 09/15/2037 (Callable 04/15/2024)(a) | 200,000 | 195,907 | |||||||
LCM LP, Series 24A, Class CR, 7.48% (3 mo. Term SOFR + 2.16%), 03/20/2030 (Callable 04/20/2024)(a) | 250,000 | 248,623 | |||||||
LFT CRE 2021-FL1 Ltd., Series 2021-FL1, Class B, 7.19% (1 mo. Term SOFR + 1.86%), 06/15/2039 (Callable 04/15/2024)(a) | 100,000 | 96,081 | |||||||
Madison Park Funding Ltd., Series 2016-21A, Class BRR, 7.78% (3 mo. Term SOFR + 2.46%), 10/15/2032 (Callable 04/15/2024)(a) | 250,000 | 250,109 | |||||||
Neuberger Berman CLO Ltd., Series 2021-40A, Class C, 7.33% (3 mo. Term SOFR + 2.01%), 04/16/2033 (Callable 04/16/2024)(a) | 250,000 | 248,648 | |||||||
Oak Hill Credit Partners, Series 2016-13A, Class DR, 8.78% (3 mo. Term SOFR + 3.46%), 10/25/2034 (Callable 04/21/2024)(a) | 500,000 | 500,012 | |||||||
Octagon Investment Partners Ltd., Series 2012-1A, Class CRR, 9.48% (3 mo. Term SOFR + 4.16%), 07/15/2029 (Callable 04/15/2024)(a) | 500,000 | 496,476 | |||||||
OHA Credit Funding | |||||||||
Series 2020-5A, Class E, 11.81% (3 mo. Term SOFR + 6.51%), 04/18/2033 (Callable 04/18/2024)(a) | 500,000 | 499,970 | |||||||
Series 2021-8A, Class C, 7.46% (3 mo. Term SOFR + 2.16%), 01/18/2034 (Callable 04/18/2024)(a) | 250,000 | 250,134 | |||||||
OHA Loan Funding Ltd., Series 2013-1A, Class CR2, 7.65% (3 mo. Term SOFR + 2.33%), 07/23/2031 (Callable 04/23/2024)(a) | 500,000 | 500,156 | |||||||
Palmer Square CLO Ltd., Series 2023-1A, Class C, 8.57% (3 mo. Term SOFR + 3.25%), 01/20/2036 (Callable 01/20/2025)(a) | 500,000 | 503,271 | |||||||
Palmer Square Loan Funding Ltd., Series 2022-2A, Class B, 7.51% (3 mo. Term SOFR + 2.20%), 10/15/2030 (Callable 04/15/2024)(a) | 800,000 | 796,426 | |||||||
TCI-Flatiron CLO Ltd., Series 2018-1A, Class CR, 7.33% (3 mo. Term SOFR + 2.01%), 01/29/2032 (Callable 04/29/2024)(a) | 250,000 | 249,268 | |||||||
TCW CLO Ltd. | |||||||||
Series 2021-1A, Class C, 7.48% (3 mo. Term SOFR + 2.16%), 03/18/2034 (Callable 04/20/2024)(a) | 250,000 | 247,141 | |||||||
Series 2023-1A, Class C, 8.82% (3 mo. Term SOFR + 3.50%), 04/28/2036 (Callable 04/28/2025)(a) | 400,000 | 402,590 | |||||||
Wind River CLO Ltd., Series 2014-3A, Class DR2, 8.98% (3 mo. Term SOFR + 3.66%), 10/22/2031 (Callable 04/22/2024)(a) | 500,000 | 471,795 | |||||||
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $10,837,350) | 10,756,416 | ||||||||
BANK LOANS - 3.7% | Par | Value | |||||||
Communication Services - 0.0%(i) | |||||||||
Altice France SA/France, Senior Secured First Lien, 10.81% (3 mo. SOFR US + 5.50%), 08/31/2028 (Callable 05/01/2024) | 24,850 | 19,888 | |||||||
Zayo Group Holdings, Inc., Senior Secured First Lien, 8.44% (1 mo. SOFR US + 3.00%), 03/09/2027 (Callable 05/01/2024) | 35,000 | 30,810 | |||||||
50,698 | |||||||||
Communications - 0.1% | |||||||||
Cengage Learning, Inc., Senior Secured First Lien, 9.58% (1 mo. SOFR US + 4.25%), 03/24/2031 (Callable 05/01/2024) | 25,000 | 25,004 | |||||||
CSC Holdings LLC, Senior Secured First Lien, 7.94% (CME Term SOFR 1 Month + 2.50%), 04/15/2027 (Callable 05/01/2024) | 24,870 | 22,552 | |||||||
Directv Financing LLC, Senior Secured First Lien, 10.44% (1 mo. SOFR US + 5.00%), 08/02/2027 (Callable 05/01/2024) | 14,637 | 14,674 | |||||||
Gogo Intermediate Holdings LLC, Senior Secured First Lien, 9.19% (1 mo. SOFR US + 3.75%), 04/28/2028 (Callable 05/01/2024) | 54,247 | 54,232 | |||||||
StubHub Holdco Sub LLC, Senior Secured First Lien, 10.08% (1 mo. SOFR US + 4.75%), 03/12/2030 (Callable 05/01/2024) | 40,000 | 40,108 | |||||||
156,570 | |||||||||
Consumer Discretionary - 1.4% | |||||||||
1011778 BC ULC, Senior Secured First Lien, 7.58% (1 mo. SOFR US + 2.25%), 09/23/2030 (Callable 05/01/2024) | 440,188 | 440,462 | |||||||
AAdvantage Loyalty IP Ltd., Senior Secured First Lien | |||||||||
10.33% (3 mo. SOFR US + 4.75%), 04/20/2028 (Callable 05/01/2024) | 225,250 | 234,307 | |||||||
Allied Universal Holdco LLC, Senior Secured First Lien, 9.18% (1 mo. SOFR US + 3.75%), 05/15/2028 (Callable 05/01/2024) | 94,083 | 94,074 | |||||||
American Airlines, Inc., Senior Secured First Lien, 8.77% (6 mo. SOFR US + 3.50%), 06/04/2029 (Callable 05/01/2024) | 121,718 | 122,251 | |||||||
Caesars Entertainment, Inc., Senior Secured First Lien | |||||||||
8.66% (3 mo. SOFR US + 3.25%), 02/06/2030 (Callable 05/01/2024) | 54,450 | 54,673 | |||||||
8.04% (3 mo. SOFR US + 2.75%), 02/06/2031 (Callable 05/01/2024) | 50,000 | 50,102 | |||||||
Carnival Corp., Senior Secured First Lien, 8.69% (1 mo. SOFR US + 3.25%), 10/18/2028 (Callable 05/01/2024) | 151,266 | 151,660 | |||||||
CHG Healthcare Services, Inc., Senior Secured First Lien, 8.69% (1 mo. SOFR US + 3.25%), 09/29/2028 (Callable 05/01/2024) | 64,340 | 64,468 | |||||||
ClubCorp Holdings, Inc., Senior Secured First Lien | |||||||||
10.61% (3 mo. SOFR US + 5.00%), 09/18/2026 | 28,569 | 28,661 | |||||||
10.61% (3 mo. SOFR US + 5.00%), 09/18/2026 | 1,029 | 1,033 | |||||||
EAB Global, Inc., Senior Secured First Lien, 8.94% (1 mo. SOFR US + 3.50%), 08/16/2028 (Callable 05/01/2024) | 77,535 | 77,671 | |||||||
Fertitta Entertainment LLC, Senior Secured First Lien, 9.08% (1 mo. SOFR US + 3.75%), 01/29/2029 (Callable 03/18/2024) | 132,734 | 133,205 | |||||||
Garda World Security Corp., Senior Secured First Lien, 9.58% (3 mo. SOFR US + 4.25%), 02/01/2029 (Callable 05/01/2024) | 75,000 | 75,235 | |||||||
Great Outdoors Group LLC, Senior Secured First Lien, 9.19% (1 mo. SOFR US + 3.75%), 03/05/2028 (Callable 05/01/2024) | 99,963 | 100,143 | |||||||
Hunter Douglas, Inc., Senior Secured First Lien | |||||||||
8.82% (3 mo. SOFR US + 3.50%), 02/26/2029 (Callable 05/01/2024) | 45,479 | 45,035 | |||||||
8.82% (3 mo. SOFR US + 3.50%), 02/26/2029 (Callable 05/01/2024) | 16,699 | 16,536 | |||||||
Mavis Tire Express Services Topco Corp., Senior Secured First Lien, 9.08% (1 mo. SOFR US + 3.75%), 05/04/2028 (Callable 05/01/2024) | 61,701 | 61,876 | |||||||
Mileage Plus Holdings LLC, Senior Secured First Lien, 10.73% (3 mo. SOFR US + 5.25%), 06/21/2027 (Callable 05/01/2024) | 124,944 | 128,820 | |||||||
MIWD Holdco II LLC, 8.83% (1 mo. Term SOFR + 3.50%), 03/28/2031 (Callable 05/01/2024) | 20,000 | 20,119 | |||||||
Motion Finco Sarl First Lien, 9.11% (1 mo. Term SOFR + 3.50%), 11/30/2029 (Callable 05/01/2024) | 85,000 | 84,968 | |||||||
Ontario Gaming GTA LP, Senior Secured First Lien, 9.56% (3 mo. SOFR US + 4.25%), 08/01/2030 (Callable 05/01/2024) | 34,913 | 35,075 | |||||||
PetSmart LLC, Senior Secured First Lien, 9.18% (1 mo. SOFR US + 3.75%), 02/12/2028 (Callable 05/01/2024) | 73,125 | 73,049 | |||||||
Scientific Games Holdings LP, Senior Secured First Lien, 8.08% (3 mo. SOFR US + 2.75%), 04/04/2029 (Callable 05/01/2024) | 46,491 | 46,536 | |||||||
SRS Distribution, Inc., Senior Secured First Lien, 8.94% (1 mo. SOFR US + 3.50%), 06/05/2028 (Callable 05/01/2024) | 132,304 | 133,368 | |||||||
Station Casinos LLC First Lien, 7.82% (1 mo. Term SOFR + 2.25%), 03/14/2031 (Callable 05/01/2024) | 35,000 | 34,996 | |||||||
SWF Holdings I Corp., Senior Secured First Lien, 9.44% (1 mo. SOFR US + 4.00%), 10/06/2028 (Callable 05/01/2024) | 54,346 | 50,157 | |||||||
United Airlines, Inc., Senior Secured First Lien | |||||||||
8.08% (3 mo. SOFR US + 2.75%), 02/24/2031 (Callable 05/01/2024) | 310,000 | 310,871 | |||||||
Wand NewCo 3, Inc., Senior Secured First Lien, 9.08% (1 mo. SOFR US + 3.75%), 01/30/2031 (Callable 05/01/2024) | 60,000 | 60,239 | |||||||
WestJet Loyalty LP, Senior Secured First Lien, 9.07% (3 mo. SOFR US + 3.75%), 02/14/2031 (Callable 05/01/2024) | 70,000 | 70,088 | |||||||
2,799,678 | |||||||||
Consumer Staples - 0.0%(i) | |||||||||
Kronos Acquisition Holdings, Inc., Senior Secured First Lien | |||||||||
9.36% (3 mo. SOFR US + 3.75%), 12/22/2026 (Callable 05/01/2024) | 23,098 | 23,154 | |||||||
9.36% (3 mo. SOFR US + 3.75%), 12/22/2026 (Callable 05/01/2024) | 9,847 | 9,871 | |||||||
33,025 | |||||||||
Energy - 0.0%(i) | |||||||||
Buckeye Partners LP, Senior Secured First Lien, 7.33% (1 mo. SOFR US + 2.00%), 11/02/2026 (Callable 05/01/2024) | 15,000 | 15,045 | |||||||
EG America LLC, Senior Secured First Lien, 11.67% (CME Term SOFR 1 Month + 5.50%), 02/07/2028 (Callable 05/01/2024) | 29,925 | 29,850 | |||||||
44,895 | |||||||||
Financials - 0.3% | |||||||||
Acrisure LLC, Senior Secured First Lien | |||||||||
8.94% (CME Term SOFR 1 Month + 3.50%), 02/15/2027 (Callable 05/01/2024) | 34,729 | 34,750 | |||||||
9.69% (CME Term SOFR 1 Month + 4.25%), 02/15/2027 (Callable 05/01/2024) | 97,750 | 98,178 | |||||||
Alliant Holdings Intermediate LLC, Senior Secured First Lien, 8.83% (1 mo. SOFR US + 3.50%), 11/06/2030 (Callable 05/01/2024) | 99,500 | 100,019 | |||||||
Allspring Buyer LLC, Senior Secured First Lien, 8.89% (3 mo. SOFR US + 3.25%), 11/01/2028 (Callable 05/01/2024) | 99,976 | 100,031 | |||||||
Astra Acquisition Corp., Senior Secured First Lien, 10.86% (3 mo. SOFR US + 5.25%), 10/25/2028 (Callable 05/01/2024) | 91,939 | 38,959 | |||||||
Asurion LLC First Lien, 9.68% (1 mo. Term SOFR + 4.25%), 08/19/2028 (Callable 05/01/2024) | 44,887 | 43,428 | |||||||
OneDigital Borrower LLC, Senior Secured First Lien, 9.68% (1 mo. SOFR US + 4.25%), 11/16/2027 | 153,723 | 153,916 | |||||||
Wec US Holdings Ltd., Senior Secured First Lien, 8.08% (1 mo. SOFR US + 2.75%), 01/27/2031 (Callable 05/01/2024) | 110,000 | 110,000 | |||||||
679,281 | |||||||||
Health Care - 0.4% | |||||||||
ADMI Corp., Senior Secured First Lien, 9.19% (1 mo. SOFR US + 3.75%), 12/23/2027 | 34,746 | 33,638 | |||||||
Aveanna Healthcare LLC, Senior Secured First Lien, 9.19% (3 mo. SOFR US + 3.75%), 07/17/2028 (Callable 05/01/2024) | 118,531 | 114,276 | |||||||
Bausch + Lomb Corp., Senior Secured First Lien, 8.68% (1 mo. SOFR US + 3.25%), 05/10/2027 (Callable 05/01/2024) | 132,250 | 131,027 | |||||||
Gainwell Acquisition Corp., Senior Secured First Lien, 9.41% (3 mo. SOFR US + 4.00%), 10/01/2027 (Callable 05/01/2024) | 155,864 | 149,376 | |||||||
Grifols Worldwide Operations USA, Inc., Senior Secured First Lien, 7.46% (3 mo. SOFR US + 2.00%), 11/15/2027 (Callable 05/01/2024) | 22,186 | 21,530 | |||||||
LifePoint Health, Inc., Senior Secured First Lien, 11.09% (3 mo. SOFR US + 5.50%), 11/16/2028 (Callable 04/10/2024) | 129,675 | 130,173 | |||||||
Organon & Co., Senior Secured First Lien, 8.43% (1 mo. SOFR US + 3.00%), 06/02/2028 (Callable 05/01/2024) | 24,768 | 24,887 | |||||||
Pacific Dental Services T/L B (02/24), 8.58%, 03/07/2031 | 80,000 | 80,116 | |||||||
Radiology Partners T/L - TARGET, Senior Secured First Lien | |||||||||
9.09% (3 mo. SOFR US + 3.50%), 01/31/2029 | 16,918 | 16,386 | |||||||
9.09% (3 mo. SOFR US + 3.50%), 01/31/2029 | 174 | 169 | |||||||
701,578 | |||||||||
Industrials - 0.3% | |||||||||
Air Canada, Senior Secured First Lien, 7.83% (3 mo. SOFR US + 2.50%), 03/21/2031 (Callable 05/01/2024) | 40,000 | 40,125 | |||||||
Artera Services LLC, Senior Secured First Lien, 9.81% (3 mo. SOFR US + 4.50%), 02/10/2031 (Callable 05/01/2024) | 35,000 | 35,175 | |||||||
Brand Industrial Services, Inc., Senior Secured First Lien, 10.81% (3 mo. SOFR US + 5.50%), 08/01/2030 (Callable 05/01/2024) | 29,925 | 30,090 | |||||||
Dynasty Acquisition Co., Inc., 8.83% (1 mo. Term SOFR + 3.50%), 08/24/2028 (Callable 05/01/2024) | 75,420 | 75,616 | |||||||
Kenan Advantage Group, Inc., Senior Secured First Lien, 9.08% (1 mo. SOFR US + 3.75%), 01/25/2029 (Callable 05/01/2024) | 75,000 | 75,164 | |||||||
Mirion Technologies US, Inc., Senior Secured First Lien, 8.36% (3 mo. SOFR US + 2.75%), 10/20/2028 (Callable 05/01/2024) | 62,767 | 63,003 | |||||||
Restaurant Technologies, Inc., Senior Secured First Lien | |||||||||
9.57% (1 mo. SOFR US + 4.25%), 04/02/2029 (Callable 05/01/2024) | 2,380 | 2,363 | |||||||
9.60% (3 mo. SOFR US + 4.25%), 04/02/2029 (Callable 05/01/2024) | 25,227 | 25,046 | |||||||
9.60% (3 mo. SOFR US + 4.25%), 04/02/2029 (Callable 05/01/2024) | 2,380 | 2,363 | |||||||
Standard Aero Ltd., Senior Secured First Lien, 8.82% (1 mo. SOFR US + 3.50%), 08/24/2028 (Callable 05/01/2024) | 29,080 | 29,155 | |||||||
Titan Acquisition Ltd., Senior Secured First Lien, 8.44% (1 mo. SOFR US + 3.00%), 03/28/2025 (Callable 05/01/2024) | 38,119 | 38,135 | |||||||
Titan Acquisition Ltd., 10.59% (1 mo. Term SOFR + 5.00%), 02/01/2029 (Callable 05/01/2024) | 90,000 | 90,347 | |||||||
TK Elevator US Newco, Inc., 8.32% (1 mo. Term SOFR + 3.50%), 04/15/2030 (Callable 05/01/2024) | 139,650 | 140,281 | |||||||
Vestis Corp., Senior Secured First Lien, 7.58% (3 mo. SOFR US + 2.25%), 02/24/2031 (Callable 05/01/2024) | 35,000 | 35,044 | |||||||
WestJet Airlines Ltd., Senior Secured First Lien, 8.43% (1 mo. SOFR US + 3.00%), 12/11/2026 (Callable 05/01/2024) | 4,167 | 4,171 | |||||||
686,078 | |||||||||
Information Technology - 0.2% | |||||||||
Cornerstone OnDemand, Inc., Senior Secured First Lien, 9.19% (1 mo. SOFR US + 3.75%), 10/16/2028 (Callable 05/01/2024) | 38,682 | 38,021 | |||||||
McAfee Corp., Senior Secured First Lien, 9.18% (1 mo. SOFR US + 3.75%), 03/01/2029 (Callable 05/01/2024) | 39,078 | 39,097 | |||||||
Proofpoint, Inc., Senior Secured First Lien, 8.69% (1 mo. SOFR US + 3.25%), 08/31/2028 (Callable 05/01/2024) | 120,443 | 120,640 | |||||||
RealPage, Inc., Senior Secured First Lien, 8.44% (1 mo. SOFR US + 3.00%), 04/24/2028 (Callable 05/01/2024) | 64,834 | 63,163 | |||||||
UKG, Inc., Senior Secured First Lien, 8.81% (3 mo. SOFR US + 3.50%), 02/10/2031 (Callable 05/01/2024) | 65,000 | 65,416 | |||||||
326,337 | |||||||||
Materials - 0.5% | |||||||||
Berry Global, Inc., Senior Secured First Lien, 7.18% (1 mo. SOFR US + 1.75%), 07/02/2029 (Callable 04/10/2024) | 394,339 | 394,623 | |||||||
Charter Next Generation, Inc., Senior Secured First Lien, 8.83% (1 mo. SOFR US + 3.50%), 12/01/2027 (Callable 05/01/2024) | 30,000 | 30,089 | |||||||
Clydesdale Acquisition Holdings, Inc., Senior Secured First Lien, 9.11% (1 mo. SOFR US + 3.68%), 04/13/2029 (Callable 05/01/2024) | 34,911 | 34,998 | |||||||
Hexion Holdings Corp., Senior Secured First Lien, 9.98% (3 mo. SOFR US + 4.50%), 03/15/2029 (Callable 05/01/2024) | 29,924 | 29,507 | |||||||
INEOS US Finance LLC, Senior Secured First Lien, 9.08% (1 mo. SOFR US + 3.75%), 01/31/2031 (Callable 05/01/2024) | 155,000 | 155,388 | |||||||
INEOS US Petrochem LLC, 9.68% (1 mo. Term SOFR + 4.25%), 03/29/2029 (Callable 05/01/2024) | 65,000 | 64,960 | |||||||
Lummus Technology Holdings V LLC, Senior Secured First Lien, 8.94% (1 mo. SOFR US + 3.50%), 12/31/2029 (Callable 05/01/2024) | 123,717 | 124,014 | |||||||
Olympus Water US Holding Corp., Senior Secured First Lien, 9.32% (3 mo. SOFR US + 3.75%), 11/09/2028 (Callable 05/01/2024) | 60,682 | 60,792 | |||||||
Pretium PKG Holdings, Inc., Senior Secured First Lien | |||||||||
7.81% (.00% PIK) (3 mo. SOFR US + 2.50%), 10/02/2028 | 22,216 | 22,563 | |||||||
7.81% (.00% PIK) (3 mo. SOFR US + 2.50%), 10/02/2028 | 189 | 191 | |||||||
8.50% (.00% PIK) (3 mo. SOFR US + 3.20%), 10/02/2028 | 35,940 | 32,301 | |||||||
8.50% (.00% PIK) (3 mo. SOFR US + 3.20%), 10/02/2028 | 394 | 354 | |||||||
TricorBraun Holdings, Inc., Senior Secured First Lien, 8.69% (1 mo. SOFR US + 3.25%), 03/03/2028 (Callable 05/01/2024) | 43,340 | 42,909 | |||||||
992,689 | |||||||||
Technology - 0.5% | |||||||||
Access CIG LLC, Senior Secured First Lien, 10.33% (1 mo. SOFR US + 5.00%), 08/18/2028 (Callable 05/01/2024) | 124,662 | 124,954 | |||||||
Acuris Finance US, Inc., Senior Secured First Lien, 9.50% (3 mo. SOFR US + 4.00%), 02/16/2028 (Callable 05/01/2024) | 65,000 | 65,010 | |||||||
Applied Systems, Inc., Senior Secured First Lien, 8.81% (3 mo. SOFR US + 3.50%), 02/24/2031 (Callable 05/01/2024) | 80,000 | 80,572 | |||||||
Applied Systems, Inc., Senior Secured Second Lien, 10.56% (3 mo. SOFR US + 5.25%), 02/23/2032 (Callable 05/01/2024) | 10,000 | 10,372 | |||||||
Ascend Learning LLC, Senior Secured First Lien | |||||||||
8.93% (1 mo. SOFR US + 3.50%), 12/10/2028 (Callable 05/01/2024) | 63,531 | 63,261 | |||||||
8.93% (1 mo. SOFR US + 3.50%), 12/10/2028 (Callable 05/01/2024) | 61,535 | 61,273 | |||||||
AthenaHealth Group, Inc., Senior Secured First Lien, 8.58% (1 mo. SOFR US + 3.25%), 02/15/2029 (Callable 05/01/2024) | 66,121 | 65,662 | |||||||
Boxer Parent Co., Inc., Senior Secured First Lien, 9.58% (1 mo. SOFR US + 4.25%), 12/29/2028 (Callable 05/01/2024) | 124,688 | 125,636 | |||||||
Camelot US Acquisition LLC, Senior Secured First Lien | |||||||||
8.08% (1 mo. SOFR US + 2.75%), 01/31/2031 (Callable 05/01/2024) | 31,926 | 31,950 | |||||||
8.08% (1 mo. SOFR US + 2.75%), 01/31/2031 (Callable 05/01/2024) | 7,442 | 7,447 | |||||||
8.08% (1 mo. SOFR US + 2.75%), 01/31/2031 (Callable 05/01/2024) | 633 | 633 | |||||||
Central Parent, Inc., Senior Secured First Lien, 9.31% (3 mo. SOFR US + 4.00%), 07/06/2029 (Callable 05/01/2024) | 35,000 | 35,144 | |||||||
Cotiviti, Inc., 8.32% (1 mo. Term SOFR + 3.25%), 02/24/2031 (Callable 05/01/2024) | 100,000 | 99,875 | |||||||
Dcert Buyer, Inc., Senior Secured First Lien, 9.33% (1 mo. SOFR US + 4.00%), 10/16/2026 (Callable 05/01/2024) | 62,836 | 62,620 | |||||||
Genesys Cloud Services Holdings II T/L B, 0.00%, 12/01/2027 | 30,925 | 30,620 | |||||||
Verscend Holding Corp., Senior Secured First Lien, 9.44% (1 mo. SOFR US + 4.00%), 08/27/2025 | 72,931 | 73,022 | |||||||
938,051 | |||||||||
Utilities - 0.0%(i) | |||||||||
Vistra Zero Operating Co. LLC, 8.07% (1 mo. Term SOFR + 2.75%), 03/26/2031 (Callable 05/01/2024) | 15,000 | 15,019 | |||||||
TOTAL BANK LOANS (Cost $7,431,645) | 7,423,899 | ||||||||
MORTGAGE-BACKED SECURITIES - 2.9% | Par | Value | |||||||
Benchmark Mortgage Trust | |||||||||
Series 2021-B25, Class XA, 1.09%, 04/15/2054 (Callable 02/15/2031)(f)(g) | 2,211,470 | 114,530 | |||||||
Series 2023-V2, Class XA, 0.99%, 05/15/2055 (Callable 03/15/2028)(f)(g) | 1,800,360 | 64,515 | |||||||
BX Trust, Series 2024-CNYN, Class C, 7.24% (1 mo. Term SOFR + 1.94%), 04/15/2029 (a) | 300,000 | 299,625 | |||||||
Federal Home Loan Mortgage Corp. | |||||||||
Pool RA9060, 5.50%, 05/01/2053 | 414,806 | 416,013 | |||||||
Pool SD4705, 5.50%, 12/01/2053 | 236,493 | 236,219 | |||||||
Pool U69911, 4.00%, 04/01/2045 | 4,008,488 | 3,815,445 | |||||||
Series 2021-P011, Class X1, 1.78%, 09/25/2045 (f)(g) | 521,024 | 60,458 | |||||||
Series K122, Class X1, 0.88%, 11/25/2030 (Callable 08/25/2030)(f)(g) | 1,841,697 | 82,819 | |||||||
Series KG04, Class X1, 0.85%, 11/25/2030 (Callable 08/25/2030)(f)(g) | 1,892,915 | 81,538 | |||||||
Federal National Mortgage Association | |||||||||
Pool CB7978, 5.50%, 02/01/2054 | 62,614 | 62,854 | |||||||
Pool MA5039, 5.50%, 06/01/2053 | 4,212 | 4,194 | |||||||
Government National Mortgage Association | |||||||||
Series 2022-192, Class IO, 0.00%, 09/16/2064 (Callable 08/16/2047)(f)(g) | 3,497,343 | 212,026 | |||||||
Series 2024-15, Class BI, 0.00%, 10/16/2065 (Callable 02/16/2048)(f)(g) | 3,497,361 | 212,028 | |||||||
Series 2024-35, Class IB, 0.00%, 07/16/2065 (Callable 12/16/2047)(f)(g) | 3,170,387 | 212,020 | |||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $5,861,344) | 5,874,284 | ||||||||
OPEN-END FUNDS - 2.8% | Shares | Value | |||||||
Voya VACS Series EMCD Fund | 104,323 | 895,094 | |||||||
Voya VACS Series EMHCD Fund | 159,165 | 1,676,008 | |||||||
Voya VACS Series HYB Fund | 300,760 | 3,079,781 | |||||||
TOTAL OPEN-END FUNDS (Cost $6,269,368) | 5,650,883 | ||||||||
CONVERTIBLE BONDS - 1.1% | Par | Value | |||||||
Communications - 0.3% | |||||||||
Liberty Broadband Corp., 3.13%, 03/31/2053 (Callable 04/06/2026)(a) | 380,000 | 359,158 | |||||||
Liberty Media Corp., 2.38%, 09/30/2053 (Callable 09/30/2028)(a) | 100,000 | 117,156 | |||||||
Uber Technologies Inc, 0.88%, 12/01/2028 (a) | 162,000 | 200,627 | |||||||
676,941 | |||||||||
Consumer Cyclical - 0.5% | |||||||||
Air Canada CVRT, 4.00%, 07/01/2025 (b) | 100,000 | 110,052 | |||||||
American Airlines Group, Inc., 6.50%, 07/01/2025 | 225,000 | 261,254 | |||||||
Burlington Stores, Inc., 1.25%, 12/15/2027 (a) | 160,000 | 203,350 | |||||||
Marriott Vacations Worldwide Corp., 3.25%, 12/15/2027 | 165,000 | 154,213 | |||||||
Southwest Airlines Co., 1.25%, 05/01/2025 | 180,000 | 181,028 | |||||||
909,897 | |||||||||
Financials - 0.1% | |||||||||
DBS Group Holdings Ltd., 1.82% to 03/10/2026 then 5 yr. CMT Rate + 1.10%, 03/10/2031 (Callable 03/10/2026) | 200,000 | 186,316 | |||||||
Utilities - 0.2% | |||||||||
American Water Capital Corp., 3.63%, 06/15/2026 (a) | 190,000 | 185,852 | |||||||
CenterPoint Energy, Inc., 4.25%, 08/15/2026 (a) | 210,000 | 208,251 | |||||||
394,103 | |||||||||
TOTAL CONVERTIBLE BONDS (Cost $2,181,446) | 2,167,257 | ||||||||
MUNICIPAL BONDS - 1.0% | Par | Value | |||||||
Board of Regents of the University of Texas System, 2.44%, 08/15/2049 (Callable 02/15/2049) | 255,000 | 165,090 | |||||||
Bowling Green City School District, 4.13%, 10/01/2053 (Callable 10/01/2032) | 30,000 | 29,039 | |||||||
Chicago Park District, 4.00%, 01/01/2038 (Callable 01/01/2030) | 15,000 | 15,040 | |||||||
City of Jersey Village TX, 4.00%, 03/15/2049 (Callable 03/15/2034) | 10,000 | 9,513 | |||||||
City of Norfolk VA, 1.80%, 10/01/2031 (Callable 10/01/2030) | 90,000 | 73,550 | |||||||
City of San Antonio TX Electric & Gas Systems Revenue, 5.72%, 02/01/2041 | 50,000 | 52,027 | |||||||
City of Wilson NC | |||||||||
4.00%, 10/01/2040 (Callable 10/01/2033) | 15,000 | 15,236 | |||||||
4.00%, 10/01/2044 (Callable 10/01/2033) | 15,000 | 14,824 | |||||||
Commonwealth of Massachusetts, 2.90%, 09/01/2049 | 45,000 | 32,438 | |||||||
Dutchess County Local Development Corp., 4.00%, 07/01/2049 (Callable 07/01/2030) (Obligor: Vassar College) | 5,000 | 4,788 | |||||||
Louisiana Local Government Environmental Facilities & Community Development Auth, 5.20%, 12/01/2039 | 155,000 | 156,094 | |||||||
Massachusetts Development Finance Agency, 5.00%, 09/01/2059 (Callable 09/01/2029) (Obligor: Worcester Polytechnic Inst) | 60,000 | 62,448 | |||||||
Massachusetts Educational Financing Authority, 5.95%, 07/01/2044 (Callable 07/01/2033) | 110,000 | 111,180 | |||||||
Massachusetts School Building Authority, 2.95%, 05/15/2043 (Callable 05/15/2030) | 75,000 | 57,763 | |||||||
Massachusetts Water Resources Authority, 3.12%, 08/01/2039 (Callable 08/01/2029) | 155,000 | 122,010 | |||||||
Metropolitan Washington Airports Authority Aviation Revenue, 5.25%, 10/01/2053 (Callable 10/01/2032)(j) | 20,000 | 21,297 | |||||||
New York State Dormitory Authority, 4.00%, 03/15/2047 (Callable 03/15/2034) | 25,000 | 24,361 | |||||||
Rhode Island Health and Educational Building Corp. | |||||||||
5.00%, 05/15/2046 (Callable 05/15/2034) | 25,000 | 27,217 | |||||||
5.00%, 05/15/2049 (Callable 05/15/2034) | 45,000 | 48,557 | |||||||
South Carolina Public Service Authority, 5.74%, 01/01/2030 | 50,000 | 51,026 | |||||||
State Board of Administration Finance Corp., 2.15%, 07/01/2030 | 48,000 | 40,945 | |||||||
State of Texas, 5.24%, 10/01/2043 (Callable 10/01/2033) | 210,000 | 215,454 | |||||||
Temple Independent School District/TX, 4.00%, 02/01/2049 (Callable 02/01/2034) | 25,000 | 24,196 | |||||||
Texas Natural Gas Securitization Finance Corp., 5.17%, 04/01/2041 | 185,000 | 187,568 | |||||||
University of Nebraska Facilities Corp., 3.04%, 10/01/2049 (Obligor: University Of Nebraska) | 110,000 | 81,798 | |||||||
University of Virginia, 2.26%, 09/01/2050 (Callable 03/01/2050) | 405,000 | 249,994 | |||||||
Virginia Commonwealth University Health System Authority, 4.00%, 07/01/2054 (Callable 07/01/2034) (Obligor: Va Comwlth Univ Hlth Obl) | 30,000 | 28,644 | |||||||
TOTAL MUNICIPAL BONDS (Cost $1,934,482) | 1,922,097 | ||||||||
FOREIGN GOVERNMENT AGENCY ISSUES - 0.5% | Par | Value | |||||||
CDP Financial, Inc., 4.20%, 12/02/2030 | CAD | 250,000 | 185,120 | ||||||
Export-Import Bank of India, 3.88%, 02/01/2028 (a) | 200,000 | 190,726 | |||||||
Indian Railway Finance Corp. Ltd., 3.25%, 02/13/2030 (a) | 200,000 | 177,720 | |||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, 4.13%, 05/15/2027 (a) | 250,000 | 240,624 | |||||||
Province of British Columbia Canada, 4.20%, 07/06/2033 | 145,000 | 140,463 | |||||||
Treasury Corp. of Victoria, 4.75%, 09/15/2036 | AUD | 145,000 | 92,725 | ||||||
TOTAL FOREIGN GOVERNMENT AGENCY ISSUES (Cost $1,060,572) | 1,027,378 | ||||||||
CONVERTIBLE PREFERRED STOCKS - 0.2% | Shares | Value | |||||||
Utilities - 0.2% | |||||||||
NextEra Energy, Inc., 6.93%, 09/01/2025(b) | 10,150 | 395,140 | |||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $494,813) | 395,140 | ||||||||
PREFERRED STOCKS - 0.0%(i) | Shares | Value | |||||||
Financials - 0.0%(i) | |||||||||
Affiliated Managers Group, Inc., 6.75%, 03/30/2064 | 3,300 | 84,216 | |||||||
First Horizon Corp., Series F, 0.00%, Perpetual | 783 | 13,092 | |||||||
97,308 | |||||||||
TOTAL PREFERRED STOCKS (Cost $95,583) | 97,308 | ||||||||
PURCHASED OPTIONS - 0.0%(i)(i)(k) | Notional Amount | Contracts | Value | |||||||||
Call Options - 0.0% | $ | – | ||||||||||
USD C Eur P 1.04 Eo ; Morgan Stanley | – | $ | – | |||||||||
Expiration: 05/31/2024; Exercise Price: $1.04 | 2,386,668 | 2,386,668 | 1,585 | |||||||||
Expiration: 06/13/2024; Exercise Price: $1.04 | 50,000 | 50,000 | 1 | |||||||||
USD C Eur P 1.044 Eo; Morgan Stanley, Expiration: 05/31/2024; Exercise Price: $1.04 | 2,386,668 | 2,386,668 | 2,074 | |||||||||
USD C Gbp P @1.250000 Eo; Standard Chartered Securities North America LLC, Expiration: 05/02/2024; Exercise Price: $1.25 | 625,000 | 625,000 | 2,082 | |||||||||
USD C Jpy P 140.0000 Eo; BNP Paribas Securities Corp., Expiration: 09/09/2032; Exercise Price: $140.00 | 1,058,600 | 1,058,600 | 17,939 | |||||||||
USD C Jpy P 165.0000 Ui 165.0000; Goldman Sachs, Expiration: 11/26/2025; Exercise Price: $165.00 | 99,000 | 99,000 | 480 | |||||||||
Total Call Options | 24,161 | |||||||||||
Put Options - 0.0% | $ | – | ||||||||||
Chf P Jpy C 165.0000 Eo; Morgan Stanley, Expiration: 04/05/2024; Exercise Price: $165.00 | 673,061 | 607,000 | 349 | |||||||||
Eur P Brl C 5.40 Do 5.16; Bank of America Securities, Inc., Expiration: 06/12/2024; Exercise Price: $5.40 | 650,549 | 603,000 | 2,939 | |||||||||
USD P Jpy C 107.5 Eo; BNP Paribas Securities Corp., Expiration: 02/27/2025; Exercise Price: $107.50 | 437,000 | 437,000 | 211 | |||||||||
Total Put Options | 3,499 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost $78,548) | 27,660 | |||||||||||
TOTAL INVESTMENTS - 95.8% (Cost $204,009,303) | $ | 191,251,727 | ||||||||||
Money Market Deposit Account - 4.1%(l) | 8,180,865 | |||||||||||
Other Assets in Excess of Liabilities - 0.1% | 240,924 | |||||||||||
TOTAL NET ASSETS - 100.0% | $ | 199,673,516 | ||||||||||
Percentages are stated as a percent of net assets. | ||||||||||||
Par amount is in USD unless otherwise indicated. |
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI, Inc. and S&P and has been licensed for use by U.S. Bank Global Fund Services. |
ASA - Advanced Subscription Agreement |
CMT - Constant Maturity Treasury Rate |
LIBOR - London Interbank Offered Rate |
NV - Naamloze Vennootschap |
PIK - Payment in Kind |
PLC - Public Limited Company |
SA - Sociedad Anónima |
SAA - Sociedad Anomina Abierta |
SAB de CV - Sociedad Anónima Bursátil de Capital Variable |
SOFR - Secured Overnight Financing Rate |
AUD - Australian Dollar |
BRL - Brazilian Real |
CAD - Canadian Dollar |
CNY - Chinese Yuan Renminbi |
EUR - Euro |
GBP - British Pound |
IDR - Indonesian Rupiah |
INR - Indian Rupee |
KRW - South Korean Won |
MXN - Mexican Peso |
MYR - Malaysian Ringgit |
NOK - Norwegian Krone |
NZD - New Zealand Dollar |
PHP - Philippine Peso |
SGD - Singapore Dollar |
ZAR - South African Rand |
(a) | Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of March 31, 2024, the value of these securities total $76,316,230 or 38.2% of the Fund’s net assets. |
(b) | All or a portion of this security is on loan as of March 31, 2024. The total market value of these securities was $1,420,702 which represented 0.7% of net assets. |
(c) | Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date. |
(d) | Zero coupon bonds make no periodic interest payments but are issued at a discount from par value. |
(e) | Step coupon bond. The rate disclosed is as of March 31, 2024. |
(f) | Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of March 31, 2024. |
(g) | Interest only security. |
(h) | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor. |
(i) | Represents less than 0.05% of net assets. |
(j) | Security subject to the Alternative Minimum Tax ("AMT"). As of March 31, 2024, the total value of securities subject to the AMT was $21,297 or 0.0% of net assets. |
(k) | 100 shares per contract. |
(l) | The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of March 31, 2024 was 0.00%. |
Wilshire Income Opportunities Fund | ||||||||||||
Schedule of Options Written | ||||||||||||
as of March 31, 2024 (Unaudited) | ||||||||||||
OPTIONS WRITTEN - 0.0% (a)(b) | Notional Amount | Contracts | Value | |||||||||
Call Options - 0.0% (a) | ||||||||||||
Eur C Brl P 5.75 Eo, ; Bank of America Securities, Inc.Expiration: 09/12/2024; Exercise Price: $5.75 | $ | (654,864 | ) | (607,000 | ) | $ | (8,979 | ) | ||||
USD C Eur P 1.0877 Eo, ; Morgan StanleyExpiration: 05/31/2024; Exercise Price: $1.09 | (298,333 | ) | (298,333 | ) | (3,449 | ) | ||||||
USD C Gbp P @1.230000 Eo, ; Standard Chartered Securities North America LLCExpiration: 05/02/2024; Exercise Price: $1.23 | (625,000 | ) | (625,000 | ) | (534 | ) | ||||||
USD C Jpy P 140.0000 Eo, ; BNP Paribas Securities Corp.Expiration: 09/09/2027; Exercise Price: $140.00 | (1,058,600 | ) | (1,058,600 | ) | (32,358 | ) | ||||||
10Y RTR 2.2 25-APR-2024, ; Expiration: 04/25/2024; Exercise Price: $2.20 | 1,282,000 | 1,282,000 | 0 | |||||||||
10Y RTR 2.2 25-APR-2025, ; Expiration: 04/25/2024; Exercise Price: $2.20 | 3,845,000 | 3,845,000 | 0 | |||||||||
10Y RTR 2.2075% 09-MAY-2024, ; Expiration: 05/09/2024; Exercise Price: $2.21 | 1,282,000 | 1,282,000 | 1 | |||||||||
30Y RTR 3.675000 26-APR-2024, ; Expiration: 04/26/2024; Exercise Price: $3.68 | (751,000 | ) | (751,000 | ) | (7,179 | ) | ||||||
FVA 5Y5Y30Y FWD PREM 1750, ; Expiration: 06/14/2027; Exercise Price: $– | 775,000 | 775,000 | 10,021 | |||||||||
FWDP 10Y RTR 2.500000 20-FEB-2026, ; Expiration: 02/20/2026; Exercise Price: $2.50 | 1,009,000 | 1,009,000 | 47,153 | |||||||||
FWDP 10Y RTR 3.800000 20-FEB-2026, ; Expiration: 02/20/2026; Exercise Price: $3.80 | (1,009,000 | ) | (1,009,000 | ) | (36,361 | ) | ||||||
Total Call Options | (31,685 | ) | ||||||||||
Put Options - 0.0% (a) | ||||||||||||
Chf P Jpy C 160.0000 Eo, ; Morgan Stanley; Expiration: 04/05/2024; Exercise Price: $160.00 | (673,061 | ) | (607,000 | ) | (23 | ) | ||||||
Eur P Brl C 5.25 Eo, ; Bank of America Securities, Inc.; Expiration: 09/12/2024; Exercise Price: $5.25 | (654,864 | ) | (607,000 | ) | (4,623 | ) | ||||||
10Y RTP 4.05 09-MAY-2024, ; Expiration: 05/09/2024; Exercise Price: $4.05 | (1,282,000 | ) | (1,282,000 | ) | (4,281 | ) | ||||||
10Y RTP 4.05 25-APR-2024 ; | 0 | 0 | – | |||||||||
Expiration: 04/25/2024; Exercise Price: $4.05 | (1,282,000 | ) | (1,282,000 | ) | (2,632 | ) | ||||||
Expiration: 04/25/2024; Exercise Price: $4.05 | (3,845,000 | ) | (3,845,000 | ) | (7,894 | ) | ||||||
30Y RTP 3.675000 26-APR-2024, ; Expiration: 04/26/2024; Exercise Price: $3.68 | (751,000 | ) | (751,000 | ) | (16,671 | ) | ||||||
FVA 5Y5Y30Y FWD PREMIUM 1800, ; Expiration: 05/25/2027; Exercise Price: $– | 2,436,500 | 2,436,500 | 22,284 | |||||||||
FWDP 10Y RTP 2.500000 20-FEB-2026, ; Expiration: 02/20/2026; Exercise Price: $2.50 | 1,009,000 | 1,009,000 | 37,865 | |||||||||
FWDP 10Y RTP 3.800000 20-FEB-2026, ; Expiration: 02/20/2026; Exercise Price: $3.80 | (1,009,000 | ) | (1,009,000 | ) | (47,481 | ) | ||||||
Total Put Options | (23,456 | ) | ||||||||||
TOTAL OPTIONS WRITTEN (Premiums received $78,896) | (55,141 | ) | ||||||||||
Percentages are stated as a percent of net assets. |
(a) | Represents less than 0.05% of net assets. |
(b) | 100 shares per contract. |
WILSHIRE INCOME OPPORTUNITIES FUND | ||||||||||||||||||||||
SCHEDULE OF INTEREST RATE SWAPTIONS | ||||||||||||||||||||||
March 31, 2024 (Unaudited) | ||||||||||||||||||||||
Upfront | ||||||||||||||||||||||
Premium | Unrealized | |||||||||||||||||||||
Exercise | Expiration | Notional | Received | Appreciation | ||||||||||||||||||
Counterparty | Description | Rate | Date | Amount | Value | (Paid) | (Depreciation) | |||||||||||||||
Calls Purchased | ||||||||||||||||||||||
Bank of America | 10-Year Interest Rate Swap, SOFR, Pay Floating Rate | 2.200% | 04/25/2024 | $ | 1,282,000 | $ | - | $ | (14,871 | ) | $ | (14,871 | ) | |||||||||
Bank of America | 10-Year Interest Rate Swap, SOFR, Pay Floating Rate | 2.200% | 04/25/2024 | 3,845,000 | $ | - | (43,833 | ) | (43,833 | ) | ||||||||||||
Barclays Capital, Inc. | 30-Year Interest Rate Swap, SOFR, Pay Floating Rate | 0.000% | 05/25/2027 | 2,436,500 | $ | 22,284 | - | 22,284 | ||||||||||||||
Barclays Capital, Inc. | 30-Year Interest Rate Swap, SOFR, Pay Floating Rate | 0.000% | 06/14/2027 | 775,000 | $ | 10,021 | - | 10,021 | ||||||||||||||
JPMChase | 10-Year Interest Rate Swap, SOFR, Pay Floating Rate | 2.208% | 05/09/2024 | 1,282,000 | $ | 2 | (14,102 | ) | (14,100 | ) | ||||||||||||
Goldman Sachs | 10-Year Interest Rate Swap, SOFR, Pay Floating Rate | 2.500% | 02/20/2026 | 1,009,000 | $ | 47,153 | - | 47,153 | ||||||||||||||
Calls Written | ||||||||||||||||||||||
Bank of America | 10-Year Interest Rate Swap, SOFR, Receive Floating Rate | 3.800% | 02/20/2026 | 1,009,000 | $ | (36,361 | ) | - | (36,361 | ) | ||||||||||||
Morgan Stanley Capital | 1-Year Interest Rate Swap, SOFR, Receive Floating Rate | 3.675% | 04/26/2024 | 751,000 | $ | (7,179 | ) | 12,046 | 4,867 | |||||||||||||
Puts Purchased | ||||||||||||||||||||||
Goldman Sachs | 10-Year Interest Rate Swap, SOFR, Receive Floating Rate | 2.500% | 02/20/2026 | 1,009,000 | $ | 37,865 | - | 37,865 | ||||||||||||||
Puts Written | ||||||||||||||||||||||
Bank of America | 10-Year Interest Rate Swap, SOFR, Pay Floating Rate | 3.800% | 02/20/2026 | 1,009,000 | $ | (47,482 | ) | - | (47,482 | ) | ||||||||||||
Bank of America | 10-Year Interest Rate Swap, SOFR, Pay Floating Rate | 4.050% | 04/25/2024 | 3,845,000 | $ | (7,894 | ) | 42,680 | 34,786 | |||||||||||||
Bank of America | 10-Year Interest Rate Swap, SOFR, Pay Floating Rate | 4.050% | 04/25/2024 | 1,282,000 | $ | (2,632 | ) | 14,871 | 12,239 | |||||||||||||
JPMChase | 10-Year Interest Rate Swap, SOFR, Pay Floating Rate | 4.050% | 05/09/2024 | 1,282,000 | $ | (4,281 | ) | 14,102 | 9,821 | |||||||||||||
Morgan Stanley Capital | 30 Year Interest Rate Swap, SOFR, Pay Floating Rate | 3.675% | 04/26/2024 | 751,000 | $ | (16,671 | ) | 12,046 | (4,625 | ) | ||||||||||||
Total Interest Rate Swaptions | $ | (5,175 | ) | $ | 22,939 | $ | 17,764 | |||||||||||||||
SOFR - Secured Overnight Financing Rate. |
Wilshire Income Opportunities Fund | |||||||||||||
Schedule of Open Futures Contracts | |||||||||||||
as of March 31, 2024 (Unaudited) | |||||||||||||
Description | Contracts Purchased | Expiration Date | Notional | Value / Unrealized Appreciation (Depreciation) | |||||||||
Euro-Bund | 4 | 06/06/2024 | $ | 575,590 | $ | 5,573 | |||||||
U.S. Treasury 2 Year Notes | 187 | 06/28/2024 | 38,238,579 | (12,817 | ) | ||||||||
U.S. Treasury 5 Year Note | 183 | 06/28/2024 | 19,583,859 | 18,556 | |||||||||
$ | 11,312 | ||||||||||||
– | |||||||||||||
Description | Contracts Sold | Expiration Date | Notional | Value / Unrealized Appreciation (Depreciation) | |||||||||
10 Year U.S. Ultra Treasury Notes | (28) | 06/18/2024 | $ | 3,209,063 | $ | (14,714 | ) | ||||||
Euro-BTP Italian Government Bonds | (7) | 06/06/2024 | 898,760 | (10,927 | ) | ||||||||
U.S. Treasury 10 Year Notes | (36) | 06/18/2024 | 3,988,688 | (10,426 | ) | ||||||||
U.S. Treasury Long Bonds | (23) | 06/18/2024 | 2,770,063 | (42,455 | ) | ||||||||
U.S. Treasury Ultra Bonds | (5) | 06/18/2024 | 645,000 | (6,324 | ) | ||||||||
$ | (84,846 | ) | |||||||||||
Total Unrealized Appreciation (Depreciation) | $ | (73,534 | ) |
Wilshire Income Opportunities Fund | |||||||||||||||
Schedule of Forward Currency Contracts | |||||||||||||||
as of March 31, 2024 (Unaudited) | |||||||||||||||
Settlement Date | Currency Purchased | Currency Sold | Counterparty | Value / Unrealized Appreciation (Depreciation) | |||||||||||
04/12/2024 | AUD | 731,581 | USD | 478,238 | Bank of America Securities, Inc. | $ | (1,301 | ) | |||||||
04/12/2024 | AUD | 1,324,307 | USD | 866,535 | BNP Paribas Securities Corp. | (3,185 | ) | ||||||||
04/12/2024 | AUD | 771,269 | USD | 503,238 | Morgan Stanley | (428 | ) | ||||||||
06/20/2024 | AUD | 368,751 | USD | 242,959 | ANZ SECURITIES INC. | (2,092 | ) | ||||||||
06/20/2024 | AUD | 556,293 | USD | 363,398 | Citibank Global Markets, Inc. | (29 | ) | ||||||||
06/20/2024 | AUD | 737,503 | USD | 486,507 | J.P. Morgan Securities, Inc. | (4,771 | ) | ||||||||
04/12/2024 | CAD | 1,221,244 | USD | 907,283 | Bank of America Securities, Inc. | (5,499 | ) | ||||||||
04/12/2024 | CAD | 903,075 | USD | 671,550 | BNP Paribas Securities Corp. | (4,707 | ) | ||||||||
04/12/2024 | CAD | 974,674 | USD | 721,746 | Goldman Sachs | (2,033 | ) | ||||||||
04/12/2024 | CAD | 302,084 | USD | 223,914 | State Street Bank & Trust Co. | (850 | ) | ||||||||
06/20/2024 | CAD | 560,674 | USD | 413,844 | Canadian Imperial Bank Of Commerce | 582 | |||||||||
06/20/2024 | CAD | 281,131 | USD | 206,922 | Morgan Stanley | 878 | |||||||||
04/12/2024 | CHF | 444,999 | USD | 512,930 | Bank of America Securities, Inc. | (18,683 | ) | ||||||||
04/12/2024 | CHF | 283,240 | USD | 321,817 | BNP Paribas Securities Corp. | (7,231 | ) | ||||||||
04/12/2024 | CHF | 350,210 | USD | 399,737 | Goldman Sachs | (10,769 | ) | ||||||||
04/12/2024 | CHF | 836,107 | USD | 962,661 | Morgan Stanley | (34,020 | ) | ||||||||
04/12/2024 | CHF | 51,826 | USD | 59,203 | Standard Chartered Securities North America LLC | (1,642 | ) | ||||||||
06/20/2024 | EUR | 60,500 | JPY | 9,891,587 | Citibank Global Markets, Inc. | (700 | ) | ||||||||
06/20/2024 | EUR | 301,875 | NOK | 3,495,456 | Citibank Global Markets, Inc. | 4,187 | |||||||||
06/20/2024 | EUR | 905,625 | NOK | 10,531,967 | J.P. Morgan Securities, Inc. | 8,354 | |||||||||
04/12/2024 | EUR | 778,056 | USD | 844,736 | Bank of America Securities, Inc. | (4,833 | ) | ||||||||
04/12/2024 | EUR | 632,589 | USD | 686,116 | BNP Paribas Securities Corp. | (3,244 | ) | ||||||||
04/12/2024 | EUR | 113,103 | USD | 121,902 | Goldman Sachs | 191 | |||||||||
04/12/2024 | EUR | 438,291 | USD | 473,049 | Morgan Stanley | 82 | |||||||||
04/12/2024 | EUR | 100,202 | USD | 108,993 | Standard Chartered Securities North America LLC | (826 | ) | ||||||||
04/12/2024 | EUR | 245,107 | USD | 264,892 | State Street Bank & Trust Co. | (301 | ) | ||||||||
06/20/2024 | EUR | 369,437 | USD | 403,518 | Citibank Global Markets, Inc. | (3,571 | ) | ||||||||
06/20/2024 | EUR | 745,541 | USD | 813,258 | Royal Bank of Canada Investment Management (USA) Ltd. | (6,147 | ) | ||||||||
04/12/2024 | GBP | 414,533 | USD | 522,283 | Bank of America Securities, Inc. | 961 | |||||||||
04/12/2024 | GBP | 745,253 | USD | 941,134 | BNP Paribas Securities Corp. | (438 | ) | ||||||||
04/12/2024 | GBP | 621,438 | USD | 784,321 | Goldman Sachs | 89 | |||||||||
04/12/2024 | GBP | 279,801 | USD | 353,675 | Standard Chartered Securities North America LLC | (496 | ) | ||||||||
06/20/2024 | GBP | 60,509 | USD | 77,241 | Canadian Imperial Bank Of Commerce | (835 | ) | ||||||||
06/20/2024 | GBP | 302,500 | USD | 387,586 | Goldman Sachs | (5,616 | ) | ||||||||
06/20/2024 | GBP | 304,375 | USD | 390,219 | Royal Bank of Canada Investment Management (USA) Ltd. | (5,881 | ) | ||||||||
06/20/2024 | GBP | 319,760 | USD | 407,042 | State Street Bank & Trust Co. | (3,277 | ) | ||||||||
06/20/2024 | GBP | 302,500 | USD | 387,914 | UBS | (5,943 | ) | ||||||||
06/20/2024 | JPY | 9,782,819 | EUR | 60,500 | Morgan Stanley | (28 | ) | ||||||||
04/12/2024 | JPY | 10,269,276 | USD | 68,838 | BMO Capital Markets Corp. | (845 | ) | ||||||||
04/12/2024 | JPY | 34,351,245 | USD | 234,334 | BNP Paribas Securities Corp. | (6,893 | ) | ||||||||
04/12/2024 | JPY | 124,507,496 | USD | 850,411 | Goldman Sachs | (26,045 | ) | ||||||||
04/12/2024 | JPY | 50,994,487 | USD | 341,236 | Morgan Stanley | (3,601 | ) | ||||||||
04/12/2024 | JPY | 29,793,083 | USD | 201,270 | Standard Chartered Securities North America LLC | (4,009 | ) | ||||||||
04/12/2024 | JPY | 23,168,478 | USD | 156,669 | State Street Bank & Trust Co. | (3,270 | ) | ||||||||
06/20/2024 | JPY | 45,418,433 | USD | 304,375 | Canadian Imperial Bank Of Commerce | (427 | ) | ||||||||
06/20/2024 | JPY | 45,358,723 | USD | 304,375 | Goldman Sachs | (826 | ) | ||||||||
06/20/2024 | JPY | 90,170,208 | USD | 608,750 | Morgan Stanley | (5,315 | ) | ||||||||
06/20/2024 | MXN | 2,088,606 | USD | 121,715 | Canadian Imperial Bank Of Commerce | 2,251 | |||||||||
06/20/2024 | MXN | 2,091,030 | USD | 121,715 | Royal Bank of Canada Investment Management (USA) Ltd. | 2,395 | |||||||||
06/20/2024 | MXN | 1,035,760 | USD | 60,500 | State Street Bank & Trust Co. | 976 | |||||||||
06/20/2024 | NOK | 8,896,995 | EUR | 771,307 | Barclays Capital, Inc. | (13,845 | ) | ||||||||
06/20/2024 | NOK | 3,488,135 | EUR | 301,875 | HSBC Bank | (4,863 | ) | ||||||||
06/20/2024 | NOK | 1,394,195 | EUR | 120,641 | J.P. Morgan Securities, Inc. | (1,925 | ) | ||||||||
06/20/2024 | NOK | 5,403,618 | EUR | 469,432 | Morgan Stanley | (9,466 | ) | ||||||||
04/12/2024 | NOK | 6,291,039 | USD | 600,779 | BNP Paribas Securities Corp. | (21,081 | ) | ||||||||
04/12/2024 | NOK | 6,039,308 | USD | 575,487 | Goldman Sachs | (18,985 | ) | ||||||||
04/12/2024 | NOK | 6,634,751 | USD | 626,288 | Morgan Stanley | (14,918 | ) | ||||||||
04/12/2024 | NOK | 5,932,125 | USD | 562,041 | State Street Bank & Trust Co. | (15,416 | ) | ||||||||
04/12/2024 | NZD | 1,325,487 | USD | 809,658 | Bank of America Securities, Inc. | (17,733 | ) | ||||||||
04/12/2024 | NZD | 985,332 | USD | 600,480 | BNP Paribas Securities Corp. | (11,784 | ) | ||||||||
04/12/2024 | NZD | 874,058 | USD | 539,558 | Goldman Sachs | (17,344 | ) | ||||||||
04/12/2024 | NZD | 877,080 | USD | 540,281 | State Street Bank & Trust Co. | (16,261 | ) | ||||||||
06/20/2024 | NZD | 376,529 | USD | 228,937 | Barclays Capital, Inc. | (3,970 | ) | ||||||||
06/20/2024 | NZD | 302,500 | USD | 182,887 | BNY Mellon Capital Markets LLC | (2,150 | ) | ||||||||
06/20/2024 | NZD | 558,475 | USD | 338,000 | HSBC Bank | (4,324 | ) | ||||||||
06/20/2024 | NZD | 376,529 | USD | 228,720 | Royal Bank of Canada Investment Management (USA) Ltd. | (3,752 | ) | ||||||||
06/20/2024 | NZD | 302,500 | USD | 184,302 | UBS | (3,565 | ) | ||||||||
04/12/2024 | SEK | 1,936,850 | USD | 186,981 | Bank of America Securities, Inc. | (5,926 | ) | ||||||||
04/12/2024 | SEK | 1,364,891 | USD | 132,252 | BNP Paribas Securities Corp. | (4,663 | ) | ||||||||
04/12/2024 | SEK | 2,972,009 | USD | 284,598 | Morgan Stanley | (6,777 | ) | ||||||||
04/12/2024 | SEK | 5,423,356 | USD | 519,156 | State Street Bank & Trust Co. | (12,185 | ) | ||||||||
06/20/2024 | SGD | 790,292 | USD | 591,536 | Barclays Capital, Inc. | (3,983 | ) | ||||||||
06/20/2024 | SGD | 988,834 | USD | 739,626 | Canadian Imperial Bank Of Commerce | (4,464 | ) | ||||||||
06/20/2024 | SGD | 888,954 | USD | 665,849 | Goldman Sachs | (4,943 | ) | ||||||||
06/20/2024 | SGD | 495,147 | USD | 369,916 | HSBC Bank | (1,792 | ) | ||||||||
06/20/2024 | SGD | 494,526 | USD | 369,916 | J.P. Morgan Securities, Inc. | (2,254 | ) | ||||||||
06/20/2024 | SGD | 493,656 | USD | 369,916 | Morgan Stanley | (2,900 | ) | ||||||||
06/20/2024 | SGD | 493,592 | USD | 369,916 | State Street Bank & Trust Co. | (2,948 | ) | ||||||||
04/12/2024 | USD | 336,540 | AUD | 514,573 | Bank of America Securities, Inc. | 1,077 | |||||||||
04/12/2024 | USD | 491,380 | AUD | 751,937 | BNP Paribas Securities Corp. | 1,173 | |||||||||
04/12/2024 | USD | 233,395 | AUD | 359,063 | Goldman Sachs | (687 | ) | ||||||||
04/12/2024 | USD | 146,936 | AUD | 223,960 | Standard Chartered Securities North America LLC | 930 | |||||||||
04/12/2024 | USD | 643,102 | AUD | 982,694 | State Street Bank & Trust Co. | 2,458 | |||||||||
06/20/2024 | USD | 1,124,706 | AUD | 1,695,703 | Canadian Imperial Bank Of Commerce | 17,076 | |||||||||
06/20/2024 | USD | 672,804 | AUD | 1,025,960 | Citibank Global Markets, Inc. | 2,649 | |||||||||
06/20/2024 | USD | 357,941 | AUD | 549,621 | UBS | (1,070 | ) | ||||||||
04/26/2024 | USD | 154,965 | BRL | 770,728 | Citibank Global Markets, Inc. | 1,742 | |||||||||
06/20/2024 | USD | 199,984 | BRL | 1,005,020 | Goldman Sachs | 1,208 | |||||||||
04/12/2024 | USD | 660,261 | CAD | 890,702 | Bank of America Securities, Inc. | 2,554 | |||||||||
04/12/2024 | USD | 727,513 | CAD | 983,691 | BNP Paribas Securities Corp. | 1,141 | |||||||||
04/12/2024 | USD | 312,714 | CAD | 420,937 | Morgan Stanley | 1,888 | |||||||||
04/12/2024 | USD | 822,993 | CAD | 1,107,992 | State Street Bank & Trust Co. | 4,836 | |||||||||
06/20/2024 | USD | 687,736 | CAD | 934,445 | Barclays Capital, Inc. | (2,964 | ) | ||||||||
06/20/2024 | USD | 965,699 | CAD | 1,299,287 | Citibank Global Markets, Inc. | 5,322 | |||||||||
04/12/2024 | USD | 209,979 | CHF | 181,572 | Bank of America Securities, Inc. | 8,312 | |||||||||
04/12/2024 | USD | 562,589 | CHF | 484,478 | BNP Paribas Securities Corp. | 24,493 | |||||||||
04/12/2024 | USD | 208,481 | CHF | 181,307 | Goldman Sachs | 7,109 | |||||||||
04/12/2024 | USD | 783,327 | CHF | 687,233 | Morgan Stanley | 20,038 | |||||||||
04/12/2024 | USD | 95,268 | CHF | 81,501 | Standard Chartered Securities North America LLC | 4,746 | |||||||||
04/12/2024 | USD | 409,412 | CHF | 351,916 | State Street Bank & Trust Co. | 18,548 | |||||||||
04/12/2024 | USD | 736,549 | EUR | 684,579 | Bank of America Securities, Inc. | (2,447 | ) | ||||||||
04/12/2024 | USD | 1,220,195 | EUR | 1,125,024 | Goldman Sachs | 5,745 | |||||||||
04/12/2024 | USD | 287,213 | EUR | 266,628 | Morgan Stanley | (609 | ) | ||||||||
04/12/2024 | USD | 242,254 | EUR | 224,708 | State Street Bank & Trust Co. | (316 | ) | ||||||||
06/20/2024 | USD | 3,003,138 | EUR | 2,735,622 | State Street Bank & Trust Co. | 41,595 | |||||||||
04/12/2024 | USD | 510,623 | GBP | 404,434 | Bank of America Securities, Inc. | 127 | |||||||||
04/12/2024 | USD | 115,990 | GBP | 91,606 | BNP Paribas Securities Corp. | 360 | |||||||||
04/12/2024 | USD | 618,762 | GBP | 488,837 | Goldman Sachs | 1,727 | |||||||||
04/12/2024 | USD | 820,809 | GBP | 650,051 | Morgan Stanley | 281 | |||||||||
04/12/2024 | USD | 544,305 | GBP | 429,164 | State Street Bank & Trust Co. | 2,592 | |||||||||
06/20/2024 | USD | 395,058 | GBP | 313,729 | Citibank Global Markets, Inc. | (1,092 | ) | ||||||||
06/20/2024 | USD | 2,006,976 | GBP | 1,568,139 | Morgan Stanley | 26,867 | |||||||||
04/12/2024 | USD | 484,365 | JPY | 71,012,558 | BNP Paribas Securities Corp. | 14,190 | |||||||||
04/12/2024 | USD | 708,389 | JPY | 105,547,125 | Goldman Sachs | 9,560 | |||||||||
04/12/2024 | USD | 430,791 | JPY | 64,263,294 | Morgan Stanley | 5,302 | |||||||||
04/12/2024 | USD | 221,857 | JPY | 32,317,747 | Standard Chartered Securities North America LLC | 7,881 | |||||||||
06/20/2024 | USD | 603,750 | JPY | 90,375,338 | Goldman Sachs | (1,058 | ) | ||||||||
04/26/2024 | USD | 689,398 | MXN | 11,820,562 | Wells Fargo | (18,445 | ) | ||||||||
06/20/2024 | USD | 129,591 | MXN | 2,205,130 | Barclays Capital, Inc. | (1,291 | ) | ||||||||
06/20/2024 | USD | 60,500 | MXN | 1,018,215 | Canadian Imperial Bank Of Commerce | 65 | |||||||||
06/20/2024 | USD | 765,943 | MXN | 13,052,287 | J.P. Morgan Securities, Inc. | (8,755 | ) | ||||||||
06/20/2024 | USD | 372,143 | MXN | 6,298,922 | Morgan Stanley | (1,720 | ) | ||||||||
06/20/2024 | USD | 130,957 | MXN | 2,192,286 | Royal Bank of Canada Investment Management (USA) Ltd. | 837 | |||||||||
06/20/2024 | USD | 121,580 | MXN | 2,062,174 | UBS | (817 | ) | ||||||||
04/12/2024 | USD | 500,810 | NOK | 5,263,456 | Bank of America Securities, Inc. | 15,800 | |||||||||
04/12/2024 | USD | 952,516 | NOK | 9,987,428 | BNP Paribas Securities Corp. | 32,208 | |||||||||
04/12/2024 | USD | 294,246 | NOK | 3,089,101 | Goldman Sachs | 9,596 | |||||||||
04/12/2024 | USD | 621,449 | NOK | 6,569,599 | Morgan Stanley | 16,083 | |||||||||
06/20/2024 | USD | 506,631 | NOK | 5,287,054 | HSBC Bank | 18,655 | |||||||||
04/12/2024 | USD | 1,329,666 | NZD | 2,191,291 | BNP Paribas Securities Corp. | 20,459 | |||||||||
04/12/2024 | USD | 655,625 | NZD | 1,072,656 | Goldman Sachs | 14,756 | |||||||||
04/12/2024 | USD | 132,278 | NZD | 216,742 | Standard Chartered Securities North America LLC | 2,783 | |||||||||
04/12/2024 | USD | 355,503 | NZD | 578,696 | State Street Bank & Trust Co. | 9,756 | |||||||||
06/20/2024 | USD | 70,771 | NZD | 114,848 | ANZ SECURITIES INC. | 2,151 | |||||||||
06/20/2024 | USD | 373,080 | NZD | 605,000 | Citibank Global Markets, Inc. | 11,607 | |||||||||
06/20/2024 | USD | 364,877 | NZD | 605,000 | HSBC Bank | 3,403 | |||||||||
06/20/2024 | USD | 906,355 | NZD | 1,506,134 | Morgan Stanley | 6,474 | |||||||||
06/20/2024 | USD | 181,653 | NZD | 302,500 | UBS | 916 | |||||||||
04/12/2024 | USD | 171,058 | SEK | 1,784,220 | Barclays Capital, Inc. | 4,270 | |||||||||
04/12/2024 | USD | 409,897 | SEK | 4,309,377 | BNP Paribas Securities Corp. | 7,061 | |||||||||
04/12/2024 | USD | 283,895 | SEK | 2,978,029 | Morgan Stanley | 5,511 | |||||||||
04/12/2024 | USD | 89,487 | SEK | 929,379 | Standard Chartered Securities North America LLC | 2,610 | |||||||||
04/12/2024 | USD | 161,564 | SEK | 1,691,440 | State Street Bank & Trust Co. | 3,450 | |||||||||
06/20/2024 | USD | 2,848,237 | SGD | 3,769,115 | Barclays Capital, Inc. | 46,038 | |||||||||
06/20/2024 | USD | 556,652 | SGD | 747,668 | Canadian Imperial Bank Of Commerce | 789 | |||||||||
06/20/2024 | USD | 1,485,133 | SGD | 1,985,460 | Citibank Global Markets, Inc. | 9,016 | |||||||||
06/20/2024 | USD | 742,203 | SGD | 995,666 | HSBC Bank | 1,962 | |||||||||
04/26/2024 | USD | 512,599 | ZAR | 9,814,279 | Citibank Global Markets, Inc. | (4,382 | ) | ||||||||
$ | 40,252 | ||||||||||||||
AUD - Australian Dollar | |||||||||||||||
CAD - Canadian Dollar | |||||||||||||||
CHF - Swiss Franc | |||||||||||||||
EUR - Euro | |||||||||||||||
GBP - British Pound | |||||||||||||||
JPY - Japanese Yen | |||||||||||||||
MXN - Mexican Peso | |||||||||||||||
NOK - Norwegian Krone | |||||||||||||||
NZD - New Zealand Dollar | |||||||||||||||
SEK - Swedish Krona | |||||||||||||||
SGD - Singapore Dollar | |||||||||||||||
USD - United States Dollar |
Wilshire Income Opportunities Fund | |||||||||||||||||||||||
Schedule of Interest Rate Swap Contracts | |||||||||||||||||||||||
as of March 31, 2024 (Unaudited) | |||||||||||||||||||||||
Fixed Annual Rate | Floating Rate Index | Floating Rate Paid or Received | Payment Frequency | Counterparty | Maturity Date | Notional | Upfront payments (receipts) | Unrealized Appreciation (Depreciation) | Value | ||||||||||||||
8.44% | Mexico 28 Day Interbank Rate – | Paid | Day | Morgan Stanley | 07/20/2028 | $ | 13,229,000 | $ | 0 | $ | (15,562 | ) | $ | (15,562 | ) | ||||||||
9.31% | Mexico 28 Day Interbank Rate – | Paid | Day | Morgan Stanley | 02/03/2027 | 13,600,000 | 0 | (1,163 | ) | (1,163 | ) | ||||||||||||
3.39% | US Secured Overnight Financing Rate – | Paid | Month | Morgan Stanley | 08/25/2024 | 7,700,000 | 0 | (153,186 | ) | (153,186 | ) | ||||||||||||
9.69% | Brazil Cetip DI Interbank Deposit Overnight Rate – | Paid | Day | Morgan Stanley | 01/02/2026 | 5,968,859 | (365 | ) | 2,295 | 1,930 | |||||||||||||
8.96% | Mexico 28 Day Interbank Rate – | Paid | 28 Days | Morgan Stanley | 11/03/2033 | 5,460,000 | 0 | (4,010 | ) | (4,010 | ) | ||||||||||||
3.61% | US Secured Overnight Financing Rate – | Paid | Month | Morgan Stanley | 04/30/2054 | 120,000 | 0 | (1,548 | ) | (1,548 | ) | ||||||||||||
Total Interest Rate Swaps | $ | (365 | ) | $ | (173,174 | ) | $ | (173,539 | ) |
Wilshire Income Opportunities Fund | |
Schedule of Over the Counter Volatility Swap Contracts | |
as of March 31, 2024 (Unaudited) |
Reference Entity | Counterparty | Pay/Receive Total Returns on Reference Entity | Maturity Date | Financing Rate | Payment Frequency | Notional Amount | Upfront Payments (Receipts) | Value/ Unrealized Appreciation (Depreciation) | |||||||||
GBP/USD | Deutsche Bank | Receive | 09/17/2024 | (U.S. Federal Funds Rate + 0.00%) | Quarterly | $ | 3,000 | $ | 0 | $ | 12 | ||||||
USD/CAD | BNP Paribas Securities Corp. | Receive | 09/13/2024 | (U.S. Federal Funds Rate + 0.00%) | Quarterly | 5,000 | 0 | 17 | |||||||||
GBP/USD | BNP Paribas Securities Corp. | Receive | 09/17/2024 | (U.S. Federal Funds Rate + 0.00%) | Quarterly | 3,000 | 0 | 13 | |||||||||
GBP/USD | Goldman Sachs | Receive | 09/17/2024 | (U.S. Federal Funds Rate + 0.00%) | Quarterly | 3,000 | 0 | 10 | |||||||||
USD/CAD | Deutsche Bank | Receive | 09/13/2024 | (U.S. Federal Funds Rate + 0.00%) | Quarterly | 5,000 | 0 | 18 | |||||||||
$ | 0 | $ | 70 |
WILSHIRE INCOME OPPORTUNITIES FUND | ||||||||||||||
NOTES TO SCHEDULE OF INVESTMENTS | ||||||||||||||
March 31, 2024 (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 Pricing Committee of Wilshire Advisors LLC (the “Adviser”) 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 the Adviser, one of whom is an officer of the Company. The Adviser has been named the valuation designee to implement the daily pricing and fair valuation procedures of the Portfolios. 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 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 March 31, 2024, 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 March 31, 2024: |
Wilshire Income Opportunities Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Corporate Bonds | – | 62,717,495 | – | 62,717,495 | ||||||||||||
Collateralized Mortgage Obligations | – | 40,424,576 | – | 40,424,576 | ||||||||||||
U.S. Treasury Obligations | – | 24,174,256 | – | 24,174,256 | ||||||||||||
Foreign Government Debt Obligations | – | 15,053,781 | – | 15,053,781 | ||||||||||||
Asset-Backed Securities | – | 13,539,297 | – | 13,539,297 | ||||||||||||
Collateralized Loan Obligations | – | 10,756,416 | – | 10,756,416 | ||||||||||||
Bank Loans | – | 7,423,899 | – | 7,423,899 | ||||||||||||
Mortgage-Backed Securities | – | 5,874,284 | – | 5,874,284 | ||||||||||||
Open-End Funds | 3,079,780 | 2,571,103 | – | 5,650,883 | ||||||||||||
Convertible Bonds | – | 2,167,257 | – | 2,167,257 | ||||||||||||
Municipal Bonds | – | 1,922,097 | – | 1,922,097 | ||||||||||||
Foreign Government Agency Issues | – | 1,027,378 | – | 1,027,378 | ||||||||||||
Convertible Preferred Stocks | 395,140 | – | – | 395,140 | ||||||||||||
Swaptions | – | 117,324 | – | 117,324 | ||||||||||||
Preferred Stocks | 97,308 | – | – | 97,308 | ||||||||||||
Purchased Options | – | 27,660 | – | 27,660 | ||||||||||||
Total Assets | 3,572,228 | 187,796,823 | – | 191,369,051 | ||||||||||||
Liabilities: | ||||||||||||||||
Options Written | – | (55,141 | ) | – | (55,141 | ) | ||||||||||
Swaptions | – | (122,499 | ) | – | (122,499 | ) | ||||||||||
Total Liabilities | – | (177,640 | ) | – | (177,640 | ) | ||||||||||
Other Financial Instruments*: | ||||||||||||||||
Assets | ||||||||||||||||
Forwards | – | 510,729 | – | 510,729 | ||||||||||||
Futures | 24,129 | – | – | 24,129 | ||||||||||||
Interest Rate Swaps | – | 1,930 | – | 1,930 | ||||||||||||
Total Return Swaps | – | 70 | – | 70 | ||||||||||||
Total Assets | 24,129 | 512,728 | – | 536,858 | ||||||||||||
Liabilities | ||||||||||||||||
Futures | (97,663 | ) | – | – | (97,663 | ) | ||||||||||
Interest Rate Swaps | – | (175,469 | ) | – | (175,469 | ) | ||||||||||
Forwards | – | (470,477 | ) | – | (470,477 | ) | ||||||||||
Total Liabilities | (97,663 | ) | (645,946 | ) | – | (743,609 | ) | |||||||||
* The fair value of the Fund's investment represents the net unrealized appreciation (depreciation) as of March 31, 2024. | ||||||||||||||||
Refer to the Schedule of Investments for industry classifications. |
Refer to the Fund's Schedule of Investments for a listing of the securities by industry or sector type. Wilshire Income Opportunities Fund 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 March 31, 2024. |
2. Affiliated Investments | ||||||||||||||||||||||||||||||||
Due to Voya managing a portion of Wilshire Income Opportunities Fund during the three months ended March 31, 2024, certain securities held by the Fund are considered | ||||||||||||||||||||||||||||||||
affiliated investments. Purchases and sales of shares of affiliated registered investment companies by Wilshire Income Opportunities Fund during the three months ended | ||||||||||||||||||||||||||||||||
March 31, 2024 and the value of such investments as of March 31, 2024 were as follows: | ||||||||||||||||||||||||||||||||
Fund | Value as of December 31, 2023 | Purchases | Proceeds from Sales | Realized Loss | Change in Unrealized Appreciation (Depreciation) | Value as of March 31, 2024 | Income Distribution | Long-Term Capital Gain Distribution | ||||||||||||||||||||||||
Voya VACS Series EMCD Fund | $ | 876,138 | $ | 13,734 | $ | - | $ | - | $ | 5,222 | $ | 895,094 | $ | 13,213 | $ | - | ||||||||||||||||
Voya VACS Series EMHCD Fund | 1,633,795 | 26,077 | - | - | 16,136 | 1,676,008 | 26,000 | - | ||||||||||||||||||||||||
Voya VACS Series HYB Fund | 3,038,503 | 59,007 | - | - | (17,729 | ) | 3,079,781 | 58,823 | - | |||||||||||||||||||||||
$ | 5,548,436 | $ | 98,818 | $ | - | $ | - | $ | 3,629 | $ | 5,650,883 | $ | 98,036 | $ | - | |||||||||||||||||