|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount $/Shares |
|
Security Description |
|
Rate |
|
|
Maturity |
|
Value $ |
|
Asset Backed Obligations - 1.6% |
|
500,000 |
|
Blue Stream Issuer LLC, Series 2023-1A-C |
|
|
8.90 |
% (a) |
|
05/20/2053 |
|
|
453,970 |
|
1,144,750 |
|
Jimmy Johns Funding LLC, Series 2017-1A-A2II |
|
|
4.85 |
% (a) |
|
07/30/2047 |
|
|
1,059,749 |
|
1,000,000 |
|
LendingPoint Asset Securitization Trust, Series 2022-B-B |
|
|
5.99 |
% (a) |
|
10/15/2029 |
|
|
959,457 |
|
20,000 |
|
SoFi Professional Loan Program LLC, Series 2018-A-R1 |
|
|
0.00 |
% (b)(c) |
|
02/25/2042 |
|
|
310,106 |
|
5,930 |
|
SoFi Professional Loan Program LLC, Series 2018-A-R2 |
|
|
0.00 |
% (b)(c) |
|
02/25/2042 |
|
|
91,947 |
|
1,000,000 |
|
Upstart Pass-Through Trust, Series 2021-ST5-CERT |
|
|
0.00 |
% (a)(b)(c) |
|
07/20/2027 |
|
|
225,914 |
|
735,720 |
|
Willis Engine Structured Trust, Series 2021-A-C |
|
|
7.39 |
% (a)(c) |
|
05/15/2046 |
|
|
604,070 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset Backed Obligations (Cost $4,287,573) |
|
|
3,705,213 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Bank Loans - 11.7% |
|
370,000 |
|
AAdvantage Loyalty IP Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor) |
|
|
10.00 |
% |
|
04/20/2028 |
|
|
378,392 |
|
476,439 |
|
Acrisure LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) |
|
|
8.65 |
% |
|
02/16/2027 |
|
|
463,720 |
|
120,000 |
|
Acuris Finance, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.10%, 0.50% Floor) |
|
|
9.05 |
% |
|
02/16/2028 |
|
|
118,789 |
|
700,000 |
|
Almonde, Inc., Senior Secured Second Lien Term Loan (2 Month LIBOR USD + 7.25%, 1.00% Floor) |
|
|
12.08 |
% |
|
06/16/2025 |
|
|
638,008 |
|
424,625 |
|
American Tire Distributors, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 6.51%, 0.75% Floor) |
|
|
10.61 |
% |
|
10/20/2028 |
|
|
370,436 |
|
|
|
Applied Systems, Inc., Senior Secured Second Lien Term Loan |
|
|
|
|
|
|
|
|
|
|
1,213,142 |
|
(3 Month Secured Overnight Financing Rate + 6.75%, 0.75% Floor) |
|
|
11.99 |
% |
|
09/17/2027 |
|
|
1,216,556 |
|
16,858 |
|
(3 Month LIBOR USD + 6.75%, 0.75% Floor) |
|
|
9.17 |
% |
|
09/17/2027 |
|
|
16,906 |
|
500,000 |
|
Artera Services LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.25%, 1.00% Floor) |
|
|
11.98 |
% |
|
03/06/2026 |
|
|
341,875 |
|
230,000 |
|
Ascend Learning LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.85%, 0.50% Floor) |
|
|
10.66 |
% |
|
12/10/2029 |
|
|
196,938 |
|
180,704 |
|
Astra Acquisition Corporation, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.25%, 0.50% Floor) |
|
|
10.40 |
% |
|
10/25/2028 |
|
|
127,340 |
|
110,000 |
|
Asurion LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.35%) |
|
|
10.40 |
% |
|
01/31/2028 |
|
|
94,016 |
|
450,000 |
|
Asurion LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.35%) |
|
|
10.27 |
% |
|
01/19/2029 |
|
|
378,644 |
|
455,700 |
|
Atlas Purchaser, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 0.75% Floor) |
|
|
8.68 |
% |
|
05/08/2028 |
|
|
309,236 |
|
825,000 |
|
Aveanna Healthcare LLC, Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 7.00%, 0.50% Floor) |
|
|
11.95 |
% |
|
12/10/2029 |
|
|
514,594 |
|
134,322 |
|
Bausch & Lomb Corporation, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 3.35%, 0.50% Floor) |
|
|
8.59 |
% |
|
05/10/2027 |
|
|
130,628 |
|
119,690 |
|
BCPE Empire Holdings, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.75%, 0.50% Floor) |
|
|
9.84 |
% |
|
12/11/2028 |
|
|
119,560 |
|
428,714 |
|
Boxer Parent Company, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.86%) |
|
|
8.90 |
% |
|
10/02/2025 |
|
|
425,808 |
|
|
|
Brand Industrial Services, Inc., Senior Secured First Lien Term Loan |
|
|
|
|
|
|
|
|
|
|
217,111 |
|
(1 Month LIBOR USD + 4.25%, 1.00% Floor) |
|
|
9.40 |
% |
|
06/21/2024 |
|
|
214,758 |
|
50,866 |
|
(1 Month LIBOR USD + 4.25%, 1.00% Floor) |
|
|
9.47 |
% |
|
06/21/2024 |
|
|
50,315 |
|
1,433 |
|
(3 Month LIBOR USD + 4.25%, 1.00% Floor) |
|
|
9.79 |
% |
|
06/21/2024 |
|
|
1,418 |
|
477,570 |
|
Castlelake Aviation LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 2.75%, 0.50% Floor) |
|
|
8.30 |
% |
|
10/22/2026 |
|
|
476,130 |
|
599,325 |
|
Cengage Learning, Inc., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 4.75%, 1.00% Floor) |
|
|
9.88 |
% |
|
07/14/2026 |
|
|
588,576 |
|
230,932 |
|
CIRCOR International, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 5.50%, 0.50% Floor) |
|
|
10.65 |
% |
|
12/15/2028 |
|
|
232,111 |
|
124,354 |
|
Clear Channel Outdoor Holdings, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 3.76%) |
|
|
8.81 |
% |
|
08/21/2026 |
|
|
119,002 |
|
222,750 |
|
Clydesdale Acquisition Holdings, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.28%, 0.50% Floor) |
|
|
9.43 |
% |
|
04/13/2029 |
|
|
219,621 |
|
232,200 |
|
Connect US Finco LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor) |
|
|
8.66 |
% |
|
12/11/2026 |
|
|
232,345 |
|
200,000 |
|
Delta Topco, Inc., Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.25%, 0.75% Floor) |
|
|
12.16 |
% |
|
12/01/2028 |
|
|
184,334 |
|
832,913 |
|
DexKo Global, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 6.50%, 0.50% Floor) |
|
|
11.40 |
% |
|
10/04/2028 |
|
|
818,861 |
|
280,000 |
|
DG Investment Intermediate Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.86%, 0.75% Floor) |
|
|
12.02 |
% |
|
03/29/2029 |
|
|
249,375 |
|
158,029 |
|
DirectTV Financing LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.00%, 0.75% Floor) |
|
|
10.15 |
% |
|
08/02/2027 |
|
|
154,846 |
|
33,679 |
|
Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.60%) |
|
|
8.75 |
% |
|
04/06/2026 |
|
|
33,448 |
|
62,643 |
|
Dynasty Acquisition Company, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.60%) |
|
|
8.75 |
% |
|
04/06/2026 |
|
|
62,213 |
|
508,563 |
|
Eagle Parent Corporation, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.25%, 0.50% Floor) |
|
|
9.15 |
% |
|
04/02/2029 |
|
|
497,331 |
|
268,034 |
|
EG Group Ltd., Senior Secured First Lien Term Loan (Daily Secured Overnight Financing Rate + 4.11%) |
|
|
9.16 |
% |
|
02/06/2025 |
|
|
264,461 |
|
299,665 |
|
Eisner Advisory Group LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.36%, 0.75% Floor) |
|
|
10.52 |
% |
|
07/28/2028 |
|
|
299,665 |
|
419,885 |
|
EnergySolutions LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%, 1.00% Floor) |
|
|
8.91 |
% |
|
05/09/2025 |
|
|
413,389 |
|
356,125 |
|
Flynn Canada Ltd., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.61%, 0.50% Floor) |
|
|
9.38 |
% |
|
07/21/2028 |
|
|
330,306 |
|
88,034 |
|
Foresight Energy LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 8.10%, 1.50% Floor) |
|
|
12.73 |
% (c) |
|
06/30/2027 |
|
|
88,034 |
|
|
|
Getty Images, Inc., Senior Secured First Lien Term Loan |
|
|
|
|
|
|
|
|
|
|
3,462 |
|
(1 Month Secured Overnight Financing Rate + 4.50%) |
|
|
9.75 |
% |
|
02/19/2026 |
|
|
3,466 |
|
111,150 |
|
(3 Month Secured Overnight Financing Rate + 4.50%) |
|
|
9.84 |
% |
|
02/19/2026 |
|
|
111,289 |
|
69,520 |
|
GIP II Blue Holding LP, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.61%, 1.00% Floor) |
|
|
9.66 |
% |
|
09/29/2028 |
|
|
69,843 |
|
367,298 |
|
Grab Holdings, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.50%, 1.00% Floor) |
|
|
9.66 |
% |
|
01/29/2026 |
|
|
367,682 |
|
547,222 |
|
Gray Television, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.11%) |
|
|
8.27 |
% |
|
12/01/2028 |
|
|
535,722 |
|
323,719 |
|
Groupe Solmax, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.75%, 0.75% Floor) |
|
|
9.48 |
% |
|
05/30/2028 |
|
|
306,371 |
|
|
|
Gulf Finance LLC, Senior Secured First Lien Term Loan |
|
|
|
|
|
|
|
|
|
|
188,558 |
|
(1 Month Secured Overnight Financing Rate + 6.86%, 1.00% Floor) |
|
|
11.97 |
% |
|
08/25/2026 |
|
|
183,871 |
|
336,557 |
|
(1 Month Secured Overnight Financing Rate + 6.86%, 1.00% Floor) |
|
|
12.00 |
% |
|
08/25/2026 |
|
|
328,190 |
|
378,000 |
|
Hyland Software, Inc., Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.25%, 0.75% Floor) |
|
|
11.27 |
% |
|
07/07/2025 |
|
|
365,243 |
|
480,000 |
|
Ineos US Finance LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.60%) |
|
|
8.75 |
% |
|
02/19/2030 |
|
|
477,900 |
|
475,638 |
|
Intelsat Jackson Holdings S.A., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.50%, 0.50% Floor) |
|
|
9.44 |
% |
|
02/01/2029 |
|
|
474,321 |
|
122,500 |
|
ION Trading Technologies SARL, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%) |
|
|
9.91 |
% |
|
03/31/2028 |
|
|
120,400 |
|
78,600 |
|
Jo-Ann Stores LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.75%, 0.75% Floor) |
|
|
10.02 |
% |
|
07/07/2028 |
|
|
41,330 |
|
457,200 |
|
Keane Group Holdings LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 1.00% Floor) |
|
|
8.38 |
% |
|
05/26/2025 |
|
|
458,535 |
|
205,000 |
|
Kenan Advantage Group, Inc., Senior Secured First Lien Term Loan (6 Month Secured Overnight Financing Rate + 4.43%, 0.75% Floor) |
|
|
8.55 |
% |
|
03/24/2026 |
|
|
205,128 |
|
290,000 |
|
LBM Acquisition LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.75%, 0.75% Floor) |
|
|
8.90 |
% |
|
12/17/2027 |
|
|
279,276 |
|
84,684 |
|
Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 1.00%) |
|
|
9.22 |
% |
|
06/30/2025 |
|
|
49,399 |
|
6,257 |
|
Lealand Finance Company B.V., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.00%) |
|
|
8.15 |
% |
|
06/30/2024 |
|
|
5,005 |
|
117,431 |
|
Lereta LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.36%, 0.75% Floor) |
|
|
10.52 |
% |
|
07/27/2028 |
|
|
108,036 |
|
178,125 |
|
LSF9 Atlantis Holdings LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.25%, 0.75% Floor) |
|
|
12.15 |
% |
|
03/31/2029 |
|
|
176,566 |
|
235,000 |
|
MedAssets Software Intermediate Holdings, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%, 0.50% Floor) |
|
|
11.90 |
% |
|
12/17/2029 |
|
|
141,147 |
|
199,875 |
|
Milano Acquisition Corporation, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.10%, 0.75% Floor) |
|
|
9.00 |
% |
|
10/01/2027 |
|
|
197,127 |
|
84,000 |
|
Mileage Plus Holdings LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.25%, 1.00% Floor) |
|
|
10.76 |
% |
|
06/21/2027 |
|
|
87,413 |
|
421,300 |
|
Minotaur Acquisition, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.85%) |
|
|
9.66 |
% |
|
03/27/2026 |
|
|
415,377 |
|
205,000 |
|
Mitchell International, Inc., Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.50%, 0.50% Floor) |
|
|
11.65 |
% |
|
10/15/2029 |
|
|
181,938 |
|
155,000 |
|
MLN US HoldCo LLC, Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 8.85%) |
|
|
12.50 |
% |
|
11/30/2026 |
|
|
29,450 |
|
110,000 |
|
NEP Group, Inc., Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 7.11%) |
|
|
12.27 |
% |
|
10/19/2026 |
|
|
80,621 |
|
71,509 |
|
New Constellis Borrower LLC, Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 11.36%, 1.00% Floor) (1 Month LIBOR USD + 11.36% + 1.00% PIK) |
|
|
16.51 |
% |
|
03/27/2025 |
|
|
36,589 |
|
456,495 |
|
NortonLifeLock, Inc., Senior Secured First Lien (1 Month Secured Overnight Financing Rate + 2.10%, 0.50% Floor) |
|
|
7.25 |
% |
|
09/12/2029 |
|
|
454,786 |
|
415,000 |
|
Olympus Water US Holding Corporation, Term Loan |
|
|
10.09 |
% (d) |
|
11/09/2028 |
|
|
402,291 |
|
117,600 |
|
OYO Hospitality Netherlands B.V., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 8.25%, 0.75% Floor) |
|
|
13.27 |
% |
|
06/23/2026 |
|
|
100,842 |
|
369,075 |
|
Par Petroleum, LLC, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.35%, 0.50% Floor) |
|
|
8.82 |
% |
|
02/28/2030 |
|
|
364,000 |
|
527,337 |
|
Penn National Gaming, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 2.85%, 0.50% Floor) |
|
|
8.00 |
% |
|
05/03/2029 |
|
|
526,293 |
|
720,000 |
|
PetVet Care Centers LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.25%) |
|
|
11.40 |
% |
|
02/13/2026 |
|
|
661,500 |
|
119,385 |
|
PG&E Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.00%, 0.50% Floor) |
|
|
7.88 |
% |
|
06/23/2025 |
|
|
119,512 |
|
183,613 |
|
PMHC, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.40%, 0.50% Floor) |
|
|
9.30 |
% |
|
04/23/2029 |
|
|
162,371 |
|
|
|
Polar US Borrower LLC, Senior Secured First Lien Term Loan |
|
|
|
|
|
|
|
|
|
|
31,491 |
|
(6 Month Secured Overnight Financing Rate + 4.75%) |
|
|
9.7 |
% |
|
10/15/2025 |
|
|
24,983 |
|
26,914 |
|
(3 Month Secured Overnight Financing Rate + 4.75%) |
|
|
9.83 |
% |
|
10/15/2025 |
|
|
21,351 |
|
87,975 |
|
Potters Borrower LP, Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 4.00%, 0.75% Floor) |
|
|
8.73 |
% |
|
12/14/2027 |
|
|
88,168 |
|
251,331 |
|
Prairie ECI Acquiror LP, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 4.75%) |
|
|
9.90 |
% |
|
03/11/2026 |
|
|
248,504 |
|
|
|
Pretium PKG Holdings, Inc., Senior Secured Second Lien Term Loan |
|
|
|
|
|
|
|
|
|
|
155,000 |
|
(3 Month LIBOR USD + 6.75%, 0.50% Floor) |
|
|
12.26 |
% |
|
09/30/2029 |
|
|
83,895 |
|
155,000 |
|
(3 Month LIBOR USD + 6.75%, 0.50% Floor) |
|
|
11.97 |
% |
|
09/30/2029 |
|
|
83,894 |
|
626,810 |
|
Pug LLC, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.35%, 0.50% Floor) |
|
|
9.27 |
% |
|
02/13/2027 |
|
|
568,830 |
|
477,582 |
|
QUIKRETE Holdings, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 3.00%) |
|
|
8.15 |
% |
|
03/18/2029 |
|
|
478,644 |
|
500,000 |
|
Radiology Partners, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.36%) |
|
|
8.88 |
% |
|
07/09/2025 |
|
|
379,220 |
|
455,000 |
|
RegionalCare Hospital Partners Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 3.75%) |
|
|
8.58 |
% |
|
11/14/2025 |
|
|
422,520 |
|
21,564 |
|
Rentpath, Inc., Senior Secured First Lien Term Loan (Prime Rate) |
|
|
3.25 |
% |
|
04/25/2024 |
|
|
323 |
|
234,152 |
|
Riverbed Technology, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 6.00%, 1.00% Floor) (3 Month LIBOR USD + 6.00% + 2.00% PIK) |
|
|
11.33 |
% (e) |
|
12/07/2026 |
|
|
63,572 |
|
76,101 |
|
Securus Technologies Holdings, Inc., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 4.50%, 1.00% Floor) |
|
|
9.66 |
% |
|
11/01/2024 |
|
|
68,660 |
|
530,000 |
|
Select Medical Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 2.60%) |
|
|
7.75 |
% |
|
03/06/2025 |
|
|
529,536 |
|
149,921 |
|
Skillsoft Finance, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.36%, 0.75% Floor) |
|
|
10.42 |
% |
|
07/14/2028 |
|
|
132,040 |
|
190,000 |
|
Sound Inpatient Physicians, Inc., Senior Secured Second Lien Term Loan (3 Month LIBOR USD + 6.75%) |
|
|
11.58 |
% |
|
06/26/2026 |
|
|
102,600 |
|
125,000 |
|
Southern Veterinary Partners LLC, Senior Secured Second Lien Term Loan |
|
|
12.94 |
% (d) |
|
09/22/2028 |
|
|
115,938 |
|
70,000 |
|
SRS Distribution, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%, 0.50% Floor) |
|
|
8.65 |
% |
|
06/02/2028 |
|
|
68,168 |
|
535,000 |
|
The Edelman Financial Engines Centre LLC, Senior Secured Second Lien Term Loan (1 Month LIBOR USD + 6.75%) |
|
|
11.90 |
% |
|
07/20/2026 |
|
|
518,348 |
|
182,689 |
|
Think & Learn Private Ltd., Senior Secured First Lien Term Loan (3 Month LIBOR USD + 8.00%, 0.75% Floor) |
|
|
12.93 |
% |
|
11/24/2026 |
|
|
116,464 |
|
119,370 |
|
Titan Acquisition Ltd., Senior Secured First Lien Term Loan (6 Month LIBOR USD + 3.00%) |
|
|
8.15 |
% |
|
03/28/2025 |
|
|
116,808 |
|
179,550 |
|
Transdigm, Inc., Senior Secured First Lien Term Loan (3 Month Secured Overnight Financing Rate + 3.25%) |
|
|
8.15 |
% |
|
08/24/2028 |
|
|
179,654 |
|
559,444 |
|
Travelport Finance (Luxembourg) SARL, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 1.10%, 1.00% Floor) |
|
|
12.54 |
% |
|
02/28/2025 |
|
|
551,755 |
|
|
|
Uber Technologies Inc, Senior Secured First Lien Term Loan |
|
|
|
|
|
|
|
|
|
|
125,448 |
|
(3 Month Secured Overnight Financing Rate + 2.75%) |
|
|
8.03 |
% |
|
03/04/2030 |
|
|
125,597 |
|
53,652 |
|
(3 Month Secured Overnight Financing Rate + 2.75%) |
|
|
7.99 |
% |
|
03/04/2030 |
|
|
53,716 |
|
90,000 |
|
UKG, Inc., Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 5.35%, 0.50% Floor) |
|
|
10.03 |
% |
|
05/03/2027 |
|
|
87,525 |
|
79,600 |
|
Vantage Specialty Chemicals, Inc., Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.75%, 0.50% Floor) |
|
|
9.81 |
% |
|
10/26/2026 |
|
|
77,491 |
|
286,624 |
|
Verscend Holding Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 4.11%) |
|
|
9.15 |
% |
|
08/27/2025 |
|
|
286,892 |
|
683,685 |
|
Viad Corporation, Senior Secured First Lien Term Loan (1 Month Secured Overnight Financing Rate + 5.11%, 0.50% Floor) |
|
|
10.27 |
% |
|
07/31/2028 |
|
|
666,593 |
|
480,000 |
|
Virgin Media Bristol LLC, Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.25%) |
|
|
8.36 |
% |
|
01/31/2029 |
|
|
478,627 |
|
160,000 |
|
VT Topco, Inc., Senior Secured Second Lien Term Loan (1 Month Secured Overnight Financing Rate + 6.86%, 0.75% Floor) |
|
|
12.02 |
% |
|
07/31/2026 |
|
|
152,800 |
|
481,250 |
|
WaterBridge Midstream Operating LLC, Senior Secured First Lien Term Loan (3 Month LIBOR USD + 5.75%, 1.00% Floor) |
|
|
11.01 |
% |
|
06/22/2026 |
|
|
479,108 |
|
50,000 |
|
WWEX UNI TopCo Holdings LLC, Senior Secured Second Lien Term Loan (3 Month Secured Overnight Financing Rate + 7.26%, 0.75% Floor) |
|
|
12.16 |
% |
|
07/26/2029 |
|
|
40,250 |
|
154,440 |
|
Zelis Cost Management Buyer, Inc., Senior Secured First Lien Term Loan (1 Month LIBOR USD + 3.50%) |
|
|
8.65 |
% |
|
09/30/2026 |
|
|
154,493 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Bank Loans (Cost $29,585,505) |
|
|
27,567,782 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized Loan Obligations - 36.4% |
|
1,000,000 |
|
Allegany Park Ltd., Series 2019-1A-ER (Secured Overnight Financing Rate 3 Month + 6.40%, 6.40% Floor) |
|
|
11.45 |
% (a) |
|
01/20/2035 |
|
|
866,563 |
|
1,000,000 |
|
ARES Ltd., Series 2014-1A-SUB |
|
|
0.00 |
% (a)(c)(f) |
|
04/17/2026 |
|
|
100 |
|
1,700,000 |
|
Atlas Senior Loan Fund Ltd., Series 2019-14A-D (3 Month LIBOR USD + 3.90%, 3.90% Floor) |
|
|
9.15 |
% (a) |
|
07/20/2032 |
|
|
1,471,322 |
|
1,000,000 |
|
Atrium Corporation, Series 9A-DR (3 Month LIBOR USD + 3.60%) |
|
|
9.06 |
% (a) |
|
05/28/2030 |
|
|
956,234 |
|
500,000 |
|
Bain Capital Credit Ltd., Series 2019-3A-DR (3 Month LIBOR USD + 3.10%, 3.10% Floor) |
|
|
8.36 |
% (a) |
|
10/21/2034 |
|
|
449,889 |
|
4,000,000 |
|
Bain Capital Credit Ltd., Series 2022-5A-D (Secured Overnight Financing Rate 3 Month + 4.39%, 4.39% Floor) |
|
|
9.46 |
% (a) |
|
07/24/2034 |
|
|
3,963,062 |
|
1,000,000 |
|
Barings Ltd., Series 2015-2A-DR (3 Month LIBOR USD + 2.95%) |
|
|
8.20 |
% (a) |
|
10/20/2030 |
|
|
938,924 |
|
1,000,000 |
|
Barings Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.60%) |
|
|
8.86 |
% (a) |
|
07/18/2029 |
|
|
982,117 |
|
500,000 |
|
Barings Ltd., Series 2018-3A-D (3 Month LIBOR USD + 2.90%) |
|
|
8.15 |
% (a) |
|
07/20/2029 |
|
|
482,714 |
|
1,000,000 |
|
Barings Ltd., Series 2018-3A-E (3 Month LIBOR USD + 5.75%) |
|
|
11.00 |
% (a) |
|
07/20/2029 |
|
|
897,617 |
|
2,500,000 |
|
Barings Ltd., Series 2019-1A-DR (3 Month LIBOR USD + 3.65%, 3.65% Floor) |
|
|
8.91 |
% (a) |
|
04/15/2036 |
|
|
2,350,814 |
|
1,500,000 |
|
Barings Ltd., Series 2019-1A-ER (3 Month LIBOR USD + 6.86%, 6.86% Floor) |
|
|
12.12 |
% (a) |
|
04/15/2036 |
|
|
1,366,610 |
|
1,000,000 |
|
Barings Ltd., Series 2019-2A-CR (3 Month LIBOR USD + 3.40%, 3.40% Floor) |
|
|
8.66 |
% (a) |
|
04/15/2036 |
|
|
946,232 |
|
5,000,000 |
|
Beechwood Park Ltd., Series 2019-1A-DR (Secured Overnight Financing Rate 3 Month + 3.10%, 3.10% Floor) |
|
|
8.09 |
% (a) |
|
01/17/2035 |
|
|
4,668,247 |
|
1,000,000 |
|
BlueMountain Ltd., Series 2013-2A-DR (3 Month LIBOR USD + 2.90%) |
|
|
8.17 |
% (a) |
|
10/22/2030 |
|
|
860,238 |
|
1,700,000 |
|
Canyon Capital Ltd., Series 2014-1A-CR (3 Month LIBOR USD + 2.75%, 2.75% Floor) |
|
|
8.05 |
% (a) |
|
01/30/2031 |
|
|
1,558,311 |
|
1,000,000 |
|
Canyon Capital Ltd., Series 2017-1A-DR (3 Month LIBOR USD + 3.00%, 3.00% Floor) |
|
|
8.26 |
% (a) |
|
07/15/2030 |
|
|
936,634 |
|
1,000,000 |
|
Canyon Capital Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.25%) |
|
|
11.51 |
% (a) |
|
07/15/2030 |
|
|
831,932 |
|
1,500,000 |
|
Canyon Capital Ltd., Series 2018-1A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) |
|
|
11.01 |
% (a) |
|
07/15/2031 |
|
|
1,200,568 |
|
1,550,000 |
|
Canyon Capital Ltd., Series 2019-1A-DR (3 Month LIBOR USD + 3.10%, 3.10% Floor) |
|
|
8.36 |
% (a) |
|
04/15/2032 |
|
|
1,438,498 |
|
1,000,000 |
|
Canyon Capital Ltd., Series 2019-1A-ER (3 Month LIBOR USD + 7.15%, 7.15% Floor) |
|
|
12.41 |
% (a) |
|
04/15/2032 |
|
|
885,831 |
|
2,250,000 |
|
Canyon Capital Ltd., Series 2021-1A-E (3 Month LIBOR USD + 6.41%, 6.41% Floor) |
|
|
11.67 |
% (a) |
|
04/15/2034 |
|
|
2,004,642 |
|
2,000,000 |
|
Carlyle Global Market Strategies Ltd., Series 2013-1A-CR (3 Month LIBOR USD + 3.35%) |
|
|
8.67 |
% (a) |
|
08/14/2030 |
|
|
1,850,071 |
|
1,500,000 |
|
Carlyle Global Market Strategies Ltd., Series 2015-5A-DR (3 Month LIBOR USD + 6.70%, 6.70% Floor) |
|
|
11.95 |
% (a) |
|
01/20/2032 |
|
|
1,185,169 |
|
1,000,000 |
|
Carlyle Global Market Strategies Ltd., Series 2021-1A-D (3 Month LIBOR USD + 6.00%, 6.00% Floor) |
|
|
11.26 |
% (a) |
|
04/15/2034 |
|
|
903,991 |
|
500,000 |
|
Cathedral Lake Ltd., Series 2021-8A-C (3 Month LIBOR USD + 2.62%, 2.62% Floor) |
|
|
7.87 |
% (a) |
|
01/20/2035 |
|
|
488,444 |
|
500,000 |
|
Dewolf Park Ltd., Series 2017-1A-DR (3 Month LIBOR USD + 2.85%, 2.85% Floor) |
|
|
8.11 |
% (a) |
|
10/15/2030 |
|
|
465,607 |
|
1,500,000 |
|
Dryden Senior Loan Fund, Series 2015-37A-ER (3 Month LIBOR USD + 5.15%, 5.15% Floor) |
|
|
10.41 |
% (a) |
|
01/15/2031 |
|
|
1,180,286 |
|
1,200,000 |
|
Dryden Senior Loan Fund, Series 2015-38A-ER (3 Month LIBOR USD + 5.60%, 5.60% Floor) |
|
|
10.86 |
% (a) |
|
07/15/2030 |
|
|
982,063 |
|
2,000,000 |
|
Dryden Senior Loan Fund, Series 2015-40A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor) |
|
|
11.07 |
% (a) |
|
08/15/2031 |
|
|
1,681,209 |
|
1,750,000 |
|
Dryden Senior Loan Fund, Series 2016-42A-ER (3 Month LIBOR USD + 5.55%) |
|
|
10.81 |
% (a) |
|
07/15/2030 |
|
|
1,453,741 |
|
500,000 |
|
Dryden Senior Loan Fund, Series 2017-50A-D (3 Month LIBOR USD + 3.25%, 3.25% Floor) |
|
|
8.51 |
% (a) |
|
07/15/2030 |
|
|
472,547 |
|
2,000,000 |
|
Gilbert Park Ltd., Series 2017-1A-E (3 Month LIBOR USD + 6.40%) |
|
|
11.66 |
% (a) |
|
10/15/2030 |
|
|
1,702,545 |
|
500,000 |
|
Goldentree Loan Management Ltd., Series 2018-3A-D (3 Month LIBOR USD + 2.85%) |
|
|
8.10 |
% (a) |
|
04/20/2030 |
|
|
473,666 |
|
1,000,000 |
|
Greenwood Park Ltd., Series 2018-1A-E (3 Month LIBOR USD + 4.95%) |
|
|
10.21 |
% (a) |
|
04/15/2031 |
|
|
795,911 |
|
775,000 |
|
Grippen Park Ltd., Series 2017-1A-D (3 Month LIBOR USD + 3.30%) |
|
|
8.55 |
% (a) |
|
01/20/2030 |
|
|
746,485 |
|
1,000,000 |
|
Highbridge Loan Management Ltd., Series 11A-17-E (3 Month LIBOR USD + 6.10%) |
|
|
11.42 |
% (a) |
|
05/06/2030 |
|
|
800,879 |
|
1,000,000 |
|
Highbridge Loan Management Ltd., Series 2013-2A-CR (3 Month LIBOR USD + 2.90%) |
|
|
8.15 |
% (a) |
|
10/20/2029 |
|
|
913,461 |
|
2,500,000 |
|
LCM LP, Series 26A-E (3 Month LIBOR USD + 5.30%, 5.30% Floor) |
|
|
10.55 |
% (a) |
|
01/20/2031 |
|
|
1,612,784 |
|
850,000 |
|
Madison Park Funding Ltd., Series 2014-14A-ER (3 Month LIBOR USD + 5.80%, 5.80% Floor) |
|
|
11.07 |
% (a) |
|
10/22/2030 |
|
|
747,030 |
|
1,500,000 |
|
Madison Park Funding Ltd., Series 2016-22A-ER (3 Month LIBOR USD + 6.70%, 6.70% Floor) |
|
|
11.96 |
% (a) |
|
01/15/2033 |
|
|
1,336,460 |
|
1,000,000 |
|
Madison Park Funding Ltd., Series 2019-34A-ER (3 Month LIBOR USD + 6.65%, 6.65% Floor) |
|
|
11.91 |
% (a) |
|
04/25/2032 |
|
|
966,506 |
|
1,500,000 |
|
Magnetite Ltd., Series 2019-24A-DR (Secured Overnight Financing Rate 3 Month + 3.05%, 3.05% Floor) |
|
|
8.04 |
% (a) |
|
04/15/2035 |
|
|
1,418,555 |
|
1,000,000 |
|
Magnetite Ltd., Series 2019-24A-ER (Secured Overnight Financing Rate 3 Month + 6.40%, 6.40% Floor) |
|
|
11.39 |
% (a) |
|
04/15/2035 |
|
|
922,966 |
|
500,000 |
|
Marble Point Ltd., Series 2021-3A-D1 (3 Month LIBOR USD + 3.50%, 3.50% Floor) |
|
|
8.76 |
% (a) |
|
10/17/2034 |
|
|
474,336 |
|
1,000,000 |
|
Neuberger Berman Loan Advisers Ltd., Series 2017-16SA-ER (3 Month LIBOR USD + 6.25%, 6.25% Floor) |
|
|
11.51 |
% (a) |
|
04/15/2034 |
|
|
902,892 |
|
1,000,000 |
|
Neuberger Berman Loan Advisers Ltd., Series 2017-25A-DR (3 Month LIBOR USD + 2.85%, 2.85% Floor) |
|
|
8.11 |
% (a) |
|
10/18/2029 |
|
|
955,898 |
|
2,000,000 |
|
Neuberger Berman Loan Advisers Ltd., Series 2019-32A-DR (3 Month LIBOR USD + 2.70%, 2.70% Floor) |
|
|
7.97 |
% (a) |
|
01/20/2032 |
|
|
1,882,141 |
|
2,500,000 |
|
Octagon Investment Partners Ltd., Series 2014-1A-CR3 (3 Month LIBOR USD + 2.75%, 2.75% Floor) |
|
|
8.07 |
% (a) |
|
02/14/2031 |
|
|
2,304,020 |
|
1,000,000 |
|
Octagon Investment Partners Ltd., Series 2014-1A-CRR (3 Month LIBOR USD + 1.90%, 1.90% Floor) |
|
|
7.17 |
% (a) |
|
01/22/2030 |
|
|
963,557 |
|
4,000,000 |
|
Octagon Investment Partners Ltd., Series 2014-1A-DRR (3 Month LIBOR USD + 7.00%, 7.00% Floor) |
|
|
12.32 |
% (a) |
|
02/14/2031 |
|
|
3,400,999 |
|
1,000,000 |
|
Octagon Investment Partners Ltd., Series 2016-1A-DR (3 Month LIBOR USD + 2.85%, 2.85% Floor) |
|
|
8.11 |
% (a) |
|
07/15/2030 |
|
|
881,957 |
|
2,000,000 |
|
Octagon Investment Partners Ltd., Series 2016-1A-ER (3 Month LIBOR USD + 7.25%) |
|
|
12.52 |
% (a) |
|
01/24/2033 |
|
|
1,796,643 |
|
1,000,000 |
|
Octagon Investment Partners Ltd., Series 2016-1A-FR (3 Month LIBOR USD + 8.09%, 8.09% Floor) |
|
|
13.35 |
% (a)(c) |
|
07/15/2030 |
|
|
772,068 |
|
500,000 |
|
Octagon Investment Partners Ltd., Series 2017-1A-CR (3 Month LIBOR USD + 3.30%) |
|
|
8.55 |
% (a) |
|
03/17/2030 |
|
|
451,620 |
|
2,000,000 |
|
Octagon Investment Partners Ltd., Series 2017-1A-SUB |
|
|
0.00 |
% (a)(b)(c)(f) |
|
03/17/2030 |
|
|
496,874 |
|
1,500,000 |
|
Octagon Investment Partners Ltd., Series 2018-1A-D (3 Month LIBOR USD + 5.20%, 5.20% Floor) |
|
|
10.45 |
% (a) |
|
01/20/2031 |
|
|
1,181,951 |
|
900,000 |
|
Octagon Investment Partners Ltd., Series 2018-3A-E (3 Month LIBOR USD + 5.75%, 5.75% Floor) |
|
|
11.00 |
% (a) |
|
10/20/2030 |
|
|
754,456 |
|
1,000,000 |
|
Octagon Investment Partners Ltd., Series 2019-1A-DR (3 Month LIBOR USD + 3.25%, 3.25% Floor) |
|
|
8.51 |
% (a) |
|
10/15/2034 |
|
|
910,291 |
|
500,000 |
|
Octagon Investment Partners Ltd., Series 2019-4A-E (3 Month LIBOR USD + 6.80%, 6.80% Floor) |
|
|
12.14 |
% (a) |
|
05/12/2031 |
|
|
437,051 |
|
500,000 |
|
OHA Credit Funding Ltd., Series 2021-9A-D (3 Month LIBOR USD + 2.95%, 2.95% Floor) |
|
|
8.22 |
% (a) |
|
07/19/2035 |
|
|
484,152 |
|
500,000 |
|
RR Ltd., Series 2017-2A-DR (3 Month LIBOR USD + 5.80%, 5.80% Floor) |
|
|
11.06 |
% (a) |
|
04/15/2036 |
|
|
444,626 |
|
1,000,000 |
|
RR Ltd., Series 2018-4A-C (3 Month LIBOR USD + 2.95%) |
|
|
8.21 |
% (a) |
|
04/15/2030 |
|
|
910,326 |
|
1,000,000 |
|
RR Ltd., Series 2019-6A-DR (3 Month LIBOR USD + 5.85%, 5.85% Floor) |
|
|
11.11 |
% (a) |
|
04/15/2036 |
|
|
860,925 |
|
2,500,000 |
|
Sound Point Ltd., Series 2019-2A-DR (3 Month LIBOR USD + 3.30%, 3.30% Floor) |
|
|
8.56 |
% (a) |
|
07/15/2034 |
|
|
2,206,490 |
|
2,500,000 |
|
THL Credit Wind River Ltd., Series 2014-2A-ER (3 Month LIBOR USD + 5.75%, 5.75% Floor) |
|
|
11.01 |
% (a)(c) |
|
01/15/2031 |
|
|
1,728,101 |
|
1,000,000 |
|
THL Credit Wind River Ltd., Series 2014-3A-DR2 (3 Month LIBOR USD + 3.40%, 3.40% Floor) |
|
|
8.67 |
% (a) |
|
10/22/2031 |
|
|
845,721 |
|
1,000,000 |
|
THL Credit Wind River Ltd., Series 2017-3A-DR (3 Month LIBOR USD + 3.85%, 3.85% Floor) |
|
|
9.11 |
% (a) |
|
04/15/2035 |
|
|
907,937 |
|
1,040,000 |
|
THL Credit Wind River Ltd., Series 2017-4A-D (3 Month LIBOR USD + 2.65%) |
|
|
8.03 |
% (a) |
|
11/20/2030 |
|
|
982,707 |
|
1,000,000 |
|
THL Credit Wind River Ltd., Series 2021-3A-D (3 Month LIBOR USD + 3.35%, 3.35% Floor) |
|
|
8.60 |
% (a) |
|
07/20/2033 |
|
|
898,921 |
|
2,250,000 |
|
Trimaran CAVU LLC, Series 2019-1A-D (3 Month LIBOR USD + 4.15%, 4.15% Floor) |
|
|
9.40 |
% (a) |
|
07/20/2032 |
|
|
2,136,938 |
|
500,000 |
|
Trimaran CAVU LLC, Series 2019-2A-C (3 Month LIBOR USD + 4.72%, 4.72% Floor) |
|
|
9.98 |
% (a) |
|
11/26/2032 |
|
|
479,983 |
|
500,000 |
|
Venture Ltd., Series 2017-30A-C (3 Month LIBOR USD + 1.95%) |
|
|
7.21 |
% (a) |
|
01/15/2031 |
|
|
480,150 |
|
1,000,000 |
|
Voya Ltd., Series 2020-1A-DR (3 Month LIBOR USD + 3.10%, 3.10% Floor) |
|
|
8.36 |
% (a) |
|
07/16/2034 |
|
|
917,358 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Collateralized Loan Obligations (Cost $97,811,997) |
|
|
86,008,564 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Corporate Bonds - 3.3% |
|
200,000 |
|
ABM Investama Tbk PT |
|
|
9.50 |
% (a) |
|
08/05/2026 |
|
|
181,800 |
|
183,000 |
|
Adani International Container Terminal Private Ltd. |
|
|
3.00 |
% |
|
02/16/2031 |
|
|
143,962 |
|
200,000 |
|
Adani Ports & Special Economic Zone Ltd. |
|
|
5.00 |
% |
|
08/02/2041 |
|
|
133,532 |
|
250,000 |
|
AI Candelaria Spain S.A. |
|
|
5.75 |
% |
|
06/15/2033 |
|
|
185,521 |
|
200,000 |
|
Alibaba Group Holding Ltd. |
|
|
3.25 |
% |
|
02/09/2061 |
|
|
123,873 |
|
200,000 |
|
Aris Mining Corporation |
|
|
6.88 |
% |
|
08/09/2026 |
|
|
147,144 |
|
400,000 |
|
Banco Davivienda S.A. (10 Year CMT Rate + 5.10%) |
|
|
6.65 |
% (g) |
|
04/22/2031 |
|
|
294,747 |
|
800,000 |
|
Banco GNB Sudameris S.A. (5 Year CMT Rate + 6.66%) |
|
|
7.50 |
% |
|
04/16/2031 |
|
|
657,472 |
|
200,000 |
|
Banco Mercantil del Norte S.A. (10 Year CMT Rate + 5.03%) |
|
|
6.63 |
% (a)(g) |
|
01/24/2032 |
|
|
154,800 |
|
250,000 |
|
Braskem Idesa SAPI |
|
|
6.99 |
% (a) |
|
02/20/2032 |
|
|
162,172 |
|
250,000 |
|
BRF S.A. |
|
|
5.75 |
% |
|
09/21/2050 |
|
|
167,209 |
|
150,000 |
|
Camposol S.A. |
|
|
6.00 |
% |
|
02/03/2027 |
|
|
103,657 |
|
200,000 |
|
CAP S.A. |
|
|
3.90 |
% |
|
04/27/2031 |
|
|
145,770 |
|
200,000 |
|
Coruripe Netherlands B.V. |
|
|
10.00 |
% |
|
02/10/2027 |
|
|
127,340 |
|
300,000 |
|
Cosan Overseas Ltd. |
|
|
8.25 |
% (g) |
|
08/05/2023 |
|
|
298,550 |
|
450,000 |
|
Empresas Publicas de Medellin ESP |
|
|
4.38 |
% |
|
02/15/2031 |
|
|
337,626 |
|
800,000 |
|
Frigorifico Concepcion S.A. |
|
|
7.70 |
% (a) |
|
07/21/2028 |
|
|
624,101 |
|
332,800 |
|
Hunt Oil Company of Peru LLC Sucursal Del Peru |
|
|
6.38 |
% |
|
06/01/2028 |
|
|
320,320 |
|
200,000 |
|
JBS USA Finance, Inc. |
|
|
4.38 |
% |
|
02/02/2052 |
|
|
140,469 |
|
140,000 |
|
Kawasan Industri Jababeka Tbk PT |
|
|
7.00 |
% (a) |
|
12/15/2027 |
|
|
93,890 |
|
330,840 |
|
LLPL Capital Pte Ltd. |
|
|
6.88 |
% |
|
02/04/2039 |
|
|
297,324 |
|
200,000 |
|
MARB BondCo PLC |
|
|
3.95 |
% |
|
01/29/2031 |
|
|
143,322 |
|
386,501 |
|
MC Brazil Downstream Trading SARL |
|
|
7.25 |
% |
|
06/30/2031 |
|
|
261,426 |
|
400,000 |
|
Minejesa Capital B.V. |
|
|
5.63 |
% |
|
08/10/2037 |
|
|
314,455 |
|
200,000 |
|
Movida Europe S.A. |
|
|
5.25 |
% |
|
02/08/2031 |
|
|
162,620 |
|
500,000 |
|
Prime Energia S.p.A. |
|
|
5.38 |
% |
|
12/30/2030 |
|
|
325,375 |
|
200,000 |
|
Sasol Financing USA LLC |
|
|
5.50 |
% |
|
03/18/2031 |
|
|
157,675 |
|
400,000 |
|
SierraCol Energy Andina LLC |
|
|
6.00 |
% (a) |
|
06/15/2028 |
|
|
294,510 |
|
400,000 |
|
Simpar Europe S.A. |
|
|
5.20 |
% |
|
01/26/2031 |
|
|
317,903 |
|
200,000 |
|
Thaioil Treasury Center Company Ltd. |
|
|
3.75 |
% |
|
06/18/2050 |
|
|
133,883 |
|
272,268 |
|
UEP Penonome S.A. |
|
|
6.50 |
% |
|
10/01/2038 |
|
|
204,782 |
|
400,000 |
|
Unigel Luxembourg S.A. |
|
|
8.75 |
% |
|
10/01/2026 |
|
|
131,500 |
|
400,000 |
|
UPL Corporation Ltd. (5 Year CMT Rate + 3.87%) |
|
|
5.25 |
% (g) |
|
02/27/2025 |
|
|
331,620 |
|
200,000 |
|
Vedanta Resources Ltd. |
|
|
6.13 |
% |
|
08/09/2024 |
|
|
149,891 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Corporate Bonds (Cost $8,698,443) |
|
|
7,770,241 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored
Corporations - 1.3% |
|
200,000 |
|
Banco do Brasil S.A. (10 Year CMT Rate + 4.40%) |
|
|
6.25 |
% (g) |
|
04/15/2024 |
|
|
178,171 |
|
800,000 |
|
Colombia Government International Bond |
|
|
5.00 |
% |
|
06/15/2045 |
|
|
558,936 |
|
250,000 |
|
Dominican Republic International Bond |
|
|
5.30 |
% |
|
01/21/2041 |
|
|
196,493 |
|
250,000 |
|
Ecopetrol S.A. |
|
|
5.88 |
% |
|
05/28/2045 |
|
|
171,521 |
|
250,000 |
|
Ecopetrol S.A. |
|
|
5.88 |
% |
|
11/02/2051 |
|
|
165,681 |
|
200,000 |
|
Indonesia Asahan Aluminium Persero PT |
|
|
5.80 |
% |
|
05/15/2050 |
|
|
176,661 |
|
500,000 |
|
Mexico Government International Bond |
|
|
3.77 |
% |
|
05/24/2061 |
|
|
341,210 |
|
200,000 |
|
Panama Government International Bond |
|
|
3.87 |
% |
|
07/23/2060 |
|
|
133,065 |
|
80,000 |
|
Petrobras Global Finance B.V. |
|
|
5.50 |
% |
|
06/10/2051 |
|
|
63,040 |
|
600,000 |
|
Petroleos del Peru S.A. |
|
|
5.63 |
% |
|
06/19/2047 |
|
|
387,560 |
|
800,000 |
|
Petroleos Mexicanos |
|
|
6.38 |
% |
|
01/23/2045 |
|
|
492,159 |
|
350,000 |
|
Republic of South Africa Government Bond |
|
|
5.65 |
% |
|
09/27/2047 |
|
|
248,442 |
|
200,000 |
|
Ukraine Government International Bond |
|
|
9.75 |
% (e) |
|
11/01/2030 |
|
|
50,077 |
|
200,000 |
|
YPF S.A. |
|
|
8.50 |
% |
|
06/27/2029 |
|
|
170,480 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored
Corporations (Cost $4,169,050) |
|
|
3,333,496 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency Commercial Mortgage Backed
Obligations - 22.6% |
|
2,500,000 |
|
Alen Mortgage Trust, Series 2021-ACEN-F (1 Month LIBOR USD + 5.00%, 5.00% Floor) |
|
|
10.19 |
% (a) |
|
04/15/2034 |
|
|
1,393,448 |
|
2,000,000 |
|
AREIT Trust, Series 2019-CRE3-D (Secured Overnight Financing Rate 1 Month + 2.76%, 2.76% Floor) |
|
|
7.87 |
% (a) |
|
09/14/2036 |
|
|
1,814,064 |
|
5,843,520 |
|
BANK, Series 2020-BN26-XF |
|
|
1.50 |
% (a)(h) |
|
03/15/2063 |
|
|
425,437 |
|
72,690,831 |
|
BANK, Series 2023-5YR1-XA |
|
|
0.48 |
% (f)(h) |
|
04/15/2056 |
|
|
946,798 |
|
1,000,000 |
|
Beast Mortgage Trust, Series 2021-1818-G (Secured Overnight Financing Rate 1 Month + 6.11%, 6.25% Floor) |
|
|
11.19 |
% (a) |
|
03/15/2036 |
|
|
638,573 |
|
13,241,057 |
|
Benchmark Mortgage Trust, Series 2018-B1-XA |
|
|
0.68 |
% (f)(h) |
|
01/15/2051 |
|
|
243,146 |
|
1,398,000 |
|
Benchmark Mortgage Trust, Series 2018-B4-D |
|
|
2.95 |
% (a)(f) |
|
07/15/2051 |
|
|
880,279 |
|
1,012,000 |
|
BF Mortgage Trust, Series 2019-NYT-F (1 Month LIBOR USD + 3.00%, 3.00% Floor) |
|
|
8.19 |
% (a) |
|
12/15/2035 |
|
|
473,737 |
|
532,316 |
|
BX Trust, Series 2017-APPL-F (1 Month LIBOR USD + 4.38%, 4.25% Floor) |
|
|
9.57 |
% (a) |
|
07/15/2034 |
|
|
528,425 |
|
4,200,000 |
|
BX Trust, Series 2019-IMC-G (1 Month LIBOR USD + 3.60%, 3.60% Floor) |
|
|
8.79 |
% (a) |
|
04/15/2034 |
|
|
4,061,822 |
|
1,000,000 |
|
BX Trust, Series 2019-OC11-E |
|
|
4.08 |
% (a)(f) |
|
12/09/2041 |
|
|
805,815 |
|
516,671 |
|
Carbon Capital Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 2.85%, 2.85% Floor) |
|
|
8.04 |
% (a) |
|
10/15/2035 |
|
|
439,016 |
|
15,667,708 |
|
CD Commercial Mortgage Trust, Series 2017-CD6-XA |
|
|
1.02 |
% (f)(h) |
|
11/13/2050 |
|
|
389,172 |
|
269,000 |
|
Citigroup Commercial Mortgage Trust, Series 2015-GC27-D |
|
|
4.57 |
% (a)(f) |
|
02/10/2048 |
|
|
217,042 |
|
3,656,010 |
|
Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA |
|
|
1.45 |
% (f)(h) |
|
02/10/2048 |
|
|
52,739 |
|
182,000 |
|
Citigroup Commercial Mortgage Trust, Series 2016-GC36-D |
|
|
2.85 |
% (a) |
|
02/10/2049 |
|
|
71,923 |
|
26,400,000 |
|
Commercial Mortgage Pass-Through Trust, Series 2014-UBS3-XC |
|
|
1.40 |
% (a)(f)(h) |
|
06/10/2047 |
|
|
238,938 |
|
1,288,300 |
|
Commercial Mortgage Pass-Through Trust, Series 2014-UBS4-F |
|
|
3.75 |
% (a)(c) |
|
08/10/2047 |
|
|
258,183 |
|
2,162,181 |
|
Commercial Mortgage Pass-Through Trust, Series 2014-UBS4-G |
|
|
3.75 |
% (a)(c) |
|
08/10/2047 |
|
|
77,817 |
|
5,000 |
|
Commercial Mortgage Pass-Through Trust, Series 2014-UBS4-V |
|
|
0.00 |
% (a)(c)(f) |
|
08/10/2047 |
|
|
|
|
27,394,000 |
|
Commercial Mortgage Pass-Through Trust, Series 2015-CR23-XD |
|
|
1.21 |
% (a)(f)(h) |
|
05/10/2048 |
|
|
502,718 |
|
5,297,000 |
|
Commercial Mortgage Pass-Through Trust, Series 2015-CR26-XD |
|
|
1.36 |
% (a)(f)(h) |
|
10/10/2048 |
|
|
127,415 |
|
67,905,112 |
|
Commercial Mortgage Pass-Through Trust, Series 2015-LC21-XA |
|
|
0.79 |
% (f)(h) |
|
07/10/2048 |
|
|
687,064 |
|
885,000 |
|
CSAIL Commercial Mortgage Trust, Series 2016-C5-C |
|
|
4.80 |
% (f) |
|
11/15/2048 |
|
|
795,093 |
|
4,222,549 |
|
CSAIL Commercial Mortgage Trust, Series 2016-C6-XA |
|
|
2.02 |
% (f)(h) |
|
01/15/2049 |
|
|
164,996 |
|
2,000,000 |
|
CSAIL Commercial Mortgage Trust, Series 2018-CX12-C |
|
|
4.88 |
% (f) |
|
08/15/2051 |
|
|
1,607,600 |
|
1,232,000 |
|
CSWF Trust, Series 2021-B33-A2 |
|
|
3.17 |
% (a) |
|
10/10/2043 |
|
|
914,010 |
|
400,000 |
|
DBJPM Mortgage Trust, Series 2020-C9-B |
|
|
2.57 |
% |
|
08/15/2053 |
|
|
295,292 |
|
1,000,000 |
|
DOLP Trust, Series 2021-NYC-F |
|
|
3.70 |
% (a)(f) |
|
05/10/2041 |
|
|
492,837 |
|
1,000,000 |
|
DOLP Trust, Series 2021-NYC-G |
|
|
3.70 |
% (a)(f) |
|
05/10/2041 |
|
|
433,449 |
|
583,000 |
|
FIVE Mortgage Trust, Series 2023-V1-E |
|
|
6.62 |
% (a)(f) |
|
02/10/2056 |
|
|
444,777 |
|
750,000 |
|
FS Rialto, Series 2022-FL5-D (Secured Overnight Financing Rate 1 Month + 4.82%, 4.82% Floor) |
|
|
9.91 |
% (a) |
|
06/19/2037 |
|
|
703,350 |
|
3,000,000 |
|
Great Wolf Trust, Series 2019-WOLF-F (Secured Overnight Financing Rate 1 Month + 3.25%, 3.13% Floor) |
|
|
8.39 |
% (a) |
|
12/15/2036 |
|
|
2,872,186 |
|
1,000,000 |
|
GS Mortgage Securities Corporation Trust, Series 2021-ARDN-G (1 Month LIBOR USD + 5.00%, 5.00% Floor) |
|
|
10.19 |
% (a) |
|
11/15/2036 |
|
|
927,321 |
|
1,304,000 |
|
GS Mortgage Securities Trust, Series 2014-GC26-D |
|
|
4.66 |
% (a)(f) |
|
11/10/2047 |
|
|
826,237 |
|
1,744,000 |
|
GS Mortgage Securities Trust, Series 2015-GC28-D |
|
|
4.45 |
% (a)(f) |
|
02/10/2048 |
|
|
1,458,468 |
|
76,336,721 |
|
GS Mortgage Securities Trust, Series 2018-GS9-XA |
|
|
0.56 |
% (f)(h) |
|
03/10/2051 |
|
|
1,240,739 |
|
2,000,000 |
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3-D |
|
|
5.71 |
% (a)(f) |
|
02/15/2046 |
|
|
1,439,453 |
|
1,175,000 |
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-AON-F |
|
|
4.77 |
% (a)(f) |
|
07/05/2031 |
|
|
317,691 |
|
1,153,000 |
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP-G (1 Month LIBOR USD + 4.05%, 4.05% Floor) |
|
|
9.24 |
% (a) |
|
07/15/2036 |
|
|
1,085,662 |
|
1,153,000 |
|
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-MFP-XG |
|
|
0.50 |
% (a)(f)(h) |
|
07/15/2036 |
|
|
3,767 |
|
8,316,233 |
|
JPMBB Commercial Mortgage Securities Trust, Series 2013-C14-XC |
|
|
0.83 |
% (a)(f)(h) |
|
08/15/2046 |
|
|
156 |
|
3,488,650 |
|
JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-E |
|
|
4.00 |
% (a)(c)(f) |
|
04/15/2047 |
|
|
2,798,708 |
|
1,938,200 |
|
JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-F |
|
|
3.75 |
% (a)(c)(f) |
|
04/15/2047 |
|
|
1,284,528 |
|
5,157,620 |
|
JPMBB Commercial Mortgage Securities Trust, Series 2014-C19-NR |
|
|
3.75 |
% (a)(c)(f) |
|
04/15/2047 |
|
|
450,103 |
|
925,000 |
|
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-C |
|
|
4.63 |
% (f) |
|
09/15/2047 |
|
|
860,441 |
|
2,000,000 |
|
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23-D |
|
|
4.13 |
% (a)(f) |
|
09/15/2047 |
|
|
1,672,256 |
|
3,366,076 |
|
JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-XA |
|
|
1.07 |
% (f)(h) |
|
01/15/2048 |
|
|
30,395 |
|
500,000 |
|
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D |
|
|
3.94 |
% (a)(f) |
|
02/15/2048 |
|
|
293,977 |
|
180,000 |
|
JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-C |
|
|
4.33 |
% (f) |
|
05/15/2048 |
|
|
159,816 |
|
20,920,000 |
|
JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-XE |
|
|
0.43 |
% (a)(f)(h) |
|
05/15/2048 |
|
|
128,888 |
|
675,000 |
|
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-C |
|
|
4.81 |
% (f) |
|
11/15/2048 |
|
|
467,029 |
|
16,358,000 |
|
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-XD |
|
|
0.50 |
% (a)(f)(h) |
|
11/15/2048 |
|
|
148,640 |
|
2,893,688 |
|
LSTAR Commercial Mortgage Trust, Series 2016-4-XA |
|
|
1.84 |
% (a)(f)(h) |
|
03/10/2049 |
|
|
50,354 |
|
1,000,000 |
|
LSTAR Commercial Mortgage Trust, Series 2017-5-C |
|
|
4.83 |
% (a)(f) |
|
03/10/2050 |
|
|
765,626 |
|
1,352,581 |
|
MF1 Ltd., Series 2021-FL6-C (Secured Overnight Financing Rate 1 Month + 1.96%, 1.96% Floor) |
|
|
7.07 |
% (a) |
|
07/16/2036 |
|
|
1,301,279 |
|
500,000 |
|
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C |
|
|
4.00 |
% |
|
12/15/2047 |
|
|
451,967 |
|
1,191,000 |
|
Morgan Stanley Capital Trust, Series 2017-ASHF-G (1 Month LIBOR USD + 7.03%, 6.90% Floor) |
|
|
12.22 |
% (a) |
|
11/15/2034 |
|
|
1,076,051 |
|
2,783,174 |
|
SMR Mortgage Trust, Series 2022-IND-G (Secured Overnight Financing Rate 1 Month + 7.50%, 7.50% Floor) |
|
|
12.65 |
% (a) |
|
02/15/2039 |
|
|
2,377,674 |
|
305,000 |
|
STWD Ltd., Series 2019-FL1-C (Secured Overnight Financing Rate 1 Month + 2.06%, 1.95% Floor) |
|
|
7.17 |
% (a) |
|
07/15/2038 |
|
|
292,256 |
|
874,667 |
|
TTAN, Series 2021-MHC-G (1 Month LIBOR USD + 4.20%, 4.20% Floor) |
|
|
9.39 |
% (a) |
|
03/15/2038 |
|
|
837,568 |
|
1,000,000 |
|
UBS Commercial Mortgage Trust, Series 2018-C12-C |
|
|
5.11 |
% (f) |
|
08/15/2051 |
|
|
807,201 |
|
1,420,000 |
|
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5-C |
|
|
3.87 |
% (a)(f) |
|
03/10/2046 |
|
|
1,027,778 |
|
824,000 |
|
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5-D |
|
|
3.87 |
% (a)(f) |
|
03/10/2046 |
|
|
520,940 |
|
23,293,000 |
|
Wells Fargo Commercial Mortgage Trust, Series 2015-C28-XF |
|
|
1.22 |
% (a)(f)(h) |
|
05/15/2048 |
|
|
413,073 |
|
747,000 |
|
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4-D |
|
|
3.84 |
% (f) |
|
12/15/2048 |
|
|
615,138 |
|
1,044,000 |
|
Wells Fargo Commercial Mortgage Trust, Series 2016-C34-C |
|
|
5.23 |
% (f) |
|
06/15/2049 |
|
|
803,763 |
|
1,000,000 |
|
Wells Fargo Commercial Mortgage Trust, Series 2016-LC24-C |
|
|
4.58 |
% (f) |
|
10/15/2049 |
|
|
860,038 |
|
1,000,000 |
|
Wells Fargo Commercial Mortgage Trust, Series 2017-RC1-D |
|
|
3.25 |
% (a) |
|
01/15/2060 |
|
|
691,569 |
|
46,838,458 |
|
Wells Fargo Commercial Mortgage Trust, Series 2018-C43-XA |
|
|
0.74 |
% (f)(h) |
|
03/15/2051 |
|
|
1,051,809 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Non-Agency Commercial Mortgage Backed
Obligations (Cost $73,414,975) |
|
|
|
|
|
|
|
|
53,535,520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Agency Residential Collateralized
Mortgage Obligations - 16.3% |
|
|
|
|
|
|
|
|
|
|
1,239,083 |
|
Adjustable Rate Mortgage Trust, Series 2006-1-2A1 |
|
|
4.87 |
% (f) |
|
03/25/2036 |
|
|
680,095 |
|
494,016 |
|
BCAP LLC Trust, Series 2010-RR6-6A2 |
|
|
9.30 |
% (a)(f) |
|
07/26/2037 |
|
|
263,615 |
|
8,912,518 |
|
BCAPB LLC Trust, Series 2007-AB1-A5 |
|
|
4.59 |
% (i) |
|
03/25/2037 |
|
|
3,810,955 |
|
1,274,467 |
|
Chase Mortgage Finance Trust, Series 2007-S1-A7 |
|
|
6.00 |
% |
|
02/25/2037 |
|
|
519,185 |
|
1,371,428 |
|
Chase Mortgage Finance Trust, Series 2007-S3-1A5 |
|
|
6.00 |
% |
|
05/25/2037 |
|
|
657,615 |
|
1,301,630 |
|
CHL Mortgage Pass-Through Trust, Series 2007-4-1A35 (-1 x 1 Month LIBOR USD + 6.70%, 6.70%
Cap) |
|
|
1.55 |
% (h)(j) |
|
05/25/2037 |
|
|
200,728 |
|
274,117 |
|
Citigroup Mortgage Loan Trust, Inc., Series 2006-8-A4 (-3 x 1 Month LIBOR USD + 19.66%,
19.66% Cap) |
|
|
5.50 |
% (a)(j) |
|
10/25/2035 |
|
|
227,757 |
|
635,138 |
|
Countrywide Alternative Loan Trust, Series 2005-85CB-2A5 (1 Month LIBOR USD + 1.10%, 1.10% Floor, 7.00% Cap) |
|
|
6.25 |
% |
|
02/25/2036 |
|
|
488,912 |
|
134,131 |
|
Countrywide Alternative Loan Trust, Series 2005-85CB-2A6 (-4 x 1 Month LIBOR USD + 21.63%, 21.63% Cap) |
|
|
2.75 |
% (j) |
|
02/25/2036 |
|
|
102,233 |
|
1,759,546 |
|
Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-11-7A1 |
|
|
6.00 |
% |
|
12/25/2035 |
|
|
988,392 |
|
3,165,605 |
|
CSMC Mortgage-Backed Trust, Series 2006-5-3A3 |
|
|
6.50 |
% |
|
06/25/2036 |
|
|
680,296 |
|
341,691 |
|
CSMC Mortgage-Backed Trust, Series 2006-9-2A1 |
|
|
5.50 |
% |
|
11/25/2036 |
|
|
291,934 |
|
146,567 |
|
CSMC Mortgage-Backed Trust, Series 2006-9-6A14 |
|
|
6.00 |
% |
|
11/25/2036 |
|
|
117,860 |
|
3,000,000 |
|
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2020-HQA2-B2 (1 Month LIBOR USD + 7.60%) |
|
|
12.75 |
% (a) |
|
03/25/2050 |
|
|
3,196,027 |
|
2,000,000 |
|
Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2021-HQA2-B2 (Secured Overnight Financing Rate 30 Day Average + 5.45%) |
|
|
10.52 |
% (a) |
|
12/25/2033 |
|
|
1,836,766 |
|
2,000,000 |
|
Federal Home Loan Mortgage Corporation STACR REMICS, Series 2021-DNA2-B2 (Secured Overnight Financing Rate 30 Day Average + 6.00%) |
|
|
11.07 |
% (a) |
|
08/25/2033 |
|
|
1,972,531 |
|
3,000,000 |
|
Federal Home Loan Mortgage Corporation STACR REMICS, Series 2021-DNA6-B2 (Secured Overnight Financing Rate 30 Day Average + 7.50%) |
|
|
12.57 |
% (a) |
|
10/25/2041 |
|
|
2,996,999 |
|
932,430 |
|
IndyMac INDX Mortgage Loan Trust, Series 2005-AR23-6A1 |
|
|
3.51 |
% (f) |
|
11/25/2035 |
|
|
822,005 |
|
63,437 |
|
JP Morgan Alternative Loan Trust, Series 2006-S1-2A5 |
|
|
5.50 |
% |
|
02/25/2025 |
|
|
47,025 |
|
1,061,363 |
|
JP Morgan Resecuritization Trust, Series 2011-1-2A10 |
|
|
6.00 |
% (a)(c)(f) |
|
06/26/2037 |
|
|
795,954 |
|
217,046 |
|
Lehman Mortgage Trust, Series 2007-10-1A1 |
|
|
6.00 |
% |
|
01/25/2038 |
|
|
205,763 |
|
1,206,421 |
|
Lehman Mortgage Trust, Series 2007-4-1A3 |
|
|
5.75 |
% |
|
05/25/2037 |
|
|
600,001 |
|
5,800,000 |
|
PNMAC GMSR Issuer Trust, Series 2018-FT1-A (1 Month LIBOR USD + 3.35%) |
|
|
8.50 |
% (a) |
|
04/25/2025 |
|
|
5,760,137 |
|
680,190 |
|
RBSGC Structured Trust, Series 2008-B-A1 |
|
|
6.00 |
% (a) |
|
06/25/2037 |
|
|
594,219 |
|
541,509 |
|
Residential Accredit Loans, Inc., Series 2005-QS14-3A1 |
|
|
6.00 |
% |
|
09/25/2035 |
|
|
471,957 |
|
1,315,348 |
|
Residential Accredit Loans, Inc., Series 2006-QS7-A3 |
|
|
6.00 |
% |
|
06/25/2036 |
|
|
1,049,011 |
|
403,110 |
|
Residential Accredit Loans, Inc., Series 2007-QS1-1A1 |
|
|
6.00 |
% |
|
01/25/2037 |
|
|
312,074 |
|
658,595 |
|
Residential Accredit Loans, Inc., Series 2007-QS6-A1 (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap) |
|
|
5.48 |
% |
|
04/25/2037 |
|
|
465,210 |
|
697,249 |
|
Residential Accredit Loans, Inc., Series 2007-QS6-A102 |
|
|
5.75 |
% |
|
04/25/2037 |
|
|
549,015 |
|
150,031 |
|
Residential Accredit Loans, Inc., Series 2007-QS6-A2 (-8 x 1 Month LIBOR USD + 55.58%,
55.58% Cap) |
|
|
12.66 |
% (j) |
|
04/25/2037 |
|
|
150,236 |
|
1,655,868 |
|
Residential Asset Securitization Trust, Series 2006-A6-1A12 (-1 x 1 Month LIBOR USD + 7.10%,
7.10% Cap) |
|
|
1.95 |
% (h)(j) |
|
07/25/2036 |
|
|
212,357 |
|
1,637,232 |
|
Residential Asset Securitization Trust, Series 2006-A6-1A9 |
|
|
6.00 |
% |
|
07/25/2036 |
|
|
481,860 |
|
397,370 |
|
Residential Funding Mortgage Securities Trust, Series 2007-S2-A4 |
|
|
6.00 |
% |
|
02/25/2037 |
|
|
311,242 |
|
429,590 |
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-1-2A2 |
|
|
4.18 |
% (f) |
|
02/25/2036 |
|
|
355,542 |
|
375,824 |
|
Velocity Commercial Capital Loan Trust, Series 2018-1-M4 |
|
|
5.01 |
% (a) |
|
04/25/2048 |
|
|
287,752 |
|
280,772 |
|
Velocity Commercial Capital Loan Trust, Series 2018-1-M5 |
|
|
6.26 |
% (a) |
|
04/25/2048 |
|
|
214,228 |
|
394,813 |
|
Velocity Commercial Capital Loan Trust, Series 2018-1-M6 |
|
|
7.26 |
% (a) |
|
04/25/2048 |
|
|
262,753 |
|
5,000,000 |
|
VOLT LLC, Series 2021-NPL3-A2 |
|
|
4.95 |
% (a)(i) |
|
02/27/2051 |
|
|
4,486,543 |
|
3,150,361 |
|
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-8-A4 |
|
|
4.16 |
% (i) |
|
10/25/2036 |
|
|
1,176,828 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Non-Agency Residential Collateralized
Mortgage Obligations (Cost $51,120,842) |
|
|
38,643,612 |
|
|
|
|
|
|
|
|
|
|
|
|
|
US Government and Agency Mortgage Backed Obligations - 23.1% |
|
308,670 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3211-SI (-4 x 1 Month LIBOR USD + 27.67%, 27.67% Cap) |
|
|
5.83 |
% (h)(j) |
|
09/15/2036 |
|
|
97,181 |
|
698,468 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3236-ES (-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap) |
|
|
1.51 |
% (h)(j) |
|
11/15/2036 |
|
|
57,806 |
|
455,120 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3256-S (-1 x 1 Month LIBOR USD + 6.69%, 6.69% Cap) |
|
|
1.50 |
% (h)(j) |
|
12/15/2036 |
|
|
39,432 |
|
228,478 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3292-SD (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap) |
|
|
0.91 |
% (h)(j) |
|
03/15/2037 |
|
|
13,856 |
|
2,802,129 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3297-BI (-1 x 1 Month LIBOR USD + 6.76%, 6.76% Cap) |
|
|
1.57 |
% (h)(j) |
|
04/15/2037 |
|
|
254,422 |
|
2,365,106 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3311-BI (-1 x 1 Month LIBOR USD + 6.76%, 6.76% Cap) |
|
|
1.57 |
% (h)(j) |
|
05/15/2037 |
|
|
171,347 |
|
1,954,127 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3311-IA (-1 x 1 Month LIBOR USD + 6.41%, 6.41% Cap) |
|
|
1.22 |
% (h)(j) |
|
05/15/2037 |
|
|
175,889 |
|
410,070 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3314-SH (-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap) |
|
|
1.21 |
% (h)(j) |
|
11/15/2036 |
|
|
31,993 |
|
173,410 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3330-KS (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap) |
|
|
1.36 |
% (h)(j) |
|
06/15/2037 |
|
|
7,773 |
|
43,208 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3339-AI (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap) |
|
|
1.36 |
% (h)(j) |
|
07/15/2037 |
|
|
2,479 |
|
1,436,870 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3339-TI (-1 x 1 Month LIBOR USD + 6.14%, 6.14% Cap) |
|
|
0.95 |
% (h)(j) |
|
07/15/2037 |
|
|
94,862 |
|
529,804 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3374-SD (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap) |
|
|
1.26 |
% (h)(j) |
|
10/15/2037 |
|
|
32,713 |
|
113,043 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3382-SU (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap) |
|
|
1.11 |
% (h)(j) |
|
11/15/2037 |
|
|
5,861 |
|
2,549,884 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3404-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) |
|
|
0.81 |
% (h)(j) |
|
01/15/2038 |
|
|
170,264 |
|
108,168 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3423-GS (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap) |
|
|
0.46 |
% (h)(j) |
|
03/15/2038 |
|
|
5,073 |
|
1,727,717 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3435-S (-1 x 1 Month LIBOR USD + 5.98%, 5.98% Cap) |
|
|
0.79 |
% (h)(j) |
|
04/15/2038 |
|
|
128,911 |
|
105,111 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3508-PS (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap) |
|
|
1.46 |
% (h)(j) |
|
02/15/2039 |
|
|
6,458 |
|
630,106 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3728-SV (-1 x 1 Month LIBOR USD + 4.45%, 4.45% Cap) |
|
|
0.00 |
% (h)(j) |
|
09/15/2040 |
|
|
17,579 |
|
5,379,380 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3736-SN (-1 x 1 Month LIBOR USD + 6.05%, 6.05% Cap) |
|
|
0.86 |
% (h)(j) |
|
10/15/2040 |
|
|
373,968 |
|
1,939,743 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3753-SB (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) |
|
|
0.81 |
% (h)(j) |
|
11/15/2040 |
|
|
168,478 |
|
2,211,007 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3780-SM (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap) |
|
|
1.31 |
% (h)(j) |
|
12/15/2040 |
|
|
179,449 |
|
788,510 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3815-ST (-1 x 1 Month LIBOR USD + 5.85%, 5.85% Cap) |
|
|
0.66 |
% (h)(j) |
|
02/15/2041 |
|
|
56,795 |
|
1,174,966 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3905-SC (-5 x 1 Month LIBOR USD + 22.75%, 22.75% Cap) |
|
|
0.00 |
% (j) |
|
08/15/2041 |
|
|
1,056,440 |
|
826,968 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3924-SJ (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap) |
|
|
0.81 |
% (h)(j) |
|
09/15/2041 |
|
|
59,538 |
|
1,529,700 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 3960-ES (-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap) |
|
|
0.76 |
% (h)(j) |
|
11/15/2041 |
|
|
100,520 |
|
1,646,318 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 4291-MS (-1 x 1 Month LIBOR USD + 5.90%, 5.90% Cap) |
|
|
0.71 |
% (h)(j) |
|
01/15/2054 |
|
|
116,454 |
|
221,939 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 4610-IB |
|
|
3.00 |
% (h) |
|
06/15/2041 |
|
|
3,426 |
|
12,636,948 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 5100-DS (-1 x Secured Overnight Financing Rate 30 Day Average + 2.50%, 2.50% Cap) |
|
|
0.00 |
% (h)(j) |
|
05/25/2051 |
|
|
115,888 |
|
10,523,692 |
|
Federal Home Loan Mortgage Corporation REMICS, Series 5112-SC (-1 x Secured Overnight Financing Rate 30 Day Average + 2.50%, 2.50% Cap) |
|
|
0.00 |
% (h)(j) |
|
06/25/2051 |
|
|
109,108 |
|
31,933,839 |
|
Federal Home Loan Mortgage Corporation, Series 2021-P009-X |
|
|
1.50 |
% (f)(h) |
|
01/25/2031 |
|
|
1,421,493 |
|
43,231 |
|
Federal National Mortgage Association REMICS, Series 2005-72-WS (-1 x 1 Month LIBOR USD + 6.75%, 6.75%
Cap) |
|
|
1.60 |
% (h)(j) |
|
08/25/2035 |
|
|
2,053 |
|
303,890 |
|
Federal National Mortgage Association REMICS, Series 2005-90-SP (-1 x 1 Month LIBOR USD + 6.75%, 6.75%
Cap) |
|
|
1.60 |
% (h)(j) |
|
09/25/2035 |
|
|
4,381 |
|
256,787 |
|
Federal National Mortgage Association REMICS, Series 2006-117-SQ (-1 x 1 Month LIBOR USD + 6.55%, 6.55%
Cap) |
|
|
1.40 |
% (h)(j) |
|
12/25/2036 |
|
|
14,906 |
|
91,552 |
|
Federal National Mortgage Association REMICS, Series 2006-119-HS (-1 x 1 Month LIBOR USD + 6.65%, 6.65%
Cap) |
|
|
1.50 |
% (h)(j) |
|
12/25/2036 |
|
|
6,946 |
|
2,511,119 |
|
Federal National Mortgage Association REMICS, Series 2006-123-CI (-1 x 1 Month LIBOR USD + 6.74%, 6.74%
Cap) |
|
|
1.59 |
% (h)(j) |
|
01/25/2037 |
|
|
238,837 |
|
1,315,540 |
|
Federal National Mortgage Association REMICS, Series 2007-15-BI (-1 x 1 Month LIBOR USD + 6.70%, 6.70%
Cap) |
|
|
1.55 |
% (h)(j) |
|
03/25/2037 |
|
|
97,907 |
|
233,630 |
|
Federal National Mortgage Association REMICS, Series 2007-20-S (-1 x 1 Month LIBOR USD + 6.74%, 6.74%
Cap) |
|
|
1.59 |
% (h)(j) |
|
03/25/2037 |
|
|
12,043 |
|
146,006 |
|
Federal National Mortgage Association REMICS, Series 2007-21-SD (-1 x 1 Month LIBOR USD + 6.48%, 6.48%
Cap) |
|
|
1.33 |
% (h)(j) |
|
03/25/2037 |
|
|
7,752 |
|
658,175 |
|
Federal National Mortgage Association REMICS, Series 2007-30-IE (-1 x 1 Month LIBOR USD + 6.74%, 6.74%
Cap) |
|
|
1.59 |
% (h)(j) |
|
04/25/2037 |
|
|
65,729 |
|
1,501,319 |
|
Federal National Mortgage Association REMICS, Series 2007-32-SA (-1 x 1 Month LIBOR USD + 6.10%, 6.10%
Cap) |
|
|
0.95 |
% (h)(j) |
|
04/25/2037 |
|
|
105,509 |
|
533,149 |
|
Federal National Mortgage Association REMICS, Series 2007-40-SA (-1 x 1 Month LIBOR USD + 6.10%, 6.10%
Cap) |
|
|
0.95 |
% (h)(j) |
|
05/25/2037 |
|
|
31,462 |
|
104,286 |
|
Federal National Mortgage Association REMICS, Series 2007-48-SE (-1 x 1 Month LIBOR USD + 6.10%, 6.10%
Cap) |
|
|
0.95 |
% (h)(j) |
|
05/25/2037 |
|
|
4,740 |
|
159,646 |
|
Federal National Mortgage Association REMICS, Series 2007-64-LI (-1 x 1 Month LIBOR USD + 6.56%, 6.56%
Cap) |
|
|
1.41 |
% (h)(j) |
|
07/25/2037 |
|
|
11,191 |
|
75,312 |
|
Federal National Mortgage Association REMICS, Series 2007-68-SA (-1 x 1 Month LIBOR USD + 6.65%, 6.65%
Cap) |
|
|
1.50 |
% (h)(j) |
|
07/25/2037 |
|
|
4,750 |
|
3,247,533 |
|
Federal National Mortgage Association REMICS, Series 2007-75-PI (-1 x 1 Month LIBOR USD + 6.54%, 6.54%
Cap) |
|
|
1.39 |
% (h)(j) |
|
08/25/2037 |
|
|
260,047 |
|
1,703,096 |
|
Federal National Mortgage Association REMICS, Series 2008-33-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00%
Cap) |
|
|
0.85 |
% (h)(j) |
|
04/25/2038 |
|
|
118,004 |
|
1,446,964 |
|
Federal National Mortgage Association REMICS, Series 2008-42-SC (-1 x 1 Month LIBOR USD + 5.90%, 5.90%
Cap) |
|
|
0.75 |
% (h)(j) |
|
05/25/2038 |
|
|
80,348 |
|
372,075 |
|
Federal National Mortgage Association REMICS, Series 2008-5-GS (-1 x 1 Month LIBOR USD + 6.25%, 6.25%
Cap) |
|
|
1.10 |
% (h)(j) |
|
02/25/2038 |
|
|
29,758 |
|
834,569 |
|
Federal National Mortgage Association REMICS, Series 2008-62-SD (-1 x 1 Month LIBOR USD + 6.05%, 6.05%
Cap) |
|
|
0.90 |
% (h)(j) |
|
07/25/2038 |
|
|
46,266 |
|
660,577 |
|
Federal National Mortgage Association REMICS, Series 2008-68-SB (-1 x 1 Month LIBOR USD + 6.10%, 6.10%
Cap) |
|
|
0.95 |
% (h)(j) |
|
08/25/2038 |
|
|
38,549 |
|
85,436 |
|
Federal National Mortgage Association REMICS, Series 2009-111-SE (-1 x 1 Month LIBOR USD + 6.25%, 6.25%
Cap) |
|
|
1.10 |
% (h)(j) |
|
01/25/2040 |
|
|
7,465 |
|
534,219 |
|
Federal National Mortgage Association REMICS, Series 2009-12-CI (-1 x 1 Month LIBOR USD + 6.60%, 6.60%
Cap) |
|
|
1.45 |
% (h)(j) |
|
03/25/2036 |
|
|
30,829 |
|
90,724 |
|
Federal National Mortgage Association REMICS, Series 2009-47-SA (-1 x 1 Month LIBOR USD + 6.10%, 6.10%
Cap) |
|
|
0.95 |
% (h)(j) |
|
07/25/2039 |
|
|
5,845 |
|
118,350 |
|
Federal National Mortgage Association REMICS, Series 2009-48-WS (-1 x 1 Month LIBOR USD + 5.95%, 5.95%
Cap) |
|
|
0.80 |
% (h)(j) |
|
07/25/2039 |
|
|
7,698 |
|
66,648 |
|
Federal National Mortgage Association REMICS, Series 2009-67-SA (-1 x 1 Month LIBOR USD + 5.15%, 0.25%
Floor, 5.15% Cap) |
|
|
0.25 |
% (h)(j) |
|
07/25/2037 |
|
|
2,182 |
|
287,359 |
|
Federal National Mortgage Association REMICS, Series 2009-87-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00%
Cap) |
|
|
0.85 |
% (h)(j) |
|
11/25/2049 |
|
|
25,941 |
|
4,320,284 |
|
Federal National Mortgage Association REMICS, Series 2009-90-QI (-1 x 1 Month LIBOR USD + 6.60%, 6.60%
Cap) |
|
|
1.45 |
% (h)(j) |
|
08/25/2036 |
|
|
303,735 |
|
494,879 |
|
Federal National Mortgage Association REMICS, Series 2009-91-SD (-1 x 1 Month LIBOR USD + 6.15%, 6.15%
Cap) |
|
|
1.00 |
% (h)(j) |
|
11/25/2039 |
|
|
34,182 |
|
95,963 |
|
Federal National Mortgage Association REMICS, Series 2010-115-SD (-1 x 1 Month LIBOR USD + 6.60%, 6.60%
Cap) |
|
|
1.45 |
% (h)(j) |
|
11/25/2039 |
|
|
7,457 |
|
116,908 |
|
Federal National Mortgage Association REMICS, Series 2010-11-SC (-1 x 1 Month LIBOR USD + 4.80%, 4.80%
Cap) |
|
|
0.00 |
% (h)(j) |
|
02/25/2040 |
|
|
4,213 |
|
149,109 |
|
Federal National Mortgage Association REMICS, Series 2010-134-SE (-1 x 1 Month LIBOR USD + 6.65%, 6.65%
Cap) |
|
|
1.50 |
% (h)(j) |
|
12/25/2025 |
|
|
801 |
|
3,421,390 |
|
Federal National Mortgage Association REMICS, Series 2010-142-SC (-1 x 1 Month LIBOR USD + 6.60%, 6.60%
Cap) |
|
|
1.45 |
% (h)(j) |
|
12/25/2040 |
|
|
361,234 |
|
572,447 |
|
Federal National Mortgage Association REMICS, Series 2010-15-SL (-1 x 1 Month LIBOR USD + 4.95%, 4.95%
Cap) |
|
|
0.00 |
% (h)(j) |
|
03/25/2040 |
|
|
24,720 |
|
160,162 |
|
Federal National Mortgage Association REMICS, Series 2010-19-SA (-1 x 1 Month LIBOR USD + 5.40%, 5.40%
Cap) |
|
|
0.25 |
% (h)(j) |
|
03/25/2050 |
|
|
9,639 |
|
413,834 |
|
Federal National Mortgage Association REMICS, Series 2010-31-SB (-1 x 1 Month LIBOR USD + 5.00%, 5.00%
Cap) |
|
|
0.00 |
% (h)(j) |
|
04/25/2040 |
|
|
20,072 |
|
751,776 |
|
Federal National Mortgage Association REMICS, Series 2010-39-SL (-1 x 1 Month LIBOR USD + 5.67%, 5.67%
Cap) |
|
|
0.52 |
% (h)(j) |
|
05/25/2040 |
|
|
37,388 |
|
101,937 |
|
Federal National Mortgage Association REMICS, Series 2010-8-US (-1 x 1 Month LIBOR USD + 4.80%, 4.80%
Cap) |
|
|
0.00 |
% (h)(j) |
|
02/25/2040 |
|
|
1,907 |
|
115,690 |
|
Federal National Mortgage Association REMICS, Series 2010-9-GS (-1 x 1 Month LIBOR USD + 4.75%, 4.75%
Cap) |
|
|
0.00 |
% (h)(j) |
|
02/25/2040 |
|
|
2,840 |
|
617,683 |
|
Federal National Mortgage Association REMICS, Series 2011-114-S (-1 x 1 Month LIBOR USD + 6.00%, 6.00%
Cap) |
|
|
0.85 |
% (h)(j) |
|
09/25/2039 |
|
|
49,196 |
|
803,216 |
|
Federal National Mortgage Association REMICS, Series 2011-146-US (-1 x 1 Month LIBOR USD + 7.00%, 7.00%
Cap) |
|
|
0.00 |
% (j) |
|
01/25/2042 |
|
|
584,379 |
|
155,215 |
|
Federal National Mortgage Association REMICS, Series 2012-29-SG (-1 x 1 Month LIBOR USD + 6.00%, 6.00%
Cap) |
|
|
0.85 |
% (h)(j) |
|
04/25/2042 |
|
|
10,776 |
|
1,242,186 |
|
Federal National Mortgage Association REMICS, Series 2012-56-SN (-1 x 1 Month LIBOR USD + 6.05%, 6.05%
Cap) |
|
|
0.90 |
% (h)(j) |
|
06/25/2042 |
|
|
90,015 |
|
1,482,821 |
|
Federal National Mortgage Association REMICS, Series 2012-76-SC (-1 x 1 Month LIBOR USD + 6.00%, 6.00%
Cap) |
|
|
0.85 |
% (h)(j) |
|
07/25/2042 |
|
|
130,008 |
|
1,386,415 |
|
Federal National Mortgage Association REMICS, Series 2013-83-US (-1 x 1 Month LIBOR USD + 5.00%, 5.00%
Cap) |
|
|
0.00 |
% (j) |
|
08/25/2043 |
|
|
930,390 |
|
4,126,552 |
|
Federal National Mortgage Association REMICS, Series 2016-64-SA (-1 x 1 Month LIBOR USD + 6.00%, 6.00%
Cap) |
|
|
0.85 |
% (h)(j) |
|
09/25/2046 |
|
|
441,757 |
|
3,567,939 |
|
Federal National Mortgage Association REMICS, Series 2020-61-DI |
|
|
3.00 |
% (h) |
|
09/25/2060 |
|
|
562,739 |
|
15,871,080 |
|
Federal National Mortgage Association REMICS, Series 2021-17-SA (-1 x Secured Overnight Financing Rate 30
Day Average + 2.00%, 2.00% Cap) |
|
|
0.00 |
% (h)(j) |
|
04/25/2051 |
|
|
173,185 |
|
5,215,399 |
|
Federal National Mortgage Association REMICS, Series 2021-3-KI |
|
|
2.50 |
% (h) |
|
02/25/2051 |
|
|
709,087 |
|
4,577,483 |
|
Federal National Mortgage Association REMICS, Series 2021-56-WI |
|
|
2.50 |
% (h) |
|
09/25/2051 |
|
|
533,649 |
|
14,586,121 |
|
Federal National Mortgage Association, Series 2019-M26-X1 |
|
|
0.73 |
% (f)(h) |
|
03/25/2030 |
|
|
399,017 |
|
14,453,174 |
|
Federal National Mortgage Association, Series 2020-M27-X1 |
|
|
0.95 |
% (f)(h) |
|
03/25/2031 |
|
|
586,784 |
|
156,900 |
|
Federal National Mortgage Association, Series 374-19 |
|
|
6.50 |
% (h) |
|
09/25/2036 |
|
|
30,691 |
|
600,529 |
|
FREMF Mortgage Trust, Series 2015-KF07-B (1 Month LIBOR USD + 4.95%) |
|
|
10.14 |
% (a) |
|
02/25/2025 |
|
|
602,119 |
|
543,955 |
|
FREMF Mortgage Trust, Series 2016-KF25-B (1 Month LIBOR USD + 5.00%, 5.00% Floor) |
|
|
10.19 |
% (a) |
|
10/25/2023 |
|
|
544,098 |
|
1,063,531 |
|
FREMF Mortgage Trust, Series 2018-KF56-C (1 Month LIBOR USD + 5.80%, 5.80% Floor) |
|
|
10.99 |
% (a) |
|
11/25/2028 |
|
|
902,600 |
|
1,152,758 |
|
FREMF Mortgage Trust, Series 2019-KF71-C (1 Month LIBOR USD + 6.00%, 6.00% Floor) |
|
|
11.19 |
% (a) |
|
10/25/2029 |
|
|
1,096,960 |
|
12,660,882 |
|
Government National Mortgage Association REMICS, Series 2021-209-MI |
|
|
3.00 |
% (h) |
|
11/20/2051 |
|
|
1,839,702 |
|
385,553 |
|
Government National Mortgage Association, Series 2009-104-SD (-1 x 1 Month LIBOR USD + 6.35%, 6.35%
Cap) |
|
|
1.19 |
% (h)(j) |
|
11/16/2039 |
|
|
25,697 |
|
48,594 |
|
Government National Mortgage Association, Series 2010-98-IA |
|
|
5.49 |
% (f)(h) |
|
03/20/2039 |
|
|
2,492 |
|
401,836 |
|
Government National Mortgage Association, Series 2011-69-SB (-1 x 1 Month LIBOR USD + 5.35%, 5.35%
Cap) |
|
|
0.20 |
% (h)(j) |
|
05/20/2041 |
|
|
24,058 |
|
671,563 |
|
Government National Mortgage Association, Series 2011-71-SG (-1 x 1 Month LIBOR USD + 5.40%, 5.40%
Cap) |
|
|
0.25 |
% (h)(j) |
|
05/20/2041 |
|
|
41,521 |
|
723,579 |
|
Government National Mortgage Association, Series 2011-72-AS (-1 x 1 Month LIBOR USD + 5.38%, 5.38%
Cap) |
|
|
0.23 |
% (h)(j) |
|
05/20/2041 |
|
|
43,887 |
|
859,152 |
|
Government National Mortgage Association, Series 2011-89-SA (-1 x 1 Month LIBOR USD + 5.45%, 5.45%
Cap) |
|
|
0.30 |
% (h)(j) |
|
06/20/2041 |
|
|
53,146 |
|
6,055,476 |
|
Government National Mortgage Association, Series 2012-26-SP (-1 x 1 Month LIBOR USD + 6.65%, 6.65%
Cap) |
|
|
1.49 |
% (h)(j) |
|
02/20/2042 |
|
|
693,216 |
|
472,751 |
|
Government National Mortgage Association, Series 2012-34-LI (-20 x 1 Month LIBOR USD + 122.00%, 6.00%
Cap) |
|
|
6.00 |
% (h)(j) |
|
12/16/2039 |
|
|
88,438 |
|
4,504,534 |
|
Government National Mortgage Association, Series 2013-119-TZ |
|
|
3.00 |
% |
|
08/20/2043 |
|
|
4,019,547 |
|
2,692,651 |
|
Government National Mortgage Association, Series 2014-39-SK (-1 x 1 Month LIBOR USD + 6.20%, 6.20%
Cap) |
|
|
1.05 |
% (h)(j) |
|
03/20/2044 |
|
|
231,958 |
|
4,636,740 |
|
Government National Mortgage Association, Series 2014-59-DS (-1 x 1 Month LIBOR USD + 6.25%, 6.25%
Cap) |
|
|
1.09 |
% (h)(j) |
|
04/16/2044 |
|
|
377,662 |
|
3,781,814 |
|
Government National Mortgage Association, Series 2014-63-SD (-1 x 1 Month LIBOR USD + 5.55%, 5.55%
Cap) |
|
|
0.40 |
% (h)(j) |
|
04/20/2044 |
|
|
350,059 |
|
1,841,680 |
|
Government National Mortgage Association, Series 2014-69-ST (-1 x 1 Month LIBOR USD + 6.10%, 6.10%
Cap) |
|
|
0.94 |
% (h)(j) |
|
12/16/2039 |
|
|
138,736 |
|
2,707,955 |
|
Government National Mortgage Association, Series 2015-148-BS (-1 x 1 Month LIBOR USD + 5.69%, 5.69%
Cap) |
|
|
0.54 |
% (h)(j) |
|
10/20/2045 |
|
|
192,490 |
|
7,350,984 |
|
Government National Mortgage Association, Series 2015-158-SK (-1 x 1 Month LIBOR USD + 6.20%, 6.20%
Cap) |
|
|
1.04 |
% (h)(j) |
|
11/20/2045 |
|
|
725,661 |
|
8,567,782 |
|
Government National Mortgage Association, Series 2018-111-SA (-1 x 1 Month LIBOR USD + 4.55%, 4.55%
Cap) |
|
|
0.00 |
% (h)(j) |
|
08/20/2048 |
|
|
297,491 |
|
23,977,563 |
|
Government National Mortgage Association, Series 2018-48-SD (-1 x 1 Month LIBOR USD + 3.90%, 3.90%
Cap) |
|
|
0.00 |
% (h)(j) |
|
04/20/2048 |
|
|
489,924 |
|
7,308,942 |
|
Government National Mortgage Association, Series 2020-115-SC (-1 x 1 Month LIBOR USD + 4.20%, 4.20%
Cap) |
|
|
0.00 |
% (h)(j) |
|
08/20/2050 |
|
|
271,236 |
|
10,329,257 |
|
Government National Mortgage Association, Series 2020-129-IW |
|
|
2.50 |
% (h) |
|
09/20/2050 |
|
|
1,401,515 |
|
6,080,249 |
|
Government National Mortgage Association, Series 2020-129-SE (-1 x 1 Month LIBOR USD + 3.75%, 3.75%
Cap) |
|
|
0.00 |
% (h)(j) |
|
09/20/2050 |
|
|
84,976 |
|
17,564,209 |
|
Government National Mortgage Association, Series 2020-138-IC |
|
|
3.50 |
% (h) |
|
08/20/2050 |
|
|
2,807,997 |
|
6,521,080 |
|
Government National Mortgage Association, Series 2020-138-IL |
|
|
3.50 |
% (h) |
|
09/20/2050 |
|
|
1,048,922 |
|
10,906,175 |
|
Government National Mortgage Association, Series 2020-173-MI |
|
|
2.50 |
% (h) |
|
11/20/2050 |
|
|
1,428,425 |
|
8,170,878 |
|
Government National Mortgage Association, Series 2020-175-KI |
|
|
2.50 |
% (h) |
|
11/20/2050 |
|
|
1,114,086 |
|
3,147,637 |
|
Government National Mortgage Association, Series 2020-187-SB (-1 x 1 Month LIBOR USD + 6.30%, 6.30%
Cap) |
|
|
1.14 |
% (h)(j) |
|
12/20/2050 |
|
|
320,878 |
|
5,214,125 |
|
Government National Mortgage Association, Series 2020-196-DI |
|
|
2.50 |
% (h) |
|
12/20/2050 |
|
|
630,704 |
|
9,024,302 |
|
Government National Mortgage Association, Series 2021-107-IL |
|
|
3.00 |
% (h) |
|
06/20/2051 |
|
|
1,373,378 |
|
7,139,813 |
|
Government National Mortgage Association, Series 2021-107-SA (-1 x 1 Month LIBOR USD + 3.75%, 3.75%
Cap) |
|
|
0.00 |
% (h)(j) |
|
06/20/2051 |
|
|
265,453 |
|
4,488,858 |
|
Government National Mortgage Association, Series 2021-116-XI |
|
|
3.50 |
% (h) |
|
03/20/2051 |
|
|
717,537 |
|
3,881,981 |
|
Government National Mortgage Association, Series 2021-125-AS (-1 x Secured Overnight Financing Rate 30 Day
Average + 3.25%, 3.25% Cap) |
|
|
0.00 |
% (h)(j) |
|
07/20/2051 |
|
|
35,387 |
|
7,375,281 |
|
Government National Mortgage Association, Series 2021-130-DI |
|
|
3.00 |
% (h) |
|
07/20/2051 |
|
|
1,104,136 |
|
7,355,732 |
|
Government National Mortgage Association, Series 2021-158-SA (-1 x Secured Overnight Financing Rate 30 Day
Average + 3.70%, 3.70% Cap) |
|
|
0.00 |
% (h)(j) |
|
09/20/2051 |
|
|
177,094 |
|
19,006,230 |
|
Government National Mortgage Association, Series 2021-194-IN |
|
|
3.00 |
% (h) |
|
11/20/2051 |
|
|
3,005,685 |
|
14,889,513 |
|
Government National Mortgage Association, Series 2021-221-SC (-1 x Secured Overnight Financing Rate 30 Day
Average + 3.80%, 3.80% Cap) |
|
|
0.00 |
% (h)(j) |
|
12/20/2051 |
|
|
209,049 |
|
11,376,338 |
|
Government National Mortgage Association, Series 2021-221-SD (-1 x Secured Overnight Financing Rate 30 Day
Average + 3.80%, 3.80% Cap) |
|
|
0.00 |
% (h)(j) |
|
12/20/2051 |
|
|
187,222 |
|
11,682,890 |
|
Government National Mortgage Association, Series 2021-24-XI |
|
|
2.00 |
% (h) |
|
02/20/2051 |
|
|
1,205,507 |
|
8,914,014 |
|
Government National Mortgage Association, Series 2021-46-DS (-1 x 1 Month LIBOR USD + 2.80%, 2.80%
Cap) |
|
|
0.00 |
% (h)(j) |
|
03/20/2051 |
|
|
155,069 |
|
5,007,326 |
|
Government National Mortgage Association, Series 2021-58-SJ (-1 x 1 Month LIBOR USD + 6.30%, 6.30%
Cap) |
|
|
1.14 |
% (h)(j) |
|
04/20/2051 |
|
|
482,470 |
|
37,350,680 |
|
Government National Mortgage Association, Series 2021-59-S (-1 x Secured Overnight Financing Rate
30 Day Average + 2.60%, 2.60% Cap) |
|
|
0.00 |
% (h)(j) |
|
04/20/2051 |
|
|
443,539 |
|
16,203,707 |
|
Government National Mortgage Association, Series 2021-73-LS (-1 x Secured Overnight Financing Rate 30
Day Average + 2.50%, 0.50% Floor, 2.50% Cap) |
|
|
0.50 |
% (h)(j) |
|
04/20/2051 |
|
|
426,026 |
|
8,373,297 |
|
Government National Mortgage Association, Series 2021-77-IH |
|
|
2.50 |
% (h) |
|
05/20/2051 |
|
|
949,449 |
|
14,659,318 |
|
Government National Mortgage Association, Series 2021-78-SC (-1 x Secured Overnight Financing Rate 30
Day Average + 2.60%, 2.60% Cap) |
|
|
0.00 |
% (h)(j) |
|
05/20/2051 |
|
|
162,280 |
|
7,908,763 |
|
Government National Mortgage Association, Series 2021-7-IQ |
|
|
2.50 |
% (h) |
|
01/20/2051 |
|
|
1,002,701 |
|
15,805,633 |
|
Government National Mortgage Association, Series 2021-97-SA (-1 x Secured Overnight Financing Rate 30
Day Average + 2.60%, 2.60% Cap) |
|
|
0.00 |
% (h)(j) |
|
06/20/2051 |
|
|
209,815 |
|
28,510,099 |
|
Government National Mortgage Association, Series 2021-9-MI |
|
|
2.50 |
% (h) |
|
01/20/2051 |
|
|
3,661,153 |
|
9,747,181 |
|
Government National Mortgage Association, Series 2021-H04-BI |
|
|
0.71 |
% (f)(h) |
|
02/01/2071 |
|
|
516,792 |
|
11,050,729 |
|
Government National Mortgage Association, Series 2021-H07-AI |
|
|
0.02 |
% (f)(h) |
|
05/20/2071 |
|
|
402,871 |
|
16,663,816 |
|
Government National Mortgage Association, Series 2022-22-SA (-1 x Secured Overnight Financing Rate 30
Day Average + 3.60%, 3.60% Cap) |
|
|
0.00 |
% (h)(j) |
|
08/20/2050 |
|
|
281,927 |
|
6,655,224 |
|
Government National Mortgage Association, Series 2022-25-EI |
|
|
3.00 |
% (h) |
|
02/20/2052 |
|
|
933,650 |
|
17,830,003 |
|
Government National Mortgage Association, Series 2022-83-IO |
|
|
2.50 |
% (h) |
|
11/20/2051 |
|
|
2,336,784 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total US Government and Agency Mortgage Backed Obligations
(Cost $75,397,906) |
|
|
|
|
|
|
|
|
54,511,630 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
US Government and Agency Obligations - 4.1% |
|
|
|
|
|
|
|
|
|
|
10,000,000 |
|
United States Treasury Notes |
|
|
3.13 |
% |
|
08/15/2025 |
|
|
9,660,352 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total US Government and Agency Obligations (Cost $9,912,272) |
|
|
|
|
|
|
|
|
9,660,352 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks - 0.1% |
|
|
|
|
|
|
|
|
|
|
13,001 |
|
Foresight Equity (c)(k) |
|
|
|
|
|
|
|
|
153,542 |
|
4,104 |
|
Summit Midstream Partners LP (k) |
|
|
|
|
|
|
|
|
66,690 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks (Cost $252,064) |
|
|
|
|
|
|
|
|
220,232 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stocks - 0.0% (m) |
|
|
|
|
|
|
|
|
|
|
2,010 |
|
Riverbed Technologies, Inc. (c)(k) |
|
|
|
|
|
11/17/2028 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Stocks (Cost $42,848) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short Term Investments - 0.9% |
|
|
|
|
|
|
|
|
|
|
671,813 |
|
First American Government Obligations Fund - Class U |
|
|
5.03 |
% (l) |
|
|
|
|
671,813 |
|
671,813 |
|
JP Morgan U.S. Government Money Market Fund - Institutional Share Class |
|
|
5.03 |
% (l) |
|
|
|
|
671,813 |
|
671,813 |
|
Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class |
|
|
5.03 |
% (l) |
|
|
|
|
671,813 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short Term Investments (Cost $2,015,439) |
|
|
|
|
|
|
|
|
2,015,439 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments - 121.4% (Cost $356,708,914) (n) |
|
|
|
|
|
|
|
|
286,972,081 |
|
Liabilities in Excess of Other Assets - (21.4)% |
|
|
|
|
|
|
|
|
(50,512,391 |
) |
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS - 100.0% |
|
|
|
|
|
|
|
$ |
236,459,690 |
|
|
|
|
|
|
|
|
|
|
|
|
The Fund is
an investment company that applies the accounting and reporting guidance issued in Topic 946, Financial ServicesInvestment Companies, by the Financial Accounting Standards Board (FASB). The following is a summary of the
significant accounting policies of the Fund. These policies are in conformity with accounting principles generally accepted in the United States of America (US GAAP).
Valuations for domestic and foreign fixed income securities are normally determined on the basis of evaluations provided by independent
pricing services. Vendors typically value such securities based on one or more inputs described in the following table which is not intended to be a complete list. The table provides examples of inputs that are commonly relevant for valuing
particular classes of fixed income securities in which the Fund is authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income securities. Securities that use
similar valuation techniques and inputs as described in the following table are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable, the values generally would be categorized as
Level 3. Assets and liabilities may be transferred between levels.
Common stocks,
exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts, that are traded on a national securities or commodities exchange, are typically valued at the last reported sales price, in the case of
common stocks and exchange-traded funds, or, in the case of futures contracts or options contracts, the settlement price determined by the relevant exchange. To the extent these securities are actively traded and valuation adjustments are not
applied, they are categorized as Level 1 of the fair value hierarchy.
The Funds holdings in whole loans, securitizations and certain other types of alternative lending-related
instruments may be valued based on prices provided by a third-party pricing service.
Senior secured floating rate loans for which an active secondary
market exists to a reliable degree will be valued at the mean of the last available bid/ask prices in the market for such loans, as provided by an independent pricing service. Where an active secondary market does not exist to a reliable degree in
the judgment of DoubleLine Capital LP (the Adviser or DoubleLine Capital), such loans will be valued at fair value based on certain factors.
In respect of certain commercial real estate-related, residential real estate-related and certain other investments for which a limited market may exist, the
Fund may value such investments based on appraisals conducted by an independent valuation advisor or a similar pricing agent. However, an independent valuation firm may not be retained to undertake an evaluation of an asset unless the NAV, market
price and other aspects of an investment exceed certain significance thresholds.
The Board of Trustees has adopted a pricing and valuation policy for use
by the Fund and its Valuation Designee (as defined below) in calculating the Funds NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has designated the Adviser as its Valuation Designee
to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is
authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent
pricing services are unreliable.
The following is a summary of the fair valuations according to the inputs used to value the Funds investments as of
June 30, 2023:
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in
determining fair value:
The following is a summary of quantitative
information about Level 3 Fair Value Measurements: