Principal
Value
|
| Description
|
| Stated
Coupon
|
| Stated
Maturity
|
| Value
|
MORTGAGE-BACKED SECURITIES (Continued)
|
|
| Commercial Mortgage-Backed Securities (Continued)
|
|
|
|
|
|
|
|
| Hawaii Hotel Trust
|
|
|
|
|
|
|
$1,000,000
|
| Series 2019-MAUI, Class A, 1 Mo. CME Term SOFR + CSA + 1.15% (b) (c)
|
| 6.42%
|
| 05/15/38
|
| $994,405
|
|
| Houston Galleria Mall Trust
|
|
|
|
|
|
|
1,000,000
|
| Series 2015-HGLR, Class D (c)
|
| 3.98%
|
| 03/01/37
|
| 907,091
|
|
| Hudsons Bay Simon JV Trust
|
|
|
|
|
|
|
306,078
|
| Series 2015-HBFL, Class DFL, 1 Mo. CME Term SOFR + CSA + 3.90% (b) (c)
|
| 9.16%
|
| 08/05/34
|
| 251,812
|
|
| JP Morgan Chase Commercial Mortgage Securities Trust
|
|
|
|
|
|
|
20,331,933
|
| Series 2016-JP4, Class XA, IO (a)
|
| 0.58%
|
| 12/01/49
|
| 296,596
|
969,086
|
| Series 2018-PHH, Class A, 1 Mo. CME Term SOFR + CSA + 1.21%, 2.71% Floor (b) (c)
|
| 6.48%
|
| 06/15/35
|
| 902,247
|
|
| LSTAR Commercial Mortgage Trust
|
|
|
|
|
|
|
1,500,000
|
| Series 2017-5, Class D (a) (c)
|
| 4.67%
|
| 03/01/50
|
| 1,035,753
|
24,682,963
|
| Series 2017-5, Class X, IO (a) (c)
|
| 0.80%
|
| 03/01/50
|
| 417,964
|
|
| Morgan Stanley Bank of America Merrill Lynch Trust
|
|
|
|
|
|
|
19,849,108
|
| Series 2014-C16, Class XA, IO (a)
|
| 0.87%
|
| 06/01/47
|
| 51,647
|
1,882,120
|
| Series 2014-C19, Class XA, IO (a)
|
| 0.95%
|
| 12/01/47
|
| 14,478
|
5,632,500
|
| Series 2014-C19, Class XE, IO (a) (c)
|
| 1.18%
|
| 12/01/47
|
| 85,093
|
435,653
|
| Series 2016-C31, Class XA (a)
|
| 1.27%
|
| 11/01/49
|
| 13,438
|
|
| Morgan Stanley Capital I Trust
|
|
|
|
|
|
|
2,180,000
|
| Series 2016-UBS9, Class XD, IO (a) (c)
|
| 1.59%
|
| 03/01/49
|
| 79,227
|
|
| Wells Fargo Commercial Mortgage Trust
|
|
|
|
|
|
|
1,265,946
|
| Series 2015-C26, Class XA, IO (a)
|
| 1.18%
|
| 02/01/48
|
| 16,732
|
|
|
|
| 14,069,267
|
|
| Total Mortgage-Backed Securities
|
| 26,040,781
|
|
| (Cost $29,588,757)
|
|
|
|
|
|
|
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 42.8%
|
|
| Collateralized Mortgage Obligations – 22.4%
|
|
|
|
|
|
|
|
| Federal Home Loan Mortgage Corp.
|
|
|
|
|
|
|
959
|
| Series 2303, Class SW, IO, ECOFIN x -15.87 + 121.11%, Capped at 10.00% (e)
|
| 10.00%
|
| 03/01/24
|
| 22
|
122,165
|
| Series 2439, Class XI, IO, if 1 Mo. LIBOR x -1 + 7.74% is less than 7.50%, then 6.50%, otherwise 0.00% (e)
|
| 6.50%
|
| 03/01/32
|
| 16,656
|
607,247
|
| Series 2975, Class SJ, IO, 30 Day Average SOFR + CSA x -1 + 6.65% (e)
|
| 1.47%
|
| 05/15/35
|
| 40,761
|
155,876
|
| Series 3012, Class GK, 30 Day Average SOFR + CSA x -4.5 + 24.75% (e)
|
| 1.43%
|
| 06/15/35
|
| 149,679
|
14,628
|
| Series 3451, Class SB, IO, 30 Day Average SOFR + CSA x -1 + 6.03% (e)
|
| 0.85%
|
| 05/15/38
|
| 930
|
215,354
|
| Series 3471, Class SD, IO, 30 Day Average SOFR + CSA x -1 + 6.08% (e)
|
| 0.90%
|
| 12/15/36
|
| 15,620
|
250,000
|
| Series 3797, Class KB
|
| 4.50%
|
| 01/01/41
|
| 243,311
|
10,745
|
| Series 4021, Class IP, IO
|
| 3.00%
|
| 03/01/27
|
| 369
|
184,828
|
| Series 4057, Class YI, IO
|
| 3.00%
|
| 06/01/27
|
| 6,794
|
377,075
|
| Series 4082, Class PI, IO
|
| 3.00%
|
| 06/01/27
|
| 13,756
|
246,415
|
| Series 4206, Class IA, IO
|
| 3.00%
|
| 03/01/33
|
| 19,983
|
3,158,331
|
| Series 4938, Class IB, IO
|
| 4.00%
|
| 07/01/49
|
| 408,711
|
|
| Federal Home Loan Mortgage Corp. STACR REMIC Trust
|
|
|
|
|
|
|
1,000,000
|
| Series 2020-DNA2, Class B2, 30 Day Average SOFR + CSA + 4.80% (b) (c)
|
| 9.98%
|
| 02/25/50
|
| 988,052
|
1,000,000
|
| Series 2020-HQA2, Class B2, 30 Day Average SOFR + CSA + 7.60% (b) (c)
|
| 12.78%
|
| 03/25/50
|
| 1,112,855
|