A: PSRAX | C: PSRCX | K: STRKX | R: STIRX | Y: STRYX |
Principal Amount USD ($) | Value | |||||
UNAFFILIATED ISSUERS — 104.4% | ||||||
Senior Secured Floating Rate Loan Interests — 0.6% of Net Assets*(a) | ||||||
Chemicals-Diversified — 0.1% | ||||||
1,886,400 | LSF11 A5 HoldCo LLC, Term Loan, 8.97% (Term SOFR + 350 bps), 10/15/28 | $ 1,888,758 | ||||
Total Chemicals-Diversified | $1,888,758 | |||||
Electric-Generation — 0.1% | ||||||
2,491,603 | Generation Bridge Northeast LLC, Term Loan B, 9.606% (Term SOFR + 425 bps), 8/22/29 | $ 2,507,176 | ||||
Total Electric-Generation | $2,507,176 | |||||
Electronic Composition — 0.0%† | ||||||
1,344,400 | Energy Acquisition LP, First Lien Initial Term Loan, 9.706% (Term SOFR + 425 bps), 6/26/25 | $ 1,333,476 | ||||
Total Electronic Composition | $1,333,476 | |||||
Medical-Wholesale Drug Distribution — 0.1% | ||||||
3,024,450 | Owens & Minor, Inc., Term B-1 Loan, 9.198% (Term SOFR + 375 bps), 3/29/29 | $ 3,034,531 | ||||
Total Medical-Wholesale Drug Distribution | $3,034,531 | |||||
Metal Processors & Fabrication — 0.2% | ||||||
5,692,695 | Grinding Media, Inc. (Molycop, Ltd.), First Lien Initial Term Loan, 9.684% (Term SOFR + 400 bps), 10/12/28 | $ 5,664,232 | ||||
991,864 | WireCo WorldGroup, Inc., 2023 Refinancing Term Loan, 9.108% (Term SOFR + 375 bps), 11/13/28 | 996,823 | ||||
Total Metal Processors & Fabrication | $6,661,055 | |||||
Recreational Centers — 0.1% | ||||||
2,711,800 | Fitness International LLC, Term B Loan, 8.706% (Term SOFR + 325 bps), 4/18/25 | $ 2,706,038 | ||||
Total Recreational Centers | $2,706,038 | |||||
Total Senior Secured Floating Rate Loan Interests (Cost $17,965,000) | $18,131,034 | |||||
Shares | Value | |||||
Common Stocks — 0.1% of Net Assets | ||||||
Automobile Components — 0.0%† | ||||||
9,565,478(b) | Ascent CNR Corp., Class A | $ 956,548 | ||||
Total Automobile Components | $956,548 | |||||
Household Durables — 0.0%† | ||||||
1,018,282(b) | Desarrolladora Homex SAB de CV | $ 780 | ||||
Total Household Durables | $780 | |||||
Oil, Gas & Consumable Fuels — 0.0%† | ||||||
336(b) | Frontera Energy Corp. | $ 2,029 | ||||
Total Oil, Gas & Consumable Fuels | $2,029 | |||||
Paper & Forest Products — 0.0%† | ||||||
162,828+ | Emerald Plantation Holdings, Ltd. | $ — | ||||
Total Paper & Forest Products | $— | |||||
Passenger Airlines — 0.1% | ||||||
128,171(b)+ | Grupo Aeromexico SAB de CV | $ 2,060,578 | ||||
Total Passenger Airlines | $2,060,578 | |||||
Total Common Stocks (Cost $2,704,643) | $3,019,935 | |||||
Principal Amount USD ($) | ||||||
Asset Backed Securities — 8.4% of Net Assets | ||||||
500,000 | 321 Henderson Receivables III LLC, Series 2008-1A, Class C, 9.36%, 1/15/48 (144A) | $ 498,942 | ||||
500,000 | 321 Henderson Receivables III LLC, Series 2008-1A, Class D, 10.81%, 1/15/50 (144A) | 507,398 | ||||
4,000,000(a) | 522 Funding CLO, Ltd., Series 2019-4A, Class E, 12.677% (3 Month Term SOFR + 726 bps), 4/20/30 (144A) | 3,671,548 | ||||
4,750,000(a) | 522 Funding CLO, Ltd., Series 2019-5A, Class ER, 12.154% (3 Month Term SOFR + 676 bps), 4/15/35 (144A) | 4,313,883 | ||||
2,751,089 | A10 Bridge Asset Financing LLC, Series 2019-B, Class D, 4.523%, 8/15/40 (144A) | 2,617,291 | ||||
482,314 | Accelerated Assets LLC, Series 2018-1, Class B, 4.51%, 12/2/33 (144A) | 470,360 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
681,817 | Accelerated Assets LLC, Series 2018-1, Class C, 6.65%, 12/2/33 (144A) | $ 668,176 | ||||
1,000,000 | Amur Equipment Finance Receivables X LLC, Series 2022-1A, Class E, 5.02%, 12/20/28 (144A) | 915,792 | ||||
1,413,000 | Amur Equipment Finance Receivables XI LLC, Series 2022-2A, Class E, 9.32%, 10/22/29 (144A) | 1,385,221 | ||||
5,250,000 | Amur Equipment Finance Receivables XII LLC, Series 2023-1A, Class D, 7.48%, 7/22/30 (144A) | 5,343,440 | ||||
3,975,000(a) | Arbor Realty Commercial Real Estate Notes, Ltd., Series 2021-FL3, Class D, 7.676% (1 Month Term SOFR + 231 bps), 8/15/34 (144A) | 3,736,341 | ||||
5,400,000(a) | Arbor Realty Commercial Real Estate Notes, Ltd., Series 2021-FL4, Class E, 8.876% (1 Month Term SOFR + 351 bps), 11/15/36 (144A) | 4,957,135 | ||||
2,000,000 | Arivo Acceptance Auto Loan Receivables Trust, Series 2022-1A, Class D, 7.38%, 9/17/29 (144A) | 1,868,957 | ||||
1,054,000(c) | B2R Mortgage Trust, Series 2015-1, Class D, 4.831%, 5/15/48 (144A) | 1,037,353 | ||||
3,295,000(a) | Battalion CLO IX, Ltd., Series 2015-9A, Class ER, 11.905% (3 Month Term SOFR + 651 bps), 7/15/31 (144A) | 2,736,013 | ||||
1,600,000(a) | Benefit Street Partners CLO XIX, Ltd., Series 2019-19A, Class D, 9.455% (3 Month Term SOFR + 406 bps), 1/15/33 (144A) | 1,591,982 | ||||
3,462,658 | Blackbird Capital II Aircraft Lease Ltd., Series 2021-1A, Class B, 3.446%, 7/15/46 (144A) | 2,874,110 | ||||
3,000,000(a) | Carlyle US CLO, Ltd., Series 2019-4A, Class CR, 8.594% (3 Month Term SOFR + 320 bps), 4/15/35 (144A) | 2,884,119 | ||||
2,150,000 | Cascade MH Asset Trust, Series 2021-MH1, Class B1, 4.573%, 2/25/46 (144A) | 1,766,125 | ||||
4,000,000(c) | Cascade MH Asset Trust, Series 2021-MH1, Class B3, 7.711%, 2/25/46 (144A) | 3,154,665 | ||||
4,250,000(a) | Catskill Park CLO, Ltd., Series 2017-1A, Class D, 11.677% (3 Month Term SOFR + 626 bps), 4/20/29 (144A) | 3,995,213 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
12,000,000(c) | CFMT LLC, Series 2021-HB7, Class M4, 5.072%, 10/27/31 (144A) | $ 11,113,360 | ||||
7,465,000 | Cologix Canadian Issuer LP, Series 2022-1CAN, Class A2, 4.94%, 1/25/52 (144A) | 5,249,190 | ||||
2,500,000 | Commercial Equipment Finance LLC, Series 2021-A, Class D, 6.49%, 12/17/29 (144A) | 2,388,424 | ||||
70,511 | Commonbond Student Loan Trust, Series 2017-BGS, Class C, 4.44%, 9/25/42 (144A) | 59,648 | ||||
4,155,000 | Continental Credit Card ABS LLC, Series 2019-1A, Class C, 6.16%, 8/15/26 (144A) | 4,057,137 | ||||
6,550,000 | Continental Finance Credit Card ABS Master Trust, Series 2022-A, Class C, 9.33%, 10/15/30 (144A) | 6,553,011 | ||||
3,000,000 | Continental Finance Credit Card ABS Master Trust, Series 2022-A, Class D, 12.42%, 10/15/30 (144A) | 2,953,470 | ||||
1,000,000 | Crossroads Asset Trust, Series 2021-A, Class E, 5.48%, 1/20/28 (144A) | 982,449 | ||||
2,300,000 | DataBank Issuer, Series 2021-1A, Class C, 4.43%, 2/27/51 (144A) | 1,874,449 | ||||
6,000,000 | ExteNet LLC, Series 2019-1A, Class C, 5.219%, 7/25/49 (144A) | 5,837,706 | ||||
9,460,000(c) | Finance of America HECM Buyout, Series 2022-HB1, Class M6, 9.317%, 2/25/32 (144A) | 7,950,180 | ||||
7,626,520(d) | Finance of America Structured Securities Trust, Series 2021-S2, Class A2, 1.75%, 9/25/71 (144A) | 7,278,980 | ||||
14,036,277(d) | Finance of America Structured Securities Trust, Series 2021-S3, Class A2, 2.25%, 12/28/26 (144A) | 13,276,238 | ||||
1,000,000(a) | First Eagle BSL CLO, Ltd., Series 2019-1A, Class C, 10.027% (3 Month Term SOFR + 461 bps), 1/20/33 (144A) | 961,136 | ||||
3,000,000(a) | First Eagle BSL CLO, Ltd., Series 2019-1A, Class D, 13.377% (3 Month Term SOFR + 796 bps), 1/20/33 (144A) | 2,649,321 | ||||
5,500,000 | Four Seas LP, Series 2017-1A, Class A2, 5.927%, 8/28/27 (144A) | 5,166,698 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
5,022,000(a) | Goldentree Loan Management US CLO 2, Ltd., Series 2017-2A, Class E, 10.377% (3 Month Term SOFR + 496 bps), 11/28/30 (144A) | $ 4,743,400 | ||||
4,250,000(a) | Goldentree Loan Management US CLO 6, Ltd., Series 2019-6A, Class DR, 8.516% (3 Month Term SOFR + 310 bps), 4/20/35 (144A) | 4,174,452 | ||||
2,885,000 | Granite Park Equipment Leasing LLC, Series 2023-1A, Class E, 7.00%, 6/20/35 (144A) | 2,500,446 | ||||
10,000,000 | Hertz Vehicle Financing III LP, Series 2021-2A, Class D, 4.34%, 12/27/27 (144A) | 8,938,211 | ||||
9,970,500 | HOA Funding LLC - HOA, Series 2021-1A, Class A2, 4.723%, 8/20/51 (144A) | 7,698,791 | ||||
591,344 | Home Partners of America Trust, Series 2019-1, Class F, 4.101%, 9/17/39 (144A) | 517,506 | ||||
2,220,000 | HPEFS Equipment Trust, Series 2023-2A, Class D, 6.97%, 7/21/31 (144A) | 2,275,988 | ||||
3,175,000(a) | ICG US CLO, Ltd., Series 2016-1A, Class DRR, 13.092% (3 Month Term SOFR + 770 bps), 4/29/34 (144A) | 2,500,757 | ||||
2,250,000(a) | ICG US CLO, Ltd., Series 2021-1A, Class E, 11.994% (3 Month Term SOFR + 659 bps), 4/17/34 (144A) | 1,903,691 | ||||
321,549 | JG Wentworth XXII LLC, Series 2010-3A, Class A, 3.82%, 12/15/48 (144A) | 320,234 | ||||
3,070,000 | JPMorgan Chase Bank N.A. - CACLN, Series 2021-2, Class F, 4.393%, 12/26/28 (144A) | 2,974,090 | ||||
2,685,000(a) | MF1, Ltd., Series 2021-FL7, Class D, 8.023% (1 Month Term SOFR + 266 bps), 10/16/36 (144A) | 2,500,197 | ||||
7,500,000(a) | MF1, Ltd., Series 2021-FL7, Class E, 8.273% (1 Month Term SOFR + 291 bps), 10/16/36 (144A) | 6,826,800 | ||||
1,924,041 | Mosaic Solar Loan Trust, Series 2019-2A, Class D, 6.18%, 9/20/40 (144A) | 1,853,147 | ||||
3,071,725 | Mosaic Solar Loan Trust, Series 2021-1A, Class D, 3.71%, 12/20/46 (144A) | 2,618,969 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
5,000,000(a) | Neuberger Berman CLO XVII, Ltd., Series 2014-17A, Class ER2, 12.874% (3 Month Term SOFR + 746 bps), 4/22/29 (144A) | $ 4,702,665 | ||||
4,500,000(a) | Newark BSL CLO 1, Ltd., Series 2016-1A, Class DR, 11.899% (3 Month Term SOFR + 651 bps), 12/21/29 (144A) | 4,134,600 | ||||
5,950,000 | NMEF Funding LLC, Series 2022-B, Class C, 8.54%, 6/15/29 (144A) | 5,846,044 | ||||
1,119,000 | Octane Receivables Trust, Series 2020-1A, Class D, 5.45%, 3/20/28 (144A) | 1,105,532 | ||||
1,321,223 | Orange Lake Timeshare Trust, Series 2019-A, Class D, 4.93%, 4/9/38 (144A) | 1,261,900 | ||||
1,900,000(a) | Palmer Square Loan Funding, Ltd., Series 2022-1A, Class C, 7.994% (3 Month Term SOFR + 260 bps), 4/15/30 (144A) | 1,859,251 | ||||
6,400,000 | PEAR LLC, Series 2021-1, Class B, 0.000%, 1/15/34 (144A) | 4,704,576 | ||||
5,000,000(a) | Race Point VIII CLO, Ltd., Series 2013-8A, Class DR2, 9.129% (3 Month Term SOFR + 376 bps), 2/20/30 (144A) | 4,931,505 | ||||
9,600,000 | Republic Finance Issuance Trust, Series 2021-A, Class D, 5.23%, 12/22/31 (144A) | 8,120,514 | ||||
3,000,000(c) | RMF Buyout Issuance Trust, Series 2021-HB1, Class M4, 4.704%, 11/25/31 (144A) | 2,601,371 | ||||
6,000,000(c) | RMF Buyout Issuance Trust, Series 2021-HB1, Class M5, 6.00%, 11/25/31 (144A) | 5,047,671 | ||||
3,750,000(c)+ | RMF Buyout Issuance Trust, Series 2022-HB1, Class M5, 4.50%, 4/25/32 (144A) | 417,375 | ||||
1,500,000 | Rosy Blue Carat SCS, Series 2018-1, Class A1R, 8.481%, 3/15/30 (144A) | 1,541,850 | ||||
1,250,000(a) | RRX 3, Ltd., Series 2021-3A, Class D, 12.405% (3 Month Term SOFR + 701 bps), 4/15/34 (144A) | 1,186,885 | ||||
9,550,000 | Santander Bank Auto Credit-Linked Notes, Series 2022-B, Class F, 11.91%, 8/16/32 (144A) | 9,610,667 | ||||
837,380 | Sierra Timeshare Receivables Funding LLC, Series 2019-1A, Class D, 4.75%, 1/20/36 (144A) | 824,899 |
Principal Amount USD ($) | Value | |||||
Asset Backed Securities — (continued) | ||||||
759,741 | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class D, 6.59%, 7/20/37 (144A) | $ 735,750 | ||||
3,500,000(a) | Signal Peak CLO 2 LLC, Series 2015-1A, Class DR2, 8.527% (3 Month Term SOFR + 311 bps), 4/20/29 (144A) | 3,451,718 | ||||
4,750,000(a) | Sound Point CLO XXI, Ltd., Series 2018-3A, Class C, 8.941% (3 Month Term SOFR + 356 bps), 10/26/31 (144A) | 4,222,931 | ||||
3,000,000(a) | Sound Point CLO XXVIII, Ltd., Series 2020-3A, Class E, 12.54% (3 Month Term SOFR + 716 bps), 1/25/32 (144A) | 2,763,933 | ||||
5,000,000(c) | Towd Point HE Trust, Series 2021-HE1, Class M2, 2.50%, 2/25/63 (144A) | 4,488,303 | ||||
2,750,000 | Tricolor Auto Securitization Trust, Series 2021-1A, Class F, 5.08%, 5/15/28 (144A) | 2,680,642 | ||||
4,250,000 | Tricon American Homes Trust, Series 2020-SFR2, Class E1, 2.73%, 11/17/39 (144A) | 3,715,080 | ||||
827,365 | Upstart Securitization Trust, Series 2021-1, Class C, 4.06%, 3/20/31 (144A) | 808,475 | ||||
1,294,000 | VFI ABS LLC, Series 2022-1A, Class D, 6.68%, 11/26/29 (144A) | 1,238,228 | ||||
2,540,000 | VFI ABS LLC, Series 2023-1A, Class D, 12.36%, 12/24/30 (144A) | 2,585,334 | ||||
524,819 | Westgate Resorts LLC, Series 2020-1A, Class C, 6.213%, 3/20/34 (144A) | 520,344 | ||||
2,359,942 | Westgate Resorts LLC, Series 2022-1A, Class C, 2.488%, 8/20/36 (144A) | 2,243,588 | ||||
1,490,489 | Westgate Resorts LLC, Series 2022-1A, Class D, 3.838%, 8/20/36 (144A) | 1,410,598 | ||||
4,000,000(a) | Whitebox CLO II, Ltd., Series 2020-2A, Class ER, 12.76% (3 Month Term SOFR + 736 bps), 10/24/34 (144A) | 3,965,520 | ||||
Total Asset Backed Securities (Cost $299,152,390) | $274,419,889 | |||||
Collateralized Mortgage Obligations—12.2% of Net Assets | ||||||
5,970,020(c) | Bayview MSR Opportunity Master Fund Trust, Series 2021-2, Class A8, 2.50%, 6/25/51 (144A) | $ 3,855,108 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
2,120,000(a) | Bellemeade Re, Ltd., Series 2019-1A, Class B1, 9.47% (1 Month Term SOFR + 411 bps), 3/25/29 (144A) | $ 2,144,431 | ||||
2,283,485(a) | Bellemeade Re, Ltd., Series 2019-1A, Class M2, 8.17% (1 Month Term SOFR + 281 bps), 3/25/29 (144A) | 2,298,539 | ||||
8,062,000(c) | BINOM Securitization Trust, Series 2022-RPL1, Class M3, 3.00%, 2/25/61 (144A) | 5,384,324 | ||||
3,134,928(c) | Brean Asset Backed Securities Trust, Series 2021-RM1, Class A, 1.40%, 10/25/63 (144A) | 2,706,472 | ||||
2,599,822 | Brean Asset Backed Securities Trust, Series 2021-RM2, Class M1, 1.75%, 10/25/61 (144A) | 2,021,814 | ||||
3,409,915(c) | Cascade Funding Mortgage Trust, Series 2019-RM3, Class C, 4.00%, 6/25/69 (144A) | 3,115,720 | ||||
2,560,084(c) | CIM Trust, Series 2021-J2, Class B2, 2.672%, 4/25/51 (144A) | 1,936,755 | ||||
3,038,960(c) | CIM Trust, Series 2021-J2, Class B3, 2.672%, 4/25/51 (144A) | 2,168,125 | ||||
5,264,850(c) | Citigroup Mortgage Loan Trust, Series 2018-RP3, Class B2, 3.25%, 3/25/61 (144A) | 3,576,561 | ||||
8,571,948(c) | Citigroup Mortgage Loan Trust, Series 2021-INV2, Class B1W, 2.989%, 5/25/51 (144A) | 6,816,399 | ||||
2,029,190(c) | Citigroup Mortgage Loan Trust, Inc., Series 2018-RP1, Class B2, 3.202%, 9/25/64 (144A) | 1,454,328 | ||||
2,670,000(a) | Connecticut Avenue Securities Trust, Series 2020-SBT1, Class 1M2, 9.102% (SOFR30A + 376 bps), 2/25/40 (144A) | 2,790,212 | ||||
4,940,000(a) | Connecticut Avenue Securities Trust, Series 2020-SBT1, Class 2M2, 9.102% (SOFR30A + 376 bps), 2/25/40 (144A) | 5,200,514 | ||||
16,450,000(a) | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2B1, 9.837% (SOFR30A + 450 bps), 1/25/42 (144A) | 16,934,804 | ||||
469,513(c) | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-17, Class B1, 5.50%, 6/25/33 | 5 | ||||
2,638,958(c) | CSMC, Series 2021-RPL2, Class M3, 3.616%, 1/25/60 (144A) | 1,734,118 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
8,240,000(a) | Eagle Re, Ltd., Series 2023-1, Class M1B, 9.287% (SOFR30A + 395 bps), 9/26/33 (144A) | $ 8,279,216 | ||||
8,205,085(a)(e) | Federal Home Loan Mortgage Corp. REMICs, Series 4087, Class SB, 0.577% (SOFR30A + 592 bps), 7/15/42 | 858,963 | ||||
4,503,154(a)(e) | Federal Home Loan Mortgage Corp. REMICs, Series 4091, Class SH, 1.097% (SOFR30A + 644 bps), 8/15/42 | 585,822 | ||||
2,138,176(e) | Federal Home Loan Mortgage Corp. REMICs, Series 4999, Class QI, 4.00%, 5/25/50 | 383,680 | ||||
2,618,210(e) | Federal Home Loan Mortgage Corp. REMICs, Series 5067, Class GI, 4.00%, 12/25/50 | 503,657 | ||||
86,605 | Federal National Mortgage Association REMICs, Series 2009-36, Class HX, 4.50%, 6/25/29 | 85,396 | ||||
2,255,729(a)(e) | Federal National Mortgage Association REMICs, Series 2012-14, Class SP, 1.098% (SOFR30A + 644 bps), 8/25/41 | 176,202 | ||||
1,782,444(a)(e) | Federal National Mortgage Association REMICs, Series 2018-43, Class SM, 0.748% (SOFR30A + 609 bps), 6/25/48 | 193,912 | ||||
2,068,817(a)(e) | Federal National Mortgage Association REMICs, Series 2019-33, Class S, 0.598% (SOFR30A + 594 bps), 7/25/49 | 157,543 | ||||
1,678,277(a)(e) | Federal National Mortgage Association REMICs, Series 2019-41, Class PS, 0.598% (SOFR30A + 594 bps), 8/25/49 | 207,598 | ||||
1,639,806(a)(e) | Federal National Mortgage Association REMICs, Series 2019-41, Class SM, 0.598% (SOFR30A + 594 bps), 8/25/49 | 202,739 | ||||
1,843,530(e) | Federal National Mortgage Association REMICs, Series 2020-83, Class EI, 4.00%, 11/25/50 | 368,111 | ||||
214,047,653(c)(e) | Flagstar Mortgage Trust, Series 2021-4, Class AX1, 0.204%, 6/1/51 (144A) | 2,285,387 | ||||
5,617,923(c) | Flagstar Mortgage Trust, Series 2021-7, Class B3, 2.928%, 8/25/51 (144A) | 4,177,281 | ||||
3,585,000(a) | Freddie Mac STACR REMIC Trust, Series 2020-DNA5, Class B1, 10.137% (SOFR30A + 480 bps), 10/25/50 (144A) | 4,015,577 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
2,910,000(a) | Freddie Mac STACR REMIC Trust, Series 2020-DNA6, Class B1, 8.337% (SOFR30A + 300 bps), 12/25/50 (144A) | $ 3,011,564 | ||||
2,630,000(a) | Freddie Mac STACR REMIC Trust, Series 2020-DNA6, Class B2, 10.987% (SOFR30A + 565 bps), 12/25/50 (144A) | 2,831,296 | ||||
2,670,000(a) | Freddie Mac STACR REMIC Trust, Series 2020-HQA3, Class B2, 15.452% (SOFR30A + 1,011 bps), 7/25/50 (144A) | 3,392,724 | ||||
2,766,444(a) | Freddie Mac STACR REMIC Trust, Series 2020-HQA4, Class B1, 10.702% (SOFR30A + 536 bps), 9/25/50 (144A) | 3,008,541 | ||||
2,340,000(a) | Freddie Mac STACR REMIC Trust, Series 2021-HQA4, Class B1, 9.087% (SOFR30A + 375 bps), 12/25/41 (144A) | 2,335,624 | ||||
9,485,000(a) | Freddie Mac STACR REMIC Trust, Series 2022-DNA2, Class B1, 10.087% (SOFR30A + 475 bps), 2/25/42 (144A) | 9,811,430 | ||||
4,110,000(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2020-HQA5, Class B1, 9.337% (SOFR30A + 400 bps), 11/25/50 (144A) | 4,455,534 | ||||
6,250,000(a) | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2020-HQA5, Class B2, 12.737% (SOFR30A + 740 bps), 11/25/50 (144A) | 6,977,340 | ||||
171,915 | Global Mortgage Securitization, Ltd., Series 2004-A, Class B2, 5.25%, 11/25/32 (144A) | 2 | ||||
1,061,391 | Government National Mortgage Association, Series 2009-83, Class EB, 4.50%, 9/20/39 | 1,054,436 | ||||
13,950 | Government National Mortgage Association, Series 2012-130, Class PA, 3.00%, 4/20/41 | 13,897 | ||||
1,907,250(a)(e) | Government National Mortgage Association, Series 2019-103, Class SB, 0.578% (1 Month Term SOFR + 594 bps), 8/20/49 | 191,744 | ||||
(0)(e) | Government National Mortgage Association, Series 2019-110, Class PI, 3.50%, 9/20/49 | 0 | ||||
15,905,700(a)(e) | Government National Mortgage Association, Series 2019-117, Class SB, 0.000% (1 Month Term SOFR + 331 bps), 9/20/49 | 252,608 | ||||
22,773,639(e) | Government National Mortgage Association, Series 2019-128, Class IB, 3.50%, 10/20/49 | 3,778,345 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
22,798,078(e) | Government National Mortgage Association, Series 2019-128, Class ID, 3.50%, 10/20/49 | $ 3,805,125 | ||||
10,485,686(e) | Government National Mortgage Association, Series 2019-159, Class CI, 3.50%, 12/20/49 | 1,830,157 | ||||
1,870,462(e) | Government National Mortgage Association, Series 2020-15, Class IM, 3.50%, 2/20/50 | 315,239 | ||||
4,512,679(e) | Government National Mortgage Association, Series 2020-7, Class CI, 3.50%, 1/20/50 | 978,670 | ||||
13,341,008(a)(e) | Government National Mortgage Association, Series 2020-9, Class SA, 0.000% (1 Month Term SOFR + 324 bps), 1/20/50 | 293,057 | ||||
2,435,531(c) | GS Mortgage-Backed Securities Corp. Trust, Series 2019-PJ3, Class B4, 3.95%, 3/25/50 (144A) | 1,962,895 | ||||
1,490,000(c) | GS Mortgage-Backed Securities Corp. Trust, Series 2019-PJ3, Class B5, 3.95%, 3/25/50 (144A) | 816,647 | ||||
4,900,000(c) | GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class B1, 2.75%, 12/25/60 (144A) | 3,686,470 | ||||
9,640,000(c) | GS Mortgage-Backed Securities Corp. Trust, Series 2022-PJ4, Class A33, 3.00%, 9/25/52 (144A) | 6,649,857 | ||||
2,499,770(c) | GS Mortgage-Backed Securities Trust, Series 2021-PJ9, Class B3, 2.931%, 2/26/52 (144A) | 1,904,777 | ||||
2,842,158(c) | GS Mortgage-Backed Securities Trust, Series 2022-MM1, Class B3, 2.82%, 7/25/52 (144A) | 2,121,625 | ||||
4,562,117(c) | GS Mortgage-Backed Securities Trust, Series 2022-PJ1, Class B3, 2.832%, 5/28/52 (144A) | 3,411,917 | ||||
1,220,000(a) | Home Re, Ltd., Series 2020-1, Class B1, 12.452% (SOFR30A + 711 bps), 10/25/30 (144A) | 1,236,436 | ||||
788,492(a) | Home Re, Ltd., Series 2020-1, Class M2, 10.702% (SOFR30A + 536 bps), 10/25/30 (144A) | 793,266 | ||||
1,920,000(a) | Home Re, Ltd., Series 2023-1, Class M1B, 9.921% (SOFR30A + 460 bps), 10/25/33 (144A) | 1,933,104 | ||||
74,278,982(c)(e) | Hundred Acre Wood Trust, Series 2021-INV1, Class AX1, 0.225%, 7/25/51 (144A) | 816,868 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
2,543,234(c) | Hundred Acre Wood Trust, Series 2021-INV1, Class B2, 3.225%, 7/25/51 (144A) | $ 2,075,567 | ||||
4,350,000(c) | Imperial Fund Mortgage Trust, Series 2021-NQM2, Class B2, 4.303%, 9/25/56 (144A) | 3,003,065 | ||||
931,000(c) | JP Morgan Mortgage Trust, Series 2018-7FRB, Class B5, 6.755%, 4/25/46 (144A) | 722,777 | ||||
136,445,831(c)(e) | JP Morgan Mortgage Trust, Series 2021-10, Class AX1, 0.119%, 12/25/51 (144A) | 805,672 | ||||
2,000,000(c) | JP Morgan Mortgage Trust, Series 2021-3, Class A5, 2.50%, 7/25/51 (144A) | 1,317,935 | ||||
6,372,558(c) | JP Morgan Mortgage Trust, Series 2021-7, Class B3, 2.803%, 11/25/51 (144A) | 4,739,544 | ||||
120,799,168(c)(e) | JP Morgan Mortgage Trust, Series 2021-8, Class AX1, 0.12%, 12/25/51 (144A) | 673,226 | ||||
8,174,490(c) | JP Morgan Mortgage Trust, Series 2021-8, Class B3, 2.845%, 12/25/51 (144A) | 6,093,519 | ||||
1,964,552(c) | JP Morgan Mortgage Trust, Series 2021-INV1, Class B3, 2.979%, 10/25/51 (144A) | 1,469,335 | ||||
1,671,182(c) | JP Morgan Mortgage Trust, Series 2021-INV1, Class B4, 2.979%, 10/25/51 (144A) | 992,993 | ||||
3,974,126(c) | JP Morgan Mortgage Trust, Series 2021-INV4, Class B2, 3.216%, 1/25/52 (144A) | 3,131,212 | ||||
4,187,026(c) | JP Morgan Mortgage Trust, Series 2021-INV4, Class B3, 3.216%, 1/25/52 (144A) | 3,155,336 | ||||
4,565,772(c) | JP Morgan Mortgage Trust, Series 2022-3, Class B3, 3.11%, 8/25/52 (144A) | 3,367,699 | ||||
5,650,000(c) | JP Morgan Mortgage Trust, Series 2022-4, Class A5, 3.00%, 10/25/52 (144A) | 3,906,129 | ||||
5,435,101(c) | JP Morgan Mortgage Trust, Series 2022-4, Class B3, 3.254%, 10/25/52 (144A) | 4,090,204 | ||||
5,810,382(c) | JP Morgan Mortgage Trust, Series 2022-5, Class B3, 2.958%, 9/25/52 (144A) | 4,228,142 | ||||
8,434,727(c) | JP Morgan Mortgage Trust, Series 2022-INV1, Class B3, 3.296%, 3/25/52 (144A) | 6,353,332 | ||||
5,223,178(a) | JPMorgan Chase Bank N.A. - CHASE, Series 2020-CL1, Class M3, 8.82% (1 Month Term SOFR + 346 bps), 10/25/57 (144A) | 5,236,922 | ||||
2,183,404(a) | JPMorgan Chase Bank N.A. - JPMWM, Series 2021-CL1, Class M3, 7.137% (SOFR30A + 180 bps), 3/25/51 (144A) | 2,061,183 | ||||
1,937,387(a) | JPMorgan Chase Bank N.A. - JPMWM, Series 2021-CL1, Class M4, 8.087% (SOFR30A + 275 bps), 3/25/51 (144A) | 1,784,641 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
992,331 | La Hipotecaria El Salvadorian Mortgage Trust, Series 2016-1A, Class A, 3.358%, 1/15/46 (144A) | $ 896,819 | ||||
1,894,390 | La Hipotecaria Mortgage Trust, Series 2019-2A, Class BBB, 4.75%, 9/29/46 (144A) | 1,728,630 | ||||
248,207(a) | La Hipotecaria Panamanian Mortgage Trust, Series 2010-1GA, Class A, 3.00% (Panamanian Mortgage Reference Rate - 300 bps), 9/8/39 (144A) | 238,589 | ||||
6,090,016 | La Hipotecaria Panamanian Mortgage Trust, Series 2021-1, Class GA, 4.35%, 7/13/52 (144A) | 5,176,514 | ||||
3,031,011(c) | Mello Mortgage Capital Acceptance, Series 2021-MTG1, Class B2, 2.651%, 4/25/51 (144A) | 2,275,180 | ||||
3,928,780(c) | Mello Mortgage Capital Acceptance, Series 2021-MTG2, Class B2, 2.669%, 6/25/51 (144A) | 2,956,486 | ||||
7,957,591(c) | Mello Mortgage Capital Acceptance, Series 2022-INV2, Class B3, 3.529%, 4/25/52 (144A) | 6,009,205 | ||||
4,233,419(c) | MFA Trust, Series 2021-AEI2, Class B3, 3.284%, 10/25/51 (144A) | 3,203,061 | ||||
7,172,000(c) | MFA Trust, Series 2021-RPL1, Class M2, 2.855%, 7/25/60 (144A) | 5,643,466 | ||||
2,936,408(c) | Mill City Mortgage Loan Trust, Series 2017-3, Class B2, 3.25%, 1/25/61 (144A) | 2,357,509 | ||||
6,145,000(c) | Mill City Mortgage Loan Trust, Series 2019-GS1, Class M3, 3.25%, 7/25/59 (144A) | 4,985,936 | ||||
1,314,826(c) | Morgan Stanley Residential Mortgage Loan Trust, Series 2021-1, Class B3, 2.948%, 3/25/51 (144A) | 996,673 | ||||
6,092,914(c) | Morgan Stanley Residential Mortgage Loan Trust, Series 2021-2, Class B2, 2.896%, 5/25/51 (144A) | 4,707,089 | ||||
8,009,318(a) | New Residential Mortgage Loan Trust, Series 2020-2A, Class B4A, 7.462% (1 Month Term SOFR + 261 bps), 10/25/46 (144A) | 7,671,626 | ||||
13,903,950(c) | New Residential Mortgage Loan Trust, Series 2020-RPL1, Class B1, 3.879%, 11/25/59 (144A) | 10,896,759 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
3,500,000 | NYMT Loan Trust, Series 2022-CP1, Class M2, 3.514%, 7/25/61 (144A) | $ 2,740,111 | ||||
1,447,157(a) | Oaktown Re V, Ltd., Series 2020-2A, Class M2, 10.702% (SOFR30A + 536 bps), 10/25/30 (144A) | 1,471,126 | ||||
2,659,910(c) | Oceanview Mortgage Trust, Series 2021-1, Class B2, 2.722%, 5/25/51 (144A) | 2,072,210 | ||||
3,050,025(c) | Oceanview Mortgage Trust, Series 2021-1, Class B3A, 3.242%, 6/25/51 (144A) | 2,350,606 | ||||
2,458,985(c) | Oceanview Mortgage Trust, Series 2021-3, Class B3, 2.712%, 6/25/51 (144A) | 1,363,190 | ||||
1,861,806(c) | PRMI Securitization Trust, Series 2021-1, Class B2, 2.478%, 4/25/51 (144A) | 1,380,715 | ||||
3,550,464(c) | PRMI Securitization Trust, Series 2021-1, Class B3, 2.478%, 4/25/51 (144A) | 2,533,943 | ||||
2,779,012(c) | Provident Funding Mortgage Trust, Series 2021-1, Class B1, 2.384%, 4/25/51 (144A) | 2,158,392 | ||||
2,696,787(c) | Provident Funding Mortgage Trust, Series 2021-2, Class B2, 2.352%, 4/25/51 (144A) | 2,022,285 | ||||
2,755,401(c) | Provident Funding Mortgage Trust, Series 2021-INV1, Class B3, 2.782%, 8/25/51 (144A) | 2,085,713 | ||||
2,284,660(c) | Provident Funding Mortgage Trust, Series 2021-J1, Class B2, 2.637%, 10/25/51 (144A) | 1,799,844 | ||||
3,350,523(c) | Provident Funding Mortgage Trust, Series 2021-J1, Class B3, 2.637%, 10/25/51 (144A) | 2,537,755 | ||||
1,460,000(a) | Radnor Re, Ltd., Series 2021-2, Class M2, 10.337% (SOFR30A + 500 bps), 11/25/31 (144A) | 1,515,862 | ||||
3,324,087(c) | Rate Mortgage Trust, Series 2021-HB1, Class B2, 2.705%, 12/25/51 (144A) | 2,504,311 | ||||
1,817,801(c) | Rate Mortgage Trust, Series 2021-HB1, Class B3, 2.705%, 12/25/51 (144A) | 1,306,507 | ||||
4,204,425(c) | Rate Mortgage Trust, Series 2021-J1, Class B2, 2.705%, 7/25/51 (144A) | 3,300,643 | ||||
1,719,060(c) | Rate Mortgage Trust, Series 2021-J1, Class B3, 2.705%, 7/25/51 (144A) | 1,162,288 | ||||
2,215,970(c) | Rate Mortgage Trust, Series 2021-J3, Class B3, 2.713%, 10/25/51 (144A) | 1,660,275 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
1,723,000(c) | Rate Mortgage Trust, Series 2021-J4, Class B4, 2.631%, 11/25/51 (144A) | $ 646,293 | ||||
3,910,802(c) | Rate Mortgage Trust, Series 2022-J1, Class B3, 2.75%, 1/25/52 (144A) | 2,915,947 | ||||
1,966,613(c) | RCKT Mortgage Trust, Series 2021-2, Class B3, 2.562%, 6/25/51 (144A) | 1,494,921 | ||||
10,150,000(c) | RCKT Mortgage Trust, Series 2022-3, Class A17, 3.00%, 5/25/52 (144A) | 6,947,304 | ||||
2,426,459(c) | RCKT Mortgage Trust, Series 2022-3, Class B3, 3.188%, 5/25/52 (144A) | 1,835,792 | ||||
3,018,136(c) | Sequoia Mortgage Trust, Series 2021-1, Class B3, 2.659%, 3/25/51 (144A) | 2,334,448 | ||||
1,133,812(c) | Sequoia Mortgage Trust, Series 2021-2, Class B4, 2.551%, 4/25/51 (144A) | 576,298 | ||||
1,162,952(c) | Sequoia Mortgage Trust, Series 2021-3, Class B4, 2.652%, 5/25/51 (144A) | 600,182 | ||||
2,364,864(c) | Sequoia Mortgage Trust, Series 2021-4, Class B4, 2.666%, 6/25/51 (144A) | 1,220,209 | ||||
1,494,270(c) | Sequoia Mortgage Trust, Series 2021-5, Class B4, 3.049%, 7/25/51 (144A) | 819,382 | ||||
1,783,000(c) | Sequoia Mortgage Trust, Series 2021-9, Class B4, 2.86%, 1/25/52 (144A) | 813,875 | ||||
4,100,000(c) | Sequoia Mortgage Trust, Series 2022-1, Class A7, 2.50%, 2/25/52 (144A) | 2,603,058 | ||||
2,743,712(c) | Sequoia Mortgage Trust, Series 2022-1, Class B4, 2.947%, 2/25/52 (144A) | 1,305,961 | ||||
4,550,000(a) | STACR Trust, Series 2018-HRP2, Class B1, 9.652% (SOFR30A + 431 bps), 2/25/47 (144A) | 4,973,893 | ||||
5,000,000(c) | Towd Point Mortgage Trust, Series 2017-1, Class B3, 3.857%, 10/25/56 (144A) | 3,870,689 | ||||
6,374,998(c) | Towd Point Mortgage Trust, Series 2017-3, Class B3, 3.907%, 7/25/57 (144A) | 5,259,231 | ||||
5,639,000(a) | Towd Point Mortgage Trust, Series 2019-HY1, Class B2, 7.62% (1 Month Term SOFR + 226 bps), 10/25/48 (144A) | 5,399,915 | ||||
9,104,638(c) | Towd Point Mortgage Trust, Series 2021-R1, Class A1, 2.918%, 11/30/60 (144A) | 7,625,134 | ||||
1,830,000(a) | Triangle Re, Ltd., Series 2021-1, Class B1, 9.97% (1 Month Term SOFR + 461 bps), 8/25/33 (144A) | 1,843,400 |
Principal Amount USD ($) | Value | |||||
Collateralized Mortgage Obligations—(continued) | ||||||
3,435,320(a) | Triangle Re, Ltd., Series 2021-1, Class M2, 9.37% (1 Month Term SOFR + 401 bps), 8/25/33 (144A) | $ 3,450,789 | ||||
9,670,000(a) | Triangle Re, Ltd., Series 2023-1, Class M1A, 8.721% (SOFR30A + 340 bps), 11/25/33 (144A) | 9,669,900 | ||||
3,421,385(c) | UWM Mortgage Trust, Series 2021-INV4, Class B2, 3.225%, 12/25/51 (144A) | 2,687,864 | ||||
800,000(c) | Visio Trust, Series 2019-2, Class B1, 3.91%, 11/25/54 (144A) | 603,569 | ||||
2,250,000(c) | Wells Fargo Mortgage Backed Securities Trust, Series 2022-2, Class A5, 3.00%, 12/25/51 (144A) | 1,543,383 | ||||
8,970,000(c) | Wells Fargo Mortgage Backed Securities Trust, Series 2022-2, Class A6, 2.50%, 12/25/51 (144A) | 5,648,958 | ||||
8,317,671(c) | Wells Fargo Mortgage Backed Securities Trust, Series 2022-INV1, Class B3, 3.436%, 3/25/52 (144A) | 6,294,016 | ||||
Total Collateralized Mortgage Obligations (Cost $485,887,633) | $398,192,670 | |||||
Commercial Mortgage-Backed Securities—6.0% of Net Assets | ||||||
5,800,000(a) | Alen Mortgage Trust, Series 2021-ACEN, Class E, 9.476% (1 Month Term SOFR + 411 bps), 4/15/34 (144A) | $ 2,629,349 | ||||
3,600,000(a) | AREIT Trust, Series 2022-CRE6, Class D, 8.188% (SOFR30A + 285 bps), 1/20/37 (144A) | 3,393,714 | ||||
4,944,058(d)(e)+ | Bayview Commercial Asset Trust, Series 2007-2A, Class IO, 0.000%, 7/25/37 (144A) | — | ||||
1,500,000(a) | BDS, Ltd., Series 2020-FL5, Class C, 7.523% (1 Month Term SOFR + 216 bps), 2/16/37 (144A) | 1,470,823 | ||||
2,025,000(c) | Benchmark Mortgage Trust, Series 2020-IG3, Class B, 3.291%, 9/15/48 (144A) | 1,037,967 | ||||
1,895,412(a) | BSREP Commercial Mortgage Trust, Series 2021-DC, Class G, 9.326% (1 Month Term SOFR + 396 bps), 8/15/38 (144A) | 1,085,638 |
Principal Amount USD ($) | Value | |||||
Commercial Mortgage-Backed Securities—(continued) | ||||||
9,000,000(a) | BX Trust, Series 2021-ARIA, Class E, 7.721% (1 Month Term SOFR + 236 bps), 10/15/36 (144A) | $ 8,502,932 | ||||
4,380,000(a) | Capital Funding Mortgage Trust, Series 2021-19, Class B, 20.55% (1 Month Term SOFR + 1,521 bps), 10/27/24 (144A) | 4,350,841 | ||||
1,500,000(a) | CGDB Commercial Mortgage Trust, Series 2019-MOB, Class F, 8.026% (1 Month Term SOFR + 266 bps), 11/15/36 (144A) | 1,290,333 | ||||
2,470,000(a) | CLNY Trust, Series 2019-IKPR, Class E, 8.196% (1 Month Term SOFR + 284 bps), 11/15/38 (144A) | 2,211,494 | ||||
147,013,238(c)(e) | COMM Mortgage Trust, Series 2014-CR19, Class XA, 0.827%, 8/10/47 | 494,391 | ||||
7,650,000(c) | COMM Mortgage Trust, Series 2020-CBM, Class E, 3.633%, 2/10/37 (144A) | 7,140,857 | ||||
3,912,000(c) | COMM Mortgage Trust, Series 2020-CBM, Class F, 3.633%, 2/10/37 (144A) | 3,589,734 | ||||
3,750,000 | COMM Mortgage Trust, Series 2020-CX, Class A, 2.173%, 11/10/46 (144A) | 3,041,071 | ||||
4,083,017(c) | CSAIL Commercial Mortgage Trust, Series 2015-C1, Class C, 4.25%, 4/15/50 | 3,159,047 | ||||
2,680,000(c) | CSAIL Commercial Mortgage Trust, Series 2015-C4, Class D, 3.555%, 11/15/48 | 2,230,764 | ||||
1,455,000(a) | Freddie Mac Multifamily Structured Credit Risk, Series 2021-MN1, Class B1, 13.087% (SOFR30A + 775 bps), 1/25/51 (144A) | 1,395,378 | ||||
2,750,000(a) | Freddie Mac Multifamily Structured Credit Risk, Series 2021-MN1, Class M2, 9.087% (SOFR30A + 375 bps), 1/25/51 (144A) | 2,625,896 | ||||
6,000,000(a) | Freddie Mac Multifamily Structured Credit Risk, Series 2021-MN3, Class M2, 9.337% (SOFR30A + 400 bps), 11/25/51 (144A) | 5,559,113 | ||||
4,500,000(c) | FREMF Mortgage Trust, Series 2017-KW02, Class B, 3.804%, 12/25/26 (144A) | 4,191,997 | ||||
2,800,000(c) | FREMF Mortgage Trust, Series 2017-KW03, Class B, 4.077%, 7/25/27 (144A) | 2,608,543 | ||||
2,300,000(c) | FREMF Mortgage Trust, Series 2018-K154, Class B, 4.024%, 11/25/32 (144A) | 1,887,449 | ||||
1,875,000(c) | FREMF Mortgage Trust, Series 2018-K157, Class B, 4.299%, 8/25/33 (144A) | 1,637,991 | ||||
3,534,000(c) | FREMF Mortgage Trust, Series 2018-KBX1, Class B, 3.607%, 1/25/26 (144A) | 3,089,682 |
Principal Amount USD ($) | Value | |||||
Commercial Mortgage-Backed Securities—(continued) | ||||||
6,364,000(c) | FREMF Mortgage Trust, Series 2018-KHG1, Class B, 3.819%, 12/25/27 (144A) | $ 5,798,732 | ||||
1,417,812(a) | FREMF Mortgage Trust, Series 2018-KSW4, Class C, 10.445% (SOFR30A + 511 bps), 10/25/28 | 1,257,428 | ||||
975,000(c) | FREMF Mortgage Trust, Series 2018-KW07, Class B, 4.083%, 10/25/31 (144A) | 827,472 | ||||
5,382,480(c) | FREMF Mortgage Trust, Series 2019-KJ24, Class B, 7.60%, 10/25/27 (144A) | 4,967,952 | ||||
8,500,000(a) | FREMF Mortgage Trust, Series 2019-KS12, Class C, 12.345% (SOFR30A + 701 bps), 8/25/29 | 8,118,477 | ||||
927,969(a) | FREMF Mortgage Trust, Series 2020-KF74, Class C, 11.695% (SOFR30A + 636 bps), 1/25/27 (144A) | 882,234 | ||||
1,490,357(a) | FREMF Mortgage Trust, Series 2020-KF83, Class C, 14.445% (SOFR30A + 911 bps), 7/25/30 (144A) | 1,406,813 | ||||
5,000,000(f) | FREMF Mortgage Trust, Series 2021-K131, Class D, 0.000%, 9/25/54 (144A) | 2,463,320 | ||||
81,437,515(e) | FREMF Mortgage Trust, Series 2021-K131, Class X2A, 0.10%, 9/25/54 (144A) | 467,166 | ||||
18,374,996(e) | FREMF Mortgage Trust, Series 2021-K131, Class X2B, 0.10%, 9/25/54 (144A) | 93,264 | ||||
10,000,000(f) | FREMF Mortgage Trust, Series 2021-KG05, Class C, 0.000%, 1/25/31 (144A) | 5,405,106 | ||||
123,327,135(e) | FREMF Mortgage Trust, Series 2021-KG05, Class X2A, 0.10%, 1/25/31 (144A) | 634,037 | ||||
10,000,000(e) | FREMF Mortgage Trust, Series 2021-KG05, Class X2B, 0.10%, 1/25/31 (144A) | 48,201 | ||||
22,190,514(c)(e) | FRESB Mortgage Trust, Series 2020-SB79, Class X1, 1.083%, 7/25/40 | 787,752 | ||||
6,000,000(a) | GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class E, 8.134% (1 Month Term SOFR + 261 bps), 12/15/36 (144A) | 5,750,768 | ||||
2,200,000(a) | GS Mortgage Securities Corp. Trust, Series 2021-IP, Class E, 9.026% (1 Month Term SOFR + 366 bps), 10/15/36 (144A) | 1,974,717 | ||||
750,000(a) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP, Class E, 7.569% (1 Month Term SOFR + 221 bps), 7/15/36 (144A) | 722,669 |
Principal Amount USD ($) | Value | |||||
Commercial Mortgage-Backed Securities—(continued) | ||||||
11,650,000(c) | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-LOOP, Class F, 3.861%, 12/5/38 (144A) | $ 6,547,999 | ||||
5,600,000 | Key Commercial Mortgage Securities Trust, Series 2019-S2, Class A3, 3.469%, 6/15/52 (144A) | 5,145,044 | ||||
1,250,000(c) | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class C, 4.323%, 5/15/48 | 1,093,498 | ||||
3,530,000(c) | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class D, 3.237%, 12/15/47 (144A) | 2,426,600 | ||||
2,000,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C33, Class D, 3.356%, 5/15/50 (144A) | 1,408,515 | ||||
3,350,000 | Morgan Stanley Capital I Trust, Series 2014-150E, Class AS, 4.012%, 9/9/32 (144A) | 2,479,742 | ||||
1,550,000 | Morgan Stanley Capital I Trust, Series 2016-UBS9, Class D, 3.00%, 3/15/49 (144A) | 1,152,721 | ||||
10,980,558(a) | Multifamily Connecticut Avenue Securities Trust, Series 2019-01, Class M10, 8.702% (SOFR30A + 336 bps), 10/25/49 (144A) | 10,678,090 | ||||
1,030,000(c) | Natixis Commercial Mortgage Securities Trust, Series 2019-FAME, Class D, 4.398%, 8/15/36 (144A) | 600,858 | ||||
3,190,000 | Palisades Center Trust, Series 2016-PLSD, Class A, 2.713%, 4/13/33 (144A) | 1,708,357 | ||||
7,050,000(c) | RBS Commercial Funding, Inc. Trust, Series 2013-SMV, Class E, 3.584%, 3/11/31 (144A) | 5,160,556 | ||||
5,600,000(a) | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class D, 8.42% (1 Month Term SOFR + 306 bps), 11/25/36 (144A) | 5,315,457 | ||||
2,659,000(c) | Ready Capital Mortgage Trust, Series 2019-5, Class C, 5.054%, 2/25/52 (144A) | 2,497,275 | ||||
5,400,000(c) | Ready Capital Mortgage Trust, Series 2019-5, Class E, 5.309%, 2/25/52 (144A) | 4,307,099 | ||||
2,443,000(c) | ReadyCap Commercial Mortgage Trust, Series 2019-6, Class C, 4.127%, 10/25/52 (144A) | 2,042,417 |
Principal Amount USD ($) | Value | |||||
Commercial Mortgage-Backed Securities—(continued) | ||||||
8,350,000 | SLG Office Trust, Series 2021-OVA, Class E, 2.851%, 7/15/41 (144A) | $ 6,300,029 | ||||
8,000,000 | SLG Office Trust, Series 2021-OVA, Class F, 2.851%, 7/15/41 (144A) | 5,661,963 | ||||
1,500,000(c) | Soho Trust, Series 2021-SOHO, Class A, 2.697%, 8/10/38 (144A) | 973,499 | ||||
8,045,000(a) | Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class B, 8.294% (1 Month Term SOFR + 293 bps), 5/15/37 (144A) | 7,931,273 | ||||
7,000,000(c) | THPT Mortgage Trust, Series 2023-THL, Class B, 7.669%, 12/10/34 (144A) | 7,129,255 | ||||
3,500,000(c) | THPT Mortgage Trust, Series 2023-THL, Class C, 8.534%, 12/10/34 (144A) | 3,570,580 | ||||
67,584,000(c)(e) | UBS Commercial Mortgage Trust, Series 2018-C9, Class XB, 0.372%, 3/15/51 | 968,411 | ||||
899,315(a) | XCALI Mortgage Trust, Series 2020-5, Class A, 8.713% (1 Month Term SOFR + 337 bps), 10/15/23 (144A) | 895,800 | ||||
Total Commercial Mortgage-Backed Securities (Cost $232,131,175) | $196,226,150 | |||||
Convertible Corporate Bonds — 0.6% of Net Assets | ||||||
Airlines — 0.1% | ||||||
2,402,000 | Spirit Airlines, Inc., 1.00%, 5/15/26 | $ 1,664,586 | ||||
Total Airlines | $1,664,586 | |||||
Banks — 0.0%† | ||||||
IDR15,039,758,000 | PT Bakrie & Brothers Tbk, 4/28/24 | $ 97,680 | ||||
Total Banks | $97,680 | |||||
Entertainment — 0.3% | ||||||
12,093,000(f) | DraftKings Holdings, Inc., 3/15/28 | $ 9,692,539 | ||||
1,892,000 | IMAX Corp., 0.50%, 4/1/26 | 1,679,150 | ||||
Total Entertainment | $11,371,689 | |||||
Principal Amount USD ($) | Value | |||||
Software — 0.2% | ||||||
2,231,000 | Bentley Systems, Inc., 0.375%, 7/1/27 | $ 1,995,630 | ||||
4,819,000 | Verint Systems, Inc., 0.25%, 4/15/26 | 4,231,684 | ||||
Total Software | $6,227,314 | |||||
Total Convertible Corporate Bonds (Cost $24,115,317) | $19,361,269 | |||||
Corporate Bonds — 32.7% of Net Assets | ||||||
Advertising — 0.0%† | ||||||
1,545,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 7.375%, 2/15/31 (144A) | $ 1,622,466 | ||||
Total Advertising | $1,622,466 | |||||
Aerospace & Defense — 0.1% | ||||||
1,800,000 | Bombardier, Inc., 7.50%, 2/1/29 (144A) | $ 1,829,840 | ||||
2,200,000 | Triumph Group, Inc., 9.00%, 3/15/28 (144A) | 2,339,359 | ||||
Total Aerospace & Defense | $4,169,199 | |||||
Agriculture — 0.2% | ||||||
7,305,000 | Amaggi Luxembourg International S.a.r.l., 5.25%, 1/28/28 (144A) | $ 7,013,316 | ||||
Total Agriculture | $7,013,316 | |||||
Airlines — 0.9% | ||||||
13,679,220(g) | ABRA Global Finance, 11.50% (5.50% PIK or 6.00% Cash), 3/2/28 (144A) | $ 10,270,661 | ||||
1,483,300 | American Airlines 2021-1 Class B Pass Through Trust, 3.95%, 7/11/30 | 1,316,534 | ||||
11,390,000 | Grupo Aeromexico SAB de CV, 8.50%, 3/17/27 (144A) | 10,993,945 | ||||
8,185,000 | VistaJet Malta Finance Plc/Vista Management Holding, Inc., 6.375%, 2/1/30 (144A) | 5,716,172 | ||||
Total Airlines | $28,297,312 | |||||
Auto Manufacturers — 1.7% | ||||||
4,312,000 | Ford Motor Co., 5.291%, 12/8/46 | $ 3,799,579 | ||||
4,430,000 | Ford Motor Co., 6.10%, 8/19/32 | 4,465,578 | ||||
7,600,000 | Ford Motor Credit Co. LLC, 3.625%, 6/17/31 | 6,552,329 | ||||
3,700,000 | Ford Motor Credit Co. LLC, 7.35%, 3/6/30 | 3,974,913 | ||||
13,385,000 | General Motors Financial Co., Inc., 6.10%, 1/7/34 | 13,781,314 |
Principal Amount USD ($) | Value | |||||
Auto Manufacturers — (continued) | ||||||
18,000,000 | General Motors Financial Co., Inc., 6.40%, 1/9/33 | $ 19,153,849 | ||||
3,400,000 | JB Poindexter & Co., Inc., 8.75%, 12/15/31 (144A) | 3,468,000 | ||||
Total Auto Manufacturers | $55,195,562 | |||||
Auto Parts & Equipment — 0.1% | ||||||
1,680,000 | ZF North America Capital, Inc., 6.875%, 4/14/28 (144A) | $ 1,746,558 | ||||
2,335,000 | ZF North America Capital, Inc., 7.125%, 4/14/30 (144A) | 2,480,556 | ||||
Total Auto Parts & Equipment | $4,227,114 | |||||
Banks — 9.6% | ||||||
20,800,000(c) | ABN AMRO Bank NV, 3.324% (5 Year CMT Index + 190 bps), 3/13/37 (144A) | $ 16,608,093 | ||||
5,180,000 | Access Bank Plc, 6.125%, 9/21/26 (144A) | 4,629,366 | ||||
3,460,000(c)(h) | Banco Mercantil del Norte S.A., 8.375% (10 Year US Treasury Yield Curve Rate T Note Constant Maturity + 776 bps) (144A) | 3,404,226 | ||||
8,400,000(c) | Banco Santander S.A., 3.225% (1 Year CMT Index + 160 bps), 11/22/32 | 7,034,010 | ||||
5,000,000 | Banco Santander S.A., 6.921%, 8/8/33 | 5,328,328 | ||||
6,400,000 | Banco Santander S.A., 6.938%, 11/7/33 | 7,105,208 | ||||
8,258,000(c) | Bank of Nova Scotia, 4.588% (5 Year CMT Index + 205 bps), 5/4/37 | 7,386,501 | ||||
14,170,000(c) | Barclays Plc, 5.746% (1 Year CMT Index + 300 bps), 8/9/33 | 14,335,959 | ||||
3,915,000(c) | Barclays Plc, 6.224% (SOFR + 298 bps), 5/9/34 | 4,060,544 | ||||
5,400,000(c) | Barclays Plc, 7.437% (1 Year CMT Index + 350 bps), 11/2/33 | 6,046,509 | ||||
5,608,000(c)(h) | Barclays Plc, 8.00% (5 Year CMT Index + 543 bps) | 5,503,760 | ||||
14,450,000(c) | BPCE S.A., 3.116% (SOFR + 173 bps), 10/19/32 (144A) | 11,782,104 | ||||
7,445,000(c) | BPCE S.A., 3.648% (5 Year CMT Index + 190 bps), 1/14/37 (144A) | 6,115,621 | ||||
KZT1,923,750,000 | Development Bank of Kazakhstan JSC, 10.75%, 2/12/25 | 3,964,295 | ||||
KZT1,210,000,000 | Development Bank of Kazakhstan JSC, 10.95%, 5/6/26 | 2,323,775 | ||||
1,520,000 | Freedom Mortgage Corp., 6.625%, 1/15/27 (144A) | 1,450,639 |
Principal Amount USD ($) | Value | |||||
Banks — (continued) | ||||||
890,000 | Freedom Mortgage Corp., 12.25%, 10/1/30 (144A) | $ 977,004 | ||||
1,600,000(c) | ING Groep NV, 4.252% (SOFR + 207 bps), 3/28/33 | 1,499,984 | ||||
19,337,000(c)(h) | ING Groep NV, 4.25% (5 Year CMT Index + 286 bps) | 14,065,028 | ||||
1,245,000(c) | Intesa Sanpaolo S.p.A., 4.198% (1 Year CMT Index + 260 bps), 6/1/32 (144A) | 1,026,587 | ||||
5,760,000(c) | Intesa Sanpaolo S.p.A., 7.778% (1 Year CMT Index + 390 bps), 6/20/54 (144A) | 5,939,338 | ||||
8,015,000 | Intesa Sanpaolo S.p.A., 7.80%, 11/28/53 (144A) | 8,800,241 | ||||
11,104,000(c) | Intesa Sanpaolo S.p.A., 8.248% (1 Year CMT Index + 440 bps), 11/21/33 (144A) | 12,048,091 | ||||
10,350,000(c) | Lloyds Banking Group Plc, 4.976% (1 Year CMT Index + 230 bps), 8/11/33 | 10,079,972 | ||||
8,231,000(c) | Lloyds Banking Group Plc, 7.953% (1 Year CMT Index + 375 bps), 11/15/33 | 9,408,816 | ||||
5,105,000(c)(h) | Lloyds Banking Group Plc, 8.00% (5 Year CMT Index + 391 bps) | 5,115,200 | ||||
11,185,000(c) | Macquarie Group, Ltd., 2.871% (SOFR + 153 bps), 1/14/33 (144A) | 9,194,577 | ||||
11,355,000(c) | Morgan Stanley, 5.297% (SOFR + 262 bps), 4/20/37 | 11,049,518 | ||||
1,930,000(c) | Morgan Stanley, 5.948% (5 Year CMT Index + 243 bps), 1/19/38 | 1,951,798 | ||||
16,049,000(c)(h) | Nordea Bank Abp, 3.75% (5 Year CMT Index + 260 bps) (144A) | 12,677,867 | ||||
6,520,000(c) | PNC Financial Services Group, Inc., 6.875% (SOFR + 228 bps), 10/20/34 | 7,238,098 | ||||
8,000,000(c) | Societe Generale S.A., 4.027% (1 Year CMT Index + 190 bps), 1/21/43 (144A) | 5,723,786 | ||||
5,010,000(c)(h)(i) | Sovcombank Via SovCom Capital DAC, 7.60% (5 Year CMT Index + 636 bps) (144A) | 180,986 | ||||
11,905,000(c) | Standard Chartered Plc, 3.603% (1 Year CMT Index + 190 bps), 1/12/33 (144A) | 9,861,818 | ||||
7,507,000(c) | Standard Chartered Plc, 6.296% (1 Year CMT Index + 258 bps), 7/6/34 (144A) | 7,878,190 | ||||
5,985,000(c) | Truist Financial Corp., 7.161% (SOFR + 245 bps), 10/30/29 | 6,463,995 | ||||
9,276,000(c) | UBS Group AG, 4.988% (1 Year CMT Index + 240 bps), 8/5/33 (144A) | 8,968,309 | ||||
2,780,000(c) | UBS Group AG, 6.301% (1 Year CMT Index + 200 bps), 9/22/34 (144A) | 2,942,972 |
Principal Amount USD ($) | Value | |||||
Banks — (continued) | ||||||
5,090,000(c)(h) | UBS Group AG, 9.25% (5 Year CMT Index + 476 bps) (144A) | $ 5,641,069 | ||||
23,889,000(c) | UniCredit S.p.A., 5.459% (5 Year CMT Index + 475 bps), 6/30/35 (144A) | 22,467,074 | ||||
9,395,000(c) | UniCredit S.p.A., 7.296% (5 Year USD Swap Rate + 491 bps), 4/2/34 (144A) | 9,658,862 | ||||
14,125,000(c) | Wells Fargo & Co., 6.491% (SOFR + 206 bps), 10/23/34 | 15,366,416 | ||||
Total Banks | $313,304,534 | |||||
Biotechnology — 0.1% | ||||||
EUR2,405,000 | Cidron Aida Finco S.a.r.l., 5.00%, 4/1/28 (144A) | $ 2,553,404 | ||||
Total Biotechnology | $2,553,404 | |||||
Building Materials — 0.2% | ||||||
5,318,000 | AmeriTex HoldCo Intermediate LLC, 10.25%, 10/15/28 (144A) | $ 5,450,950 | ||||
Total Building Materials | $5,450,950 | |||||
Chemicals — 0.4% | ||||||
9,651,000 | OCI NV, 6.70%, 3/16/33 (144A) | $ 9,855,833 | ||||
5,055,000 | Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 5.125%, 4/1/29 (144A) | 2,059,856 | ||||
Total Chemicals | $11,915,689 | |||||
Commercial Services — 1.1% | ||||||
5,196,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.625%, 7/15/26 (144A) | $ 5,168,715 | ||||
EUR2,470,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l., 3.625%, 6/1/28 (144A) | 2,388,993 | ||||
1,670,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l., 4.625%, 6/1/28 (144A) | 1,518,183 | ||||
1,025,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l., 4.625%, 6/1/28 (144A) | 936,712 | ||||
5,400,000 | Ashtead Capital, Inc., 5.50%, 8/11/32 (144A) | 5,334,252 | ||||
1,920,000 | Ashtead Capital, Inc., 5.95%, 10/15/33 (144A) | 1,956,095 | ||||
5,375,000 | Garda World Security Corp., 4.625%, 2/15/27 (144A) | 5,182,519 |
Principal Amount USD ($) | Value | |||||
Commercial Services — (continued) | ||||||
3,830,000 | Garda World Security Corp., 6.00%, 6/1/29 (144A) | $ 3,433,127 | ||||
437,000 | Garda World Security Corp., 9.50%, 11/1/27 (144A) | 440,561 | ||||
10,716,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 1/15/28 (144A) | 10,653,511 | ||||
Total Commercial Services | $37,012,668 | |||||
Cosmetics/Personal Care — 0.1% | ||||||
EUR4,095,000 | Coty, Inc., 5.75%, 9/15/28 (144A) | $ 4,751,230 | ||||
Total Cosmetics/Personal Care | $4,751,230 | |||||
Diversified Financial Services — 3.7% | ||||||
8,250,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, 1/30/32 | $ 7,180,220 | ||||
2,532,000 | Ally Financial, Inc., 6.70%, 2/14/33 | 2,534,997 | ||||
3,085,000(c) | Ally Financial, Inc., 6.848% (SOFR + 282 bps), 1/3/30 | 3,169,509 | ||||
6,750,000(c) | Ally Financial, Inc., 6.992% (SOFR + 326 bps), 6/13/29 | 6,971,117 | ||||
7,924,000 | Ally Financial, Inc., 8.00%, 11/1/31 | 8,680,743 | ||||
11,445,000 | Avolon Holdings Funding, Ltd., 6.375%, 5/4/28 (144A) | 11,669,490 | ||||
3,435,000 | B3 SA - Brasil Bolsa Balcao, 4.125%, 9/20/31 (144A) | 3,002,913 | ||||
6,950,000(c) | Capital One Financial Corp., 2.359% (SOFR + 134 bps), 7/29/32 | 5,265,383 | ||||
5,911,000(c) | Capital One Financial Corp., 5.817% (SOFR + 260 bps), 2/1/34 | 5,882,189 | ||||
14,860,000(c) | Capital One Financial Corp., 6.377% (SOFR + 286 bps), 6/8/34 | 15,293,876 | ||||
5,070,000(c) | Charles Schwab Corp., 5.853% (SOFR + 250 bps), 5/19/34 | 5,233,516 | ||||
6,660,000(i) | Credito Real SAB de CV SOFOM ER, 8.00%, 1/21/28 (144A) | 715,950 | ||||
17,870,600(g) | Global Aircraft Leasing Co., Ltd., 6.50% (7.25% PIK or 6.50% Cash), 9/15/24 (144A) | 16,798,364 | ||||
5,775,000 | OneMain Finance Corp., 4.00%, 9/15/30 | 4,941,987 | ||||
2,285,000 | OneMain Finance Corp., 7.875%, 3/15/30 | 2,352,113 | ||||
3,830,000 | OneMain Finance Corp., 9.00%, 1/15/29 | 4,049,187 | ||||
1,130,000 | PennyMac Financial Services, Inc., 7.875%, 12/15/29 (144A) | 1,163,185 | ||||
EUR3,215,000 | Sherwood Financing Plc, 4.50%, 11/15/26 | 3,261,459 |
Principal Amount USD ($) | Value | |||||
Diversified Financial Services — (continued) | ||||||
GBP5,170,000 | Sherwood Financing Plc, 6.00%, 11/15/26 (144A) | $ 5,867,788 | ||||
8,705,000 | United Wholesale Mortgage LLC, 5.50%, 4/15/29 (144A) | 8,241,111 | ||||
Total Diversified Financial Services | $122,275,097 | |||||
Electric — 0.6% | ||||||
7,670,000(c) | Algonquin Power & Utilities Corp., 4.75% (5 Year CMT Index + 325 bps), 1/18/82 | $ 6,481,150 | ||||
EUR1,635,000 | ContourGlobal Power Holdings S.A., 3.125%, 1/1/28 (144A) | 1,586,468 | ||||
EUR3,240,000 | ContourGlobal Power Holdings SA, 2.75%, 1/1/26 (144A) | 3,415,491 | ||||
9,225,000(i) | Light Servicos de Eletricidade SA/Light Energia SA, 4.375%, 6/18/26 (144A) | 4,289,625 | ||||
4,075,000 | Vistra Operations Co. LLC, 6.95%, 10/15/33 (144A) | 4,288,677 | ||||
Total Electric | $20,061,411 | |||||
Electrical Components & Equipments — 0.6% | ||||||
EUR7,865,000 | Belden, Inc., 3.375%, 7/15/27 (144A) | $ 8,379,649 | ||||
EUR4,585,000 | Belden, Inc., 3.375%, 7/15/31 (144A) | 4,461,031 | ||||
EUR6,020,000 | Energizer Gamma Acquisition BV, 3.50%, 6/30/29 (144A) | 5,700,798 | ||||
Total Electrical Components & Equipments | $18,541,478 | |||||
Energy-Alternate Sources — 0.0%† | ||||||
563,617 | Alta Wind Holdings LLC, 7.00%, 6/30/35 (144A) | $ 486,097 | ||||
Total Energy-Alternate Sources | $486,097 | |||||
Engineering & Construction — 0.1% | ||||||
1,615,000 | IHS Holding, Ltd., 5.625%, 11/29/26 (144A) | $ 1,401,400 | ||||
1,425,000 | IHS Holding, Ltd., 6.25%, 11/29/28 (144A) | 1,152,113 | ||||
Total Engineering & Construction | $2,553,513 | |||||
Entertainment — 0.6% | ||||||
EUR2,115,000 | Allwyn Entertainment Financing UK Plc, 7.25%, 4/30/30 (144A) | $ 2,452,554 | ||||
905,000 | Allwyn Entertainment Financing UK Plc, 7.875%, 4/30/29 (144A) | 920,838 | ||||
11,100,000 | Resorts World Las Vegas LLC/RWLV Capital, Inc., 4.625%, 4/16/29 (144A) | 9,673,206 |
Principal Amount USD ($) | Value | |||||
Entertainment — (continued) | ||||||
3,400,000 | Resorts World Las Vegas LLC/RWLV Capital, Inc., 4.625%, 4/6/31 (144A) | $ 2,822,745 | ||||
2,910,000 | Scientific Games Holdings LP/Scientific Games US FinCo, Inc., 6.625%, 3/1/30 (144A) | 2,751,201 | ||||
Total Entertainment | $18,620,544 | |||||
Food — 0.9% | ||||||
1,458,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.00%, 5/15/32 | $ 1,187,047 | ||||
11,860,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.75%, 4/1/33 | 11,748,356 | ||||
4,610,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 6.50%, 12/1/52 | 4,635,351 | ||||
14,425,000 | Minerva Luxembourg S.A., 4.375%, 3/18/31 (144A) | 11,892,254 | ||||
Total Food | $29,463,008 | |||||
Forest Products & Paper — 0.0%† | ||||||
EUR23,000 | Ahlstrom Holding 3 Oy, 3.625%, 2/4/28 (144A) | $ 22,915 | ||||
Total Forest Products & Paper | $22,915 | |||||
Gas — 0.4% | ||||||
13,550,000 | KeySpan Gas East Corp., 5.994%, 3/6/33 (144A) | $ 13,778,971 | ||||
Total Gas | $13,778,971 | |||||
Hand & Machine Tools — 0.2% | ||||||
5,410,000 | Regal Rexnord Corp., 6.30%, 2/15/30 (144A) | $ 5,550,179 | ||||
Total Hand & Machine Tools | $5,550,179 | |||||
Healthcare-Services — 0.3% | ||||||
7,170,800 | Auna SAA, 10.00%, 12/15/29 (144A) | $ 6,883,968 | ||||
EUR3,860,000 | CAB SELAS, 3.375%, 2/1/28 (144A) | 3,787,763 | ||||
Total Healthcare-Services | $10,671,731 | |||||
Insurance — 1.2% | ||||||
13,080,000(c) | Farmers Insurance Exchange, 4.747% (3 Month USD LIBOR + 323 bps), 11/1/57 (144A) | $ 10,055,946 |
Principal Amount USD ($) | Value | |||||
Insurance — (continued) | ||||||
EUR2,650,000(c) | Liberty Mutual Group, Inc., 3.625% (5 Year EUR Swap + 370 bps), 5/23/59 (144A) | $ 2,848,762 | ||||
22,651,000 | Liberty Mutual Insurance Co., 7.697%, 10/15/97 (144A) | 24,800,234 | ||||
Total Insurance | $37,704,942 | |||||
Internet — 0.1% | ||||||
EUR3,257,000 | United Group BV, 5.25%, 2/1/30 (144A) | $ 3,397,809 | ||||
Total Internet | $3,397,809 | |||||
Iron & Steel — 0.2% | ||||||
2,675,000 | Metinvest BV, 7.65%, 10/1/27 (144A) | $ 1,713,616 | ||||
7,775,000 | TMS International Corp., 6.25%, 4/15/29 (144A) | 6,414,375 | ||||
Total Iron & Steel | $8,127,991 | |||||
Leisure Time — 0.2% | ||||||
3,255,000 | NCL Corp., Ltd., 8.125%, 1/15/29 (144A) | $ 3,400,115 | ||||
1,130,000 | NCL Finance, Ltd., 6.125%, 3/15/28 (144A) | 1,081,672 | ||||
1,330,000 | Royal Caribbean Cruises, Ltd., 7.25%, 1/15/30 (144A) | 1,389,025 | ||||
300,000 | Viking Ocean Cruises Ship VII, Ltd., 5.625%, 2/15/29 (144A) | 292,500 | ||||
Total Leisure Time | $6,163,312 | |||||
Lodging — 0.1% | ||||||
3,125,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc, 5.00%, 6/1/29 (144A) | $ 2,882,956 | ||||
Total Lodging | $2,882,956 | |||||
Media — 0.6% | ||||||
3,910,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.50%, 6/1/33 (144A) | $ 3,308,398 | ||||
6,000,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.75%, 3/1/30 (144A) | 5,482,589 | ||||
1,785,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 7.375%, 3/1/31 (144A) | 1,832,060 | ||||
6,200,000 | CSC Holdings LLC, 4.625%, 12/1/30 (144A) | 3,733,147 | ||||
2,305,000 | CSC Holdings LLC, 5.00%, 11/15/31 (144A) | 1,394,525 | ||||
4,205,000 | VZ Secured Financing BV, 5.00%, 1/15/32 (144A) | 3,589,899 | ||||
Total Media | $19,340,618 | |||||
Principal Amount USD ($) | Value | |||||
Mining — 1.0% | ||||||
4,776,000 | AngloGold Ashanti Holdings Plc, 3.75%, 10/1/30 | $ 4,152,320 | ||||
11,678,000 | Coeur Mining, Inc., 5.125%, 2/15/29 (144A) | 10,745,163 | ||||
10,725,000 | First Quantum Minerals, Ltd., 8.625%, 6/1/31 (144A) | 9,089,437 | ||||
11,990,000 | IAMGOLD Corp., 5.75%, 10/15/28 (144A) | 10,310,885 | ||||
Total Mining | $34,297,805 | |||||
Multi-National — 0.4% | ||||||
8,430,000 | Banque Ouest Africaine de Developpement, 4.70%, 10/22/31 (144A) | $ 7,167,860 | ||||
INR512,000,000 | European Bank For Reconstruction & Development, 6.25%, 4/11/28 | 5,990,117 | ||||
Total Multi-National | $13,157,977 | |||||
Oil & Gas — 2.2% | ||||||
14,475,000 | Aker BP ASA, 6.00%, 6/13/33 (144A) | $ 15,035,281 | ||||
5,785,000 | Baytex Energy Corp., 8.50%, 4/30/30 (144A) | 5,986,954 | ||||
2,235,000 | CITGO Petroleum Corp., 8.375%, 1/15/29 (144A) | 2,298,318 | ||||
7,175,000 | Harbour Energy Plc, 5.50%, 10/15/26 (144A) | 7,013,562 | ||||
4,737,000 | International Petroleum Corp., 7.25%, 2/1/27 (144A) | 4,395,945 | ||||
7,721,090 | MC Brazil Downstream Trading S.a.r.l, 7.25%, 6/30/31 (144A) | 6,051,404 | ||||
4,435,000 | Petroleos Mexicanos, 6.70%, 2/16/32 | 3,680,072 | ||||
2,705,000 | Seadrill Finance, Ltd., 8.375%, 8/1/30 (144A) | 2,822,208 | ||||
3,063,750 | Transocean, Inc., 8.75%, 2/15/30 (144A) | 3,200,885 | ||||
5,635,000 | Tullow Oil Plc, 10.25%, 5/15/26 (144A) | 5,027,829 | ||||
5,050,000 | Vermilion Energy, Inc., 6.875%, 5/1/30 (144A) | 4,848,219 | ||||
12,895,000 | YPF S.A., 6.95%, 7/21/27 (144A) | 11,537,724 | ||||
Total Oil & Gas | $71,898,401 | |||||
Oil & Gas Services — 0.2% | ||||||
5,595,000 | Enerflex, Ltd., 9.00%, 10/15/27 (144A) | $ 5,397,237 | ||||
Total Oil & Gas Services | $5,397,237 | |||||
Pharmaceuticals — 0.5% | ||||||
2,424,000 | Par Pharmaceutical, Inc., 7.50%, 4/1/27 (144A) | $ 1,551,360 |
Principal Amount USD ($) | Value | |||||
Pharmaceuticals — (continued) | ||||||
EUR1,625,000 | Teva Pharmaceutical Finance Netherlands II BV, 3.75%, 5/9/27 | $ 1,726,647 | ||||
EUR10,400,000 | Teva Pharmaceutical Finance Netherlands II BV, 4.375%, 5/9/30 | 10,755,705 | ||||
1,478,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.75%, 5/9/27 | 1,415,185 | ||||
1,328,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/9/29 | 1,268,301 | ||||
14,050,000+ | Tricida, Inc., 5/15/27 | — | ||||
Total Pharmaceuticals | $16,717,198 | |||||
Pipelines — 1.4% | ||||||
6,338,000(c) | Enbridge, Inc., 8.50% (5 Year CMT Index + 443 bps), 1/15/84 | $ 6,741,388 | ||||
1,694,000(c)(h) | Energy Transfer LP, 6.625% (3 Month USD LIBOR + 416 bps) | 1,414,473 | ||||
15,058,000(c)(h) | Energy Transfer LP, 7.125% (5 Year CMT Index + 531 bps) | 13,875,624 | ||||
15,145,000 | EnLink Midstream Partners LP, 5.45%, 6/1/47 | 13,214,013 | ||||
3,862,000 | EnLink Midstream Partners LP, 5.60%, 4/1/44 | 3,361,188 | ||||
655,000 | Venture Global LNG, Inc., 8.125%, 6/1/28 (144A) | 661,483 | ||||
5,145,000 | Venture Global LNG, Inc., 8.375%, 6/1/31 (144A) | 5,142,336 | ||||
1,540,000 | Venture Global LNG, Inc., 9.50%, 2/1/29 (144A) | 1,629,577 | ||||
Total Pipelines | $46,040,082 | |||||
REITs — 0.5% | ||||||
640,000 | Highwoods Realty LP, 2.60%, 2/1/31 | $ 497,464 | ||||
610,000 | Highwoods Realty LP, 3.05%, 2/15/30 | 503,997 | ||||
16,561,000 | MPT Operating Partnership LP/MPT Finance Corp., 3.50%, 3/15/31 | 10,354,386 | ||||
2,975,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.50%, 2/15/29 (144A) | 2,146,921 | ||||
2,465,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 2/15/28 (144A) | 2,499,029 | ||||
Total REITs | $16,001,797 | |||||
Principal Amount USD ($) | Value | |||||
Retail — 0.7% | ||||||
12,900,000 | Darden Restaurants, Inc., 6.30%, 10/10/33 | $ 13,867,910 | ||||
EUR4,500,000 | Food Service Project S.A., 5.50%, 1/21/27 (144A) | 4,951,530 | ||||
3,805,000 | LCM Investments Holdings II LLC, 4.875%, 5/1/29 (144A) | 3,534,521 | ||||
Total Retail | $22,353,961 | |||||
Semiconductors — 0.2% | ||||||
4,790,000 | Foundry JV Holdco LLC, 5.875%, 1/25/34 (144A) | $ 4,919,972 | ||||
Total Semiconductors | $4,919,972 | |||||
Software — 0.0%† | ||||||
1,752,000 | AthenaHealth Group, Inc., 6.50%, 2/15/30 (144A) | $ 1,589,375 | ||||
Total Software | $1,589,375 | |||||
Telecommunications — 0.9% | ||||||
475,000 | Altice France S.A., 5.125%, 1/15/29 (144A) | $ 369,430 | ||||
1,835,000 | Altice France S.A., 5.125%, 7/15/29 (144A) | 1,427,665 | ||||
9,874,000 | Altice France SA, 5.50%, 1/15/28 (144A) | 8,131,981 | ||||
4,120,000 | CommScope, Inc., 4.75%, 9/1/29 (144A) | 2,766,191 | ||||
1,976,217(i) | Digicel International Finance Ltd/Digicel international Holdings, Ltd., 8.00%, 12/31/26 (144A) | 39,524 | ||||
2,337,000 | Level 3 Financing, Inc., 10.50%, 5/15/30 (144A) | 2,266,153 | ||||
EUR6,915,000 | Lorca Telecom Bondco SA, 4.00%, 9/18/27 (144A) | 7,442,893 | ||||
6,900,000 | Total Play Telecomunicaciones SA de CV, 6.375%, 9/20/28 (144A) | 2,806,342 | ||||
4,270,000 | Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.75%, 8/15/28 (144A) | 3,739,464 | ||||
Total Telecommunications | $28,989,643 | |||||
Transportation — 0.4% | ||||||
4,910,000 | Hidrovias International Finance SARL, 4.95%, 2/8/31 (144A) | $ 3,881,903 | ||||
2,360,000 | Norfolk Southern Corp., 5.95%, 3/15/64 | 2,633,149 |
Principal Amount USD ($) | Value | |||||
Transportation — (continued) | ||||||
3,172,000 | Seaspan Corp., 5.50%, 8/1/29 (144A) | $ 2,653,630 | ||||
2,785,000 | Simpar Europe S.A., 5.20%, 1/26/31 (144A) | 2,412,506 | ||||
Total Transportation | $11,581,188 | |||||
Total Corporate Bonds (Cost $1,142,217,743) | $1,068,100,652 | |||||
Insurance-Linked Securities — 4.7% of Net Assets# | ||||||
Event Linked Bonds — 2.1% | ||||||
Earthquakes – California — 0.0%† | ||||||
750,000(a) | Phoenician Re, 8.266%, (3 Month U.S. Treasury Bill + 290 bps), 12/14/24 (144A) | $ 739,125 | ||||
Earthquakes – Mexico — 0.0%† | ||||||
250,000(a) | International Bank for Reconstruction & Development, 9.061%, (3 Month Term SOFR + 376 bps), 3/13/24 (144A) | $ 249,500 | ||||
Earthquakes – U.S. — 0.0%† | ||||||
500,000(a) | Ursa Re, 10.87%, (3 Month U.S. Treasury Bill + 550 bps), 12/6/25 (144A) | $ 500,350 | ||||
500,000(c) | Veraison Re, 11.868%, (1 Month U.S. Treasury Bill + 650 bps), 3/9/26 (144A) | 517,050 | ||||
$1,017,400 | ||||||
Flood – U.S. — 0.1% | ||||||
1,500,000(a) | FloodSmart Re, 17.198%, (3 Month U.S. Treasury Bill + 1,183 bps), 2/25/25 (144A) | $ 1,459,050 | ||||
1,000,000(a) | FloodSmart Re, 18.947%, (3 Month U.S. Treasury Bill + 1,358 bps), 3/1/24 (144A) | 999,000 | ||||
$2,458,050 | ||||||
Health – U.S. — 0.2% | ||||||
250,000(a) | Vitality Re XII, 8.12%, (3 Month U.S. Treasury Bill + 275 bps), 1/7/25 (144A) | $ 246,100 | ||||
2,000,000(a) | Vitality Re XIII, 7.37%, (3 Month U.S. Treasury Bill + 200 bps), 1/6/26 (144A) | 1,965,000 |
Principal Amount USD ($) | Value | |||||
Health – U.S. — (continued) | ||||||
4,000,000(a) | Vitality Re XIV, 8.868%, (3 Month U.S. Treasury Bill + 350 bps), 1/5/27 (144A) | $ 3,998,000 | ||||
400,000(a) | Vitality Re XIV, 9.867%, (3 Month U.S. Treasury Bill + 450 bps), 1/5/27 (144A) | 399,640 | ||||
$6,608,740 | ||||||
Multiperil – U.S. — 0.7% | ||||||
900,000(a) | Easton Re Pte, 9.871%, (3 Month U.S. Treasury Bill + 453 bps), 1/8/24 (144A) | $ 897,300 | ||||
250,000(a) | Four Lakes Re, 5.75%, (3 Month U.S. Treasury Bill + 575 bps), 1/7/27 (144A) | 249,875 | ||||
500,000(a) | Four Lakes Re, 9.638%, (3 Month U.S. Treasury Bill + 427 bps), 1/7/25 (144A) | 485,650 | ||||
1,500,000(a) | Four Lakes Re, 12.668%, (3 Month U.S. Treasury Bill + 730 bps), 1/5/24 (144A) | 1,495,500 | ||||
1,500,000(a) | Four Lakes Re, 15.527%, (3 Month U.S. Treasury Bill + 1,016 bps), 1/5/24 (144A) | 1,495,500 | ||||
500,000(a) | Herbie Re, 15.087%, (3 Month U.S. Treasury Bill + 972 bps), 1/8/25 (144A) | 492,400 | ||||
2,500,000(a) | High Point Re, 11.12%, (3 Month U.S. Treasury Bill + 575 bps), 1/6/27 (144A) | 2,498,750 | ||||
1,750,000(a) | Matterhorn Re, 10.674%, (SOFR + 525 bps), 3/24/25 (144A) | 1,706,250 | ||||
750,000(a) | Matterhorn Re, 13.174%, (SOFR + 775 bps), 3/24/25 (144A) | 738,000 | ||||
2,900,000(a) | Mystic Re IV, 14.617%, (3 Month U.S. Treasury Bill + 925 bps), 1/8/26 (144A) | 2,990,190 | ||||
600,000(a) | Mystic Re IV, 17.367%, (3 Month U.S. Treasury Bill + 1,200 bps), 1/8/27 (144A) | 599,700 | ||||
750,000(a) | Residential Re, 11.118%, (1 Month U.S. Treasury Bill + 575 bps), 12/6/27 (144A) | 748,875 | ||||
1,500,000(a) | Residential Re, 11.378%, (3 Month U.S. Treasury Bill + 601 bps), 12/6/24 (144A) | 1,482,750 | ||||
1,500,000(a) | Residential Re, 13.058%, (3 Month U.S. Treasury Bill + 769 bps), 12/6/26 (144A) | 1,525,950 | ||||
1,500,000(a) | Residential Re, 13.868%, (1 Month U.S. Treasury Bill + 850 bps), 12/6/27 (144A) | 1,497,750 |
Principal Amount USD ($) | Value | |||||
Multiperil – U.S. — (continued) | ||||||
1,250,000(a) | Residential Re, 14.027%, (3 Month U.S. Treasury Bill + 866 bps), 12/6/24 (144A) | $ 1,226,125 | ||||
2,250,000(a) | Sanders Re II, 8.418%, (3 Month U.S. Treasury Bill + 305 bps), 4/7/25 (144A) | 2,149,425 | ||||
250,000(a) | Sanders Re III, 11.12%, (3 Month U.S. Treasury Bill + 575 bps), 4/7/27 (144A) | 244,700 | ||||
750,000(a) | Sanders Re III, 11.62%, (3 Month U.S. Treasury Bill + 625 bps), 4/7/27 (144A) | 763,425 | ||||
750,000(a) | Sussex Re, 13.75%, (3 Month U.S. Treasury Bill + 838 bps), 1/8/25 (144A) | 738,150 | ||||
$24,026,265 | ||||||
Multiperil – U.S. & Canada — 0.1% | ||||||
500,000(a) | Galileo Re, 12.367%, (3 Month U.S. Treasury Bill + 700 bps), 1/8/26 (144A) | $ 499,250 | ||||
1,000,000(a) | Galileo Re, 12.37%, (3 Month U.S. Treasury Bill + 700 bps), 1/7/28 (144A) | 998,500 | ||||
250,000(a) | Matterhorn Re, 11.159%, (SOFR + 575 bps), 12/8/25 (144A) | 230,300 | ||||
800,000(a) | Mona Lisa Re, 17.867%, (3 Month U.S. Treasury Bill + 1,250 bps), 1/8/26 (144A) | 858,400 | ||||
500,000(a) | Northshore Re II, 13.368%, (3 Month U.S. Treasury Bill + 800 bps), 7/8/25 (144A) | 511,600 | ||||
$3,098,050 | ||||||
Multiperil – U.S. Regional — 0.2% | ||||||
750,000(a) | Aquila Re I, 12.867%, (3 Month U.S. Treasury Bill + 750 bps), 6/8/26 (144A) | $ 763,950 | ||||
1,000,000(a) | Kilimanjaro III Re, 5.25%, (3 Month U.S. Treasury Bill + 525 bps), 6/25/25 (144A) | 1,001,000 | ||||
1,000,000(a) | Locke Tavern Re, 4.75%, (3 Month U.S. Treasury Bill + 475 bps), 4/9/26 (144A) | 1,008,600 | ||||
2,500,000(a) | Long Point Re IV, 9.618%, (3 Month U.S. Treasury Bill + 425 bps), 6/1/26 (144A) | 2,467,750 | ||||
$5,241,300 | ||||||
Multiperil – Worldwide — 0.1% | ||||||
500,000(a) | 2001 Cat Re, 17.867%, (3 Month U.S. Treasury Bill + 1,250 bps), 1/8/27 (144A) | $ 501,250 |
Principal Amount USD ($) | Value | |||||
Multiperil – Worldwide — (continued) | ||||||
1,250,000(a) | Atlas Capital, 12.656%, (SOFR + 725 bps), 6/5/26 (144A) | $ 1,248,875 | ||||
500,000(a) | Northshore Re II, 11.118%, (3 Month U.S. Treasury Bill + 575 bps), 1/8/24 (144A) | 498,500 | ||||
$2,248,625 | ||||||
Pandemic – U.S — 0.0%† | ||||||
1,000,000(a) | Vitality Re XI, 7.17%, (3 Month U.S. Treasury Bill + 180 bps), 1/9/24 (144A) | $ 997,000 | ||||
Windstorm – Florida — 0.2% | ||||||
1,300,000(a) | Everglades Re II, 5.37%, (1 Month U.S. Treasury Bill + 0 bps), 1/16/24 (144A) | $ 1,295,450 | ||||
250,000(a) | Everglades Re II, 5.37%, 1/16/24 (144A) | 249,125 | ||||
2,310,000(a) | Everglades Re II, 11.973%, (1 Month U.S. Treasury Bill + 661 bps), 5/14/24 (144A) | 2,327,325 | ||||
2,000,000(a) | Everglades Re II, 12.995%, (1 Month U.S. Treasury Bill + 763 bps), 5/14/24 (144A) | 2,023,000 | ||||
500,000(a) | Integrity Re, 12.44%, (3 Month U.S. Treasury Bill + 707 bps), 6/6/25 (144A) | 479,200 | ||||
$6,374,100 | ||||||
Windstorm – Mexico — 0.0%† | ||||||
250,000(a) | International Bank for Reconstruction & Development, 15.641%, (3 Month Term SOFR + 1,026 bps), 3/13/24 (144A) | $ 249,500 | ||||
Windstorm – North Carolina — 0.1% | ||||||
1,250,000(a) | Blue Ridge Re, 8.00%, (1 Month U.S. Treasury Bill + 800 bps), 1/8/27 (144A) | $ 1,248,125 | ||||
500,000(a) | Blue Ridge Re, 10.617%, (3 Month U.S. Treasury Bill + 525 bps), 1/8/27 (144A) | 499,250 | ||||
1,500,000(a) | Cape Lookout Re, 9.068%, (1 Month U.S. Treasury Bill + 370 bps), 3/22/24 (144A) | 1,495,500 | ||||
$3,242,875 | ||||||
Windstorm – Texas — 0.1% | ||||||
1,750,000(a) | Alamo Re, 12.547%, (3 Month U.S. Treasury Bill + 718 bps), 6/7/24 (144A) | $ 1,771,000 | ||||
Windstorm – U.S. — 0.2% | ||||||
1,000,000(a) | Alamo Re, 13.87%, (1 Month U.S. Treasury Bill + 850 bps), 6/7/26 (144A) | $ 1,019,000 |
Principal Amount USD ($) | Value | ||||||
Windstorm – U.S. — (continued) | |||||||
750,000(a) | Bonanza Re, 10.277%, (3 Month U.S. Treasury Bill + 491 bps), 12/23/24 (144A) | $ 703,050 | |||||
250,000(a) | Bonanza Re, 11.15%, (3 Month U.S. Treasury Bill + 578 bps), 3/16/25 (144A) | 236,375 | |||||
250,000(a) | Bonanza Re, 13.617%, (3 Month U.S. Treasury Bill + 825 bps), 1/8/26 (144A) | 249,575 | |||||
1,000,000(a) | Cape Lookout Re, 11.868%, (1 Month U.S. Treasury Bill + 650 bps), 4/28/26 (144A) | 1,017,700 | |||||
500,000(a) | Gateway Re, 18.368%, (1 Month U.S. Treasury Bill + 1,300 bps), 2/24/26 (144A) | 520,350 | |||||
250,000(a) | Gateway Re II, 14.867%, (3 Month U.S. Treasury Bill + 950 bps), 4/27/26 (144A) | 252,300 | |||||
2,500,000(a) | Queen Street 2023 Re, 12.868%, (3 Month U.S. Treasury Bill + 750 bps), 12/8/25 (144A) | 2,544,000 | |||||
$6,542,350 | |||||||
Windstorm – U.S. Multistate — 0.0%† | |||||||
1,000,000(a) | Gateway Re, 5.37%, (3 Month U.S. Treasury Bill + 0 bps), 1/9/24 (144A) | $ 996,500 | |||||
Windstorm – U.S. Regional — 0.0%† | |||||||
750,000(a) | Commonwealth Re, 8.906%, (3 Month U.S. Treasury Bill + 354 bps), 7/8/25 (144A) | $ 745,725 | |||||
Winterstorm – Florida — 0.1% | |||||||
1,250,000(a) | Integrity Re, 17.368%, (1 Month U.S. Treasury Bill + 1,200 bps), 6/6/25 (144A) | $ 1,297,500 | |||||
1,000,000(a) | Lightning Re, 16.367%, (3 Month U.S. Treasury Bill + 1,100 bps), 3/31/26 (144A) | 1,056,000 | |||||
$2,353,500 | |||||||
Total Event Linked Bonds | $68,959,605 | ||||||
Face Amount USD ($) | Value | |||||
Collateralized Reinsurance — 0.7% | ||||||
Earthquakes – California — 0.1% | ||||||
1,800,000(j)+ | Adare Re 2022-2, 9/30/28 | $ 1,812,375 | ||||
Multiperil – Massachusetts — 0.0%† | ||||||
400,000(b)(j)+ | Portsalon Re 2022, 5/31/28 | $ 366,768 | ||||
Multiperil – U.S. — 0.5% | ||||||
6,000,000(b)(j)+ | Ballybunion Re 2020, 2/29/24 | $ 677,844 | ||||
3,406,059(b)(j)+ | Ballybunion Re 2021-3, 7/31/25 | 76,157 | ||||
1,506,560(b)(j)+ | Ballybunion Re 2022, 12/31/27 | 28,550 | ||||
3,000,000(b)(j)+ | Ballybunion Re 2022-2, 5/31/28 | 3,046,530 | ||||
3,500,000(b)(j)+ | Ballybunion Re 2022-3, 6/30/28 | 3,621,129 | ||||
3,000,000(b)(j)+ | Ballybunion Re 2023, 12/31/28 | 3,342,572 | ||||
4,750,000(b)(j)+ | Gamboge Re, 3/31/29 | 4,981,800 | ||||
$15,774,582 | ||||||
Multiperil – Worldwide — 0.1% | ||||||
1,000,000(b)(j)+ | Clarendon Re 2023, 12/31/28 | $ 1,058,500 | ||||
140,000(j)+ | Limestone Re 2019-2B, 12/31/24 (144A) | 250 | ||||
1,020,000(j)+ | Limestone Re 2020-1, 3/1/24 (144A) | — | ||||
480,000(j)+ | Limestone Re 2020-1, 3/1/24 (144A) | — | ||||
500,000(b)(j)+ | Merion Re 2023-1, 12/31/28 | 527,343 | ||||
250,000(b)(j)+ | Old Head Re 2022, 12/31/27 | 125,000 | ||||
250,000(b)(j)+ | Old Head Re 2023, 12/31/28 | 260,225 | ||||
500,000(b)(j)+ | Pine Valley Re 2023, 12/31/28 | — | ||||
250,000(b)(j)+ | Porthcawl Re 2023, 12/31/28 | 261,350 | ||||
300,000(b)(j)+ | Walton Health Re 2019, 6/30/24 | 75,504 | ||||
2,000,000(b)(j)+ | Walton Health Re 2022, 12/15/27 | 291,507 | ||||
$2,599,679 | ||||||
Windstorm – Florida — 0.0%† | ||||||
1,750,000(b)(j)+ | Formby Re 2018, 2/29/24 | $ — | ||||
2,200,000(b)(j)+ | Portrush Re 2017, 6/15/24 | 220 | ||||
$220 | ||||||
Windstorm – North Carolina — 0.0%† | ||||||
250,000(b)(j)+ | Isosceles Re 2023, 4/30/29 | $ 249,750 | ||||
1,000,000(b)(j)+ | Isosceles Re 2023, 4/30/29 | — | ||||
424,975(b)(j)+ | Isosceles Re 2023, 4/30/29 | — | ||||
$249,750 | ||||||
Windstorm – U.S. Multistate — 0.0%† | ||||||
1,000,000(b)(j)+ | White Heron Re 2023, 5/31/29 | $ 1,013,869 |
Face Amount USD ($) | Value | |||||
Windstorm – U.S. Regional — 0.0%† | ||||||
5,804,192(j)+ | Oakmont Re 2020, 4/30/24 | $ — | ||||
3,500,000(b)(j)+ | Oakmont Re 2022, 4/1/28 | 1,100,769 | ||||
$1,100,769 | ||||||
Total Collateralized Reinsurance | $22,918,012 | |||||
Reinsurance Sidecars — 1.9% | ||||||
Multiperil – U.S. — 0.0%† | ||||||
1,750,000(b)(j)+ | Carnoustie Re 2020, 12/31/24 | $ 201,824 | ||||
3,000,000(b)(k)+ | Harambee Re 2018, 12/31/24 | — | ||||
5,000,000(k)+ | Harambee Re 2019, 12/31/24 | 7,500 | ||||
3,000,000(b)(k)+ | Harambee Re 2020, 12/31/24 | 46,200 | ||||
$255,524 | ||||||
Multiperil – Worldwide — 1.9% | ||||||
250,000(k)+ | Alturas Re 2020-3, 9/30/24 | $ — | ||||
236,951(b)(k)+ | Alturas Re 2021-3, 7/31/25 | 12,321 | ||||
2,318,301(b)(k)+ | Alturas Re 2022-2, 12/31/27 | 600,440 | ||||
3,932,000(b)(j)+ | Bantry Re 2021, 12/31/24 | 47,184 | ||||
5,000,000(b)(j)+ | Bantry Re 2023, 12/31/28 | 6,157,500 | ||||
9,947,951(b)(j)+ | Berwick Re 2019-1, 12/31/24 | 1,193,754 | ||||
2,000,000(b)(j)+ | Berwick Re 2020-1, 12/31/24 | 200 | ||||
3,500,000(b)(j)+ | Berwick Re 2022, 12/31/27 | 67,478 | ||||
3,500,000(b)(j)+ | Berwick Re 2023, 12/31/28 | 3,975,460 | ||||
4,000,000(b)(j)+ | Eccleston Re 2023, 11/30/28 | 557,149 | ||||
700,000(b)(j)+ | Eden Re II, 3/22/24 (144A) | 196,700 | ||||
524,241(b)(j)+ | Eden Re II, 3/21/25 (144A) | 80,681 | ||||
880,000(b)(j)+ | Eden Re II, 3/20/26 (144A) | 259,512 | ||||
3,000,000(b)(j)+ | Eden Re II, 3/19/27 (144A) | 3,567,000 | ||||
1,250,000(b)(j)+ | Gleneagles Re 2021, 12/31/24 | 125 | ||||
1,250,000(b)(j)+ | Gleneagles Re 2022, 12/31/27 | 594,125 | ||||
2,737,878(j)+ | Gullane Re 2018, 12/31/24 | 129,294 | ||||
5,318,293(b)(j)+ | Gullane Re 2023, 12/31/28 | 6,694,301 | ||||
500,000(b)(k)+ | Lion Rock Re 2020, 1/31/24 | — | ||||
500,000(b)(k)+ | Lion Rock Re 2021, 12/31/24 | 55,900 | ||||
2,545,246(b)(k)+ | Lorenz Re 2019, 6/30/24 | 24,434 | ||||
8,500,000(j)+ | Merion Re 2018-2, 12/31/24 | 424,864 | ||||
9,000,000(b)(j)+ | Merion Re 2021-2, 12/31/24 | 1,444,500 | ||||
6,551,154(b)(j)+ | Merion Re 2022-2, 12/31/27 | 6,211,224 | ||||
4,250,000(b)(j)+ | Pangaea Re 2023-1, 12/31/28 | 5,166,652 | ||||
2,500,000(b)(j)+ | Pangaea Re 2023-3, 5/31/29 | 2,836,526 | ||||
1,000,000(b)(j)+ | Phoenix 3 Re 2023-3, 1/4/27 | 1,123,800 | ||||
1,515,000(b)(j)+ | RosaPenna Re 2022, 6/30/28 | 1,456,832 |
Face Amount USD ($) | Value | |||||
Multiperil – Worldwide — (continued) | ||||||
360,000(j)+ | Sector Re V, 3/1/24 (144A) | $ 189,597 | ||||
3,608(j)+ | Sector Re V, 3/1/24 (144A) | 88,944 | ||||
155,997(j)+ | Sector Re V, 12/1/24 (144A) | 280,682 | ||||
150,000(j)+ | Sector Re V, 12/1/24 (144A) | 269,892 | ||||
55,079(a)(b)(j)+ | Sector Re V, 12/1/26 (144A) | 190,919 | ||||
2,750(b)(j)+ | Sector Re V, 3/1/27 (144A) | 201,690 | ||||
9,179(b)(j)+ | Sector Re V, 3/1/27 (144A) | 42,457 | ||||
2,698,893(b)(j)+ | Sector Re V, 12/1/27 (144A) | 3,476,174 | ||||
4,000,000(j)+ | Sector Re V, 12/1/28 (144A) | 4,058,225 | ||||
3,609,700(j)+ | Sussex Re 2020-1, 12/31/24 | 4,693 | ||||
1,000,000(j)+ | Sussex Re 2021-1, 12/31/24 | 700 | ||||
3,000,000(k)+ | Thopas Re 2019, 12/31/24 | 41,400 | ||||
4,000,000(k)+ | Thopas Re 2020, 12/31/24 | 800 | ||||
5,000,000(k)+ | Thopas Re 2021, 12/31/24 | 80,500 | ||||
3,000,000(k)+ | Thopas Re 2022, 12/31/27 | 24,300 | ||||
3,192,294(b)(k)+ | Thopas Re 2023, 12/31/28 | 4,035,698 | ||||
2,818,951(k)+ | Torricelli Re 2021, 7/31/25 | 70,474 | ||||
3,000,000(k)+ | Torricelli Re 2022, 6/30/28 | 67,200 | ||||
3,250,000(b)(k)+ | Torricelli Re 2023, 6/30/29 | 3,855,865 | ||||
1,250,000(b)(k)+ | Viribus Re 2018, 12/31/24 | — | ||||
3,650,000(b)(k)+ | Viribus Re 2019, 12/31/24 | 11,315 | ||||
4,139,570(b)(k)+ | Viribus Re 2020, 12/31/24 | 137,434 | ||||
2,500,000(k)+ | Viribus Re 2022, 12/31/27 | 91,750 | ||||
1,500,000(b)(k)+ | Viribus Re 2023, 12/31/28 | 2,073,750 | ||||
3,539,362(b)(j)+ | Woburn Re 2019, 12/31/24 | 592,560 | ||||
$62,764,975 | ||||||
Total Reinsurance Sidecars | $63,020,499 | |||||
Total Insurance-Linked Securities (Cost $145,581,806) | $154,898,116 | |||||
Principal Amount USD ($) | ||||||
Foreign Government Bonds — 3.1% of Net Assets | ||||||
Angola — 0.2% | ||||||
6,420,000 | Angolan Government International Bond, 8.750%, 4/14/32 (144A) | $ 5,636,657 | ||||
Total Angola | $5,636,657 | |||||
Principal Amount USD ($) | Value | |||||
Argentina — 0.3% | ||||||
351,880 | Argentine Republic Government International Bond, 1.000%, 7/9/29 | $ 139,696 | ||||
5,955,800(d) | Argentine Republic Government International Bond, 3.625%, 7/9/35 | 2,032,805 | ||||
8,500,000 | Ciudad Autonoma De Buenos Aires, 7.500%, 6/1/27 (144A) | 8,372,500 | ||||
Total Argentina | $10,545,001 | |||||
Colombia — 0.1% | ||||||
4,800,000 | Colombia Government International Bond, 3.125%, 4/15/31 | $ 3,903,069 | ||||
Total Colombia | $3,903,069 | |||||
Egypt — 0.2% | ||||||
2,520,000 | Egypt Government International Bond, 5.875%, 2/16/31 (144A) | $ 1,647,450 | ||||
5,560,000 | Egypt Government International Bond, 7.053%, 1/15/32 (144A) | 3,796,179 | ||||
2,000,000 | Egypt Government International Bond, 8.875%, 5/29/50 (144A) | 1,270,352 | ||||
Total Egypt | $6,713,981 | |||||
Ghana — 0.1% | ||||||
7,018,000(i) | Ghana Government International Bond, 7.875%, 2/11/35 (144A) | $ 3,049,167 | ||||
Total Ghana | $3,049,167 | |||||
Indonesia — 0.4% | ||||||
IDR219,632,000,000 | Indonesia Treasury Bond, 6.125%, 5/15/28 | $ 14,069,743 | ||||
Total Indonesia | $14,069,743 | |||||
Ivory Coast — 0.4% | ||||||
EUR8,965,000 | Ivory Coast Government International Bond, 4.875%, 1/30/32 (144A) | $ 8,320,136 | ||||
EUR3,270,000 | Ivory Coast Government International Bond, 5.875%, 10/17/31 (144A) | 3,227,987 | ||||
2,500,000 | Ivory Coast Government International Bond, 6.125%, 6/15/33 (144A) | 2,294,600 | ||||
Total Ivory Coast | $13,842,723 | |||||
Rwanda — 0.1% | ||||||
5,525,000 | Rwanda International Government Bond, 5.500%, 8/9/31 (144A) | $ 4,413,094 | ||||
Total Rwanda | $4,413,094 | |||||
Principal Amount USD ($) | Value | |||||
Serbia — 0.2% | ||||||
EUR6,600,000 | Serbia International Bond, 2.050%, 9/23/36 (144A) | $ 5,059,738 | ||||
Total Serbia | $5,059,738 | |||||
Supranational — 0.6% | ||||||
INR435,400,000 | International Bank for Reconstruction & Development, 6.500%, 4/17/30 | $ 5,130,577 | ||||
INR581,000,000 | International Bank for Reconstruction & Development, 6.850%, 4/24/28 | 6,985,903 | ||||
KZT1,169,000,000 | International Bank for Reconstruction & Development, 12.500%, 2/21/25 | 2,495,028 | ||||
COP23,200,000,000 | International Finance Corp., 3.590%, 2/26/26 | 5,199,158 | ||||
Total Supranational | $19,810,666 | |||||
Ukraine — 0.1% | ||||||
EUR4,490,000(i) | Ukraine Government International Bond, 4.375%, 1/27/32 (144A) | $ 1,003,739 | ||||
9,575,000(i) | Ukraine Government International Bond, 7.375%, 9/25/34 (144A) | 2,227,145 | ||||
Total Ukraine | $3,230,884 | |||||
Uruguay — 0.2% | ||||||
UYU190,614,000 | Uruguay Government International Bond, 9.750%, 7/20/33 | $ 4,909,311 | ||||
Total Uruguay | $4,909,311 | |||||
Uzbekistan — 0.2% | ||||||
UZS76,270,000,000 | Republic of Uzbekistan International Bond, 14.000%, 7/19/24 (144A) | $ 6,140,467 | ||||
Total Uzbekistan | $6,140,467 | |||||
Total Foreign Government Bonds (Cost $130,397,671) | $101,324,501 | |||||
U.S. Government and Agency Obligations — 33.7% of Net Assets | ||||||
22,875,000 | Federal Home Loan Mortgage Corp., 1.500%, 3/1/42 | $ 18,954,990 | ||||
158,738 | Federal Home Loan Mortgage Corp., 2.000%, 2/1/42 | 135,885 | ||||
1,302,709 | Federal Home Loan Mortgage Corp., 2.000%, 3/1/52 | 1,065,704 | ||||
20,527,340 | Federal Home Loan Mortgage Corp., 2.500%, 5/1/51 | 17,600,696 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
110,891 | Federal Home Loan Mortgage Corp., 3.000%, 11/1/47 | $ 101,196 | ||||
706,399 | Federal Home Loan Mortgage Corp., 3.000%, 1/1/52 | 627,605 | ||||
1,186,315 | Federal Home Loan Mortgage Corp., 3.000%, 9/1/52 | 1,049,096 | ||||
798,566 | Federal Home Loan Mortgage Corp., 3.000%, 4/1/53 | 706,353 | ||||
32,144 | Federal Home Loan Mortgage Corp., 3.500%, 1/1/52 | 29,655 | ||||
2,427,665 | Federal Home Loan Mortgage Corp., 3.500%, 4/1/52 | 2,247,296 | ||||
167,330 | Federal Home Loan Mortgage Corp., 3.500%, 4/1/52 | 153,516 | ||||
1,455,936 | Federal Home Loan Mortgage Corp., 3.500%, 4/1/52 | 1,351,218 | ||||
1,739,000 | Federal Home Loan Mortgage Corp., 4.000%, 10/1/42 | 1,692,291 | ||||
630,912 | Federal Home Loan Mortgage Corp., 4.000%, 4/1/47 | 606,157 | ||||
185,047 | Federal Home Loan Mortgage Corp., 4.000%, 6/1/50 | 177,163 | ||||
101,526 | Federal Home Loan Mortgage Corp., 4.000%, 4/1/51 | 96,260 | ||||
90,958 | Federal Home Loan Mortgage Corp., 4.000%, 9/1/51 | 86,024 | ||||
158,641 | Federal Home Loan Mortgage Corp., 4.000%, 6/1/52 | 150,047 | ||||
426,000 | Federal Home Loan Mortgage Corp., 4.500%, 5/1/42 | 425,452 | ||||
6,100 | Federal Home Loan Mortgage Corp., 4.500%, 9/1/43 | 6,034 | ||||
572,000 | Federal Home Loan Mortgage Corp., 4.500%, 3/1/47 | 570,557 | ||||
1,548,568 | Federal Home Loan Mortgage Corp., 5.000%, 11/1/39 | 1,575,933 | ||||
1,000 | Federal Home Loan Mortgage Corp., 5.000%, 5/1/40 | 1,016 | ||||
258,000 | Federal Home Loan Mortgage Corp., 5.000%, 3/1/44 | 262,180 | ||||
399,000 | Federal Home Loan Mortgage Corp., 5.000%, 8/1/50 | 399,444 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
1,674,646 | Federal Home Loan Mortgage Corp., 5.000%, 12/1/50 | $ 1,671,242 | ||||
1,114,802 | Federal Home Loan Mortgage Corp., 5.000%, 9/1/52 | 1,128,582 | ||||
1,280,791 | Federal Home Loan Mortgage Corp., 5.000%, 10/1/52 | 1,296,622 | ||||
115,023 | Federal Home Loan Mortgage Corp., 5.000%, 3/1/53 | 113,820 | ||||
665,727 | Federal Home Loan Mortgage Corp., 5.000%, 4/1/53 | 658,779 | ||||
110,878 | Federal Home Loan Mortgage Corp., 5.000%, 4/1/53 | 109,821 | ||||
309,387 | Federal Home Loan Mortgage Corp., 5.000%, 4/1/53 | 306,222 | ||||
241,050 | Federal Home Loan Mortgage Corp., 5.000%, 4/1/53 | 239,097 | ||||
692,000 | Federal Home Loan Mortgage Corp., 5.500%, 6/1/41 | 712,670 | ||||
2,018,123 | Federal Home Loan Mortgage Corp., 5.500%, 7/1/49 | 2,056,086 | ||||
307,845 | Federal Home Loan Mortgage Corp., 5.500%, 3/1/53 | 311,014 | ||||
497,125 | Federal Home Loan Mortgage Corp., 5.500%, 3/1/53 | 500,087 | ||||
161,434 | Federal Home Loan Mortgage Corp., 5.500%, 4/1/53 | 162,255 | ||||
144,887 | Federal Home Loan Mortgage Corp., 5.500%, 4/1/53 | 145,614 | ||||
358,975 | Federal Home Loan Mortgage Corp., 5.500%, 4/1/53 | 361,911 | ||||
1,230,000 | Federal Home Loan Mortgage Corp., 5.500%, 4/1/53 | 1,237,537 | ||||
33,925,464 | Federal Home Loan Mortgage Corp., 5.500%, 8/1/53 | 34,062,615 | ||||
20,537,470 | Federal Home Loan Mortgage Corp., 5.500%, 11/1/53 | 20,620,499 | ||||
20,537,420 | Federal Home Loan Mortgage Corp., 5.500%, 12/1/53 | 20,620,451 | ||||
14,400 | Federal Home Loan Mortgage Corp., 6.000%, 1/1/33 | 14,871 | ||||
1,622 | Federal Home Loan Mortgage Corp., 6.000%, 3/1/33 | 1,669 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
10,078 | Federal Home Loan Mortgage Corp., 6.000%, 3/1/33 | $ 10,450 | ||||
16,808 | Federal Home Loan Mortgage Corp., 6.000%, 1/1/34 | 17,539 | ||||
44,871 | Federal Home Loan Mortgage Corp., 6.000%, 6/1/35 | 46,511 | ||||
17,229 | Federal Home Loan Mortgage Corp., 6.000%, 12/1/36 | 17,921 | ||||
1,515 | Federal Home Loan Mortgage Corp., 6.000%, 10/1/37 | 1,568 | ||||
41,103 | Federal Home Loan Mortgage Corp., 6.000%, 12/1/37 | 42,977 | ||||
611,451 | Federal Home Loan Mortgage Corp., 6.000%, 10/1/52 | 630,923 | ||||
325,495 | Federal Home Loan Mortgage Corp., 6.000%, 3/1/53 | 337,475 | ||||
253,094 | Federal Home Loan Mortgage Corp., 6.000%, 3/1/53 | 259,782 | ||||
188,629 | Federal Home Loan Mortgage Corp., 6.000%, 4/1/53 | 195,958 | ||||
233,704 | Federal Home Loan Mortgage Corp., 6.000%, 4/1/53 | 237,611 | ||||
147,937 | Federal Home Loan Mortgage Corp., 6.000%, 4/1/53 | 150,323 | ||||
163,431 | Federal Home Loan Mortgage Corp., 6.000%, 4/1/53 | 166,884 | ||||
420,342 | Federal Home Loan Mortgage Corp., 6.000%, 7/1/53 | 426,823 | ||||
1,508 | Federal Home Loan Mortgage Corp., 6.500%, 9/1/32 | 1,571 | ||||
824,496 | Federal Home Loan Mortgage Corp., 6.500%, 1/1/53 | 849,166 | ||||
5,249,068 | Federal Home Loan Mortgage Corp., 6.500%, 2/1/53 | 5,543,317 | ||||
185,707 | Federal Home Loan Mortgage Corp., 6.500%, 4/1/53 | 192,951 | ||||
148,067 | Federal Home Loan Mortgage Corp., 6.500%, 4/1/53 | 152,667 | ||||
12,582,158 | Federal Home Loan Mortgage Corp., 6.500%, 10/1/53 | 12,893,869 | ||||
45,875,000 | Federal National Mortgage Association, 1.500%, 3/1/42 | 38,013,482 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
6,000,000 | Federal National Mortgage Association, 2.000%, 1/1/39 (TBA) | $ 5,378,437 | ||||
10,309,398 | Federal National Mortgage Association, 2.000%, 12/1/41 | 8,810,727 | ||||
526,752 | Federal National Mortgage Association, 2.000%, 2/1/42 | 449,930 | ||||
193,764 | Federal National Mortgage Association, 2.000%, 2/1/42 | 165,383 | ||||
631,861 | Federal National Mortgage Association, 2.000%, 11/1/50 | 527,614 | ||||
315,965 | Federal National Mortgage Association, 2.000%, 1/1/51 | 266,499 | ||||
5,389,300 | Federal National Mortgage Association, 2.000%, 11/1/51 | 4,478,442 | ||||
3,673,589 | Federal National Mortgage Association, 2.000%, 3/1/52 | 3,005,242 | ||||
26,000,000 | Federal National Mortgage Association, 2.000%, 1/1/54 (TBA) | 21,246,875 | ||||
2,000,000 | Federal National Mortgage Association, 2.500%, 1/1/39 (TBA) | 1,842,344 | ||||
255,355 | Federal National Mortgage Association, 2.500%, 9/1/50 | 223,153 | ||||
180,934 | Federal National Mortgage Association, 2.500%, 10/1/50 | 158,276 | ||||
22,259,295 | Federal National Mortgage Association, 2.500%, 5/1/51 | 19,217,670 | ||||
607,000 | Federal National Mortgage Association, 2.500%, 5/1/51 | 524,724 | ||||
7,801,000 | Federal National Mortgage Association, 2.500%, 11/1/51 | 6,759,217 | ||||
18,316,000 | Federal National Mortgage Association, 2.500%, 1/1/52 | 15,735,011 | ||||
1,360,000 | Federal National Mortgage Association, 2.500%, 2/1/52 | 1,175,957 | ||||
348,178 | Federal National Mortgage Association, 2.500%, 4/1/52 | 299,668 | ||||
97,200,000 | Federal National Mortgage Association, 2.500%, 1/1/54 (TBA) | 82,680,750 | ||||
37,364 | Federal National Mortgage Association, 3.000%, 5/1/46 | 33,690 | ||||
61,429 | Federal National Mortgage Association, 3.000%, 10/1/46 | 55,392 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
172,823 | Federal National Mortgage Association, 3.000%, 11/1/46 | $ 157,293 | ||||
93,263 | Federal National Mortgage Association, 3.000%, 11/1/46 | 84,329 | ||||
38,695 | Federal National Mortgage Association, 3.000%, 1/1/47 | 34,890 | ||||
37,156 | Federal National Mortgage Association, 3.000%, 3/1/47 | 33,825 | ||||
425,217 | Federal National Mortgage Association, 3.000%, 3/1/47 | 384,449 | ||||
1,579,186 | Federal National Mortgage Association, 3.000%, 3/1/47 | 1,444,528 | ||||
1,003,685 | Federal National Mortgage Association, 3.000%, 4/1/47 | 913,484 | ||||
1,762,973 | Federal National Mortgage Association, 3.000%, 5/1/48 | 1,594,076 | ||||
10,641,861 | Federal National Mortgage Association, 3.000%, 1/1/52 | 9,546,353 | ||||
14,370,254 | Federal National Mortgage Association, 3.000%, 3/1/52 | 12,992,154 | ||||
1,950,262 | Federal National Mortgage Association, 3.000%, 6/1/52 | 1,724,808 | ||||
91,500,000 | Federal National Mortgage Association, 3.000%, 1/1/54 (TBA) | 80,931,035 | ||||
3,043,733 | Federal National Mortgage Association, 3.000%, 2/1/57 | 2,679,034 | ||||
660,000 | Federal National Mortgage Association, 3.500%, 1/1/48 | 619,375 | ||||
1,161,000 | Federal National Mortgage Association, 3.500%, 5/1/49 | 1,095,440 | ||||
2,811,785 | Federal National Mortgage Association, 3.500%, 3/1/52 | 2,614,829 | ||||
5,407,563 | Federal National Mortgage Association, 3.500%, 3/1/52 | 4,986,224 | ||||
556,865 | Federal National Mortgage Association, 3.500%, 4/1/52 | 510,948 | ||||
2,192,059 | Federal National Mortgage Association, 3.500%, 4/1/52 | 2,019,923 | ||||
957,907 | Federal National Mortgage Association, 3.500%, 4/1/52 | 889,007 | ||||
4,001,301 | Federal National Mortgage Association, 3.500%, 5/1/52 | 3,704,014 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
472,629 | Federal National Mortgage Association, 3.500%, 5/1/52 | $ 441,357 | ||||
3,701,388 | Federal National Mortgage Association, 3.500%, 6/1/52 | 3,426,391 | ||||
13,600,000 | Federal National Mortgage Association, 3.500%, 1/1/54 (TBA) | 12,475,875 | ||||
1,341,605 | Federal National Mortgage Association, 3.500%, 9/1/55 | 1,252,853 | ||||
6,976,459 | Federal National Mortgage Association, 3.500%, 8/1/58 | 6,328,678 | ||||
2,832 | Federal National Mortgage Association, 4.000%, 12/1/30 | 2,776 | ||||
3,595,532 | Federal National Mortgage Association, 4.000%, 10/1/40 | 3,506,392 | ||||
1,405,552 | Federal National Mortgage Association, 4.000%, 12/1/40 | 1,370,707 | ||||
11,057 | Federal National Mortgage Association, 4.000%, 12/1/41 | 10,767 | ||||
54,736 | Federal National Mortgage Association, 4.000%, 7/1/42 | 53,243 | ||||
7,549,000 | Federal National Mortgage Association, 4.000%, 4/1/44 | 7,343,113 | ||||
48,853 | Federal National Mortgage Association, 4.000%, 6/1/44 | 47,169 | ||||
18,440 | Federal National Mortgage Association, 4.000%, 6/1/45 | 17,941 | ||||
104,007 | Federal National Mortgage Association, 4.000%, 7/1/45 | 100,269 | ||||
29,261 | Federal National Mortgage Association, 4.000%, 5/1/51 | 27,761 | ||||
3,760,000 | Federal National Mortgage Association, 4.000%, 7/1/51 | 3,576,615 | ||||
71,453 | Federal National Mortgage Association, 4.000%, 8/1/51 | 67,755 | ||||
1,161,000 | Federal National Mortgage Association, 4.000%, 9/1/51 | 1,108,810 | ||||
206,831 | Federal National Mortgage Association, 4.000%, 6/1/52 | 195,602 | ||||
36,772 | Federal National Mortgage Association, 4.000%, 7/1/56 | 34,880 | ||||
66,842 | Federal National Mortgage Association, 4.000%, 1/1/57 | 63,319 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
1,534,961 | Federal National Mortgage Association, 4.500%, 5/1/41 | $ 1,532,983 | ||||
30,513 | Federal National Mortgage Association, 4.500%, 3/1/43 | 30,473 | ||||
3,226,024 | Federal National Mortgage Association, 4.500%, 9/1/43 | 3,220,863 | ||||
2,198,000 | Federal National Mortgage Association, 4.500%, 1/1/44 | 2,195,172 | ||||
997,629 | Federal National Mortgage Association, 4.500%, 3/1/44 | 997,135 | ||||
7,098,000 | Federal National Mortgage Association, 4.500%, 6/1/44 | 7,088,876 | ||||
8,796,404 | Federal National Mortgage Association, 4.500%, 7/1/44 | 8,737,978 | ||||
223,711 | Federal National Mortgage Association, 4.500%, 1/1/47 | 222,041 | ||||
737,000 | Federal National Mortgage Association, 4.500%, 2/1/47 | 731,494 | ||||
1,254,097 | Federal National Mortgage Association, 4.500%, 8/1/47 | 1,242,149 | ||||
793,996 | Federal National Mortgage Association, 5.000%, 6/1/35 | 806,813 | ||||
258,893 | Federal National Mortgage Association, 5.000%, 7/1/35 | 263,075 | ||||
607,593 | Federal National Mortgage Association, 5.000%, 7/1/35 | 617,403 | ||||
235,358 | Federal National Mortgage Association, 5.000%, 8/1/35 | 239,156 | ||||
295,147 | Federal National Mortgage Association, 5.000%, 1/1/39 | 298,618 | ||||
2,000,000 | Federal National Mortgage Association, 5.000%, 1/1/39 (TBA) | 2,011,875 | ||||
85,893 | Federal National Mortgage Association, 5.000%, 7/1/41 | 87,282 | ||||
2,032,205 | Federal National Mortgage Association, 5.000%, 9/1/43 | 2,061,198 | ||||
8,117,000 | Federal National Mortgage Association, 5.000%, 12/1/44 | 8,248,730 | ||||
2,090,735 | Federal National Mortgage Association, 5.000%, 10/1/50 | 2,094,980 | ||||
1,794,177 | Federal National Mortgage Association, 5.000%, 6/1/52 | 1,803,378 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
4,713,812 | Federal National Mortgage Association, 5.000%, 8/1/52 | $ 4,667,712 | ||||
265,290 | Federal National Mortgage Association, 5.000%, 2/1/53 | 262,795 | ||||
436,813 | Federal National Mortgage Association, 5.000%, 2/1/53 | 432,537 | ||||
562,108 | Federal National Mortgage Association, 5.000%, 2/1/53 | 556,822 | ||||
1,059,766 | Federal National Mortgage Association, 5.000%, 3/1/53 | 1,050,028 | ||||
249,328 | Federal National Mortgage Association, 5.000%, 3/1/53 | 247,154 | ||||
1,047,018 | Federal National Mortgage Association, 5.000%, 4/1/53 | 1,036,425 | ||||
106,446 | Federal National Mortgage Association, 5.000%, 4/1/53 | 105,767 | ||||
160,552 | Federal National Mortgage Association, 5.000%, 4/1/53 | 158,876 | ||||
800,527 | Federal National Mortgage Association, 5.000%, 4/1/53 | 792,366 | ||||
4,662 | Federal National Mortgage Association, 5.500%, 5/1/33 | 4,801 | ||||
3,081 | Federal National Mortgage Association, 5.500%, 6/1/33 | 3,173 | ||||
11,114 | Federal National Mortgage Association, 5.500%, 7/1/33 | 11,444 | ||||
23,555 | Federal National Mortgage Association, 5.500%, 4/1/34 | 24,256 | ||||
3,758 | Federal National Mortgage Association, 5.500%, 10/1/35 | 3,851 | ||||
45,758 | Federal National Mortgage Association, 5.500%, 12/1/35 | 46,651 | ||||
19,929 | Federal National Mortgage Association, 5.500%, 3/1/36 | 20,524 | ||||
9,000,000 | Federal National Mortgage Association, 5.500%, 1/1/39 (TBA) | 9,127,617 | ||||
480,505 | Federal National Mortgage Association, 5.500%, 5/1/49 | 489,081 | ||||
1,667,548 | Federal National Mortgage Association, 5.500%, 4/1/50 | 1,698,916 | ||||
3,841,653 | Federal National Mortgage Association, 5.500%, 4/1/50 | 3,913,918 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
448,976 | Federal National Mortgage Association, 5.500%, 11/1/52 | $ 452,083 | ||||
1,846,957 | Federal National Mortgage Association, 5.500%, 1/1/53 | 1,869,296 | ||||
2,356,550 | Federal National Mortgage Association, 5.500%, 1/1/53 | 2,398,074 | ||||
1,658,806 | Federal National Mortgage Association, 5.500%, 2/1/53 | 1,668,543 | ||||
546,616 | Federal National Mortgage Association, 5.500%, 2/1/53 | 553,061 | ||||
1,180,647 | Federal National Mortgage Association, 5.500%, 4/1/53 | 1,188,537 | ||||
1,137,263 | Federal National Mortgage Association, 5.500%, 4/1/53 | 1,143,442 | ||||
207,132 | Federal National Mortgage Association, 5.500%, 4/1/53 | 210,232 | ||||
589,220 | Federal National Mortgage Association, 5.500%, 4/1/53 | 592,462 | ||||
473,993 | Federal National Mortgage Association, 5.500%, 4/1/53 | 478,486 | ||||
279,570 | Federal National Mortgage Association, 5.500%, 4/1/53 | 281,969 | ||||
1,641,000 | Federal National Mortgage Association, 5.500%, 7/1/53 | 1,666,377 | ||||
12,736,333 | Federal National Mortgage Association, 5.500%, 9/1/53 | 12,787,825 | ||||
2,530,676 | Federal National Mortgage Association, 5.500%, 9/1/53 | 2,542,666 | ||||
330 | Federal National Mortgage Association, 6.000%, 3/1/32 | 341 | ||||
579 | Federal National Mortgage Association, 6.000%, 10/1/32 | 600 | ||||
2,563 | Federal National Mortgage Association, 6.000%, 11/1/32 | 2,641 | ||||
7,287 | Federal National Mortgage Association, 6.000%, 12/1/32 | 7,482 | ||||
2,598 | Federal National Mortgage Association, 6.000%, 1/1/33 | 2,693 | ||||
1,347 | Federal National Mortgage Association, 6.000%, 3/1/33 | 1,399 | ||||
8,895 | Federal National Mortgage Association, 6.000%, 5/1/33 | 9,220 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
21,544 | Federal National Mortgage Association, 6.000%, 12/1/33 | $ 22,459 | ||||
16,812 | Federal National Mortgage Association, 6.000%, 1/1/34 | 17,485 | ||||
97,369 | Federal National Mortgage Association, 6.000%, 6/1/37 | 101,618 | ||||
35,039 | Federal National Mortgage Association, 6.000%, 12/1/37 | 36,596 | ||||
58,510 | Federal National Mortgage Association, 6.000%, 4/1/38 | 61,089 | ||||
13,611 | Federal National Mortgage Association, 6.000%, 7/1/38 | 13,984 | ||||
1,682,310 | Federal National Mortgage Association, 6.000%, 1/1/53 | 1,743,640 | ||||
523,741 | Federal National Mortgage Association, 6.000%, 1/1/53 | 538,751 | ||||
517,915 | Federal National Mortgage Association, 6.000%, 2/1/53 | 526,620 | ||||
188,881 | Federal National Mortgage Association, 6.000%, 2/1/53 | 196,018 | ||||
144,470 | Federal National Mortgage Association, 6.000%, 3/1/53 | 147,463 | ||||
186,978 | Federal National Mortgage Association, 6.000%, 3/1/53 | 191,202 | ||||
347,367 | Federal National Mortgage Association, 6.000%, 4/1/53 | 353,041 | ||||
626,000 | Federal National Mortgage Association, 6.000%, 4/1/53 | 636,946 | ||||
3,287,951 | Federal National Mortgage Association, 6.000%, 5/1/53 | 3,401,855 | ||||
1,812,551 | Federal National Mortgage Association, 6.000%, 5/1/53 | 1,868,885 | ||||
196,086 | Federal National Mortgage Association, 6.000%, 6/1/53 | 201,788 | ||||
198,980 | Federal National Mortgage Association, 6.000%, 6/1/53 | 203,103 | ||||
198,983 | Federal National Mortgage Association, 6.000%, 6/1/53 | 202,112 | ||||
198,983 | Federal National Mortgage Association, 6.000%, 6/1/53 | 202,327 | ||||
237,336 | Federal National Mortgage Association, 6.000%, 6/1/53 | 241,593 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
337,319 | Federal National Mortgage Association, 6.000%, 6/1/53 | $ 347,933 | ||||
296,690 | Federal National Mortgage Association, 6.000%, 6/1/53 | 303,466 | ||||
2,509,000 | Federal National Mortgage Association, 6.000%, 8/1/53 | 2,575,642 | ||||
9,798,590 | Federal National Mortgage Association, 6.000%, 9/1/53 | 9,949,133 | ||||
247 | Federal National Mortgage Association, 6.500%, 5/1/31 | 256 | ||||
89 | Federal National Mortgage Association, 6.500%, 6/1/31 | 92 | ||||
198 | Federal National Mortgage Association, 6.500%, 2/1/32 | 208 | ||||
1,426 | Federal National Mortgage Association, 6.500%, 3/1/32 | 1,486 | ||||
556 | Federal National Mortgage Association, 6.500%, 8/1/32 | 574 | ||||
144,968 | Federal National Mortgage Association, 6.500%, 2/1/53 | 150,088 | ||||
1,294,993 | Federal National Mortgage Association, 6.500%, 3/1/53 | 1,345,372 | ||||
262,971 | Federal National Mortgage Association, 6.500%, 3/1/53 | 273,708 | ||||
883,174 | Federal National Mortgage Association, 6.500%, 3/1/53 | 914,806 | ||||
207,484 | Federal National Mortgage Association, 6.500%, 4/1/53 | 214,700 | ||||
195,268 | Federal National Mortgage Association, 6.500%, 4/1/53 | 204,252 | ||||
220,229 | Federal National Mortgage Association, 6.500%, 4/1/53 | 227,025 | ||||
1,000,000 | Federal National Mortgage Association, 6.500%, 1/1/54 (TBA) | 1,024,727 | ||||
139 | Federal National Mortgage Association, 7.000%, 5/1/28 | 143 | ||||
81 | Federal National Mortgage Association, 7.000%, 2/1/29 | 84 | ||||
220 | Federal National Mortgage Association, 7.000%, 7/1/31 | 227 | ||||
63 | Federal National Mortgage Association, 7.500%, 1/1/28 | 62 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
2,000,000 | Government National Mortgage Association, 5.500%, 1/20/54 (TBA) | $ 2,014,380 | ||||
5,000,000 | Government National Mortgage Association, 6.000%, 1/20/54 (TBA) | 5,083,789 | ||||
3,000,000 | Government National Mortgage Association, 6.500%, 1/20/54 (TBA) | 3,070,898 | ||||
404,518 | Government National Mortgage Association I, 3.500%, 10/15/42 | 382,168 | ||||
1,554 | Government National Mortgage Association I, 4.000%, 3/15/39 | 1,519 | ||||
2,758 | Government National Mortgage Association I, 4.000%, 4/15/39 | 2,667 | ||||
2,466 | Government National Mortgage Association I, 4.000%, 4/15/39 | 2,403 | ||||
4,009 | Government National Mortgage Association I, 4.000%, 7/15/39 | 3,873 | ||||
3,390 | Government National Mortgage Association I, 4.000%, 1/15/40 | 3,291 | ||||
58,478 | Government National Mortgage Association I, 4.000%, 4/15/40 | 56,759 | ||||
94,674 | Government National Mortgage Association I, 4.000%, 7/15/40 | 91,424 | ||||
60,835 | Government National Mortgage Association I, 4.000%, 8/15/40 | 59,060 | ||||
35,539 | Government National Mortgage Association I, 4.000%, 8/15/40 | 34,704 | ||||
17,022 | Government National Mortgage Association I, 4.000%, 9/15/40 | 16,522 | ||||
20,111 | Government National Mortgage Association I, 4.000%, 10/15/40 | 19,631 | ||||
4,932 | Government National Mortgage Association I, 4.000%, 10/15/40 | 4,792 | ||||
2,929 | Government National Mortgage Association I, 4.000%, 10/15/40 | 2,857 | ||||
2,134 | Government National Mortgage Association I, 4.000%, 11/15/40 | 2,082 | ||||
18,922 | Government National Mortgage Association I, 4.000%, 11/15/40 | 18,564 | ||||
54,543 | Government National Mortgage Association I, 4.000%, 11/15/40 | 52,958 | ||||
61,557 | Government National Mortgage Association I, 4.000%, 11/15/40 | 60,126 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
356,537 | Government National Mortgage Association I, 4.000%, 12/15/40 | $ 346,059 | ||||
2,612 | Government National Mortgage Association I, 4.000%, 12/15/40 | 2,535 | ||||
2,700 | Government National Mortgage Association I, 4.000%, 12/15/40 | 2,621 | ||||
769 | Government National Mortgage Association I, 4.000%, 1/15/41 | 746 | ||||
12,064 | Government National Mortgage Association I, 4.000%, 1/15/41 | 11,769 | ||||
9,575 | Government National Mortgage Association I, 4.000%, 1/15/41 | 9,297 | ||||
4,881 | Government National Mortgage Association I, 4.000%, 2/15/41 | 4,738 | ||||
231,358 | Government National Mortgage Association I, 4.000%, 2/15/41 | 224,556 | ||||
22,817 | Government National Mortgage Association I, 4.000%, 3/15/41 | 22,259 | ||||
4,956 | Government National Mortgage Association I, 4.000%, 4/15/41 | 4,836 | ||||
11,723 | Government National Mortgage Association I, 4.000%, 5/15/41 | 11,344 | ||||
4,490 | Government National Mortgage Association I, 4.000%, 5/15/41 | 4,336 | ||||
1,086 | Government National Mortgage Association I, 4.000%, 6/15/41 | 1,055 | ||||
727 | Government National Mortgage Association I, 4.000%, 6/15/41 | 709 | ||||
559,136 | Government National Mortgage Association I, 4.000%, 6/15/41 | 539,934 | ||||
12,742 | Government National Mortgage Association I, 4.000%, 7/15/41 | 12,431 | ||||
2,625 | Government National Mortgage Association I, 4.000%, 7/15/41 | 2,561 | ||||
89,820 | Government National Mortgage Association I, 4.000%, 7/15/41 | 87,622 | ||||
48,452 | Government National Mortgage Association I, 4.000%, 7/15/41 | 47,028 | ||||
26,313 | Government National Mortgage Association I, 4.000%, 7/15/41 | 25,548 | ||||
3,377 | Government National Mortgage Association I, 4.000%, 8/15/41 | 3,261 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
35,749 | Government National Mortgage Association I, 4.000%, 8/15/41 | $ 34,697 | ||||
2,421 | Government National Mortgage Association I, 4.000%, 8/15/41 | 2,338 | ||||
24,723 | Government National Mortgage Association I, 4.000%, 9/15/41 | 23,996 | ||||
4,456 | Government National Mortgage Association I, 4.000%, 9/15/41 | 4,347 | ||||
10,789 | Government National Mortgage Association I, 4.000%, 9/15/41 | 10,440 | ||||
5,544 | Government National Mortgage Association I, 4.000%, 9/15/41 | 5,408 | ||||
27 | Government National Mortgage Association I, 4.000%, 9/15/41 | 28 | ||||
175,397 | Government National Mortgage Association I, 4.000%, 9/15/41 | 170,240 | ||||
97,411 | Government National Mortgage Association I, 4.000%, 9/15/41 | 94,236 | ||||
2,392 | Government National Mortgage Association I, 4.000%, 9/15/41 | 2,335 | ||||
2,301 | Government National Mortgage Association I, 4.000%, 10/15/41 | 2,245 | ||||
1,736 | Government National Mortgage Association I, 4.000%, 10/15/41 | 1,685 | ||||
5,551 | Government National Mortgage Association I, 4.000%, 10/15/41 | 5,388 | ||||
5,294 | Government National Mortgage Association I, 4.000%, 10/15/41 | 5,134 | ||||
3,366 | Government National Mortgage Association I, 4.000%, 10/15/41 | 3,267 | ||||
3,889 | Government National Mortgage Association I, 4.000%, 11/15/41 | 3,794 | ||||
81,453 | Government National Mortgage Association I, 4.000%, 11/15/41 | 79,058 | ||||
5,533 | Government National Mortgage Association I, 4.000%, 11/15/41 | 5,370 | ||||
11,481 | Government National Mortgage Association I, 4.000%, 12/15/41 | 11,030 | ||||
4,235 | Government National Mortgage Association I, 4.000%, 12/15/41 | 4,132 | ||||
5,320 | Government National Mortgage Association I, 4.000%, 12/15/41 | 5,163 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
410,721 | Government National Mortgage Association I, 4.000%, 1/15/42 | $ 400,667 | ||||
1,730 | Government National Mortgage Association I, 4.000%, 2/15/42 | 1,687 | ||||
70,454 | Government National Mortgage Association I, 4.000%, 2/15/42 | 68,382 | ||||
25,440 | Government National Mortgage Association I, 4.000%, 2/15/42 | 24,617 | ||||
980 | Government National Mortgage Association I, 4.000%, 2/15/42 | 947 | ||||
4,675 | Government National Mortgage Association I, 4.000%, 2/15/42 | 4,561 | ||||
737,919 | Government National Mortgage Association I, 4.000%, 5/15/42 | 716,212 | ||||
35,920 | Government National Mortgage Association I, 4.000%, 6/15/42 | 35,041 | ||||
28,356 | Government National Mortgage Association I, 4.000%, 6/15/42 | 27,522 | ||||
21,599 | Government National Mortgage Association I, 4.000%, 6/15/42 | 21,070 | ||||
4,132 | Government National Mortgage Association I, 4.000%, 10/15/42 | 4,031 | ||||
232,958 | Government National Mortgage Association I, 4.000%, 4/15/43 | 227,255 | ||||
104,438 | Government National Mortgage Association I, 4.000%, 5/15/43 | 101,906 | ||||
1,344 | Government National Mortgage Association I, 4.000%, 5/15/43 | 1,298 | ||||
135,414 | Government National Mortgage Association I, 4.000%, 8/15/43 | 131,431 | ||||
59,148 | Government National Mortgage Association I, 4.000%, 9/15/43 | 57,525 | ||||
3,072 | Government National Mortgage Association I, 4.000%, 9/15/43 | 2,981 | ||||
42,339 | Government National Mortgage Association I, 4.000%, 2/15/44 | 41,303 | ||||
25,364 | Government National Mortgage Association I, 4.000%, 3/15/44 | 24,756 | ||||
617,274 | Government National Mortgage Association I, 4.000%, 3/15/44 | 599,113 | ||||
939,816 | Government National Mortgage Association I, 4.000%, 3/15/44 | 912,164 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
32,326 | Government National Mortgage Association I, 4.000%, 3/15/44 | $ 31,495 | ||||
16,840 | Government National Mortgage Association I, 4.000%, 3/15/44 | 16,303 | ||||
177,181 | Government National Mortgage Association I, 4.000%, 3/15/44 | 175,030 | ||||
256,489 | Government National Mortgage Association I, 4.000%, 4/15/44 | 247,780 | ||||
181,562 | Government National Mortgage Association I, 4.000%, 4/15/44 | 175,285 | ||||
2,273 | Government National Mortgage Association I, 4.000%, 4/15/44 | 2,202 | ||||
34,716 | Government National Mortgage Association I, 4.000%, 4/15/44 | 33,752 | ||||
68,898 | Government National Mortgage Association I, 4.000%, 5/15/44 | 66,530 | ||||
304,434 | Government National Mortgage Association I, 4.000%, 8/15/44 | 293,846 | ||||
13,604 | Government National Mortgage Association I, 4.000%, 8/15/44 | 13,006 | ||||
319,919 | Government National Mortgage Association I, 4.000%, 8/15/44 | 310,506 | ||||
78,615 | Government National Mortgage Association I, 4.000%, 8/15/44 | 75,784 | ||||
15,404 | Government National Mortgage Association I, 4.000%, 8/15/44 | 14,893 | ||||
922,097 | Government National Mortgage Association I, 4.000%, 9/15/44 | 894,134 | ||||
66,308 | Government National Mortgage Association I, 4.000%, 9/15/44 | 64,234 | ||||
203,294 | Government National Mortgage Association I, 4.000%, 9/15/44 | 197,718 | ||||
2,422 | Government National Mortgage Association I, 4.000%, 9/15/44 | 2,349 | ||||
54,961 | Government National Mortgage Association I, 4.000%, 9/15/44 | 53,440 | ||||
112,289 | Government National Mortgage Association I, 4.000%, 9/15/44 | 109,540 | ||||
495,437 | Government National Mortgage Association I, 4.000%, 9/15/44 | 479,633 | ||||
57,605 | Government National Mortgage Association I, 4.000%, 9/15/44 | 55,054 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
32,446 | Government National Mortgage Association I, 4.000%, 9/15/44 | $ 31,556 | ||||
67,223 | Government National Mortgage Association I, 4.000%, 9/15/44 | 65,100 | ||||
582,853 | Government National Mortgage Association I, 4.000%, 9/15/44 | 568,583 | ||||
1,340,891 | Government National Mortgage Association I, 4.000%, 9/15/44 | 1,291,494 | ||||
28,791 | Government National Mortgage Association I, 4.000%, 10/15/44 | 27,899 | ||||
8,345 | Government National Mortgage Association I, 4.000%, 11/15/44 | 8,106 | ||||
6,277 | Government National Mortgage Association I, 4.000%, 11/15/44 | 6,052 | ||||
31,687 | Government National Mortgage Association I, 4.000%, 11/15/44 | 30,695 | ||||
4,111 | Government National Mortgage Association I, 4.000%, 11/15/44 | 3,958 | ||||
139,424 | Government National Mortgage Association I, 4.000%, 12/15/44 | 135,595 | ||||
42,464 | Government National Mortgage Association I, 4.000%, 12/15/44 | 41,075 | ||||
19,109 | Government National Mortgage Association I, 4.000%, 12/15/44 | 18,641 | ||||
3,646 | Government National Mortgage Association I, 4.000%, 12/15/44 | 3,510 | ||||
58,519 | Government National Mortgage Association I, 4.000%, 12/15/44 | 56,460 | ||||
170,859 | Government National Mortgage Association I, 4.000%, 1/15/45 | 164,529 | ||||
326,560 | Government National Mortgage Association I, 4.000%, 1/15/45 | 314,125 | ||||
57,056 | Government National Mortgage Association I, 4.000%, 1/15/45 | 54,884 | ||||
277,803 | Government National Mortgage Association I, 4.000%, 1/15/45 | 268,260 | ||||
28,322 | Government National Mortgage Association I, 4.000%, 2/15/45 | 27,406 | ||||
97,435 | Government National Mortgage Association I, 4.000%, 2/15/45 | 94,569 | ||||
63,672 | Government National Mortgage Association I, 4.000%, 2/15/45 | 61,641 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
41,567 | Government National Mortgage Association I, 4.000%, 2/15/45 | $ 40,096 | ||||
130,152 | Government National Mortgage Association I, 4.000%, 2/15/45 | 125,168 | ||||
67,576 | Government National Mortgage Association I, 4.000%, 4/15/45 | 65,420 | ||||
37,516 | Government National Mortgage Association I, 4.000%, 5/15/45 | 36,378 | ||||
15,375 | Government National Mortgage Association I, 4.000%, 7/15/45 | 14,783 | ||||
54,859 | Government National Mortgage Association I, 4.000%, 9/15/45 | 52,906 | ||||
34,757 | Government National Mortgage Association I, 4.500%, 9/15/33 | 34,425 | ||||
46,792 | Government National Mortgage Association I, 4.500%, 10/15/33 | 46,185 | ||||
19,642 | Government National Mortgage Association I, 4.500%, 4/15/35 | 19,387 | ||||
432,514 | Government National Mortgage Association I, 4.500%, 3/15/38 | 430,954 | ||||
153,838 | Government National Mortgage Association I, 4.500%, 1/15/40 | 153,324 | ||||
244,728 | Government National Mortgage Association I, 4.500%, 6/15/40 | 243,024 | ||||
79,525 | Government National Mortgage Association I, 4.500%, 9/15/40 | 79,206 | ||||
406,932 | Government National Mortgage Association I, 4.500%, 11/15/40 | 404,285 | ||||
553,992 | Government National Mortgage Association I, 4.500%, 6/15/41 | 552,785 | ||||
103,791 | Government National Mortgage Association I, 4.500%, 6/15/41 | 103,053 | ||||
152,456 | Government National Mortgage Association I, 4.500%, 7/15/41 | 150,949 | ||||
232,412 | Government National Mortgage Association I, 4.500%, 8/15/41 | 229,186 | ||||
131,798 | Government National Mortgage Association I, 5.000%, 9/15/33 | 132,645 | ||||
47,775 | Government National Mortgage Association I, 5.125%, 10/15/38 | 48,267 | ||||
26,969 | Government National Mortgage Association I, 5.500%, 7/15/33 | 27,234 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
43,150 | Government National Mortgage Association I, 5.500%, 1/15/34 | $ 43,615 | ||||
34,306 | Government National Mortgage Association I, 5.500%, 4/15/34 | 34,677 | ||||
58,513 | Government National Mortgage Association I, 5.500%, 7/15/34 | 59,146 | ||||
64,959 | Government National Mortgage Association I, 5.500%, 10/15/34 | 65,470 | ||||
42,295 | Government National Mortgage Association I, 5.500%, 1/15/35 | 42,669 | ||||
72,148 | Government National Mortgage Association I, 5.500%, 2/15/35 | 72,928 | ||||
70,439 | Government National Mortgage Association I, 5.500%, 2/15/35 | 71,202 | ||||
11,793 | Government National Mortgage Association I, 5.500%, 6/15/35 | 11,921 | ||||
13,867 | Government National Mortgage Association I, 5.500%, 12/15/35 | 14,017 | ||||
3 | Government National Mortgage Association I, 5.500%, 2/15/37 | 3 | ||||
8,398 | Government National Mortgage Association I, 5.500%, 3/15/37 | 8,431 | ||||
39,932 | Government National Mortgage Association I, 5.500%, 3/15/37 | 40,364 | ||||
122,315 | Government National Mortgage Association I, 5.750%, 10/15/38 | 125,242 | ||||
16,170 | Government National Mortgage Association I, 5.750%, 10/15/38 | 16,681 | ||||
29,986 | Government National Mortgage Association I, 6.000%, 8/15/32 | 30,734 | ||||
26,014 | Government National Mortgage Association I, 6.000%, 1/15/33 | 26,837 | ||||
23,233 | Government National Mortgage Association I, 6.000%, 2/15/33 | 23,969 | ||||
39,761 | Government National Mortgage Association I, 6.000%, 2/15/33 | 40,822 | ||||
1,780 | Government National Mortgage Association I, 6.000%, 3/15/33 | 1,809 | ||||
10,164 | Government National Mortgage Association I, 6.000%, 3/15/33 | 10,352 | ||||
27,222 | Government National Mortgage Association I, 6.000%, 3/15/33 | 27,641 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
5,704 | Government National Mortgage Association I, 6.000%, 5/15/33 | $ 5,833 | ||||
32,913 | Government National Mortgage Association I, 6.000%, 5/15/33 | 33,517 | ||||
39,851 | Government National Mortgage Association I, 6.000%, 5/15/33 | 40,996 | ||||
23,043 | Government National Mortgage Association I, 6.000%, 6/15/33 | 23,550 | ||||
45,797 | Government National Mortgage Association I, 6.000%, 6/15/33 | 47,317 | ||||
52,391 | Government National Mortgage Association I, 6.000%, 7/15/33 | 53,907 | ||||
20,585 | Government National Mortgage Association I, 6.000%, 7/15/33 | 21,124 | ||||
13,944 | Government National Mortgage Association I, 6.000%, 9/15/33 | 14,187 | ||||
55,944 | Government National Mortgage Association I, 6.000%, 11/15/33 | 57,604 | ||||
12,587 | Government National Mortgage Association I, 6.000%, 1/15/34 | 12,861 | ||||
106,645 | Government National Mortgage Association I, 6.000%, 10/15/37 | 108,936 | ||||
127,174 | Government National Mortgage Association I, 6.000%, 7/15/38 | 131,670 | ||||
2,768 | Government National Mortgage Association I, 6.500%, 1/15/29 | 2,820 | ||||
312 | Government National Mortgage Association I, 6.500%, 5/15/29 | 316 | ||||
878 | Government National Mortgage Association I, 6.500%, 10/15/31 | 908 | ||||
79 | Government National Mortgage Association I, 6.500%, 12/15/31 | 81 | ||||
599 | Government National Mortgage Association I, 6.500%, 2/15/32 | 624 | ||||
315 | Government National Mortgage Association I, 6.500%, 3/15/32 | 323 | ||||
2,451 | Government National Mortgage Association I, 6.500%, 5/15/32 | 2,615 | ||||
1,799 | Government National Mortgage Association I, 6.500%, 6/15/32 | 1,852 | ||||
2,204 | Government National Mortgage Association I, 6.500%, 7/15/32 | 2,280 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
1,133 | Government National Mortgage Association I, 6.500%, 7/15/32 | $ 1,171 | ||||
808 | Government National Mortgage Association I, 6.500%, 8/15/32 | 829 | ||||
10,209 | Government National Mortgage Association I, 6.500%, 8/15/32 | 10,490 | ||||
625 | Government National Mortgage Association I, 6.500%, 8/15/32 | 639 | ||||
13,795 | Government National Mortgage Association I, 6.500%, 9/15/32 | 14,259 | ||||
22,718 | Government National Mortgage Association I, 6.500%, 9/15/32 | 23,507 | ||||
7,195 | Government National Mortgage Association I, 6.500%, 10/15/32 | 7,422 | ||||
13,507 | Government National Mortgage Association I, 6.500%, 11/15/32 | 13,749 | ||||
17,209 | Government National Mortgage Association I, 6.500%, 7/15/35 | 17,788 | ||||
159 | Government National Mortgage Association I, 7.000%, 5/15/29 | 162 | ||||
65 | Government National Mortgage Association I, 7.000%, 5/15/29 | 65 | ||||
148 | Government National Mortgage Association I, 7.000%, 5/15/31 | 149 | ||||
518,396 | Government National Mortgage Association II, 3.500%, 4/20/45 | 487,528 | ||||
883,056 | Government National Mortgage Association II, 3.500%, 4/20/45 | 831,710 | ||||
384,465 | Government National Mortgage Association II, 3.500%, 4/20/45 | 361,313 | ||||
924,886 | Government National Mortgage Association II, 3.500%, 3/20/46 | 873,667 | ||||
1,963,660 | Government National Mortgage Association II, 4.000%, 10/20/46 | 1,900,398 | ||||
865,526 | Government National Mortgage Association II, 4.000%, 2/20/48 | 830,379 | ||||
1,102,596 | Government National Mortgage Association II, 4.000%, 4/20/48 | 1,057,526 | ||||
131,201 | Government National Mortgage Association II, 4.500%, 12/20/34 | 131,387 | ||||
129,402 | Government National Mortgage Association II, 4.500%, 1/20/35 | 129,581 |
Principal Amount USD ($) | Value | |||||
U.S. Government and Agency Obligations — (continued) | ||||||
105,365 | Government National Mortgage Association II, 4.500%, 3/20/35 | $ 105,514 | ||||
1,018,080 | Government National Mortgage Association II, 4.500%, 9/20/41 | 1,018,285 | ||||
1,447,253 | Government National Mortgage Association II, 4.500%, 9/20/44 | 1,448,944 | ||||
634,230 | Government National Mortgage Association II, 4.500%, 10/20/44 | 635,142 | ||||
1,232,533 | Government National Mortgage Association II, 4.500%, 11/20/44 | 1,234,303 | ||||
474,548 | Government National Mortgage Association II, 5.000%, 12/20/52 | 471,530 | ||||
32,527 | Government National Mortgage Association II, 5.500%, 3/20/34 | 33,869 | ||||
861 | Government National Mortgage Association II, 5.500%, 10/20/37 | 884 | ||||
2,825,719 | Government National Mortgage Association II, 5.500%, 12/20/52 | 2,848,070 | ||||
12,802 | Government National Mortgage Association II, 6.000%, 5/20/32 | 13,370 | ||||
47,928 | Government National Mortgage Association II, 6.000%, 10/20/33 | 50,610 | ||||
43 | Government National Mortgage Association II, 6.500%, 1/20/28 | 44 | ||||
902 | Government National Mortgage Association II, 7.000%, 1/20/29 | 927 | ||||
60,000,000(f) | U.S. Treasury Bills, 1/2/24 | 60,000,000 | ||||
50,000,000(f) | U.S. Treasury Bills, 1/16/24 | 49,897,771 | ||||
64,206,200 | U.S. Treasury Bonds, 2.250%, 2/15/52 | 44,507,938 | ||||
27,339,600 | U.S. Treasury Bonds, 4.375%, 8/15/43 | 27,907,751 | ||||
30,771,739 | U.S. Treasury Inflation Indexed Bonds, 1.500%, 2/15/53 | 27,864,025 | ||||
174,769,100 | U.S. Treasury Notes, 4.625%, 9/30/30 | 182,183,134 | ||||
Total U.S. Government and Agency Obligations (Cost $1,094,507,872) | $1,099,579,171 | |||||
Principal Amount USD ($) | Value | |||||
SHORT TERM INVESTMENTS — 2.3% of Net Assets | ||||||
Repurchase Agreements — 0.9% | ||||||
30,000,000 | Bank of America, 5.34%, dated 12/29/23, to be purchased on 1/2/24 for $30,017,800, collateralized by the following: $3,372,323 Federal National Mortgage Association, 3.29%, 9/1/32, $27,227,677 Government National Mortgage Association, 2.5%-7.0%, 10/15/32-3/20/72 | $ 30,000,000 | ||||
$30,000,000 | ||||||
Shares | ||||||
Open-End Fund — 1.4% | ||||||
45,770,590(l) | Dreyfus Government Cash Management, Institutional Shares, 5.25% | $ 45,770,590 | ||||
$45,770,590 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost $75,770,590) | $75,770,590 | |||||
Number of Contracts | Description | Counterparty | Amount | Strike Price | Expiration Date | |
Over The Counter (OTC) Currency Put Options Purchased — 0.0%† | ||||||
84,500,000 | Put USD/Call JPY | Goldman Sachs & Co. | USD 3,211,592 | USD 125.00 | 1/5/24 | $— |
84,500,000 | Put USD/Call JPY | Goldman Sachs & Co. | USD 2,758,080 | USD 141.00 | 1/5/24 | 465,239 |
Total Over The Counter (OTC) Currency Put Options Purchased (Premiums paid $ 5,969,672) | $465,239 | |||||
TOTAL OPTIONS PURCHASED (Premiums paid $ 5,969,672) | $465,239 | |||||
TOTAL INVESTMENTS IN UNAFFILIATED ISSUERS — 104.4% (Cost $3,656,401,512) | $3,409,489,216 |
Principal Amount USD ($) | Value | |||||
TBA SALES COMMITMENTS — (2.3)% of Net Assets | ||||||
U.S. Government and Agency Obligations — (2.3)% | ||||||
(75,000,000) | Federal National Mortgage Association, 5.500%, 1/1/54 (TBA) | $ (75,316,406) | ||||
TOTAL TBA SALES COMMITMENTS (Proceeds $75,093,750) | $(75,316,406) | |||||
OTHER ASSETS AND LIABILITIES — (2.1)% | $(67,600,006) | |||||
net assets — 100.0% | $3,266,572,804 | |||||
(TBA) | “To Be Announced” Securities. |
bps | Basis Points. |
CMT | Constant Maturity Treasury Index. |
FREMF | Freddie Mac Multifamily Fixed-Rate Mortgage Loans. |
FRESB | Freddie Mac Multifamily Small Balance Certificates. |
LIBOR | London Interbank Offered Rate. |
REMICs | Real Estate Mortgage Investment Conduits. |
SOFR | Secured Overnight Financing Rate. |
SOFR30A | Secured Overnight Financing Rate 30 Day Average. |
(144A) | The resale of such security is exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold normally to qualified institutional buyers. At December 31, 2023, the value of these securities amounted to $1,648,222,277, or 50.5% of net assets. |
(a) | Floating rate note. Coupon rate, reference index and spread shown at December 31, 2023. |
(b) | Non-income producing security. |
(c) | The interest rate is subject to change periodically. The interest rate and/or reference index and spread shown at December 31, 2023. |
(d) | Debt obligation initially issued at one coupon which converts to a higher coupon at a specific date. The rate shown is the rate at December 31, 2023. |
(e) | Security represents the interest-only portion payments on a pool of underlying mortgages or mortgage-backed securities. |
(f) | Security issued with a zero coupon. Income is recognized through accretion of discount. |
(g) | Payment-in-kind (PIK) security which may pay interest in the form of additional principal amount. |
(h) | Security is perpetual in nature and has no stated maturity date. |
(i) | Security is in default. |
(j) | Issued as participation notes. |
(k) | Issued as preference shares. |
(l) | Rate periodically changes. Rate disclosed is the 7-day yield at December 31, 2023. |
* | Senior secured floating rate loan interests in which the Fund invests generally pay interest at rates that are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR or SOFR, (ii) the prime rate offered by one or more major United States banks, (iii) the rate of a certificate of deposit or (iv) other base lending rates used by commercial lenders. The interest rate shown is the rate accruing at December 31, 2023. |
+ | Security is valued using significant unobservable inputs (Level 3). |
† | Amount rounds to less than 0.1%. |
# | Securities are restricted as to resale. |
Restricted Securities | Acquisition date | Cost | Value |
2001 Cat Re | 11/14/2023 | $500,000 | $501,250 |
Adare Re 2022-2 | 10/20/2022 | 1,613,807 | 1,812,375 |
Alamo Re | 4/12/2023 | 1,005,712 | 1,019,000 |
Alamo Re | 11/15/2023 | 1,767,902 | 1,771,000 |
Alturas Re 2020-3 | 7/1/2020 | — | — |
Alturas Re 2021-3 | 8/16/2021 | 28,584 | 12,321 |
Alturas Re 2022-2 | 1/18/2022 | 494,609 | 600,440 |
Aquila Re I | 5/10/2023 | 750,000 | 763,950 |
Atlas Capital | 5/17/2023 | 1,250,000 | 1,248,875 |
Ballybunion Re 2020 | 12/31/2019 | 411,732 | 677,844 |
Ballybunion Re 2021-3 | 8/2/2021 | 71,590 | 76,157 |
Ballybunion Re 2022 | 3/9/2022 | 2,408 | 28,550 |
Ballybunion Re 2022-2 | 8/9/2022 | 3,000,000 | 3,046,530 |
Ballybunion Re 2022-3 | 8/5/2022 | 3,500,000 | 3,621,129 |
Ballybunion Re 2023 | 3/20/2023 | 3,000,000 | 3,342,572 |
Bantry Re 2021 | 1/11/2021 | 64,034 | 47,184 |
Bantry Re 2023 | 1/12/2023 | 5,000,000 | 6,157,500 |
Berwick Re 2019-1 | 12/31/2018 | 1,188,696 | 1,193,754 |
Berwick Re 2020-1 | 9/24/2020 | — | 200 |
Berwick Re 2022 | 12/28/2021 | 62,578 | 67,478 |
Berwick Re 2023 | 2/1/2023 | 3,225,964 | 3,975,460 |
Blue Ridge Re | 11/14/2023 | 500,000 | 499,250 |
Blue Ridge Re | 11/14/2023 | 1,250,000 | 1,248,125 |
Bonanza Re | 12/15/2020 | 750,000 | 703,050 |
Bonanza Re | 3/11/2022 | 250,000 | 236,375 |
Bonanza Re | 1/6/2023 | 250,000 | 249,575 |
Cape Lookout Re | 4/14/2023 | 1,000,000 | 1,017,700 |
Cape Lookout Re | 10/27/2023 | 1,495,275 | 1,495,500 |
Carnoustie Re 2020 | 7/16/2020 | 44,162 | 201,824 |
Clarendon Re 2023 | 3/20/2023 | 916,657 | 1,058,500 |
Commonwealth Re | 6/15/2022 | 750,000 | 745,725 |
Easton Re Pte | 12/15/2020 | 900,000 | 897,300 |
Restricted Securities | Acquisition date | Cost | Value |
Eccleston Re 2023 | 7/13/2023 | $— | $557,149 |
Eden Re II | 12/23/2019 | 487,326 | 196,700 |
Eden Re II | 1/25/2021 | 279,105 | 80,681 |
Eden Re II | 1/21/2022 | 433,753 | 259,512 |
Eden Re II | 1/17/2023 | 3,000,000 | 3,567,000 |
Everglades Re II | 10/24/2023 | 1,296,035 | 1,295,450 |
Everglades Re II | 10/25/2023 | 2,317,588 | 2,327,325 |
Everglades Re II | 10/25/2023 | 2,011,767 | 2,023,000 |
Everglades Re II | 11/20/2023 | 249,446 | 249,125 |
FloodSmart Re | 2/16/2021 | 1,000,000 | 999,000 |
FloodSmart Re | 2/14/2022 | 1,500,000 | 1,459,050 |
Formby Re 2018 | 7/9/2018 | 5,438 | — |
Four Lakes Re | 11/5/2020 | 1,500,000 | 1,495,500 |
Four Lakes Re | 11/5/2020 | 1,500,000 | 1,495,500 |
Four Lakes Re | 12/15/2021 | 500,000 | 485,650 |
Four Lakes Re | 12/8/2023 | 250,000 | 249,875 |
Galileo Re | 12/4/2023 | 1,000,000 | 998,500 |
Galileo Re | 12/4/2023 | 500,000 | 499,250 |
Gamboge Re | 4/24/2023 | 4,014,656 | 4,981,800 |
Gateway Re | 2/3/2023 | 500,000 | 520,350 |
Gateway Re | 11/9/2023 | 999,099 | 996,500 |
Gateway Re II | 4/13/2023 | 250,000 | 252,300 |
Gleneagles Re 2021 | 1/13/2021 | 22,875 | 125 |
Gleneagles Re 2022 | 1/18/2022 | 555,119 | 594,125 |
Gullane Re 2018 | 3/26/2018 | — | 129,294 |
Gullane Re 2023 | 1/20/2023 | 5,318,293 | 6,694,301 |
Harambee Re 2018 | 12/19/2017 | 63,696 | — |
Harambee Re 2019 | 12/20/2018 | — | 7,500 |
Harambee Re 2020 | 2/27/2020 | — | 46,200 |
Herbie Re | 10/19/2020 | 500,000 | 492,400 |
High Point Re | 12/1/2023 | 2,500,000 | 2,498,750 |
Integrity Re | 5/9/2022 | 500,000 | 479,200 |
Integrity Re | 3/23/2023 | 1,250,000 | 1,297,500 |
International Bank for Reconstruction & Development | 2/28/2020 | 250,000 | 249,500 |
International Bank for Reconstruction & Development | 11/2/2023 | 252,618 | 249,500 |
Isosceles Re 2023 | 8/7/2023 | 234,356 | 249,750 |
Isosceles Re 2023 | 8/7/2023 | — | — |
Isosceles Re 2023 | 8/7/2023 | — | — |
Kilimanjaro III Re | 6/15/2022 | 1,000,000 | 1,001,000 |
Lightning Re | 3/20/2023 | 1,000,000 | 1,056,000 |
Limestone Re 2019-2B | 6/20/2018 | 1,675 | 250 |
Limestone Re 2020-1 | 12/15/2016 | — | — |
Limestone Re 2020-1 | 12/27/2019 | — | — |
Lion Rock Re 2020 | 3/27/2020 | — | — |
Lion Rock Re 2021 | 3/1/2021 | 165,491 | 55,900 |
Locke Tavern Re | 3/23/2023 | 1,000,000 | 1,008,600 |
Long Point Re IV | 5/13/2022 | 2,500,000 | 2,467,750 |
Restricted Securities | Acquisition date | Cost | Value |
Lorenz Re 2019 | 7/10/2019 | $417,107 | $24,434 |
Matterhorn Re | 12/15/2021 | 250,000 | 230,300 |
Matterhorn Re | 3/10/2022 | 1,750,000 | 1,706,250 |
Matterhorn Re | 3/10/2022 | 750,000 | 738,000 |
Merion Re 2018-2 | 12/28/2017 | — | 424,864 |
Merion Re 2021-2 | 12/28/2020 | 2,448,846 | 1,444,500 |
Merion Re 2022-2 | 3/1/2022 | 6,551,154 | 6,211,224 |
Merion Re 2023-1 | 1/11/2023 | 441,808 | 527,343 |
Mona Lisa Re | 12/30/2022 | 800,000 | 858,400 |
Mystic Re IV | 12/16/2022 | 2,900,000 | 2,990,190 |
Mystic Re IV | 12/12/2023 | 600,000 | 599,700 |
Northshore Re II | 12/2/2020 | 500,000 | 498,500 |
Northshore Re II | 6/22/2022 | 500,000 | 511,600 |
Oakmont Re 2020 | 12/3/2020 | — | — |
Oakmont Re 2022 | 5/9/2022 | 805,153 | 1,100,769 |
Old Head Re 2022 | 1/6/2022 | 188,288 | 125,000 |
Old Head Re 2023 | 1/11/2023 | 168,991 | 260,225 |
Pangaea Re 2023-1 | 1/23/2023 | 4,250,000 | 5,166,652 |
Pangaea Re 2023-3 | 7/5/2023 | 2,500,000 | 2,836,526 |
Phoenician Re | 12/1/2021 | 750,000 | 739,125 |
Phoenix 3 Re 2023-3 | 12/21/2020 | 896,560 | 1,123,800 |
Pine Valley Re 2023 | 1/24/2023 | 446,865 | — |
Porthcawl Re 2023 | 1/23/2023 | 197,811 | 261,350 |
Portrush Re 2017 | 6/12/2017 | 1,687,366 | 220 |
Portsalon Re 2022 | 7/15/2022 | 323,453 | 366,768 |
Queen Street 2023 Re | 5/12/2023 | 2,500,000 | 2,544,000 |
Residential Re | 10/30/2020 | 1,500,000 | 1,482,750 |
Residential Re | 10/30/2020 | 1,250,000 | 1,226,125 |
Residential Re | 11/22/2022 | 1,500,000 | 1,525,950 |
Residential Re | 11/7/2023 | 1,500,000 | 1,497,750 |
Residential Re | 11/7/2023 | 750,000 | 748,875 |
RosaPenna Re 2022 | 8/26/2022 | 1,365,175 | 1,456,832 |
Sanders Re II | 3/1/2022 | 2,250,000 | 2,149,425 |
Sanders Re III | 11/30/2022 | 750,000 | 763,425 |
Sanders Re III | 3/24/2023 | 250,000 | 244,700 |
Sector Re V | 4/23/2019 | 244,121 | 189,597 |
Sector Re V | 5/1/2019 | 3,608 | 88,944 |
Sector Re V | 12/4/2019 | 1,605 | 269,892 |
Sector Re V | 1/1/2020 | 3,184 | 280,682 |
Sector Re V | 1/5/2022 | — | 190,919 |
Sector Re V | 5/19/2022 | — | 201,690 |
Sector Re V | 5/19/2022 | — | 42,457 |
Sector Re V | 12/30/2022 | 2,698,893 | 3,476,174 |
Sector Re V | 12/4/2023 | 4,000,000 | 4,058,225 |
Sussex Re | 12/7/2020 | 750,000 | 738,150 |
Sussex Re 2020-1 | 1/21/2020 | — | 4,693 |
Sussex Re 2021-1 | 1/26/2021 | — | 700 |
Thopas Re 2019 | 12/21/2018 | — | 41,400 |
Thopas Re 2020 | 12/30/2019 | — | 800 |
Restricted Securities | Acquisition date | Cost | Value |
Thopas Re 2021 | 12/30/2020 | $— | $80,500 |
Thopas Re 2022 | 2/15/2022 | — | 24,300 |
Thopas Re 2023 | 2/15/2023 | 3,192,294 | 4,035,698 |
Torricelli Re 2021 | 7/2/2021 | — | 70,474 |
Torricelli Re 2022 | 7/26/2022 | — | 67,200 |
Torricelli Re 2023 | 7/26/2023 | 3,250,000 | 3,855,865 |
Ursa Re | 4/12/2023 | 500,000 | 500,350 |
Veraison Re | 12/14/2022 | 500,000 | 517,050 |
Viribus Re 2018 | 12/22/2017 | 26,397 | — |
Viribus Re 2019 | 12/27/2018 | — | 11,315 |
Viribus Re 2020 | 3/12/2020 | 421,904 | 137,434 |
Viribus Re 2022 | 4/18/2022 | — | 91,750 |
Viribus Re 2023 | 2/2/2023 | 1,500,000 | 2,073,750 |
Vitality Re XI | 1/31/2020 | 999,690 | 997,000 |
Vitality Re XII | 9/21/2023 | 246,345 | 246,100 |
Vitality Re XIII | 1/4/2023 | 1,925,016 | 1,965,000 |
Vitality Re XIV | 1/25/2023 | 4,012,423 | 3,998,000 |
Vitality Re XIV | 1/25/2023 | 400,000 | 399,640 |
Walton Health Re 2019 | 7/18/2019 | 8,486 | 75,504 |
Walton Health Re 2022 | 7/13/2022 | 7,000 | 291,507 |
White Heron Re 2023 | 8/30/2023 | 929,902 | 1,013,869 |
Woburn Re 2019 | 1/30/2019 | 470,315 | 592,560 |
Total Restricted Securities | $154,898,116 | ||
% of Net assets | 4.7% |
Currency Purchased | In Exchange for | Currency Sold | Deliver | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
AUD | 24,100,000 | USD | 15,561,493 | Bank of America NA | 1/24/24 | $876,023 |
USD | 4,834,066 | GBP | 3,845,000 | Citibank NA | 3/27/24 | (69,037) |
EUR | 15,709,263 | SEK | 185,000,000 | HSBC Bank USA NA | 1/26/24 | (721,557) |
EUR | 354,000 | USD | 386,393 | HSBC Bank USA NA | 2/27/24 | 5,346 |
SEK | 185,000,000 | EUR | 15,709,263 | HSBC Bank USA NA | 1/26/24 | 1,722,937 |
USD | 14,352,623 | IDR | 223,950,000,000 | HSBC Bank USA NA | 3/22/24 | (190,902) |
USD | 63,439,945 | EUR | 57,500,000 | HSBC Bank USA NA | 3/27/24 | (263,989) |
AUD | 38,545,000 | USD | 25,105,588 | State Street Bank & Trust Co. | 2/27/24 | 1,210,240 |
AUD | 26,560,000 | USD | 17,863,369 | State Street Bank & Trust Co. | 3/27/24 | 283,663 |
EUR | 50,241,500 | USD | 53,393,235 | State Street Bank & Trust Co. | 1/24/24 | 2,130,727 |
INR | 1,416,850,000 | USD | 16,949,994 | State Street Bank & Trust Co. | 2/5/24 | 47,951 |
USD | 5,400,564 | CAD | 7,465,000 | State Street Bank & Trust Co. | 2/2/24 | (235,946) |
TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | $4,795,456 |
Number of Contracts Long | Description | Expiration Date | Notional Amount | Market Value | Unrealized Appreciation |
421 | U.S. 2 Year Note (CBT) | 3/28/24 | $86,150,800 | $86,689,820 | $539,020 |
7,707 | U.S. 5 Year Note (CBT) | 3/28/24 | 818,526,174 | 838,316,902 | 19,790,728 |
464 | U.S. 10 Year Ultra Bond (CBT) | 3/19/24 | 52,912,200 | 54,759,253 | 1,847,053 |
242 | U.S. Long Bond (CBT) | 3/19/24 | 27,995,124 | 30,234,875 | 2,239,751 |
867 | U.S. Ultra Bond (CBT) | 3/19/24 | 105,615,759 | 115,825,781 | 10,210,022 |
$1,091,200,057 | $1,125,826,631 | $34,626,574 |
Number of Contracts Short | Description | Expiration Date | Notional Amount | Market Value | Unrealized (Depreciation) |
650 | Euro-Bund | 3/7/24 | $(95,894,436) | $(98,464,612) | $(2,570,176) |
1 | U.S. 10 Year Note (CBT) | 3/19/24 | (112,841) | (112,891) | (50) |
$(96,007,277) | $(98,577,503) | $(2,570,226) | |||
TOTAL FUTURES CONTRACTS | $995,192,780 | $1,027,249,128 | $32,056,348 |
Notional Amount ($)(1) | Reference Obligation/Index | Pay/ Receive(2) | Annual Fixed Rate | Expiration Date | Premiums (Received) | Unrealized (Depreciation) | Market Value | |
479,011,500 | Markit CDX North America High Yield Index Series 41 | Pay | 5.00% | 12/20/28 | $(4,383,463) | $(24,437,828) | $(28,821,292) | |
TOTAL CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS – BUY PROTECTION | $(4,383,463) | $(24,437,828) | $(28,821,292) |
(1) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay upon occurrence of a credit event. |
(2) | Pays quarterly. |
AUD | — Australia Dollar |
CAD | — Canada Dollar |
COP | — Colombia Peso |
EUR | — Euro |
GBP | — Great British Pound |
IDR | — Indonesian Rupiah |
INR | — Indian Rupee |
KZT | — Kazakhstan Tenge |
SEK | — Sweden Krona |
USD | — United States Dollar |
UYU | — Uruguay Peso |
UZS | — Uzbekistan Som |
Level 1 | – | unadjusted quoted prices in active markets for identical securities. |
Level 2 | – | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.). |
Level 3 | – | significant unobservable inputs (including the Adviser's own assumptions in determining fair value of investments). |
Level 1 | Level 2 | Level 3 | Total | |
Senior Secured Floating Rate Loan Interests | $— | $18,131,034 | $— | $18,131,034 |
Common Stocks | ||||
Automobile Components | — | 956,548 | — | 956,548 |
Paper & Forest Products | — | — | —* | —* |
Passenger Airlines | — | — | 2,060,578 | 2,060,578 |
All Other Common Stocks | 2,809 | — | — | 2,809 |
Asset Backed Securities | — | 274,002,514 | 417,375 | 274,419,889 |
Collateralized Mortgage Obligations | — | 398,192,670 | — | 398,192,670 |
Commercial Mortgage-Backed Securities | — | 196,226,150 | —* | 196,226,150 |
Convertible Corporate Bonds | — | 19,361,269 | — | 19,361,269 |
Corporate Bonds | ||||
Pharmaceuticals | — | 16,717,198 | —* | 16,717,198 |
All Other Corporate Bonds | — | 1,051,383,454 | — | 1,051,383,454 |
Insurance-Linked Securities | ||||
Collateralized Reinsurance | ||||
Earthquakes – California | — | — | 1,812,375 | 1,812,375 |
Level 1 | Level 2 | Level 3 | Total | |
Multiperil – Massachusetts | $— | $— | $366,768 | $366,768 |
Multiperil – U.S. | — | — | 15,774,582 | 15,774,582 |
Multiperil – Worldwide | — | — | 2,599,679 | 2,599,679 |
Windstorm – Florida | — | — | 220 | 220 |
Windstorm – North Carolina | — | — | 249,750 | 249,750 |
Windstorm – U.S. Multistate | — | — | 1,013,869 | 1,013,869 |
Windstorm – U.S. Regional | — | — | 1,100,769 | 1,100,769 |
Reinsurance Sidecars | ||||
Multiperil – U.S. | — | — | 255,524 | 255,524 |
Multiperil – Worldwide | — | — | 62,764,975 | 62,764,975 |
All Other Insurance-Linked Securities | — | 68,959,605 | — | 68,959,605 |
Foreign Government Bonds | — | 101,324,501 | — | 101,324,501 |
U.S. Government and Agency Obligations | — | 1,099,579,171 | — | 1,099,579,171 |
Repurchase Agreements | — | 30,000,000 | — | 30,000,000 |
Open-End Fund | 45,770,590 | — | — | 45,770,590 |
Over The Counter (OTC) Currency Put Options Purchased | — | 465,239 | — | 465,239 |
Total Investments in Securities | $45,773,399 | $3,275,299,353 | $88,416,464 | $3,409,489,216 |
Liabilities | ||||
TBA Sales Commitments | $— | $(75,316,406) | $— | $(75,316,406) |
Total Liabilities | $— | $(75,316,406) | $— | $(75,316,406) |
Other Financial Instruments | ||||
Net unrealized appreciation on forward foreign currency exchange contracts | $— | $4,795,456 | $— | $4,795,456 |
Net unrealized appreciation on futures contracts | 32,056,348 | — | — | 32,056,348 |
Centrally cleared swap contracts | — | (24,437,828) | — | (24,437,828) |
Total Other Financial Instruments | $32,056,348 | $(19,642,372) | $— | $12,413,976 |
* | Securities valued at $0. |
Common Stocks | Asset Backed Securities | Commercial Mortgage- Backed Securities | Corporate Bonds | Insurance- Linked Securities | Total | |
Balance as of 9/30/23 | $1,654,768 | $— | $— | $— | $87,545,608 | $89,200,376 |
Realized gain (loss) | — | — | — | — | (647,898) | (647,898) |
Changed in unrealized appreciation (depreciation) | 405,810 | — | — | — | 2,880,134 | 3,285,944 |
Return of capital | — | — | — | — | (6,633,908) | (6,633,908) |
Purchases | — | — | — | — | 4,000,000 | 4,000,000 |
Sales | — | — | — | — | (1,205,425) | (1,205,425) |
Transfers in to Level 3* | —** | 417,375 | —** | —** | — | 417,375 |
Transfers out of Level 3* | — | — | — | — | — | — |
Balance as of 12/31/23 | $2,060,578 | $417,375 | $—** | $—** | $85,938,511 | $88,416,464 |
* | Transfers are calculated on the beginning of period values. During the period ended December 31, 2023, three securities valued at $417,375 was transferred from Level 2 to Level 3 and a security values at $0 was transferred from Level 1 to Level 3, due to valuing the securities using unobservable inputs. There were no other transfers in or out of Level 3 during the period. | ||
** | Securities valued at $0. | ||
Net change in unrealized appreciation (depreciation) of Level 3 investments still held and considered Level 3 at December 31, 2023: | $2,833,744 |