FPA NEW INCOME, INC.
PORTFOLIO OF INVESTMENTS
December 31, 2021
(Unaudited)
| COMMON STOCKS | | Shares or
Principal
Amount | | | Fair Value | |
| ENERGY — 0.5% | | | | | | | | |
| PHI Group, Inc.(b)(c)(d) | | | 1,203,928 | | | $ | 18,420,098 | |
| PHI Group, Inc., Restricted(b)(c)(d) | | | 2,602,492 | | | | 39,818,128 | |
| | | | | | | $ | 58,238,226 | |
| INDUSTRIALS — 0.7% | | | | | | | | |
| Boart Longyear Group Ltd.(a) | | | 43,018,605 | | | $ | 77,306,518 | |
| | | | | | | | | |
| RETAILING — 0.1% | | | | | | | | |
| Copper Earn Out Trust(b)(c)(d) | | | 69,361 | | | $ | 814,992 | |
| Copper Property CTL Pass Through Trust(b)(c)(d) | | | 520,208 | | | | 12,224,888 | |
| | | | | | | $ | 13,039,880 | |
| | | | | | | | | |
| TOTAL COMMON STOCKS — 1.3% (Cost $139,264,410) | | | | | | $ | 148,584,624 | |
| | | | | | | | | |
| BONDS & DEBENTURES | | | | | | | | |
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 7.3% | | | | | | | | |
| AGENCY — 0.1% | | | | | | | | |
| Federal Home Loan Mortgage Corp. K042 A1 — 2.267% 6/25/2024 | | $ | 8,886,243 | | | $ | 9,017,794 | |
| | | | | | | | | |
| AGENCY STRIPPED — 0.4% | | | | | | | | |
| Government National Mortgage Association 2012-45 IO — 0.000% 4/16/2053(e) | | $ | 3,002,165 | | | $ | 1,759 | |
| Government National Mortgage Association 2012-25 IO — 0.071% 8/16/2052(e) | | | 19,704,597 | | | | 37,222 | |
| Government National Mortgage Association 2013-45 IO — 0.107% 12/16/2053(e) | | | 24,192,470 | | | | 115,248 | |
| Government National Mortgage Association 2012-125 IO — 0.198% 2/16/2053(e) | | | 48,229,229 | | | | 313,041 | |
| Government National Mortgage Association 2013-125 IO — 0.201% 10/16/2054(e) | | | 10,704,409 | | | | 150,584 | |
| Government National Mortgage Association 2014-157 IO — 0.289% 5/16/2055(e) | | | 42,377,669 | | | | 615,531 | |
| Government National Mortgage Association 2015-41 IO — 0.319% 9/16/2056(e) | | | 9,375,814 | | | | 195,684 | |
| Government National Mortgage Association 2015-19 IO — 0.322% 1/16/2057(e) | | | 31,966,659 | | | | 700,620 | |
| Government National Mortgage Association 2015-169 IO — 0.391% 7/16/2057(e) | | | 53,772,452 | | | | 1,409,430 | |
| Government National Mortgage Association 2014-110 IO — 0.392% 1/16/2057(e) | | | 26,089,605 | | | | 606,497 | |
| Government National Mortgage Association 2012-79 IO — 0.400% 3/16/2053(e) | | | 50,250,033 | | | | 561,509 | |
| Government National Mortgage Association 2014-153 IO — 0.413% 4/16/2056(e) | | | 50,506,792 | | | | 1,366,916 | |
| Government National Mortgage Association 2015-150 IO — 0.500% 9/16/2057(e) | | | 11,460,616 | | | | 402,939 | |
| Government National Mortgage Association 2015-108 IO — 0.510% 10/16/2056(e) | | | 4,406,391 | | | | 134,719 | |
| Government National Mortgage Association 2012-150 IO — 0.540% 11/16/2052(e) | | | 38,089,863 | | | | 469,637 | |
| Government National Mortgage Association 2015-7 IO — 0.549% 1/16/2057(e) | | | 23,313,016 | | | | 666,755 | |
| Government National Mortgage Association 2014-175 IO — 0.568% 4/16/2056(e) | | | 74,704,587 | | | | 1,972,903 | |
| Government National Mortgage Association 2014-77 IO — 0.637% 12/16/2047(e) | | | 15,511,592 | | | | 247,753 | |
| Government National Mortgage Association 2014-138 IO — 0.646% 4/16/2056(e) | | | 11,771,301 | | | | 336,917 | |
| Government National Mortgage Association 2014-187 IO — 0.650% 5/16/2056(e) | | | 88,056,139 | | | | 2,509,512 | |
| Government National Mortgage Association 2012-114 IO — 0.662% 1/16/2053(e) | | | 22,610,387 | | | | 431,705 | |
| Government National Mortgage Association 2016-125 IO — 0.822% 12/16/2057(e) | | | 65,648,108 | | | | 2,887,289 | |
| Government National Mortgage Association 2016-65 IO — 0.887% 1/16/2058(e) | | | 68,420,155 | | | | 2,921,151 | |
| Government National Mortgage Association 2016-106 IO — 0.958% 9/16/2058(e) | | | 97,556,768 | | | | 4,769,843 | |
| Government National Mortgage Association 2020-75 IO — 0.973% 2/16/2062(e) | | | 115,635,195 | | | | 8,796,682 | |
| Government National Mortgage Association 2020-42 IO — 0.973% 3/16/2062(e) | | | 138,177,317 | | | | 10,434,750 | |
| Government National Mortgage Association 2020-71 IO — 1.070% 1/16/2062(e) | | | 59,162,313 | | | | 4,792,573 | |
FPA NEW INCOME, INC.
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2021
(Unaudited)
| BONDS & DEBENTURES - Continued | | Principal
Amount | | | Fair Value | |
| Government National Mortgage Association 2020-43 IO — 1.279% 11/16/2061(e) | | $ | 44,300,818 | | | $ | 3,717,441 | |
| | | | | | | $ | 51,566,610 | |
| NON-AGENCY — 6.8% | | | | | | | | |
| A10 Bridge Asset Financing LLC 2020-C A — 2.021% 8/15/2040(f) | | $ | 14,364,935 | | | $ | 14,387,086 | |
| ACRE Commercial Mortgage Ltd. 2021-FL4 A, 1M USD LIBOR + 0.830% — 0.934% 12/18/2037(e)(f) | | | 13,879,936 | | | | 13,817,446 | |
| ACRES Commercial Realty Ltd. 2021-FL1 A, 1M USD LIBOR + 1.200% — 1.310% 6/15/2036(e)(f) | | | 59,792,000 | | | | 59,775,964 | |
| Arbor Realty Commercial Real Estate Notes Ltd. 2021-FL1 A, 1M USD LIBOR + 0.970% — 1.080% 12/15/2035(e)(f) | | | 54,525,000 | | | | 54,269,452 | |
| Arbor Realty Commercial Real Estate Notes Ltd. 2021-FL2 A, 1M USD LIBOR + 1.100% — 1.210% 5/15/2036(e)(f) | | | 45,859,000 | | | | 45,772,978 | |
| Arbor Realty Commercial Real Estate Notes Ltd. 2021-FL4 A, 1M USD LIBOR + 1.350% — 1.440% 11/15/2036(e)(f) | | | 59,062,000 | | | | 59,107,826 | |
| AREIT Trust 2019-CRE3 A, 1M USD LIBOR + 1.134% — 1.185% 9/14/2036(e)(f) | | | 3,891,418 | | | | 3,889,093 | |
| BDS 2021-FL8 A, 1M USD LIBOR + 0.920% — 1.024% 1/18/2036(e)(f) | | | 22,873,000 | | | | 22,750,790 | |
| BDS Ltd. 2019-FL4 A, 1M USD LIBOR + 1.100% — 1.209% 8/15/2036(e)(f) | | | 28,721,281 | | | | 28,724,946 | |
| BDS Ltd. 2019-FL4 A, 1M USD LIBOR + 1.400% — 1.509% 8/15/2036(e)(f) | | | 6,613,000 | | | | 6,614,112 | |
| Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7 B — 5.214% 2/11/2041(e) | | | 1,068,911 | | | | 1,068,463 | |
| BPCRE Ltd. 2021-FL1 A, 1M USD LIBOR + 0.850% — 0.959% 2/15/2037(e)(f) | | | 33,726,535 | | | | 33,687,999 | |
| BX Commercial Mortgage Trust 2021-VOLT E, 1M USD LIBOR + 2.000% — 2.110% 9/15/2036(e)(f) | | | 28,900,000 | | | | 28,647,192 | |
| BXMT Ltd. 2021-FL4 A, 1M USD LIBOR + 1.050% — 1.160% 5/15/2038(e)(f) | | | 62,883,000 | | | | 62,764,975 | |
| COMM 2013-CCRE7 Mortgage Trust 2013-CR7 A4 — 3.213% 3/10/2046 | | | 11,610,442 | | | | 11,847,045 | |
| CoreVest American Finance Trust 2018-1 A — 3.804% 6/15/2051(f) | | | 16,317,254 | | | | 16,549,599 | |
| Grand Avenue CRE 2019-FL1 AS, 1M USD LIBOR + 1.500% — 1.610% 6/15/2037(e)(f) | | | 4,677,968 | | | | 4,615,060 | |
| HERA Commercial Mortgage Ltd. 2021-FL1 A, 1M USD LIBOR + 1.050% — 1.154% 2/18/2038(e)(f) | | | 54,659,000 | | | | 54,626,008 | |
| JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 A4 — 2.694% 4/15/2046 | | | 2,731,285 | | | | 2,765,036 | |
| JPMBB Commercial Mortgage Securities Trust 2015-C30 ASB — 3.559% 7/15/2048 | | | 5,005,334 | | | | 5,157,072 | |
| KREF Ltd. 2021-FL2 A, 1M USD LIBOR + 1.070% — 1.179% 2/15/2039(e)(f) | | | 19,179,000 | | | | 19,170,617 | |
| LCCM Trust 2021-FL2 A, 1M USD LIBOR + 1.200% — 1.310% 12/13/2038(e)(f) | | | 9,154,000 | | | | 9,148,403 | |
| LoanCore Issuer Ltd. 2021-CRE4 A, 1M USD LIBOR + 0.914% — 0.965% 7/15/2035(e)(f) | | | 22,374,267 | | | | 22,206,852 | |
| LoanCore Issuer Ltd. 2019-CRE3 A, 1M USD LIBOR + 1.050% — 1.160% 4/15/2034(e)(f) | | | 15,205,224 | | | | 15,196,504 | |
| LoanCore Issuer Ltd. 2021-CRE5 A, 1M USD LIBOR + 1.300% — 1.410% 7/15/2036(e)(f) | | | 8,879,000 | | | | 8,873,343 | |
| MF1 Ltd. 2020-FL4 A, 1M USD LIBOR + 1.814% — 1.865% 11/15/2035(e)(f) | | | 17,415,000 | | | | 17,476,205 | |
| Ready Capital Commercial Mortgage LLC 2021-FL5 A, 1M USD LIBOR + 1.000% — 1.102% 4/25/2038(e)(f) | | | 25,192,505 | | | | 25,054,853 | |
| Shelter Growth CRE Issuer Ltd. 2021-FL3 A, 1M USD LIBOR + 1.080% — 1.190% 9/15/2036(e)(f) | | | 18,200,516 | | | | 18,156,531 | |
| STWD Ltd. 2021-FL2 A, 1M USD LIBOR + 1.200% — 1.309% 4/18/2038(e)(f) | | | 33,755,000 | | | | 33,744,394 | |
| TPG Real Estate Finance Issuer Ltd. 2018-FL2 A, 1M USD LIBOR + 1.130% — 1.239% 11/15/2037(e)(f) | | | 22,275,099 | | | | 22,275,288 | |
| TRTX Issuer Ltd. 2019-FL3 A, 1M USD LIBOR + 1.264% — 1.315% 10/15/2034(e)(f) | | | 10,536,374 | | | | 10,533,080 | |
FPA NEW INCOME, INC.
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2021
(Unaudited)
| BONDS & DEBENTURES - Continued | | Principal
Amount | | | Fair Value | |
| VCC Trust 2020-MC1 A — 4.500% 6/25/2045(e)(f) | | $ | 3,406,856 | | | $ | 3,408,002 | |
| VMC Finance LLC 2021-HT1 A, 3M USD LIBOR + 1.650% — 1.753% 1/18/2037(e)(f) | | | 27,006,000 | | | | 27,022,954 | |
| VNDO E Mortgage Trust 2012-6AVE A — 2.996% 11/15/2030(f) | | | 5,604,681 | | | | 5,673,131 | |
| VNDO E Mortgage Trust 2012-6AVE B — 3.298% 11/15/2030(f) | | | 13,266,000 | | | | 13,386,767 | |
| | | | | | | $ | 782,165,066 | |
| | | | | | | | | |
| TOTAL COMMERICAL MORTGAGE-BACKED SECURITIES (Cost $866,562,940) | | | | | | $ | 842,749,470 | |
| | | | | | | | | |
| RESIDENTIAL MORTGAGE-BACKED SECURITIES — 7.5% | | | | | | | | |
| AGENCY COLLATERALIZED MORTGAGE OBLIGATION — 0.2% | | | | | | | | |
| Federal Home Loan Mortgage Corp. 4170 QE — 2.000% 5/15/2032 | | $ | 1,068,749 | | | $ | 1,083,305 | |
| Federal Home Loan Mortgage Corp. 3979 HD — 2.500% 12/15/2026 | | | 810,178 | | | | 827,234 | |
| Federal Home Loan Mortgage Corp. 4304 DA — 2.500% 1/15/2027 | | | 291,157 | | | | 295,172 | |
| Federal Home Loan Mortgage Corp. 4010 DE — 2.500% 2/15/2027 | | | 937,709 | | | | 959,737 | |
| Federal Home Loan Mortgage Corp. 4387 VA — 3.000% 2/15/2026 | | | 309,316 | | | | 312,158 | |
| Federal Home Loan Mortgage Corp. 3914 MA — 3.000% 6/15/2026 | | | 682,213 | | | | 703,228 | |
| Federal Home Loan Mortgage Corp. 4297 CA — 3.000% 12/15/2030 | | | 244,384 | | | | 244,818 | |
| Federal Home Loan Mortgage Corp. 3862 MB — 3.500% 5/15/2026 | | | 6,184,187 | | | | 6,435,581 | |
| Federal Home Loan Mortgage Corp. 3828 VE — 4.500% 1/15/2024 | | | 444,503 | | | | 458,219 | |
| Federal Home Loan Mortgage Corp. 4395 NT — 4.500% 7/15/2026 | | | 2,658,904 | | | | 2,766,319 | |
| Federal National Mortgage Association 2014-21 ED — 2.250% 4/25/2029 | | | 178,783 | | | | 181,160 | |
| Federal National Mortgage Association 2013-135 KM — 2.500% 3/25/2028 | | | 421,112 | | | | 425,989 | |
| Federal National Mortgage Association 2017-30 G — 3.000% 7/25/2040 | | | 1,409,118 | | | | 1,417,350 | |
| Federal National Mortgage Association 2013-93 PJ — 3.000% 7/25/2042 | | | 939,950 | | | | 965,546 | |
| Federal National Mortgage Association 2018-16 HA — 3.000% 7/25/2043 | | | 1,188,162 | | | | 1,189,656 | |
| Federal National Mortgage Association 2011-80 KB — 3.500% 8/25/2026 | | | 4,566,139 | | | | 4,734,892 | |
| Federal National Mortgage Association 2012-PD — 3.500% 4/25/2042 | | | 1,908,242 | | | | 1,988,651 | |
| Federal National Mortgage Association 2010-43 MK — 5.500% 5/25/2040 | | | 704,050 | | | | 763,048 | |
| | | | | | | $ | 25,752,063 | |
| AGENCY POOL ADJUSTABLE RATE — 0.0% | | | | | | | | |
| Federal National Mortgage Association 865963, 12M USD LIBOR + 1.836% — 2.281% 3/1/2036(e) | | $ | 290,686 | | | $ | 308,089 | |
| | | | | | | | | |
| AGENCY POOL FIXED RATE — 0.1% | | | | | | | | |
| Federal Home Loan Mortgage Corp. G15169 — 4.500% 9/1/2026 | | $ | 546,858 | | | $ | 572,379 | |
| Federal Home Loan Mortgage Corp. G15272 — 4.500% 9/1/2026 | | | 156,605 | | | | 161,912 | |
| Federal Home Loan Mortgage Corp. G15875 — 4.500% 9/1/2026 | | | 710,184 | | | | 739,210 | |
| Federal Home Loan Mortgage Corp. G15036 — 5.000% 6/1/2024 | | | 30,157 | | | | 31,015 | |
| Federal Home Loan Mortgage Corp. G13667 — 5.000% 8/1/2024 | | | 2,286 | | | | 2,312 | |
| Federal Home Loan Mortgage Corp. G15173 — 5.000% 6/1/2026 | | | 69,331 | | | | 70,947 | |
| Federal Home Loan Mortgage Corp. G15407 — 5.000% 6/1/2026 | | | 387,527 | | | | 398,558 | |
| Federal Home Loan Mortgage Corp. G15230 — 5.500% 12/1/2024 | | | 167,055 | | | | 171,713 | |
| Federal Home Loan Mortgage Corp. G15458 — 5.500% 12/1/2024 | | | 37,821 | | | | 38,640 | |
| Federal Home Loan Mortgage Corp. G14460 — 6.000% 1/1/2024 | | | 6,997 | | | | 7,177 | |
| Federal National Mortgage Association FM1102 — 4.000% 3/1/2031 | | | 3,874,475 | | | | 4,071,202 | |
| Federal National Mortgage Association AL4056 — 5.000% 6/1/2026 | | | 137,383 | | | | 140,529 | |
| Federal National Mortgage Association AL5867 — 5.500% 8/1/2023 | | | 8,183 | | | | 8,355 | |
| Federal National Mortgage Association AL0471 — 5.500% 7/1/2025 | | | 15,272 | | | | 15,829 | |
FPA NEW INCOME, INC.
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2021
(Unaudited)
| BONDS & DEBENTURES - Continued | | Principal
Amount | | | Fair Value | |
| Federal National Mortgage Association AL4433 — 5.500% 9/1/2025 | | $ | 27,448 | | | $ | 28,372 | |
| Federal National Mortgage Association AL4901 — 5.500% 9/1/2025 | | | 32,127 | | | | 32,812 | |
| Federal National Mortgage Association AL0294 — 6.000% 10/1/2022 | | | 1,333 | | | | 1,346 | |
| Federal National Mortgage Association 890225 — 6.000% 5/1/2023 | | | 24,146 | | | | 24,670 | |
| Government National Mortgage Association 782281 — 6.000% 3/15/2023 | | | 73,982 | | | | 75,320 | |
| | | | | | | $ | 6,592,298 | |
| AGENCY STRIPPED — 0.0% | | | | | | | | |
| Federal Home Loan Mortgage Corp. 217 PO — 0.000% 1/1/2032(g) | | $ | 95,979 | | | $ | 86,822 | |
| Federal Home Loan Mortgage Corp. 3917 AI — 4.500% 7/15/2026 | | | 1,733,424 | | | | 37,034 | |
| Federal Home Loan Mortgage Corp. 217 IO — 6.500% 1/1/2032 | | | 92,417 | | | | 18,388 | |
| Federal National Mortgage Association 2010-25 NI — 5.000% 3/25/2025 | | | 187 | | | | 4 | |
| Federal National Mortgage Association 2003-64 XI — 5.000% 7/25/2033 | | | 242,239 | | | | 40,684 | |
| | | | | | | $ | 182,932 | |
| NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATION — 7.2% | | | | | | | | |
| Bravo Residential Funding Trust 2019-1 A1C — 3.500% 3/25/2058(f) | | $ | 9,030,459 | | | $ | 9,128,447 | |
| Cascade Funding Mortgage Trust 2021-HB6 A — 0.898% 6/25/2036(e)(f) | | | 20,424,564 | | | | 20,394,519 | |
| CFMT LLC 2021-HB5 A — 0.801% 2/25/2031(e)(f) | | | 42,601,713 | | | | 42,524,860 | |
| CFMT LLC 2020-HB4 A — 0.946% 12/26/2030(e)(f) | | | 12,694,831 | | | | 12,701,730 | |
| CFMT LLC 2021-HB7 A — 1.151% 10/27/2031(e)(f) | | | 22,176,213 | | | | 22,100,904 | |
| CFMT LLC 2021-HB7 M1 — 2.125% 10/27/2031(e)(f) | | | 15,406,000 | | | | 15,390,261 | |
| CIM Trust 2017-7 A — 3.000% 4/25/2057(e)(f) | | | 6,325,812 | | | | 6,353,692 | |
| CIM Trust 2018-R3 A1 — 5.000% 12/25/2057(e)(f) | | | 24,698,505 | | | | 25,538,331 | |
| Citigroup Mortgage Loan Trust, Inc. 2014-A A — 4.000% 1/25/2035(e)(f) | | | 3,264,644 | | | | 3,249,038 | |
| Finance of America HECM Buyout 2021-HB1 A — 0.875% 2/25/2031(e)(f) | | | 45,146,497 | | | | 45,105,829 | |
| Finance of America HECM Buyout 2020-HB2 A — 1.710% 7/25/2030(e)(f) | | | 45,132,747 | | | | 45,190,820 | |
| Mill City Mortgage Loan Trust 2018-2 A1 — 3.500% 5/25/2058(e)(f) | | | 14,498,478 | | | | 14,685,575 | |
| Nomura Resecuritization Trust 2016-1R 3A1 — 5.000% 9/28/2036(e)(f) | | | 901,313 | | | | 906,289 | |
| PRET LLC 2021-NPL5 A1 — 2.487% 10/25/2051(f)(h) | | | 73,667,441 | | | | 73,519,546 | |
| Pretium Mortgage Credit Partners I LLC 2021-NPL2 A1 — 1.992% 6/27/2060(f)(h) | | | 34,210,018 | | | | 33,832,107 | |
| Pretium Mortgage Credit Partners I LLC 2021-NPL4 A1 — 2.363% 10/27/2060(f)(h) | | | 61,583,080 | | | | 61,323,316 | |
| Pretium Mortgage Credit Partners I LLC 2021-NPL6 A1 — 2.487% 7/25/2051(b)(f)(h) | | | 26,258,000 | | | | 26,258,000 | |
| PRPM LLC 2021-2 A1 — 2.115% 3/25/2026(e)(f) | | | 25,202,529 | | | | 25,174,176 | |
| PRPM LLC 2021-9 A1 — 2.363% 10/25/2026(e)(f) | | | 27,023,329 | | | | 26,870,353 | |
| PRPM LLC 2021-10 A1 — 2.487% 10/25/2026(f)(h) | | | 34,054,732 | | | | 33,968,175 | |
| PRPM LLC 2021-11 A1 — 2.487% 11/25/2026(b)(f)(h) | | | 40,837,333 | | | | 40,727,072 | |
| RCO VII Mortgage LLC 2021-2 A1 — 2.116% 9/25/2026(f)(h) | | | 34,395,046 | | | | 34,107,658 | |
| Towd Point Mortgage Trust 2018-1 A1 — 3.000% 1/25/2058(e)(f) | | | 13,250,063 | | | | 13,506,586 | |
| Towd Point Mortgage Trust 2018-2 A1 — 3.250% 3/25/2058(e)(f) | | | 35,063,674 | | | | 35,840,653 | |
| Towd Point Mortgage Trust 2018-5 A1A — 3.250% 7/25/2058(e)(f) | | | 20,809,862 | | | | 21,224,946 | |
| Towd Point Mortgage Trust 2018-6 A1A — 3.750% 3/25/2058(e)(f) | | | 20,894,170 | | | | 21,296,857 | |
| VCAT LLC 2021 NPL2 A1 — 2.115% 3/27/2051(f)(h) | | | 26,718,697 | | | | 26,707,029 | |
| VCAT LLC 2021-NPL1 A1 — 2.289% 12/26/2050(f)(h) | | | 6,976,273 | | | | 6,952,549 | |
| VOLT C LLC 2021-NPL9 — 1.992% 5/25/2051(f)(h) | | | 25,663,099 | | | | 25,561,001 | |
| VOLT XCIV LLC 2021-NPL3 A1 — 2.240% 2/27/2051(f)(h) | | | 28,128,699 | | | | 28,058,451 | |
| VOLT XCV LLC 2021-NPL4 A1 — 2.240% 3/27/2051(f)(h) | | | 32,971,383 | | | | 32,823,560 | |
| | | | | | | $ | 831,022,330 | |
| | | | | | | | | |
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost $862,142,084) | | | | | | $ | 863,857,712 | |
FPA NEW INCOME, INC.
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2021
(Unaudited)
| BONDS & DEBENTURES - Continued | | Principal
Amount | | | Fair Value | |
| ASSET-BACKED SECURITIES — 57.6% | | | | | | | | |
| AUTO — 22.3% | | | | | | | | |
| American Credit Acceptance Receivables Trust 2021-3 B — 0.660% 2/13/2026(f) | | $ | 18,717,000 | | | $ | 18,608,595 | |
| American Credit Acceptance Receivables Trust 2021-4 B — 0.860% 2/13/2026(f) | | | 9,955,000 | | | | 9,886,546 | |
| American Credit Acceptance Receivables Trust 2021-2 C — 0.970% 7/13/2027(f) | | | 55,165,000 | | | | 54,856,550 | |
| American Credit Acceptance Receivables Trust 2021-3 C — 0.980% 11/15/2027(f) | | | 40,171,000 | | | | 39,688,084 | |
| American Credit Acceptance Receivables Trust 2021-4 C — 1.320% 2/14/2028(f) | | | 36,195,000 | | | | 35,854,358 | |
| AmeriCredit Automobile Receivables Trust 2021-3 A3 — 0.760% 8/18/2026 | | | 21,998,000 | | | | 21,879,330 | |
| AmeriCredit Automobile Receivables Trust 2020-2 C — 1.480% 2/18/2026 | | | 6,808,000 | | | | 6,847,787 | |
| ARI Fleet Lease Trust 2021-A A2— 0.370% 3/15/2030(f) | | | 25,430,000 | | | | 25,302,939 | |
| BMW Vehicle Lease Trust 2021-2 A3 — 0.330% 12/26/2024 | | | 41,858,000 | | | | 41,543,730 | |
| CarMax Auto Owner Trust 2020-2 A4 — 2.050% 5/15/2025 | | | 14,689,000 | | | | 14,922,429 | |
| Carmax Auto Owner Trust 2019-1 B — 3.450% 11/15/2024 | | | 13,090,000 | | | | 13,434,987 | |
| Carmax Auto Owner Trust 2020-3 C — 1.690% 4/15/2026 | | | 1,064,000 | | | | 1,070,448 | |
| Chesapeake Funding II LLC 2020-1A A1 — 0.870% 8/16/2032(f) | | | 12,495,748 | | | | 12,512,096 | |
| Drive Auto Receivables Trust 2021-2 A3 — 0.350% 3/17/2025 | | | 54,895,000 | | | | 54,688,683 | |
| Drive Auto Receivables Trust 2021-2 B — 0.580% 12/15/2025 | | | 59,349,000 | | | | 58,898,986 | |
| Drive Auto Receivables Trust 2021-3 A3 — 0.790% 10/15/2025 | | | 36,396,000 | | | | 36,272,392 | |
| Drive Auto Receivables Trust 2021-2 C — 0.870% 10/15/2027 | | | 51,629,000 | | | | 50,925,550 | |
| Drive Auto Receivables Trust 2021-3 B — 1.110% 5/15/2026 | | | 72,790,000 | | | | 72,462,147 | |
| Drive Auto Receivables Trust 2021-3 C — 1.470% 1/15/2027 | | | 72,790,000 | | | | 72,303,275 | |
| DT Auto Owner Trust 2021-3A B — 0.580% 11/17/2025(f) | | | 20,559,000 | | | | 20,299,077 | |
| DT Auto Owner Trust 2021-1A B — 0.620% 9/15/2025(f) | | | 5,471,000 | | | | 5,444,904 | |
| DT Auto Owner Trust 2021-2A B — 0.810% 1/15/2027(f) | | | 10,619,000 | | | | 10,590,077 | |
| DT Auto Owner Trust 2021-1A C — 0.840% 10/15/2026(f) | | | 3,462,000 | | | | 3,433,039 | |
| DT Auto Owner Trust 2021-3A C — 0.870% 5/17/2027(f) | | | 18,106,000 | | | | 17,805,152 | |
| DT Auto Owner Trust 2021-4A B — 1.020% 5/15/2026(f) | | | 13,540,000 | | | | 13,470,973 | |
| DT Auto Owner Trust 2020-3A C — 1.470% 6/15/2026(f) | | | 6,384,000 | | | | 6,393,110 | |
| DT Auto Owner Trust 2021-4A C — 1.500% 9/15/2027(f) | | | 13,540,000 | | | | 13,451,244 | |
| DT Auto Owner Trust 2020 2A C — 3.280% 3/16/2026(f) | | | 3,250,000 | | | | 3,342,973 | |
| Exeter Automobile Receivables Trust 2021-3A A3 — 0.350% 2/18/2025 | | | 55,613,000 | | | | 55,417,476 | |
| Exeter Automobile Receivables Trust 2021-2A — 0.570% 9/15/2025 | | | 25,949,000 | | | | 25,824,019 | |
| Exeter Automobile Receivables Trust 2021-3A B — 0.690% 1/15/2026 | | | 74,386,000 | | | | 73,802,635 | |
| Exeter Automobile Receivables Trust 2021-4A B — 1.050% 5/15/2026 | | | 42,765,000 | | | | 42,644,120 | |
| Exeter Automobile Receivables Trust 2021-4A C — 1.460% 10/15/2027 | | | 41,400,000 | | | | 41,191,857 | |
| First Investors Auto Owner Trust 2021-2A A — 0.480% 3/15/2027(f) | | | 119,263,636 | | | | 118,506,682 | |
| Flagship Credit Auto Trust 2021-2 C — 1.270% 6/15/2027(f) | | | 17,609,000 | | | | 17,421,188 | |
| Flagship Credit Auto Trust 2021-4 B — 1.490% 2/15/2027(f) | | | 8,567,000 | | | | 8,535,754 | |
| Ford Credit Auto Lease Trust 2021-B A3 — 0.370% 10/15/2024 | | | 89,517,000 | | | | 88,896,737 | |
| Ford Credit Auto Lease Trust 2021-B A4 — 0.400% 12/15/2024 | | | 55,829,000 | | | | 55,266,601 | |
| Ford Credit Auto Lease Trust 2021-B B — 0.660% 1/15/2025 | | | 22,156,000 | | | | 21,968,509 | |
| Ford Credit Auto Lease Trust 2021-B C — 0.900% 5/15/2026 | | | 21,928,000 | | | | 21,666,778 | |
| Ford Credit Auto Lease Trust 2020-B C — 1.700% 2/15/2025 | | | 12,523,000 | | | | 12,626,384 | |
| Ford Credit Auto Owner Trust 2020-B B — 1.190% 1/15/2026 | | | 400,000 | | | | 400,328 | |
| GM Financial Automobile Leasing Trust 2021 2 B — 0.690% 5/20/2025 | | | 4,991,000 | | | | 4,948,218 | |
| GM Financial Consumer Automobile Receivables Trust 2020-3 C — 1.370% 1/16/2026 | | | 2,760,000 | | | | 2,760,155 | |
| GM Financial Leasing Trust 2021 1 A3 — 0.260% 2/20/2024 | | | 1,057,000 | | | | 1,053,764 | |
| GM Financial Leasing Trust 2021-1 A4 — 0.330% 2/20/2025 | | | 2,000,000 | | | | 1,988,231 | |
| GM Financial Leasing Trust 2021-2 A — 0.340% 5/20/2024 | | | 67,411,000 | | | | 67,082,601 | |
| Honda Auto Receivables Owner Trust 2021-4 A3 — 0.880% 1/21/2026 | | | 44,179,000 | | | | 44,068,968 | |
FPA NEW INCOME, INC.
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2021
(Unaudited)
| BONDS & DEBENTURES - Continued | | Principal
Amount | | | Fair Value | |
| Hyundai Auto Lease Securitization Trust 2021-C A3 — 0.380% 9/16/2024(f) | | $ | 80,238,000 | | | $ | 79,568,711 | |
| Hyundai Auto Lease Securitization Trust 2021-B A4 — 0.380% 8/15/2025(f) | | | 2,176,000 | | | | 2,152,961 | |
| Hyundai Auto Lease Securitization Trust 2021-A A4 — 0.420% 12/16/2024(f) | | | 10,288,000 | | | | 10,235,567 | |
| Hyundai Auto Lease Securitization Trust 2021-A B — 0.610% 10/15/2025(f) | | | 3,663,000 | | | | 3,644,973 | |
| Hyundai Auto Receivables Trust 2021-C A3 — 0.740% 5/15/2026 | | | 29,067,000 | | | | 28,868,266 | |
| Nissan Auto Lease Trust 2021-A A3 — 0.520% 8/15/2024 | | | 68,261,000 | | | | 67,905,620 | |
| Prestige Auto Receivables Trust 2021-1A A3 — 0.830% 7/15/2025(f) | | | 12,642,000 | | | | 12,595,680 | |
| Prestige Auto Receivables Trust 2021-1A B — 1.190% 4/15/2026(f) | | | 37,756,000 | | | | 37,504,673 | |
| Prestige Auto Receivables Trust 2021-1A C — 1.530% 2/15/2028(f) | | | 13,545,000 | | | | 13,434,180 | |
| Santander Consumer Auto Receivables Trust 2021-AA A3 — 0.330% 10/15/2025(f) | | | 1,395,000 | | | | 1,390,253 | |
| Santander Drive Auto Receivables Trust 2021-4 A3 — 0.510% 8/15/2025 | | | 35,289,000 | | | | 35,138,679 | |
| Santander Drive Auto Receivables Trust 2021-3 B — 0.600% 12/15/2025 | | | 66,485,000 | | | | 66,221,719 | |
| Santander Drive Auto Receivables Trust 2021-4 B — 0.880% 6/15/2026 | | | 97,273,000 | | | | 96,515,671 | |
| Santander Drive Auto Receivables Trust 2021-2 C — 0.900% 6/15/2026 | | | 14,676,000 | | | | 14,629,826 | |
| Santander Drive Auto Receivables Trust 2021-4 C — 1.260% 2/16/2027 | | | 63,342,000 | | | | 62,665,286 | |
| Santander Retail Auto Lease Trust 2021-C A3 — 0.500% 3/20/2025(f) | | | 52,215,000 | | | | 51,802,481 | |
| Santander Retail Auto Lease Trust 2021-A A3 — 0.510% 7/22/2024(f) | | | 1,084,000 | | | | 1,076,598 | |
| Santander Retail Auto Lease Trust 2021-B A3 — 0.510% 8/20/2024(f) | | | 2,000,000 | | | | 1,980,305 | |
| Tesla Auto Lease Trust 2021-B A2 — 0.360% 9/22/2025(f) | | | 38,207,000 | | | | 37,978,358 | |
| Volkswagen Auto Loan Enhanced Trust 2021-1 A3 — 1.020% 6/22/2026 | | | 52,430,000 | | | | 52,421,124 | |
| Westlake Automobile Receivables Trust 2021-2A B — 0.620% 7/15/2026(f) | | | 31,908,000 | | | | 31,645,343 | |
| Westlake Automobile Receivables Trust 2021-1A B — 0.640% 3/16/2026(f) | | | 51,708,000 | | | | 51,468,411 | |
| Westlake Automobile Receivables Trust 2020-3A B — 0.780% 11/17/2025(f) | | | 30,000,000 | | | | 29,959,584 | |
| Westlake Automobile Receivables Trust 2021-2A C — 0.890% 7/15/2026(f) | | | 50,584,000 | | | | 50,029,149 | |
| Westlake Automobile Receivables Trust 2021-3A A3 — 0.950% 6/16/2025(f) | | | 64,905,000 | | | | 64,739,667 | |
| Westlake Automobile Receivables Trust 2021-1A C — 0.950% 3/16/2026(f) | | | 6,817,000 | | | | 6,775,196 | |
| Westlake Automobile Receivables Trust 2020-3A C — 1.240% 11/17/2025(f) | | | 16,438,000 | | | | 16,473,905 | |
| Westlake Automobile Receivables Trust 2021-3A B — 1.290% 1/15/2027(f) | | | 69,723,000 | | | | 69,462,180 | |
| Westlake Automobile Receivables Trust 2021-3A C — 1.580% 1/15/2027(f) | | | 69,605,000 | | | | 69,382,083 | |
| Westlake Automobile Receivables Trust 2020-2A C — 2.010% 7/15/2025(f) | | | 1,800,000 | | | | 1,819,919 | |
| World Omni Auto Receivables Trust 2020-C C — 1.390% 5/17/2027 | | | 3,415,000 | | | | 3,408,285 | |
| World Omni Select Auto Trust 2021-A A3 — 0.530% 3/15/2027 | | | 52,776,000 | | | | 52,176,021 | |
| | | | | | | $ | 2,567,331,140 | |
| COLLATERALIZED LOAN OBLIGATION — 21.2% | | | | | | | | |
| ABPCI Direct Lending Fund CLO X LP 2020-10A A1A, 3M USD LIBOR + 1.950% — 2.082% 1/20/2032(e)(f) | | $ | 19,397,000 | | | $ | 19,401,132 | |
| ABPCI Direct Lending Fund IX LLC 2020-9A A1, 3M USD LIBOR + 1.400% — 1.524% 11/18/2031(e)(f) | | | 43,972,000 | | | | 43,958,061 | |
| AMMC CLO 16 Ltd. 2015-16A AR2, 3M USD LIBOR + 0.980% — 1.107% 4/14/2029(e)(f) | | | 79,320,677 | | | | 79,320,518 | |
| Avery Point VI CLO Ltd. 2015-6A AR2, 3M USD LIBOR + 0.900% — 1.040% 8/5/2027(e)(f) | | | 23,727,800 | | | | 23,728,251 | |
| Avery Point VII CLO Ltd. 2015-7A AR2, 3M USD LIBOR + 0.960% — 1.084% 1/15/2028(e)(f) | | | 85,001,273 | | | | 85,001,528 | |
| Barings CLO Ltd. 2018-III 2018-3A A1, 3M USD LIBOR + 0.950% — 1.082% 7/20/2029(e)(f) | | | 25,636,982 | | | | 25,629,906 | |
| Blackrock DLF VIII-L CLO Trust 2021-1A, 3M USD LIBOR + 1.350% — 1.472% 4/17/2032(e)(f) | | | 28,468,203 | | | | 28,464,018 | |
| Blackrock Mount Adams CLO IX LP 2021-9A A1, 3M USD LIBOR + 1.370% — 1.584% 9/22/2031(e)(f) | | | 31,531,000 | | | | 31,531,662 | |
FPA NEW INCOME, INC.
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2021
(Unaudited)
| BONDS & DEBENTURES - Continued | | Principal
Amount | | | Fair Value | |
| Brightwood Capital MM CLO Ltd. 2021-2A A, 3M USD LIBOR + 1.650% — 1.778% 11/15/2030(e)(f) | | $ | 85,599,000 | | | $ | 85,598,743 | |
| BTC Holdings Fund I LLC — 2.880% 1/28/2027(b)(d) | | | 13,924,291 | | | | 13,924,291 | |
| BTC Offshore Holdings Fund — 0.000% 1/20/2022(b)(d)(i) | | | 4,600,000 | | | | — | |
| BTC Offshore Holdings Fund, 3M USD LIBOR + 2.650% — 2.778% 10/20/2029(b)(d) | | | 13,400,000 | | | | 13,400,000 | |
| Cerberus Loan Funding XXIX LP 2020-2A A, 3M USD LIBOR + 1.900% — 2.024% 10/15/2032(e)(f) | | | 82,252,000 | | | | 82,273,879 | |
| Cerberus Loan Funding XXV LP 2018-4RA A1TR, 3M USD LIBOR + 1.530% — 1.654% 10/15/2030(e)(f) | | | 18,629,000 | | | | 18,626,187 | |
| Cerberus Loan Funding XXVI LP 2019-1A AR, 3M USD LIBOR + 1.500% — 1.624% 4/15/2031(e)(f) | | | 10,764,000 | | | | 10,754,474 | |
| Cerberus Loan Funding XXVIII LP 2020-1A A, 3M USD LIBOR + 1.850% — 1.974% 10/15/2031(e)(f) | | | 70,979,000 | | | | 70,997,880 | |
| Cerberus Loan Funding XXXI LP 2021-1A A, 3M USD LIBOR + 1.500% — 1.624% 4/15/2032(e)(f) | | | 45,931,000 | | | | 45,949,143 | |
| Cerberus Loan Funding XXXIV LP 2021-4A A, 3M USD LIBOR + 1.500% — 1.624% 8/13/2033(e)(f) | | | 49,689,763 | | | | 49,639,875 | |
| Cerberus Loan Funding XXXVI LP 2021-6A A, 3M USD LIBOR + 1.400% — 1.553% 11/22/2033(e)(f) | | | 99,243,000 | | | | 99,262,452 | |
| Diamond CLO Ltd. 2019-1A A1R, 3M USD LIBOR + 1.200% — 1.324% 4/25/2029(e)(f) | | | 1,812,740 | �� | | | 1,812,760 | |
| Ellington CLO IV Ltd. 2019-4A AR, 3M USD LIBOR + 1.580% — 1.704% 4/15/2029(e)(f) | | | 35,057,264 | | | | 35,051,760 | |
| Fortress Credit Opportunities IX CLO Ltd. 2017-9A A1TR, 3M USD LIBOR + 1.550% — 1.672% 10/15/2033(e)(f) | | | 118,776,000 | | | | 118,759,490 | |
| Fortress Credit Opportunities XI CLO Ltd. 2018-11A A1T, 3M USD LIBOR + 1.300% — 1.424% 4/15/2031(e)(f) | | | 37,820,000 | | | | 37,718,151 | |
| Galaxy XXIII CLO Ltd. 2017-23A AR, 3M USD LIBOR + 0.870% — 0.994% 4/24/2029(e)(f) | | | 41,110,200 | | | | 41,066,212 | |
| Golub Capital Partners CLO 36m Ltd. 2018-36A A, 3M USD LIBOR + 1.300% — 1.440% 2/5/2031(e)(f) | | | 67,200,000 | | | | 67,138,109 | |
| Golub Capital Partners CLO Ltd. 2019-42A A2, 3M USD LIBOR + 2.000% — 2.132% 4/20/2031(e)(f) | | | 13,772,000 | | | | 13,761,175 | |
| Golub Capital Partners TALF LLC 2020-2A A, 3M USD LIBOR + 1.850% — 1.990% 2/5/2030(e)(f) | | | 23,674,971 | | | | 23,722,368 | |
| Halcyon Loan Advisors Funding Ltd. 2015-3A A1R, 3M USD LIBOR + 0.900% — 1.022% 10/18/2027(e)(f) | | | 4,874,735 | | | | 4,873,141 | |
| Lake Shore MM CLO III LLC 2019-2A A1R, 3M USD LIBOR + 1.480% — 1.602% 10/17/2031(e)(f) | | | 23,662,000 | | | | 23,661,953 | |
| Lake Shore MM CLO III LLC 2019-2A A2R — 2.403% 10/17/2031(f) | | | 11,083,000 | | | | 11,014,529 | |
| Lake Shore MM CLO IV Ltd. 2021-1A X, 3M USD LIBOR + 1.180% — 1.312% 10/15/2033(e)(f) | | | 17,293,000 | | | | 17,292,844 | |
| Madison Park Funding X Ltd. 2012-10A AR3, 3M USD LIBOR + 1.010% — 1.142% 1/20/2029(e)(f) | | | 96,110,675 | | | | 96,118,556 | |
| Madison Park Funding XI Ltd. 2013-11A, 3M USD LIBOR + 0.900% — 1.024% 7/23/2029(e)(f) | | | 95,659,601 | | | | 95,664,575 | |
| Madison Park Funding XXIII Ltd. 2017-23A AR, 3M USD LIBOR + 0.970% — 1.105% 7/27/2031(e)(f) | | | 81,487,000 | | | | 81,487,407 | |
| Madison Park Funding XXV Ltd. 2017-25A, 3M USD LIBOR + 0.970% — 1.094% 4/25/2029(e)(f) | | | 74,465,000 | | | | 74,467,979 | |
FPA NEW INCOME, INC.
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2021
(Unaudited)
| BONDS & DEBENTURES - Continued | | Principal
Amount | | | Fair Value | |
| Magnetite XVI Ltd. 2015-16A AR, 3M USD LIBOR + 0.800% — 0.922% 1/18/2028(e)(f) | | $ | 10,136,926 | | | $ | 10,136,916 | |
| Nassau Ltd. 2017-IA A1AS, 3M USD LIBOR + 1.150% — 1.274% 10/15/2029(e)(f) | | | 24,398,000 | | | | 24,342,543 | |
| Neuberger Berman CLO XV 2013-15A A1R2, 3M USD LIBOR + 0.920% — 1.044% 10/15/2029(e)(f) | | | 67,786,000 | | | | 67,827,349 | |
| OCP CLO Ltd. 2017-13A A1AR, 3M USD LIBOR + 0.960% — 1.084% 7/15/2030(e)(f) | | | 72,247,000 | | | | 72,293,166 | |
| Octagon Investment Partners 35 Ltd. 2018-1A A1A, 3M USD LIBOR + 1.060% — 1.192% 1/20/2031(e)(f) | | | 44,563,000 | | | | 44,518,927 | |
| Octagon Investment Partners XV Ltd. 2013-1A A1RR, 3M USD LIBOR + 0.970% — 1.099% 7/19/2030(e)(f) | | | 108,749,000 | | | | 108,748,783 | |
| OFSI BSL VIII Ltd. 2017-1A AR, 3M USD LIBOR + 1.000% — 1.122% 8/16/2029(e)(f) | | | 78,197,424 | | | | 78,197,659 | |
| Owl Rock CLO VI Ltd. 2021-6A A, 3M USD LIBOR + 1.450% — 1.572% 6/21/2032(e)(f) | | | 66,692,000 | | | | 66,721,144 | |
| Parliament CLO II Ltd. 2021-2A A, 3M USD LIBOR + 1.350% — 1.475% 8/20/2032(e)(f) | | | 40,733,000 | | | | 40,735,607 | |
| Parliament Funding II Ltd. 2020-1A AR, 3M USD LIBOR + 1.250% — 1.490% 10/20/2031(e)(f) | | | 40,598,000 | | | | 40,559,432 | |
| Saranac CLO III Ltd. 2014-3A ALR, 3M USD LIBOR + 1.600% — 1.814% 6/22/2030(e)(f) | | | 25,900,433 | | | | 25,906,753 | |
| Telos CLO Ltd. 2014-5A A1R, 3M USD LIBOR + 0.950% — 1.072% 4/17/2028(e)(f) | | | 6,357,887 | | | | 6,357,353 | |
| Telos CLO Ltd. 2013-3A BR, 3M USD LIBOR + 2.000% — 2.122% 7/17/2026(e)(f) | | | 18,400,376 | | | | 18,401,204 | |
| TICP CLO III-2 Ltd. 2018-3R A, 3M USD LIBOR + 0.840% — 0.972% 4/20/2028(e)(f) | | | 4,496,420 | | | | 4,496,614 | |
| VCP CLO II Ltd. 2021-2A A1, 3M USD LIBOR + 1.670% — 1.794% 4/15/2031(e)(f) | | | 101,155,000 | | | | 100,912,228 | |
| Venture XX CLO Ltd. 2015-20A AR, 3M USD LIBOR + 0.820% — 0.944% 4/15/2027(e)(f) | | | 4,597,422 | | | | 4,597,417 | |
| Venture XX CLO Ltd. 2015-20A B1R, 3M USD LIBOR + 1.250% — 1.374% 4/15/2027(e)(f) | | | 14,431,000 | | | | 14,429,037 | |
| Venture XXV CLO Ltd. 2016-25A ARR, 3M USD LIBOR + 1.020% — 1.152% 4/20/2029(e)(f) | | | 25,924,532 | | | | 25,889,378 | |
| Wellfleet CLO Ltd. 2016-1A AR, 3M USD LIBOR + 0.910% — 1.042% 4/20/2028(e)(f) | | | 15,829,846 | | | | 15,829,814 | |
| Wind River CLO Ltd. 2016-1A AR, 3M USD LIBOR + 1.050% — 1.174% 7/15/2028(e)(f) | | | 11,553,870 | | | | 11,554,194 | |
| Woodmont Trust 2019-6A A1R, 3M USD LIBOR + 1.480% — 1.604% 7/15/2031(e)(f) | | | 62,588,000 | | | | 62,588,000 | |
| Woodmont Trust 2019-6A A1R2, 3M USD LIBOR + 1.480% — 1.694% 7/15/2031(e)(f) | | | 16,952,000 | | | | 16,952,000 | |
| Zais CLO 7 Ltd. 2017-2A A, 3M USD LIBOR + 1.290% — 1.414% 4/15/2030(e)(f) | | | 15,314,220 | | | | 15,281,187 | |
| | | | | | | $ | 2,448,349,714 | |
| EQUIPMENT — 4.2% | | | | | | | | |
| Avis Budget Rental Car Funding AESOP LLC 2017-2A A — 2.970% 3/20/2024(f) | | $ | 8,580,000 | | | $ | 8,755,244 | |
| CCG Receivables Trust 2021-2 A2 — 0.540% 3/14/2029(f) | | | 52,397,000 | | | | 52,090,588 | |
| Coinstar Funding LLC 2017-1A A2 — 5.216% 4/25/2047(f) | | | 12,248,830 | | | | 12,245,228 | |
| Dell Equipment Finance Trust 2021-2 C — 0.940% 12/22/2026(f) | | | 11,180,000 | | | | 11,045,283 | |
| Dell Equipment Finance Trust 2020-2 D — 1.920% 3/23/2026(f) | | | 5,444,000 | | | | 5,495,309 | |
| Donlen Fleet Lease Funding 2 LLC 2021-2 A2 — 0.560% 12/11/2034(f) | | | 63,844,000 | | | | 63,500,187 | |
| Encina Equipment Finance LLC 2021-1A A2 — 0.740% 12/15/2026(f) | | | 23,299,000 | | | | 23,239,014 | |
| Enterprise Fleet Financing LLC 2021-2 A2 — 0.480% 5/20/2027(f) | | | 79,433,000 | | | | 78,709,397 | |
| Enterprise Fleet Financing LLC 2021-3 A2 — 0.770% 8/20/2027(f) | | | 56,875,000 | | | | 56,516,306 | |
| Kubota Credit Owner Trust 2020-1A A4 — 2.260% 7/15/2026(f) | | | 14,855,000 | | | | 15,182,590 | |
| Navistar Financial Dealer Note Master Trust 2020-1 A, 1M USD LIBOR + 0.950% — 1.052% 7/25/2025(e)(f) | | | 62,562,000 | | | | 62,706,162 | |
| NextGear Floorplan Master Owner Trust 2020-1A A2 — 1.550% 2/15/2025(f) | | | 8,748,000 | | | | 8,814,765 | |
FPA NEW INCOME, INC.
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2021
(Unaudited)
| BONDS & DEBENTURES - Continued | | Principal
Amount | | | Fair Value | |
| Pawneee Equipment Receivables LLC 2021-1 A2 — 1.100% 7/15/2027(f) | | $ | 21,232,000 | | | $ | 21,107,738 | |
| Prop Series 2017-1A — 5.300% 3/15/2042(b) | | | 18,431,014 | | | | 17,213,354 | |
| Verizon Owner Trust 2019-C B — 2.060% 4/22/2024 | | | 42,152,000 | | | | 42,760,422 | |
| Volvo Financial Equipment LLC 2020-1A A3 — 0.510% 10/15/2024(f) | | | 2,370,000 | | | | 2,363,131 | |
| Wheels SPV 2 LLC 2020-1A A3 — 0.620% 8/20/2029(f) | | | 6,513,000 | | | | 6,453,757 | |
| | | | | | | $ | 488,198,475 | |
| OTHER — 9.9% | | | | | | | | |
| ABPCI Direct Lending Fund ABS I Ltd. 2020-1A A — 3.199% 12/20/2030(f) | | $ | 37,774,000 | | | $ | 37,779,704 | |
| Cologix Data Centers US Issuer LLC 2021-1A A2 — 3.300% 12/26/2051(f) | | | 32,205,000 | | | | 32,346,702 | |
| Conn's Receivables Funding LLC 2020-A B — 4.270% 6/16/2025(f) | | | 6,111,120 | | | | 6,142,022 | |
| Dell Equipment Finance Trust 2021-1 — 0.430% 5/22/2026(f) | | | 2,900,000 | | | | 2,882,333 | |
| Dell Equipment Finance Trust 2021-2 A3 — 0.530% 12/22/2026(f) | | | 50,627,000 | | | | 50,147,370 | |
| Elm Trust 2020-4A A2 — 2.286% 10/20/2029(f) | | | 9,925,000 | | | | 9,761,457 | |
| Elm Trust 2020-3A A2 — 2.954% 8/20/2029(f) | | | 11,435,000 | | | | 11,303,229 | |
| FCI Funding LLC 2021-1A A — 1.130% 4/15/2033(f) | | | 14,611,915 | | | | 14,533,155 | |
| Golub Capital Partners ABS Funding Ltd. 2021-1A A2 — 2.773% 4/20/2029(f) | | | 56,366,000 | | | | 56,136,534 | |
| Golub Capital Partners ABS Funding Ltd. 2021-2A A — 2.944% 10/19/2029(f) | | | 95,445,000 | | | | 94,663,878 | |
| Golub Capital Partners ABS Funding Ltd. 2020-1A A2 — 3.208% 1/22/2029(f) | | | 44,967,000 | | | | 45,146,868 | |
| Gracie Point International Funding 2021-1A, 1M USD LIBOR + 0.750% — 0.849% 11/1/2023(e)(f) | | | 23,485,280 | | | | 23,540,022 | |
| GreatAmerica Leasing Receivables Funding LLC 2020-1 A4 — 1.850% 2/16/2026(f) | | | 1,060,000 | | | | 1,072,864 | |
| LCM XX LP 20A AR, 3M USD LIBOR + 1.040% — 1.172% 10/20/2027(e)(f) | | | 4,054,305 | | | | 4,054,792 | |
| Monroe Capital ABS Funding Ltd. 2021-1A A2 — 2.815% 4/22/2031(f) | | | 43,962,000 | | | | 43,269,598 | |
| New Residential Advance Receivables Trust Advance Receivables Backed Notes 2020-APT1 AT1 — 1.035% 12/16/2052(f) | | | 21,590,000 | | | | 21,544,059 | |
| NRZ Advance Receivables Trust 2015-ON1 2020-T3 AT3 — 1.317% 10/15/2052(f) | | | 15,151,200 | | | | 15,130,661 | |
| Oasis Securitization Funding LLC 2021-1A A — 2.579% 2/15/2033(f) | | | 6,212,277 | | | | 6,213,550 | |
| Ocwen Master Advance Receivables Trust 2020-T1 AT1 — 1.278% 8/15/2052(f) | | | 83,817,000 | | | | 83,824,158 | |
| Oportun Funding XIV LLC 2021-A — 1.210% 3/8/2028(f) | | | 10,137,000 | | | | 10,148,761 | |
| Oportun Issuance Trust 2021-C A — 2.180% 10/8/2031(f) | | | 64,181,000 | | | | 64,014,957 | |
| Owl Rock Technology Financing LLC 2020-1A A, 3M USD LIBOR + 2.950% — 3.076% 1/15/2031(e)(f) | | | 85,004,000 | | | | 85,009,015 | |
| Palmer Square Loan Funding Ltd. 2021-1A A1, 3M USD LIBOR + 0.900% — 1.032% 4/20/2029(e)(f) | | | 57,544,923 | | | | 57,552,519 | |
| Palmer Square Loan Funding Ltd. 2018-4A A1, 3M USD LIBOR + 0.900% — 1.056% 11/15/2026(e)(f) | | | 955,797 | | | | 956,002 | |
| PFS Financing Corp. 2021-A A — 0.710% 4/15/2026(f) | | | 42,758,000 | | | | 42,168,769 | |
| PFS Financing Corp. 2021-B A — 0.770% 8/15/2026(f) | | | 47,607,000 | | | | 46,791,383 | |
| PFS Financing Corp. 2021-A B — 0.960% 4/15/2026(f) | | | 5,986,000 | | | | 5,901,788 | |
| PFS Financing Corp. 2020-G A — 0.970% 2/15/2026(f) | | | 62,708,000 | | | | 62,390,271 | |
| PFS Financing Corp. 2020-E A — 1.000% 10/15/2025(f) | | | 43,430,000 | | | | 43,273,179 | |
| PFS Financing Corp. 2020-A A — 1.270% 6/15/2025(f) | | | 58,602,000 | | | | 58,772,596 | |
| PFS Financing Corp. 2020-A B — 1.770% 6/15/2025(f) | | | 9,400,000 | | | | 9,470,213 | |
| PFS Financing Corp. 2021-B B — 1.090% 8/15/2026(f) | | | 5,672,000 | | | | 5,596,628 | |
| SMB Private Education Loan Trust 2021-A A1, 1M USD LIBOR + 0.500% — 0.610% 1/15/2053(e)(f) | | | 3,983,213 | | | | 3,984,401 | |
| SpringCastle America Funding LLC 2020-AA A — 1.970% 9/25/2037(f) | | | 25,985,495 | | | | 26,225,300 | |
| TVEST 2020A LLC 2020-A A — 4.500% 7/15/2032(f) | | | 7,642,574 | | | | 7,681,473 | |
FPA NEW INCOME, INC.
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2021
(Unaudited)
| BONDS & DEBENTURES - Continued | | Principal
Amount | | | Fair Value | |
| VCP RRL ABS I Ltd. 2021-1A A — 2.152% 10/20/2031(f) | | $ | 54,318,000 | | | $ | 53,984,379 | |
| | | | | | | $ | 1,143,414,590 | |
| | | | | | | | | |
| TOTAL ASSET-BACKED SECURITIES (Cost $6,668,838,339) | | | | | | $ | 6,647,293,919 | |
| | | | | | | | | |
| CORPORATE BONDS & NOTES — 0.1% | | | | | | | | |
| COMMUNICATIONS — 0.1% | | | | | | | | |
| Frontier Communications Holdings LLC — 5.875% 10/15/2027(f) (Cost $5,925,000) | | $ | 5,925,000 | | | $ | 6,265,687 | |
| | | | | | | | | |
| CORPORATE BANK DEBT — 2.7% | | | | | | | | |
| ABG Intermediate Holdings 2 LLC, 3M USD LIBOR + 3.250% — 4.000% 9/29/2024(d)(e) | | $ | 34,392,232 | | | $ | 34,248,816 | |
| Applied Systems, Inc., 3M USD LIBOR + 3.000% — 3.500% 9/19/2024(d)(e) | | | 23,269,000 | | | | 23,205,010 | |
| Asurion LLC, 1M USD LIBOR + 3.000% — 3.104% 11/3/2024(d)(e) | | | 59,168,506 | | | | 58,897,514 | |
| Axiom Global, Inc. Term Loan 10/1/2026(d) | | | 23,131,000 | | | | 22,668,380 | |
| Capstone Acquisition Holdings, Inc. 2020 Delayed Draw Term Loan, 1M USD LIBOR + 4.750% — 5.750% 11/12/2027(d)(e)(i) | | | 2,854,103 | | | | 1,084,749 | |
| Capstone Acquisition Holdings, Inc. 2020 Term Loan, 1M USD LIBOR + 4.750% — 5.750% 11/12/2027(d)(e) | | | 18,772,102 | | | | 18,772,102 | |
| Frontier Communications Corp., 3M USD LIBOR + 3.750% — 4.500% 5/1/2028(d)(e) | | | 23,620,507 | | | | 23,576,337 | |
| Hanjin International Corp., 3M USD LIBOR + 5.000% — 5.500% 12/23/2022(d)(e) | | | 30,859,000 | | | | 30,974,721 | |
| Heartland Dental LLC, 1M USD LIBOR + 4.000% — 4.104% 4/30/2025(d)(e) | | | 38,799,572 | | | | 38,702,574 | |
| JC Penney Corp., Inc., 3M USD LIBOR + 4.250% — 5.250% 6/23/2023(d)(e) | | | 27,218,054 | | | | 2,722 | |
| MB2LTL, 1M USD LIBOR + 9.250% — 10.250% 11/30/2023(b)(d)(e) | | | 6,816,000 | | | | 6,818,590 | |
| McDermott Super Senior Exit LC — 0.500% 6/30/2024(d)(e)(i) | | | 16,770,000 | | | | (3,773,250 | ) |
| Mediaco Holding, Inc. Class A 6.400% — 9.400% 11/25/2024(b)(c)(d)(e) | | | 11,738,434 | | | | 10,916,744 | |
| Polyconcept North America Holdings, Inc., 6M USD LIBOR + 4.500% — 5.500% 8/16/2023(d)(e) | | | 24,360,855 | | | | 24,239,050 | |
| Windstream Services LLC, 1M USD LIBOR + 6.250% — 7.250% 9/21/2027(d)(e) | | | 13,270,483 | | | | 13,303,660 | |
| | | | | | | | | |
| TOTAL CORPORATE BANK DEBT (Cost $306,908,521) | | | | | | $ | 303,637,719 | |
| | | | | | | | | |
| U.S. TREASURIES — 22.7% | | | | | | | | |
| U.S. Treasury Notes — 0.375% 9/15/2024 | | $ | 1,661,031,000 | | | $ | 1,637,722,583 | |
| U.S. Treasury Notes — 0.750% 11/15/2024 | | | 988,470,000 | | | | 983,060,894 | |
| | | | | | | | | |
| TOTAL U.S. TREASURIES (Cost $2,640,031,408) | | | | | | $ | 2,620,783,477 | |
| | | | | | | | | |
| TOTAL BONDS & DEBENTURES — 97.9% (Cost $11,350,408,292) | | | | | | $ | 11,284,587,984 | |
| | | | | | | | | |
| TOTAL INVESTMENT SECURITIES — 99.2% (Cost $11,489,672,702) | | | | | | $ | 11,433,172,608 | |
FPA NEW INCOME, INC.
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 2021
(Unaudited)
| | | Principal
Amount | | | Fair Value | |
| SHORT-TERM INVESTMENTS — 1.2% | | | | | | | | |
| State Street Bank Repurchase Agreement — 0.00% 1/3/2022 | | | | | | | | |
| (Dated 12/31/2021, repurchase price of $139,213,000, collateralized by $148,378,800 principal amount U.S. Treasury Notes — 0.625% 2027, fair value $141,997,324) | | $ | 139,213,000 | | | $ | 139,213,000 | |
| | | | | | | | | |
| TOTAL SHORT-TERM INVESTMENTS (Cost $139,213,000) | | | | | | $ | 139,213,000 | |
| | | | | | | | | |
| TOTAL INVESTMENTS — 100.4% (Cost $11,628,885,702) | | | | | | $ | 11,572,385,608 | |
| Other Assets and Liabilities, net — (0.4)% | | | | | | | (42,368,439 | ) |
| NET ASSETS — 100.0% | | | | | | $ | 11,530,017,169 | |
| (a) | Non-income producing security. |
| (b) | Investments categorized as a significant unobservable input (Level 3) (See Note 1 of the Notes to Financial Statements). |
| (c) | These securities have been valued in good faith under policies adopted by authority of the Board of Trustees in accordance with the Fund's fair value procedures. These securities constituted 0.71% of total net assets at December 31, 2021. |
| (d) | Restricted securities. These restricted securities constituted 3.50% of total net assets at December 31, 2021, 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. |
| (e) | Variable/Floating Rate Security — The rate shown is based on the latest available information as of December 31, 2021. 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. |
| (f) | 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. |
| (g) | Zero coupon bond. Coupon amount represents effective yield to maturity. |
| (h) | Step Coupon - Coupon rate increases in increments to maturity. Rate disclosed is as of December 31, 2021. |
| (i) | All or a portion of this holding is subject to unfunded loan commitments. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the commitment fees on the portion of the loan that is unfunded. |
FPA NEW INCOME, INC.
PORTFOLIO OF INVESTMENTS – RESTRICTED SECURITIES
December 31, 2021
(Unaudited)
| Issuer | | Acquisition Date (s) | | Cost | | | Fair Value | | | Fair Value as a % of
Net Assets | |
| ABG Intermediate Holdings 2 LLC, 3M USD LIBOR + 3.250% — 4.000% 9/29/2024 | | 03/06/2020, 03/12/2020, 02/02/2021,03/17/2021, 03/18/2021 | | $ | 34,080,910 | | | $ | 34,248,816 | | | �� | 0.30 | % |
| Applied Systems, Inc., 3M USD LIBOR + 3.000% — 3.500% 9/19/2024 | | 07/28/2021, 08/03/2021, 08/04/2021 | | | 23,215,041 | | | | 23,205,010 | | | | 0.20 | % |
| Asurion LLC, 1M USD LIBOR + 3.000% — 3.104% 11/3/2024 | | 01/06/2021, 03/01/2021, 03/02/2021,05/21/2021, 07/14/2021,08/17/2021 | | | 58,768,996 | | | | 58,897,514 | | | | 0.51 | % |
| Axiom Global, Inc. Term Loan 10/1/2026 | | 11/19/2021 | | | 22,908,942 | | | | 22,668,380 | | | | 0.20 | % |
| BTC Holdings Fund I LLC — 2.880% 1/28/2027 | | 09/01/2021 | | | 13,924,291 | | | | 13,924,291 | | | | 0.12 | % |
| BTC Offshore Holdings Fund, 3M USD LIBOR + 2.650% — 2.778% 10/20/2029 | | 10/25/2021 | | | 13,400,000 | | | | 13,400,000 | | | | 0.12 | % |
| Capstone Acquisition Holdings, Inc. 2020 Delayed Draw Term Loan, 1M USD LIBOR + 4.750% — 5.750% 11/12/2027 | | 04/30/2021 | | | 1,079,893 | | | | 1,084,749 | | | | 0.01 | % |
| Capstone Acquisition Holdings, Inc. 2020 Term Loan, 1M USD LIBOR + 4.750% — 5.750% 11/12/2027 | | 04/30/2021 | | | 18,625,571 | | | | 18,772,102 | | | | 0.16 | % |
| Copper Earn Out Trust | | 12/07/2020 | | | — | | | | 814,992 | | | | 0.01 | % |
| Copper Property CTL Pass Through Trust | | 10/05/2017,10/06/2017, 10/11/2017,11/19/2018, 11/27/2018,01/11/2019, 02/08/2019,03/11/2019, 05/29/2019,06/08/2020 | | | 25,752,396 | | | | 12,224,888 | | | | 0.11 | % |
| Frontier Communications Corp., 3M USD LIBOR + 3.750% — 4.500% 5/1/2028 | | 04/09/2021 | | | 23,403,800 | | | | 23,576,337 | | | | 0.20 | % |
| Hanjin International Corp., 3M USD LIBOR + 5.000% — 5.500% 12/23/2022 | | 12/23/2020,02/25/2021, | | | 30,779,011 | | | | 30,974,721 | | | | 0.27 | % |
| Heartland Dental LLC, 1M USD LIBOR + 4.000% — 4.104% 4/30/2025 | | 06/10/2021,08/02/2021, 08/03/2021,08/12/2021 | | | 38,614,292 | | | | 38,702,574 | | | | 0.34 | % |
| JC Penney Corp., Inc., 3M USD LIBOR + 4.250% — 5.250% 6/23/2023 | | 02/03/2021 | | | — | | | | 2,722 | | | | 0.00 | % |
| MB2LTL, 1M USD LIBOR + 9.250% — 10.250% 11/30/2023 | | — | | | 6,780,382 | | | | 6,818,590 | | | | 0.06 | % |
| McDermott Super Senior Exit LC — 0.500% 6/30/2024 | | 02/28/2020 | | | (98,616 | ) | | | (3,773,250 | ) | | | (0.03 | )% |
| Mediaco Holding, Inc. Class A 6.400% — 9.400% 11/25/2024 | | 06/01/2021,07/01/2021, 08/01/2021,09/01/2021, 10/01/2021,11/01/2021, 12/01/2021 | | | 11,664,777 | | | | 10,916,744 | | | | 0.09 | % |
| PHI Group, Inc. | | 08/19/2019 | | | 9,504,696 | | | | 18,420,098 | | | | 0.16 | % |
| PHI Group, Inc., Restricted | | 08/19/2019 | | | 21,626,709 | | | | 39,818,128 | | | | 0.34 | % |
| Polyconcept North America Holdings, Inc., 6M USD LIBOR + 4.500% — 5.500% 8/16/2023 | | 03/31/2020, 6/30/2020, 10/1/2020, 12/31/2020 | | | 24,251,434 | | | | 24,239,050 | | | | 0.21 | % |
| Windstream Services LLC, 1M USD LIBOR + 6.250% — 7.250% 9/21/2027 | | 08/11/2020 | | | 12,834,088 | | | | 13,303,660 | | | | 0.12 | % |
| TOTAL RESTRICTED SECURITIES | | | | $ | 391,116,613 | | | $ | 402,240,116 | | | | 3.50 | % |
NOTE 1 — Disclosure of Fair Value Measurements
The Fund 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.
The Fund 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 2021 (see Portfolio of Investments for industry categories):
| Investments | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Common Stocks | | | | | | | | | | | | | | | | |
| Energy | | | — | | | | — | | | $ | 58,238,226 | | | $ | 58,238,226 | |
| Industrials | | $ | 77,306,518 | | | | — | | | | — | | | | 77,306,518 | |
| Retailing | | | — | | | | — | | | | 13,039,880 | | | | 13,039,880 | |
| Commercial Mortgage-Backed Securities | | | | | | | | | | | | | | | | |
| Agency | | | — | | | $ | 9,017,794 | | | | — | | | | 9,017,794 | |
| Agency Stripped | | | — | | | | 51,566,610 | | | | — | | | | 51,566,610 | |
| Non-Agency | | | — | | | | 782,165,066 | | | | — | | | | 782,165,066 | |
| Residential Mortgage-Backed Securities | | | | | | | | | | | | | | | | |
| Agency Collateralized Mortgage Obligation | | | — | | | | 25,752,063 | | | | — | | | | 25,752,063 | |
| Agency Pool Adjustable Rate | | | — | | | | 308,089 | | | | — | | | | 308,089 | |
| Agency Pool Fixed Rate | | | — | | | | 6,592,298 | | | | — | | | | 6,592,298 | |
| Agency Stripped | | | — | | | | 182,932 | | | | — | | | | 182,932 | |
| Non-Agency Collateralized Mortgage Obligation | | | — | | | | 764,037,258 | | | | 66,985,072 | | | | 831,022,330 | |
| Asset-Backed Securities | | | | | | | | | | | | | | | | |
| Auto | | | — | | | | 2,567,331,140 | | | | — | | | | 2,567,331,140 | |
| Collateralized Loan Obligation | | | — | | | | 2,421,025,423 | | | | 27,324,291 | | | | 2,448,349,714 | |
| Equipment | | | — | | | | 470,985,121 | | | | 17,213,354 | | | | 488,198,475 | |
| Other | | | — | | | | 1,143,414,590 | | | | — | | | | 1,143,414,590 | |
| Corporate Bonds & Notes | | | — | | | | 6,265,687 | | | | — | | | | 6,265,687 | |
| Corporate Bank Debt | | | — | | | | 285,902,385 | | | | 17,735,334 | | | | 303,637,719 | |
| U.S. Treasuries | | | — | | | | 2,620,783,477 | | | | — | | | | 2,620,783,477 | |
| Short-Term Investment | | | — | | | | 139,213,000 | | | | — | | | | 139,213,000 | |
| | | $ | 77,306,518 | | | $ | 11,294,542,933 | | | $ | 200,536,157 | | | $ | 11,572,385,608 | |
The following table summarizes the Fund’s Level 3 investment securities and related transactions during the period ended December 31, 2021:
| Investments | | Beginning
Value at
September 30,
2021 | | | Net Realized
and
Unrealized
Gains
(Losses)* | | | Purchases | | | (Sales) | | | Gross
Transfers
In/(Out) | | | Ending Value
at
December
31, 2021 | | | Net Change in
Unrealized
Appreciation
(Depreciation)
related to
Investments
held at
December 31,
2021 | |
| Common Stocks | | $ | 93,664,143 | | | $ | (3,317,745 | ) | | | — | | | | — | | | $ | (19,068,292 | ) | | $ | 71,278,106 | | | $ | 2,102,507 | |
| Residential Mortgage-Backed Securities Non-Agency Collateralized Mortgage Obligation | | | 35,620,000 | | | | (397,561 | ) | | $ | 67,205,913 | | | $ | (1,335,621 | ) | | | (34,107,659 | ) | | | 66,985,072 | | | | (110,261 | ) |
| Asset-Backed Securities Collateralized Loan Obligation | | | 17,800,000 | | | | — | | | | 13,400,000 | | | | (3,875,709 | ) | | | — | | | | 27,324,291 | | | | — | |
| Asset-Backed Securities Equipment | | | 18,223,505 | | | | (54,458 | ) | | | — | | | | (955,693 | ) | | | — | | | | 17,213,354 | | | | (55,053 | ) |
| Corporate Bank Debt | | | 17,737,844 | | | | (32,132 | ) | | | 29,622 | | | | — | | | | — | | | | 17,735,334 | | | | (41,886 | ) |
| | | $ | 183,045,492 | | | $ | (3,801,896 | ) | | $ | 80,635,535 | | | $ | (6,167,023 | ) | | $ | (53,175,951 | ) | | $ | 200,536,157 | | | $ | 1,895,307 | |
Transfers of investments between different levels of the fair value hierarchy are recorded at fair value as of the end of the reporting period. There were transfers of $34,107,659 out of Level 3 into Level 2, $58,238,226 out of Level 1 into Level 3 and $77,306,519 out of Level 3 into Level 1. Transfers out of Level 3 were due to change in valuation technique from recent trade activity to vendor priced. Transfers into Level 3 were due to change in valuation technique from vendor priced to third party broker quoted.
The following table summarizes the quantitative inputs and assumptions used for items categorized as Level 3 of the fair value hierarchy as of December 31, 2021:
| Financial Assets | | Fair Value at
December 31,
2021 | | | Valuation Technique(s) | | | Unobservable Inputs | | | Price/Range | | | Weighted Average Price | |
| Common Stocks | | $ | 13,039,880 | | | | Pricing Model (a) | | | | Quotes/Prices | | | | $11.75 - $23.50 | | | $ | 22.77 | |
| | | | 58,238,226 | | | | Pricing Model (b) | | | | Executed Trades | | | | $15.30 | | | $ | 15.30 | |
Residential Mortgage-Backed Securities -
Non-Agency Collateralized Mortgage
Obligation | | $ | 66,985,072 | | | | Third-Party Broker Quote (c) | | | | Quotes/Prices | | | | $99.73 - $100.00 | | | $ | 99.84 | |
Asset-Backed Securities - Collateralized Loan
Obligation | | $ | 27,324,291 | | | | Third-Party Broker Quote (c) | | | | Quotes/Prices | | | | $100.00 | | | $ | 100.00 | |
| Asset-Backed Securities - Equipment | | $ | 17,213,354 | | | | Third-Party Broker Quote (c) | | | | Quotes/Prices | | | | $93.39 | | | $ | 93.39 | |
| Corporate Bank Debt | | $ | 6,818,590 | | | | Pricing Vendor | | | | Prices | | | | $100.04 | | | $ | 100.04 | |
| | | | 10,916,744 | | | | Pricing Model (d) | | | | Amortized Cost | | | | $93.00 | | | $ | 93.00 | |
| (a) | The Pricing Model technique for Level 3 securities involves recently quoted funding prices of the security. |
| (b) | The Pricing Model technique for Level 3 securities involves the last executed trade in the security. |
| (c) | The Third Party Broker Quote technique involves obtaining an independent third-party broker quote for the security. |
| (d) | The Pricing Model technique for Level 3 securities involves external valuation by an independent third party. |
NOTE 2 — Federal Income Tax
The cost of investment securities held at December 31, 2021 (excluding short-term investments), was $11,490,115,986 for federal income tax purposes. Net unrealized depreciation consists of:
| Gross unrealized appreciation: | | $ | 38,058,593 | |
| Gross unrealized depreciation: | | | (95,001,971 | ) |
| Net unrealized depreciation: | | $ | (56,943,378 | ) |
