|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
Residential Mortgage-Backed Securities(a) — 109.1%
|
|||||
|
Adjustable Rate Mortgage Trust, 2005-5 1A1
|
3.719%
|
9/25/35
|
$69,980
|
$60,384
(b)
|
|
|
Adjustable Rate Mortgage Trust, 2005-7 2A21
|
4.604%
|
10/25/35
|
85,716
|
76,161
(b)
|
|
|
Adjustable Rate Mortgage Trust, 2005-12 5A1 (1 mo. Term SOFR + 0.614%)
|
4.293%
|
3/25/36
|
168,292
|
38,909
(b)
|
|
|
Aegis Asset-Backed Securities Trust, 2005-3 M3 (1 mo. Term SOFR +
0.849%)
|
4.528%
|
8/25/35
|
3,460,000
|
3,071,308
(b)(c)
|
|
|
Alternative Loan Trust, 2005-11CB 3A3, IO (-1.000 x 1 mo. Term SOFR +
4.886%)
|
1.207%
|
6/25/35
|
719,987
|
39,910
(b)
|
|
|
Alternative Loan Trust, 2005-14 3A1
|
3.495%
|
5/25/35
|
75,915
|
60,194
(b)
|
|
|
Alternative Loan Trust, 2005-36 4A1
|
4.200%
|
8/25/35
|
101,248
|
95,446
(b)
|
|
|
Alternative Loan Trust, 2005-J10 1A1 (1 mo. Term SOFR + 0.614%)
|
4.293%
|
10/25/35
|
353,788
|
195,830
(b)
|
|
|
Alternative Loan Trust, 2006-HY10 1A1
|
3.922%
|
5/25/36
|
103,682
|
95,105
(b)
|
|
|
Alternative Loan Trust, 2006-J8 A5
|
6.000%
|
2/25/37
|
70,645
|
26,147
|
|
|
Alternative Loan Trust, 2007-3T1 2A1
|
6.000%
|
3/25/27
|
12,371
|
12,366
|
|
|
Alternative Loan Trust, 2007-23CB A8 (-4.000 x 1 mo. Term SOFR + 27.942%)
|
13.228%
|
9/25/37
|
353,225
|
295,454
(b)(c)
|
|
|
Alternative Loan Trust, 2007-OA8 1A1 (1 mo. Term SOFR + 0.474%)
|
4.153%
|
6/25/47
|
522,968
|
478,752
(b)(c)
|
|
|
American Home Mortgage Assets Trust, 2005-2 2A1A
|
3.219%
|
1/25/36
|
513,403
|
321,543
(b)
|
|
|
American Home Mortgage Investment Trust, 2007-2 2A (1 mo. Term SOFR +
0.914%)
|
4.593%
|
3/25/47
|
12,735,445
|
82,982
(b)(c)
|
|
|
American Home Mortgage Investment Trust, 2007-A 4A (1 mo. Term SOFR +
1.014%)
|
4.693%
|
7/25/46
|
1,692,098
|
315,150
(b)(c)(d)
|
|
|
AMSR Trust, 2026-SFR1 F1
|
3.775%
|
4/17/31
|
900,000
|
772,054
|
|
|
AMSR Trust, 2026-SFR1 F2
|
3.775%
|
4/17/31
|
250,000
|
201,738
|
|
|
Anchor Mortgage Trust, 2025-RTL1 A2
|
6.358%
|
5/25/40
|
1,930,000
|
1,923,111
(c)(d)
|
|
|
Banc of America Funding Corp., 2015-R3 2A2
|
3.668%
|
2/27/37
|
2,054,898
|
1,881,117
(b)(c)(d)
|
|
|
Banc of America Funding Trust, 2004-C 3A1
|
4.692%
|
12/20/34
|
110,710
|
100,275
(b)
|
|
|
Banc of America Funding Trust, 2006-D 2A1
|
3.499%
|
5/20/36
|
24,945
|
23,561
(b)
|
|
|
Banc of America Funding Trust, 2006-F 1A1
|
5.950%
|
7/20/36
|
23,111
|
23,422
(b)
|
|
|
Banc of America Funding Trust, 2014-R5 1A2 (6 mo. Term SOFR + 1.928%)
|
3.736%
|
9/26/45
|
2,696,676
|
1,921,387
(b)(c)(d)
|
|
|
Bayview Financial Asset Trust, 2007-SR1A M2 (1 mo. Term SOFR + 1.014%)
|
4.693%
|
3/25/37
|
1,247,905
|
1,251,524
(b)(c)(d)
|
|
|
Bayview Financial Asset Trust, 2007-SR1A M3 (1 mo. Term SOFR + 1.264%)
|
4.943%
|
3/25/37
|
565,381
|
570,963
(b)(d)
|
|
|
Bear Stearns ALT-A Trust, 2005-9 25A1
|
4.414%
|
11/25/35
|
106,474
|
66,119
(b)
|
|
|
Bear Stearns Asset-Backed Securities Trust, 2005-CL1 A1 (1 mo. Term SOFR
+ 0.614%)
|
2.249%
|
9/25/34
|
6,330
|
6,417
(b)
|
|
|
CAFL Issuer LLC, 2024-RTL1 A2
|
8.680%
|
11/28/31
|
1,460,000
|
1,484,259
(c)(d)
|
|
|
Chase Mortgage Finance Trust, 2006-S3 2A1
|
5.500%
|
11/1/36
|
122,368
|
9,971
|
|
|
ChaseFlex Trust, 2005-2 3A3, IO (-1.000 x 1 mo. Term SOFR + 5.386%)
|
1.707%
|
6/25/35
|
5,371,071
|
521,559
(b)(c)
|
|
|
Chevy Chase Funding LLC Mortgage-Backed Certificates, 2006-2A A1 (1 mo.
Term SOFR + 0.244%)
|
3.923%
|
4/25/47
|
38,029
|
38,769
(b)(d)
|
|
|
CHL Mortgage Pass-Through Trust, 2005-18 A7 (-2.750 x 1 mo. Term SOFR +
19.210%)
|
9.094%
|
10/25/35
|
7,982
|
4,950
(b)
|
|
|
CHL Mortgage Pass-Through Trust, 2005-HYB9 1A1 (12 mo. Term SOFR +
2.465%)
|
6.449%
|
2/20/36
|
58,369
|
55,281
(b)
|
|
|
CIM Trust, 2021-INV1 AXS, IO
|
0.190%
|
7/1/51
|
42,291,212
|
374,311
(b)(d)
|
|
|
Citicorp Mortgage Securities Trust, 2007-8 B1
|
5.898%
|
9/25/37
|
2,399,912
|
1,698,011
(b)(c)
|
|
|
Citigroup Mortgage Loan Trust, 2004-UST1 A2
|
5.209%
|
8/25/34
|
4,561
|
4,397
(b)
|
|
|
Citigroup Mortgage Loan Trust, 2006-AR5 2A1A
|
3.983%
|
7/25/36
|
131,795
|
81,468
(b)
|
|
|
Citigroup Mortgage Loan Trust, 2008-3 A3
|
6.100%
|
4/25/37
|
5,219,369
|
2,314,841
(c)(d)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
Residential Mortgage-Backed Securities(a) — continued
|
|||||
|
Citigroup Mortgage Loan Trust, 2021-J2 A4I2, IO
|
0.180%
|
7/25/51
|
$30,174,178
|
$295,103
(b)(d)
|
|
|
Citigroup Mortgage Loan Trust, 2021-J2 AIOS, IO
|
0.080%
|
7/25/51
|
61,921,596
|
291,032
(b)(c)(d)
|
|
|
Countrywide Asset-Backed Certificates Trust, 2007-SEA1 1A1 (1 mo. Term
SOFR + 1.214%)
|
4.893%
|
5/25/47
|
211,077
|
194,567
(b)(d)
|
|
|
Credit-Based Asset Servicing & Securitization LLC, 2006-SL1 A3 (1 mo. Term
SOFR + 0.554%)
|
4.233%
|
9/25/36
|
3,361,465
|
106,965
(b)(d)
|
|
|
CSFB Mortgage-Backed Pass-Through Certificates, 2005-10 3A3
|
5.500%
|
11/25/35
|
178,102
|
89,641
|
|
|
CSMC Resecuritization Trust, 2006-1R 1A2 (-2.750 x 1 mo. Term SOFR +
19.210%)
|
9.100%
|
7/27/36
|
129,838
|
113,704
(b)(d)
|
|
|
CSMC Trust, 2014-11R 9A2 (1 mo. Term SOFR + 0.254%)
|
4.068%
|
10/27/36
|
2,301,842
|
1,829,146
(b)(c)(d)
|
|
|
CSMC Trust, 2015-2R 7A2
|
4.339%
|
8/27/36
|
2,759,437
|
2,351,173
(b)(c)(d)
|
|
|
CSMC Trust, 2017-RPL1 B4
|
2.983%
|
7/25/57
|
2,880,839
|
1,139,519
(b)(c)(d)
|
|
|
CSMC Trust, 2021-INV2 A3X, IO
|
0.500%
|
11/25/56
|
24,521,196
|
718,361
(b)(d)
|
|
|
CWABS Revolving Home Equity Loan Trust, 2004-L 2A (1 mo. Term SOFR +
0.394%)
|
4.067%
|
2/15/34
|
6,021
|
5,873
(b)
|
|
|
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 2PO, PO
|
0.000%
|
4/15/36
|
9,826
|
4,201
(d)
|
|
|
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 4AS1, IO
|
5.110%
|
4/15/36
|
23,758
|
1,918
(b)(d)
|
|
|
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 4AS2, IO
|
7.982%
|
4/15/36
|
22,712
|
2,875
(b)(d)
|
|
|
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 5AS1, IO
|
4.513%
|
4/15/36
|
33,214
|
4,454
(b)(d)
|
|
|
Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2006-PR1 5AS3, IO
|
4.185%
|
4/15/36
|
118,023
|
14,582
(b)(d)
|
|
|
DK Note Backed Trust, 2024-SPT1 A
|
7.086%
|
4/28/66
|
830,659
|
842,468
(c)(d)
|
|
|
Eagle RE Ltd., 2023-1 M2 (30 Day Average SOFR + 5.200%)
|
8.862%
|
9/26/33
|
1,290,000
|
1,363,230
(b)(c)(d)
|
|
|
Easy Street Mortgage Loan Trust, 2025-RTL1 A2
|
8.299%
|
5/25/40
|
1,010,000
|
1,020,833
(c)(d)
|
|
|
Easy Street Mortgage Loan Trust, 2025-RTL2 A2
|
7.164%
|
10/25/40
|
2,250,000
|
2,250,497
(c)(d)
|
|
|
FARM Mortgage Trust, 2021-1 B
|
3.228%
|
7/25/51
|
1,393,694
|
1,068,650
(b)(d)
|
|
|
FARM Mortgage Trust, 2024-2 B
|
5.565%
|
8/1/54
|
900,351
|
792,537
(b)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5408 PI, IO, PAC
|
6.500%
|
3/25/54
|
634,336
|
126,633
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5523 IQ, IO, PAC
|
6.500%
|
4/25/55
|
3,261,841
|
571,354
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency
Credit Risk Trust, 2020-DNA2 B2 (30 Day Average SOFR + 4.914%)
|
8.576%
|
2/25/50
|
1,166,729
|
1,282,934
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency
Credit Risk Trust, 2021-DNA5 B2 (30 Day Average SOFR + 5.500%)
|
9.162%
|
1/25/34
|
1,200,000
|
1,465,116
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency
Credit Risk Trust, 2021-HQA4 B2 (30 Day Average SOFR + 7.000%)
|
10.662%
|
12/25/41
|
1,650,000
|
1,702,514
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2016-1 B, PO
|
0.000%
|
9/25/55
|
11,947,137
|
1,829,814
(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2016-1 BIO, IO
|
1.520%
|
9/25/55
|
18,890,980
|
2,214,716
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2016-1 XSIO, IO
|
0.075%
|
9/25/55
|
118,811,635
|
482,850
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2018-2 BX
|
1.612%
|
11/25/57
|
3,366,411
|
1,276,541
(b)(c)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2018-3 BX
|
2.205%
|
8/25/57
|
3,266,265
|
955,508
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2019-2 M
|
4.750%
|
8/25/58
|
620,938
|
605,996
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2020-1 BXS
|
4.417%
|
8/25/59
|
3,989,785
|
2,126,480
(b)(c)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
Residential Mortgage-Backed Securities(a) — continued
|
|||||
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2021-1 M
|
4.250%
|
9/25/60
|
$1,134,149
|
$1,110,157
(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2021-3 BXS
|
6.934%
|
3/25/61
|
1,641,670
|
1,017,447
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2022-2 M
|
5.000%
|
4/25/62
|
1,337,000
|
1,248,953
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer
Trust, 2024-1 M
|
5.000%
|
11/25/63
|
1,540,000
|
1,353,605
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Securitized Participation Interests Trust, 2017-SPI1 B
|
4.107%
|
9/25/47
|
736,970
|
540,950
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Securitized Participation Interests Trust, 2018-SPI4 B
|
4.512%
|
11/25/48
|
3,653,986
|
2,767,987
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Trust, 2018-DNA3 B2 (30 Day Average SOFR + 7.864%)
|
11.526%
|
9/25/48
|
2,000,000
|
2,277,893
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Trust, 2018-HRP1 B2 (30 Day Average SOFR + 11.864%)
|
15.526%
|
5/25/43
|
5,344,432
|
6,270,945
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Trust, 2018-HRP2 B2 (30 Day Average SOFR + 10.614%)
|
14.276%
|
2/25/47
|
3,530,000
|
4,271,948
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Trust, 2019-FTR1 B2 (30 Day Average SOFR + 8.464%)
|
12.126%
|
1/25/48
|
1,855,000
|
2,191,543
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Trust, 2019-FTR2 B2 (30 Day Average SOFR + 7.514%)
|
11.176%
|
11/25/48
|
1,270,000
|
1,479,805
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Trust, 2019-FTR3 B2 (30 Day Average SOFR + 4.914%)
|
8.582%
|
9/25/47
|
1,200,000
|
1,302,785
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Trust, 2019-FTR4 B2 (30 Day Average SOFR + 5.114%)
|
8.776%
|
11/25/47
|
1,250,000
|
1,377,237
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Trust, 2019-HQA3 B2 (30 Day Average SOFR + 7.614%)
|
11.276%
|
9/25/49
|
1,680,000
|
1,867,464
(b)(c)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Whole Loan Securities Trust,
2015-SC01 B
|
3.863%
|
5/25/45
|
2,064,505
|
1,366,639
(b)(d)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2016-C01 1B (30
Day Average SOFR + 11.864%)
|
15.739%
|
8/25/28
|
0
|
0
(c)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2016-C03 1B (30
Day Average SOFR + 11.864%)
|
15.526%
|
10/25/28
|
1,915,638
|
1,929,250
(b)(c)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2016-C06 1B (30
Day Average SOFR + 9.364%)
|
13.026%
|
4/25/29
|
3,479,085
|
3,612,036
(b)(c)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2020-R01 1B1 (30
Day Average SOFR + 3.364%)
|
7.026%
|
1/25/40
|
1,500,000
|
1,520,988
(b)(c)(d)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2021-R01 1B2 (30
Day Average SOFR + 6.000%)
|
9.662%
|
10/25/41
|
1,320,000
|
1,347,563
(b)(c)(d)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2021-R02 2B2 (30
Day Average SOFR + 6.200%)
|
9.862%
|
11/25/41
|
1,500,000
|
1,534,865
(b)(c)(d)
|
|
|
First Horizon Alternative Mortgage Securities Trust, 2005-AA6 3A1
|
4.502%
|
8/25/35
|
173,112
|
142,633
(b)
|
|
|
First Horizon Alternative Mortgage Securities Trust, 2006-FA6 2A1, PAC
|
6.250%
|
11/25/36
|
64,242
|
15,923
|
|
|
Government National Mortgage Association (GNMA), 2023-184 HI, IO
|
7.000%
|
12/20/53
|
1,276,498
|
267,270
|
|
|
Government National Mortgage Association (GNMA), 2024-151 KS, IO
(-1.000 x 30 Day Average SOFR + 6.050%)
|
2.377%
|
9/20/54
|
2,715,032
|
223,506
(b)
|
|
|
Government National Mortgage Association (GNMA), 2025-175 LS, IO
(-1.000 x 30 Day Average SOFR + 5.950%)
|
2.277%
|
10/20/55
|
1,386,226
|
134,237
(b)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
Residential Mortgage-Backed Securities(a) — continued
|
|||||
|
Government National Mortgage Association (GNMA), 2025-214 S, IO (-1.000
x 30 Day Average SOFR + 6.600%)
|
2.927%
|
12/20/55
|
$1,566,844
|
$159,656
(b)
|
|
|
Government National Mortgage Association (GNMA), 2026-5 SM, IO (-1.000
x 30 Day Average SOFR + 5.700%)
|
2.027%
|
12/20/55
|
3,084,309
|
226,218
(b)
|
|
|
GS Mortgage Securities Corp. Trust, 2000-1A A (1 mo. Term SOFR + 0.464%)
|
4.140%
|
3/20/27
|
7,068
|
718
(b)(d)
|
|
|
GS Mortgage-Backed Securities Trust, 2021-GR2 AIOS, IO
|
0.190%
|
2/25/52
|
61,699,364
|
672,202
(b)(c)(d)
|
|
|
GS Mortgage-Backed Securities Trust, 2021-PJ2 AIOS, IO
|
0.220%
|
7/25/51
|
56,512,144
|
739,326
(b)(c)(d)
|
|
|
GS Mortgage-Backed Securities Trust, 2022-NQM1 B4
|
4.068%
|
5/25/62
|
1,497,292
|
1,302,184
(b)(c)(d)
|
|
|
GSMPS Mortgage Loan Trust, 2006-RP1 1A2
|
7.500%
|
1/25/36
|
179,985
|
159,231
(d)
|
|
|
Home RE Ltd., 2023-1 M2 (30 Day Average SOFR + 6.000%)
|
9.662%
|
10/25/33
|
1,000,000
|
1,075,058
(b)(c)(d)
|
|
|
Home Re Ltd., 2026-1 M2 (30 Day Average SOFR + 3.200%)
|
6.862%
|
1/25/36
|
2,700,000
|
2,726,313
(b)(c)(d)
|
|
|
HSI Asset Loan Obligation Trust, 2007-AR1 4A1
|
4.979%
|
1/25/37
|
52,006
|
40,062
(b)
|
|
|
Impac CMB Trust, 2004-8 1A (1 mo. Term SOFR + 0.834%)
|
4.513%
|
10/25/34
|
15,405
|
15,327
(b)
|
|
|
IndyMac INDA Mortgage Loan Trust, 2005-AR2 1A1
|
3.659%
|
1/25/36
|
55,915
|
43,942
(b)
|
|
|
IndyMac INDX Mortgage Loan Trust, 2004-AR13 1A1
|
3.407%
|
1/25/35
|
20,680
|
19,034
(b)
|
|
|
IndyMac INDX Mortgage Loan Trust, 2005-AR15 A2
|
3.844%
|
9/25/35
|
29,163
|
23,695
(b)(c)
|
|
|
IndyMac INDX Mortgage Loan Trust, 2005-AR18 1A1 (1 mo. Term SOFR +
0.734%)
|
4.413%
|
10/25/36
|
1,483,543
|
588,444
(b)(c)
|
|
|
IndyMac INDX Mortgage Loan Trust, 2006-AR7 5A1
|
3.925%
|
5/25/36
|
90,072
|
84,681
(b)
|
|
|
IndyMac INDX Mortgage Loan Trust, 2006-AR9 3A3
|
3.417%
|
6/25/36
|
180,960
|
157,388
(b)
|
|
|
IndyMac INDX Mortgage Loan Trust, 2006-AR11 1A1
|
4.279%
|
6/25/36
|
195,994
|
146,426
(b)
|
|
|
JPMorgan Alternative Loan Trust, 2007-A1 3A1
|
4.108%
|
3/25/37
|
154,546
|
136,787
(b)
|
|
|
JPMorgan Mortgage Trust, 2007-S2 3A2
|
6.000%
|
6/25/37
|
8,505
|
8,311
|
|
|
JPMorgan Mortgage Trust, 2007-S2 3A3
|
6.500%
|
6/25/37
|
3,919
|
3,891
|
|
|
JPMorgan Mortgage Trust, 2024-3 AX1, IO
|
0.331%
|
5/25/54
|
19,263,388
|
385,878
(b)(d)
|
|
|
Legacy Mortgage Asset Trust, 2021-GS3 A2
|
7.250%
|
7/25/61
|
1,852,795
|
1,855,302
(c)(d)
|
|
|
Lehman Mortgage Trust, 2006-3 1A7, IO (-1.000 x 1 mo. Term SOFR +
5.286%)
|
1.607%
|
7/25/36
|
3,962,696
|
385,014
(b)(c)
|
|
|
Lehman Mortgage Trust, 2007-5 2A3 (1 mo. Term SOFR + 0.444%)
|
4.123%
|
6/25/37
|
2,577,474
|
390,606
(b)
|
|
|
Lehman XS Trust, 2006-19 A4 (1 mo. Term SOFR + 0.454%)
|
4.133%
|
12/25/36
|
252,086
|
249,874
(b)(c)
|
|
|
LHOME Mortgage Trust, 2024-RTL2 A2
|
8.897%
|
3/25/29
|
760,000
|
763,523
(c)(d)
|
|
|
LHOME Mortgage Trust, 2024-RTL5 M2
|
8.180%
|
9/25/39
|
1,500,000
|
1,505,769
(b)(c)(d)
|
|
|
LHOME Mortgage Trust, 2026-RTL1 M1
|
5.993%
|
1/25/41
|
580,000
|
573,855
(b)(d)
|
|
|
LHOME Mortgage Trust, 2026-RTL1 M2
|
7.694%
|
1/25/41
|
340,000
|
338,542
(b)(d)
|
|
|
MASTR Adjustable Rate Mortgages Trust, 2004-12 5A1
|
6.170%
|
10/25/34
|
2,335
|
2,302
(b)
|
|
|
MASTR Adjustable Rate Mortgages Trust, 2006-OA1 1A1 (1 mo. Term SOFR
+ 0.324%)
|
4.003%
|
4/25/46
|
81,618
|
77,042
(b)
|
|
|
MASTR Reperforming Loan Trust, 2005-1 1A4
|
7.500%
|
8/25/34
|
34,639
|
24,707
(d)
|
|
|
Merrill Lynch Mortgage Investors Trust, 2006-A1 2A1
|
4.342%
|
3/25/36
|
275,750
|
126,390
(b)
|
|
|
Morgan Stanley Mortgage Loan Trust, 2006-8AR 1A2 (1 mo. Term SOFR +
0.254%)
|
3.933%
|
6/25/36
|
180,871
|
34,799
(b)
|
|
|
Morgan Stanley Mortgage Loan Trust, 2007-5AX 2A3 (1 mo. Term SOFR +
0.574%)
|
4.253%
|
2/25/37
|
1,269,983
|
240,343
(b)
|
|
|
Morgan Stanley Mortgage Loan Trust, 2007-15AR 4A1
|
3.500%
|
11/25/37
|
420,815
|
367,965
(b)
|
|
|
Morgan Stanley Re-REMIC Trust, 2015-R2 1B (12 mo. Moving Treasury
Average + 0.710%)
|
3.988%
|
12/27/46
|
625,237
|
574,546
(b)(c)(d)
|
|
|
New Residential Mortgage Loan Trust, 2017-1A B6
|
5.282%
|
2/25/57
|
2,053,441
|
1,914,637
(b)(c)(d)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
Residential Mortgage-Backed Securities(a) — continued
|
|||||
|
New Residential Mortgage Loan Trust, 2018-1A B6
|
5.590%
|
12/25/57
|
$1,926,361
|
$1,652,154
(b)(d)
|
|
|
New Residential Mortgage Loan Trust, 2019-4A B6
|
4.472%
|
12/25/58
|
2,110,782
|
1,399,215
(b)(c)(d)
|
|
|
New Residential Mortgage Loan Trust, 2019-6A A1IB, IO
|
0.500%
|
9/25/59
|
13,377,712
|
183,455
(b)(c)(d)
|
|
|
New Residential Mortgage Loan Trust, 2019-NQM4 B2
|
5.091%
|
9/25/59
|
1,608,000
|
1,509,935
(b)(c)(d)
|
|
|
New Residential Mortgage Loan Trust, 2024-RTL1 M1
|
9.298%
|
3/25/39
|
380,000
|
380,638
(b)(c)(d)
|
|
|
New Residential Mortgage Loan Trust, 2024-RTL1 M2
|
9.298%
|
3/25/39
|
870,000
|
870,586
(b)(c)(d)
|
|
|
PRKCM Trust, 2023-AFC1 M1
|
7.264%
|
2/25/58
|
1,480,000
|
1,475,596
(b)(c)(d)
|
|
|
PRKCM Trust, 2023-AFC3 B1
|
7.776%
|
9/25/58
|
1,220,000
|
1,221,217
(b)(c)(d)
|
|
|
PRKCM Trust, 2024-AFC1 B2
|
8.223%
|
3/25/59
|
1,450,000
|
1,457,861
(b)(c)(d)
|
|
|
Provident Home Equity Loan Trust, 2000-2 A1 (1 mo. Term SOFR + 0.654%)
|
4.333%
|
8/25/31
|
397,306
|
379,547
(b)
|
|
|
PRPM LLC, 2025-RCF3 M1B
|
5.250%
|
7/25/55
|
1,000,000
|
981,014
(b)(c)(d)
|
|
|
RAAC Trust, 2007-SP1 M3 (1 mo. Term SOFR + 1.614%)
|
5.293%
|
3/25/37
|
1,387,919
|
1,148,597
(b)(c)
|
|
|
RALI Trust, 2005-QA3 CB4
|
3.991%
|
3/25/35
|
682,694
|
316,909
(b)
|
|
|
RALI Trust, 2006-QA1 A11
|
4.967%
|
1/25/36
|
183,903
|
133,698
(b)
|
|
|
RALI Trust, 2006-QA4 A (1 mo. Term SOFR + 0.474%)
|
4.153%
|
5/25/36
|
99,556
|
91,984
(b)(c)
|
|
|
RALI Trust, 2006-QO2 A1 (1 mo. Term SOFR + 0.554%)
|
4.233%
|
2/25/46
|
165,246
|
27,190
(b)(c)
|
|
|
RAMP Trust, 2004-RS4 MII2 (1 mo. Term SOFR + 1.464%)
|
5.418%
|
4/25/34
|
731,999
|
668,283
(b)(c)
|
|
|
Redwood Funding Trust, 2025-2 A
|
7.112%
|
10/25/55
|
1,011,429
|
1,017,105
(d)
|
|
|
Redwood Funding Trust, 2025-3 A
|
6.231%
|
12/27/56
|
801,071
|
808,682
(d)
|
|
|
Renaissance Home Equity Loan Trust, 2006-1 AF5
|
6.166%
|
5/25/36
|
516,941
|
241,280
(c)
|
|
|
Renaissance Home Equity Loan Trust, 2007-3 AF3
|
7.238%
|
9/25/37
|
1,426,240
|
542,659
(c)
|
|
|
Residential Asset Securitization Trust, 2007-A2 1A1
|
6.000%
|
4/25/37
|
170,004
|
81,441
(c)
|
|
|
RFMSI Trust, 2006-S8 A12, IO (-1.000 x 1 mo. Term SOFR + 5.286%)
|
1.607%
|
9/25/36
|
1,540,154
|
101,783
(b)
|
|
|
Saluda Grade Alternative Mortgage Trust, 2024-RTL4 A2
|
7.500%
|
2/25/30
|
1,770,000
|
1,763,099
(c)(d)
|
|
|
Starwood Mortgage Residential Trust, 2020-3 B2
|
4.750%
|
4/25/65
|
1,490,000
|
1,300,941
(b)(c)(d)
|
|
|
Starwood Mortgage Residential Trust, 2021-4 B31
|
4.678%
|
8/25/56
|
2,700,000
|
1,899,706
(b)(c)(d)
|
|
|
Structured Adjustable Rate Mortgage Loan Trust, 2004-18 1A2
|
4.648%
|
12/25/34
|
111,675
|
101,600
(b)
|
|
|
Structured Adjustable Rate Mortgage Loan Trust, 2005-4 1A1
|
3.990%
|
3/25/35
|
76,969
|
64,700
(b)
|
|
|
Structured Adjustable Rate Mortgage Loan Trust, 2005-7 1A3
|
4.423%
|
4/25/35
|
24,773
|
22,477
(b)
|
|
|
Structured Asset Investment Loan Trust, 2004-8 M9 (1 mo. Term SOFR +
3.864%)
|
7.543%
|
9/25/34
|
297,405
|
233,963
(b)(c)
|
|
|
Toorak Mortgage Trust, 2024-RRTL1 B1
|
10.335%
|
2/25/39
|
800,000
|
802,295
(b)(c)(d)
|
|
|
Toorak Mortgage Trust, 2024-RRTL1 B2
|
10.335%
|
2/25/39
|
640,000
|
641,717
(b)(c)(d)
|
|
|
UWM Mortgage Trust, 2021-1 AX4, IO
|
0.250%
|
6/25/51
|
21,767,173
|
255,505
(b)(d)
|
|
|
Verus Securitization Trust, 2023-3 B1
|
7.666%
|
3/25/68
|
1,200,000
|
1,196,406
(b)(c)(d)
|
|
|
Verus Securitization Trust, 2023-4 B1
|
8.019%
|
5/25/68
|
1,170,000
|
1,169,037
(b)(c)(d)
|
|
|
Verus Securitization Trust, 2023-5 B1
|
7.970%
|
6/25/68
|
1,200,000
|
1,201,684
(b)(c)(d)
|
|
|
Verus Securitization Trust, 2023-7 B1
|
7.898%
|
10/25/68
|
1,960,000
|
1,979,907
(b)(c)(d)
|
|
|
Verus Securitization Trust, 2024-8 B1
|
7.032%
|
10/25/69
|
1,750,000
|
1,764,390
(b)(c)(d)
|
|
|
Verus Securitization Trust, 2025-R1 B1
|
6.400%
|
5/25/65
|
1,450,000
|
1,438,638
(b)(c)(d)
|
|
|
Wachovia Mortgage Loan Trust LLC, 2005-B 2A2
|
6.710%
|
10/20/35
|
3,506
|
3,450
(b)
|
|
|
WaMu Mortgage Pass-Through Certificates Trust, 2005-8 1A6 (-3.667 x 1
mo. Term SOFR + 22.864%)
|
9.376%
|
10/25/35
|
80,540
|
79,844
(b)
|
|
|
WaMu Mortgage Pass-Through Certificates Trust, 2005-9 5A4 (-7.333 x 1
mo. Term SOFR + 35.094%)
|
8.118%
|
11/25/35
|
32,648
|
30,084
(b)(c)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
Residential Mortgage-Backed Securities(a) — continued
|
|||||
|
WaMu Mortgage Pass-Through Certificates Trust, 2005-10 2A3 (1 mo. Term
SOFR + 1.014%)
|
4.693%
|
11/25/35
|
$56,604
|
$51,394
(b)(c)
|
|
|
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR2 B1 (1 mo. Term
SOFR + 0.909%)
|
4.588%
|
1/25/45
|
1,166,950
|
1,071,087
(b)(c)
|
|
|
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR13 A1C3 (1 mo.
Term SOFR + 1.094%)
|
4.773%
|
10/25/45
|
51,722
|
50,132
(b)(c)
|
|
|
WaMu Mortgage Pass-Through Certificates Trust, 2006-AR10 A1 (1 mo.
Term SOFR + 0.314%)
|
3.993%
|
12/25/36
|
215,509
|
107,656
(b)(c)
|
|
|
|
|||||
|
Total Residential Mortgage-Backed Securities (Cost — $136,405,502)
|
142,971,089
|
||||
|
Commercial Mortgage-Backed Securities(a) — 48.1%
|
|||||
|
280 Park Avenue Mortgage Trust, 2017-280P E (1 mo. Term SOFR + 2.419%)
|
6.089%
|
9/15/34
|
3,430,000
|
3,363,869
(b)(d)
|
|
|
280 Park Avenue Mortgage Trust, 2017-280P F (1 mo. Term SOFR + 3.127%)
|
6.797%
|
9/15/34
|
320,000
|
311,186
(b)(d)
|
|
|
Atrium Hotel Portfolio Trust, 2017-ATRM E (1 mo. Term SOFR + 3.347%)
|
7.020%
|
12/15/36
|
1,388,311
|
1,314,626
(b)(d)
|
|
|
BANK, 2021-BN35 H
|
1.662%
|
6/15/64
|
1,860,000
|
751,004
(b)(d)
|
|
|
BANK, 2021-BN35 K
|
1.662%
|
6/15/64
|
4,703,147
|
1,784,961
(b)(d)
|
|
|
BANK, 2022-BNK43 E
|
3.000%
|
8/15/55
|
1,500,000
|
1,022,354
(d)
|
|
|
BF Mortgage Trust, 2019-NYT E (1 mo. Term SOFR + 2.797%)
|
6.470%
|
12/15/35
|
1,440,000
|
1,303,207
(b)(d)
|
|
|
BFLD Commercial Mortgage Trust, 2024-UNIV E (1 mo. Term SOFR + 3.640%)
|
7.312%
|
11/15/41
|
1,170,000
|
1,173,599
(b)(d)
|
|
|
BRES Commercial Mortgage Trust, 2025-ATCAP F (1 mo. Term SOFR +
5.189%)
|
8.861%
|
11/15/42
|
2,000,000
|
1,997,159
(b)(d)
|
|
|
BSREP Commercial Mortgage Trust, 2021-DC HRR (1 mo. Term SOFR +
5.614%)
|
9.287%
|
8/15/38
|
3,013,097
|
605,858
(b)(d)
|
|
|
BWAY Mortgage Trust, 2013-1515 F
|
3.928%
|
3/10/33
|
1,500,000
|
1,276,964
(b)(d)
|
|
|
BX Commercial Mortgage Trust, 2019-IMC F (1 mo. Term SOFR + 2.946%)
|
6.619%
|
4/15/34
|
2,000,000
|
1,968,711
(b)(d)
|
|
|
BX Commercial Mortgage Trust, 2022-LP2 G (1 mo. Term SOFR + 4.106%)
|
7.778%
|
2/15/39
|
805,000
|
805,049
(b)(d)
|
|
|
BX Commercial Mortgage Trust, 2024-KING E (1 mo. Term SOFR + 3.688%)
|
7.360%
|
5/15/34
|
1,174,537
|
1,177,422
(b)(d)
|
|
|
BX Commercial Mortgage Trust, 2025-SPOT E (1 mo. Term SOFR + 3.690%)
|
7.363%
|
4/15/40
|
1,133,303
|
1,135,396
(b)(d)
|
|
|
BX Commercial Mortgage Trust, 2026-VLT9 E (1 mo. Term SOFR + 4.250%)
|
7.923%
|
3/15/45
|
750,000
|
743,877
(b)(d)
|
|
|
CSMC Trust, 2017-CHOP F (PRIME + 1.294%)
|
8.044%
|
7/15/32
|
1,620,000
|
1,616,860
(b)(d)
|
|
|
CSMC Trust, 2017-CHOP H (PRIME + 4.294%)
|
11.044%
|
7/15/32
|
1,509,000
|
1,458,278
(b)(d)
|
|
|
CSMC Trust, 2021-ADV G (1 mo. Term SOFR + 6.364%)
|
10.037%
|
7/15/38
|
1,500,000
|
110
(b)(d)
|
|
|
Extended Stay America Trust, 2025-ESH D (1 mo. Term SOFR + 2.600%)
|
6.273%
|
10/15/42
|
330,000
|
331,230
(b)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Credit
Risk Trust, 2023-MN7 B1 (30 Day Average SOFR + 8.850%)
|
12.512%
|
9/25/43
|
2,200,000
|
2,559,326
(b)(d)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Credit
Risk Trust, 2021-MN1 B1 (30 Day Average SOFR + 7.750%)
|
11.412%
|
1/25/51
|
950,000
|
1,049,963
(b)(d)
|
|
|
FREMF Mortgage Trust, 2021-F117 CS (30 Day Average SOFR + 6.400%)
|
10.069%
|
7/25/31
|
539,301
|
497,949
(b)(d)
|
|
|
FRESB Mortgage Trust, 2018-SB48 B
|
4.141%
|
2/25/38
|
1,025,463
|
627,245
(b)(d)
|
|
|
Government National Mortgage Association (GNMA), 2020-89 IA, IO
|
1.169%
|
4/16/62
|
6,387,335
|
511,079
(b)
|
|
|
Greystone CRE Notes LLC, 2025-HC4 D (1 mo. Term SOFR + 3.940%)
|
7.613%
|
10/15/42
|
2,000,000
|
1,993,062
(b)(d)
|
|
|
GS Mortgage Securities Corp., 2024-70P HRR
|
9.333%
|
3/10/41
|
4,420,000
|
4,430,649
(b)(d)
|
|
|
GS Mortgage Securities Corp. Trust, 2018-LUAU G (1 mo. Term SOFR +
4.747%)
|
8.420%
|
11/15/32
|
2,500,000
|
2,491,345
(b)(d)
|
|
|
GS Mortgage Securities Trust, 2015-GC32 D
|
3.345%
|
7/10/48
|
10,216
|
10,017
|
|
|
HIH Trust, 2024-61P F (1 mo. Term SOFR + 5.437%)
|
9.110%
|
10/15/41
|
1,388,904
|
1,394,308
(b)(d)
|
|
|
HIT Trust, 2022-HI32 G (1 mo. Term SOFR + 7.228%)
|
10.900%
|
7/15/39
|
1,600,000
|
1,617,615
(b)(d)
|
|
|
KIND Trust, 2021-KIND F (1 mo. Term SOFR + 4.064%)
|
7.740%
|
8/15/38
|
1,299,330
|
1,283,826
(b)(d)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
Commercial Mortgage-Backed Securities(a) — continued
|
|||||
|
MF1 Ltd., 2021-FL7 E (1 mo. Term SOFR + 2.914%)
|
6.594%
|
10/16/36
|
$2,000,000
|
$1,973,572
(b)(d)
|
|
|
MLTI Trust, 2026-SF75 F (1 mo. Term SOFR + 4.000%)
|
7.673%
|
3/15/31
|
1,500,000
|
1,499,708
(b)(d)
|
|
|
Multifamily CAS Trust, 2019-1 CE (30 Day Average SOFR + 8.864%)
|
12.526%
|
10/25/49
|
2,500,000
|
2,554,635
(b)(d)
|
|
|
Multifamily CAS Trust, 2020-1 CE (30 Day Average SOFR + 7.614%)
|
11.276%
|
3/25/50
|
1,500,000
|
1,555,215
(b)(d)
|
|
|
Natixis Commercial Mortgage Securities Trust, 2019-FAME D
|
4.398%
|
8/15/36
|
500,000
|
327,893
(b)(d)
|
|
|
Natixis Commercial Mortgage Securities Trust, 2019-FAME E
|
4.398%
|
8/15/36
|
950,000
|
364,122
(b)(d)
|
|
|
Natixis Commercial Mortgage Securities Trust, 2022-JERI G (1 mo. Term
SOFR + 7.608%)
|
11.280%
|
1/15/39
|
3,500,000
|
2,373,644
(b)(d)
|
|
|
Natixis Commercial Mortgage Securities Trust, 2022-RRI E (1 mo. Term SOFR
+ 5.193%)
|
8.866%
|
3/15/35
|
421,043
|
421,944
(b)(d)
|
|
|
NYC Commercial Mortgage Trust, 2025-28L F
|
8.130%
|
11/5/38
|
600,000
|
606,049
(b)(d)
|
|
|
NYC Commercial Mortgage Trust, 2025-28L G
|
9.321%
|
11/5/38
|
1,400,000
|
1,403,730
(b)(d)
|
|
|
ROCK Trust, 2024-CNTR E
|
8.819%
|
11/13/41
|
1,600,000
|
1,669,158
(d)
|
|
|
SFO Commercial Mortgage Trust, 2021-555 E (1 mo. Term SOFR + 3.014%)
|
6.687%
|
5/15/38
|
1,500,000
|
1,484,019
(b)(d)
|
|
|
SMR Mortgage Trust, 2022-IND G (1 mo. Term SOFR + 7.500%)
|
11.173%
|
2/15/39
|
1,820,770
|
1,699,720
(b)(d)
|
|
|
Soho Trust, 2021-SOHO D
|
2.697%
|
8/10/38
|
1,000,000
|
732,599
(b)(d)
|
|
|
Wells Fargo Commercial Mortgage Trust, 2022-JS2 G
|
3.454%
|
12/15/39
|
2,200,000
|
1,784,881
(b)(d)
|
|
|
|
|||||
|
Total Commercial Mortgage-Backed Securities (Cost — $68,840,337)
|
63,058,993
|
||||
|
|
|
|
|
Face
Amount/
Units
|
|
|
Asset-Backed Securities — 18.5%
|
|||||
|
Apex Credit CLO Ltd., 2019-2A D1NR (3 mo. Term SOFR + 3.500%)
|
7.168%
|
1/25/38
|
$560,000
|
547,626
(b)(c)(d)
|
|
|
Avis Budget Rental Car Funding AESOP LLC, 2023-6A D
|
7.370%
|
12/20/29
|
670,000
|
681,001
(d)
|
|
|
Balboa Bay Loan Funding Ltd., 2023-1A ERR (3 mo. Term SOFR + 5.400%)
|
9.068%
|
4/20/36
|
640,000
|
628,639
(b)(c)(d)
|
|
|
Balboa Bay Loan Funding Ltd., 2024-2A E (3 mo. Term SOFR + 5.750%)
|
9.418%
|
1/20/38
|
290,000
|
283,073
(b)(c)(d)
|
|
|
Bear Mountain Park CLO Ltd., 2022-1A ER (3 mo. Term SOFR + 5.950%)
|
9.622%
|
7/15/37
|
500,000
|
449,801
(b)(c)(d)
|
|
|
Black Diamond CLO Ltd., 2021-1A CR (3 mo. Term SOFR + 3.900%)
|
7.569%
|
11/22/34
|
510,000
|
505,761
(b)(c)(d)
|
|
|
Clover CLO LLC, 2021-3A ER (3 mo. Term SOFR + 4.900%)
|
8.568%
|
1/25/35
|
720,000
|
671,246
(b)(c)(d)
|
|
|
Columbia Cent CLO Ltd., 2025-35A D1A (3 mo. Term SOFR + 3.500%)
|
7.168%
|
7/25/36
|
500,000
|
499,875
(b)(c)(d)
|
|
|
Conseco Finance Corp., 1999-4 A8
|
7.700%
|
5/1/31
|
4,566,977
|
1,143,910
(b)
|
|
|
Conseco Finance Corp., 1999-4 A9
|
7.020%
|
5/1/31
|
10,152,450
|
2,353,377
(b)
|
|
|
DRB Prime Student Loan Trust, 2017-A R
|
41.212%
|
5/27/42
|
429
|
707,545
(d)(e)
|
|
|
Elevation CLO Ltd., 2016-5A ERR (3 mo. Term SOFR + 7.580%)
|
11.248%
|
1/25/38
|
500,000
|
478,907
(b)(c)(d)
|
|
|
Golub Capital Partners CLO Ltd., 2024-77A E (3 mo. Term SOFR + 4.850%)
|
8.518%
|
1/25/38
|
850,000
|
809,846
(b)(c)(d)
|
|
|
Hartwick Park CLO Ltd., 2023-1A ER (3 mo. Term SOFR + 4.850%)
|
8.518%
|
1/20/37
|
630,000
|
583,927
(b)(c)(d)
|
|
|
Home Partners of America Trust, 2021-2 F
|
3.799%
|
12/17/26
|
1,429,424
|
1,408,922
(c)(d)
|
|
|
Huntington Bank Auto Credit-Linked Notes, 2025-2 D (30 Day Average SOFR
+ 3.250%)
|
6.923%
|
9/20/33
|
548,146
|
536,140
(b)(d)
|
|
|
Jamestown CLO Ltd., 2021-17A DR (3 mo. Term SOFR + 3.500%)
|
7.168%
|
1/25/35
|
280,000
|
277,501
(b)(c)(d)
|
|
|
Loanpal Solar Loan Ltd., 2020-3GS C
|
3.500%
|
12/20/47
|
578,953
|
347,746
(d)
|
|
|
Loanpal Solar Loan Ltd., 2021-1GS C
|
3.500%
|
1/20/48
|
604,714
|
458,052
(d)
|
|
|
Lunar Structured Aircraft Portfolio Notes, 2021-1 C
|
5.682%
|
10/15/46
|
804,485
|
783,924
(d)
|
|
|
MetroNet Infrastructure Issuer LLC, 2025-2A C
|
7.830%
|
8/20/55
|
670,000
|
681,025
(d)
|
|
|
MidOcean Credit CLO LLC, 2025-18A E (3 mo. Term SOFR + 5.400%)
|
9.070%
|
10/18/35
|
600,000
|
596,068
(b)(c)(d)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount/
Units
|
Value
|
|
Asset-Backed Securities — continued
|
|||||
|
National Collegiate Class A-3L Commutation Trust, 2007-4VI O (1 mo. USD
LIBOR + 0.850%)
|
5.819%
|
3/29/38
|
$5,942,187
|
$442,063
(b)(d)
|
|
|
National Collegiate Student Loan Trust, 2006-3 B (1 mo. Term SOFR +
0.474%)
|
4.153%
|
1/26/32
|
1,409,126
|
1,337,143
(b)
|
|
|
Nelnet Student Loan Trust, 2021-DA D
|
4.380%
|
4/20/62
|
1,200,000
|
1,054,623
(d)
|
|
|
New Mountain CLO Ltd., 5A D1R (3 mo. Term SOFR + 3.150%)
|
6.818%
|
7/20/36
|
260,000
|
257,857
(b)(c)(d)
|
|
|
NRM Excess LLC, 2024-FNT1 A
|
7.398%
|
11/25/31
|
657,527
|
661,176
(d)
|
|
|
Ocean Trails CLO Ltd., 2023-14A ER (3 mo. Term SOFR + 6.340%)
|
10.008%
|
1/20/38
|
600,000
|
513,399
(b)(c)(d)
|
|
|
RBS Acceptance Inc., 1995-BA1 B2
|
9.000%
|
12/10/26
|
2,191,561
|
22
|
|
|
Renew Financial, 2024-2A B
|
8.223%
|
11/20/60
|
828,638
|
830,138
(d)
|
|
|
RR Ltd., 2021-18A DR (3 mo. Term SOFR + 4.900%)
|
8.572%
|
7/15/40
|
520,000
|
504,979
(b)(c)(d)
|
|
|
SEB Funding LLC, 2024-1A A2
|
7.386%
|
4/30/54
|
1,020,000
|
1,039,057
(d)
|
|
|
Sierra Timeshare Receivables Funding LLC, 2024-1A D
|
8.020%
|
1/20/43
|
265,708
|
271,553
(d)
|
|
|
Stonepeak, 2021-1A B
|
3.821%
|
2/28/33
|
515,846
|
506,577
(d)
|
|
|
Sunnova Hellios II Issuer LLC, 2018-1A B
|
7.710%
|
7/20/48
|
750,653
|
671,754
(d)
|
|
|
Whitebox CLO Ltd., 2025-5A E (3 mo. Term SOFR + 5.250%)
|
8.918%
|
7/20/38
|
690,000
|
676,117
(b)(c)(d)
|
|
|
|
|||||
|
Total Asset-Backed Securities (Cost — $26,077,347)
|
24,200,370
|
||||
|
|
|
|
|
Shares
|
|
|
Preferred Stocks — 3.1%
|
|||||
|
Financials — 3.1%
|
|||||
|
Mortgage Real Estate Investment Trusts (REITs) — 3.1%
|
|||||
|
AGNC Investment Corp., Non Voting Shares (3 mo. Term SOFR + 4.959%)
|
8.641%
|
|
52,953
|
1,285,169
(b)
|
|
|
Chimera Investment Corp., Non Voting Shares
|
8.000%
|
|
31,752
|
650,281
|
|
|
Chimera Investment Corp., Non Voting Shares (3 mo. Term SOFR + 5.005%)
|
8.705%
|
|
31,276
|
616,763
(b)
|
|
|
MFA Financial Inc., Non Voting Shares (3 mo. Term SOFR + 5.607%)
|
9.289%
|
|
70,049
|
1,482,937
(b)
|
|
|
|
|||||
|
Total Preferred Stocks (Cost — $4,280,519)
|
|
|
|
|
4,035,150
|
|
|
|
|
Maturity
Date
|
Face
Amount
|
|
|
Corporate Bonds & Notes — 3.2%
|
|||||
|
Consumer Discretionary — 0.7%
|
|||||
|
Hotels, Restaurants & Leisure — 0.7%
|
|||||
|
Full House Resorts Inc., Senior Secured Notes
|
8.250%
|
2/15/28
|
$1,050,000
|
958,125
(d)
|
|
|
|
|||||
|
Financials — 1.9%
|
|||||
|
Insurance — 0.6%
|
|||||
|
Allianz SE, Junior Subordinated Notes (3.200% to 4/30/28 then 5 year
Treasury Constant Maturity Rate + 2.165%)
|
3.200%
|
10/30/27
|
800,000
|
749,158
(b)(d)(f)
|
|
|
Mortgage Real Estate Investment Trusts (REITs) — 1.3%
|
|||||
|
Arbor Realty SR Inc., Senior Notes
|
8.500%
|
12/15/28
|
400,000
|
393,271
(d)
|
|
|
Arbor Realty SR Inc., Senior Notes
|
7.875%
|
7/15/30
|
1,430,000
|
1,323,203
(d)
|
|
|
Total Mortgage Real Estate Investment Trusts (REITs)
|
1,716,474
|
||||
|
|
|||||
|
Total Financials
|
2,465,632
|
||||
|
Health Care — 0.5%
|
|||||
|
Health Care Providers & Services — 0.5%
|
|||||
|
CHS/Community Health Systems Inc., Secured Notes
|
6.875%
|
4/15/29
|
710,000
|
683,494
(d)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
|
|||||
|
Real Estate — 0.1%
|
|||||
|
Real Estate Management & Development — 0.1%
|
|||||
|
Cushman & Wakefield US Borrower LLC, Senior Secured Notes
|
8.875%
|
9/1/31
|
$130,000
|
$137,785
(d)
|
|
|
|
|||||
|
Total Corporate Bonds & Notes (Cost — $4,162,091)
|
4,245,036
|
||||
|
Senior Loans — 1.1%
|
|||||
|
Financials — 0.8%
|
|||||
|
Financial Services — 0.8%
|
|||||
|
Greystone Select Holdings LLC, Term Loan B (3 mo. Term SOFR + 5.262%)
|
8.931%
|
6/16/28
|
965,190
|
951,918
(b)(g)(h)
|
|
|
|
|||||
|
Real Estate — 0.3%
|
|||||
|
Real Estate Management & Development — 0.3%
|
|||||
|
Cushman & Wakefield US Borrower LLC, 2025 Term Loan (1 mo. Term SOFR
+ 2.750%)
|
6.418%
|
1/31/30
|
423,750
|
425,869
(b)(g)(h)(i)
|
|
|
|
|||||
|
Total Senior Loans (Cost — $1,376,956)
|
1,377,787
|
||||
|
Total Investments before Short-Term Investments (Cost — $241,142,752)
|
239,888,425
|
||||
|
|
|||||
|
Short-Term Investments — 3.8%
|
|||||
|
Goldman Sachs & Co. repurchase agreement dated 3/31/26; Proceeds at
maturity— $5,000,501; (Fully collateralized by U.S. government obligations,
2.375% due 2/15/42; Market value—$5,093,354) (Cost — $5,000,000)
|
3.610%
|
4/1/26
|
5,000,000
|
5,000,000
|
|
|
Total Investments — 186.9% (Cost — $246,142,752)
|
244,888,425
|
||||
|
Liabilities in Excess of Other Assets — (86.9)%
|
(113,879,961
)
|
||||
|
Total Net Assets — 100.0%
|
$131,008,464
|
||||
|
(a)
|
Collateralized mortgage obligations are secured by an underlying pool of mortgages
or mortgage pass-through certificates that are structured to direct
payments on underlying collateral to different series or classes of the obligations.
The interest rate may change positively or inversely in relation to one or
more interest rates, financial indices or other financial indicators and may be subject
to an upper and/or lower limit.
|
|
(b)
|
Variable rate security. Interest rate disclosed is as of the most recent information
available. Certain variable rate securities are not based on a published
reference rate and spread but are determined by the issuer or agent and are based
on current market conditions. These securities do not indicate a
reference rate and spread in their description above.
|
|
(c)
|
All or a portion of this security is held by the counterparty as collateral for open
reverse repurchase agreements.
|
|
(d)
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933.
This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers. This security has been deemed
liquid pursuant to guidelines approved by the Board of Directors.
|
|
(e)
|
Rate shown is the current yield based on income received over the trailing twelve
months.
|
|
(f)
|
Security has no maturity date. The date shown represents the next call date.
|
|
(g)
|
Interest rates disclosed represent the effective rates on senior loans. Ranges in
interest rates are attributable to multiple contracts under the same loan.
|
|
(h)
|
Senior loans may be considered restricted in that the Fund ordinarily is contractually
obligated to receive approval from the agent bank and/or borrower
prior to the disposition of a senior loan.
|
|
(i)
|
Security is valued using significant unobservable inputs (Note 1).
|
|
Abbreviation(s) used in this schedule:
|
||
|
CAS
|
—
|
Connecticut Avenue Securities
|
|
CLO
|
—
|
Collateralized Loan Obligation
|
|
IO
|
—
|
Interest Only
|
|
LIBOR
|
—
|
London Interbank Offered Rate
|
|
PAC
|
—
|
Planned Amortization Class
|
|
PO
|
—
|
Principal Only
|
|
REMIC
|
—
|
Real Estate Mortgage Investment Conduit
|
|
Re-REMIC
|
—
|
Resecuritization of Real Estate Mortgage Investment Conduit
|
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
|
USD
|
—
|
United States Dollar
|
|
Counterparty
|
Rate
|
Effective
Date
|
Maturity
Date
|
Face Amount
of Reverse
Repurchase
Agreements
|
Asset Class
of Collateral*
|
Collateral
Value**
|
|
Nomura
Securities Inc.
|
5.684%
|
1/15/2026
|
4/13/2026
|
$113,921,000
|
Residential Mortgage-Backed Securities
Asset-Backed Securities
|
$122,425,873
9,842,366
|
|
Nomura
Securities Inc.
|
5.684%
|
1/30/2026
|
4/13/2026
|
2,383,000
|
Residential Mortgage-Backed Securities
|
2,729,915
|
|
|
|
|
|
$116,304,000
|
|
$134,998,154
|
|
*
|
Refer to the Schedule of Investments for positions held at the counterparty as collateral
for reverse repurchase agreements.
|
|
**
|
Including accrued interest.
|
|
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount
|
Market
Value
|
Unrealized
Appreciation
|
|
Contracts to Sell:
|
|
|
|
|
|
|
U.S. Treasury Long-Term Bonds
|
44
|
6/26
|
$5,175,600
|
$5,010,500
|
$165,100
|
|
U.S. Treasury Ultra 10-Year Notes
|
79
|
6/26
|
9,128,048
|
8,967,735
|
160,313
|
|
U.S. Treasury Ultra Long-Term Bonds
|
20
|
6/26
|
2,394,028
|
2,331,250
|
62,778
|
|
Net unrealized appreciation on open futures contracts
|
$388,191
|
||||
|
ASSETS
|
||||
|
Description
|
Quoted Prices
(Level 1)
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Long-Term Investments†:
|
|
|
|
|
|
Residential Mortgage-Backed Securities
|
—
|
$142,971,089
|
—
|
$142,971,089
|
|
Commercial Mortgage-Backed Securities
|
—
|
63,058,993
|
—
|
63,058,993
|
|
Asset-Backed Securities
|
—
|
24,200,370
|
—
|
24,200,370
|
|
Corporate Bonds & Notes
|
—
|
4,245,036
|
—
|
4,245,036
|
|
Preferred Stocks
|
$4,035,150
|
—
|
—
|
4,035,150
|
|
Senior Loans:
|
|
|
|
|
|
Financials
|
—
|
951,918
|
—
|
951,918
|
|
Real Estate
|
—
|
—
|
$425,869
|
425,869
|
|
Total Long-Term Investments
|
4,035,150
|
235,427,406
|
425,869
|
239,888,425
|
|
Short-Term Investments†
|
—
|
5,000,000
|
—
|
5,000,000
|
|
Total Investments
|
$4,035,150
|
$240,427,406
|
$425,869
|
$244,888,425
|
|
Other Financial Instruments:
|
|
|
|
|
|
Futures Contracts††
|
$388,191
|
—
|
—
|
$388,191
|
|
Total
|
$4,423,341
|
$240,427,406
|
$425,869
|
$245,276,616
|
|
†
|
See Schedule of Investments for additional detailed categorizations.
|
|
††
|
Reflects the unrealized appreciation (depreciation) of the instruments.
|
|
|
Affiliate
Value at
December 31, 2025
|
Purchased
|
Sold
|
||
|
Cost
|
Shares
|
Proceeds
|
Shares
|
||
|
Western Asset Premier
Institutional Government
Reserves, Premium
Shares
|
$828,977
|
$10,161,260
|
10,161,260
|
$10,990,237
|
10,990,237
|
|
(cont’d)
|
Realized
Gain (Loss)
|
Dividend
Income
|
Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)
|
Affiliate
Value at
March 31,
2026
|
|
Western Asset Premier
Institutional Government
Reserves, Premium Shares
|
—
|
$5,765
|
—
|
—
|