FPA NEW INCOME, INC.
PORTFOLIO OF INVESTMENTS
December 31, 2019
(Unaudited)
|
| Shares or |
| Fair Value |
| ||
COMMON STOCKS |
|
|
|
|
| ||
ENERGY — 0.3% |
|
|
|
|
| ||
PHI Group, Inc.(a)(b)(c) |
| 2,602,492 |
| $ | 16,916,198 |
| |
PHI Group, Inc., Restricted(a)(b)(c) |
| 1,203,928 |
| 7,825,532 |
| ||
|
|
|
| $ | 24,741,730 |
| |
INDUSTRIALS — 0.0% |
|
|
|
|
| ||
Boart Longyear Ltd.(c) |
| 874,320 |
| $ | 993,958 |
| |
TOTAL COMMON STOCKS — 0.3%(Cost $31,764,951) |
|
|
| $ | 25,735,688 |
| |
|
|
|
|
|
| ||
BONDS & DEBENTURES |
|
|
|
|
| ||
|
|
|
|
|
| ||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 8.7% |
|
|
|
|
| ||
AGENCY — 1.7% |
|
|
|
|
| ||
Federal Home Loan Mortgage Corp. K042 A1 — 2.267% 6/25/2024 |
| $ | 15,515,508 |
| $ | 15,555,316 |
|
Federal Home Loan Mortgage Corp. K024 A2 — 2.573% 9/25/2022 |
| 5,758,105 |
| 5,835,587 |
| ||
Government National Mortgage Association 2009-119 IO — 0.105% 12/16/2049(d) |
| 13,437,528 |
| 88,299 |
| ||
Government National Mortgage Association 2014-175 IO — 0.772% 4/16/2056(d) |
| 183,045,258 |
| 8,521,123 |
| ||
Government National Mortgage Association 2014-169 A — 2.60% 11/16/2042 |
| 3,640,800 |
| 3,649,663 |
| ||
Government National Mortgage Association 2015-21 A — 2.60% 11/16/2042 |
| 6,647,054 |
| 6,665,791 |
| ||
Government National Mortgage Association 2014-148 A — 2.65% 11/16/2043 |
| 10,916,725 |
| 10,937,020 |
| ||
Government National Mortgage Association 2019-39 A — 3.10% 5/16/2059 |
| 68,256,565 |
| 69,185,865 |
| ||
Government National Mortgage Association 2011-9 C, VRN — 3.499% 9/16/2041(d) |
| 4,607,576 |
| 4,641,313 |
| ||
Government National Mortgage Association 2010-148 AC — 7.00% 12/16/2050(d) |
| 22,097 |
| 22,382 |
| ||
|
|
|
| $ | 125,102,359 |
| |
AGENCY STRIPPED — 2.8% |
|
|
|
|
| ||
Government National Mortgage Association 2004-10 IO — 0.000% 1/16/2044(d) |
| $ | 3,869,406 |
| $ | 4 |
|
Government National Mortgage Association 2012-45 IO — 0.000% 4/16/2053(d) |
| 9,037,950 |
| 43,491 |
| ||
Government National Mortgage Association 2002-56 IO — 0.043% 6/16/2042(d) |
| 16,555 |
| 15 |
| ||
Government National Mortgage Association 2009-105 IO — 0.183% 11/16/2049(d) |
| 4,902,444 |
| 16,403 |
| ||
Government National Mortgage Association 2009-86 IO — 0.249% 10/16/2049(d) |
| 11,410,281 |
| 51,859 |
| ||
Government National Mortgage Association 2009-71 IO — 0.264% 7/16/2049(d) |
| 3,131,156 |
| 24,004 |
| ||
Government National Mortgage Association 2009-49 IO — 0.347% 6/16/2049(d) |
| 7,901,803 |
| 70,317 |
| ||
Government National Mortgage Association 2008-8 IO — 0.351% 11/16/2047(d) |
| 4,599,606 |
| 15,633 |
| ||
Government National Mortgage Association 2012-125 IO — 0.387% 2/16/2053(d) |
| 69,809,136 |
| 1,643,586 |
| ||
Government National Mortgage Association 2009-4 IO — 0.39% 1/16/2049(d) |
| 2,789,808 |
| 20,342 |
| ||
Government National Mortgage Association 2012-25 IO — 0.433% 8/16/2052(d) |
| 73,311,392 |
| 1,011,961 |
| ||
Government National Mortgage Association 2010-123 IO — 0.508% 9/16/2050(d) |
| 6,212,123 |
| 93,493 |
| ||
Government National Mortgage Association 2005-9 IO — 0.509% 1/16/2045(d) |
| 871,429 |
| 2,614 |
| ||
Government National Mortgage Association 2009-60 IO — 0.509% 6/16/2049(d) |
| 6,970,506 |
| 60,883 |
| ||
Government National Mortgage Association 2009-30 IO — 0.57% 3/16/2049(d) |
| 5,102,069 |
| 135,730 |
| ||
Government National Mortgage Association 2007-77 IO — 0.573% 11/16/2047(d) |
| 20,876,328 |
| 247,940 |
| ||
Government National Mortgage Association 2015-41 IO — 0.592% 9/16/2056(d) |
| 32,149,607 |
| 1,284,264 |
| ||
Government National Mortgage Association 2013-45 IO — 0.593% 12/16/2053(d) |
| 63,995,756 |
| 1,142,740 |
| ||
Government National Mortgage Association 2008-24 IO — 0.602% 11/16/2047(d) |
| 282,687 |
| 1,802 |
| ||
Government National Mortgage Association 2014-157 IO — 0.611% 5/16/2055(d) |
| 123,452,332 |
| 4,355,806 |
| ||
Government National Mortgage Association 2012-79 IO — 0.663% 3/16/2053(d) |
| 113,859,082 |
| 3,086,071 |
| ||
|
| Principal |
| Fair Value |
| ||
BONDS & DEBENTURES - Continued |
|
|
|
|
|
|
|
Government National Mortgage Association 2013-125 IO — 0.673% 10/16/2054(d) |
| $ | 19,663,298 |
| $ | 618,717 |
|
Government National Mortgage Association 2014-110 IO — 0.69% 1/16/2057(d) |
| 65,100,972 |
| 2,752,677 |
| ||
Government National Mortgage Association 2012-58 IO — 0.693% 2/16/2053(d) |
| 204,552,746 |
| 5,017,065 |
| ||
Government National Mortgage Association 2012-150 IO — 0.70% 11/16/2052(d) |
| 62,315,830 |
| 2,157,443 |
| ||
Government National Mortgage Association 2014-77 IO — 0.716% 12/16/2047(d) |
| 45,549,753 |
| 1,527,443 |
| ||
Government National Mortgage Association 2014-138 IO — 0.734% 4/16/2056(d) |
| 27,636,821 |
| 1,210,719 |
| ||
Government National Mortgage Association 2015-19 IO — 0.739% 1/16/2057(d) |
| 87,128,360 |
| 4,256,412 |
| ||
Government National Mortgage Association 2004-43 IO — 0.744% 6/16/2044(d) |
| 9,434,137 |
| 117,702 |
| ||
Government National Mortgage Association 2015-86 IO — 0.748% 5/16/2052(d) |
| 66,050,277 |
| 3,004,733 |
| ||
Government National Mortgage Association 2014-153 IO — 0.757% 4/16/2056(d) |
| 202,356,352 |
| 9,046,422 |
| ||
Government National Mortgage Association 2015-7 IO — 0.761% 1/16/2057(d) |
| 54,392,690 |
| 2,836,073 |
| ||
Government National Mortgage Association 2014-187 IO — 0.771% 5/16/2056(d) |
| 134,246,176 |
| 6,091,675 |
| ||
Government National Mortgage Association 2012-114 IO — 0.786% 1/16/2053(d) |
| 40,668,425 |
| 1,731,361 |
| ||
Government National Mortgage Association 2014-135 IO — 0.786% 1/16/2056(d) |
| 258,445,332 |
| 11,988,607 |
| ||
Government National Mortgage Association 2014-164 IO — 0.789% 1/16/2056(d) |
| 227,752,639 |
| 9,526,141 |
| ||
Government National Mortgage Association 2015-47 IO — 0.815% 10/16/2056(d) |
| 152,087,905 |
| 7,179,690 |
| ||
Government National Mortgage Association 2015-101 IO — 0.821% 3/16/2052(d) |
| 150,286,284 |
| 6,964,973 |
| ||
Government National Mortgage Association 2008-45 IO — 0.852% 2/16/2048(d) |
| 2,595,403 |
| 4,935 |
| ||
Government National Mortgage Association 2006-55 IO — 0.855% 8/16/2046(d) |
| 6,647,881 |
| 70,402 |
| ||
Government National Mortgage Association 2015-108 IO — 0.869% 10/16/2056(d) |
| 29,632,615 |
| 1,493,641 |
| ||
Government National Mortgage Association 2015-150 IO — 0.898% 9/16/2057(d) |
| 205,731,838 |
| 12,225,285 |
| ||
Government National Mortgage Association 2015-114 IO — 0.899% 3/15/2057(d) |
| 146,764,880 |
| 7,885,119 |
| ||
Government National Mortgage Association 2015-169 IO — 0.916% 7/16/2057(d) |
| 217,858,391 |
| 12,564,068 |
| ||
Government National Mortgage Association 2015-128 IO — 0.933% 12/16/2056(d) |
| 193,912,633 |
| 10,186,347 |
| ||
Government National Mortgage Association 2015-160 IO — 0.944% 1/16/2056(d) |
| 241,072,699 |
| 14,002,780 |
| ||
Government National Mortgage Association 2008-48 IO — 0.968% 4/16/2048(d) |
| 8,745,371 |
| 124,871 |
| ||
Government National Mortgage Association 2016-125 IO — 0.986% 12/16/2057(d) |
| 118,775,387 |
| 8,517,977 |
| ||
Government National Mortgage Association 2016-65 IO — 0.991% 1/16/2058(d) |
| 224,770,809 |
| 16,099,973 |
| ||
Government National Mortgage Association 2016-106 IO — 1.02% 9/16/2058(d) |
| 233,562,682 |
| 16,158,263 |
| ||
Government National Mortgage Association 2008-92 IO — 1.198% 10/16/2048(d) |
| 12,239,311 |
| 110,607 |
| ||
Government National Mortgage Association 2004-108 IO — 1.922% 12/16/2044(d) |
| 383,464 |
| 2,676 |
| ||
Government National Mortgage Association 2006-30 IO — 2.392% 5/16/2046(d) |
| 850,613 |
| 9,218 |
| ||
Government National Mortgage Association 2015-41 AF, VRN — 3.051% 9/16/2056(d) |
| 18,917,350 |
| 19,572,362 |
| ||
|
|
|
| $ | 208,365,335 |
| |
NON-AGENCY — 4.2% |
|
|
|
|
| ||
Aventura Mall Trust 2013-AVM A — 3.743% 12/5/2032(d)(e) |
| $ | 37,824,000 |
| $ | 38,089,067 |
|
Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7 B — 5.214% 2/11/2041(d) |
| 3,097,961 |
| 3,097,614 |
| ||
Citigroup Commercial Mortgage Trust 2012-GC8 A4 — 3.024% 9/10/2045 |
| 4,148,778 |
| 4,229,683 |
| ||
Citigroup Commercial Mortgage Trust 2017-C4 A2 — 3.19% 10/12/2050 |
| 18,524,000 |
| 18,971,145 |
| ||
COMM Mortgage Trust 2013-LC6 A4 — 2.941% 1/10/2046 |
| 10,597,000 |
| 10,813,891 |
| ||
COMM Mortgage Trust 2014-FL5 B, 1M LIBOR + 2.150% — 3.152% 10/15/2031(d)(e) |
| 784,598 |
| 783,546 |
| ||
COMM Mortgage Trust 2014-FL5 C, 1M LIBOR + 2.150% — 3.152% 10/15/2031(d)(e) |
| 8,340,000 |
| 8,308,483 |
| ||
DBUBS Mortgage Trust 2011-LC2A A4 — 4.537% 7/10/2044(e) |
| 44,816,836 |
| 45,775,916 |
| ||
GS Mortgage Securities Corp. Trust 2012-ALOH A — 3.551% 4/10/2034(e) |
| 18,403,000 |
| 18,813,545 |
| ||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI A — 2.798% 10/5/2031(e) |
| 7,922,000 |
| 7,970,535 |
| ||
|
| Principal |
| Fair Value |
| ||
BONDS & DEBENTURES - Continued |
|
|
|
|
|
|
|
J.P. Morgan Chase Commercial Mortgage Securities Trust 2010-C1 A3 — 5.058% 6/15/2043(e) |
| $ | 7,277,000 |
| $ | 7,303,795 |
|
JP Morgan Chase Commercial Mortgage Securities Trust C 2012-HSBC A — 3.093% 7/5/2032(e) |
| 10,795,966 |
| 10,992,430 |
| ||
JPMBB Commercial Mortgage Securities Trust 2015-C30 ASB — 3.559% 7/15/2048 |
| 7,605,000 |
| 7,851,166 |
| ||
Latitude Management Real Estate Capita 2016-CRE2 A, 1M LIBOR + 1.700% — 3.48% 11/24/2031(d)(e) |
| 2,125,865 |
| 2,126,183 |
| ||
OBP Depositor LLC Trust 2010-OBP A — 4.646% 7/15/2045(e) |
| 4,000,000 |
| 4,003,762 |
| ||
UBS Commercial Mortgage Trust 2012-C1 A3 — 3.40% 5/10/2045 |
| 6,609,027 |
| 6,752,060 |
| ||
VNDO E Mortgage Trust 2012-6AVE B — 3.298% 11/15/2030(e) |
| 13,266,000 |
| 13,512,393 |
| ||
Wells Fargo Commercial Mortgage Trust 2019-C51 A1 — 2.276% 6/15/2052 |
| 10,818,775 |
| 10,844,092 |
| ||
Wells Fargo Commercial Mortgage Trust 2012-LC5 A3 — 2.918% 10/15/2045 |
| 34,211,085 |
| 34,778,883 |
| ||
WFRBS Commercial Mortgage Trust 2012-C9 A3 — 2.87% 11/15/2045 |
| 8,109,560 |
| 8,238,789 |
| ||
WFRBS Commercial Mortgage Trust 2012-C8 A3 — 3.001% 8/15/2045 |
| 21,510,000 |
| 21,841,011 |
| ||
WFRBS Commercial Mortgage Trust 2013-C11 A5 — 3.071% 3/15/2045 |
| 4,504,000 |
| 4,607,462 |
| ||
WFRBS Commercial Mortgage Trust 2013-UBS1 A3 — 3.591% 3/15/2046 |
| 30,588,000 |
| 30,826,427 |
| ||
|
|
|
| $ | 320,531,878 |
| |
TOTAL COMMERICAL MORTGAGE-BACKED SECURITIES |
|
|
| $ | 653,999,572 |
| |
|
|
|
|
|
| ||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 19.0% |
|
|
|
|
| ||
AGENCY COLLATERALIZED MORTGAGE OBLIGATION — 2.6% |
|
|
|
|
| ||
Federal Home Loan Mortgage Corp. 4170 QE — 2.00% 5/15/2032 |
| $ | 2,190,062 |
| $ | 2,189,353 |
|
Federal Home Loan Mortgage Corp. 3979 HD — 2.50% 12/15/2026 |
| 2,166,130 |
| 2,184,417 |
| ||
Federal Home Loan Mortgage Corp. 4304 DA — 2.50% 1/15/2027 |
| 820,526 |
| 829,457 |
| ||
Federal Home Loan Mortgage Corp. 4010 DE — 2.50% 2/15/2027 |
| 2,568,152 |
| 2,596,551 |
| ||
Federal Home Loan Mortgage Corp. 3914 MA — 3.00% 6/15/2026 |
| 1,750,796 |
| 1,791,386 |
| ||
Federal Home Loan Mortgage Corp. 4297 CA — 3.00% 12/15/2030 |
| 3,009,108 |
| 3,060,700 |
| ||
Federal Home Loan Mortgage Corp. 4664 TA — 3.00% 9/15/2037 |
| 4,837,493 |
| 4,910,945 |
| ||
Federal Home Loan Mortgage Corp. 4504 DN — 3.00% 10/15/2040 |
| 9,903,149 |
| 10,072,748 |
| ||
Federal Home Loan Mortgage Corp. 3862 MB — 3.50% 5/15/2026 |
| 14,659,471 |
| 15,119,161 |
| ||
Federal Home Loan Mortgage Corp. 3828 VE — 4.50% 1/15/2024 |
| 847,297 |
| 890,081 |
| ||
Federal Home Loan Mortgage Corp. 4395 NT — 4.50% 7/15/2026 |
| 6,873,469 |
| 7,189,288 |
| ||
Federal National Mortgage Association 2014-80 GD — 2.00% 2/25/2042 |
| 14,706,721 |
| 14,618,419 |
| ||
Federal National Mortgage Association 2014-21 ED — 2.25% 4/25/2029 |
| 570,740 |
| 570,121 |
| ||
Federal National Mortgage Association 2013-135 KM — 2.50% 3/25/2028 |
| 1,291,203 |
| 1,304,035 |
| ||
Federal National Mortgage Association 4387 VA — 3.00% 2/15/2026 |
| 447,147 |
| 453,993 |
| ||
Federal National Mortgage Association 2017-30 G — 3.00% 7/25/2040 |
| 7,958,028 |
| 8,116,810 |
| ||
Federal National Mortgage Association 2013-93 PJ — 3.00% 7/25/2042 |
| 1,653,897 |
| 1,693,785 |
| ||
Federal National Mortgage Association 2017-16 JA — 3.00% 2/25/2043 |
| 18,741,085 |
| 19,079,789 |
| ||
Federal National Mortgage Association 2018-16 HA — 3.00% 7/25/2043 |
| 19,373,487 |
| 19,571,046 |
| ||
Federal National Mortgage Association 2011-98 VE — 3.50% 6/25/2026 |
| 13,677,000 |
| 13,818,769 |
| ||
Federal National Mortgage Association 2011-80 KB — 3.50% 8/25/2026 |
| 11,563,553 |
| 11,814,594 |
| ||
Federal National Mortgage Association 2012-144 PD — 3.50% 4/25/2042 |
| 3,592,774 |
| 3,684,511 |
| ||
Federal National Mortgage Association 2017-45 KD — 3.50% 2/25/2044 |
| 12,266,301 |
| 12,422,349 |
| ||
Federal National Mortgage Association 2017-52 KC — 3.50% 4/25/2044 |
| 13,875,475 |
| 14,063,275 |
| ||
Federal National Mortgage Association 2017-59 DC — 3.50% 5/25/2044 |
| 20,713,779 |
| 20,994,890 |
| ||
|
| Principal |
| Fair Value |
| ||
BONDS & DEBENTURES - Continued |
|
|
|
|
|
|
|
Federal National Mortgage Association 2012-95 AB — 4.00% 11/25/2040 |
| $ | 1,521 |
| $ | 1,521 |
|
Federal National Mortgage Association 2012-40 GC — 4.50% 12/25/2040 |
| 903,534 |
| 924,923 |
| ||
Federal National Mortgage Association 2010-43 MK — 5.50% 5/25/2040 |
| 1,529,414 |
| 1,654,639 |
| ||
|
|
|
| $ | 195,621,556 |
| |
AGENCY POOL ADJUSTABLE RATE — 0.0% |
|
|
|
|
| ||
Federal National Mortgage Association 865963, 12M USD LIBOR + 1.755% — 4.853% 3/1/2036(d) |
| $ | 540,416 |
| $ | 562,890 |
|
AGENCY POOL FIXED RATE — 8.5% |
|
|
|
|
| ||
Federal Home Loan Mortgage Corp. J24941 — 2.00% 8/1/2023 |
| $ | 1,502,922 |
| $ | 1,504,832 |
|
Federal Home Loan Mortgage Corp. J20834 — 2.50% 10/1/2027 |
| 1,040,075 |
| 1,052,616 |
| ||
Federal Home Loan Mortgage Corp. J21434 — 2.50% 12/1/2027 |
| 16,778,481 |
| 16,980,803 |
| ||
Federal Home Loan Mortgage Corp. G16178 — 2.50% 11/1/2028 |
| 19,119,751 |
| 19,350,305 |
| ||
Federal Home Loan Mortgage Corp. J16678 — 3.00% 9/1/2026 |
| 3,938,442 |
| 4,040,400 |
| ||
Federal Home Loan Mortgage Corp. J17544 — 3.00% 12/1/2026 |
| 5,631,587 |
| 5,777,376 |
| ||
Federal Home Loan Mortgage Corp. J17774 — 3.00% 1/1/2027 |
| 1,137,709 |
| 1,166,807 |
| ||
Federal Home Loan Mortgage Corp. G15418 — 3.00% 11/1/2027 |
| 1,502,890 |
| 1,541,796 |
| ||
Federal Home Loan Mortgage Corp. G16406 — 3.00% 1/1/2028 |
| 17,600,341 |
| 18,072,476 |
| ||
Federal Home Loan Mortgage Corp. G16476 — 3.00% 4/1/2028 |
| 25,183,269 |
| 25,858,818 |
| ||
Federal Home Loan Mortgage Corp. G16620 — 3.00% 8/1/2028 |
| 7,558,819 |
| 7,771,036 |
| ||
Federal Home Loan Mortgage Corp. G16478 — 3.00% 5/1/2030 |
| 24,747,729 |
| 25,388,393 |
| ||
Federal Home Loan Mortgage Corp. G16592 — 3.00% 2/1/2032 |
| 14,529,535 |
| 14,910,214 |
| ||
Federal Home Loan Mortgage Corp. G16473 — 3.50% 1/1/2028 |
| 28,521,556 |
| 29,631,792 |
| ||
Federal Home Loan Mortgage Corp. G16613 — 3.50% 8/1/2028 |
| 7,653,207 |
| 7,951,117 |
| ||
Federal Home Loan Mortgage Corp. V62149 — 3.50% 9/1/2028 |
| 5,134,579 |
| 5,334,449 |
| ||
Federal Home Loan Mortgage Corp. J26472 — 3.50% 11/1/2028 |
| 6,371,888 |
| 6,645,558 |
| ||
Federal Home Loan Mortgage Corp. G15169 — 4.50% 9/1/2026 |
| 1,272,657 |
| 1,331,491 |
| ||
Federal Home Loan Mortgage Corp. G15272 — 4.50% 9/1/2026 |
| 558,534 |
| 577,622 |
| ||
Federal Home Loan Mortgage Corp. G15875 — 4.50% 9/1/2026 |
| 1,904,583 |
| 1,988,179 |
| ||
Federal Home Loan Mortgage Corp. G15036 — 5.00% 6/1/2024 |
| 464,429 |
| 473,362 |
| ||
Federal Home Loan Mortgage Corp. G13667 — 5.00% 8/1/2024 |
| 51,074 |
| 52,261 |
| ||
Federal Home Loan Mortgage Corp. G15173 — 5.00% 6/1/2026 |
| 419,541 |
| 429,399 |
| ||
Federal Home Loan Mortgage Corp. G15407 — 5.00% 6/1/2026 |
| 1,607,389 |
| 1,667,277 |
| ||
Federal Home Loan Mortgage Corp. J01270 — 5.50% 2/1/2021 |
| 12,516 |
| 12,691 |
| ||
Federal Home Loan Mortgage Corp. G15230 — 5.50% 12/1/2024 |
| 1,028,500 |
| 1,058,918 |
| ||
Federal Home Loan Mortgage Corp. G15458 — 5.50% 12/1/2024 |
| 258,260 |
| 267,345 |
| ||
Federal Home Loan Mortgage Corp. G14460 — 6.00% 1/1/2024 |
| 94,679 |
| 97,791 |
| ||
Federal Home Loan Mortgage Corporation J16662 — 3.00% 9/1/2026 |
| 1,453,674 |
| 1,490,852 |
| ||
Federal Home Loan Mortgage Corporation J17197 — 3.00% 11/1/2026 |
| 2,425,814 |
| 2,487,855 |
| ||
Federal Home Loan Mortgage Corporation ZK3908 — 3.00% 2/1/2027 |
| 879,146 |
| 901,416 |
| ||
Federal Home Loan Mortgage Corporation ZK3970 — 3.00% 3/1/2027 |
| 729,570 |
| 748,052 |
| ||
Federal National Mortgage Association AB6251 — 2.00% 9/1/2022 |
| 252,601 |
| 252,657 |
| ||
Federal National Mortgage Association AB7515 — 2.00% 1/1/2023 |
| 166,461 |
| 166,539 |
| ||
Federal National Mortgage Association AQ7281 — 2.00% 12/1/2027 |
| 966,435 |
| 963,333 |
| ||
Federal National Mortgage Association MA2449 — 2.50% 11/1/2025 |
| 9,641,026 |
| 9,743,004 |
| ||
Federal National Mortgage Association AL1366 — 2.50% 2/1/2027 |
| 4,187,753 |
| 4,232,049 |
| ||
Federal National Mortgage Association AB4720 — 2.50% 3/1/2027 |
| 3,805,366 |
| 3,849,185 |
| ||
Federal National Mortgage Association AK7393 — 2.50% 3/1/2027 |
| 1,721,061 |
| 1,740,878 |
| ||
Federal National Mortgage Association AK7766 — 2.50% 3/1/2027 |
| 6,252,396 |
| 6,324,392 |
| ||
|
| Principal |
| Fair Value |
| ||
BONDS & DEBENTURES - Continued |
|
|
|
|
|
|
|
Federal National Mortgage Association AB6192 — 2.50% 9/1/2027 |
| $ | 1,647,648 |
| $ | 1,666,620 |
|
Federal National Mortgage Association BM5514 — 2.50% 2/1/2029 |
| 36,550,460 |
| 36,971,339 |
| ||
Federal National Mortgage Association BM1595 — 2.50% 3/1/2031 |
| 2,003,056 |
| 2,026,121 |
| ||
Federal National Mortgage Association MA2726 — 3.00% 8/1/2026 |
| 2,701,709 |
| 2,773,526 |
| ||
Federal National Mortgage Association AJ6973 — 3.00% 11/1/2026 |
| 1,363,585 |
| 1,397,701 |
| ||
Federal National Mortgage Association AJ9387 — 3.00% 12/1/2026 |
| 722,414 |
| 740,488 |
| ||
Federal National Mortgage Association AU3826 — 3.00% 12/1/2026 |
| 20,254,953 |
| 20,761,719 |
| ||
Federal National Mortgage Association MA0953 — 3.00% 1/1/2027 |
| 3,489,853 |
| 3,577,167 |
| ||
Federal National Mortgage Association AL1345 — 3.00% 2/1/2027 |
| 1,295,946 |
| 1,328,369 |
| ||
Federal National Mortgage Association AB4673 — 3.00% 3/1/2027 |
| 1,431,081 |
| 1,467,780 |
| ||
Federal National Mortgage Association AK9467 — 3.00% 3/1/2027 |
| 1,522,092 |
| 1,560,649 |
| ||
Federal National Mortgage Association AL5254 — 3.00% 11/1/2027 |
| 1,892,897 |
| 1,940,256 |
| ||
Federal National Mortgage Association AL3773 — 3.00% 6/1/2028 |
| 2,271,482 |
| 2,329,733 |
| ||
Federal National Mortgage Association AL5638 — 3.00% 6/1/2028 |
| 1,101,382 |
| 1,129,282 |
| ||
Federal National Mortgage Association AL4693 — 3.00% 8/1/2028 |
| 1,264,940 |
| 1,296,983 |
| ||
Federal National Mortgage Association MA3480 — 3.00% 8/1/2028 |
| 5,212,565 |
| 5,356,012 |
| ||
Federal National Mortgage Association AU6681 — 3.00% 9/1/2028 |
| 12,822,958 |
| 13,175,838 |
| ||
Federal National Mortgage Association MA3485 — 3.00% 9/1/2028 |
| 2,752,444 |
| 2,828,189 |
| ||
Federal National Mortgage Association 890837 — 3.00% 10/1/2028 |
| 15,123,808 |
| 15,511,649 |
| ||
Federal National Mortgage Association BM4299 — 3.00% 3/1/2030 |
| 36,913,184 |
| 37,836,730 |
| ||
Federal National Mortgage Association BM3539 — 3.00% 10/1/2030 |
| 30,534,539 |
| 31,336,663 |
| ||
Federal National Mortgage Association BM3973 — 3.00% 4/1/2032 |
| 47,622,190 |
| 48,932,724 |
| ||
Federal National Mortgage Association AB1940 — 3.50% 12/1/2025 |
| 1,493,618 |
| 1,548,096 |
| ||
Federal National Mortgage Association AJ1758 — 3.50% 9/1/2026 |
| 2,661,552 |
| 2,758,629 |
| ||
Federal National Mortgage Association AL4229 — 3.50% 2/1/2027 |
| 19,348,389 |
| 20,054,102 |
| ||
Federal National Mortgage Association MA3075 — 3.50% 7/1/2027 |
| 24,732,257 |
| 25,680,714 |
| ||
Federal National Mortgage Association MA3132 — 3.50% 9/1/2027 |
| 5,303,732 |
| 5,507,125 |
| ||
Federal National Mortgage Association AL4237 — 3.50% 10/1/2027 |
| 16,048,444 |
| 16,643,825 |
| ||
Federal National Mortgage Association MA3251 — 3.50% 1/1/2028 |
| 6,505,053 |
| 6,754,515 |
| ||
Federal National Mortgage Association CA1631 — 3.50% 10/1/2028 |
| 6,723,129 |
| 6,968,349 |
| ||
Federal National Mortgage Association MA3514 — 3.50% 11/1/2028 |
| 17,405,610 |
| 18,073,098 |
| ||
Federal National Mortgage Association MA3542 — 3.50% 12/1/2028 |
| 16,126,514 |
| 16,744,950 |
| ||
Federal National Mortgage Association AL9783 — 3.50% 2/1/2029 |
| 17,702,653 |
| 18,359,404 |
| ||
Federal National Mortgage Association BM1231 — 3.50% 11/1/2031 |
| 13,345,472 |
| 13,878,109 |
| ||
Federal National Mortgage Association AL5956 — 4.00% 5/1/2027 |
| 592,736 |
| 617,623 |
| ||
Federal National Mortgage Association FM1102 — 4.00% 3/1/2031 |
| 8,815,587 |
| 9,196,741 |
| ||
Federal National Mortgage Association AL4056 — 5.00% 6/1/2026 |
| 1,161,562 |
| 1,194,487 |
| ||
Federal National Mortgage Association AL5867 — 5.50% 8/1/2023 |
| 72,622 |
| 74,280 |
| ||
Federal National Mortgage Association AL0471 — 5.50% 7/1/2025 |
| 62,075 |
| 64,832 |
| ||
Federal National Mortgage Association AL4433 — 5.50% 9/1/2025 |
| 389,265 |
| 401,007 |
| ||
Federal National Mortgage Association AL4901 — 5.50% 9/1/2025 |
| 347,459 |
| 357,143 |
| ||
Federal National Mortgage Association AD0951 — 6.00% 12/1/2021 |
| 140,572 |
| 142,318 |
| ||
Federal National Mortgage Association AL0294 — 6.00% 10/1/2022 |
| 26,464 |
| 27,318 |
| ||
Federal National Mortgage Association 890225 — 6.00% 5/1/2023 |
| 238,748 |
| 244,179 |
| ||
Government National Mortgage Association 782281 — 6.00% 3/15/2023 |
| 477,486 |
| 496,098 |
| ||
|
|
|
| $ | 635,567,816 |
| |
AGENCY STRIPPED — 1.2% |
|
|
|
|
| ||
Federal Home Loan Mortgage Corp. 217 PO — 0.00% 1/1/2032(f) |
| $ | 155,458 |
| $ | 143,048 |
|
|
| Principal |
| Fair Value |
| ||
BONDS & DEBENTURES - Continued |
|
|
|
|
|
|
|
Federal Home Loan Mortgage Corp. 3763 NI — 3.50% 5/15/2025 |
| $ | 814,955 |
| $ | 30,792 |
|
Federal Home Loan Mortgage Corp. 3917 AI — 4.50% 7/15/2026 |
| 6,663,237 |
| 407,974 |
| ||
Federal Home Loan Mortgage Corp. 217 IO — 6.50% 1/1/2032 |
| 149,690 |
| 33,989 |
| ||
Federal National Mortgage Association 2010-25 NI — 5.00% 3/25/2025 |
| 9,199 |
| 151 |
| ||
Federal National Mortgage Association 2003-64 XI — 5.00% 7/25/2033 |
| 396,207 |
| 70,476 |
| ||
Resolution Funding Corp. — 0.00% 10/15/2020(f) |
| 89,328,000 |
| 88,105,814 |
| ||
|
|
|
| $ | 88,792,244 |
| |
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATION — 6.7% |
|
|
|
|
| ||
BRAVO Residential Funding Trust 2019-1 A1C — 3.50% 3/25/2058(e) |
| $ | 33,035,854 |
| $ | 33,931,733 |
|
CIM Trust 2017-7 A, VRN — 3.00% 4/25/2057(d)(e) |
| 21,642,738 |
| 21,739,018 |
| ||
CIM Trust 2018-R3 A1, VRN — 5.00% 12/25/2057(d)(e) |
| 51,937,358 |
| 53,699,972 |
| ||
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-5 2A3 — 5.00% 8/25/2020 |
| 4,864 |
| 4,845 |
| ||
Citigroup Mortgage Loan Trust, Inc. 2014-A A — 4.00% 1/25/2035(d)(e) |
| 6,728,946 |
| 6,833,113 |
| ||
Finance of America HECM Buyout — 2.656% 12/27/2049(b)(e) |
| 47,549,000 |
| 47,556,432 |
| ||
Finance of America Structured Securities Trust 2018-HB1 M1, VRN — 3.774% 9/25/2028(d)(e) |
| 15,845,000 |
| 15,893,787 |
| ||
Mill City Mortgage Loan Trust 2018-2 A1, VRN — 3.50% 5/25/2058(d)(e) |
| 36,173,745 |
| 36,803,451 |
| ||
Mill City Mortgage Loan Trust 2018-3 A1, VRN — 3.50% 8/25/2058(d)(e) |
| 21,580,369 |
| 22,074,335 |
| ||
Nationstar HECM Loan Trust 2019-2A M1, VRN — 2.359% 11/25/2029(d)(e) |
| 7,922,000 |
| 7,909,320 |
| ||
Nationstar HECM Loan Trust 2019-1A M1, VRN — 2.664% 6/25/2029(d)(e) |
| 10,270,000 |
| 10,298,852 |
| ||
Nationstar HECM Loan Trust 2018-2A M1, VRN — 3.552% 7/25/2028(d)(e) |
| 8,381,000 |
| 8,406,964 |
| ||
Nomura Resecuritization Trust 2016-1R 3A1 — 5.00% 9/28/2036(d)(e) |
| 3,254,790 |
| 3,335,166 |
| ||
Towd Point Mortgage Trust 2016-3 A1 — 2.25% 4/25/2056(d)(e) |
| 11,651,983 |
| 11,605,155 |
| ||
Towd Point Mortgage Trust 2015-1 AES — 3.00% 10/25/2053(d)(e) |
| 5,438,173 |
| 5,440,196 |
| ||
Towd Point Mortgage Trust 2018-1 A1, VRN — 3.00% 1/25/2058(d)(e) |
| 27,587,514 |
| 27,869,450 |
| ||
Towd Point Mortgage Trust 2018-2 A1, VRN — 3.25% 3/25/2058(d)(e) |
| 58,365,334 |
| 59,222,009 |
| ||
Towd Point Mortgage Trust 2018-5 A1A, VRN — 3.25% 7/25/2058(d)(e) |
| 45,847,838 |
| 46,658,222 |
| ||
Towd Point Mortgage Trust 2015-2 1A1 — 3.25% 11/25/2060(d)(e) |
| 15,860,300 |
| 15,990,059 |
| ||
Towd Point Mortgage Trust 2015-4 A1 — 3.50% 4/25/2055(d)(e) |
| 15,006,928 |
| 15,123,699 |
| ||
Towd Point Mortgage Trust 2015-2 2A1 — 3.75% 11/25/2057(d)(e) |
| 8,890,997 |
| 8,954,781 |
| ||
Towd Point Mortgage Trust 2018-6 A1A, VRN — 3.75% 3/25/2058(d)(e) |
| 46,939,611 |
| 48,139,603 |
| ||
|
|
|
| $ | 507,490,162 |
| |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
|
|
| $ | 1,428,034,668 |
| |
|
|
|
|
|
|
| |
ASSET-BACKED SECURITIES — 52.0% |
|
|
|
|
| ||
AUTO — 18.2% |
|
|
|
|
| ||
Ally Auto Receivables Trust 2019-3 A3 — 1.93% 5/15/2024 |
| $ | 70,270,000 |
| $ | 70,239,833 |
|
Ally Auto Receivables Trust 2017-1 B — 2.35% 3/15/2022 |
| 3,758,000 |
| 3,756,189 |
| ||
Ally Auto Receivables Trust 2017-1 C — 2.48% 5/16/2022 |
| 7,059,000 |
| 7,060,084 |
| ||
AmeriCredit Automobile Receivables Trust 2017-4 A3 — 2.04% 7/18/2022 |
| 9,439,880 |
| 9,439,385 |
| ||
AmeriCredit Automobile Receivables Trust 2017-1 C — 2.71% 8/18/2022 |
| 7,547,000 |
| 7,592,893 |
| ||
BMW Vehicle Lease Trust 2017-2 A4 — 2.19% 3/22/2021 |
| 9,585,000 |
| 9,589,034 |
| ||
BMW Vehicle Owner Trust 2019-A A3 — 1.92% 1/25/2024 |
| 32,758,000 |
| 32,779,011 |
| ||
CarMax Auto Owner Trust 2017-4 A3 — 2.11% 10/17/2022 |
| 7,313,476 |
| 7,318,848 |
| ||
CarMax Auto Owner Trust 2019-3 A3 — 2.18% 8/15/2024 |
| 41,843,000 |
| 41,902,476 |
| ||
|
| Principal |
| Fair Value |
| ||
BONDS & DEBENTURES - Continued |
|
|
|
|
| ||
CarMax Auto Owner Trust 2018-1 A3 — 2.48% 11/15/2022 |
| $ | 18,953,000 |
| $ | 19,026,636 |
|
CarMax Auto Owner Trust 2018-2 A3 — 2.98% 1/17/2023 |
| 22,270,000 |
| 22,474,773 |
| ||
CarMax Auto Owner Trust 2018-2 A4 — 3.16% 7/17/2023 |
| 6,059,000 |
| 6,184,070 |
| ||
CarMax Auto Owner Trust 2019-1 A4 — 3.26% 8/15/2024 |
| 24,353,000 |
| 25,025,094 |
| ||
CarMax Auto Owner Trust 2019-1 B — 3.45% 11/15/2024 |
| 13,090,000 |
| 13,492,028 |
| ||
CarMax Auto Owner Trust 2018-4 A4 — 3.48% 2/15/2024 |
| 22,031,000 |
| 22,801,001 |
| ||
Credit Acceptance Auto Loan Trust 2017-3A A — 2.65% 6/15/2026(e) |
| 13,745,659 |
| 13,773,228 |
| ||
Credit Acceptance Auto Loan Trust 2017-3A B — 3.21% 8/17/2026(e) |
| 36,562,000 |
| 36,825,575 |
| ||
First Investors Auto Owner Trust 2017-1A B — 2.67% 4/17/2023(e) |
| 4,174,000 |
| 4,178,352 |
| ||
First Investors Auto Owner Trust 2017-1A C — 2.95% 4/17/2023(e) |
| 8,149,000 |
| 8,163,600 |
| ||
Ford Credit Auto Lease Trust 2019-B B — 2.36% 1/15/2023 |
| 32,914,000 |
| 32,999,497 |
| ||
Ford Credit Auto Owner Trust 2019-C A3 — 1.87% 3/15/2024 |
| 30,639,000 |
| 30,606,520 |
| ||
GM Financial Automobile Leasing Trust 2019-3 A4 — 2.03% 7/20/2023 |
| 5,929,000 |
| 5,920,061 |
| ||
GM Financial Automobile Leasing Trust 2019-3 B — 2.16% 7/20/2023 |
| 21,492,000 |
| 21,430,976 |
| ||
GM Financial Automobile Leasing Trust 2018-1 A4 — 2.68% 12/20/2021 |
| 15,743,000 |
| 15,787,853 |
| ||
GM Financial Automobile Leasing Trust 2017-2 C — 2.84% 6/21/2021 |
| 3,750,000 |
| 3,752,908 |
| ||
GM Financial Automobile Leasing Trust 2019-2 B — 2.89% 3/20/2023 |
| 12,206,000 |
| 12,319,634 |
| ||
GM Financial Automobile Leasing Trust 2019-1 B — 3.37% 12/20/2022 |
| 43,632,000 |
| 44,290,660 |
| ||
Honda Auto Receivables Owner Trust 2019-3 A3 — 1.78% 8/15/2023 |
| 33,626,000 |
| 33,537,237 |
| ||
Honda Auto Receivables Owner Trust 2019-4 A3 — 1.83% 1/18/2024 |
| 32,441,000 |
| 32,359,560 |
| ||
Honda Auto Receivables Owner Trust 2019-2 A4 — 2.54% 3/21/2025 |
| 21,573,000 |
| 21,856,976 |
| ||
Honda Auto Receivables Owner Trust 2018-1I A4 — 2.78% 5/15/2024 |
| 37,617,000 |
| 38,039,518 |
| ||
Honda Auto Receivables Owner Trust 2019-1 A4 — 2.90% 6/18/2024 |
| 14,962,000 |
| 15,291,893 |
| ||
Hyundai Auto Lease Securitization Trust 2019-B A4 — 2.03% 6/15/2023(e) |
| 10,870,000 |
| 10,840,215 |
| ||
Hyundai Auto Lease Securitization Trust 2019-B B — 2.13% 11/15/2023(e) |
| 41,387,000 |
| 41,266,316 |
| ||
Hyundai Auto Lease Securitization Trust 2017-C A4 — 2.21% 9/15/2021(e) |
| 10,394,000 |
| 10,399,806 |
| ||
Hyundai Auto Lease Securitization Trust 2018-A A4 — 2.89% 3/15/2022(e) |
| 23,622,000 |
| 23,761,854 |
| ||
Hyundai Auto Lease Securitization Trust 2019-A B — 3.25% 10/16/2023(e) |
| 12,636,000 |
| 12,793,366 |
| ||
Hyundai Auto Receivables Trust 2019-A A4 — 2.71% 5/15/2025 |
| 22,000,000 |
| 22,339,876 |
| ||
Hyundai Auto Receivables Trust 2018-A A4 — 2.94% 6/17/2024 |
| 27,125,000 |
| 27,568,572 |
| ||
Mercedes-Benz Auto Lease Trust 2019-B A4 — 2.05% 8/15/2025 |
| 20,719,000 |
| 20,702,516 |
| ||
Mercedes-Benz Auto Lease Trust 2018-A A4 — 2.51% 10/16/2023 |
| 6,318,000 |
| 6,328,719 |
| ||
Mercedes-Benz Auto Receivables Trust 2019-1 A3 — 1.94% 3/15/2024 |
| 48,937,000 |
| 48,908,240 |
| ||
Mercedes-Benz Auto Receivables Trust 2018-1 A4 — 3.15% 10/15/2024 |
| 32,591,000 |
| 33,394,437 |
| ||
Nissan Auto Lease Trust 2017-B A4 — 2.17% 12/15/2021 |
| 11,332,000 |
| 11,333,477 |
| ||
Nissan Auto Lease Trust 2019-B A4 — 2.29% 4/15/2025 |
| 21,027,000 |
| 21,075,825 |
| ||
Nissan Auto Receivables Owner Trust 2019-C A3 — 1.93% 7/15/2024 |
| 35,456,000 |
| 35,482,947 |
| ||
Nissan Auto Receivables Owner Trust 2018-A A3 — 2.65% 5/16/2022 |
| 26,639,631 |
| 26,741,978 |
| ||
Nissan Auto Receivables Owner Trust 2019-A A3 — 2.90% 10/16/2023 |
| 5,864,000 |
| 5,957,733 |
| ||
Nissan Auto Receivables Owner Trust 2018-B A4 — 3.16% 12/16/2024 |
| 27,408,000 |
| 28,102,489 |
| ||
Prestige Auto Receivables Trust 2019-1A B — 2.53% 1/16/2024(e) |
| 17,546,000 |
| 17,602,782 |
| ||
Prestige Auto Receivables Trust 2017-1A C — 2.81% 1/17/2023(e) |
| 30,628,000 |
| 30,638,043 |
| ||
Toyota Auto Receivables Owner Trust 2019-C A3 — 1.91% 9/15/2023 |
| 37,055,000 |
| 37,063,823 |
| ||
Toyota Auto Receivables Owner Trust 2019-D A3 — 1.92% 1/16/2024 |
| 34,225,000 |
| 34,204,465 |
| ||
Volkswagen Auto Lease Trust 2019-A A4 — 2.02% 8/20/2024 |
| 16,152,000 |
| 16,099,270 |
| ||
Westlake Automobile Receivables Trust 2018-1A C — 2.92% 5/15/2023(e) |
| 12,425,000 |
| 12,455,666 |
| ||
World Omni Auto Receivables Trust 2019-C A3 — 1.96% 12/16/2024 |
| 40,212,000 |
| 40,127,382 |
| ||
World Omni Auto Receivables Trust 2018-A A3 — 2.50% 4/17/2023 |
| 30,967,763 |
| 31,103,021 |
| ||
World Omni Auto Receivables Trust 2018-A B — 2.89% 4/15/2025 |
| 4,865,000 |
| 4,928,065 |
| ||
|
| Principal |
| Fair Value |
| ||
BONDS & DEBENTURES - Continued |
|
|
|
|
| ||
World Omni Auto Receivables Trust 2018-B A4 — 3.03% 6/17/2024 |
| $ | 1,982,000 |
| $ | 2,023,128 |
|
World Omni Auto Receivables Trust 2019-A A3 — 3.04% 5/15/2024 |
| 30,746,000 |
| 31,288,473 |
| ||
World Omni Auto Receivables Trust 2019-A B — 3.34% 6/16/2025 |
| 10,560,000 |
| 10,813,806 |
| ||
World Omni Automobile Lease Securitization Trust 2019-B A4 — 2.07% 2/18/2025 |
| 21,951,000 |
| 21,899,992 |
| ||
World Omni Automobile Lease Securitization Trust 2019-B B — 2.13% 2/18/2025 |
| 12,293,000 |
| 12,247,061 |
| ||
World Omni Automobile Lease Securitization Trust 2018-B B — 3.43% 3/15/2024 |
| 11,060,000 |
| 11,221,468 |
| ||
|
|
|
| $ | 1,370,530,214 |
| |
COLLATERALIZED LOAN OBLIGATION — 9.3% |
|
|
|
|
| ||
Adams Mill CLO Ltd. 2014-1A B2R — 3.35% 7/15/2026(e) |
| $ | 8,136,000 |
| $ | 8,134,731 |
|
B&M CLO Ltd. 2014-1A A2R, 3M USD LIBOR + 1.600% — 3.601% 4/16/2026(d)(e) |
| 12,409,000 |
| 12,396,914 |
| ||
Black Diamond CLO Ltd. 2014-1A A1R, 3M USD LIBOR + 1.150% — 3.152% 10/17/2026(d)(e) |
| 17,428,601 |
| 17,439,669 |
| ||
California Street CLO XII Ltd. 2013-12A B2R — 3.389% 10/15/2025(e) |
| 15,800,000 |
| 15,798,294 |
| ||
Cerberus Corporate Credit Solutions Fund, 3M USD LIBOR + 1.530% — 3.531% 10/15/2030(d)(e) |
| 13,879,000 |
| 13,843,359 |
| ||
Cerberus Loan Funding XVIII LP 2017-1A A, 3M USD LIBOR + 1.750% — 3.751% 4/15/2027(d)(e) |
| 34,796,581 |
| 34,809,525 |
| ||
Cerberus Loan Funding XXI LP 2017-4A A, 3M USD LIBOR + 1.450% — 3.451% 10/15/2027(d)(e) |
| 38,840,000 |
| 38,830,834 |
| ||
Elm Trust 2016-1A A2 — 4.163% 6/20/2025(e) |
| 3,390,369 |
| 3,404,065 |
| ||
Elm Trust 2018-2A A2 — 4.605% 10/20/2027(e) |
| 22,693,000 |
| 22,793,623 |
| ||
Fortress Credit Opportunities IX CLO Ltd. 2017-9A A1T, 3M USD LIBOR + 1.550% — 3.46% 11/15/2029(d)(e) |
| 63,296,000 |
| 62,961,291 |
| ||
Fortress Credit Opportunities IX CLO Ltd. 2017-9A E, 3M USD LIBOR + 7.250% — 9.16% 11/15/2029(d)(e) |
| 12,772,000 |
| 12,121,062 |
| ||
Fortress Credit Opportunities VII CLO Ltd. 2016-7I E, 3M USD LIBOR + 7.490% — 9.384% 12/15/2028(d) |
| 20,977,000 |
| 20,121,453 |
| ||
Halcyon Loan Advisors Funding Ltd. 2015-3A A1R, 3M USD LIBOR + 0.900% — 2.903% 10/18/2027(d)(e) |
| 43,913,000 |
| 43,913,044 |
| ||
Halcyon Loan Advisors Funding Ltd. 2015-1A AR, 3M USD LIBOR + 0.920% — 2.886% 4/20/2027(d)(e) |
| 36,339,106 | �� | 36,340,451 |
| ||
Halcyon Loan Advisors Funding Ltd. 2014-3A AR, 3M USD LIBOR + 1.100% — 3.053% 10/22/2025(d)(e) |
| 8,027,863 |
| 8,029,541 |
| ||
Hercules Capital Funding Trust 2018-1A A — 4.605% 11/22/2027(e) |
| 21,762,000 |
| 21,826,485 |
| ||
Hercules Capital Funding Trust 2019-1A A — 4.703% 2/20/2028(e) |
| 47,606,000 |
| 47,863,615 |
| ||
Ivy Hill Middle Market Credit Fund VII Ltd. 7A AR, 3M USD LIBOR + 1.530% — 3.496% 10/20/2029(d)(e) |
| 7,430,000 |
| 7,422,778 |
| ||
Ivy Hill Middle Market Credit Fund X Ltd. 10A A1AR, 3M USD LIBOR + 1.250% — 3.253% 7/18/2030(d)(e) |
| 26,085,000 |
| 25,704,968 |
| ||
Saranac CLO III Ltd. 2014-3A ALR, 3M USD LIBOR + 1.100% — 3.028% 6/22/2030(d)(e) |
| 26,217,000 |
| 26,185,539 |
| ||
Silvermore CLO Ltd. 2014-1A A1R, 3M USD LIBOR + 1.170% — 3.08% 5/15/2026(d)(e) |
| 12,109,757 |
| 12,121,092 |
| ||
Telos CLO Ltd. 2014-5A A1R, 3M USD LIBOR + 0.950% — 2.952% 4/17/2028(d)(e) |
| 32,022,000 |
| 31,916,295 |
| ||
Telos CLO Ltd. 2013-3A AR, 3M USD LIBOR + 1.300% — 3.302% 7/17/2026(d)(e) |
| 22,264,125 |
| 22,264,102 |
| ||
Telos CLO Ltd. 2013-3A BR, 3M USD LIBOR + 2.000% — 4.002% 7/17/2026(d)(e) |
| 20,894,000 |
| 20,764,541 |
| ||
|
| Principal |
| Fair Value |
| ||
BONDS & DEBENTURES - Continued |
|
|
|
|
| ||
THL Credit Wind River CLO Ltd. 2016-1A AR, 3M USD LIBOR + 1.050% — 3.036% 7/15/2028(d)(e) |
| $ | 27,873,000 |
| $ | 27,824,166 |
|
VCO CLO LLC 2018-1A A, 3M USD LIBOR + 1.500% — 3.466% 7/20/2030(d)(e) |
| 26,276,000 |
| 26,281,938 |
| ||
Venture XXV CLO Ltd. 2016-25A AR, 3M USD LIBOR + 1.230% — 2.992% 4/20/2029(d)(e) |
| 35,216,000 |
| 35,215,472 |
| ||
Wellfleet CLO Ltd. 2016-1A AR, 3M USD LIBOR + 0.910% — 2.876% 4/20/2028(d)(e) |
| 26,029,000 |
| 25,954,791 |
| ||
West CLO Ltd. 2014-2A A1BR — 2.724% 1/16/2027(e) |
| 5,603,859 |
| 5,603,142 |
| ||
West CLO Ltd. 2013-1A A2BR — 3.393% 11/7/2025(e) |
| 7,293,544 |
| 7,292,676 |
| ||
Zais CLO 2 Ltd. 2014-2A A1BR — 2.92% 7/25/2026(e) |
| 2,454,053 |
| 2,453,869 |
| ||
|
|
|
| $ | 697,633,325 |
| |
CREDIT CARD — 3.8% |
|
|
|
|
| ||
American Express Credit Account Master Trust 2017-6 B — 2.20% 5/15/2023 |
| $ | 39,998,000 |
| $ | 40,041,506 |
|
American Express Credit Account Master Trust 2019-2 A — 2.67% 11/15/2024 |
| 16,863,000 |
| 17,160,925 |
| ||
American Express Credit Account Master Trust 2019-1 A — 2.87% 10/15/2024 |
| 15,004,000 |
| 15,319,125 |
| ||
Barclays Dryrock Issuance Trust 2019-1 A — 1.96% 5/15/2025 |
| 57,546,000 |
| 57,480,651 |
| ||
Golden Credit Card Trust 2018-1A A — 2.62% 1/15/2023(e) |
| 32,022,000 |
| 32,230,117 |
| ||
Synchrony Card Funding LLC 2019-A2 A — 2.34% 6/15/2025 |
| 64,171,000 |
| 64,747,974 |
| ||
Synchrony Card Issuance Trust 2018-A1 A1 — 3.38% 9/15/2024 |
| 56,311,000 |
| 57,567,192 |
| ||
|
|
|
| $ | 284,547,490 |
| |
EQUIPMENT — 16.5% |
|
|
|
|
| ||
ARI Fleet Lease Trust 2019-A A2A — 2.41% 11/15/2027(e) |
| $ | 23,167,000 |
| $ | 23,246,379 |
|
ARI Fleet Lease Trust 2018-A A3 — 2.84% 10/15/2026(e) |
| 13,974,000 |
| 14,061,878 |
| ||
Ascentium Equipment Receivables 2019-2A A3 — 2.19% 11/10/2026(e) |
| 44,282,000 |
| 44,141,732 |
| ||
Ascentium Equipment Receivables Trust 2017-2A A3 — 2.31% 12/10/2021(e) |
| 10,371,855 |
| 10,389,592 |
| ||
Ascentium Equipment Receivables Trust 2019-1A A3 — 2.83% 5/12/2025(e) |
| 58,897,000 |
| 59,811,240 |
| ||
Avis Budget Rental Car Funding AESOP LLC 2015-1A A — 2.50% 7/20/2021(e) |
| 48,657,000 |
| 48,718,464 |
| ||
Avis Budget Rental Car Funding AESOP LLC 2015-2A A — 2.63% 12/20/2021(e) |
| 22,666,000 |
| 22,725,766 |
| ||
Avis Budget Rental Car Funding AESOP LLC 2017-2A A — 2.97% 3/20/2024(e) |
| 8,580,000 |
| 8,709,009 |
| ||
Avis Budget Rental Car Funding AESOP LLC 2019-1A A — 3.45% 3/20/2023(e) |
| 13,010,000 |
| 13,301,014 |
| ||
CCG Receivables Trust 2018-1 A2 — 2.50% 6/16/2025(e) |
| 5,680,412 |
| 5,690,712 |
| ||
Chesapeake Funding II LLC 2019-2A A1 — 1.95% 9/15/2031(e) |
| 48,772,305 |
| 48,546,211 |
| ||
Chesapeake Funding II LLC 2017-4A A1 — 2.12% 11/15/2029(e) |
| 13,554,488 |
| 13,559,323 |
| ||
Coinstar Funding LLC Series 2017-1A A2 — 5.216% 4/25/2047(e) |
| 8,247,525 |
| 8,437,503 |
| ||
Daimler Trucks Retail Trust 2019-1 A4 — 2.79% 5/15/2025(e) |
| 23,397,000 |
| 23,733,435 |
| ||
Dell Equipment Finance Trust 2019-2 A3 — 1.91% 10/22/2024(e) |
| 16,374,000 |
| 16,317,141 |
| ||
Dell Equipment Finance Trust 2019-2 B — 2.06% 10/22/2024(e) |
| 21,992,000 |
| 21,804,613 |
| ||
Dell Equipment Finance Trust 2019-1 B — 2.94% 3/22/2024(e) |
| 27,810,000 |
| 28,190,705 |
| ||
Enterprise Fleet Financing LLC 2017-3 A2 — 2.13% 5/22/2023(e) |
| 6,582,035 |
| 6,580,555 |
| ||
Enterprise Fleet Financing LLC 2017-2 A3 — 2.22% 1/20/2023(e) |
| 23,511,000 |
| 23,546,579 |
| ||
Enterprise Fleet Financing LLC 2019-2 A2 — 2.29% 2/20/2025(e) |
| 46,144,000 |
| 46,297,535 |
| ||
Enterprise Fleet Financing LLC 2017-1 A3 — 2.60% 7/20/2022(e) |
| 9,653,000 |
| 9,668,911 |
| ||
GreatAmerica Leasing Receivables Funding LLC 2019-1 A4 — 3.21% 2/18/2025(e) |
| 10,720,000 |
| 10,954,585 |
| ||
GreatAmerica Leasing Receivables Funding LLC Series 2017-1 A4 — 2.36% 1/20/2023(e) |
| 6,407,323 |
| 6,414,240 |
| ||
GreatAmerica Leasing Receivables Funding LLC Series 2018-1 A4 — 2.83% 6/17/2024(e) |
| 8,631,000 |
| 8,693,332 |
| ||
GreatAmerica Leasing Receivables Funding LLC Series 2017-1 C — 2.89% 1/22/2024(e) |
| 2,609,000 |
| 2,616,050 |
| ||
GreatAmerica Leasing Receivables Funding LLC Series 2018-1 B — 2.99% 6/17/2024(e) |
| 920,000 |
| 930,617 |
| ||
Hertz Fleet Lease Funding LP 2018-1 A2 — 3.23% 5/10/2032(e) |
| 13,897,071 |
| 13,994,186 |
| ||
|
| Principal |
| Fair Value |
| ||
BONDS & DEBENTURES - Continued |
|
|
|
|
| ||
HPEFS Equipment Trust 2019-1A B — 2.32% 9/20/2029(e) |
| $ | 6,292,000 |
| $ | 6,287,482 |
|
John Deere Owner Trust 2019-B A3 — 2.21% 12/15/2023 |
| 15,542,000 |
| 15,619,458 |
| ||
John Deere Owner Trust 2018-A A4 — 2.91% 1/15/2025 |
| 24,496,000 |
| 24,687,561 |
| ||
John Deere Owner Trust 2019-A A4 — 3.00% 1/15/2026 |
| 13,310,000 |
| 13,604,671 |
| ||
John Deere Owner Trust 2018-B A4 — 3.23% 6/16/2025 |
| 26,991,000 |
| 27,602,713 |
| ||
Kubota Credit Owner Trust 2018-1A A3 — 3.10% 8/15/2022(e) |
| 41,762,000 |
| 42,260,906 |
| ||
Kubota Credit Owner Trust 2018-1A A4 — 3.21% 1/15/2025(e) |
| 6,709,000 |
| 6,868,598 |
| ||
MMAF Equipment Finance LLC 2017-B A4 — 2.41% 11/15/2024(e) |
| 16,545,000 |
| 16,662,135 |
| ||
MMAF Equipment Finance LLC 2017-B A3 — 2.21% 10/17/2022(e) |
| 16,549,339 |
| 16,559,619 |
| ||
MMAF Equipment Finance LLC 2019-A A3 — 2.84% 11/13/2023(e) |
| 23,174,000 |
| 23,470,426 |
| ||
NextGear Floorplan Master Owner Trust 2019-2A A2 — 2.07% 10/15/2024(e) |
| 29,251,000 |
| 28,946,790 |
| ||
NextGear Floorplan Master Owner Trust 2017-1A A2 — 2.54% 4/18/2022(e) |
| 22,933,000 |
| 22,952,892 |
| ||
NextGear Floorplan Master Owner Trust 2017-2A B — 3.02% 10/17/2022(e) |
| 20,252,000 |
| 20,354,854 |
| ||
NextGear Floorplan Master Owner Trust 2018-1A A2 — 3.22% 2/15/2023(e) |
| 12,191,000 |
| 12,329,927 |
| ||
Prop Series 2017-1A — 5.30% 3/15/2042(b) |
| 21,959,090 |
| 21,611,841 |
| ||
Verizon Owner Trust 2019-A A1A — 2.93% 9/20/2023 |
| 36,729,000 |
| 37,263,958 |
| ||
Verizon Owner Trust 2019-A B — 3.02% 9/20/2023 |
| 18,870,000 |
| 19,249,164 |
| ||
Verizon Owner Trust 2019-C A1A — 1.94% 4/22/2024 |
| 18,616,000 |
| 18,590,334 |
| ||
Verizon Owner Trust 2017-3A A1A — 2.06% 4/20/2022(e) |
| 16,239,428 |
| 16,245,843 |
| ||
Verizon Owner Trust 2019-C B — 2.06% 4/22/2024 |
| 42,152,000 |
| 41,975,931 |
| ||
Verizon Owner Trust 2017-2A B — 2.22% 12/20/2021(e) |
| 24,147,000 |
| 24,164,444 |
| ||
Verizon Owner Trust 2017-3A B — 2.38% 4/20/2022(e) |
| 19,491,000 |
| 19,544,468 |
| ||
Verizon Owner Trust 2019-B B — 2.40% 12/20/2023 |
| 42,076,000 |
| 42,209,924 |
| ||
Verizon Owner Trust 2017-1A B — 2.45% 9/20/2021(e) |
| 33,818,000 |
| 33,873,056 |
| ||
Verizon Owner Trust 2018-1A B — 3.05% 9/20/2022(e) |
| 24,278,000 |
| 24,572,662 |
| ||
Verizon Owner Trust 2018-A B — 3.38% 4/20/2023 |
| 26,414,000 |
| 27,077,150 |
| ||
Volvo Financial Equipment LLC Series 2017-1A A4 — 2.21% 11/15/2021(e) |
| 5,966,000 |
| 5,971,511 |
| ||
Volvo Financial Equipment LLC Series 2018-1A A3 — 2.54% 2/15/2022(e) |
| 37,337,209 |
| 37,427,419 |
| ||
Volvo Financial Equipment LLC Series 2019-1A A4 — 3.13% 11/15/2023(e) |
| 17,060,000 |
| 17,418,045 |
| ||
Wheels SPV 2 LLC 2019-1A A3 — 2.35% 5/22/2028(e) |
| 32,817,000 |
| 32,859,852 |
| ||
Wheels SPV 2 LLC 2018-1A A3 — 3.24% 4/20/2027(e) |
| 12,759,000 |
| 12,936,438 |
| ||
|
|
|
| $ | 1,252,281,379 |
| |
OTHER — 4.2% |
|
|
|
|
| ||
New Residential Advance Receivables Trust Advance Receivables Backed 2019-T3 AT3 — 2.512% 9/15/2052(e) |
| $ | 31,799,000 |
| $ | 31,746,827 |
|
New Residential Mortgage LLC 2018-FNT1 A — 3.61% 5/25/2023(e) |
| 23,090,014 |
| 23,075,583 |
| ||
New Residential Mortgage LLC 2018-FNT2 A — 3.79% 7/25/2054(e) |
| 28,172,024 |
| 28,154,417 |
| ||
NRZ Excess Spread-Collateralized Notes Series 2018-PLS1 A — 3.193% 1/25/2023(e) |
| 10,986,218 |
| 10,979,351 |
| ||
NRZ Excess Spread-Collateralized Notes Series 2018-PLS2 A — 3.265% 2/25/2023(e) |
| 12,503,236 |
| 12,495,421 |
| ||
PFS Financing Corp. 2017-BA A2 — 2.22% 7/15/2022(e) |
| 22,138,000 |
| 22,161,783 |
| ||
PFS Financing Corp. 2017-D A — 2.40% 10/17/2022(e) |
| 16,852,000 |
| 16,880,712 |
| ||
PFS Financing Corp. 2017-BA B — 2.57% 7/15/2022(e) |
| 7,305,000 |
| 7,290,646 |
| ||
PFS Financing Corp. 2017-D B — 2.74% 10/17/2022(e) |
| 7,798,000 |
| 7,790,328 |
| ||
PFS Financing Corp. 2019-A A2 — 2.86% 4/15/2024(e) |
| 20,397,000 |
| 20,649,419 |
| ||
PFS Financing Corp. 2018-B A — 2.89% 2/15/2023(e) |
| 28,344,000 |
| 28,559,627 |
| ||
PFS Financing Corp. 2018-B B — 3.08% 2/15/2023(e) |
| 7,809,000 |
| 7,847,359 |
| ||
PFS Financing Corp. 2019-A B — 3.13% 4/15/2024(e) |
| 4,897,000 |
| 4,964,641 |
| ||
PFS Financing Corp. 2018-D A — 3.19% 4/17/2023(e) |
| 35,001,000 |
| 35,388,895 |
| ||
|
| Principal |
| Fair Value |
| ||
BONDS & DEBENTURES - Continued |
|
|
|
|
| ||
PFS Financing Corp. 2018-D B — 3.45% 4/17/2023(e) |
| $ | 17,375,000 |
| $ | 17,527,919 |
|
PFS Financing Corp. 2018-F A — 3.52% 10/15/2023(e) |
| 31,951,000 |
| 32,298,288 |
| ||
PFS Financing Corp. 2018-F B — 3.77% 10/15/2023(e) |
| 5,641,000 |
| 5,715,579 |
| ||
|
|
|
| $ | 313,526,795 |
| |
TOTAL ASSET-BACKED SECURITIES (Cost $3,901,470,896) |
|
|
| $ | 3,918,519,203 |
| |
|
|
|
|
|
| ||
CORPORATE BONDS & NOTES — 1.7% |
|
|
|
|
| ||
BASIC MATERIALS — 0.9% |
|
|
|
|
| ||
PT Boart Longyear Management Pty Ltd. PIK, 10.00% Cash or 12.00% PIK — 10.00% 12/31/2022 |
| $ | 67,602,030 |
| $ | 67,095,015 |
|
COMMUNICATIONS — 0.2% |
|
|
|
|
| ||
Cisco Systems, Inc. — 2.45% 6/15/2020 |
| $ | 19,864,000 |
| $ | 19,875,978 |
|
CONSUMER, CYCLICAL — 0.0% |
|
|
|
|
| ||
Continental Airlines 2000-1 Class B Pass Through Trust — 8.388% 5/1/2022 |
| $ | 2,523 |
| $ | 2,624 |
|
CONSUMER, NON-CYCLICAL — 0.6% |
|
|
|
|
| ||
StoneMor Partners LP / Cornerstone Family Services of West Virginia Subsidiary — 11.50% 6/30/2024(e) |
| $ | 44,467,693 |
| $ | 43,661,716 |
|
TECHNOLOGY — 0.0% |
|
|
|
|
| ||
Oracle Corp. — 3.875% 7/15/2020 |
| $ | 842,000 |
| $ | 850,696 |
|
TOTAL CORPORATE BONDS & NOTES (Cost $131,300,526) |
|
|
| $ | 131,486,029 |
| |
|
|
|
|
|
| ||
CORPORATE BANK DEBT — 4.3% |
|
|
|
|
| ||
ABG Intermediate Holdings 2 LLC, 1M USD LIBOR + 7.750% — 9.549% 9/29/2025(a)(d) |
| $ | 32,532,986 |
| $ | 32,451,653 |
|
Boart Longyear Management Pty Ltd. TL, 10.000% Cash or 11.000% PIK — 11.000% 10/23/2020(a) |
| 4,891,724 |
| 4,885,903 |
| ||
Frontier Communications Corp., 1M USD LIBOR + 3.000% — 4.799% 2/27/2022(a)(d) |
| 26,697,000 |
| 25,918,249 |
| ||
General Nutrition Centers, Inc., 1M USD LIBOR + 7.000% — 8.800% 12/31/2022(a)(d) |
| 36,400,000 |
| 36,218,000 |
| ||
Hanjin International Corp., 1M USD LIBOR + 2.500% — 4.299% 10/18/2020(a)(d) |
| 3,327,000 |
| 3,310,365 |
| ||
JC Penney Corp., Inc., 3M USD LIBOR + 4.250% — 6.159% 6/23/2023(a)(d) |
| 32,827,507 |
| 28,806,137 |
| ||
Logix Holding Co. LLC TL 1L, 1M USD LIBOR + 5.750% — 7.549% 12/22/2024(a)(d) |
| 14,058,744 |
| 14,014,881 |
| ||
MB2LTL, 2M USD LIBOR + 9.250% — 11.085% 11/30/2023(a)(b)(d) |
| 6,816,000 |
| 6,786,010 |
| ||
MEC Filo TL 1, 1M USD LIBOR + 9.500% — 11.50% 2/12/2021(a)(b)(d) |
| 19,768,000 |
| 19,768,000 |
| ||
Mediaco Holding, Inc. Class A, 1M USD LIBOR + 6.400% — 8.400% 11/25/2024(a)(b)(d) |
| 12,457,050 |
| 12,335,008 |
| ||
OTGTL, 3M USD LIBOR + 7.000% — 8.981% 8/23/2021(a)(b)(d) |
| 25,573,000 |
| 25,518,274 |
| ||
Polyconcept North America Holdings, Inc., 1M USD LIBOR + 4.500% — 6.200% 8/16/2023(a)(d) |
| 24,743,000 |
| 24,681,142 |
| ||
SDTL, 11/22/2021(a)(b)(d) |
|
|
|
|
| ||
1M USD LIBOR + 4.500% — 6.299% |
| 3,801,411 |
| 3,782,138 |
| ||
3M USD LIBOR + 4.500% — 6.830% |
| 6,001,000 |
| 5,970,575 |
| ||
Transform SR Holdings LLC Term Loan B, 3M USD LIBOR + 7.250% — 9.184% 2/12/2024(a)(d) |
| 30,268,000 |
| 30,268,605 |
| ||
Xplornet Communication, Inc., 3M USD LIBOR + 4.000% — 5.945% 9/9/2021(a)(d) |
| 28,362,729 |
| 28,080,803 |
| ||
ZW1L, 3M USD LIBOR + 5.000% — 6.930% 11/16/2022(a)(b)(d) |
| 14,621,100 |
| 14,546,532 |
| ||
ZW2L, 3M USD LIBOR + 9.000% — 10.950% 11/16/2023(a)(b)(d) |
| 3,362,964 |
| 3,361,417 |
| ||
|
| Principal |
| Fair Value |
| ||
BONDS & DEBENTURES - Continued |
|
|
|
|
| ||
TOTAL CORPORATE BANK DEBT(Cost $322,472,905) |
|
|
| $ | 320,703,692 |
| |
U.S. TREASURIES — 13.5% |
|
|
|
|
| ||
U.S. Treasury Bills — 1.516% 1/7/2020 |
| $ | 122,717,000 |
| $ | 122,692,285 |
|
U.S. Treasury Bills — 1.482% 1/14/2020 |
| 370,196,000 |
| 370,013,345 |
| ||
U.S. Treasury Notes — 1.75% 7/15/2022 |
| 521,298,000 |
| 523,031,942 |
| ||
TOTAL U.S. TREASURIES |
|
|
| $ | 1,015,737,572 |
| |
TOTAL BONDS & DEBENTURES — 99.2%(Cost $7,467,406,417) |
|
|
| $ | 7,468,480,736 |
| |
TOTAL INVESTMENT SECURITIES — 99.5%(Cost $7,499,171,368) |
|
|
| $ | 7,494,216,424 |
| |
SHORT-TERM INVESTMENTS — 0.2% |
|
|
|
|
| ||
State Street Bank Repurchase Agreement — 0.12% 1/2/2020 |
|
|
|
|
| ||
(Dated 12/31/2019, repurchase price of $13,469,090, collateralized by $13,800,000 principal amount U.S. Treasury Notes — 1.250% 2021, fair value $13,743,268) |
| $ | 13,469,000 |
| $ | 13,469,000 |
|
TOTAL SHORT-TERM INVESTMENTS (Cost $13,469,000) |
|
|
| $ | 13,469,000 |
| |
TOTAL INVESTMENTS — 99.7% (Cost $7,512,640,368) |
|
|
| $ | 7,507,685,424 |
| |
Other Assets and Liabilities, net — 0.3% |
|
|
| 25,007,694 |
| ||
NET ASSETS — 100.0% — NOTE 2 |
|
|
| $ | 7,532,693,118 |
| |
(a) Restricted securities. These restricted securities constituted 4.59% of total net assets at December 31, 2019, most of which are considered liquid by the Adviser. These securities are not registered and may not be sold to the public. There are legal and/or contractual restrictions on resale. The Fund does not have the right to demand that such securities be registered. The values of these securities are determined by valuations provided by pricing services, brokers, dealers, market makers, or in good faith under policies adopted by authority of the Fund’s Board of Directors.
(b) Investments categorized as a significant unobservable input (Level 3) (See Note 1 of the Notes to Financial Statements).
(c) Non-income producing security.
(d) Variable/Floating Rate Security — The rate shown is based on the latest available information as of December 31, 2019. For Corporate Bank Debt, the rate shown may represent a weighted average interest rate. Certain variable rate securities are not based on a published rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid.
(f) Zero coupon bond. Coupon amount represents effective yield to maturity.
FPA NEW INCOME, INC.
PORTFOLIO OF INVESTMENTS — RESTRICTED SECURITIES
December 31, 2019
(Unaudited)
Issuer |
| Acquisition Date (s) |
| Cost |
| Fair Value |
| Fair Value as a % of |
| ||
ABG Intermediate Holdings 2 LLC, 1M USD LIBOR + 7.750% — 9.549% 9/29/2025 |
| 9/26/2017, 4/11/2018, 6/21/2018, 6/25/2018, 7/3/2018, 11/2/2018, 12/3/2018, 1/11/2019, 2/12/2019, 5/29/2019, 9/20/2019, 9/27/2019, 10/16/2019 |
| $ | 32,485,256 |
| $ | 32,451,653 |
| 0.44 | % |
Boart Longyear Management Pty Ltd. TL, 10.000% Cash or 11.000% PIK — 11.000% 10/23/2020 |
| 9/1/2017, 6/29/2018, 9/29/2018, 12/31/2018, 1/11/2019, 3/29/2019, 6/28/2019, 9/30/2019, 12/31/2019 |
| 4,844,267 |
| 4,885,903 |
| 0.06 | % | ||
Frontier Communications Corp., 1M USD LIBOR + 3.000% — 4.799% 2/27/2022 |
| 12/10/2019 |
| 25,762,605 |
| 25,918,249 |
| 0.34 | % | ||
General Nutrition Centers, Inc., 1M USD LIBOR + 7.000% — 8.800% 12/31/2022 |
| 12/21/2018, 12/04/2019, 12/11/2019 |
| 36,354,560 |
| 36,218,000 |
| 0.49 | % | ||
Hanjin International Corp., 1M USD LIBOR + 2.500% — 4.299% 10/18/2020 |
| 10/31/2019 |
| 3,301,637 |
| 3,310,365 |
| 0.04 | % | ||
JC Penney Corp., Inc., 3M USD LIBOR + 4.250% — 6.159% 6/23/2023 |
| 10/04/2017, 10/5/2017, 10/6/2017, 10/11/2017, 11/19/2018, 11/27/2018, 1/11/2019, 2/8/2019, 3/11/2019, 5/29/2019 |
| 30,912,414 |
| 28,806,137 |
| 0.39 | % | ||
Logix Holding Co. LLC TL 1L, 1M USD LIBOR + 5.750% — 7.549% 12/22/2024 |
| 8/11/2017, 1/11/2019, 6/18/2019, 6/19/2019 |
| 13,979,680 |
| 14,014,881 |
| 0.19 | % | ||
MB2LTL, 2M USD LIBOR + 9.250% — 11.085% 11/30/2023 |
| 12/2/2016, 1/31/2017 |
| 6,749,921 |
| 6,786,010 |
| 0.09 | % | ||
MEC Filo TL 1, 1M USD LIBOR + 9.500% — 11.50% 2/12/2021 |
| 11/7/2019 |
| 19,592,565 |
| 19,768,000 |
| 0.26 | % | ||
Mediaco Holding, Inc. Class A, 1M USD LIBOR + 6.400% — 8.400% 11/25/2024 |
| 11/25/2019, 12/12/2019, 12/13/2019, 12/18/2019, 12/31/2019 |
| 12,490,354 |
| 12,335,008 |
| 0.16 | % | ||
OTGTL, 3M USD LIBOR + 7.000% — 8.981% 8/23/2021 |
| 8/26/2016, 8/26/2016, 2/28/2017, 5/26/2017, 6/14/2017, 8/30/2017, 11/30/2017, 1/26/2018, 1/26/2018, 3/8/2018, 5/09/2018, 5/15/2018, 6/13/2018, 7/13/2018, 8/17/2018, 10/10/2018 |
| 25,374,411 |
| 25,518,274 |
| 0.34 | % | ||
PHI GROUP, Inc. |
| 8/19/2019 |
| 21,626,709 |
| 16,916,198 |
| 0.22 | % | ||
PHI GROUP, Inc., Restricted |
| 8/19/2019 |
| 9,504,696 |
| 7,825,532 |
| 0.10 | % | ||
Polyconcept North America Holdings, Inc., 1M USD LIBOR + 4.500% — 6.200% 8/16/2023 |
| 11/18/2019 |
| 24,495,570 |
| 24,681,143 |
| 0.33 | % | ||
SDTL, 11/22/2021 |
| 12/22/2016 |
| 9,718,649 |
| 9,752,713 |
| 0.13 | % | ||
Issuer |
| Acquisition Date (s) |
| Cost |
| Fair Value |
| Fair Value as a% of |
| ||
Transform SR Holdings LLC Term Loan B, 3M USD LIBOR + 7.250% — 9.184% 2/12/2024 |
| 2/11/2019, 2/19/2019, 8/2/2019, 9/5/2019, 9/11/2019, 11/22/2019, 12/16/2019 |
| $ | 30,376,450 |
| $ | 30,268,605 |
| 0.40 | % |
Xplornet Communication, Inc., 3M USD LIBOR + 4.000% — 5.945% 9/9/2021 |
| 9/8/2016, 5/22/2017, 10/18/2017, 6/13/2019, 6/28/2019, 9/24/2019 |
| 28,323,351 |
| 28,080,803 |
| 0.38 | % | ||
ZW1L, 3M USD LIBOR + 5.000% — 6.930% 11/16/2022 |
| 11/17/2016, 12/10/2019 |
| 14,538,007 |
| 14,546,532 |
| 0.19 | % | ||
ZW2L, 3M USD LIBOR + 9.000% — 10.950% 11/16/2023 |
| 11/17/2016, 12/10/2019 |
| 3,329,342 |
| 3,361,417 |
| 0.04 | % | ||
TOTAL RESTRICTED SECURITIES |
|
|
| $ | 353,760,444 |
| $ | 345,445,423 |
| 4.59 | % |
See Notes to Financial Statements.
NOTE 1 — Disclosure of Fair Value Measurements
TheFund uses the following methods and inputs to establish the fair value of its assets and liabilities. Use of particular methods and inputs may vary over time based on availability and relevance as market and economic conditions evolve.
Equity securities are generally valued each day at the official closing price of, or the last reported sale price on, the exchange or market on which such securities principally are traded, as of the close of business on that day. If there have been no sales that day, equity securities are generally valued at the last available bid price. Securities that are unlisted and fixed-income and convertible securities listed on a national securities exchange for which the over-the-counter(“OTC”) market more accurately reflects the securities’ value in the judgment of the Fund’s officers, are valued at the most recent bid price. However, most fixed income securities are generally valued at prices obtained from pricing vendors and brokers. Vendors value such securities based on one or more of the following inputs: transactions, bids, offers quotations from dealers and trading systems, spreads and other relationships observed in the markets among comparable securities, benchmarks, underlying equity of the issuer, and proprietary pricing models such as cash flows, financial or collateral performance and other reference data (includes prepayments, defaults, collateral, credit enhancements, and interest rate volatility). Short-term corporate notes with maturities of 60 days or less at the time of purchase are valued at amortized cost.
Securities for which representative market quotations are not readily available or are considered unreliable by the Adviser are valued as determined in good faith under procedures adopted by the authority of the Fund’s Board of Directors. Various inputs may be reviewed in order to make a good faith determination of a security’s value. These inputs include, but are not limited to, the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; actively traded similar or related securities; conversion or exchange rights on the security; related corporate actions; significant events occurring after the close of trading in the security; and changes in overall market conditions. Fair valuations and valuations of investments that are not actively trading involve judgment and may differ materially from valuations of investments that would have been used had greater market activity occurred.
TheFund classifies its assets based on three valuation methodologies. Level 1 values are based on quoted market prices in active markets for identical assets. Level 2 values are based on significant observable market inputs, such as quoted prices for similar assets and quoted prices in inactive markets or other market observable inputs as noted above including spreads, cash flows, financial performance, prepayments, defaults, collateral, credit enhancements, and interest rate volatility. Level 3 values are based on significant unobservable inputs that reflect the Fund’s determination of assumptions that market participants might reasonably use in valuing the assets. These assumptions consider inputs such as proprietary pricing models, cash flows, prepayments, defaults, and collateral. The valuation levels are not necessarily an indication of the risk associated with investing in those securities. The following table presents the valuation levels of the Fund’s investments as of December 31, 2019:
Investments |
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
Common Stocks |
|
|
|
|
|
|
|
|
| ||||
Energy |
| — |
| — |
| $ | 24,741,730 |
| $ | 24,741,730 |
| ||
Industrials |
| $ | 993,958 |
| — |
| — |
| 993,958 |
| |||
Commercial Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| ||||
Agency |
| — |
| $ | 125,102,359 |
| — |
| 125,102,359 |
| |||
Agency Stripped |
| — |
| 208,365,335 |
| — |
| 208,365,335 |
| ||||
Non-Agency |
| — |
| 320,531,878 |
| — |
| 320,531,878 |
| ||||
Residential Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| ||||
Agency Collateralized Mortgage Obligation |
| — |
| 195,621,556 |
| — |
| 195,621,556 |
| ||||
Agency Pool Adjustable Rate |
| — |
| 562,890 |
| — |
| 562,890 |
| ||||
Agency Pool Fixed Rate |
| — |
| 635,567,816 |
| — |
| 635,567,816 |
| ||||
Agency Stripped |
| — |
| 88,792,244 |
| — |
| 88,792,244 |
| ||||
Non-Agency Collateralized Mortgage Obligation |
| — |
| 459,933,730 |
| 47,556,432 |
| 507,490,162 |
| ||||
Asset-Backed Securities |
|
|
|
|
|
|
|
|
| ||||
Auto |
| — |
| 1,370,530,214 |
| — |
| 1,370,530,214 |
| ||||
Collateralized Loan Obligation |
| — |
| 697,633,325 |
| — |
| 697,633,325 |
| ||||
Credit Card |
| — |
| 284,547,490 |
| — |
| 284,547,490 |
| ||||
Equipment |
| — |
| 1,230,669,538 |
| 21,611,841 |
| 1,252,281,379 |
| ||||
Other |
| — |
| 313,526,795 |
| — |
| 313,526,795 |
| ||||
Corporate Bonds & Notes |
| — |
| 131,486,029 |
| — |
| 131,486,029 |
| ||||
Corporate Bank Debt |
| — |
| 228,635,738 |
| 92,067,954 |
| 320,703,692 |
| ||||
U.S. Treasuries |
| — |
| 1,015,737,572 |
| — |
| 1,015,737,572 |
| ||||
Short-Term Investment |
| — |
| 13,469,000 |
| — |
| 13,469,000 |
| ||||
|
| $ | 993,958 |
| $ | 7,320,713,509 |
| $ | 185,977,957 |
| $ | 7,507,685,424 |
|
The following table summarizes theFund’s Level 3 investment securities and related transactions during the period ended December 31, 2019:
Investments |
| Beginning |
| Net Realized |
| Purchases |
| (Sales) |
| Gross |
| Ending Value |
| Net Change in |
| ||||||
Common Stocks |
| $ | 31,631,350 |
| $ | (6,889,620 | ) | — |
| — |
| — |
| $ | 24,741,730 |
| $ | (6,889,620 | ) | ||
Residential Mortgage-Backed Securities Non-Agency Collateralized Mortgage Obligation |
| — |
| 7,537 |
| $ | 47,548,895 |
| — |
| — |
| 47,556,432 |
| 7,432 |
| |||||
Asset-Backed Securities Equipment |
| 22,765,958 |
| 25,610 |
| — |
| $ | (1,179,727 | ) | — |
| 21,611,841 |
| 24,858 |
| |||||
Corporate Bank Debt |
| 76,885,246 |
| 97,714 |
| $ | 33,713,543 |
| (18,628,549 | ) | — |
| 92,067,954 |
| (51,201 | ) | |||||
|
| $ | 131,282,554 |
| $ | (6,758,759 | ) | $ | 81,262,438 |
| $ | (19,808,276 | ) | — |
| $ | 185,977,957 |
| $ | (6,908,531 | ) |
* Net realized and unrealized gains (losses) are included in the related amounts in the statement of operations.
Level 3 Valuation Process: Investments classified within Level 3 of the fair value hierarchy are valued by the Adviser in good faith under procedures adopted by authority of theFund’s Board of Directors.The Adviser employs various methods to determine fair valuations including regular review of key inputs and assumptions, and review of related market activity, if any. However, there are generally no observable trade activities in these securities. The Adviser reports to the Board of Directors at their regularly scheduled quarterly meetings, or more often if warranted. The report includes a summary of the results of the process, the key inputs and assumptions noted, and any changes to the inputs and assumptions used. When appropriate, the Adviser will recommend changes to the procedures and process employed. The value determined for an investment using the fair value procedures may differ significantly from the value realized upon the sale of such investment.
Transfers of investments between different levels of the fair value hierarchy are recorded atfair value as of the end of the reporting period. There were no transfers between Levels 1, Level 2 or Level 3 during the period ended December 31, 2019.
The following table summarizes the quantitative inputs and assumptions used for items categorized as items categorized as Level 3 of the fair value hierarchy as ofDecember 31, 2019:
Financial Assets |
| Fair Value at |
| Valuation Technique(s) |
| Unobservable Inputs |
| Price/Range |
| |
Common Stocks |
| $ | 24,741,730 |
| Restricted Assets (a) |
| Quotes/Prices |
| $6.50 |
|
|
|
|
|
|
|
|
|
|
| |
Residential Mortgage-Backed Securities Non-Agency Collateralized Mortgage Obligation |
| $ | 47,556,432 |
| Third-Party Broker Quote (b) |
| Quotes/Prices |
| $100.02 |
|
|
|
|
|
|
|
|
|
|
| |
Asset-Backed Securities - Equipment |
| $ | 21,611,841 |
| Third-Party Broker Quote (b) |
| Quotes/Prices |
| $98.42 |
|
|
|
|
|
|
|
|
|
|
| |
Corporate Bank Debt |
| $ | 59,964,946 |
| Pricing Vendor |
| Prices |
| $99.49 - $99.95 |
|
|
| 32,103,008 |
| Most Recent Capitalization (Funding) (c) |
| Cost |
| $99.02 - $100.00 |
| |
(a) The fair value of the investment is based on the recent trade activity obtained from market makers in the security.
(b) The Third Party Broker Quote technique involves obtaining an independent third-party broker quote for the security.
(c) The significant unobservable inputs used in the fair value measurment are based on the most recent funding. If the financial condition of the underlying assets were to deteriorate, or if the market comparables were to fall, the value of this investment could be lower.
NOTE 2 — Federal Income Tax
The cost of investment securities held atDecember 31, 2019 (excluding short-term investments), was $7,499,175,419 for federal income tax purposes. Net unrealized depreciation consists of:
Gross unrealized appreciation: |
| $ | 54,835,910 |
|
Gross unrealized depreciation: |
| (59,794,905 | ) | |
Net unrealized depreciation: |
| $ | (4,958,995 | ) |
