RiverNorth Core Opportunity Fund

 

 

SCHEDULE OF INVESTMENTS

June 30, 2020 (Unaudited)

 

Shares/Description  Value 
CLOSED-END FUNDS - 66.15%     
 378,618   Aberdeen Emerging Markets Equity Income Fund, Inc.  $2,290,639 
 365,986   Aberdeen Total Dynamic Dividend Fund   2,818,092 
 257,821   AllianzGI NFJ Dividend Interest & Premium Strategy Fund   2,882,439 
 64,802   BlackRock Floating Rate Income Trust   711,526 
 47,118   BlackRock Global Opportunities Equity Trust   443,852 
 257,187   BlackRock Resources & Commodities Strategy Trust   1,576,556 
 65,064   BrandywineGLOBAL - Global Income Opportunities Fund, Inc.   750,839 
 104,389   Calamos Long/Short Equity & Dynamic Income Trust   1,615,942 
 45,857   Clough Global Equity Fund   488,377 
 261,567   Clough Global Opportunities Fund   2,278,249 
 30,621   Duff & Phelps Utility and Corporate Bond Trust, Inc.   286,306 
 206,529   Eagle Growth & Income Opportunities Fund   2,788,141 
 179,655   Eaton Vance Limited Duration Income Fund   2,024,712 
 86,772   First Trust Energy Income and Growth Fund   938,873 
 72,229   First Trust New Opportunities MLP & Energy Fund   310,585 
 98,071   Highland Global Allocation Fund   631,577 
 145,923   Highland Income Fund   1,174,680 
 45,839   Invesco Dynamic Credit Opportunities Fund   407,967 
 113,658   NexPoint Credit Strategies Fund   1,195,682 
 58,848   Nuveen AMT-Free Quality Municipal Income Fund   817,987 
 26,823   Nuveen California AMT-Free Quality Municipal Income Fund   400,467 
 27,628   Nuveen California Quality Municipal Income Fund   394,252 
 248,044   Nuveen Credit Strategies Income Fund   1,448,577 
 130,248   Nuveen Quality Municipal Income Fund   1,826,077 
 25,705   Nuveen Real Estate Income Fund   192,016 
 63,888   PGIM Global High Yield Fund, Inc.   812,655 
 102,192   PIMCO Energy & Tactical Credit Opportunities Fund   721,475 
 21,923   Royce Global Value Trust, Inc.   253,649 
 195,750   Royce Micro-Cap Trust, Inc.   1,409,400 
 161,805   Royce Value Trust, Inc.   2,029,035 
 95,369   Source Capital, Inc.   3,155,121 
 598,439   Sprott Focus Trust, Inc.   3,530,790 
 57,754   Templeton Global Income Fund   310,139 
 91,903   Voya Emerging Markets High Income Dividend Equity Fund   570,718 
 759,484   Voya Global Equity Dividend and Premium Opportunity Fund   3,668,308 
 111,065   Voya International High Dividend Equity Income Fund   458,698 
 34,680   Western Asset Emerging Markets Debt Fund, Inc.   427,258 
 256,263   Western Asset Global High Income Fund, Inc.   2,370,433 
 249,688   Western Asset High Income Opportunity Fund, Inc.   1,153,559 
 23,149   Western Asset Managed Municipals Fund, Inc.   278,019 
           
TOTAL CLOSED-END FUNDS     
(Cost $57,432,234)   51,843,667 
           
BUSINESS DEVELOPMENT COMPANIES - 1.60%     
 157,820   Barings BDC, Inc.   1,253,091 
           
TOTAL BUSINESS DEVELOPMENT COMPANIES     
(Cost $1,538,934)   1,253,091 
           
COMMON STOCKS - 6.65%     
 13,110   Agba Acquisition, Ltd.(a)   120,481 
 6,581   Amplitude Healthcare Acquisition Corp.(a)   66,600 

 

 

 

Shares/Description  Value 
 77,930   Bain Capital Specialty Finance, Inc.  $863,464 
 29,944   Churchill Capital Corp. II(a)   364,718 
 2,646   CIIG Merger Corp.(a)   27,121 
 9,711   Far Point Acquisition Corp., Class A(a)   99,441 
 104,118   Golub Capital BDC, Inc.   1,212,975 
 9,077   Greenvision Acquisition Corp.(a)   93,947 
 1,323   Healthcare Merger Corp.(a)   13,653 
 9,409   InterPrivate Acquisition Corp.(a)   95,595 
 5,163   Landcadia Holdings II, Inc.(a)   89,113 
 12,752   LF Capital Acquisition Corp., Class A(a)   136,446 
 10,614   LIV Capital Acquisition Corp.(a)   108,794 
 10,753   Merida Merger Corp. I(a)   105,272 
 359,206   Oaktree Specialty Lending Corp.   1,605,651 
 19,571   South Mountain Merger Corp.(a)   207,453 
           
TOTAL COMMON STOCKS     
(Cost $4,991,196)   5,210,724 
           
EXCHANGE TRADED FUNDS - 7.16%     
 118,753   Invesco FTSE RAFI Emerging Markets Portfolio   2,053,239 
 83,924   Pershing Square Holdings Ltd.   1,972,214 
 40,000   Vanguard® FTSE Emerging Markets ETF   1,584,400 
           
TOTAL EXCHANGE TRADED FUNDS     
(Cost $5,775,925)   5,609,853 
           
PREFERRED STOCKS - 0.88%     
 30,606   PennantPark Investment Corp., 5.500%, 10/15/2024   688,635 
           
TOTAL PREFERRED STOCKS     
(Cost $764,357)   688,635 

 

Shares/Description  Rate  Maturity  Value 
BUSINESS DEVELOPMENT COMPANY NOTES - 1.33%     
United States - 1.33%           
 4,420   Monroe Capital Corp.  5.75%  10/31/2023   100,599 
 17,788   Portman Ridge Finance Corp.  6.13%  09/30/2022   428,691 
 4,687   THL Credit, Inc.  6.75%  12/30/2022   114,550 
 16,590   TriplePoint Venture Growth BDC Corp.  5.75%  07/15/2022   399,322 
                 
TOTAL BUSINESS DEVELOPMENT COMPANY NOTES     
(Cost $978,965)         1,043,162 

 

Principal Amount/Description  Rate  Maturity  Value 
CONVERTIBLE CORPORATE BONDS - 3.48%           
$848,323   BlackRock Capital Investment Corp.  5.00%  06/15/2022  $748,348 
 190,456   BlackRock TCP Capital Corp.  4.63%  03/01/2022   186,651 
 500,000   Hercules Capital, Inc.  4.38%  02/01/2022   488,380 
 852,978   New Mountain Finance Corp.  5.75%  08/15/2023   802,865 
 500,000   Sixth Street Specialty Lending, Inc.  4.50%  08/01/2022   504,565 
                 
TOTAL CONVERTIBLE CORPORATE BONDS           
(Cost $2,531,379)         2,730,809 

 

 

 

Shares/Description  Value 
RIGHTS - 0.01%(a)     
 35,274   Big Rock Partners Acquisition Corp., Strike Price 11.50, Expires 12/31/2049  $9,877 
           
TOTAL RIGHTS     
(Cost $13,114)   9,877 
           
WARRANTS - 1.52%(a)     
 17,637   Big Rock Partners Acquisition Corp., Strike Price 11.50, Expires 12/01/2022   7,937 
 18,195   Brooge Energy, Ltd., Strike Price 11.50, Expires 07/14/2023   8,916 
 3,237   Far Point Acquisition Corp., Strike Price 11.50, Expires 06/03/2025   1,619 
 75,837   Gordon Pointe Acquisition Corp., Strike Price 11.50, Expires 07/30/2024   165,309 
 37,631   International General Insurance Holdings, Ltd., Strike Price 11.50, Expires 01/17/2025   12,791 
 26,164   Legacy Acquisition Corp., Strike Price 11.50, Expires 12/01/2022   12,820 
 20,922   Leisure Acquisition Corp., Strike Price 11.50, Expires 12/28/2022   19,457 
 12,752   LF Capital Acquisition Corp., Strike Price 11.50, Expires 06/28/2023   11,477 
 5,376   Merida Merger Corp. I, Strike Price 11.50, Expires 11/07/2026   2,688 
 18,162   Nikola Corp., Strike Price 11.50, Expires 06/11/2023   602,978 
 82,651   Opes Acquisition Corp., Strike Price 11.50, Expires 01/16/2023   338,869 
 19,178   Trident Acquisitions Corp., Strike Price 11.50, Expires 06/14/2021   8,822 
           
TOTAL WARRANTS     
(Cost $167,698)   1,193,683 
           
SHORT-TERM INVESTMENTS - 12.66%
Money Market Fund - 12.66%     
 9,924,681   State Street Institutional Trust (7 Day Yield 0.12%)   9,924,681 
           
TOTAL SHORT-TERM INVESTMENTS     
(Cost $9,924,681)   9,924,681 
           
TOTAL INVESTMENTS - 101.44%     
(Cost $84,118,483)  $79,508,182 
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.44)%   (1,128,883)
NET ASSETS - 100.00%  $78,379,299 

 

(a)Non-income producing security.

 

See Notes to Quarterly Schedule of Investments. 

 

 

 

RiverNorth/DoubleLine Strategic Income Fund

 

 

SCHEDULE OF INVESTMENTS

June 30, 2020 (Unaudited)

 

Shares/Description  Value 
CLOSED-END FUNDS - 21.37%     
 313,088   Advent Convertible and Income Fund  $4,095,191 
 1,529,663   AllianceBernstein Global High Income Fund, Inc.   15,449,596 
 419,379   Ares Dynamic Credit Allocation Fund, Inc.   5,003,191 
 1,244,860   BlackRock Debt Strategies Fund, Inc.   11,614,544 
 398,716   BlackRock Floating Rate Income Strategies Fund, Inc.   4,457,645 
 176,163   BlackRock Floating Rate Income Trust   1,934,270 
 1,022,827   BrandywineGLOBAL - Global Income Opportunities Fund, Inc.   11,803,424 
 525,934   Eaton Vance Floating-Rate Income Trust   5,995,648 
 2,683,681   Eaton Vance Limited Duration Income Fund   30,245,085 
 578,265   Eaton Vance Senior Income Trust   3,082,152 
 716,639   First Trust High Income Long/Short Fund   9,509,800 
 111,655   First Trust Senior Floating Rate 2022 Target Term Fund   922,270 
 835,840   Highland Income Fund   6,728,512 
 1,387,928   Invesco Dynamic Credit Opportunities Fund   12,352,559 
 2,024,713   Invesco Senior Income Trust   7,005,507 
 1,335,239   Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.   7,544,100 
 557,122   Nuveen AMT-Free Quality Municipal Income Fund   7,743,996 
 2,499,497   Nuveen Credit Strategies Income Fund   14,597,062 
 578,989   Nuveen Dividend Advantage Municipal Income Fund   8,846,952 
 563,544   Nuveen Floating Rate Income Fund   4,451,998 
 406,824   Nuveen Floating Rate Income Opportunity Fund   3,193,568 
 689,783   Nuveen Global High Income Fund   9,139,625 
 1,445,261   Nuveen Quality Municipal Income Fund   20,262,559 
 892,908   PGIM Global High Yield Fund, Inc.   11,357,790 
 718,549   PGIM High Yield Bond Fund, Inc.   9,506,403 
 670,579   Templeton Emerging Markets Income Fund   5,264,045 
 3,522,491   Templeton Global Income Fund   18,915,777 
 1,270,463   Western Asset Emerging Markets Debt Fund, Inc.   15,652,104 
 1,844,973   Western Asset Global High Income Fund, Inc.   17,066,000 
 1,294,606   Western Asset High Income Fund II, Inc.   8,026,557 
 7,522,487   Western Asset High Income Opportunity Fund, Inc.   34,753,890 
 138,083   Western Asset High Yield Defined Opportunity Fund, Inc.   1,929,020 
 4,785,804   Western Asset Inflation-Linked Opportunities & Income Fund   52,452,412 
           
TOTAL CLOSED-END FUNDS     
(Cost $401,966,182)   380,903,252 
           
BUSINESS DEVELOPMENT COMPANIES - 0.20%     
 450,876   Barings BDC, Inc.   3,579,956 
           
TOTAL BUSINESS DEVELOPMENT COMPANIES     
(Cost $4,509,757)   3,579,956 
           
COMMON STOCKS - 0.47%     
 12,164   Frontera Energy Corp.   30,252 
 715,266   Golub Capital BDC, Inc.   8,332,849 
 1,662   McDermott International, Inc.(a)(b)    
           
TOTAL COMMON STOCKS     
(Cost $8,304,250)   8,363,101 

 

 

 

Shares/Description  Value 
OPEN-END FUNDS - 1.63%     
 3,285,296   RiverNorth/Oaktree High Income Fund, Class I(c)  $29,055,484 
           
TOTAL OPEN-END FUNDS     
(Cost $31,073,100)   29,055,484 
           
PREFERRED STOCKS - 1.46%     
 333,397   Allianzgi Convertible & Income Fund, Series A, 5.625%(d)   8,561,635 
 305,811   Hercules Capital, Inc., 5.250%, 04/30/2025   7,629,984 
 188,696   New Mountain Finance Corp., 5.750%, 10/01/2023   4,528,704 
 233,620   PennantPark Investment Corp., 5.500%, 10/15/2024   5,256,450 
           
TOTAL PREFERRED STOCKS     
(Cost $26,071,093)   25,976,773 

 

Shares/Description  Rate  Maturity  Value 
BUSINESS DEVELOPMENT COMPANY NOTES - 1.11%           
United States - 1.11%           
 194,239   Portman Ridge Finance Corp.  6.13%  09/30/2022   4,681,160 
 179,152   THL Credit, Inc.  6.75%  12/30/2022   4,378,475 
 208,354   THL Credit, Inc.  6.13%  10/30/2023   4,929,656 
 237,249   TriplePoint Venture Growth BDC Corp.  5.75%  07/15/2022   5,710,583 
                 
TOTAL BUSINESS DEVELOPMENT COMPANY NOTES           
(Cost $19,904,219)         19,699,874 

 

Principal Amount/Description  Rate  Maturity  Value 
FOREIGN CORPORATE BONDS - 4.55%           
Argentina - 0.08%           
$150,000   AES Argentina Generacion SA(e)  7.75%  02/02/2024   109,125 
 600,000   Banco Macro SA(e)(f)  6.75%  11/04/2026   492,390 
 150,000   Capex SA(e)  6.88%  05/15/2024   111,172 
 150,000   Pampa Energia SA(g)  9.13%  04/15/2029   121,810 
 450,000   Pampa Energia SA(e)  9.13%  04/15/2029   365,432 
 575,629   Stoneway Capital Corp.(e)(h)  10.00%  03/01/2027   197,153 
               1,397,082 
Australia - 0.18%           
 1,000,000   APT Pipelines, Ltd.(g)  4.25%  07/15/2027   1,117,818 
 475,000   Commonwealth Bank of Australia(g)  4.32%  01/10/2048   561,249 
 530,000   Macquarie Group, Ltd.(f)(g)  3M US L + 1.33%  03/27/2024   569,471 
 500,000   Sydney Airport Finance Co. Pty, Ltd.(g)  3.38%  04/30/2025   516,612 
 500,000   Sydney Airport Finance Co. Pty, Ltd.(g)  3.63%  04/28/2026   524,609 
               3,289,759 
Bermuda - 0.02%           
 400,000   Ooredoo International Finance, Ltd.(e)  3.25%  02/21/2023   417,508 
                 
Brazil - 0.25%           
 650,000   Banco do Brasil SA(d)(e)(f)  6.25%  Perpetual Maturity   572,487 
 600,000   CSN Islands XI Corp.(g)  6.75%  01/28/2028   514,500 
 1,050,000   CSN Islands XII Corp.(d)(e)  7.00%  Perpetual Maturity   782,570 
 300,000   CSN Resources SA(g)  7.63%  04/17/2026   259,875 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
$200,000   Globo Comunicacao e Participacoes SA(g)  4.88%  01/22/2030  $181,200 
 850,000   Nexa Resources SA(g)  6.50%  01/18/2028   863,175 
 950,000   Oi SA(i)  10.00% (4.00%)  07/27/2025   793,488 
 550,000   Unigel Luxembourg SA(e)  8.75%  10/01/2026   445,500 
               4,412,795 
British Virgin Islands - 0.07%           
 400,000   C10 Capital SPV, Ltd.(d)(e)(f)  3M US L + 4.71%  Perpetual Maturity   370,400 
 200,000   C5 Capital SPV, Ltd.(d)(e)(f)  3M US L + 4.28%  Perpetual Maturity   155,000 
 800,000   Radiant Access, Ltd.(d)  4.60%  Perpetual Maturity   794,452 
               1,319,852 
Canada - 0.34%           
 405,000   Bank of Montreal(f)  3.80%  12/15/2032   436,236 
 355,000   Bank of Nova Scotia  1.63%  05/01/2023   363,532 
 140,000   Bombardier, Inc.(g)  6.00%  10/15/2022   98,343 
 1,000,000   Canacol Energy, Ltd.(e)  7.25%  05/03/2025   1,013,655 
 270,000   CCL Industries, Inc.(g)  3.05%  06/01/2030   276,792 
 165,000   Garda World Security Corp.(g)  8.75%  05/15/2025   167,576 
 130,000   GFL Environmental, Inc.(g)  4.25%  06/01/2025   131,381 
 185,000   GFL Environmental, Inc.(g)  5.13%  12/15/2026   191,937 
 72,000   GFL Environmental, Inc.(g)  8.50%  05/01/2027   78,467 
 600,000   Gran Tierra Energy, Inc.(g)  7.75%  05/23/2027   272,625 
 175,000   Kronos Acquisition Holdings, Inc.(g)  9.00%  08/15/2023   168,200 
 205,000   Mattamy Group Corp.(g)  4.63%  03/01/2030   197,153 
 51,000   MEG Energy Corp.(g)  7.00%  03/31/2024   43,865 
 265,000   MEG Energy Corp.(g)  7.13%  02/01/2027   220,944 
 400,000   MEGlobal Canada ULC(g)  5.00%  05/18/2025   432,172 
 200,000   MEGlobal Canada ULC(g)  5.88%  05/18/2030   226,734 
 470,000   Nutrien, Ltd.  4.20%  04/01/2029   545,701 
 145,000   Parkland Corp.(g)  5.88%  07/15/2027   150,773 
 55,000   Telesat Canada / Telesat LLC(g)  6.50%  10/15/2027   54,268 
 175,000   Tervita Corp.(g)  7.63%  12/01/2021   137,868 
 750,000   TransCanada PipeLines, Ltd.  4.25%  05/15/2028   863,312 
               6,071,534 
Cayman Islands - 0.33%           
 310,000   Banco BTG Pactual SA(f)(g)  7.75%  02/15/2029   314,650 
 600,000   Banco BTG Pactual SA(e)(f)  7.75%  02/15/2029   606,000 
 200,000   Banco Mercantil del Norte SA/Grand Cayman(d)(f)(g)  7.50%  Perpetual Maturity   188,288 
 1,150,000   Banco Mercantil del Norte SA/Grand Cayman(d)(e)(f)  7.63%  Perpetual Maturity   1,098,986 
 1,000,000   CK Hutchison Capital Securities 17, Ltd.(d)(e)(f)  4.00%  Perpetual Maturity   1,002,469 
 155,000   Global Aircraft Leasing Co., Ltd.(g)(i)  6.50% (7.25%)  09/15/2024   104,237 
 624,000   Gran Tierra Energy International Holdings, Ltd.(e)  6.25%  02/15/2025   277,487 
 200,000   Grupo Aval, Ltd.(g)  4.38%  02/04/2030   191,188 
 783,651   Interoceanica IV Finance, Ltd.(e)(j)  0.00%  11/30/2025   721,939 
 700,000   Itau Unibanco Holding SA Island(d)(f)(g)  4.63%  Perpetual Maturity   577,937 
 200,000   Latam Finance, Ltd.(g)(h)  7.00%  03/01/2026   55,500 
 200,000   Latam Finance, Ltd.(e)(h)  6.88%  04/11/2024   57,500 
 900,000   Latam Finance, Ltd.(e)(h)  7.00%  03/01/2026   249,750 
 161,494   Lima Metro Line 2 Finance, Ltd.(g)  5.88%  07/05/2034   190,976 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
$210,000   Transocean Poseidon, Ltd.(g)  6.88%  02/01/2027  $181,650 
               5,818,557 
Chile - 0.35%           
 600,000   AES Gener SA(f)(g)  6.35%  10/07/2079   604,125 
 200,000   AES Gener SA(e)(f)  7.13%  03/26/2079   206,853 
 900,000   Empresa de Transporte de Pasajeros Metro SA(g)  5.00%  01/25/2047   1,048,765 
 1,000,000   Empresa Electrica Guacolda SA(e)  4.56%  04/30/2025   828,477 
 1,600,000   Geopark, Ltd.(e)  6.50%  09/21/2024   1,476,872 
 650,000   GNL Quintero SA(e)  4.63%  07/31/2029   698,724 
 750,000   Transelec SA(e)  3.88%  01/12/2029   789,233 
 600,000   VTR Finance NV(e)  6.88%  01/15/2024   613,752 
               6,266,801 
China - 0.29%           
 200,000   Agile Group Holdings, Ltd.(d)(f)  6.88%  Perpetual Maturity   193,492 
 300,000   Agile Group Holdings, Ltd.(d)  7.88%  Perpetual Maturity   296,549 
 295,000   Agile Group Holdings, Ltd.(d)(f)  7.75%  Perpetual Maturity   286,835 
 200,000   Baidu, Inc.  3.43%  04/07/2030   217,668 
 200,000   Central China Real Estate, Ltd.  7.25%  04/24/2023   197,737 
 700,000   Central China Real Estate, Ltd.  7.25%  07/16/2024   676,289 
 750,000   CIFI Holdings Group Co., Ltd.(d)(f)  5.38%  Perpetual Maturity   734,032 
 400,000   JD.com, Inc.  3.38%  01/14/2030   429,558 
 650,000   Sinopec Group Overseas Development 2018, Ltd.(g)  2.70%  05/13/2030   670,455 
 500,000   Tencent Holdings, Ltd.(g)  2.39%  06/03/2030   501,161 
 350,000   Yuzhou Properties Co., Ltd.  8.30%  05/27/2025   347,373 
 600,000   Yuzhou Properties Co., Ltd.  7.38%  01/13/2026   565,384 
               5,116,533 
Colombia - 0.12%           
 350,000   Credivalores-Crediservicios SAS(g)  8.88%  02/07/2025   279,125 
 200,000   Credivalores-Crediservicios SAS(e)  9.75%  07/27/2022   164,247 
 400,000   Credivalores-Crediservicios SAS  8.88%  02/07/2025   319,000 
 150,000   Gilex Holding Sarl(g)  8.50%  05/02/2023   148,073 
 750,000   Gilex Holding Sarl(e)  8.50%  05/02/2023   740,366 
 600,000   Tecnoglass, Inc.(e)  8.20%  01/31/2022   585,309 
               2,236,120 
Dominican Republic - 0.05%           
 600,000   Aeropuertos Dominicanos Siglo XXI SA(e)  6.75%  03/30/2029   543,156 
 300,000   Banco de Reservas de la Republica Dominicana(g)  7.00%  02/01/2023   302,628 
               845,784 
Great Britain - 0.24%           
 710,000   Anglo American Capital PLC(g)  4.50%  03/15/2028   779,574 
 565,000   Barclays PLC(f)  3M US L + 1.38%  05/16/2024   560,043 
 510,000   Credit Agricole SA/London(g)  3.75%  04/24/2023   546,210 
 930,000   HSBC Holdings PLC(f)  3M US L + 1.38%  09/12/2026   915,547 
 350,000   Imperial Brands Finance PLC(g)  3.50%  07/26/2026   374,744 
 530,000   Lloyds Banking Group PLC(f)  3M US L + 1.21%  11/07/2028   576,259 
 450,000   Vedanta Resources Finance II PLC(g)  9.25%  04/23/2026   320,850 
 200,000   Vedanta Resources Finance II PLC(e)  9.25%  04/23/2026   142,600 
               4,215,827 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
Guatemala - 0.02% 
$300,000   Energuate Trust(e)  5.88%  05/03/2027  $295,818 
                 
Hong Kong - 0.04%           
 200,000   CNOOC Finance 2013, Ltd.  3.00%  05/09/2023   208,940 
 200,000   RKP Overseas Finance, Ltd.(d)  7.95%  Perpetual Maturity   182,857 
 400,000   RKPF Overseas, Ltd.(d)(f)  7.75%  Perpetual Maturity   380,000 
               771,797 
India - 0.11%           
 200,000   Adani Ports & Special Economic Zone, Ltd.(e)  3.95%  01/19/2022   202,314 
 200,000   Indian Oil Corp., Ltd.  5.75%  08/01/2023   216,322 
 950,000   Network i2i, Ltd.(d)(f)(g)  5.65%  Perpetual Maturity   924,350 
 800,000   Vedanta Resources, Ltd.(e)  6.13%  08/09/2024   555,697 
               1,898,683 
Indonesia - 0.12%           
 450,000   Bayan Resources Tbk PT(e)  6.13%  01/24/2023   423,879 
 1,000,000   Perusahaan Perseroan Persero PT Perusahaan Listrik Negara(e)  5.50%  11/22/2021   1,047,625 
 589,550   Star Energy Geothermal Wayang Windu, Ltd.(e)  6.75%  04/24/2033   615,309 
               2,086,813 
Ireland - 0.11%           
 760,000   AerCap Ireland Capital DAC / AerCap Global Aviation Trust  3.50%  01/15/2025   713,767 
 600,000   C&W Senior Financing DAC(e)  6.88%  09/15/2027   596,037 
 640,000   Shire Acquisitions Investments Ireland DAC  2.88%  09/23/2023   678,267 
               1,988,071 
Israel - 0.08%           
 100,000   Delek & Avner Tamar Bond, Ltd.(g)  5.08%  12/30/2023   99,792 
 100,000   Delek & Avner Tamar Bond, Ltd.(g)  5.41%  12/30/2025   98,344 
 1,100,000   Israel Electric Corp., Ltd.(g)  5.00%  11/12/2024   1,236,142 
               1,434,278 
Jamaica - 0.00%(k)           
 61,466   Digicel Group 0.5, Ltd.(g)(i)  8.00% (8.00%)  04/01/2025   16,903 
                 
Japan - 0.10%           
 550,000   Mitsubishi UFJ Financial Group, Inc.(f)  3M US L + 0.74%  03/02/2023   547,934 
 1,325,000   Sumitomo Mitsui Financial Group, Inc.(f)  3M US L + 0.74%  01/17/2023   1,321,060 
               1,868,994 
Luxembourg - 0.07%           
 600,000   JSL Europe SA(e)  7.75%  07/26/2024   595,500 
 550,000   Millicom International Cellular SA(e)  6.25%  03/25/2029   587,023 
               1,182,523 
Malaysia - 0.04%           
 200,000   CIMB Bank Bhd(f)  3M US L + 0.78%  10/09/2024   195,292 
 400,000   Malayan Banking Bhd(f)  3.91%  10/29/2026   406,070 
 200,000   TNB Global Ventures Capital Bhd  3.24%  10/19/2026   213,032 
               814,394 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
Mauritius - 0.07% 
$900,000   UPL Corp., Ltd.(d)(f)  5.25%  Perpetual Maturity  $821,250 
 400,000   UPL Corp., Ltd.(e)  3.25%  10/13/2021   399,930 
               1,221,180 
Mexico - 0.46%           
 700,000   Alpha Holding SA de CV(g)  9.00%  02/10/2025   626,500 
 200,000   Alpha Holding SA de CV(e)  9.00%  02/10/2025   179,000 
 500,000   Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand(d)(f)  8.50%  Perpetual Maturity   481,765 
 650,000   BBVA Bancomer SA(e)(f)  5.13%  01/18/2033   606,999 
 650,000   Braskem Idesa SAPI(g)  7.45%  11/15/2029   609,577 
 300,000   Braskem Idesa SAPI(e)  7.45%  11/15/2029   281,343 
 400,000   Cemex SAB de CV(e)  7.75%  04/16/2026   409,304 
 522,500   Cometa Energia SA de CV(e)  6.38%  04/24/2035   546,167 
 1,200,000   Credito Real SAB de CV SOFOM ER(d)(e)(f)  9.13%  Perpetual Maturity   1,029,600 
 301,619   Fermaca Enterprises S RL(e)  6.38%  03/30/2038   321,978 
 800,000   Mexarrend SAPI de CV(g)  10.25%  07/24/2024   683,000 
 200,000   Mexarrend SAPI de CV(e)  10.25%  07/24/2024   170,750 
 750,000   Operadora de Servicios Mega SA de CV Sofom ER(g)  8.25%  02/11/2025   696,656 
 600,000   TV Azteca SAB de CV  8.25%  08/09/2024   264,687 
 200,000   Unifin Financiera SAB de CV(e)  7.38%  02/12/2026   149,988 
 200,000   Unifin Financiera SAB de CV(e)  8.38%  01/27/2028   148,875 
 1,400,000   Unifin Financiera SAB de CV(d)(e)(f)  8.88%  Perpetual Maturity   920,514 
               8,126,703 
Netherlands - 0.29%           
 400,000   AES Andres BV / Dominican Power Partners / Empresa Generadora de Electricidad It(g)  7.95%  05/11/2026   406,000 
 745,000   AES Andres BV / Dominican Power Partners / Empresa Generadora de Electricidad It(e)  7.95%  05/11/2026   756,175 
 200,000   Ajecorp BV(e)  6.50%  05/14/2022   197,703 
 950,000   Braskem Netherlands Finance BV(e)  5.88%  01/31/2050   838,613 
 256,500   Indo Energy Finance II BV(e)  6.38%  01/24/2023   241,007 
 800,000   Metinvest BV(e)  7.75%  10/17/2029   751,292 
 335,000   NXP BV / NXP Funding LLC / NXP USA, Inc.(g)  3.88%  06/18/2026   375,428 
 700,000   Petrobras Global Finance BV  6.90%  03/19/2049   738,850 
 200,000   Syngenta Finance NV  4.38%  03/28/2042   182,323 
 600,000   Syngenta Finance NV(e)  5.68%  04/24/2048   609,331 
               5,096,722 
New Zealand - 0.03%           
 520,000   Bank of New Zealand(g)  3.50%  02/20/2024   564,784 
                 
Panama - 0.05%           
 200,000   Aeropuerto Internacional de Tocumen SA(e)  5.63%  05/18/2036   215,500 
 150,000   Banco de Credito del Peru/Panama(e)(f)  7.043% - 3M US L  04/24/2027   159,750 
 300,000   Global Bank Corp.(f)(g)  3M US L + 3.30%  04/16/2029   308,250 
 200,000   Multibank, Inc.(e)  4.38%  11/09/2022   201,805 
               885,305 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
Peru - 0.17%           
$100,000   Banco BBVA Peru SA(e)  5.00%  08/26/2022  $106,101 
 200,000   Banco de Credito del Peru(g)  3.13%  07/01/2030   199,050 
 300,000   Camposol SA(g)  6.00%  02/03/2027   295,338 
 200,000   Credicorp, Ltd.(g)  2.75%  06/17/2025   199,430 
 1,150,000   Hunt Oil Co. of Peru LLC Sucursal Del Peru(e)  6.38%  06/01/2028   1,121,250 
 1,450,000   Peru LNG Srl(e)  5.38%  03/22/2030   1,145,225 
               3,066,394 
Philippines - 0.06%           
 600,000   BDO Unibank, Inc.  2.95%  03/06/2023   614,935 
 400,000   Union Bank of the Philippines  3.37%  11/29/2022   414,599 
               1,029,534 
Singapore - 0.23%           
 715,000   BOC Aviation, Ltd.(f)(g)  3M US L + 1.13%  09/26/2023   694,086 
 800,000   DBS Group Holdings, Ltd.(d)(f)  3.60%  Perpetual Maturity   804,250 
 200,000   Indika Energy Capital III Pte, Ltd.(e)  5.88%  11/09/2024   179,990 
 400,000   Medco Bell Pte, Ltd.(g)  6.38%  01/30/2027   343,209 
 600,000   Medco Oak Tree Pte, Ltd.(e)  7.38%  05/14/2026   560,514 
 400,000   ONGC Videsh Vankorneft Pte, Ltd.  3.75%  07/27/2026   412,642 
 200,000   PSA Treasury Pte, Ltd.  2.13%  09/05/2029   207,292 
 400,000   United Overseas Bank, Ltd.(f)  2.88%  03/08/2027   406,094 
 500,000   United Overseas Bank, Ltd.(d)(f)  3.88%  Perpetual Maturity   507,340 
               4,115,417 
South Korea - 0.01%           
 200,000   Korea East-West Power Co., Ltd.(g)  1.75%  05/06/2025   206,379 
                 
Spain - 0.11%           
 1,100,000   AI Candelaria Spain SLU(e)  7.50%  12/15/2028   1,114,916 
 800,000   Banco Santander SA(f)  3M US L + 1.09%  02/23/2023   789,817 
               1,904,733 
Switzerland - 0.05%           
 500,000   Credit Suisse Group AG(f)(g)  3M US L + 1.24%  06/12/2024   502,722 
 450,000   Walnut Bidco PLC(e)  9.13%  08/01/2024   459,972 
               962,694 
Thailand - 0.01%           
 200,000   PTTEP Treasury Center Co., Ltd.(g)  2.59%  06/10/2027   204,975 
                 
TOTAL FOREIGN CORPORATE BONDS           
(Cost $82,780,351)         81,151,246 
                 
U.S. CORPORATE BONDS - 5.37%           
Advertising - 0.03%           
 560,000   Interpublic Group of Cos., Inc.  5.40%  10/01/2048   618,045 
                 
Aerospace/Defense - 0.08%           
 405,000   Lockheed Martin Corp.  4.70%  05/15/2046   553,752 
 350,000   Northrop Grumman Corp.  5.15%  05/01/2040   467,310 
 30,000   TransDigm, Inc.(g)  8.00%  12/15/2025   31,661 
 220,000   TransDigm, Inc.(g)  6.25%  03/15/2026   220,242 
 75,000   TransDigm, Inc.  6.38%  06/15/2026   68,682 
 135,000   TransDigm, Inc.  5.50%  11/15/2027   118,222 
 90,000   Triumph Group, Inc.  7.75%  08/15/2025   68,062 
               1,527,931 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
Agriculture - 0.14%           
$795,000   Altria Group, Inc.  4.80%  02/14/2029  $927,381 
 1,270,000   BAT Capital Corp.  3.46%  09/06/2029   1,353,506 
 315,000   Pyxus International, Inc.(g)(h)  8.50%  04/15/2021   303,975 
               2,584,862 
Airlines - 0.02%     
 215,000   Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets, Ltd.(g)  6.50%  06/20/2027   216,075 
 125,000   Southwest Airlines Co.  4.75%  05/04/2023   129,156 
               345,231 
Apparel - 0.02%           
 310,000   William Carter Co.(g)  5.50%  05/15/2025   320,269 
                 
Auto Manufacturers - 0.13%           
 110,000   Ford Motor Co.  9.00%  04/22/2025   119,144 
 200,000   Ford Motor Credit Co. LLC  5.75%  02/01/2021   201,686 
 200,000   Ford Motor Credit Co. LLC  4.39%  01/08/2026   189,907 
 865,000   General Motors Financial Co., Inc.(f)  3M US L + 0.99%  01/05/2023   834,077 
 25,000   General Motors Financial Co., Inc.  3.95%  04/13/2024   25,876 
 560,000   Hyundai Capital America(g)  2.65%  02/10/2025   563,539 
 355,000   Volkswagen Group of America Finance LLC(g)  4.25%  11/13/2023   388,910 
               2,323,139 
Auto Parts & Equipment - 0.01%           
 105,000   Clarios Global LP / Clarios US Finance Co.(g)  6.25%  05/15/2026   108,745 
                 
Banks - 0.21%           
 300,000   BBVA Bancomer SA(e)(f)  5.40%  11/12/2029   294,000 
 855,000   Citigroup, Inc.(f)  3M US L + 1.10%  05/17/2024   856,054 
 720,000   Goldman Sachs Group, Inc.(f)  3M US L + 1.17%  05/15/2026   715,142 
 350,000   JPMorgan Chase & Co.(f)  1D US SOFR + 2.04%  04/22/2031   370,444 
 500,000   Morgan Stanley(f)  3M US L + 1.34%  07/22/2028   563,022 
 470,000   Wells Fargo & Co.(f)  3M US L + 1.17%  06/17/2027   509,896 
 490,000   Wells Fargo & Co.(f)  3M US L + 1.17%  10/30/2030   524,085 
               3,832,643 
Beverages - 0.05%           
 550,000   Anheuser-Busch InBev Worldwide, Inc.  4.60%  04/15/2048   643,130 
 115,000   Constellation Brands, Inc.  3.15%  08/01/2029   123,523 
 35,000   Constellation Brands, Inc.  2.88%  05/01/2030   37,170 
 85,000   Keurig Dr Pepper, Inc.  3.80%  05/01/2050   97,413 
               901,236 
Building Materials - 0.06%           
 180,000   Builders FirstSource, Inc.(g)  6.75%  06/01/2027   184,804 
 140,000   Builders FirstSource, Inc.(g)  5.00%  03/01/2030   131,928 
 360,000   Carrier Global Corp.(g)  3.38%  04/05/2040   351,360 
 130,000   Griffon Corp.  5.75%  03/01/2028   128,700 
 275,000   Owens Corning  4.40%  01/30/2048   287,052 
               1,083,844 
Chemicals - 0.11%           
 215,000   DuPont de Nemours, Inc.  5.42%  11/15/2048   285,591 
 780,000   Illuminate Buyer LLC / Illuminate Holdings IV, Inc.(g)  9.00%  07/01/2028   815,100 
 700,000   Sasol Financing USA LLC  5.88%  03/27/2024   626,500 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
$200,000   Sasol Financing USA LLC  6.50%  09/27/2028  $177,832 
               1,905,023 
Coal - 0.01%           
 110,000   Peabody Energy Corp.(g)  6.00%  03/31/2022   71,844 
 170,000   SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp.(g)  7.50%  06/15/2025   144,213 
               216,057 
Commercial Services - 0.06%           
 140,000   Allied Universal Holdco LLC / Allied Universal Finance Corp.(g)  6.63%  07/15/2026   147,454 
 160,000   Allied Universal Holdco LLC / Allied Universal Finance Corp.(g)  9.75%  07/15/2027   168,879 
 80,000   Jaguar Holding Co. II / PPD Development LP(g)  5.00%  06/15/2028   82,050 
 195,000   MPH Acquisition Holdings LLC(g)  7.13%  06/01/2024   182,078 
 45,000   RELX Capital, Inc.  3.00%  05/22/2030   48,790 
 125,000   United Rentals North America, Inc.  6.50%  12/15/2026   131,488 
 160,000   United Rentals North America, Inc.  5.25%  01/15/2030   165,570 
 197,000   Verscend Escrow Corp.(g)  9.75%  08/15/2026   212,824 
               1,139,133 
Computers - 0.15%           
 545,000   Apple, Inc.  4.65%  02/23/2046   747,456 
 515,000   Dell International LLC / EMC Corp.(g)  6.10%  07/15/2027   595,709 
 110,000   DXC Technology Co.  4.00%  04/15/2023   115,523 
 240,000   DXC Technology Co.  4.13%  04/15/2025   255,806 
 780,000   Flexential Intermediate Corp.(g)  11.25%  08/01/2024   778,537 
 190,000   NetApp, Inc.  1.88%  06/22/2025   192,695 
               2,685,726 
Distribution/Wholesale - 0.01%           
 160,000   Performance Food Group, Inc.(g)  5.50%  10/15/2027   154,693 
                 
Diversified Financial Services - 0.26%           
 813,000   Air Lease Corp.  3.75%  02/01/2022   822,098 
 220,000   Capital One Financial Corp.(f)  3M US L + 0.72%  01/30/2023   216,152 
 690,000   Charles Schwab Corp.  3.55%  02/01/2024   757,297 
 1,055,000   Discover Financial Services  4.10%  02/09/2027   1,153,891 
 140,000   Nationstar Mortgage Holdings, Inc.(g)  8.13%  07/15/2023   144,033 
 95,000   Navient Corp.  5.00%  03/15/2027   80,009 
 265,000   NFP Corp.(g)  6.88%  07/15/2025   255,122 
 165,000   Springleaf Finance Corp.  6.63%  01/15/2028   163,629 
 745,000   Synchrony Financial  3.95%  12/01/2027   779,070 
 265,000   Tempo Acquisition LLC / Tempo Acquisition Finance Corp.(g)  6.75%  06/01/2025   269,138 
               4,640,439 
Electric - 0.39%           
 210,000   Arizona Public Service Co.  3.35%  05/15/2050   224,867 
 155,000   Calpine Corp.(g)  5.13%  03/15/2028   151,842 
 55,000   Duke Energy Corp.  3.75%  09/01/2046   62,389 
 485,000   Duke Energy Corp.  3.95%  08/15/2047   568,175 
 535,000   Duke Energy Progress LLC  4.15%  12/01/2044   655,368 
 175,000   Entergy Corp.  2.80%  06/15/2030   184,694 
 105,000   FirstEnergy Corp.  2.25%  09/01/2030   105,444 
 240,000   General Electric Co.  5.88%  01/14/2038   268,801 
 715,000   Georgia Power Co.  2.20%  09/15/2024   750,891 
 1,100,000   ITC Holdings Corp.  3.25%  06/30/2026   1,206,770 
 275,000   Monongahela Power Co.(g)  5.40%  12/15/2043   385,004 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
$500,000   NextEra Energy Capital Holdings, Inc.  2.25%  06/01/2030  $514,751 
 65,000   PG&E Corp.  5.00%  07/01/2028   64,919 
 370,000   Pinnacle West Capital Corp.  1.30%  06/15/2025   375,808 
 255,000   PSEG Power LLC  3.85%  06/01/2023   275,565 
 1,000,000   Virginia Electric and Power Co.  3.50%  03/15/2027   1,135,516 
               6,930,804 
Electrical Components & Equipment - 0.01%           
 175,000   Energizer Holdings, Inc.(g)  4.75%  06/15/2028   172,107 
                 
Electronics - 0.02%           
 390,000   Arrow Electronics, Inc.  3.88%  01/12/2028   408,891 
                 
Engineering & Construction - 0.02%           
 400,000   SBA Tower Trust(g)  3.17%  04/11/2022   404,396 
                 
Entertainment - 0.09%           
 150,000   Cedar Fair LP(g)  5.25%  07/15/2029   135,872 
 160,000   Colt Merger Sub, Inc.(g)  6.25%  07/01/2025   159,152 
 160,000   Eldorado Resorts, Inc.  6.00%  04/01/2025   166,983 
 210,000   Lions Gate Capital Holdings LLC(g)  6.38%  02/01/2024   205,404 
 150,000   Live Nation Entertainment, Inc.(g)  6.50%  05/15/2027   154,781 
 220,000   Live Nation Entertainment, Inc.(g)  4.75%  10/15/2027   189,773 
 135,000   Scientific Games International, Inc.(g)  7.25%  11/15/2029   108,228 
 305,000   Six Flags Theme Parks, Inc.(g)  7.00%  07/01/2025   316,628 
 180,000   Twin River Worldwide Holdings, Inc.(g)  6.75%  06/01/2027   171,641 
               1,608,462 
Environmental Control - 0.03%           
 610,000   Waste Management, Inc.  4.00%  07/15/2039   630,362 
                 
Food - 0.21%     
 100,000   B&G Foods, Inc.  5.25%  04/01/2025   100,850 
 80,000   B&G Foods, Inc.  5.25%  09/15/2027   80,275 
 185,000   Campbell Soup Co.  2.38%  04/24/2030   191,979 
 40,000   JBS USA LUX SA / JBS USA Finance, Inc.(g)  5.88%  07/15/2024   40,613 
 25,000   JBS USA LUX SA / JBS USA Finance, Inc.(g)  5.75%  06/15/2025   25,375 
 230,000   JBS USA LUX SA / JBS USA Finance, Inc.(g)  6.75%  02/15/2028   243,471 
 63,000   Kraft Heinz Foods Co.  3.95%  07/15/2025   67,359 
 75,000   Kraft Heinz Foods Co.  5.00%  07/15/2035   82,583 
 205,000   Kraft Heinz Foods Co.  5.20%  07/15/2045   222,557 
 825,000   Kroger Co.  3.40%  04/15/2022   860,186 
 90,000   Mondelez International, Inc.  2.13%  04/13/2023   93,277 
 210,000   Mondelez International, Inc.  1.50%  05/04/2025   214,265 
 130,000   Pilgrim's Pride Corp.(g)  5.88%  09/30/2027   130,327 
 180,000   Post Holdings, Inc.(g)  4.63%  04/15/2030   176,967 
 684,000   Smithfield Foods, Inc.(g)  4.25%  02/01/2027   699,731 
 465,000   Sysco Corp.  3.30%  02/15/2050   435,670 
 25,000   US Foods, Inc.(g)  6.25%  04/15/2025   25,547 
               3,691,032 
Food Service - 0.02%           
 275,000   Aramark Services, Inc.(g)  6.38%  05/01/2025   284,489 
                 
Healthcare-Products - 0.04%           
 145,000   Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA(g)  7.38%  06/01/2025   147,628 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
$505,000   Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA(g)  7.25%  02/01/2028  $514,585 
               662,213 
Healthcare-Services - 0.12%           
 265,000   Anthem, Inc.  2.38%  01/15/2025   281,021 
 235,000   HCA, Inc.  5.38%  09/01/2026   256,432 
 120,000   HCA, Inc.  4.13%  06/15/2029   132,489 
 85,000   Health Care Service Corp. A Mutual Legal Reserve Co.(g)  3.20%  06/01/2050   87,013 
 85,000   LifePoint Health, Inc.(g)  6.75%  04/15/2025   87,975 
 145,000   LifePoint Health, Inc.(g)  4.38%  02/15/2027   137,387 
 45,000   Molina Healthcare, Inc.(g)  4.38%  06/15/2028   45,197 
 935,000   Radiology Partners, Inc.(g)  9.25%  02/01/2028   883,575 
 155,000   Select Medical Corp.(g)  6.25%  08/15/2026   157,043 
 130,000   West Street Merger Sub, Inc.(g)  6.38%  09/01/2025   126,180 
               2,194,312 
Insurance - 0.17%           
 125,000   Alliant Holdings Intermediate LLC / Alliant Holdings Co.-Issuer(g)  6.75%  10/15/2027   124,789 
 520,000   Athene Global Funding(g)  3.00%  07/01/2022   532,837 
 785,000   Equitable Holdings, Inc.  3.90%  04/20/2023   840,588 
 160,000   GTCR AP Finance, Inc.(g)  8.00%  05/15/2027   165,269 
 340,000   Prudential Financial, Inc.  3.91%  12/07/2047   387,039 
 835,000   Willis North America, Inc.  4.50%  09/15/2028   975,366 
               3,025,888 
Internet - 0.03%           
 350,000   Expedia Group, Inc.  3.80%  02/15/2028   336,548 
 125,000   Uber Technologies, Inc.(g)  7.50%  09/15/2027   125,287 
               461,835 
Investment Companies - 0.54%           
 5,000,000   Business Development Corp. of America(g)  5.38%  05/30/2023   4,455,228 
 5,000,000   FS KKR Capital Corp.  4.75%  05/15/2022   4,961,162 
 180,000   Icahn Enterprises LP / Icahn Enterprises Finance Corp.  5.25%  05/15/2027   174,262 
               9,590,652 
Leisure Time - 0.02%           
 50,000   Carnival Corp.(g)  11.50%  04/01/2023   54,122 
 55,000   Viking Cruises, Ltd.(g)  13.00%  05/15/2025   58,265 
 290,000   Viking Cruises, Ltd.(g)  5.88%  09/15/2027   173,329 
               285,716 
Lodging - 0.03%           
 200,000   Boyd Gaming Corp.(g)  4.75%  12/01/2027   172,068 
 30,000   Hilton Domestic Operating Co., Inc.(g)  5.38%  05/01/2025   30,019 
 30,000   Hilton Domestic Operating Co., Inc.(g)  5.75%  05/01/2028   30,431 
 275,000   MGM Resorts International  6.75%  05/01/2025   273,475 
               505,993 
Machinery-Construction & Mining - 0.00%(k)           
 80,000   BWX Technologies, Inc.(g)  4.13%  06/30/2028   80,100 
                 
Machinery-Diversified - 0.01%           
 240,000   John Deere Capital Corp.  3.45%  01/10/2024   263,594 
                 
Manufactured Goods - 0.01%           
 105,000   Gates Global LLC / Gates Corp.(g)  6.25%  01/15/2026   104,168 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
Media - 0.10% 
$105,000   Cengage Learning, Inc.(g)  9.50%  06/15/2024  $73,883 
 485,000   Charter Communications Operating LLC / Charter Communications Operating Capital  4.91%  07/23/2025   556,527 
 165,000   Clear Channel Worldwide Holdings, Inc.(g)  5.13%  08/15/2027   158,690 
 320,000   Comcast Corp.  3.40%  04/01/2030   365,146 
 135,000   Diamond Sports Group LLC / Diamond Sports Finance Co.(g)  5.38%  08/15/2026   98,539 
 245,000   Gray Television, Inc.(g)  7.00%  05/15/2027   251,774 
 35,000   iHeartCommunications, Inc.  8.38%  05/01/2027   32,137 
 90,000   Nexstar Broadcasting, Inc.(g)  5.63%  07/15/2027   90,228 
 130,000   Scripps Escrow, Inc.(g)  5.88%  07/15/2027   123,395 
               1,750,319 
Mining - 0.04%           
 195,000   Arconic Corp.(g)  6.13%  02/15/2028   195,502 
 400,000   Freeport-McMoRan, Inc.  5.45%  03/15/2043   393,354 
 80,000   Novelis Corp.(g)  4.75%  01/30/2030   76,599 
               665,455 
Oil & Gas - 0.37%           
 95,000   Apache Corp.  4.38%  10/15/2028   83,931 
 715,000   Brooklyn Union Gas Co.(g)  4.49%  03/04/2049   890,517 
 715,000   CNOOC Finance 2015 USA, LLC  3.75%  05/02/2023   761,589 
 390,000   East Ohio Gas Co.(g)  3.00%  06/15/2050   391,273 
 110,000   EOG Resources, Inc.  4.38%  04/15/2030   131,203 
 100,000   EQT Corp.  6.13%  02/01/2025   99,826 
 265,000   Exxon Mobil Corp.  2.61%  10/15/2030   283,140 
 165,000   Exxon Mobil Corp.  4.23%  03/19/2040   200,096 
 175,000   Gulfport Energy Corp.  6.38%  05/15/2025   87,929 
 430,000   Halliburton Co.  2.92%  03/01/2030   408,661 
 140,000   Hilcorp Energy I LP / Hilcorp Finance Co.(g)  6.25%  11/01/2028   112,848 
 65,000   Indigo Natural Resources LLC(g)  6.88%  02/15/2026   60,655 
 800,000   Kosmos Energy, Ltd.(e)  7.13%  04/04/2026   705,872 
 630,000   Marathon Petroleum Corp.  5.13%  12/15/2026   725,489 
 175,000   NiSource, Inc.  3.60%  05/01/2030   200,364 
 170,000   Oasis Petroleum, Inc.  6.88%  03/15/2022   28,581 
 145,000   Occidental Petroleum Corp.  4.10%  02/01/2021   146,305 
 75,000   Occidental Petroleum Corp.  8.00%  07/15/2025   75,469 
 110,000   Occidental Petroleum Corp.  3.50%  08/15/2029   80,949 
 145,000   Parsley Energy LLC / Parsley Finance Corp.(g)  5.63%  10/15/2027   143,161 
 265,000   PBF Holding Co. LLC / PBF Finance Corp.(g)  9.25%  05/15/2025   283,384 
 140,000   QEP Resources, Inc.  5.63%  03/01/2026   89,342 
 110,000   Sunoco LP / Sunoco Finance Corp.  6.00%  04/15/2027   109,151 
 135,000   Transocean, Inc.(g)  8.00%  02/01/2027   76,444 
 220,000   USA Compression Partners LP / USA Compression Finance Corp.  6.88%  09/01/2027   209,328 
 95,000   WPX Energy, Inc.  5.88%  06/15/2028   91,200 
 95,000   WPX Energy, Inc.  4.50%  01/15/2030   84,128 
               6,560,835 
Packaging & Containers - 0.06%           
 185,000   Flex Acquisition Co., Inc.(g)  6.88%  01/15/2025   179,101 
 185,000   Silgan Holdings, Inc.(g)  4.13%  02/01/2028   183,844 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
$626,000   WRKCo, Inc.  3.75%  03/15/2025  $694,734 
               1,057,679 
Pharmaceuticals - 0.29%           
 100,000   AbbVie, Inc.  4.70%  05/14/2045   125,433 
 285,000   Bausch Health Cos., Inc.(g)  6.25%  02/15/2029   286,960 
 1,015,000   Becton Dickinson and Co.  2.89%  06/06/2022   1,050,603 
 595,000   Bristol-Myers Squibb Co.(g)  4.35%  11/15/2047   792,352 
 355,000   Cigna Corp.(f)  3M US L + 0.89%  07/15/2023   356,952 
 340,000   Cigna Corp.  4.90%  12/15/2048   450,166 
 290,000   CVS Health Corp.  5.05%  03/25/2048   377,840 
 787,000   Eli Lilly and Co.  2.25%  05/15/2050   756,964 
 620,000   Merck & Co., Inc.  3.40%  03/07/2029   715,759 
 215,000   Upjohn, Inc.(g)  1.65%  06/22/2025   219,440 
               5,132,469 
Pipelines - 0.19%           
 73,000   Antero Midstream Partners LP / Antero Midstream Finance Corp.(g)  5.75%  03/01/2027   57,900 
 80,000   Cheniere Energy Partners LP  5.25%  10/01/2025   79,816 
 130,000   Cheniere Energy Partners LP  5.63%  10/01/2026   129,119 
 275,000   Enable Midstream Partners LP  4.40%  03/15/2027   253,734 
 775,000   Energy Transfer Operating LP  4.75%  01/15/2026   846,991 
 175,000   EQM Midstream Partners LP(g)  6.50%  07/01/2027   179,695 
 180,000   Hess Midstream Operations LP(g)  5.13%  06/15/2028   173,405 
 598,000   Kinder Morgan Energy Partners LP  6.95%  01/15/2038   793,452 
 180,000   ONEOK, Inc.  3.40%  09/01/2029   175,729 
 335,000   Sabine Pass Liquefaction LLC  5.00%  03/15/2027   375,074 
 170,000   Targa Resources Partners LP / Targa Resources Partners Finance Corp.(g)  5.50%  03/01/2030   164,315 
 120,000   Western Midstream Operating LP  3.10%  02/01/2025   113,974 
               3,343,204 
REITS - 0.33%           
 555,000   Alexandria Real Estate Equities, Inc.  4.00%  01/15/2024   614,090 
 705,000   American Tower Corp.  3.60%  01/15/2028   788,130 
 885,000   Boston Properties LP  3.40%  06/21/2029   977,592 
 800,000   Crown Castle International Corp.  3.70%  06/15/2026   892,927 
 200,000   Crown Castle International Corp.  3.65%  09/01/2027   223,102 
 120,000   Equinix, Inc.  1.80%  07/15/2027   120,724 
 198,000   ESH Hospitality, Inc.(g)  5.25%  05/01/2025   191,857 
 94,000   MPT Operating Partnership LP / MPT Finance Corp.  5.25%  08/01/2026   97,798 
 190,000   National Retail Properties, Inc.  2.50%  04/15/2030   181,879 
 660,000   Public Storage  3.39%  05/01/2029   762,751 
 55,000   Realogy Group LLC / Realogy Co.-Issuer Corp.(g)  7.63%  06/15/2025   55,000 
 75,000   Simon Property Group LP  2.45%  09/13/2029   74,431 
 795,000   Welltower, Inc.  3.95%  09/01/2023   856,874 
               5,837,155 
Retail - 0.20%           
 27,000   Asbury Automotive Group, Inc.(g)  4.50%  03/01/2028   26,274 
 27,000   Asbury Automotive Group, Inc.(g)  4.75%  03/01/2030   26,393 
 235,000   Beacon Roofing Supply, Inc.(g)  4.88%  11/01/2025   210,365 
 60,000   Carvana Co.(g)  8.88%  10/01/2023   60,356 
 120,000   Costco Wholesale Corp.  1.75%  04/20/2032   122,267 
 450,000   Dollar Tree, Inc.  4.00%  05/15/2025   507,044 
 235,000   Golden Nugget, Inc.(g)  6.75%  10/15/2024   169,200 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
$335,000   Home Depot, Inc.  3.90%  06/15/2047  $410,384 
 195,000   IRB Holding Corp.(g)  6.75%  02/15/2026   186,919 
 165,000   McDonald's Corp.  3.60%  07/01/2030   190,174 
 325,000   McDonald's Corp.  4.45%  03/01/2047   395,973 
 35,000   Nordstrom, Inc.(g)  8.75%  05/15/2025   37,696 
 190,000   PetSmart, Inc.(g)  7.13%  03/15/2023   187,728 
 66,000   PetSmart, Inc.(g)  5.88%  06/01/2025   66,370 
 185,000   Staples, Inc.(g)  7.50%  04/15/2026   145,757 
 650,000   Target Corp.  3.38%  04/15/2029   752,113 
 55,000   Yum! Brands, Inc.(g)  7.75%  04/01/2025   59,434 
               3,554,447 
Semiconductors - 0.12%           
 225,000   Broadcom, Inc.(g)  3.15%  11/15/2025   239,175 
 300,000   Lam Research Corp.  2.88%  06/15/2050   310,942 
 645,000   Marvell Technology Group, Ltd.  4.20%  06/22/2023   693,845 
 305,000   Micron Technology, Inc.  2.50%  04/24/2023   316,991 
 170,000   Texas Instruments, Inc.  1.75%  05/04/2030   172,930 
 355,000   Xilinx, Inc.  2.38%  06/01/2030   366,472 
               2,100,355 
Software - 0.05%           
 155,000   Dun & Bradstreet Corp.(g)  6.88%  08/15/2026   164,663 
 190,000   Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho(g)  10.00%  11/30/2024   198,095 
 435,000   Oracle Corp.  3.85%  04/01/2060   511,716 
               874,474 
Special Purpose Banks - 0.01%           
 160,000   Caesars Resort Collection LLC / CRC Finco, Inc.(g)  5.25%  10/15/2025   139,442 
                 
Telecommunications - 0.34%           
 500,000   AT&T, Inc.  4.30%  02/15/2030   584,615 
 1,140,000   AT&T, Inc.  5.25%  03/01/2037   1,410,785 
 160,000   CenturyLink, Inc.(g)  5.13%  12/15/2026   159,849 
 145,000   CenturyLink, Inc.(g)  4.00%  02/15/2027   140,681 
 345,000   Corning, Inc.  4.38%  11/15/2057   398,870 
 155,000   Frontier Communications Corp.(g)(h)  8.00%  04/01/2027   157,585 
 120,000   Gogo Intermediate Holdings LLC / Gogo Finance Co., Inc.(g)  9.88%  05/01/2024   101,713 
 80,000   GTT Communications, Inc.(g)  7.88%  12/31/2024   42,250 
 1,245,000   Intelsat Jackson Holdings SA(g)(h)  8.50%  10/15/2024   752,534 
 180,000   Level 3 Financing, Inc.(g)  4.63%  09/15/2027   181,862 
 255,000   Level 3 Financing, Inc.(g)  4.25%  07/01/2028   255,938 
 150,000   T-Mobile USA, Inc.(g)  3.50%  04/15/2025   163,784 
 80,000   T-Mobile USA, Inc.(g)  1.50%  02/15/2026   80,194 
 500,000   Verizon Communications, Inc.  3.15%  03/22/2030   566,336 
 720,000   Verizon Communications, Inc.  4.40%  11/01/2034   895,634 
 155,000   Zayo Group Holdings, Inc.(g)  4.00%  03/01/2027   147,371 
 85,000   Zayo Group Holdings, Inc.(g)  6.13%  03/01/2028   82,809 
               6,122,810 
Transportation - 0.12%           
 345,000   Burlington Northern Santa Fe LLC  3.05%  02/15/2051   376,346 
 660,000   CSX Corp.  3.80%  11/01/2046   750,510 
 330,000   FedEx Corp.  4.75%  11/15/2045   364,276 
 30,000   Kenan Advantage Group, Inc.(g)  7.88%  07/31/2023   26,509 
 500,000   Union Pacific Corp.  3.70%  03/01/2029   584,671 
               2,102,312 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
Trucking & Leasing - 0.02%           
$405,000   Penske Truck Leasing Co. LP / PTL Finance Corp.(g)  4.20%  04/01/2027  $437,644 
                 
Water - 0.02%           
 355,000   Essential Utilities, Inc.  2.70%  04/15/2030   371,859 
                 
TOTAL U.S. CORPORATE BONDS           
(Cost $93,182,196)         95,742,489 
                 
CONVERTIBLE CORPORATE BONDS - 0.72%           
 5,871,438   BlackRock TCP Capital Corp.  4.63%  03/01/2022   5,754,147 
 91,897   Digicel Group 0.5, Ltd.(d)(g)(i)  7.00%  12/31/2049   7,811 
 1,500,000   Goldman Sachs BDC, Inc.  4.50%  04/01/2022   1,492,500 
 6,000,000   New Mountain Finance Corp.  5.75%  08/15/2023   5,647,500 
                 
TOTAL CONVERTIBLE CORPORATE BONDS           
(Cost $12,564,066)         12,901,958 
                 
FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND FOREIGN AGENCIES - 0.40%  
 200,000   Abu Dhabi Government International Bond(g)  2.50%  04/16/2025   211,162 
 200,000   Abu Dhabi Government International Bond(g)  3.13%  04/16/2030   220,863 
 200,000   Dominican Republic International Bond(g)  4.50%  01/30/2030   181,900 
 800,000   Dominican Republic International Bond(g)  6.40%  06/05/2049   736,000 
 600,000   Export Import Bank of Thailand(f)  3M US L + 0.90%  11/20/2023   591,141 
 200,000   Guatemala Government Bond(g)  5.38%  04/24/2032   221,500 
 900,000   Indonesia Government International Bond  3.85%  10/15/2030   1,003,412 
 285,000   Mexico Government International Bond  4.15%  03/28/2027   305,484 
 875,000   Mexico Government International Bond  3.75%  01/11/2028   912,472 
 200,000   Mexico Government International Bond  4.75%  04/27/2032   221,000 
 400,000   Mexico Government International Bond  5.00%  04/27/2051   432,400 
 200,000   Peruvian Government International Bond  2.39%  01/23/2026   208,100 
 200,000   Philippine Government International Bond  2.46%  05/05/2030   210,182 
 200,000   Qatar Government International Bond(e)  3.88%  04/23/2023   214,978 
 400,000   Qatar Government International Bond(e)  3.38%  03/14/2024   429,157 
 400,000   Saudi Government International Bond(g)  2.90%  10/22/2025   425,180 
 200,000   Saudi Government International Bond(e)  2.38%  10/26/2021   203,268 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
$400,000   Saudi Government International Bond(e)  2.88%  03/04/2023  $418,006 
                 
TOTAL FOREIGN GOVERNMENT BONDS AND NOTES, SUPRANATIONALS AND FOREIGN AGENCIES     
(Cost $6,903,828)         7,146,205 
                 
BANK LOANS - 1.10%(f)           
Canada - 0.09%           
 940,000   Kronos Acquisition Intermediate, Inc., First Lien  - Initial Term Loan  2M US L + 4.00%, 1.00% Floor  05/15/2023   898,231 
 655,000   Titan Acquisition, Ltd., First Lien  - Initial Term Loan  3M US L + 3.00%  03/28/2025   601,784 
               1,500,015 
Ireland - 0.03%           
 522,306   ION Trading Technologies S.A.R.L., First Lien  - 2018 Initial Dollar Term Loan  3M US L + 4.00%, 1.00% Floor  11/21/2024   504,958 
                 
Luxembourg - 0.02%           
 577,100   Travelport Finance Luxembourg Sarl, First Lien  - Initial Term Loan  3M US L + 5.00%  05/29/2026   384,952 
                 
United States - 0.96%           
 1,270,471   Air Methods Corp., First Lien  - Initial Term Loan  3M US L + 3.50%, 1.00% Floor  04/22/2024   1,054,224 
 1,210,844   American Tire Distributors, Inc., First Lien  - Initial Term Loan  1M US L + 7.50%, 1.00% Floor  09/02/2024   809,534 
 560,000   Avaya, Inc., First Lien  - Tranche B Term Loan  1M US L + 4.25%  12/15/2024   518,840 
 1,440,468   BI-LO LLC, First Lien  - Initial Term Loan(l)  3M US L + 8.00%, 1.00% Floor  05/31/2024   1,433,864 
 750,000   Castle US Holding Corp., First Lien  - Initial Dollar Term Loan  3M US L + 3.75%  01/29/2027   688,125 
 1,022,036   Cengage Learning, Inc., First Lien  - 2016 Refinancing Term Loan  3M US L + 4.25%, 1.00% Floor  06/07/2023   832,959 
 783,447   Cvent, Inc., First Lien Term Loan  1M US L + 3.75%  11/29/2024   679,640 
 113,345   Dhanani Group, Inc., First Lien Term Loan  1M US L + 3.75%  07/20/2025   105,552 
 1,066,232   Forterra Finance LLC, First Lien  - Replacement Term Loan  1M US L + 3.00%, 1.00% Floor  10/25/2023   1,039,576 
 457,659   Global Medical Response, Inc., First Lien  - 2018 New Term Loan  3M US L + 4.25%, 1.00% Floor  03/14/2025   439,067 
 777,600   Granite US Holdings Corp., First Lien  - B Term Loan  3M US L + 5.25%  09/30/2026   684,288 
 1,374,583   Gulf Finance LLC, First Lien  - Tranche B Term Loan  1M US L + 5.25%, 1.00% Floor  08/25/2023   899,204 
 273,316   Klockner Pentaplast of America, Inc., First Lien  - Dollar Term Loan  3M US L + 4.25%, 1.00% Floor  06/30/2022   257,308 
 302,713   Lower Cadence Holdings LLC, First Lien  - Initial Term Loan  1M US L + 4.00%  05/22/2026   270,928 
 437,633   McDermott International, Inc., First Lien Term Loan(h)  3M US L + 6.00%  05/09/2025   160,559 
 46,341   McDermott Technology , Inc., First Lien  - Facility (Superpriority DIP) Term Loan  3M US L + 9.00%, 1.00% Floor  10/21/2020   46,179 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
$112,090   McDermott Technology Americas, Inc., First Lien  - Refinanced Term Loan  3M US L + 9.00%, 1.00% Floor  10/21/2020  $111,698 
 1,141,353   Minotaur Acquisition, Inc., First Lien  - B Term Loan  1M US L + 5.00%  03/27/2026   1,060,505 
 495,642   Misys, Ltd., First Lien  - Dollar Term Loan  3M US L + 3.50%, 1.00% Floor  06/13/2024   435,603 
 1,135,000   Mitchell International, Inc., Second Lien  - Initial Term Loan  1M US L + 7.25%  12/01/2025   1,015,825 
 475,223   MLN US HoldCo LLC, First Lien  - B Term Loan  1M US L + 4.50%  11/30/2025   392,358 
 1,150,000   MPH Acquisition Holdings LLC, First Lien  - Initial Term Loan  3M US L + 2.75%, 1.00% Floor  06/07/2023   1,096,651 
 1,034,694   Peak 10 Holding Corp., First Lien  - Initial Term Loan  3M US L + 3.50%  08/01/2024   836,809 
 532,304   Radiology Partners, Inc., First Lien  - B Term Loan  3M US L + 4.25%  07/09/2025   497,327 
 562,139   Solenis Holdings LLC, First Lien  - Initial Dollar Term Loan  3M US L + 4.00%  06/26/2025   542,231 
 230,000   Solenis Holdings LLC, Second Lien  - Initial Term Loan  3M US L + 8.50%  06/26/2026   201,195 
 989,897   Team Health Holdings, Inc., First Lien  - Initial Term Loan  1M US L + 2.75%, 1.00% Floor  02/06/2024   764,701 
 260,000   TIBCO Software, Inc., Second Lien  1M US L + 7.25%  03/03/2028   252,039 
               17,126,789 
                 
TOTAL BANK LOANS           
(Cost $21,117,224)         19,516,714 
                 
COLLATERALIZED LOAN OBLIGATIONS - 2.56%           
     Adams Mill CLO, Ltd.           
 500,000   Series 2014-1A(f)(g)  3M US L + 3.50%  07/15/2026   476,061 
     AIMCO CLO           
 500,000   Series 2018-AA(f)(g)  3M US L + 2.55%  04/17/2031   454,750 
     AIMCO CLO 10, Ltd.           
 1,000,000   Series 2019-10A(f)(g)  3.55% - 3M US L  07/22/2032   967,501 
     Apidos CLO XII           
 500,000   Series 2018-12A(f)(g)  3M US L + 2.60%  04/15/2031   432,994 
     Apidos CLO XX           
 500,000   Series 2018-20A(f)(g)  3M US L + 2.95%  07/16/2031   466,119 
     Apidos CLO XXI           
 500,000   Series 2018-21A(f)(g)  3M US L + 2.45%  07/18/2027   455,149 
 1,000,000   Series 2018-21A(f)(g)  3M US L + 8.25%  07/18/2027   664,644 
     Apidos CLO XXIV           
 1,000,000   Series 2018-24A(f)(g)  3M US L + 5.80%  10/20/2030   807,269 
     Apres Static CLO 2, Ltd.           
 500,000   Series 2020-1A(f)(g)  3M US L + 4.85%  04/15/2028   487,631 
     Avery Point VI CLO, Ltd.           
 500,000   Series 2018-6A(f)(g)  3M US L + 1.05%  08/05/2027   494,678 
     Babson CLO, Ltd.           
 500,000   Series 2018-IA(f)(g)  3M US L + 2.60%  01/20/2031   439,066 
     Barings CLO, Ltd.           
 500,000   Series 2017-1A(f)(g)  3M US L + 3.60%  07/18/2029   494,543 
 500,000   Series 2018-4A(f)(g)  3M US L + 5.82%  10/15/2030   432,268 
 1,000,000   Series 2019-1A(f)(g)  3M US L + 6.68%  04/15/2031   905,801 
 500,000   Series 2019-2A(f)(g)  3.85% - 3M US L  04/15/2031   486,910 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
     Beechwood Park CLO, Ltd.           
$500,000   Series 2019-1A(f)(g)  3M US L + 7.50%  01/17/2033  $488,627 
     BlueMountain CLO, Ltd.           
 500,000   Series 2018-3A(f)(g)  3M US L + 2.60%  04/20/2031   423,559 
     Buttermilk Park CLO, Ltd.           
 1,000,000   Series 2018-1A(f)(g)  3M US L + 5.75%  10/15/2031   864,113 
     Canyon Capital CLO, Ltd.           
 500,000   Series 2017-1A(f)(g)  3M US L + 3.60%  07/15/2030   481,929 
 1,000,000   Series 2018-1A(f)(g)  3M US L + 2.75%  01/30/2031   889,564 
 1,500,000   Series 2018-1A(f)(g)  3M US L + 5.50%  01/30/2031   1,252,309 
 1,000,000   Series 2018-1A(f)(g)  3M US L + 5.75%  07/15/2031   858,504 
 500,000   Series 2018-1A(f)(g)  3M US L + 2.80%  07/15/2031   454,290 
 500,000   Series 2018-1RA(f)(g)  3M US L + 3.00%  07/15/2030   461,107 
     Canyon CLO, Ltd.           
 500,000   Series 2018-1A(f)(g)  3M US L + 2.90%  07/15/2031   452,797 
     Carlyle Global Market Strategies CLO, Ltd.           
 1,034,035   Series 2018-2RA(f)(g)  3M US L + 5.35%  05/15/2031   770,484 
 500,000   Series 2018-3A(f)(g)  3M US L + 2.85%  07/28/2028   449,639 
     Chenango Park CLO, Ltd.           
 500,000   Series 2018-1A(f)(g)  3M US L + 3.00%  04/15/2030   468,217 
 1,000,000   Series 2018-1A(f)(g)  3M US L + 5.80%  04/15/2030   867,349 
     Cook Park CLO, Ltd.           
 500,000   Series 2018-1A(f)(g)  3M US L + 2.60%  04/17/2030   455,746 
     Crown Point CLO IV, Ltd.           
 500,000   Series 2018-4A(f)(g)  3M US L + 1.90%  04/20/2031   473,065 
     Dorchester Park CLO DAC           
 500,000   Series 2018-1A(f)(g)  3M US L + 2.40%  04/20/2028   460,238 
 875,000   Series 2018-1A(f)(g)  3M US L + 5.00%  04/20/2028   770,468 
     Dryden 57 CLO, Ltd.           
 500,000   Series 2018-57A(f)(g)  3M US L + 2.55%  05/15/2031   453,814 
     Dryden 60 CLO, Ltd.           
 1,000,000   Series 2018-60A(f)(g)  3M US L + 3.00%  07/15/2031   935,873 
     Dryden 77 CLO, Ltd.           
 800,000   Series 2020-77A(f)(g)  3M US L + 5.14%  05/20/2031   795,182 
     Elmwood CLO II, Ltd.           
 1,000,000   Series 2019-2A(f)(g)  3M US L + 2.10%  04/20/2031   988,353 
     Fillmore Park CLO, Ltd.           
 500,000   Series 2018-1A(f)(g)  3M US L + 2.90%  07/15/2030   469,018 
 1,000,000   Series 2018-1A(f)(g)  3M US L + 5.40%  07/15/2030   866,718 
     Gilbert Park CLO, Ltd.           
 1,000,000   Series 2017-1A(f)(g)  3M US L + 6.40%  10/15/2030   918,599 
     Goldentree Loan Management US CLO, Ltd.           
 1,000,000   Series 2018-3A(f)(g)  3M US L + 2.85%  04/20/2030   927,812 
     Longfellow Place CLO, Ltd.           
 496,848   Series 2017-1A(f)(g)  3M US L + 1.34%  04/15/2029   481,740 
     Myers Park CLO, Ltd.           
 500,000   Series 2018-1A(f)(g)  3M US L + 3.05%  10/20/2030   472,902 
 1,000,000   Series 2018-1A(f)(g)  3M US L + 5.50%  10/20/2030   860,419 
     Neuberger Berman CLO XXIII, Ltd.           
 1,000,000   Series 2018-23A(f)(g)  3M US L + 5.75%  10/17/2027   921,338 
     PPM CLO 3, Ltd.           
 1,000,000   Series 2019-3A(f)(g)  3.70% - 3M US L  07/17/2030   970,178 
     Stewart Park CLO, Ltd.           
 500,000   Series 2018-1A(f)(g)  3M US L + 2.60%  01/15/2030   456,764 
     Symphony CLO XVII, Ltd.           
 1,500,000   Series 2018-17A(f)(g)  3M US L + 2.65%  04/15/2028   1,394,549 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
     Thayer Park CLO, Ltd.           
$500,000   Series 2017-1A(f)(g)  3M US L + 6.10%  04/20/2029  $441,464 
     THL Credit Wind River CLO, Ltd.           
 500,000   Series 2017-1A(f)(g)  3M US L + 3.75%  04/18/2029   473,906 
 500,000   Series 2018-1A(f)(g)  2.90% - 3M US L  07/15/2030   444,868 
 2,000,000   Series 2018-1A(f)(g)  5.50% - 3M US L  07/15/2030   1,656,242 
 1,000,000   Series 2018-1A(f)(g)  3M US L + 3.00%  07/18/2031   823,077 
 1,000,000   Series 2018-2A(f)(g)  3M US L + 5.75%  07/15/2030   839,479 
 1,000,000   Series 2018-3A(f)(g)  3M US L + 6.22%  10/22/2031   753,047 
     Tryon Park CLO, Ltd.           
 1,000,000   Series 2018-1A(f)(g)  3M US L + 5.95%  04/15/2029   881,781 
     Venture XX CLO, Ltd.           
 1,000,000   Series 2017-20A(f)(g)  3M US L + 1.90%  04/15/2027   960,000 
     VERDE CLO, Ltd.           
 1,000,000   Series 2019-1A(f)(g)  3.80% - 3M US L  04/15/2032   968,627 
     VOYA CLO 2017-2           
 1,000,000   Series 2017-2A(f)(g)  3M US L + 6.02%  06/07/2030   860,977 
     Voya CLO, Ltd.           
 500,000   Series 2018-1A(f)(g)  3M US L + 2.80%  04/18/2031   439,081 
 1,000,000   Series 2018-2A(f)(g)  3M US L + 2.75%  07/15/2031   918,863 
 1,000,000   Series 2018-2A(f)(g)  3M US L + 5.25%  07/15/2031   842,799 
 500,000   Series 2018-3A(f)(g)  3M US L + 6.20%  10/20/2031   432,070 
 500,000   Series 2018-4A(f)(g)  3M US L + 5.95%  07/14/2031   427,010 
     Webster Park CLO, Ltd.           
 1,000,000   Series 2018-1A(f)(g)  5.50% - 3M US L  07/20/2030   855,038 
     Westcott Park CLO, Ltd.           
 1,000,000   Series 2019-1A(f)(g)  3M US L + 3.25%  07/20/2028   945,276 
                 
TOTAL COLLATERALIZED LOAN OBLIGATIONS           
(Cost $50,618,105)         45,684,253 
                 
EQUITY - LINKED NOTES - 0.00%(k)           
 263,093   Inverpamplona SA(j)(m)  0.00%  12/30/2028   11,250 
                 
TOTAL EQUITY - LINKED NOTES           
(Cost $11,250)         11,250 
                 
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS - 22.64%     
     Aaset Trust           
 474,298   Series 2019-2(g)  3.38%  10/16/2026   429,073 
     AASET, Ltd.           
 513,749   Series 2018-1A(g)  3.84%  09/16/2023   445,109 
     ABFC Trust           
 3,460,789   Series 2007-WMC1(f)  1M US L + 1.25%  06/25/2037   2,815,987 
     Adjustable Rate Mortgage Trust           
 366,304   Series 2005-1(f)  4.09%  05/25/2035   364,583 
 3,085,706   Series 2005-10(f)  4.02%  01/25/2036   2,903,686 
 150,173   Series 2005-7(f)  3.44%  10/25/2035   132,104 
     Alternative Loan Trust           
 250,484   Series 2005-20CB  5.50%  07/25/2035   229,821 
 96,832   Series 2005-54CB  5.50%  11/25/2035   78,958 
 491,735   Series 2005-6CB  5.50%  04/25/2035   491,028 
 215,528   Series 2005-85CB(f)  21.63% - 3.67 x 1M US L  02/25/2036   313,143 
 1,020,569   Series 2005-85CB(f)  1M US L + 1.10%  02/25/2036   832,777 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
$269,820   Series 2005-86CB  5.50%  02/25/2036  $224,983 
 485,477   Series 2005-9CB(f)(n)  5.05% - 1M US L  05/25/2035   56,102 
 273,354   Series 2005-9CB(f)  1M US L + 0.50%  05/25/2035   242,702 
 269,169   Series 2006-12CB(f)  1M US L + 5.75%  05/25/2036   210,098 
 1,320,022   Series 2006-15CB  6.50%  06/25/2036   972,947 
 146,333   Series 2006-30T1  6.25%  11/25/2036   129,799 
 132,138   Series 2006-32CB  5.50%  11/25/2036   103,700 
 293,449   Series 2006-36T2(f)  28.06% - 4.6 x 1M US L  12/25/2036   561,380 
 1,028,373   Series 2007-19  6.00%  08/25/2037   769,802 
 3,651,652   Series 2007-20  6.25%  08/25/2047   2,859,094 
 949,455   Series 2007-23CB(f)(n)  6.50% - 1M US L  09/25/2037   322,584 
 994,368   Series 2007-23CB(f)  1M US L + 0.50%  09/25/2037   396,429 
     American Home Mortgage Investment Trust           
 168,158   Series 2007-A(g)(o)  6.60%  01/25/2037   62,658 
     AmeriHome GMSR Issuer Trust           
 3,100,000   Series 2019-GT1(g)  4.68%  11/25/2026   2,449,785 
     Applebee's Funding LLC / IHOP Funding LLC           
 750,000   Series 2019-1A(g)  4.19%  06/05/2024   665,685 
     AREIT Trust           
 1,265,000   Series 2019-CRE3(f)(g)  1M US L + 2.65%  07/14/2022   1,113,523 
     Atlas Senior Loan Fund X, Ltd.           
 496,310   Series 2018-10A(f)(g)  3M US L + 1.09%  01/15/2031   487,568 
     Atrium Hotel Portfolio Trust           
 1,309,000   Series 2018-ATRM(f)(g)  1M US L + 3.40%  06/15/2021   1,001,342 
     Atrium IX           
 500,000   Series 2017-9A(f)(g)  3M US L + 3.60%  05/28/2030   470,945 
     Atrium XIII           
 1,000,000   Series 2017-13A(f)(g)  3M US L + 6.05%  11/21/2030   864,423 
     Atrium XIV LLC           
 1,000,000   Series 2018-14A(f)(g)  3M US L + 5.65%  08/23/2030   877,781 
     Atrium XV           
 1,000,000   Series 2018-15A(f)(g)  3M US L + 3.00%  01/23/2031   930,480 
     BAMLL Commercial Mortgage Securities Trust           
 683,000   Series 2019-AHT(f)(g)  2.68%  03/15/2021   593,890 
     Banc of America Funding Corp.           
 80,896   Series 2008-R2(g)  6.00%  09/25/2037   82,560 
     Banc of America Funding Trust           
 134,503   Series 2006-2  5.50%  03/25/2036   131,674 
 3,736,142   Series 2010-R5(f)(g)  6.00%  10/26/2037   3,554,987 
     Bancorp Commercial Mortgage Trust           
 605,000   Series 2019-CRE5(f)(g)  1M US L + 1.50%  01/15/2022   568,020 
 1,312,000   Series 2019-CRE5(f)(g)  1M US L + 2.35%  02/15/2022   1,164,774 
     BANK           
 463,000   Series 2018-BN10(f)  4.08%  01/15/2028   477,258 
 10,291,000   Series 2018-BN12(f)(g)(n)  1.50%  05/15/2061   886,048 
 463,000   Series 2018-BN13(f)  4.70%  07/15/2028   489,713 
     BANK 2020-BNK27           
 16,875,000   Series 2020-BN27(f)(n)  0.72%  04/15/2030   1,013,749 
     BBCMS Trust           
 3,000,000   Series 2018-CBM(f)(g)  1M US L + 3.55%  07/15/2020   2,448,100 
     BCAP, LLC Trust           
 131,724   Series 2007-AA2(f)  7.50%  04/25/2037   103,173 
 85,465   Series 2007-AA2  6.00%  04/25/2037   66,307 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
$6,044,162   Series 2010-RR6(f)(g)  4.82%  07/26/2036  $4,697,474 
     Bear Stearns ALT-A Trust           
 1,078,928   Series 2004-11(f)  3.54%  11/25/2034   1,004,148 
 1,042,837   Series 2005-3(f)  3.46%  04/25/2035   953,066 
 8,438,684   Series 2006-3(f)  3.54%  05/25/2036   7,054,686 
 1,058,933   Series 2006-6(f)  3.94%  11/25/2036   780,952 
     Bear Stearns Asset-Backed Securities Trust           
 2,044,941   Series 2006-AC1(o)  6.25%  02/25/2036   1,407,842 
     Bellemeade Real Estate, Ltd.           
 1,469,148   Series 2019-2A(f)(g)  1M US L + 1.45%  04/25/2029   1,468,626 
     Benchmark 2018-B4 Mortgage Trust           
 1,589,000   Series 2018-B4(f)(g)  2.96%  07/15/2028   1,052,714 
     Benchmark 2019-B12 Mortgage Trust           
 528,000   Series 2019-B12(f)(g)  3.56%  07/15/2024   507,010 
     Benchmark 2020-B17 Mortgage Trust           
 954,000   Series 2020-B17(f)  3.37%  03/15/2030   868,315 
     BF Mortgage Trust           
 705,000   Series 2019-NYT(f)(g)  1M US L + 3.00%  12/15/2020   614,306 
     BHP Trust           
 761,000   Series 2019-BXHP(f)(g)  1M US L + 2.57%  08/15/2021   633,043 
     BX Trust           
 1,360,000   Series 2019-MMP(f)(g)  1M US L + 2.79%  08/15/2021   1,271,877 
 3,626,000   Series 2019-OC11(f)(g)  4.08%  12/09/2029   3,252,635 
     CAL Funding III, Ltd.           
 766,667   Series 2018-1A(g)  3.96%  02/25/2028   769,924 
     Cantor Commercial Real Estate Lending           
 1,113,000   Series 2019-CF1(f)(g)  4.12%  04/15/2024   1,029,311 
     Cantor Commercial Real Estate Lending 2019-CF1           
 266,000   Series 2019-CF1(f)(g)  4.14%  04/15/2024   255,019 
     Carbon Capital VI Commercial Mortgage Trust           
 680,000   Series 2019-FL2(f)(g)  1M US L + 2.85%  11/15/2021   586,068 
     Carrington Mortgage Loan Trust           
 1,776,974   Series 2006-NC4(f)  1M US L + 0.16%  10/25/2036   1,670,201 
     Cascade MH Asset Trust           
 4,601,000   Series 2019-MH1(f)(g)  5.99%  11/25/2044   4,513,771 
     Castlelake Aircraft Securitization Trust           
 2,916,842   Series 2018-1(g)  6.63%  06/15/2025   1,841,216 
     Castlelake Aircraft Structured Trust           
 642,337   Series 2019-1A(g)  3.97%  04/15/2026   566,395 
 2,750,000   Series 2019-1A(g)  0.00%  04/15/2039   1,091,083 
     CF Trust           
 1,518,000   Series 2019-MF1(f)(g)  1M US L + 2.95%  08/21/2021   1,357,915 
     Chase Mortgage Finance Trust           
 12,732,950   Series 2007-S2  6.00%  03/25/2037   9,660,173 
 422,757   Series 2007-S3  5.50%  05/25/2037   99,114 
     CIM Trust           
 12,000,000   Series 2016-1RR(f)(g)  6.68%  07/26/2055   10,731,600 
 12,000,000   Series 2016-2RR B2(f)(g)  6.60%  02/25/2056   10,704,000 
 12,000,000   Series 2016-3RR B2(f)(g)  6.59%  02/27/2056   10,824,000 
 11,430,000   Series 2016-3RR B2(f)(g)  12.06%  01/27/2057   10,907,649 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
     Citicorp Mortgage Securities Trust           
$534,559   Series 2007-1  6.00%  01/25/2037  $522,520 
 707   Series 2007-2  5.50%  02/25/2037   707 
     Citigroup Commercial Mortgage Trust           
 3,768,699   Series 2014-GC25(f)(n)  1.14%  10/10/2047   131,741 
 866,000   Series 2015-GC27(f)(g)  4.57%  01/10/2025   572,909 
 400,000   Series 2015-GC31(f)  4.19%  06/10/2025   381,987 
 5,353,041   Series 2015-GC35(f)(n)  0.99%  11/10/2048   151,946 
 344,000   Series 2016-GC36(g)  2.85%  01/10/2026   218,380 
 464,000   Series 2017-C4(f)  4.10%  10/12/2027   495,825 
 463,000   Series 2018-B2(f)  4.28%  03/10/2028   472,718 
 515,000   Series 2018-C5(f)  4.88%  06/10/2028   465,993 
 901,000   Series 2019-SST2(f)(g)  1M US L + 1.60%  02/15/2022   860,594 
 901,000   Series 2019-SST2(f)(g)  1M US L + 2.00%  02/15/2022   858,305 
 1,433,000   Series 2020-555(g)  3.62%  12/10/2029   929,951 
     Citigroup COmmercial Mortgage Trust 2019-SMRT           
 1,000,000   Series 2019-SMRT(f)(g)  4.90%  01/10/2024   1,004,613 
     Citigroup Commercial Mortgage Trust 2020-GC46           
 2,000,000   Series 2020-GC46(g)  2.60%  02/15/2030   1,148,584 
     Citigroup Mortgage Loan Trust           
 788,817   Series 2006-WF1(o)  4.83%  03/25/2036   517,276 
 1,224,628   Series 2007-OPX1(o)  6.33%  01/25/2037   577,698 
 309,103   Series 2008-AR4(f)(g)  3.79%  11/25/2038   310,840 
     CitiMortgage Alternative Loan Trust           
 545,926   Series 2007-A1  6.00%  01/25/2037   540,852 
 107,533   Series 2007-A1(f)(n)  5.40% - 1M US L  01/25/2037   20,222 
 79,406   Series 2007-A3(f)  6.00%  03/25/2037   76,585 
 182,739   Series 2007-A3(f)(n)  5.40% - 1M US L  03/25/2037   36,384 
 629,845   Series 2007-A4  5.75%  04/25/2037   607,956 
 566,252   Series 2007-A6  5.50%  06/25/2037   544,941 
     CLI Funding VI LLC           
 892,977   Series 2019-1A(g)  3.71%  05/18/2029   897,788 
     CLNC 2019-FL1, Ltd.           
 1,037,000   Series 2019-FL1(f)(g)  1M US L + 1.55%  12/19/2025   943,668 
     COMM Mortgage Trust           
 887,000   Series 2013-CR11(f)  5.28%  09/10/2023   922,512 
 500,000   Series 2016-GCT(f)(g)  3.58%  08/10/2021   459,440 
     Commercial Mortgage Pass-Through Certificates           
 242,400   Series 2014-CR19(f)  4.89%  08/10/2024   235,034 
 8,629,084   Series 2014-UBS4(g)  3.75%  08/10/2024   1,543,408 
 11,000   Series 2014-UBS4(f)(g)  0.00%  08/10/2047   1 
 3,279,825   Series 2015-CR22(f)(n)  1.03%  03/10/2025   99,638 
 916,000   Series 2015-CR25(f)  4.69%  08/10/2025   858,460 
 4,605,771   Series 2015-CR26(f)(n)  1.08%  09/10/2025   180,735 
 419,000   Series 2015-LC23(f)  4.80%  10/10/2025   412,410 
     Commercial Mortgage Trust           
 659,000   Series 2012-CR4(f)(g)  4.75%  11/15/2022   195,888 
     CORE Mortgage Trust           
 540,000   Series 2019-CORE(f)(g)  1M US L + 1.90%  12/15/2020   515,439 
 540,000   Series 2019-CORE(f)(g)  1M US L + 2.35%  12/15/2020   515,375 
     Countrywide Home Loan Mortgage Pass-Through Trust           
 2,241,545   Series 2005-HYB7(f)  3.40%  11/20/2035   1,875,582 
 37,578   Series 2005-J4  5.50%  11/25/2035   36,099 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
$1,893,872   Series 2006-18  6.00%  12/25/2036  $1,582,207 
 299,000   Series 2007-17  6.00%  10/25/2037   267,105 
 306,729   Series 2007-3  6.00%  04/25/2037   237,892 
 325,887   Series 2007-7  5.75%  06/25/2037   252,429 
     Credit Suisse First Boston Mortgage Securities Corp.           
 72,352   Series 2005-10  5.50%  11/25/2035   65,227 
 2,012,996   Series 2005-11  6.00%  12/25/2035   1,856,904 
 68,505   Series 2005-8  5.50%  08/25/2025   66,822 
 4,504,819   Series 2005-9  6.00%  10/25/2035   2,122,504 
     Credit Suisse Mortgage Capital Certificates           
 3,030,641   Series 2006-2  5.75%  03/25/2036   2,412,861 
     CSAB Mortgage-Backed Trust           
 8,781,274   Series 2006-2(o)  5.70%  09/25/2036   1,004,447 
 141,928   Series 2007-1(f)  5.90%  05/25/2037   53,313 
     CSAIL 2016-C6 Commercial Mortgage Trust           
 1,362,000   Series 2016-C6(f)(g)  5.09%  05/15/2026   1,014,729 
     CSAIL Commercial Mortgage Trust           
 5,312,736   Series 2015-C1(f)(n)  0.98%  01/15/2025   164,464 
 419,000   Series 2015-C4(f)  4.73%  11/15/2025   387,563 
 214,000   Series 2018-C14(f)  5.06%  10/15/2028   192,619 
     CSMC Mortgage-Backed Trust           
 170,996   Series 2006-1  6.00%  02/25/2036   98,259 
 22,496   Series 2006-4  5.50%  05/25/2021   19,934 
 793,784   Series 2006-5  6.25%  06/25/2036   297,188 
 97,251   Series 2006-9  6.00%  11/25/2036   75,162 
 2,100,331   Series 2007-1  6.00%  02/25/2037   1,745,995 
 9,519   Series 2007-2  5.00%  03/25/2037   9,174 
 529,880   Series 2007-3(f)  5.84%  04/25/2037   233,435 
 29,599   Series 2007-4  6.00%  06/25/2037   23,888 
 604,000   Series 2017-CALI(f)(g)  3.90%  11/10/2024   622,505 
 253,000   Series 2017-CHOP(f)(g)  1M US L + 1.90%  07/15/2032   209,056 
 253,000   Series 2017-CHOP(f)(g)  1M US L + 3.30%  07/15/2032   197,716 
 789,543   Series 2018-RPL2(g)(o)  4.30%  08/25/2062   802,748 
     DB Master Finance LLC           
 992,500   Series 2019-1A(g)  3.79%  02/20/2024   1,030,365 
     DBGS 2018-BIOD Mortgage Trust           
 861,313   Series 2018-BIOD(f)(g)  1M US L + 2.00%  05/15/2035   800,761 
     DBJPM 16-C1 Mortgage Trust           
 1,309,000   Series 2016-C1(f)  3.50%  03/10/2026   1,160,729 
     Deutsche Alt-A Securities, Inc. Mortgage Loan Trust           
 295,402   Series 2005-6(f)(n)  5.08% - 1M US L  12/25/2035   58,240 
 129,477   Series 2005-6(f)  1M US L + 1.40%  12/25/2035   95,428 
     Deutsche Mortgage Securities, Inc. Mortgage Loan Trust           
 161,493   Series 2006-PR1(f)(g)  12.12% - 1M US L  04/15/2036   164,003 
     Dryden 38 Senior Loan Fund           
 1,000,000   Series 2018-38A(f)(g)  3M US L + 5.60%  07/15/2030   833,172 
     Dryden 40 Senior Loan Fund           
 1,000,000   Series 2018-40A(f)(g)  3M US L + 5.75%  08/15/2031   844,823 
 500,000   Series 2018-40A(f)(g)  3M US L + 3.10%  08/15/2031   468,186 
     Earnest Student Loan Program           
 35,000   Series 2016-D(g)  0.00%  05/25/2025   502,395 
     Ellington Financial Mortgage Trust           
 803,896   Series 2018-1(f)(g)  4.39%  10/25/2058   825,694 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
     First Horizon Alternative Mortgage Securities Trust           
$813,764   Series 2005-FA6  5.50%  09/25/2035  $658,577 
 130,718   Series 2007-FA2  6.00%  04/25/2037   81,948 
     First Horizon Mortgage Pass-Through Trust           
 1,057,283   Series 2007-AR3(f)  4.07%  11/25/2037   801,508 
     Fontainebleau Miami Beach Trust           
 2,748,000   Series 2019-FBLU(f)(g)  4.10%  12/10/2024   2,114,767 
     GAIA Aviation, Ltd.           
 637,627   Series 2019-1(g)(o)  3.97%  12/15/2026   543,579 
 426,597   Series 2019-1(g)(o)  7.00%  12/15/2026   232,051 
     Global SC Finance IV, Ltd.           
 392,050   Series 2018-1A(g)  4.29%  05/17/2028   394,741 
     Great Wolf Trust           
 3,084,000   Series 2019-WOLF(f)(g)  1M US L + 3.13%  12/15/2024   2,628,187 
     GS Mortgage Securities Trust           
 216,388   Series 2011-GC3(f)(g)(n)  0.81%  03/10/2021   366 
 2,195,586   Series 2011-GC5(f)(g)(n)  1.49%  08/10/2044   20,635 
 3,986,000   Series 2014-GC26(f)(g)  4.66%  11/10/2047   2,536,586 
 7,189,211   Series 2015-GS1(f)(n)  0.92%  11/10/2025   254,347 
 1,954,000   Series 2018-TWR(f)(g)  1M US L + 3.92%  07/15/2021   1,704,677 
 636,000   Series 2020-GC45  3.41%  12/13/2029   632,928 
     GSAA Home Equity Trust           
 2,361,654   Series 2006-13(f)  6.04%  07/25/2036   1,135,008 
 541,371   Series 2006-18(o)  5.68%  11/25/2036   223,747 
 169,648   Series 2006-6(f)  5.69%  03/25/2036   73,959 
 920,706   Series 2007-2(o)  6.10%  03/25/2037   328,112 
     GSCG Trust           
 628,000   Series 2019-600C(g)  3.76%  09/06/2024   598,824 
 1,303,000   Series 2019-600C(f)(g)  4.12%  09/06/2024   1,096,162 
     GSR Mortgage Loan Trust           
 245,661   Series 2005-AR4(f)  3.34%  07/25/2035   241,836 
 1,414,524   Series 2006-2F  5.25%  02/25/2036   986,350 
 331,808   Series 2007-2F  5.75%  02/25/2037   693,584 
 2,746,180   Series 2007-2F  6.00%  03/25/2037   2,253,683 
 1,102,287   Series 2007-AR2(f)  3.71%  05/25/2037   859,257 
     Halcyon Loan Advisors Funding, Ltd.           
 250,000   Series 2013-2A(f)(g)  3M US L + 2.70%  08/01/2025   241,434 
     Harley Marine Financing LLC           
 931,973   Series 2018-1A(g)  5.68%  05/15/2022   772,128 
     Hawaii Hotel Trust           
 1,391,000   Series 2019-MAUI(f)(g)  1M US L + 2.75%  05/15/2021   1,158,596 
     Hayfin Kingsland X, Ltd.           
 500,000   Series 2019-1A(f)(g)  3M US L + 2.25%  04/28/2031   491,754 
     Helios Issuer, LLC Series           
 1,290,723   Series 2017-1A(g)  4.94%  09/20/2023   1,267,304 
     Highbridge Loan Management, Ltd.           
 500,000   Series 2017-2A(f)(g)  3M US L + 6.60%  10/20/2029   455,308 
 2,000,000   Series 2018-2015(f)(g)  3M US L + 5.10%  02/05/2031   1,638,380 
 500,000   Series 2018-2016(f)(g)  3M US L + 2.90%  07/20/2030   450,752 
     Horizon Aircraft Finance III, Ltd.           
 970,238   Series 2019-2(g)  3.43%  11/15/2026   841,778 
     HPLY Trust           
 572,076   Series 2019-HIT(f)(g)  1M US L + 3.15%  11/15/2021   470,275 
 1,140,054   Series 2019-HIT(f)(g)  1M US L + 3.90%  11/15/2021   827,067 
     HSI Asset Securitization Corp. Trust           
 9,520,901   Series 2006-HE1(f)  1M US L + 0.14%  10/25/2036   4,265,227 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
     IMT Trust           
$325,349   Series 2017-APTS(f)(g)  1M US L + 1.10%  06/15/2034  $297,278 
     IndyMac IMJA Mortgage Loan Trust           
 1,140,389   Series 2007-A1  6.00%  08/25/2037   717,485 
     IndyMac IMSC Mortgage Loan Trust           
 4,734,519   Series 2007-F2  6.50%  07/25/2037   2,427,814 
     IndyMac Index Mortgage Loan Trust           
 1,778,281   Series 2005-AR31(f)  3.56%  01/25/2036   1,648,954 
 1,039,475   Series 2005-AR35(f)  3.40%  02/25/2036   946,437 
 2,384,524   Series 2006-AR25(f)  3.41%  09/25/2036   2,140,575 
     Invitation Homes           
 995,000   Series 2018-SFR1(f)(g)  1M US L + 1.25%  03/17/2037   981,519 
 650,000   Series 2018-SFR1(f)(g)  1M US L + 1.45%  03/17/2037   634,751 
     JOL Air, Ltd.           
 902,456   Series 2019-1(g)  3.97%  04/15/2026   781,701 
     JP Morgan Alternative Loan Trust           
 258,752   Series 2005-S1  6.00%  12/25/2035   236,470 
 1,846   Series 2006-S1  5.00%  02/25/2021   1,783 
 132,438   Series 2006-S3(o)  6.12%  08/25/2036   126,545 
     JP Morgan BB Commercial Mortgage Securities Trust           
 400,000   Series 2014-C21(f)  4.81%  07/15/2024   373,927 
 2,086,000   Series 2014-C23(f)(g)  3.36%  10/15/2024   1,262,159 
 388,000   Series 2014-C26(f)  4.52%  12/15/2024   365,549 
 4,519,012   Series 2015-C28(f)(n)  1.11%  03/15/2025   160,298 
 1,470,000   Series 2015-C28  3.99%  03/15/2025   1,389,164 
 8,868,823   Series 2015-C30(f)(n)  0.66%  07/15/2025   189,407 
 3,685,593   Series 2015-C31(f)(n)  1.03%  08/15/2025   123,674 
     JP Morgan Chase Commercial Mortgage Securities Trust           
 58,966   Series 2006-LDP8(a)(f)(n)  0.29%  05/15/2045   0 
 4,000,000   Series 2007-CH1(o)  4.85%  11/25/2036   4,215,137 
 1,157,000   Series 2011-C3(f)(g)  5.85%  03/15/2021   441,515 
 2,343,697   Series 2012-C8(f)(n)  1.92%  09/15/2022   74,425 
 1,010,000   Series 2018-WPT(g)  5.54%  07/05/2023   944,851 
 887,000   Series 2019-COR4(f)  4.44%  12/10/2028   921,451 
 704,000   Series 2019-MFP(f)(g)  1M US L + 3.00%  07/15/2021   634,417 
 235,000   Series 2019-UES(g)  4.34%  05/05/2024   236,510 
 1,135,000   Series 2019-UES(f)(g)  4.45%  05/05/2024   990,716 
     JP Morgan Mortgage Acquisition Corp.           
 273,583   Series 2006-CH2(o)  5.46%  09/25/2029   219,083 
     JP Morgan Mortgage Acquisition Trust 2006-RM1           
 2,709,994   Series 2006-RM1(f)  1M US L + 0.24%  08/25/2036   1,533,757 
     JP Morgan Mortgage Trust           
 1,077,536   Series 2007-S3  6.00%  07/25/2037   804,980 
     JP Morgan Resecuritization Trust           
 1,094,781   Series 2011-1(f)(g)  6.00%  06/26/2037   1,008,520 
     JPMDB Commercial Mortgage Securities Trust 2020-COR7           
 421,000   Series 2020-COR7(f)  3.73%  03/13/2030   418,593 
     LB-UBS Commercial Mortgage Trust           
 421,749   Series 2006-C7(f)(g)(n)  0.88%  11/15/2038   91 
     LCM 28, Ltd.           
 1,000,000   Series 2018-28A(f)(g)  3M US L + 5.75%  10/20/2030   835,431 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
     LCM Loan Income Fund I Income Note Issuer, Ltd.           
$500,000   Series 2018-27A(f)(g)  3M US L + 5.60%  07/16/2031  $415,534 
     LCM XIV LP           
 1,000,000   Series 2018-14A(f)(g)  3M US L + 2.75%  07/20/2031   829,083 
 750,000   Series 2018-14A(f)(g)  3M US L + 5.50%  07/20/2031   523,501 
     LCM XVII LP           
 1,000,000   Series 2018-17A(f)(g)  3M US L + 6.00%  10/15/2031   726,293 
     LCM XX LP           
 1,000,000   Series 2018-20A(f)(g)  3M US L + 5.45%  10/20/2027   754,355 
     Legacy Mortgage Asset Trust           
 13,400,000   Series 2019-GS3(g)(o)  4.25%  04/25/2059   13,376,936 
     Lehman Mortgage Trust           
 4,563,007   Series 2006-1(f)  5.24%  02/25/2036   4,543,139 
 559,507   Series 2006-6  5.50%  10/25/2036   451,952 
 3,851,540   Series 2006-7(f)  1M US L + 0.25%  11/25/2036   138,268 
 3,851,540   Series 2006-7(f)(n)  7.75% - 1M US L  11/25/2036   699,124 
 1,394,286   Series 2006-8(f)  1M US L + 0.42%  12/25/2036   313,926 
 1,394,286   Series 2006-8(f)(n)  6.58% - 1M US L  12/25/2036   433,338 
 689,926   Series 2007-10  6.00%  01/25/2038   714,757 
 315,862   Series 2007-10  6.50%  01/25/2038   180,167 
     Lehman XS Trust           
 51,531   Series 2006-5(o)  5.89%  04/25/2036   51,346 
     LoanCore Issuer, Ltd.           
 1,193,000   Series 2019-CRE3(f)(g)  1M US L + 2.50%  04/15/2024   1,089,806 
     MACH 1 Cayman, Ltd.           
 1,421,875   Series 2019-1(g)  3.47%  08/15/2026   1,200,591 
     Madison Park Funding XIV, Ltd.           
 1,000,000   Series 2018-14A(f)(g)  3M US L + 2.95%  10/22/2030   925,361 
 1,000,000   Series 2018-14A(f)(g)  3M US L + 5.80%  10/22/2030   842,698 
     MBRT 2019-MBR           
 584,000   Series 2019-MBR(f)(g)  1M US L + 2.55%  11/25/2021   508,648 
 1,406,000   Series 2019-MBR(f)(g)  1M US L + 2.90%  11/25/2021   1,000,817 
     Mello Warehouse Securitization Trust           
 2,500,000   Series 2019-1(f)(g)  1M US L + 5.50%  05/14/2021   2,455,987 
     Merrill Lynch Alternative Note Asset Trust           
 733,024   Series 2007-F1  6.00%  03/25/2037   191,179 
     MFT Trust 2020-ABC           
 2,010,000   Series 2020-ABC(f)(g)  3.48%  02/10/2030   1,735,222 
     MKT Mortgage Trust           
 250,000   Series 2020-525M(f)(g)  2.94%  02/12/2030   220,373 
     Morgan Stanley Bank of America Merrill Lynch Trust           
 3,129,101   Series 2012-C5(f)(g)(n)  1.58%  07/15/2022   69,519 
 350,000   Series 2015-C27(f)  4.68%  11/15/2025   327,120 
     Morgan Stanley Capital Barclays Bank Trust 2016-MART           
 1,250,000   Series 2016-MART(g)  3.31%  09/13/2021   1,184,699 
     Morgan Stanley Capital I Trust           
 1,177,000   Series 2007-IQ15(f)(g)  6.34%  06/11/2049   1,139,057 
 951,740   Series 2011-C1(f)(g)(n)  0.65%  09/15/2020   365 
 1,361,371   Series 2016-UB11 XA(f)(n)  1.75%  08/15/2026   88,307 
 1,000,000   Series 2018-SUN(f)(g)  1M US L + 3.05%  07/15/2020   847,662 
     Morgan Stanley Capital I Trust 2017-CLS           
 576,000   Series 2017-CLS(f)(g)  1M US L + 2.60%  11/15/2019   559,792 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
     Morgan Stanley Mortgage Loan Trust           
$1,959,468   Series 2005-3AR(f)  3.44%  07/25/2035  $1,755,418 
 3,487,838   Series 2006-11  6.00%  08/25/2036   3,094,369 
 882,534   Series 2006-7(f)  5.00%  06/25/2036   730,826 
 994,169   Series 2006-7  6.00%  06/25/2036   807,239 
 412,459   Series 2007-3XS(o)  5.70%  01/25/2047   233,559 
     Morgan Stanley Re-REMIC Trust           
 238,268   Series 2011-R1(f)(g)  5.94%  02/26/2037   234,594 
     Mosaic Solar Loan Trust           
 126,184   Series 2017-1A(g)  4.45%  06/20/2042   129,106 
 474,062   Series 2018-1A(g)  4.01%  08/20/2030   480,592 
     Mosaic Solar Loan Trust 2020-1           
 8,900,000   Series 2020-1A(g)  0.00%  04/20/2046   3,066,686 
     MSCG Trust           
 2,154,000   Series 2018-SELF(f)(g)  1M US L + 3.05%  10/15/2020   2,030,232 
     Natixis Commercial Mortgage Securities Trust 2018-FL1           
 426,222   Series 2018-FL1(f)(g)  1M US L + 2.35%  06/15/2035   398,572 
     Navient Private Education Refi Loan Trust           
 500,000   Series 2018-A(g)  3.68%  11/17/2025   509,304 
     Nomura Asset Acceptance Corp. Alternative Loan Trust           
 1,175,507   Series 2005-AP3(f)  5.32%  08/25/2035   723,564 
     Ocagon Investment Partners 20-R, Ltd.           
 1,500,000   Series 2019-4A(f)(g)  3M US L + 6.80%  05/12/2031   1,358,220 
     Octagon Investment Partners 26, Ltd.           
 1,000,000   Series 2018-1A(f)(g)  3M US L + 8.09%  07/15/2030   675,743 
     Octagon Investment Partners 29, Ltd.           
 2,000,000   Series 2020-1A(f)(g)  3M US L + 7.25%  01/24/2033   1,837,786 
     Octagon Investment Partners 37, Ltd.           
 500,000   Series 2018-2A(f)(g)  3M US L + 2.85%  07/25/2030   440,534 
     Octagon Investment Partners 44, Ltd.           
 1,000,000   Series 2019-1A(f)(g)  3M US L + 3.65%  07/20/2032   968,930 
     Octagon Investment Partners 47, Ltd.           
 500,000   Series 2020-1A(f)(g)  3M US L + 3.35%  04/20/2031   500,050 
     Octagon Investment Partners XVI, Ltd.           
 500,000   Series 2018-1A(f)(g)  3M US L + 3.00%  07/17/2030   445,328 
 1,000,000   Series 2018-1A(f)(g)  3M US L + 5.75%  07/17/2030   844,902 
     Octagon Investment Partners XXI, Ltd.           
 1,000,000   Series 2019-1A(f)(g)  3M US L + 7.00%  02/14/2031   914,461 
     Octagon Investment Partners XXII, Ltd.           
 970,000   Series 2018-1A(f)(g)  3M US L + 1.90%  01/22/2030   908,265 
 500,000   Series 2018-1A(f)(g)  3M US L + 5.45%  01/22/2030   416,063 
     OHA Credit Funding 1, Ltd.           
 500,000   Series 2018-1A(f)(g)  3M US L + 3.05%  10/20/2030   468,288 
     OHA Credit Funding 3, Ltd.           
 1,000,000   Series 2019-3A(f)(g)  3.55% - 3M US L  07/20/2032   954,407 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
     OHA Credit Funding 5, Ltd.           
$2,000,000   Series 2020-5A(f)(g)  3M US L + 6.25%  04/18/2033  $1,819,880 
     One Market Plaza Trust           
 688,000   Series 2017-1MKT(g)  4.14%  02/10/2024   684,800 
     PHH Alternative Mortgage Trust           
 933,470   Series 2007-2  6.00%  05/25/2037   855,748 
     PR Mortgage Loan Trust           
 10,139,438   Series 2014-1(f)(g)  5.91%  09/25/2047   9,902,530 
     Pretium Mortgage Credit Partners I LLC           
 560,068   Series 2019-NPL2(g)(o)  3.84%  12/27/2058   561,715 
     Prime Mortgage Trust           
 37,706   Series 2006-1  5.50%  06/25/2036   37,332 
 82,168   Series 2006-DR1(g)  5.50%  05/25/2035   67,657 
     Primose Funding LLC           
 995,005   Series 2019-1A(g)  4.48%  07/30/2026   1,006,507 
     Prosper Marketplace Issuance Trust Series 2018-1           
 1,490,669   Series 2018-1A(g)  4.87%  06/17/2024   1,487,489 
     PRPM 2019-4 LLC           
 2,819,790   Series 2019-4A(g)(o)  3.35%  11/25/2024   2,834,412 
     PRPM LLC           
 13,000,000   Series 2020-1A(g)(o)  3.97%  02/25/2023   12,298,094 
     RBSGC Structured Trust           
 188,792   Series 2008-B(g)  6.00%  06/25/2037   180,493 
     Residential Accredit Loans, Inc.           
 1,549,891   Series 2005-QS17  6.00%  12/25/2035   1,513,570 
 4,227,229   Series 2006-QA5(f)  1M US L + 0.22%  07/25/2036   2,398,606 
 2,225,299   Series 2006-QS10  6.50%  08/25/2036   2,233,954 
 823,086   Series 2006-QS4  6.00%  04/25/2036   786,007 
 1,307,058   Series 2006-QS6  6.00%  06/25/2036   1,200,882 
 1,402,921   Series 2006-QS7  6.00%  06/25/2036   1,289,491 
 73,754   Series 2006-QS7(f)  1M US L + 0.40%  06/25/2036   50,577 
 221,263   Series 2006-QS7(f)(n)  5.60% - 1M US L  06/25/2036   35,103 
 93,971   Series 2006-QS8(f)  1M US L + 0.45%  08/25/2036   64,744 
 281,914   Series 2006-QS8(f)(n)  5.55% - 1M US L  08/25/2036   46,480 
 2,045,921   Series 2007-QS3  6.50%  02/25/2037   1,920,249 
 61,500   Series 2007-QS6  6.25%  04/25/2037   58,873 
 8,665   Series 2007-QS6(f)  55.00% - 8.33 x 1M US L  04/25/2037   17,058 
 3,012,859   Series 2007-QS9  6.50%  07/25/2037   2,730,678 
 320,042   Series 2008-QR1  6.00%  08/25/2036   271,181 
     Residential Asset Securitization Trust           
 477,603   Series 2006-A1  6.00%  04/25/2036   352,095 
 1,010,264   Series 2006-A2  6.00%  05/25/2036   667,593 
 896,559   Series 2006-A6  6.50%  07/25/2036   360,016 
 357,976   Series 2006-A8  6.00%  08/25/2036   296,816 
 153,933   Series 2006-A8  6.50%  08/25/2036   72,873 
 325,919   Series 2006-A8(f)(n)  5.90% - 1M US L  08/25/2036   114,429 
 1,484,307   Series 2007-A1  6.00%  03/25/2037   850,880 
 74,341   Series 2007-A6  6.00%  06/25/2037   60,233 
 2,677,909   Series 2007-A7  6.00%  07/25/2037   1,546,284 
     Residential Funding Mortgage Securities I Trust           
 810,762   Series 2006-S3  5.50%  03/25/2036   766,895 
 1,431,658   Series 2006-S6  6.00%  07/25/2036   1,331,403 
 326,031   Series 2007-S3  6.00%  03/25/2037   292,018 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
$243,624   Series 2007-S6  6.00%  06/25/2037  $234,263 
     Sapphire Aviation Finance II, Ltd.           
 494,167   Series 2020-1A(g)  3.23%  03/15/2027   409,590 
     Sequoia Mortgage Trust           
 1,774,492   Series 2007-3(f)  3.68%  07/20/2037   1,579,081 
     SMB Private Education Loan Trust           
 454,693   Series 2018-B(f)(g)  1M US L + 0.72%  08/15/2027   444,582 
     SoFi Consumer Loan Program, LLC           
 18,712   Series 2017-2(g)  3.28%  02/25/2026   18,765 
     SoFi Professional Loan Program Trust           
 50,000   Series 2020-A(g)  0.00%  05/15/2046   2,604,465 
     Sofi Professional Loan Program, LLC           
 32,412   Series 2018-A(g)  0.00%  02/25/2042   1,742,009 
     SoFi Professional Loan Program, LLC           
 300,000   Series 2017-D(g)  3.61%  09/25/2040   307,728 
 56,760   Series 2019-B(g)  0.00%  08/17/2048   1,841,481 
     Sprite, Ltd.           
 326,013   Series 2017-1(g)  4.25%  12/15/2024   290,718 
     Stack Infrastructure Issuer LLC           
 986,667   Series 2019-1A(g)  4.54%  02/26/2024   1,036,753 
 750,000   Series 2019-2A(g)  3.08%  10/25/2024   738,074 
     Start, Ltd.           
 726,650   Series 2018-1(g)  4.09%  05/15/2025   658,329 
 824,567   Series 2019-1(g)  4.09%  03/15/2026   731,856 
     Structured Adjustable Rate Mortgage Loan Trust           
 738,832   Series 2005-15(f)  3.61%  07/25/2035   544,258 
     Structured Asset Securities Corp.           
 206,385   Series 2005-RF1(f)(g)  1M US L + 0.35%  03/25/2035   181,067 
 207,605   Series 2005-RF1(f)(g)(n)  4.70%  03/25/2035   37,518 
     Sunnova Sol Issuer LLC           
 999,062   Series 2020-1A(g)  3.35%  01/30/2030   980,309 
     Sunrun Atlas Issuer LLC           
 1,235,720   Series 2019-2(g)  3.61%  10/30/2027   1,251,803 
     TAL Advantage, LLC           
 677,858   Series 17-1A(g)  4.50%  04/20/2042   686,246 
     TBW Mortgage-Backed Trust           
 1,368,694   Series 2006-2  7.00%  07/25/2036   372,707 
     Textainer Marine Containers VII, Ltd.           
 453,333   Series 2019-1A(g)  3.96%  10/20/2026   462,053 
     Thunderbolt II Aircraft Lease, Ltd.           
 4,464,286   Series 2018-A(g)(o)  5.07%  09/15/2038   2,771,098 
     Towd Point Mortgage Trust 2019-SJ2           
 3,310,000   Series 2019-SJ2(f)(g)  4.25%  11/25/2058   3,336,335 
     Trimaran Cavu 2019-1, Ltd.           
 1,700,000   Series 2019-1A(f)(g)  3M US L + 4.15%  07/20/2032   1,653,915 
     TRIP Rail Master Funding, LLC           
 177,154   Series 2017-1A(g)  2.71%  07/15/2021   177,458 
     UBS Commercial Mortgage Trust           
 464,000   Series 2017-C6(f)  4.15%  12/15/2027   453,793 
     UBS-Barclays Commercial Mortgage Trust           
 989,000   Series 2013-C5(f)(g)  4.24%  02/10/2023   425,494 
     Vantage Data Centers Issuer, LLC           
 732,500   Series 2018-1A(g)  4.07%  02/15/2023   754,674 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
     VB-S1 Issuer LLC           
$500,000   Series 2020-1A(g)  3.03%  06/15/2025  $509,460 
     VB-S1 Issuer, LLC           
 3,000,000   Series 2018-1A(g)  5.25%  02/15/2023   3,039,710 
     Velocity Commercial Capital Loan Trust           
 667,028   Series 2018-2(f)(g)  4.05%  09/25/2024   682,762 
 1,335,650   Series 2019-1(f)(g)  3.94%  01/25/2027   1,326,035 
 397,711   Series 2019-1(f)(g)  4.01%  07/25/2027   380,845 
 394,913   Series 2019-1(f)(g)  4.12%  11/25/2027   368,593 
     Wachovia Bank Commercial Mortgage Trust           
 39,272   Series 2006-C29(a)(f)(n)  0.46%  11/15/2048   0 
     Wachovia Mortgage Loan Trust, LLC Series Trust           
 574,575   Series 2005-B(f)  4.04%  10/20/2035   550,138 
     Washington Mutual Alternative Mortgage Pass-Through Certificates           
 1,385,541   Series 2005-1  6.00%  03/25/2035   1,396,500 
 59,272   Series 2005-9  5.50%  11/25/2035   52,470 
 447,059   Series 2006-5  6.00%  07/25/2036   391,049 
     Washington Mutual Mortgage Pass-Through Certificates Trust           
 852,062   Series 2006-2  6.00%  03/25/2036   863,898 
     WAVE LLC           
 955,764   Series 2019-1(g)  3.60%  09/15/2027   867,259 
 947,484   Series 2019-1(g)  6.41%  09/15/2027   490,151 
     Wells Fargo Alternative Loan Trust           
 446,942   Series 2007-PA2(f)  1M US L + 0.43%  06/25/2037   352,992 
 446,942   Series 2007-PA2(f)(n)  6.07% - 1M US L  06/25/2037   62,192 
 173,984   Series 2007-PA3  5.75%  07/25/2037   164,273 
 616,184   Series 2007-PA3  6.25%  07/25/2037   603,639 
 3,143,505   Series 2007-PA5  6.25%  11/25/2037   3,076,987 
     Wells Fargo Commercial Mortgage Trust           
 158,000   Series 2014-LC16(g)  3.94%  06/15/2024   128,707 
 420,000   Series 2015-NXS4(f)  4.83%  11/15/2025   382,972 
 1,000,000   Series 2016-C33(g)  3.12%  03/15/2059   702,727 
 5,628,945   Series 2016-C37(f)(g)(n)  1.60%  12/15/2049   391,197 
 695,000   Series 2016-LC25(f)  4.57%  11/15/2026   713,478 
 518,000   Series 2018-C45  4.73%  06/15/2028   480,006 
 523,000   Series 2018-C47(f)  5.10%  10/15/2028   492,188 
 436,000   Series 2018-C48(f)  5.29%  12/15/2028   449,544 
 901,000   Series 2019-C49  4.55%  02/15/2029   952,010 
     Wells Fargo Commercial Mortgage Trust 2015-C28           
 1,539,000   Series 2015-C28(f)  4.24%  05/15/2025   1,035,393 
     Wells Fargo Commercial Mortgage Trust 2015-NXS4           
 1,245,000   Series 2015-NXS4(f)  3.83%  11/15/2025   1,041,066 
     WF-RBS Commercial Mortgage Trust           
 2,008,740   Series 2012-C9(f)(g)(n)  2.05%  11/15/2045   67,558 
 3,556,760   Series 2014-C21(f)(n)  1.19%  08/15/2047   116,746 
 4,304,365   Series 2014-C22(f)(n)  0.96%  09/15/2057   113,621 
 636,000   Series 2014-C23(f)(g)  4.14%  10/15/2057   524,429 
     Willis Engine Structured Trust V           
 988,737   Series 2020-A(g)  3.23%  03/15/2028   744,883 

 

 

 

Principal Amount/Description  Rate  Maturity  Value 
$2,381,407   Zephyrus Capital Aviation Tl  4.61%  10/15/2038  $2,185,734 
                 
TOTAL NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS     
(Cost $440,851,963)         403,525,039