|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 32.3%
|
|||||
|
|
Collateralized Mortgage Obligations — 17.7%
|
|
|||
|
|
Federal Home Loan Mortgage Corporation
|
|
|
|
|
|
$2,722,172
|
Series 2015-4499, Class CZ
|
3.50%
|
08/15/45
|
$2,386,192
|
|
|
7,139,040
|
Series 2016-4639, Class HZ (a)
|
3.25%
|
04/15/53
|
5,956,831
|
|
|
2,047,536
|
Series 2019-4885, Class PZ
|
3.00%
|
06/15/49
|
1,469,294
|
|
|
362,695
|
Series 2019-4942, Class FA, 30 Day Average SOFR + CSA +
0.50% (b)
|
4.26%
|
01/25/50
|
356,825
|
|
|
3,545,457
|
Series 2022-5202, Class NV
|
3.00%
|
01/25/37
|
3,244,247
|
|
|
4,317,371
|
Series 2022-5224, Class DZ
|
4.00%
|
04/25/52
|
3,934,397
|
|
|
12,695,000
|
Series 2022-5224, Class HL
|
4.00%
|
04/25/52
|
11,760,022
|
|
|
8,877,981
|
Series 2022-5259, Class FA, 30 Day Average SOFR + 0.70% (b)
|
4.35%
|
09/25/52
|
8,813,839
|
|
|
6,636,542
|
Series 2022-5266, Class FA, 30 Day Average SOFR + 0.82% (b)
|
4.47%
|
09/25/52
|
6,589,581
|
|
|
8,939,145
|
Series 2023-5325, Class SA, (30 Day Average SOFR) ×-2+
11.40% (c)
|
4.11%
|
11/25/52
|
8,136,246
|
|
|
6,319,346
|
Series 2023-5351, Class EO, PO
|
(d)
|
10/25/53
|
5,180,735
|
|
|
4,509,524
|
Series 2024-5435, Class BS, (30 Day Average SOFR) ×-2+
11.93% (c)
|
4.63%
|
07/25/54
|
4,083,607
|
|
|
2,463,068
|
Series 2024-5460, Class FN, 30 Day Average SOFR + 1.10% (b)
|
4.75%
|
10/25/54
|
2,483,030
|
|
|
6,292,791
|
Series 2024-5476, Class FA, 30 Day Average SOFR + 1.10% (b)
|
4.75%
|
11/25/54
|
6,339,126
|
|
|
772,649
|
Series 2024-5478, Class NF, 30 Day Average SOFR + 1.30% (b)
|
4.95%
|
12/25/54
|
781,348
|
|
|
3,529,494
|
Series 2024-5487, Class ZM
|
3.50%
|
12/25/54
|
3,004,248
|
|
|
4,776,062
|
Series 2025-5500, Class CZ
|
4.50%
|
02/25/55
|
4,228,288
|
|
|
8,924,961
|
Series 2025-5506, Class DZ
|
3.50%
|
08/25/42
|
7,414,116
|
|
|
11,009,086
|
Series 2026-5642, Class FN, 30 Day Average SOFR + 0.90% (b)
|
4.55%
|
03/25/56
|
11,010,602
|
|
|
|
Federal Home Loan Mortgage Corporation Seasoned Credit Risk
Transfer Trust
|
|
|
|
|
|
1,109,626
|
Series 2017-1, Class HA (a)
|
3.00%
|
01/25/56
|
1,053,825
|
|
|
1,602,166
|
Series 2017-2, Class MA
|
3.00%
|
08/25/56
|
1,509,567
|
|
|
2,192,647
|
Series 2018-1, Class MA
|
3.00%
|
05/25/57
|
2,062,525
|
|
|
1,346,979
|
Series 2018-1, Class MT
|
3.00%
|
05/25/57
|
1,158,588
|
|
|
631,916
|
Series 2018-3, Class HA
|
3.00%
|
08/25/57
|
594,273
|
|
|
3,693,078
|
Series 2018-3, Class HV
|
3.00%
|
08/25/57
|
3,311,683
|
|
|
421,446
|
Series 2018-3, Class MA
|
3.50%
|
08/25/57
|
410,353
|
|
|
9,757,165
|
Series 2018-4, Class MA
|
3.50%
|
03/25/58
|
9,461,061
|
|
|
15,000,000
|
Series 2018-4, Class MB
|
3.50%
|
03/25/58
|
12,351,996
|
|
|
1,600,753
|
Series 2019-1, Class MA
|
3.50%
|
07/25/58
|
1,550,396
|
|
|
2,683,258
|
Series 2019-2, Class HV
|
3.00%
|
08/25/58
|
2,406,177
|
|
|
3,363,616
|
Series 2019-2, Class MA
|
3.50%
|
08/26/58
|
3,241,959
|
|
|
7,228,342
|
Series 2019-2, Class MV
|
3.50%
|
08/25/58
|
6,805,004
|
|
|
8,767,764
|
Series 2019-3, Class MA
|
3.50%
|
10/25/58
|
8,534,675
|
|
|
3,001,833
|
Series 2019-3, Class MV
|
3.50%
|
10/25/58
|
2,845,648
|
|
|
537,883
|
Series 2019-4, Class HA
|
3.00%
|
02/25/59
|
498,305
|
|
|
358,303
|
Series 2019-4, Class MA
|
3.00%
|
02/25/59
|
337,029
|
|
|
4,667,912
|
Series 2019-4, Class MV
|
3.00%
|
02/25/59
|
4,171,940
|
|
|
|
Federal Home Loan Mortgage Corporation Seasoned Loans
Structured Transaction Trust
|
|
|
|
|
|
232,804
|
Series 2018-2, Class A2
|
3.50%
|
11/25/28
|
225,090
|
|
|
406,440
|
Series 2019-2, Class A1C
|
2.75%
|
09/25/29
|
389,146
|
|
|
158,190
|
Series 2019-3, Class A1C
|
2.75%
|
11/25/29
|
150,528
|
|
|
550,362
|
Series 2020-2, Class AC
|
2.00%
|
09/25/30
|
503,738
|
|
|
886,593
|
Series 2024-2, Class VF, 30 Day Average SOFR + 1.25% (b) (e)
|
4.90%
|
10/25/34
|
904,199
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Collateralized Mortgage Obligations (Continued)
|
|
|||
|
|
Federal Home Loan Mortgage Corporation Seasoned Loans
Structured Transaction Trust (Continued)
|
|
|
|
|
|
$7,100,000
|
Series 2025-1, Class A2
|
3.00%
|
05/25/35
|
$6,129,950
|
|
|
16,124,000
|
Series 2025-2, Class A2
|
3.00%
|
10/25/35
|
13,715,574
|
|
|
|
Federal Home Loan Mortgage Corporation STACR REMIC Trust
|
|
|
|
|
|
5,013,086
|
Series 2024-DNA2, Class A1, 30 Day Average SOFR +
1.25% (b) (e)
|
4.90%
|
05/25/44
|
5,035,603
|
|
|
613,333
|
Series 2024-HQA2, Class A1, 30 Day Average SOFR +
1.25% (b) (e)
|
4.90%
|
08/25/44
|
616,094
|
|
|
980,000
|
Series 2025-DNA1, Class A1, 30 Day Average SOFR +
0.95% (b) (e)
|
4.60%
|
01/25/45
|
981,071
|
|
|
1,206,250
|
Series 2025-HQA1, Class A1, 30 Day Average SOFR +
0.95% (b) (e)
|
4.60%
|
02/25/45
|
1,208,218
|
|
|
|
Federal National Mortgage Association
|
|
|
|
|
|
6,239,386
|
Series 2012-118, Class VZ
|
3.00%
|
11/25/42
|
5,736,317
|
|
|
3,779,561
|
Series 2014-60, Class EZ
|
3.00%
|
10/25/44
|
3,455,322
|
|
|
1,451,779
|
Series 2015-65, Class CZ
|
3.50%
|
09/25/45
|
1,275,454
|
|
|
1,651,995
|
Series 2016-44, Class ZD
|
3.00%
|
07/25/46
|
1,367,775
|
|
|
252,515
|
Series 2018-45, Class FT, 30 Day Average SOFR + CSA +
0.30% (b)
|
4.06%
|
06/25/48
|
246,183
|
|
|
125,340
|
Series 2019-33, Class F, 30 Day Average SOFR + CSA +
0.45% (b)
|
4.21%
|
07/25/49
|
123,408
|
|
|
307,114
|
Series 2020-47, Class FA, 30 Day Average SOFR + CSA +
0.40% (b)
|
4.16%
|
07/25/50
|
300,760
|
|
|
14,506,841
|
Series 2022-29, Class JZ
|
1.50%
|
06/25/42
|
10,582,877
|
|
|
11,635,969
|
Series 2022-29, Class KZ
|
1.50%
|
06/25/42
|
8,784,081
|
|
|
2,894,196
|
Series 2022-31, Class GZ
|
2.00%
|
03/25/52
|
2,110,353
|
|
|
6,972,794
|
Series 2022-57, Class FB, 30 Day Average SOFR + 0.70% (b)
|
4.35%
|
09/25/52
|
6,896,490
|
|
|
8,064,431
|
Series 2022-62, Class FM, 30 Day Average SOFR + 0.65% (b)
|
4.30%
|
09/25/52
|
7,962,410
|
|
|
13,489,526
|
Series 2022-66, Class CF, 30 Day Average SOFR + 0.80% (b)
|
4.45%
|
10/25/52
|
13,385,113
|
|
|
7,386,401
|
Series 2022-69, Class FA, 30 Day Average SOFR + 0.82% (b)
|
4.47%
|
10/25/52
|
7,333,960
|
|
|
4,382,150
|
Series 2022-70, Class FA, 30 Day Average SOFR + 0.86% (b)
|
4.51%
|
10/25/52
|
4,356,934
|
|
|
6,495,438
|
Series 2023-54, Class PO, PO
|
(d)
|
11/25/53
|
5,483,407
|
|
|
4,078,033
|
Series 2024-20, Class ZQ
|
4.00%
|
10/25/45
|
3,604,047
|
|
|
922,251
|
Series 2024-39, Class AV
|
3.00%
|
11/25/33
|
876,030
|
|
|
2,922,422
|
Series 2024-81, Class FE, 30 Day Average SOFR + 1.15% (b)
|
4.80%
|
07/25/54
|
2,949,562
|
|
|
838,761
|
Series 2024-84, Class FD, 30 Day Average SOFR + 1.15% (b)
|
4.80%
|
11/25/54
|
846,694
|
|
|
16,503,198
|
Series 2024-98, Class FG, 30 Day Average SOFR + 1.00% (b)
|
4.65%
|
11/25/54
|
16,611,590
|
|
|
1,404,103
|
Series 2025-32, Class FD, 30 Day Average SOFR + 1.75% (b)
|
5.40%
|
05/25/55
|
1,423,690
|
|
|
11,424,637
|
Series 2025-49, Class FA, 30 Day Average SOFR + 0.80% (b)
|
4.45%
|
06/25/55
|
11,372,632
|
|
|
7,998,000
|
Series 2025-101, Class CZ
|
3.00%
|
07/25/51
|
4,911,482
|
|
|
10,132,655
|
Series 2026-5, Class CF, 30 Day Average SOFR + 1.05% (b)
|
4.70%
|
02/25/56
|
10,122,518
|
|
|
|
Government National Mortgage Association
|
|
|
|
|
|
4,559,035
|
Series 2012-113, Class BZ
|
3.00%
|
09/16/42
|
3,878,927
|
|
|
2,176,514
|
Series 2018-14, Class NZ
|
3.00%
|
01/20/48
|
1,806,938
|
|
|
2,629,818
|
Series 2018-89, Class VZ
|
3.50%
|
06/20/48
|
2,357,933
|
|
|
3,501,702
|
Series 2021-1, Class ZQ
|
3.00%
|
11/20/50
|
2,560,190
|
|
|
4,897,486
|
Series 2021-105, Class DT
|
5.50%
|
06/20/51
|
4,972,155
|
|
|
6,489,816
|
Series 2022-9, Class AC
|
5.50%
|
01/20/52
|
6,627,649
|
|
|
6,377,034
|
Series 2022-9, Class GJ
|
5.50%
|
01/20/52
|
6,512,566
|
|
|
4,857,663
|
Series 2022-139, Class AL
|
4.00%
|
07/20/51
|
4,465,787
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Collateralized Mortgage Obligations (Continued)
|
|
|||
|
|
Government National Mortgage Association (Continued)
|
|
|
|
|
|
$14,584,500
|
Series 2024-79, Class VB, (30 Day Average SOFR) ×-1.50+
10.95% (c)
|
5.49%
|
05/20/54
|
$13,939,143
|
|
|
10,097,526
|
Series 2024-181, Class FQ, 30 Day Average SOFR + 1.15% (b)
|
4.79%
|
11/20/54
|
10,185,037
|
|
|
3,913,588
|
Series 2025-83, Class SB, (30 Day Average SOFR) ×-2.50+
14.50% (c)
|
5.40%
|
05/20/55
|
3,768,138
|
|
|
3,977,691
|
Series 2025-95, Class DC, (30 Day Average SOFR) ×-2.50+
14.63% (c)
|
5.52%
|
05/20/55
|
3,695,538
|
|
|
8,099,535
|
Series 2025-98, Class SX, (30 Day Average SOFR) ×-1.80+
10.44% (c)
|
3.89%
|
06/20/55
|
7,431,706
|
|
|
4,883,144
|
Series 2025-100, Class JS, (30 Day Average SOFR) ×-2.75+
15.95% (c)
|
5.94%
|
06/20/55
|
4,653,098
|
|
|
7,853,588
|
Series 2025-131, Class ST, (30 Day Average SOFR) ×-1.80+
10.89% (c)
|
4.34%
|
08/20/55
|
6,867,774
|
|
|
15,018,974
|
Series 2025-164, Class PO, PO
|
(d)
|
08/20/54
|
11,894,395
|
|
|
2,960,190
|
Series 2025-192, Class GZ
|
4.00%
|
11/20/55
|
2,402,910
|
|
|
|
|
419,475,762
|
|||
|
|
Commercial Mortgage-Backed Securities — 1.7%
|
|
|||
|
|
Federal Home Loan Mortgage Corporation Multiclass Certificates
|
|
|
|
|
|
5,795,000
|
Series 2020-RR07, Class BX, IO (f)
|
2.61%
|
10/27/28
|
274,020
|
|
|
5,778,199
|
Series 2020-RR14, Class X, IO (g)
|
2.13%
|
03/27/34
|
712,670
|
|
|
|
Federal Home Loan Mortgage Corporation Multifamily PC REMIC
Trust
|
|
|
|
|
|
23,500,000
|
Series 2019-RR01, Class X, IO (f)
|
1.53%
|
06/25/28
|
592,136
|
|
|
|
Federal Home Loan Mortgage Corporation Multifamily Structured
Pass Through Certificates
|
|
|
|
|
|
4,950,000
|
Series 2019-K094, Class XAM, IO (g)
|
1.28%
|
06/25/29
|
166,029
|
|
|
5,224,346
|
Series 2019-K097, Class X1, IO (g)
|
1.21%
|
07/25/29
|
158,975
|
|
|
23,504,124
|
Series 2019-K101, Class X1, IO (f)
|
0.94%
|
10/25/29
|
581,243
|
|
|
321,444
|
Series 2019-K103, Class A1
|
2.31%
|
06/25/29
|
312,462
|
|
|
2,155,386
|
Series 2019-K736, Class X1, IO (g)
|
1.37%
|
07/25/26
|
1,993
|
|
|
217,105
|
Series 2019-K1510, Class A3
|
3.79%
|
01/25/34
|
205,574
|
|
|
669,699
|
Series 2019-K1510, Class X1, IO (g)
|
0.63%
|
01/25/34
|
17,727
|
|
|
26,409,908
|
Series 2019-K1512, Class X1, IO (g)
|
1.05%
|
04/25/34
|
1,267,528
|
|
|
24,725,621
|
Series 2020-K104, Class X1, IO (g)
|
1.23%
|
01/25/30
|
872,033
|
|
|
5,200,000
|
Series 2020-K104, Class XAM, IO (g)
|
1.50%
|
01/25/30
|
248,898
|
|
|
18,666,931
|
Series 2020-K110, Class X1, IO (g)
|
1.75%
|
04/25/30
|
985,569
|
|
|
33,738,479
|
Series 2020-K115, Class X1, IO (g)
|
1.41%
|
06/25/30
|
1,547,260
|
|
|
7,723,559
|
Series 2020-K116, Class X1, IO (g)
|
1.51%
|
07/25/30
|
371,380
|
|
|
8,289,312
|
Series 2020-K118, Class X1, IO (g)
|
1.04%
|
09/25/30
|
287,571
|
|
|
71,184,003
|
Series 2020-K120, Class X1, IO (g)
|
1.12%
|
10/25/30
|
2,645,532
|
|
|
399,066
|
Series 2020-K1517, Class X1, IO (g)
|
1.43%
|
07/25/35
|
34,941
|
|
|
8,385,615
|
Series 2020-KG03, Class X1, IO (g)
|
1.46%
|
06/25/30
|
378,335
|
|
|
9,625,660
|
Series 2020-KG04, Class X1, IO (g)
|
0.93%
|
11/25/30
|
296,393
|
|
|
29,690,009
|
Series 2021-K130, Class X1, IO (g)
|
1.14%
|
06/25/31
|
1,303,451
|
|
|
91,922,399
|
Series 2021-K132, Class X1, IO (g)
|
0.60%
|
08/25/31
|
2,100,960
|
|
|
2,161,651
|
Series 2021-K743, Class X1, IO (g)
|
1.00%
|
05/25/28
|
34,801
|
|
|
16,603,728
|
Series 2021-KG05, Class X1, IO (g)
|
0.40%
|
01/25/31
|
202,393
|
|
|
266,873
|
Series 2022-K142, Class A1
|
2.40%
|
12/25/31
|
249,615
|
|
|
486,023
|
Series 2022-K152, Class A1
|
3.78%
|
01/25/32
|
481,227
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Commercial Mortgage-Backed Securities (Continued)
|
|
|||
|
|
Federal Home Loan Mortgage Corporation Multifamily Structured
Pass Through Certificates (Continued)
|
|
|
|
|
|
$116,788,000
|
Series 2024-K164, Class XAM, IO (g)
|
0.46%
|
06/25/34
|
$2,637,704
|
|
|
4,437,000
|
Series 2024-K165, Class XAM, IO (g)
|
1.09%
|
09/25/34
|
298,601
|
|
|
22,349,000
|
Series 2024-K167, Class XAM, IO (g)
|
0.55%
|
11/25/34
|
642,758
|
|
|
919,000
|
Series 2024-K757, Class XAM, IO (g)
|
1.18%
|
08/25/31
|
42,996
|
|
|
325,000
|
Series 2024-KJ51, Class A2
|
4.70%
|
01/25/32
|
326,174
|
|
|
71,353,401
|
Series 2025-K541, Class X1, IO (g)
|
0.81%
|
02/25/30
|
1,595,548
|
|
|
71,830,863
|
Series 2025-K546, Class X1, IO (g)
|
1.06%
|
05/25/30
|
2,300,470
|
|
|
|
Federal National Mortgage Association Alternative Credit
Enhancement Securities
|
|
|
|
|
|
357,511
|
Series 2024-M3, Class Z (g)
|
4.66%
|
04/25/53
|
303,531
|
|
|
8,952,605
|
Series 2026-M4, Class Z (g)
|
2.98%
|
04/25/52
|
5,474,372
|
|
|
|
Government National Mortgage Association
|
|
|
|
|
|
10,873,549
|
Series 2021-31, Class IO, IO (g)
|
0.94%
|
01/16/61
|
741,298
|
|
|
29,829,098
|
Series 2024-32, Class IO, IO (g)
|
0.70%
|
06/16/63
|
1,566,174
|
|
|
13,014,597
|
Series 2025-21, Class IO, IO (g)
|
0.95%
|
04/16/65
|
915,842
|
|
|
24,156,798
|
Series 2025-153, Class IO, IO (g)
|
0.85%
|
09/16/67
|
1,812,417
|
|
|
68,672,551
|
Series 2025-206, Class IO, IO (g)
|
0.80%
|
04/16/64
|
4,149,278
|
|
|
|
|
39,137,879
|
|||
|
|
Pass-Through Securities — 12.9%
|
|
|||
|
|
Federal Home Loan Mortgage Corporation
|
||||
|
1,948,178
|
Pool Q43173
|
3.00%
|
09/01/46
|
1,751,671
|
|
|
748,854
|
Pool RB5112
|
2.50%
|
05/01/41
|
675,475
|
|
|
5,360,025
|
Pool RB5126
|
2.50%
|
09/01/41
|
4,823,252
|
|
|
1,652,123
|
Pool RE6076
|
2.00%
|
12/01/50
|
1,300,314
|
|
|
2,158,534
|
Pool SD0257
|
3.00%
|
01/01/50
|
1,892,900
|
|
|
3,200,396
|
Pool SD7309
|
4.00%
|
02/01/45
|
3,065,341
|
|
|
555,178
|
Pool SD7550
|
3.00%
|
02/01/52
|
495,509
|
|
|
5,103,001
|
Pool SL0847
|
3.50%
|
04/01/49
|
4,711,777
|
|
|
885,403
|
Pool ZS9776
|
3.50%
|
08/01/46
|
824,445
|
|
|
3,815,302
|
Pool ZT0794
|
4.50%
|
10/01/48
|
3,743,470
|
|
|
16,130,523
|
Pool ZT2264
|
4.00%
|
03/01/44
|
15,607,174
|
|
|
|
Federal National Mortgage Association
|
||||
|
445,623
|
Pool 310208
|
3.00%
|
03/01/48
|
393,003
|
|
|
437,382
|
Pool 310211
|
3.50%
|
07/01/48
|
402,791
|
|
|
3,573,692
|
Pool AL8400
|
3.00%
|
08/01/43
|
3,270,428
|
|
|
5,245,584
|
Pool AL9394
|
3.00%
|
11/01/46
|
4,672,668
|
|
|
3,421,532
|
Pool AS5843
|
4.00%
|
09/01/45
|
3,266,824
|
|
|
227,173
|
Pool BF0207
|
4.50%
|
04/01/47
|
224,091
|
|
|
2,179,528
|
Pool BM4629
|
4.00%
|
10/01/48
|
2,055,944
|
|
|
4,285,772
|
Pool BM6210
|
3.50%
|
12/01/47
|
3,947,289
|
|
|
8,776,677
|
Pool BM6429
|
3.00%
|
09/01/48
|
7,740,667
|
|
|
1,593,598
|
Pool BM7345
|
4.50%
|
03/01/50
|
1,510,213
|
|
|
316,944
|
Pool BM7521
|
3.50%
|
10/01/48
|
293,904
|
|
|
3,543,340
|
Pool BM7687
|
3.00%
|
11/01/46
|
3,206,579
|
|
|
4,460,341
|
Pool BM7699
|
3.50%
|
02/01/47
|
4,183,023
|
|
|
3,479,312
|
Pool BM7914
|
2.00%
|
03/01/52
|
2,738,428
|
|
|
6,772,643
|
Pool CA7695
|
1.50%
|
11/01/50
|
5,197,712
|
|
|
4,728,898
|
Pool FA0606
|
3.50%
|
09/01/47
|
4,449,112
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Pass-Through Securities (Continued)
|
|
|||
|
|
Federal National Mortgage Association (Continued)
|
||||
|
$2,713,402
|
Pool FA0983
|
4.00%
|
11/01/50
|
$2,576,378
|
|
|
9,238,733
|
Pool FA1024
|
2.50%
|
05/01/51
|
7,774,807
|
|
|
9,528,059
|
Pool FA1265
|
4.50%
|
12/01/50
|
9,347,754
|
|
|
1,996,989
|
Pool FM9416
|
3.50%
|
07/01/45
|
1,863,500
|
|
|
8,177,929
|
Pool FM9645
|
4.50%
|
11/01/49
|
8,024,868
|
|
|
337,524
|
Pool FM9712
|
3.50%
|
11/01/50
|
313,886
|
|
|
2,562,688
|
Pool FP0122
|
4.50%
|
07/01/51
|
2,499,513
|
|
|
5,565,456
|
Pool FS0704
|
4.00%
|
03/01/47
|
5,322,457
|
|
|
4,219,827
|
Pool FS1046
|
4.50%
|
11/01/49
|
4,143,171
|
|
|
4,025,049
|
Pool FS6440
|
4.00%
|
10/01/48
|
3,834,200
|
|
|
11,247,831
|
Pool FS8780
|
3.00%
|
07/01/50
|
10,106,836
|
|
|
13,233,348
|
Pool FS8862
|
3.50%
|
05/01/48
|
12,340,054
|
|
|
5,289,205
|
Pool FS9392
|
3.50%
|
05/01/49
|
4,894,029
|
|
|
1,071,304
|
Pool MA1582
|
3.50%
|
09/01/43
|
1,004,543
|
|
|
2,180,060
|
Pool MA4025
|
2.50%
|
05/01/50
|
1,814,189
|
|
|
374,547
|
Pool MA4319
|
2.00%
|
04/01/51
|
294,791
|
|
|
6,335,631
|
Pool MA4320
|
2.50%
|
04/01/51
|
5,225,165
|
|
|
1,269,000
|
Pool TBA
|
4.00%
|
06/15/41
|
1,235,878
|
|
|
7,845,000
|
Pool TBA (h)
|
4.00%
|
05/01/56
|
7,358,059
|
|
|
33,487,000
|
Pool TBA (h)
|
4.50%
|
05/01/56
|
32,215,835
|
|
|
5,115,000
|
Pool TBA (h)
|
3.50%
|
05/15/56
|
4,656,546
|
|
|
4,933,000
|
Pool TBA (h)
|
5.50%
|
05/15/56
|
4,958,309
|
|
|
36,000
|
Pool TBA (h)
|
2.50%
|
06/15/56
|
30,138
|
|
|
9,630,000
|
Pool TBA
|
3.50%
|
06/15/56
|
8,760,851
|
|
|
11,799,000
|
Pool TBA
|
5.50%
|
06/15/56
|
11,845,709
|
|
|
6,610,000
|
Pool TBA
|
4.00%
|
07/15/56
|
6,186,806
|
|
|
28,550,000
|
Pool TBA
|
5.50%
|
07/15/56
|
28,634,025
|
|
|
|
Government National Mortgage Association
|
||||
|
22,725,868
|
Pool MA7192
|
2.00%
|
02/20/51
|
18,721,883
|
|
|
2,511,000
|
Pool TBA (h)
|
4.00%
|
05/15/56
|
2,343,324
|
|
|
8,653,000
|
Pool TBA (h)
|
3.50%
|
06/15/56
|
7,814,741
|
|
|
2,501,000
|
Pool TBA
|
4.50%
|
06/15/56
|
2,409,753
|
|
|
1,257,000
|
Pool TBA
|
4.00%
|
07/15/56
|
1,171,932
|
|
|
|
|
306,167,934
|
|||
|
|
Total U.S. Government Agency Mortgage-Backed Securities
|
764,781,575
|
|||
|
|
(Cost $761,347,642)
|
|
|||
|
MORTGAGE-BACKED SECURITIES — 20.1%
|
|||||
|
|
Collateralized Mortgage Obligations — 15.1%
|
|
|||
|
|
Arroyo Mortgage Trust
|
|
|
|
|
|
81,605
|
Series 2020-1, Class A1A (e)
|
1.66%
|
03/25/55
|
79,764
|
|
|
|
BRAVO Residential Funding Trust
|
|
|
|
|
|
500,000
|
Series 2019-1, Class A3 (e)
|
3.50%
|
03/25/58
|
427,984
|
|
|
142,340
|
Series 2019-2, Class A3 (e)
|
3.50%
|
10/25/44
|
136,747
|
|
|
982,330
|
Series 2022-NQM1, Class A1 (e)
|
4.63%
|
09/25/61
|
968,386
|
|
|
1,114,979
|
Series 2025-NQM3, Class A1 (a) (e)
|
5.57%
|
03/25/65
|
1,121,944
|
|
|
|
Chase Home Lending Mortgage Trust
|
|
|
|
|
|
575,056
|
Series 2019-ATR2, Class B1 (e) (g)
|
3.99%
|
07/25/49
|
535,817
|
|
|
367,040
|
Series 2019-ATR2, Class B2 (e) (g)
|
3.99%
|
07/25/49
|
341,122
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Collateralized Mortgage Obligations (Continued)
|
|
|||
|
|
Chase Home Lending Mortgage Trust (Continued)
|
|
|
|
|
|
$1,378,896
|
Series 2025-8, Class A11, 30 Day Average SOFR + 1.30% (b) (e)
|
4.95%
|
06/25/56
|
$1,383,807
|
|
|
2,464,296
|
Series 2025-10, Class A11, 30 Day Average SOFR +
1.30% (b) (e)
|
4.95%
|
07/25/56
|
2,471,128
|
|
|
|
Chase Mortgage Finance Corp.
|
|
|
|
|
|
5,008,672
|
Series 2026-CINV1, Class A11, 30 Day Average SOFR +
1.20% (b) (e)
|
4.85%
|
01/25/57
|
5,016,451
|
|
|
|
CIM Trust
|
|
|
|
|
|
3,330,625
|
Series 2019-INV3, Class B1A (e)
|
4.64%
|
08/25/49
|
3,231,736
|
|
|
|
Citigroup Mortgage Loan Trust
|
|
|
|
|
|
313,796
|
Series 2014-A, Class B3 (e) (g)
|
5.48%
|
01/25/35
|
312,532
|
|
|
|
COLT Mortgage Loan Trust
|
|
|
|
|
|
593,113
|
Series 2021-6, Class A1 (e)
|
1.91%
|
12/25/66
|
545,720
|
|
|
1,508,064
|
Series 2025-4, Class A1, steps up to 6.79% on 05/01/2029 (a) (e)
|
5.79%
|
04/25/70
|
1,522,370
|
|
|
|
Connecticut Avenue Securities Trust
|
|
|
|
|
|
2,255,354
|
Series 2024-R05, Class 2A1, 30 Day Average SOFR +
1.00% (b) (e)
|
4.65%
|
07/25/44
|
2,259,217
|
|
|
1,904,788
|
Series 2025-R01, Class 1A1, 30 Day Average SOFR +
0.95% (b) (e)
|
4.60%
|
01/25/45
|
1,906,739
|
|
|
1,911,828
|
Series 2025-R02, Class 1A1, 30 Day Average SOFR +
1.00% (b) (e)
|
4.65%
|
02/25/45
|
1,915,593
|
|
|
|
Credit Suisse Mortgage Trust
|
|
|
|
|
|
635,854
|
Series 2018-RPL9, Class A (e)
|
3.85%
|
09/25/57
|
611,544
|
|
|
189,241
|
Series 2019-AFC1, Class A1 (a) (e)
|
3.57%
|
07/25/49
|
184,475
|
|
|
1,538,227
|
Series 2021-RPL6, Class A1 (e)
|
2.00%
|
10/25/60
|
1,392,307
|
|
|
|
Cross Mortgage Trust
|
|
|
|
|
|
1,492,940
|
Series 2025-H3, Class A1 (e)
|
5.88%
|
04/25/70
|
1,508,007
|
|
|
|
CSMC Trust
|
|
|
|
|
|
2,497,717
|
Series 2018-J1, Class A2 (e)
|
3.50%
|
02/25/48
|
2,264,259
|
|
|
|
Ellington Financial Mortgage Trust
|
|
|
|
|
|
289,000
|
Series 2019-2, Class M1 (e)
|
3.47%
|
11/25/59
|
279,005
|
|
|
1,622,323
|
Series 2024-INV2, Class A1, steps up to 6.04%
on 09/01/2028 (a) (e)
|
5.04%
|
10/25/69
|
1,619,350
|
|
|
3,843,876
|
Series 2025-NQM6, Class A1 (e) (f)
|
5.00%
|
12/25/70
|
3,834,567
|
|
|
2,678,483
|
Series 2026-AE1, Class A29, 30 Day Average SOFR +
1.15% (b) (e)
|
4.80%
|
11/25/60
|
2,680,398
|
|
|
3,483,418
|
Series 2026-NQM3, Class A1 (e) (f)
|
5.03%
|
03/25/71
|
3,475,836
|
|
|
|
FARM Mortgage Trust
|
|
|
|
|
|
2,594,211
|
Series 2024-1, Class A (e) (g)
|
4.68%
|
10/01/53
|
2,510,341
|
|
|
293,284
|
Series 2024-2, Class A (e) (g)
|
5.16%
|
08/01/54
|
286,433
|
|
|
|
Flagstar Mortgage Trust
|
|
|
|
|
|
2,041,324
|
Series 2018-2, Class B1 (e) (g)
|
4.00%
|
04/25/48
|
1,888,145
|
|
|
|
GCAT Trust
|
|
|
|
|
|
358,676
|
Series 2019-RPL1, Class A1 (e)
|
2.65%
|
10/25/68
|
351,106
|
|
|
9,634,256
|
Series 2025-INV5, Class A28, 30 Day Average SOFR +
1.50% (b) (e)
|
5.15%
|
12/25/55
|
9,685,063
|
|
|
|
GS Mortgage-Backed Securities Trust
|
|
|
|
|
|
142,036
|
Series 2020-NQM1, Class A3 (e)
|
2.35%
|
09/27/60
|
136,262
|
|
|
9,000,000
|
Series 2022-LTV1, Class A14 (e)
|
3.00%
|
06/25/52
|
6,501,235
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Collateralized Mortgage Obligations (Continued)
|
|
|||
|
|
GS Mortgage-Backed Securities Trust (Continued)
|
|
|
|
|
|
$4,324,817
|
Series 2025-PJ11, Class A27, 30 Day Average SOFR +
1.35% (b) (e)
|
5.00%
|
05/25/56
|
$4,331,316
|
|
|
1,405,358
|
Series 2026-PJ1, Class A27, 30 Day Average SOFR +
1.25% (b) (e)
|
4.90%
|
06/25/56
|
1,404,141
|
|
|
|
HOMES Trust
|
|
|
|
|
|
5,310,487
|
Series 2024-AFC1, Class A1, steps up to 6.22%
on 09/01/2028 (a) (e)
|
5.22%
|
08/25/59
|
5,323,180
|
|
|
2,304,941
|
Series 2024-AFC2, Class A1 (e)
|
5.58%
|
10/25/59
|
2,316,559
|
|
|
1,778,287
|
Series 2025-AFC2, Class A1A, steps up to 6.47%
on 06/01/2029 (a) (e)
|
5.47%
|
06/25/60
|
1,787,285
|
|
|
3,652,660
|
Series 2025-AFC4, Class A1 (e) (f)
|
5.15%
|
11/25/60
|
3,652,580
|
|
|
8,119,499
|
Series 2026-AFC1, Class A1 (e) (f)
|
4.85%
|
02/25/61
|
8,076,909
|
|
|
|
JP Morgan Mortgage Trust
|
|
|
|
|
|
676,046
|
Series 2017-6, Class A7 (e)
|
3.50%
|
12/25/48
|
614,670
|
|
|
1,077,168
|
Series 2019-6, Class B1 (e) (g)
|
4.26%
|
12/25/49
|
1,012,788
|
|
|
285,650
|
Series 2019-INV1, Class A11, 1 Mo. CME Term SOFR + CSA +
0.95% (b) (e)
|
4.72%
|
09/25/49
|
281,803
|
|
|
1,582,868
|
Series 2019-INV1, Class B1 (e) (g)
|
4.93%
|
09/25/49
|
1,543,799
|
|
|
805,268
|
Series 2019-INV3, Class A13 (e)
|
3.50%
|
05/25/50
|
730,854
|
|
|
474,455
|
Series 2019-INV3, Class A3 (e)
|
3.50%
|
05/25/50
|
430,611
|
|
|
471,092
|
Series 2020-LTV2, Class B1 (e) (g)
|
4.00%
|
11/25/50
|
429,639
|
|
|
5,150,000
|
Series 2025-3, Class A1C, steps up to 6.64%
on 04/01/2029 (a) (e)
|
5.64%
|
09/25/55
|
5,127,367
|
|
|
5,000,000
|
Series 2025-5MPR, Class A1C, steps up to 6.82%
on 05/01/2029 (a) (e)
|
5.82%
|
11/25/55
|
4,996,296
|
|
|
7,460,373
|
Series 2026-1, Class A11, 30 Day Average SOFR + 1.10% (b) (e)
|
4.75%
|
07/25/56
|
7,416,933
|
|
|
5,000,000
|
Series 2026-LTV1, Class A1 (e) (f)
|
5.42%
|
09/25/56
|
5,005,899
|
|
|
|
MetLife Securitization Trust
|
|
|
|
|
|
307,125
|
Series 2018-1A, Class A (e)
|
3.75%
|
03/25/57
|
298,054
|
|
|
|
MFRA Trust
|
|
|
|
|
|
1,501,922
|
Series 2023-INV2, Class A1, steps up to 7.78%
on 09/01/2027 (a) (e)
|
6.78%
|
10/25/58
|
1,509,723
|
|
|
4,313,440
|
Series 2024-NQM3, Class A1, steps up to 6.72%
on 12/01/2028 (a) (e)
|
5.72%
|
12/25/69
|
4,343,393
|
|
|
1,559,114
|
Series 2025-NQM1, Class A1, steps up to 6.44%
on 02/01/2029 (a) (e)
|
5.44%
|
03/25/70
|
1,563,881
|
|
|
3,706,900
|
Series 2025-NQM5, Class A1 (e) (f)
|
5.19%
|
11/25/70
|
3,711,057
|
|
|
5,874,362
|
Series 2026-NQM1, Class A1 (e) (f)
|
5.05%
|
02/25/71
|
5,861,091
|
|
|
|
Morgan Stanley Residential Mortgage Loan Trust
|
|
|
|
|
|
905,665
|
Series 2025-SPL1, Class A1 (e) (f)
|
4.25%
|
02/25/65
|
882,849
|
|
|
4,786,290
|
Series 2026-INV1, Class A9, 30 Day Average SOFR +
1.15% (b) (e)
|
4.80%
|
02/25/61
|
4,793,513
|
|
|
|
New Residential Mortgage Loan Trust
|
|
|
|
|
|
1,741,912
|
Series 2016-3A, Class B1 (e)
|
4.00%
|
09/25/56
|
1,705,373
|
|
|
5,849,475
|
Series 2018-3A, Class A1 (e)
|
4.50%
|
05/25/58
|
5,700,301
|
|
|
2,785,436
|
Series 2018-4A, Class A1S, 1 Mo. CME Term SOFR + CSA +
0.75% (b) (e)
|
4.52%
|
01/25/48
|
2,751,696
|
|
|
|
OBX Trust
|
|
|
|
|
|
4,163,761
|
Series 2018-1, Class A2, 1 Mo. CME Term SOFR +
0.76% (b) (e)
|
4.42%
|
06/25/57
|
4,133,969
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Collateralized Mortgage Obligations (Continued)
|
|
|||
|
|
OBX Trust (Continued)
|
|
|
|
|
|
$508,306
|
Series 2019-EXP3, Class 2A1B, 1 Mo. CME Term SOFR + CSA
+ 0.90% (b) (e)
|
4.67%
|
10/25/59
|
$508,514
|
|
|
2,000,000
|
Series 2022-NQM2, Class A1B (a) (e)
|
4.38%
|
01/25/62
|
1,862,677
|
|
|
1,507,015
|
Series 2025-NQM13, Class A1 (e) (f)
|
5.44%
|
05/25/65
|
1,515,366
|
|
|
4,867,209
|
Series 2026-INV1, Class AF, 30 Day Average SOFR +
1.35% (b) (e)
|
5.00%
|
02/25/56
|
4,874,696
|
|
|
14,453,649
|
Series 2026-J1, Class AF, 30 Day Average SOFR + 1.35% (b) (e)
|
5.00%
|
02/25/56
|
14,474,992
|
|
|
4,600,000
|
Series 2026-NQM4, Class A1LC, steps up to 6.23%
on 03/01/2030 (a) (e)
|
5.23%
|
02/25/66
|
4,602,639
|
|
|
|
Onslow Bay Mortgage Loan Trust
|
|
|
|
|
|
264,032
|
Series 2021-NQM4, Class A1 (e)
|
1.96%
|
10/25/61
|
226,803
|
|
|
1,799,274
|
Series 2025-NQM6, Class A1, steps up to 6.60%
on 03/01/2029 (a) (e)
|
5.60%
|
03/25/65
|
1,813,739
|
|
|
|
PMT Loan Trust
|
|
|
|
|
|
16,452,339
|
Series 2025-CNF1, Class A35, 30 Day Average SOFR +
1.35% (b) (e)
|
5.00%
|
10/25/56
|
16,491,265
|
|
|
4,005,510
|
Series 2025-CNF2, Class A26, 30 Day Average SOFR +
1.40% (b) (e)
|
5.05%
|
01/25/57
|
4,023,591
|
|
|
5,025,660
|
Series 2025-INV9, Class A34, 30 Day Average SOFR +
1.30% (b) (e)
|
4.95%
|
09/01/56
|
5,054,231
|
|
|
1,982,891
|
Series 2026-CNF3, Class A23, 30 Day Average SOFR +
1.45% (b) (e)
|
5.10%
|
04/25/57
|
1,984,060
|
|
|
3,000,000
|
Series 2026-CNF4, Class A23, 30 Day Average SOFR +
1.35% (b) (e)
|
4.99%
|
05/25/57
|
3,007,232
|
|
|
9,833,559
|
Series 2026-INV1, Class A36, 30 Day Average SOFR +
1.30% (b) (e)
|
4.95%
|
01/25/57
|
9,844,716
|
|
|
10,834,233
|
Series 2026-INV2, Class A35, 30 Day Average SOFR +
1.15% (b) (e)
|
4.80%
|
01/25/57
|
10,877,293
|
|
|
4,933,628
|
Series 2026-INV3, Class A36, 30 Day Average SOFR +
1.35% (b) (e)
|
5.00%
|
02/25/57
|
4,937,280
|
|
|
4,770,448
|
Series 2026-J1, Class A25, 30 Day Average SOFR +
1.15% (b) (e)
|
4.80%
|
01/25/57
|
4,745,621
|
|
|
|
PRKCM Trust
|
|
|
|
|
|
3,451,455
|
Series 2022-AFC2, Class A1 (e)
|
5.34%
|
08/25/57
|
3,445,922
|
|
|
2,918,597
|
Series 2025-AFC2, Class A1 (e) (f)
|
5.02%
|
12/25/60
|
2,909,429
|
|
|
1,877,543
|
Series 2025-HOME1, Class A1A, steps up to 6.55%
on 03/01/2029 (a) (e)
|
5.55%
|
02/25/60
|
1,886,995
|
|
|
797,258
|
Series 2025-HOME1, Class A1B, steps up to 6.65%
on 03/01/2029 (a) (e)
|
5.65%
|
02/25/60
|
801,043
|
|
|
|
PRPM LLC
|
|
|
|
|
|
3,340,000
|
Series 2024-RCF1, Class A2, steps up to 5.00%
on 01/25/2028 (a) (e)
|
4.00%
|
01/25/54
|
3,281,200
|
|
|
2,934,000
|
Series 2024-RCF1, Class A3, steps up to 5.00%
on 01/25/2028 (a) (e)
|
4.00%
|
01/25/54
|
2,872,582
|
|
|
2,900,000
|
Series 2024-RCF2, Class A2, steps up to 4.75%
on 03/25/2028 (a) (e)
|
3.75%
|
03/25/54
|
2,824,684
|
|
|
3,039,000
|
Series 2024-RCF4, Class A2, steps up to 5.00%
on 07/25/2028 (a) (e)
|
4.00%
|
07/25/54
|
2,961,522
|
|
|
2,096,000
|
Series 2024-RCF5, Class A2, steps up to 5.00%
on 08/25/2028 (a) (e)
|
4.00%
|
08/25/54
|
2,040,558
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Collateralized Mortgage Obligations (Continued)
|
|
|||
|
|
PRPM LLC (Continued)
|
|
|
|
|
|
$694,574
|
Series 2024-RPL2, Class A1, steps up to 4.50%
on 05/25/2028 (a) (e)
|
3.50%
|
05/25/54
|
$678,811
|
|
|
224,304
|
Series 2024-RPL3, Class A1, steps up to 5.00%
on 11/25/2028 (a) (e)
|
4.00%
|
11/25/54
|
219,395
|
|
|
518,563
|
Series 2024-RPL4, Class A1, steps up to 5.00%
on 12/25/2028 (a) (e)
|
4.00%
|
12/25/54
|
506,827
|
|
|
1,228,141
|
Series 2025-RCF4, Class A1, steps up to 5.50%
on 08/01/2029 (a) (e)
|
4.50%
|
08/25/55
|
1,209,490
|
|
|
1,371,125
|
Series 2025-RCF5, Class A1, steps up to 5.84%
on 10/01/2029 (a) (e)
|
4.84%
|
10/25/55
|
1,360,554
|
|
|
3,571,857
|
Series 2025-RCF6, Class A1, steps up to 5.94%
on 12/01/2029 (a) (e)
|
4.94%
|
12/25/55
|
3,543,060
|
|
|
1,167,220
|
Series 2025-RPL3, Class A1, steps up to 4.25%
on 04/01/2028 (a) (e)
|
3.25%
|
04/25/55
|
1,131,507
|
|
|
1,967,607
|
Series 2025-RPL4, Class A1, steps up to 4.00%
on 05/01/2029 (a) (e)
|
3.00%
|
05/25/55
|
1,872,139
|
|
|
|
PRPM Trust
|
|
|
|
|
|
567,534
|
Series 2023-NQM3, Class A1, steps up to 7.22%
on 01/01/2028 (a) (e)
|
6.22%
|
11/25/68
|
570,792
|
|
|
2,429,909
|
Series 2025-NQM2, Class A1, steps up to 6.69%
on 05/01/2029 (a) (e)
|
5.69%
|
04/25/70
|
2,444,940
|
|
|
2,177,388
|
Series 2025-NQM3, Class A1 (e) (f)
|
|
05/25/70
|
2,188,402
|
|
|
4,467,301
|
Series 2025-NQM6, Class A1 (e) (f)
|
4.99%
|
12/25/70
|
4,447,487
|
|
|
6,087,536
|
Series 2026-NQM1, Class A1 (e) (f)
|
5.13%
|
02/25/71
|
6,077,931
|
|
|
1,666,650
|
Series 2026-NQM2, Class A1LC, steps up to 6.264%
on 05/01/2030 (a) (e)
|
5.26%
|
04/25/71
|
1,665,931
|
|
|
10,873,774
|
Series 2026-RCF1, Class A1, steps up to 5.85%
on 01/01/2030 (a) (e)
|
4.85%
|
01/25/56
|
10,822,755
|
|
|
|
Rate Mortgage Trust
|
|
|
|
|
|
8,345,349
|
Series 2025-J3, Class A27, 30 Day Average SOFR +
1.55% (b) (e)
|
5.20%
|
11/25/55
|
8,402,017
|
|
|
|
RUN Trust
|
|
|
|
|
|
3,519,551
|
Series 2022-NQM1, Class A1 (e)
|
5.00%
|
03/25/67
|
3,450,408
|
|
|
|
Santander Mortgage Asset Receivable Trust
|
|
|
|
|
|
2,858,351
|
Series 2025-NQM2, Class A1 (a) (e)
|
5.73%
|
02/25/65
|
2,880,681
|
|
|
2,115,000
|
Series 2026-NQM3, Class A1LC, steps up to 6.23%
on 03/01/2030 (a) (e)
|
5.23%
|
03/25/66
|
2,111,166
|
|
|
|
Sequoia Mortgage Trust
|
|
|
|
|
|
4,574,580
|
Series 2026-HYB1, Class A1B (e)
|
4.67%
|
04/25/56
|
4,478,687
|
|
|
5,970,174
|
Series 2026-INV2, Class A26F, 30 Day Average SOFR +
1.50% (b) (e)
|
5.15%
|
04/25/56
|
5,973,371
|
|
|
|
Starwood Mortgage Residential Trust
|
|
|
|
|
|
1,690,316
|
Series 2022-3, Class A1 (e)
|
5.16%
|
03/25/67
|
1,686,216
|
|
|
|
Towd Point Mortgage Trust
|
|
|
|
|
|
1,480,086
|
Series 2019-HY2, Class A1, 1 Mo. CME Term SOFR + CSA +
1.00% (b) (e)
|
4.77%
|
05/25/58
|
1,507,832
|
|
|
1,973,236
|
Series 2022-1, Class A1 (e)
|
3.75%
|
07/25/62
|
1,874,936
|
|
|
1,705,976
|
Series 2022-2, Class A1 (e)
|
3.75%
|
07/01/62
|
1,609,038
|
|
|
3,413,068
|
Series 2022-3, Class A1 (e)
|
3.75%
|
08/01/62
|
3,229,451
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Collateralized Mortgage Obligations (Continued)
|
|
|||
|
|
TRK Trust
|
|
|
|
|
|
$2,748,616
|
Series 2021-INV1, Class A1 (e)
|
1.15%
|
07/25/56
|
$2,489,048
|
|
|
2,103,702
|
Series 2022-INV1, Class A1 (e)
|
2.58%
|
02/25/57
|
1,971,564
|
|
|
|
Verus Securitization Trust
|
|
|
|
|
|
2,282,260
|
Series 2022-1, Class A1 (e)
|
3.72%
|
01/25/67
|
2,158,838
|
|
|
2,304,839
|
Series 2022-2, Class A1 (a) (e)
|
4.26%
|
02/25/67
|
2,225,322
|
|
|
|
Vista Point Securitization Trust
|
|
|
|
|
|
1,609,911
|
Series 2020-1, Class M1 (e)
|
4.15%
|
03/25/65
|
1,603,167
|
|
|
|
Wells Fargo Mortgage Backed Securities Trust
|
|
|
|
|
|
2,111,024
|
Series 2018-1, Class B1 (e) (g)
|
3.64%
|
07/25/47
|
2,005,658
|
|
|
113,677
|
Series 2019-1, Class A1 (e)
|
3.92%
|
11/25/48
|
107,647
|
|
|
|
|
357,496,637
|
|||
|
|
Commercial Mortgage-Backed Securities — 5.0%
|
|
|||
|
|
2023-MIC Trust (The)
|
|
|
|
|
|
2,330,000
|
Series 2023-MIC, Class A (e) (g)
|
8.73%
|
12/05/38
|
2,483,036
|
|
|
|
Arbor Multifamily Mortgage Securities Trust
|
|
|
|
|
|
6,000,000
|
Series 2020-MF1, Class A4 (e)
|
2.50%
|
05/15/53
|
5,595,272
|
|
|
125,000
|
Series 2020-MF1, Class AS (e)
|
3.06%
|
05/15/53
|
116,474
|
|
|
3,130,637
|
Series 2020-MF1, Class XA, IO (e) (g)
|
1.04%
|
05/15/53
|
92,590
|
|
|
1,860,000
|
Series 2021-MF2, Class A4 (e)
|
2.25%
|
06/15/54
|
1,665,921
|
|
|
|
BANK
|
|
|
|
|
|
28,396,729
|
Series 2019-BN19, Class XA, IO (g)
|
1.07%
|
08/15/61
|
711,719
|
|
|
325,000
|
Series 2020-BN26, Class A3
|
2.16%
|
03/15/63
|
300,488
|
|
|
4,771,694
|
Series 2020-BN26, Class XA, IO (g)
|
1.31%
|
03/15/63
|
158,556
|
|
|
1,486,830
|
Series 2020-BN29, Class A4
|
2.00%
|
11/15/53
|
1,313,933
|
|
|
6,853,467
|
Series 2020-BN29, Class XA, IO (g)
|
1.40%
|
11/15/53
|
323,181
|
|
|
53,373,157
|
Series 2025-BNK49, Class XA, IO (g)
|
0.83%
|
03/15/58
|
2,433,757
|
|
|
|
BBCMS Mortgage Trust
|
|
|
|
|
|
3,772,000
|
Series 2018-TALL, Class A, 1 Mo. CME Term SOFR + CSA +
0.87% (b) (e)
|
4.57%
|
03/15/37
|
3,570,647
|
|
|
2,800,000
|
Series 2020-C8, Class A5
|
2.04%
|
10/15/53
|
2,505,611
|
|
|
51,801,963
|
Series 2025-C35, Class XA, IO (g)
|
0.86%
|
07/15/58
|
2,543,290
|
|
|
|
Benchmark Mortgage Trust
|
|
|
|
|
|
8,610,797
|
Series 2020-B21, Class XA, IO (g)
|
1.51%
|
12/17/53
|
429,543
|
|
|
2,700,000
|
Series 2021-B25, Class A4
|
2.27%
|
04/15/54
|
2,467,633
|
|
|
|
BMO Mortgage Trust
|
|
|
|
|
|
115,000
|
Series 2023-C6, Class ASB
|
6.21%
|
09/15/56
|
121,741
|
|
|
2,250,000
|
Series 2023-C7, Class A5
|
6.16%
|
12/15/56
|
2,384,471
|
|
|
5,823,886
|
Series 2024-5C3, Class XA, IO (g)
|
1.35%
|
02/15/57
|
151,781
|
|
|
665,000
|
Series 2025-C11, Class ASB
|
5.68%
|
02/15/58
|
696,230
|
|
|
3,091,000
|
Series 2025-C12, Class ASB
|
5.76%
|
06/15/58
|
3,235,367
|
|
|
35,988,476
|
Series 2025-C13, Class XA, IO (g)
|
1.22%
|
10/15/58
|
2,723,946
|
|
|
|
BOCA Commercial Mortgage Trust
|
|
|
|
|
|
1,350,000
|
Series 2025-BOCA, Class A, 1 Mo. CME Term SOFR +
1.60% (b) (e)
|
5.25%
|
12/15/42
|
1,353,844
|
|
|
|
BSTN Commercial Mortgage Trust
|
|
|
|
|
|
1,749,000
|
Series 2025-1C, Class A (e) (g)
|
5.55%
|
06/15/44
|
1,784,683
|
|
|
|
BWAY Trust
|
|
|
|
|
|
2,190,000
|
Series 2025-1535, Class A (e) (g)
|
6.52%
|
05/05/42
|
2,216,819
|
|
|
765,000
|
Series 2025-1535, Class B (e) (g)
|
7.71%
|
05/05/42
|
795,499
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Commercial Mortgage-Backed Securities (Continued)
|
|
|||
|
|
BX Commercial Mortgage Trust
|
|
|
|
|
|
$3,081,000
|
Series 2020-VIV4, Class A (e)
|
2.84%
|
03/09/44
|
$2,865,226
|
|
|
1,215,000
|
Series 2026-CSMO, Class A, 1 Mo. CME Term SOFR +
1.40% (b) (e)
|
5.05%
|
02/15/43
|
1,217,536
|
|
|
|
BX Trust
|
|
|
|
|
|
4,000,000
|
Series 2025-DELC, Class A, 1 Mo. CME Term SOFR +
1.55% (b) (e)
|
5.20%
|
12/15/42
|
4,009,975
|
|
|
2,000,000
|
Series 2025-GW, Class A, 1 Mo. CME Term SOFR +
1.60% (b) (e)
|
5.26%
|
07/15/42
|
2,004,210
|
|
|
2,438,000
|
Series 2025-VOLT, Class A, 1 Mo. CME Term SOFR +
1.70% (b) (e)
|
5.35%
|
12/15/44
|
2,440,717
|
|
|
|
Cantor Commercial Real Estate Lending
|
|
|
|
|
|
1,449,083
|
Series 2019-CF1, Class A2
|
3.62%
|
05/15/52
|
1,431,695
|
|
|
|
CFCRE Commercial Mortgage Trust
|
|
|
|
|
|
33,679
|
Series 2017-C8, Class ASB
|
3.37%
|
06/15/50
|
33,605
|
|
|
|
CHI Commercial Mortgage Trust
|
|
|
|
|
|
2,230,000
|
Series 2025-SFT, Class A (e) (g)
|
5.66%
|
04/15/42
|
2,263,702
|
|
|
62,200,000
|
Series 2025-SFT, Class XA, IO (e) (g)
|
0.31%
|
04/15/42
|
508,311
|
|
|
|
Citigroup Commercial Mortgage Trust
|
|
|
|
|
|
573,971
|
Series 2018-C5, Class A3
|
3.96%
|
06/10/51
|
569,599
|
|
|
563,004
|
Series 2019-GC43, Class AAB
|
2.96%
|
11/10/52
|
548,026
|
|
|
1,310,000
|
Series 2020-420K, Class A (e)
|
2.46%
|
11/10/42
|
1,175,917
|
|
|
|
COMM Mortgage Trust
|
|
|
|
|
|
7,850,000
|
Series 2024-277P, Class X, IO (e) (g)
|
0.89%
|
08/10/44
|
169,821
|
|
|
|
Credit Suisse Mortgage Trust
|
|
|
|
|
|
1,420,000
|
Series 2019-UVIL, Class A (e)
|
3.16%
|
12/15/41
|
1,335,421
|
|
|
|
Deutsche Bank Commercial Mortgage Trust
|
|
|
|
|
|
400,000
|
Series 2020-C9, Class A5
|
1.93%
|
08/15/53
|
358,452
|
|
|
|
Fashion Show Mall LLC
|
|
|
|
|
|
1,400,000
|
Series 2024-SHOW, Class A (e) (g)
|
5.27%
|
10/10/41
|
1,411,576
|
|
|
|
FREMF Mortgage Trust
|
|
|
|
|
|
319,506,507
|
Series 2018-K156, Class X2A, IO (e)
|
0.10%
|
07/25/36
|
1,474,874
|
|
|
|
GGP Trust
|
|
|
|
|
|
4,250,000
|
Series 2026-2PAK, Class A (g) (i)
|
6.03%
|
04/10/43
|
4,239,260
|
|
|
|
GS Mortgage Securities Trust
|
|
|
|
|
|
172,925
|
Series 2017-GS5, Class AAB
|
3.47%
|
03/10/50
|
172,503
|
|
|
1,747,643
|
Series 2019-GC39, Class XA, IO (g)
|
1.22%
|
05/10/52
|
47,748
|
|
|
975,000
|
Series 2024-FAIR, Class A (e) (g)
|
6.07%
|
07/15/29
|
993,189
|
|
|
|
Hilton USA Trust
|
|
|
|
|
|
1,395,000
|
Series 2016-HHV, Class A (e)
|
3.72%
|
11/05/38
|
1,389,395
|
|
|
1,700,000
|
Series 2025-NVIL, Class A, 1 Mo. CME Term SOFR +
1.74% (b) (e)
|
5.40%
|
07/15/42
|
1,705,358
|
|
|
|
Houston Galleria Mall Trust
|
|
|
|
|
|
2,750,000
|
Series 2025-HGLR, Class A (e) (g)
|
5.64%
|
02/05/45
|
2,817,532
|
|
|
|
INT Commercial Mortgage Trust
|
|
|
|
|
|
1,500,000
|
Series 2025-PLAZA, Class A (e) (g)
|
5.04%
|
11/05/37
|
1,500,006
|
|
|
|
JP Morgan Chase Commercial Mortgage Securities Trust
|
|
|
|
|
|
3,085,000
|
Series 2025-PHNY, Class A, 1 Mo. CME Term SOFR +
1.64% (b) (e)
|
5.30%
|
01/15/41
|
3,091,176
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Commercial Mortgage-Backed Securities (Continued)
|
|
|||
|
|
JW Trust
|
|
|
|
|
|
$1,240,000
|
Series 2024-BERY, Class A, 1 Mo. CME Term SOFR +
1.59% (b) (e)
|
5.25%
|
11/15/39
|
$1,243,854
|
|
|
|
KRE Commercial Mortgage Trust
|
|
|
|
|
|
3,330,250
|
Series 2026-ICNA, Class A, 1 Mo. CME Term SOFR +
1.85% (b) (e)
|
5.50%
|
05/15/43
|
3,345,013
|
|
|
|
Morgan Stanley Capital I Trust
|
|
|
|
|
|
5,588,349
|
Series 2019-L2, Class XA, IO (g)
|
1.16%
|
03/15/52
|
128,870
|
|
|
|
MSWF Commercial Mortgage Trust
|
|
|
|
|
|
40,300,101
|
Series 2023-1, Class XA, IO (g)
|
1.09%
|
05/15/56
|
1,887,044
|
|
|
|
NRTH Commercial Mortgage Trust
|
|
|
|
|
|
1,313,500
|
Series 2025-PARK, Class A, 1 Mo. CME Term SOFR +
1.39% (b) (e)
|
5.05%
|
10/15/40
|
1,314,512
|
|
|
|
NY Commercial Mortgage Trust
|
|
|
|
|
|
1,520,000
|
Series 2025-299P, Class A (e) (g)
|
5.85%
|
02/10/47
|
1,579,014
|
|
|
|
NYO Commercial Mortgage Trust
|
|
|
|
|
|
3,100,000
|
Series 2021-1290, Class A, 1 Mo. CME Term SOFR + CSA +
1.10% (b) (e)
|
4.86%
|
11/15/38
|
3,098,961
|
|
|
|
SFO Commercial Mortgage Trust
|
|
|
|
|
|
3,288,100
|
Series 2021-555, Class A, 1 Mo. CME Term SOFR + CSA +
1.15% (b) (e)
|
4.92%
|
05/15/38
|
3,288,665
|
|
|
|
SHOPS Commercial Mortgage Trust
|
|
|
|
|
|
2,700,000
|
Series 2026-CSTL, Class A (e) (g) (i)
|
4.97%
|
05/15/39
|
2,689,311
|
|
|
|
SKY Trust
|
|
|
|
|
|
3,691,315
|
Series 2025-LINE, Class A, 1 Mo. CME Term SOFR +
2.59% (b) (e)
|
6.24%
|
04/15/42
|
3,707,853
|
|
|
|
SWCH Commercial Mortgage Trust
|
|
|
|
|
|
2,745,000
|
Series 2025-DATA, Class A, 1 Mo. CME Term SOFR +
1.44% (b) (e)
|
5.10%
|
02/15/42
|
2,724,918
|
|
|
|
UBS Commercial Mortgage Trust
|
|
|
|
|
|
22,062,029
|
Series 2019-C17, Class XA, IO (g)
|
1.58%
|
10/15/52
|
877,866
|
|
|
|
Wells Fargo Commercial Mortgage Trust
|
|
|
|
|
|
12,399,885
|
Series 2017-C41, Class XA, IO (g)
|
1.29%
|
11/15/50
|
148,719
|
|
|
2,737,274
|
Series 2018-C47, Class AS
|
4.67%
|
09/15/61
|
2,714,445
|
|
|
22,902,866
|
Series 2019-C49, Class XA, IO (g)
|
1.38%
|
03/15/52
|
646,612
|
|
|
420,196
|
Series 2020-C58, Class A3
|
1.81%
|
07/15/53
|
378,553
|
|
|
2,950,000
|
Series 2022-C62, Class A4
|
4.00%
|
04/15/55
|
2,812,693
|
|
|
2,550,000
|
Series 2025-B33RP, Class A, 1 Mo. CME Term SOFR +
1.35% (b) (e)
|
5.00%
|
08/15/42
|
2,551,350
|
|
|
|
WHARF Commercial Mortgage Trust
|
|
|
|
|
|
2,175,000
|
Series 2025-DC, Class A (e) (g)
|
5.53%
|
07/15/40
|
2,215,271
|
|
|
|
|
119,304,386
|
|||
|
|
Total Mortgage-Backed Securities
|
476,801,023
|
|||
|
|
(Cost $474,491,630)
|
|
|||
|
CORPORATE BONDS AND NOTES — 19.5%
|
|||||
|
|
Aerospace/Defense — 0.3%
|
|
|||
|
1,500,000
|
Boeing (The) Co.
|
6.63%
|
02/15/38
|
1,643,977
|
|
|
1,750,000
|
Boeing (The) Co.
|
3.55%
|
03/01/38
|
1,450,965
|
|
|
3,000,000
|
Boeing (The) Co.
|
5.81%
|
05/01/50
|
2,925,219
|
|
|
|
|
6,020,161
|
|||
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
CORPORATE BONDS AND NOTES (Continued)
|
|||||
|
|
Banks — 2.9%
|
|
|||
|
$3,170,000
|
Bank of America Corp. (j)
|
4.57%
|
04/27/33
|
$3,120,394
|
|
|
3,000,000
|
Bank of America Corp. (j)
|
4.08%
|
03/20/51
|
2,341,076
|
|
|
3,000,000
|
Citigroup, Inc. (j)
|
4.91%
|
05/24/33
|
2,993,307
|
|
|
5,000,000
|
Fifth Third Bancorp (j)
|
4.34%
|
04/25/33
|
4,828,581
|
|
|
5,000,000
|
Fifth Third Bancorp (j)
|
5.14%
|
01/29/37
|
4,884,540
|
|
|
2,500,000
|
Goldman Sachs Group (The), Inc. (j)
|
4.52%
|
01/21/32
|
2,464,152
|
|
|
2,500,000
|
Goldman Sachs Group (The), Inc. (j)
|
3.10%
|
02/24/33
|
2,264,204
|
|
|
5,000,000
|
Goldman Sachs Group (The), Inc. (j)
|
5.33%
|
07/23/35
|
5,020,388
|
|
|
4,500,000
|
Huntington Bancshares, Inc. (j)
|
5.02%
|
05/17/33
|
4,487,381
|
|
|
6,500,000
|
Huntington Bancshares, Inc. (j)
|
5.71%
|
02/02/35
|
6,654,205
|
|
|
2,940,000
|
JPMorgan Chase & Co. (j)
|
4.91%
|
07/25/33
|
2,949,358
|
|
|
2,500,000
|
JPMorgan Chase & Co. (j)
|
5.53%
|
11/29/45
|
2,465,275
|
|
|
2,450,000
|
Morgan Stanley (j)
|
6.34%
|
10/18/33
|
2,626,521
|
|
|
10,000,000
|
Morgan Stanley (j)
|
5.25%
|
04/21/34
|
10,103,053
|
|
|
2,500,000
|
Wells Fargo & Co. (j)
|
4.90%
|
07/25/33
|
2,495,594
|
|
|
3,500,000
|
Zions Bancorp N.A. (j)
|
4.70%
|
08/18/28
|
3,499,947
|
|
|
4,500,000
|
Zions Bancorp N.A. (j)
|
4.48%
|
02/09/29
|
4,477,902
|
|
|
|
|
67,675,878
|
|||
|
|
Beverages — 0.2%
|
|
|||
|
2,500,000
|
Constellation Brands, Inc.
|
4.95%
|
11/01/35
|
2,429,227
|
|
|
425,000
|
Constellation Brands, Inc.
|
4.50%
|
05/09/47
|
350,869
|
|
|
820,000
|
Constellation Brands, Inc.
|
5.25%
|
11/15/48
|
745,440
|
|
|
1,145,000
|
Molson Coors Beverage Co.
|
4.20%
|
07/15/46
|
899,268
|
|
|
|
|
4,424,804
|
|||
|
|
Biotechnology — 0.6%
|
|
|||
|
11,000,000
|
Biogen, Inc.
|
5.75%
|
05/15/35
|
11,460,263
|
|
|
3,500,000
|
Illumina, Inc.
|
4.75%
|
12/12/30
|
3,487,813
|
|
|
|
|
14,948,076
|
|||
|
|
Building Materials — 0.1%
|
|
|||
|
2,500,000
|
JH North America Holdings, Inc. (e)
|
6.13%
|
07/31/32
|
2,507,223
|
|
|
|
Commercial Services — 1.4%
|
|
|||
|
2,000,000
|
Ashtead Capital, Inc. (e)
|
5.50%
|
08/11/32
|
2,043,988
|
|
|
14,605,000
|
Ashtead Capital, Inc. (e)
|
5.80%
|
04/15/34
|
14,990,851
|
|
|
5,000,000
|
Global Payments, Inc.
|
5.20%
|
11/15/32
|
4,887,319
|
|
|
5,000,000
|
Global Payments, Inc.
|
5.55%
|
11/15/35
|
4,825,301
|
|
|
4,765,000
|
United Rentals North America, Inc. (e)
|
6.00%
|
12/15/29
|
4,849,565
|
|
|
2,000,000
|
Verisk Analytics, Inc.
|
5.25%
|
03/15/35
|
1,983,932
|
|
|
510,000
|
Verisk Analytics, Inc.
|
5.50%
|
06/15/45
|
477,859
|
|
|
|
|
34,058,815
|
|||
|
|
Computers — 0.4%
|
|
|||
|
4,550,000
|
Crowdstrike Holdings, Inc.
|
3.00%
|
02/15/29
|
4,338,239
|
|
|
2,500,000
|
Dell International LLC / EMC Corp.
|
5.30%
|
04/01/32
|
2,549,405
|
|
|
2,500,000
|
Dell International LLC / EMC Corp.
|
4.75%
|
10/06/32
|
2,473,098
|
|
|
|
|
9,360,742
|
|||
|
|
Diversified Financial Services — 1.5%
|
|
|||
|
4,000,000
|
Citadel Securities Global Holdings LLC (e)
|
5.50%
|
06/18/30
|
4,071,554
|
|
|
2,000,000
|
LPL Holdings, Inc.
|
5.15%
|
06/15/30
|
2,015,521
|
|
|
5,000,000
|
LSEG U.S. Fin Corp. (e)
|
4.50%
|
03/23/31
|
4,958,117
|
|
|
6,833,000
|
LSEG U.S. Fin Corp. (e)
|
5.25%
|
03/23/36
|
6,811,813
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
CORPORATE BONDS AND NOTES (Continued)
|
|||||
|
|
Diversified Financial Services (Continued)
|
|
|||
|
$9,750,000
|
Rocket Cos., Inc. (e)
|
6.38%
|
08/01/33
|
$9,881,089
|
|
|
3,500,000
|
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc. (e)
|
3.88%
|
03/01/31
|
3,251,408
|
|
|
5,586,000
|
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc. (e)
|
4.00%
|
10/15/33
|
5,037,187
|
|
|
|
|
36,026,689
|
|||
|
|
Electric — 1.9%
|
|
|||
|
500,000
|
DTE Electric Co.
|
5.85%
|
05/15/55
|
499,685
|
|
|
2,340,000
|
Duke Energy Carolinas LLC
|
5.30%
|
02/15/40
|
2,322,601
|
|
|
1,000,000
|
Duke Energy Progress LLC
|
5.55%
|
03/15/55
|
958,484
|
|
|
3,155,000
|
Florida Power & Light Co.
|
5.30%
|
04/01/53
|
2,960,260
|
|
|
5,000,000
|
Indiana Michigan Power Co.
|
5.60%
|
03/15/56
|
4,843,686
|
|
|
5,963,000
|
MidAmerican Energy Co.
|
5.50%
|
11/15/56
|
5,706,355
|
|
|
3,000,000
|
Northern States Power Co.
|
5.65%
|
05/15/55
|
2,949,307
|
|
|
3,500,000
|
NRG Energy, Inc. (e)
|
4.73%
|
10/15/30
|
3,464,468
|
|
|
5,000,000
|
NRG Energy, Inc. (e)
|
5.41%
|
10/15/35
|
4,906,737
|
|
|
4,000,000
|
Virginia Electric and Power Co.
|
5.70%
|
03/15/56
|
3,858,989
|
|
|
3,500,000
|
Virginia Electric and Power Co., Series D
|
5.60%
|
09/15/55
|
3,324,520
|
|
|
750,000
|
Vistra Operations Co. LLC (e)
|
4.60%
|
10/15/30
|
736,579
|
|
|
8,500,000
|
Vistra Operations Co. LLC (e)
|
5.70%
|
12/30/34
|
8,588,774
|
|
|
|
|
45,120,445
|
|||
|
|
Electrical Components & Equipments — 0.2%
|
|
|||
|
4,500,000
|
Molex Electronic Technologies LLC (e)
|
5.25%
|
04/30/32
|
4,583,809
|
|
|
|
Engineering & Construction — 0.4%
|
|
|||
|
5,000,000
|
Jacobs Solutions, Inc.
|
4.75%
|
03/03/31
|
4,949,230
|
|
|
5,000,000
|
Jacobs Solutions, Inc.
|
5.38%
|
03/03/36
|
4,857,329
|
|
|
|
|
9,806,559
|
|||
|
|
Environmental Control — 0.0%
|
|
|||
|
1,000,000
|
Waste Management, Inc.
|
5.35%
|
10/15/54
|
953,626
|
|
|
|
Food — 0.7%
|
|
|||
|
1,470,000
|
Campbell’s (The) Co.
|
5.40%
|
03/21/34
|
1,429,912
|
|
|
4,143,000
|
Conagra Brands, Inc.
|
5.75%
|
08/01/35
|
4,169,485
|
|
|
970,000
|
Conagra Brands, Inc.
|
5.30%
|
11/01/38
|
904,357
|
|
|
4,500,000
|
Conagra Brands, Inc.
|
5.40%
|
11/01/48
|
3,853,034
|
|
|
1,000,000
|
Kraft Heinz Foods Co.
|
5.20%
|
03/15/32
|
1,013,822
|
|
|
3,335,000
|
Kraft Heinz Foods Co.
|
5.00%
|
06/04/42
|
2,950,364
|
|
|
3,500,000
|
Mars, Inc. (e)
|
5.70%
|
05/01/55
|
3,407,998
|
|
|
|
|
17,728,972
|
|||
|
|
Food Service — 0.2%
|
|
|||
|
5,375,000
|
Sodexo, Inc. (e)
|
5.80%
|
08/15/35
|
5,483,497
|
|
|
|
Healthcare-Products — 1.6%
|
|
|||
|
5,000,000
|
180 Medical, Inc. (e)
|
5.30%
|
10/08/35
|
4,898,031
|
|
|
2,265,000
|
Alcon Finance Corp. (e)
|
5.75%
|
12/06/52
|
2,230,470
|
|
|
5,000,000
|
Augusta SpinCo Corp.
|
4.66%
|
03/23/31
|
4,990,245
|
|
|
5,000,000
|
Augusta SpinCo Corp.
|
4.95%
|
03/23/33
|
4,977,122
|
|
|
13,000,000
|
Medline Borrower, L.P. (e)
|
3.88%
|
04/01/29
|
12,636,811
|
|
|
4,555,000
|
Solventum Corp.
|
5.60%
|
03/23/34
|
4,658,014
|
|
|
2,962,000
|
Solventum Corp.
|
5.90%
|
04/30/54
|
2,875,010
|
|
|
|
|
37,265,703
|
|||
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
CORPORATE BONDS AND NOTES (Continued)
|
|||||
|
|
Healthcare-Services — 1.9%
|
|
|||
|
$2,360,000
|
Centene Corp.
|
4.25%
|
12/15/27
|
$2,347,220
|
|
|
2,250,000
|
Centene Corp.
|
3.00%
|
10/15/30
|
2,024,005
|
|
|
975,000
|
Charles River Laboratories International, Inc. (e)
|
3.75%
|
03/15/29
|
932,951
|
|
|
4,000,000
|
Cigna Group (The)
|
4.80%
|
08/15/38
|
3,763,451
|
|
|
1,750,000
|
Cigna Group (The)
|
4.80%
|
07/15/46
|
1,520,121
|
|
|
3,500,000
|
Cigna Group (The)
|
6.00%
|
01/15/56
|
3,501,715
|
|
|
1,475,000
|
Elevance Health, Inc.
|
4.65%
|
01/15/43
|
1,292,729
|
|
|
525,000
|
Elevance Health, Inc.
|
5.13%
|
02/15/53
|
462,713
|
|
|
3,500,000
|
Elevance Health, Inc.
|
5.70%
|
09/15/55
|
3,362,969
|
|
|
4,864,000
|
HCA, Inc.
|
4.90%
|
11/15/35
|
4,710,048
|
|
|
3,585,000
|
HCA, Inc.
|
4.63%
|
03/15/52
|
2,853,373
|
|
|
65,000
|
IQVIA, Inc. (e)
|
5.70%
|
05/15/28
|
66,221
|
|
|
3,000,000
|
IQVIA, Inc.
|
5.70%
|
05/15/28
|
3,056,370
|
|
|
365,000
|
UnitedHealth Group, Inc.
|
5.88%
|
02/15/53
|
362,077
|
|
|
3,000,000
|
UnitedHealth Group, Inc.
|
5.95%
|
06/15/55
|
3,039,907
|
|
|
2,000,000
|
Universal Health Services, Inc.
|
4.63%
|
10/15/29
|
1,987,841
|
|
|
4,710,000
|
Universal Health Services, Inc.
|
2.65%
|
10/15/30
|
4,256,771
|
|
|
5,000,000
|
Universal Health Services, Inc.
|
5.05%
|
10/15/34
|
4,816,024
|
|
|
|
|
44,356,506
|
|||
|
|
Insurance — 1.6%
|
|
|||
|
395,000
|
Arthur J. Gallagher & Co.
|
6.50%
|
02/15/34
|
426,755
|
|
|
1,330,000
|
Arthur J. Gallagher & Co.
|
5.15%
|
02/15/35
|
1,318,280
|
|
|
380,000
|
Arthur J. Gallagher & Co.
|
6.75%
|
02/15/54
|
409,980
|
|
|
3,805,000
|
Arthur J. Gallagher & Co.
|
5.55%
|
02/15/55
|
3,540,792
|
|
|
7,115,000
|
Brown & Brown, Inc.
|
4.20%
|
03/17/32
|
6,752,845
|
|
|
3,245,000
|
Brown & Brown, Inc.
|
5.65%
|
06/11/34
|
3,280,309
|
|
|
1,000,000
|
Brown & Brown, Inc.
|
4.95%
|
03/17/52
|
829,423
|
|
|
5,000,000
|
Brown & Brown, Inc.
|
6.25%
|
06/23/55
|
4,975,584
|
|
|
5,000,000
|
Ryan Specialty LLC (e)
|
4.38%
|
02/01/30
|
4,858,450
|
|
|
11,053,000
|
Ryan Specialty LLC (e)
|
5.88%
|
08/01/32
|
11,057,273
|
|
|
|
|
37,449,691
|
|||
|
|
Internet — 0.2%
|
|
|||
|
3,855,000
|
AppLovin Corp.
|
5.38%
|
12/01/31
|
3,894,123
|
|
|
|
Lodging — 0.1%
|
|
|||
|
3,250,000
|
Hyatt Hotels Corp.
|
5.75%
|
03/30/32
|
3,365,458
|
|
|
|
Media — 0.6%
|
|
|||
|
6,500,000
|
Charter Communications Operating LLC / Charter Communications
Operating Capital
|
5.85%
|
12/01/35
|
6,345,841
|
|
|
8,500,000
|
FactSet Research Systems, Inc.
|
3.45%
|
03/01/32
|
7,708,152
|
|
|
|
|
14,053,993
|
|||
|
|
Packaging & Containers — 0.2%
|
|
|||
|
2,000,000
|
Amcor Flexibles North America, Inc.
|
5.10%
|
03/17/30
|
2,024,497
|
|
|
3,000,000
|
Amcor Flexibles North America, Inc.
|
5.50%
|
03/17/35
|
3,046,381
|
|
|
45,000
|
Berry Global, Inc. (e)
|
5.50%
|
04/15/28
|
45,848
|
|
|
300,000
|
Berry Global, Inc.
|
5.65%
|
01/15/34
|
307,643
|
|
|
|
|
5,424,369
|
|||
|
|
Pharmaceuticals — 0.2%
|
|
|||
|
5,000,000
|
CVS Health Corp.
|
6.20%
|
09/15/55
|
4,979,519
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
CORPORATE BONDS AND NOTES (Continued)
|
|||||
|
|
Real Estate — 0.2%
|
|
|||
|
$4,000,000
|
CoStar Group, Inc. (e)
|
2.80%
|
07/15/30
|
$3,634,630
|
|
|
|
Real Estate Investment Trusts — 0.4%
|
|
|||
|
1,295,000
|
VICI Properties, L.P.
|
4.95%
|
02/15/30
|
1,295,477
|
|
|
8,500,000
|
VICI Properties, L.P.
|
5.13%
|
05/15/32
|
8,430,135
|
|
|
|
|
9,725,612
|
|||
|
|
Software — 0.9%
|
|
|||
|
850,000
|
Atlassian Corp.
|
5.50%
|
05/15/34
|
829,908
|
|
|
905,000
|
Fidelity National Information Services, Inc.
|
3.10%
|
03/01/41
|
654,430
|
|
|
550,000
|
MSCI, Inc. (e)
|
4.00%
|
11/15/29
|
534,394
|
|
|
8,065,000
|
MSCI, Inc. (e)
|
3.88%
|
02/15/31
|
7,660,355
|
|
|
2,667,000
|
MSCI, Inc.
|
5.25%
|
09/01/35
|
2,626,593
|
|
|
3,500,000
|
MSCI, Inc.
|
5.15%
|
03/15/36
|
3,392,692
|
|
|
2,500,000
|
Salesforce, Inc.
|
4.90%
|
09/15/31
|
2,493,239
|
|
|
2,500,000
|
Salesforce, Inc.
|
5.55%
|
03/15/36
|
2,494,032
|
|
|
|
|
20,685,643
|
|||
|
|
Telecommunications — 0.4%
|
|
|||
|
2,000,000
|
AT&T, Inc.
|
5.55%
|
11/01/45
|
1,878,887
|
|
|
405,000
|
AT&T, Inc.
|
4.75%
|
05/15/46
|
340,074
|
|
|
2,000,000
|
AT&T, Inc.
|
5.70%
|
11/01/54
|
1,856,570
|
|
|
5,000
|
AT&T, Inc.
|
3.65%
|
09/15/59
|
3,200
|
|
|
6,667,000
|
QTS Fayetteville I DC1-2 LLC / QTS TRS Fayetteville I DC1-
2 LLC (e)
|
5.70%
|
04/15/36
|
6,486,885
|
|
|
|
|
10,565,616
|
|||
|
|
Transportation — 0.2%
|
|
|||
|
5,500,000
|
FedEx Corp.
|
4.55%
|
04/01/46
|
4,578,768
|
|
|
|
Water — 0.2%
|
|
|||
|
4,333,000
|
American Water Capital Corp.
|
5.70%
|
09/01/55
|
4,240,749
|
|
|
|
Total Corporate Bonds and Notes
|
462,919,676
|
|||
|
|
(Cost $467,482,993)
|
|
|||
|
U.S. GOVERNMENT BONDS AND NOTES — 18.4%
|
|||||
|
1,500,000
|
U.S. Treasury Bond
|
3.00%
|
11/15/45
|
1,123,828
|
|
|
1,136,000
|
U.S. Treasury Bond
|
3.25%
|
05/15/42
|
930,300
|
|
|
3,900,000
|
U.S. Treasury Bond
|
4.63%
|
11/15/44
|
3,741,029
|
|
|
2,564,000
|
U.S. Treasury Bond
|
2.50%
|
02/15/46
|
1,751,833
|
|
|
1,800,000
|
U.S. Treasury Bond
|
4.63%
|
02/15/46
|
1,719,141
|
|
|
1,938,000
|
U.S. Treasury Bond
|
2.25%
|
08/15/46
|
1,251,600
|
|
|
1,282,000
|
U.S. Treasury Bond
|
2.88%
|
11/15/46
|
928,398
|
|
|
2,000,000
|
U.S. Treasury Bond
|
3.00%
|
02/15/48
|
1,459,375
|
|
|
4,000,000
|
U.S. Treasury Bond
|
3.13%
|
05/15/48
|
2,978,750
|
|
|
3,000,000
|
U.S. Treasury Bond
|
3.00%
|
08/15/48
|
2,176,992
|
|
|
2,076,000
|
U.S. Treasury Bond
|
2.00%
|
02/15/50
|
1,194,997
|
|
|
14,600,000
|
U.S. Treasury Bond
|
1.38%
|
08/15/50
|
7,055,906
|
|
|
13,300,000
|
U.S. Treasury Bond
|
1.63%
|
11/15/50
|
6,856,773
|
|
|
300,000
|
U.S. Treasury Bond
|
4.00%
|
11/15/52
|
254,678
|
|
|
3,100,000
|
U.S. Treasury Bond
|
4.25%
|
02/15/54
|
2,742,471
|
|
|
3,100,000
|
U.S. Treasury Bond
|
4.63%
|
05/15/54
|
2,919,268
|
|
|
6,700,000
|
U.S. Treasury Bond
|
4.50%
|
11/15/54
|
6,182,059
|
|
|
2,000,000
|
U.S. Treasury Bond
|
4.63%
|
02/15/55
|
1,884,102
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
U.S. GOVERNMENT BONDS AND NOTES (Continued)
|
|||||
|
$24,500,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
11/15/33
|
$17,776,012
|
|
|
9,800,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
02/15/34
|
7,017,450
|
|
|
15,100,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
05/15/34
|
10,682,324
|
|
|
24,800,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
08/15/34
|
17,317,852
|
|
|
30,455,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
11/15/34
|
20,996,352
|
|
|
21,100,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
02/15/35
|
14,366,532
|
|
|
21,500,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
05/15/35
|
14,456,021
|
|
|
22,750,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
08/15/35
|
15,099,421
|
|
|
10,500,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
11/15/35
|
6,875,248
|
|
|
4,280,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
02/15/36
|
2,764,483
|
|
|
16,100,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
05/15/36
|
10,255,467
|
|
|
18,600,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
08/15/36
|
11,681,957
|
|
|
4,000,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
11/15/36
|
2,479,546
|
|
|
6,500,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
02/15/37
|
3,970,769
|
|
|
11,700,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
05/15/37
|
7,049,019
|
|
|
27,400,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
05/15/38
|
15,557,311
|
|
|
26,800,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
08/15/38
|
14,996,728
|
|
|
30,000,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
02/15/39
|
16,299,818
|
|
|
30,575,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
05/15/39
|
16,361,854
|
|
|
6,000,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
08/15/39
|
3,160,127
|
|
|
10,000,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
11/15/39
|
5,188,199
|
|
|
25,700,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
02/15/40
|
13,115,947
|
|
|
27,071,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
05/15/40
|
13,616,291
|
|
|
11,000,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
08/15/40
|
5,443,292
|
|
|
8,000,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
11/15/40
|
3,896,957
|
|
|
1,000,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
02/15/41
|
479,679
|
|
|
14,600,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
11/15/41
|
6,693,043
|
|
|
7,000,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
08/15/42
|
3,122,513
|
|
|
8,000,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
11/15/42
|
3,512,354
|
|
|
2,000,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
11/15/43
|
812,302
|
|
|
2,100,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
08/15/44
|
815,750
|
|
|
1,900,000
|
U.S. Treasury Bond, STRIPS
|
(d)
|
11/15/44
|
728,095
|
|
|
10,800,000
|
U.S. Treasury Inflation Indexed Bond
|
2.13%
|
04/15/29
|
11,763,942
|
|
|
11,300,000
|
U.S. Treasury Inflation Indexed Bond
|
1.63%
|
10/15/29
|
11,985,694
|
|
|
41,000,000
|
U.S. Treasury Note
|
3.50%
|
02/15/29
|
40,561,172
|
|
|
28,000,000
|
U.S. Treasury Note
|
3.50%
|
03/15/29
|
27,694,844
|
|
|
10,000,000
|
U.S. Treasury Note
|
3.88%
|
04/15/29
|
9,990,234
|
|
|
1,000,000
|
U.S. Treasury Note
|
4.00%
|
06/30/32
|
992,266
|
|
|
|
Total U.S. Government Bonds and Notes
|
436,728,365
|
|||
|
|
(Cost $443,002,721)
|
|
|||
|
ASSET-BACKED SECURITIES — 6.2%
|
|||||
|
|
AGL CLO 32 Ltd.
|
||||
|
400,000
|
Series 2024-32A, Class A1, 3 Mo. CME Term SOFR +
1.38% (b) (e)
|
5.05%
|
07/21/37
|
401,062
|
|
|
|
AIMCO CLO 17 Ltd.
|
||||
|
590,000
|
Series 2022-17A, Class A1R, 3 Mo. CME Term SOFR +
1.35% (b) (e)
|
5.01%
|
07/20/37
|
591,559
|
|
|
|
Allegro CLO X Ltd.
|
||||
|
300,000
|
Series 2019-1A, Class BRR, 3 Mo. CME Term SOFR +
1.60% (b) (e)
|
5.28%
|
04/20/32
|
300,597
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
ASSET-BACKED SECURITIES (Continued)
|
|||||
|
|
American Heritage Auto Receivables Trust
|
||||
|
$640,000
|
Series 2024-1A, Class A3 (e)
|
4.90%
|
09/17/29
|
$643,731
|
|
|
|
Battalion CLO XXIV Ltd.
|
||||
|
2,000,000
|
Series 2022-24A, Class AR, 3 Mo. CME Term SOFR +
1.33% (b) (e)
|
5.00%
|
07/14/36
|
2,003,518
|
|
|
|
BlueMountain CLO Ltd.
|
||||
|
500,000
|
Series 2018-3A, Class A2R, 3 Mo. CME Term SOFR +
1.60% (b) (e)
|
5.27%
|
10/25/30
|
500,563
|
|
|
|
Capital Street Master Trust
|
||||
|
2,500,000
|
Series 2025-1, Class A, 30 Day Average SOFR + 1.10% (b) (e)
|
4.74%
|
08/16/29
|
2,497,683
|
|
|
|
CARLYLE US CLO Ltd.
|
||||
|
950,000
|
Series 2019-1A, Class A1B2, 3 Mo. CME Term SOFR +
1.30% (b) (e)
|
4.98%
|
04/20/31
|
950,983
|
|
|
|
Cbam Ltd.
|
||||
|
1,495,000
|
Series 2018-7A, Class B1, 3 Mo. CME Term SOFR + CSA +
1.60% (b) (e)
|
5.54%
|
07/20/31
|
1,498,114
|
|
|
|
Cedar Funding X CLO Ltd.
|
||||
|
1,000,000
|
Series 2019-10A, Class AR2, 3 Mo. CME Term SOFR +
1.36% (b) (e)
|
5.04%
|
10/20/37
|
1,002,715
|
|
|
|
Chase Auto Owner Trust
|
||||
|
511,252
|
Series 2022-AA, Class A4 (e)
|
3.99%
|
03/27/28
|
511,182
|
|
|
95,000
|
Series 2024-1A, Class A4 (e)
|
5.05%
|
10/25/29
|
96,270
|
|
|
|
CIFC Funding Ltd.
|
||||
|
2,000,000
|
Series 2024-3A, Class A1, 3 Mo. CME Term SOFR +
1.48% (b) (e)
|
5.15%
|
07/21/37
|
2,006,123
|
|
|
|
CoreVest American Finance Trust
|
||||
|
255,439
|
Series 2019-3, Class A (e)
|
2.71%
|
10/15/52
|
254,993
|
|
|
166,157
|
Series 2020-1, Class A2 (e)
|
2.30%
|
03/15/50
|
157,959
|
|
|
408,040
|
Series 2020-2, Class B (e)
|
4.24%
|
05/15/52
|
406,053
|
|
|
203,860
|
Series 2020-3, Class A (e)
|
1.36%
|
08/15/53
|
202,840
|
|
|
651,892
|
Series 2021-1, Class A (e)
|
1.57%
|
04/15/53
|
641,116
|
|
|
611,649
|
Series 2021-2, Class A (e)
|
1.41%
|
07/15/54
|
597,088
|
|
|
|
Dryden 85 CLO Ltd.
|
||||
|
500,000
|
Series 2020-85A, Class A1R2, 3 Mo. CME Term SOFR +
1.38% (b) (e)
|
5.05%
|
07/15/37
|
500,126
|
|
|
|
Elmwood CLO X Ltd.
|
||||
|
2,000,000
|
Series 2021-3A, Class AR2, 3 Mo. CME Term SOFR +
1.30% (b) (e)
|
4.98%
|
07/20/38
|
2,004,832
|
|
|
|
Empower CLO Ltd.
|
||||
|
2,000,000
|
Series 2023-3A, Class AR, 3 Mo. CME Term SOFR +
1.24% (b) (e)
|
4.91%
|
01/20/39
|
2,001,494
|
|
|
|
FIGRE Trust
|
||||
|
1,447,176
|
Series 2026-FL1, Class A1FC, steps up to 6.49%
on 03/01/2030 (a) (e)
|
5.49%
|
03/25/56
|
1,453,129
|
|
|
2,000,000
|
Series 2026-FL1, Class A1LC, steps up to 6.49%
on 03/01/2030 (a) (e)
|
5.49%
|
03/25/56
|
1,999,557
|
|
|
10,747,859
|
Series 2026-HF3, Class A1A, 30 Day Average SOFR +
1.40% (b) (e)
|
5.05%
|
03/25/56
|
10,739,498
|
|
|
|
FNA VI LLC
|
||||
|
493,443
|
Series 2021-1A, Class A (e)
|
1.35%
|
01/10/32
|
459,362
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
ASSET-BACKED SECURITIES (Continued)
|
|||||
|
|
Fortress Credit Bsl XI Ltd.
|
||||
|
$4,000,000
|
Series 2021-3A, Class A, 3 Mo. CME Term SOFR + CSA +
1.25% (b) (e)
|
5.19%
|
07/20/34
|
$4,007,777
|
|
|
|
Garnet CLO 2 Ltd.
|
||||
|
2,000,000
|
Series 2025-2A, Class A, 3 Mo. CME Term SOFR +
1.35% (b) (e)
|
5.03%
|
10/20/38
|
2,003,921
|
|
|
|
GLS Auto Receivables Issuer Trust
|
||||
|
158,014
|
Series 2024-3A, Class A3 (e)
|
5.02%
|
04/17/28
|
158,072
|
|
|
|
GLS Auto Select Receivables Trust
|
||||
|
581,498
|
Series 2023-1A, Class A3 (e)
|
5.96%
|
10/16/28
|
584,685
|
|
|
|
Gracie Point International Funding LLC
|
||||
|
4,296,000
|
Series 2025-1A, Class A, 30 Day Average SOFR + 1.50% (b) (e)
|
5.15%
|
08/15/28
|
4,303,130
|
|
|
|
HalseyPoint CLO 4 Ltd.
|
||||
|
2,500,000
|
Series 2021-4A, Class A, 3 Mo. CME Term SOFR + CSA +
1.22% (b) (e)
|
5.16%
|
04/20/34
|
2,504,455
|
|
|
|
Harriman Park CLO Ltd.
|
||||
|
2,000,000
|
Series 2020-1A, Class ARR, 3 Mo. CME Term SOFR +
1.30% (b) (e)
|
4.98%
|
07/20/38
|
2,003,879
|
|
|
|
Home Partners of America Trust
|
||||
|
918,272
|
Series 2020-2, Class A (e)
|
1.53%
|
01/17/41
|
846,667
|
|
|
|
Invesco US CLO Ltd.
|
||||
|
2,625,000
|
Series 2023-4A, Class A1R, 3 Mo. CME Term SOFR +
1.22% (b) (e)
|
4.90%
|
01/18/39
|
2,626,845
|
|
|
|
Kennedy Lewis CLO 16 Ltd.
|
||||
|
1,600,000
|
Series 2024-16A, Class A1, 3 Mo. CME Term SOFR +
1.54% (b) (e)
|
5.22%
|
07/20/37
|
1,605,506
|
|
|
|
Kennedy Lewis CLO 9 Ltd.
|
||||
|
500,000
|
Series 2024-9A, Class AR, 3 Mo. CME Term SOFR +
1.35% (b) (e)
|
5.03%
|
01/20/38
|
500,934
|
|
|
|
KKR CLO 18 Ltd.
|
||||
|
2,000,000
|
Series 2025-18, Class A2R2, 3 Mo. CME Term SOFR +
1.40% (b) (e)
|
5.08%
|
10/18/35
|
1,999,295
|
|
|
|
Luxury Lease Partners Auto Lease Trust
|
||||
|
4,096,057
|
Series 2025-A, Class A (e)
|
5.51%
|
03/15/32
|
4,096,223
|
|
|
|
Madison Park Funding LXIII Ltd.
|
||||
|
2,000,000
|
Series 2023-63A, Class A1R, 3 Mo. CME Term SOFR +
1.40% (b) (e)
|
5.07%
|
07/21/38
|
2,004,958
|
|
|
|
Magnetite XL Ltd.
|
||||
|
2,000,000
|
Series 2024-40A, Class A1, 3 Mo. CME Term SOFR +
1.45% (b) (e)
|
5.12%
|
07/15/37
|
2,006,080
|
|
|
|
Neuberger Berman CLO XVII Ltd.
|
||||
|
2,000,000
|
Series 2014-17A, Class AR3, 3 Mo. CME Term SOFR +
1.40% (b) (e)
|
5.06%
|
07/22/38
|
2,006,136
|
|
|
|
Neuberger Berman CLO XVI-S Ltd.
|
||||
|
1,000,000
|
Series 2017-16SA, Class A1R2, 3 Mo. CME Term SOFR +
1.18% (b) (e)
|
4.85%
|
04/15/39
|
1,000,250
|
|
|
|
OCP CLO Ltd.
|
||||
|
389,414
|
Series 2014-5A, Class BR, 3 Mo. CME Term SOFR + CSA +
1.80% (b) (e)
|
5.73%
|
04/26/31
|
391,668
|
|
|
300,000
|
Series 2018-15A, Class AR, 3 Mo. CME Term SOFR +
1.25% (b) (e)
|
4.93%
|
01/20/38
|
300,229
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
ASSET-BACKED SECURITIES (Continued)
|
|||||
|
|
OHA Credit Funding 15-R Ltd.
|
||||
|
$2,200,000
|
Series 2023-15RA, Class A, 3 Mo. CME Term SOFR +
1.29% (b) (e)
|
4.97%
|
07/20/38
|
$2,204,225
|
|
|
|
Oscar US Funding XV LLC
|
||||
|
275,520
|
Series 2023-1A, Class A3 (e)
|
5.81%
|
12/10/27
|
276,723
|
|
|
|
Oscar US Funding XVII LLC
|
||||
|
100,000
|
Series 2024-2A, Class A3 (e)
|
4.47%
|
03/12/29
|
99,971
|
|
|
|
OZLM XXIV Ltd.
|
||||
|
102,850
|
Series 2019-24A, Class A1AR, 3 Mo. CME Term SOFR + CSA
+ 1.16% (b) (e)
|
5.10%
|
07/20/32
|
102,863
|
|
|
|
Pagaya AI Debt Grantor Trust
|
||||
|
116,407
|
Series 2024-8, Class A (e)
|
5.33%
|
01/15/32
|
116,674
|
|
|
163,233
|
Series 2024-9, Class A (e)
|
5.07%
|
03/15/32
|
163,547
|
|
|
575,367
|
Series 2024-10, Class A (e)
|
5.18%
|
06/15/32
|
577,107
|
|
|
674,563
|
Series 2024-11, Class A (e)
|
5.09%
|
07/15/32
|
676,774
|
|
|
3,364,214
|
Series 2025-1, Class A2 (e)
|
5.16%
|
07/15/32
|
3,376,405
|
|
|
428,471
|
Series 2025-2, Class A (e) (f)
|
4.96%
|
10/15/32
|
429,903
|
|
|
645,801
|
Series 2025-4, Class A2 (e)
|
5.37%
|
01/17/33
|
649,770
|
|
|
2,295,557
|
Series 2025-5, Class A2 (e)
|
5.11%
|
03/15/33
|
2,302,121
|
|
|
1,472,398
|
Series 2025-R3, Class A (e)
|
4.84%
|
01/18/33
|
1,471,419
|
|
|
1,000,000
|
Series 2026-1, Class A1 (e)
|
4.23%
|
02/15/27
|
999,964
|
|
|
500,000
|
Series 2026-1, Class A2 (e)
|
4.74%
|
09/15/33
|
499,377
|
|
|
3,132,619
|
Series 2026-R1, Class A (e)
|
4.71%
|
12/15/33
|
3,124,766
|
|
|
|
Pagaya AI Debt Trust
|
||||
|
1,756,539
|
Series 2025-R1, Class A2 (e)
|
5.34%
|
06/15/32
|
1,763,866
|
|
|
|
Palmer Square Loan Funding Ltd.
|
||||
|
1,750,000
|
Series 2023-2A, Class A2R, 3 Mo. CME Term SOFR +
1.50% (b) (e)
|
5.17%
|
01/25/32
|
1,754,352
|
|
|
|
Parallel Ltd.
|
||||
|
2,220,000
|
Series 2023-1A, Class A1R, 3 Mo. CME Term SOFR +
1.39% (b) (e)
|
5.07%
|
07/20/36
|
2,224,422
|
|
|
|
PFS Financing Corp.
|
||||
|
1,000,000
|
Series 2025-C, Class A, 30 Day Average SOFR + 0.95% (b) (e)
|
4.59%
|
04/15/29
|
1,003,797
|
|
|
|
Progress Residential Trust
|
||||
|
5,472,158
|
Series 2025-SFR1, Class A (e)
|
3.40%
|
02/17/42
|
5,199,344
|
|
|
2,600,000
|
Series 2025-SFR3, Class A (e)
|
3.39%
|
07/17/42
|
2,458,409
|
|
|
|
Research-Driven Pagaya Motor Asset Trust
|
||||
|
2,447,129
|
Series 2025-1A, Class A (e)
|
5.04%
|
06/27/33
|
2,452,016
|
|
|
2,200,000
|
Series 2025-3A, Class A2 (e)
|
5.15%
|
02/27/34
|
2,213,040
|
|
|
4,274,262
|
Series 2026-R1A, Class A (e)
|
5.66%
|
07/25/34
|
4,280,136
|
|
|
|
Research-Driven Pagaya Motor Trust
|
||||
|
2,825,000
|
Series 2025-5A, Class A3 (e)
|
4.84%
|
06/26/34
|
2,828,945
|
|
|
4,100,000
|
Series 2025-6A, Class A3 (e)
|
5.01%
|
08/25/34
|
4,093,818
|
|
|
|
Rockford Tower CLO Ltd.
|
||||
|
300,000
|
Series 2019-2A, Class BR2, 3 Mo. CME Term SOFR +
1.65% (b) (e)
|
5.31%
|
08/20/32
|
300,581
|
|
|
|
Rockland Park CLO Ltd.
|
||||
|
2,000,000
|
Series 2021-1A, Class A1R, 3 Mo. CME Term SOFR +
1.30% (b) (e)
|
4.98%
|
07/20/38
|
2,003,866
|
|
|
|
Sandstone Peak III Ltd.
|
||||
|
2,000,000
|
Series 2024-1A, Class A1R, 3 Mo. CME Term SOFR +
1.30% (b) (e) (i)
|
0.00%
|
04/25/37
|
2,000,510
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
ASSET-BACKED SECURITIES (Continued)
|
|||||
|
|
SBNA Auto Receivables Trust
|
||||
|
$3,750,000
|
Series 2024-A, Class B (e)
|
5.29%
|
09/17/29
|
$3,785,593
|
|
|
|
Silver Point CLO 16 Ltd.
|
||||
|
4,000,000
|
Series 2026-16A, Class A1, 3 Mo. CME Term SOFR +
1.23% (b) (e)
|
4.89%
|
04/18/39
|
3,992,219
|
|
|
|
Silver Point CLO 7 Ltd.
|
||||
|
500,000
|
Series 2024-7A, Class A1, 3 Mo. CME Term SOFR +
1.36% (b) (e)
|
5.03%
|
01/15/38
|
500,936
|
|
|
|
Silver Point CLO 9 Ltd.
|
||||
|
1,500,000
|
Series 2025-9A, Class A1, 3 Mo. CME Term SOFR +
1.52% (b) (e)
|
5.19%
|
03/31/38
|
1,504,292
|
|
|
|
Sixth Street CLO XX Ltd.
|
||||
|
2,000,000
|
Series 2021-20A, Class A1R, 3 Mo. CME Term SOFR +
1.32% (b) (e)
|
5.00%
|
07/17/38
|
2,003,841
|
|
|
|
SOUND POINT CLO XXII Ltd.
|
||||
|
250,000
|
Series 2019-1A, Class BRR, 3 Mo. CME Term SOFR +
1.65% (b) (e)
|
5.33%
|
01/20/32
|
250,498
|
|
|
|
Sound Point CLO XXVIII Ltd.
|
||||
|
512,968
|
Series 2020-3A, Class A1R, 3 Mo. CME Term SOFR +
1.28% (b) (e)
|
4.95%
|
01/25/32
|
512,891
|
|
|
|
STAR Trust
|
||||
|
4,993,410
|
Series 2025-SFR5, Class A, 1 Mo. CME Term SOFR +
1.45% (b) (e)
|
5.11%
|
02/17/42
|
4,994,819
|
|
|
|
Steele Creek CLO Ltd.
|
||||
|
168,016
|
Series 2018-1A, Class B, 3 Mo. CME Term SOFR + CSA +
1.48% (b) (e)
|
5.41%
|
04/15/31
|
168,019
|
|
|
|
Stratus Funding CLO Ltd.
|
||||
|
2,250,000
|
Series 2025-1A, Class A2, 3 Mo. CME Term SOFR +
1.33% (b) (e)
|
5.00%
|
07/15/33
|
2,255,305
|
|
|
|
TCI-Symphony CLO Ltd.
|
||||
|
199,453
|
Series 2017-1A, Class BR, 3 Mo. CME Term SOFR + CSA +
1.55% (b) (e)
|
5.48%
|
07/15/30
|
199,728
|
|
|
|
Venture 42 CLO Ltd.
|
||||
|
5,000,000
|
Series 2021-42A, Class A1A, 3 Mo. CME Term SOFR + CSA +
1.13% (b) (e)
|
5.06%
|
04/15/34
|
5,007,898
|
|
|
|
Venture XIX CLO Ltd.
|
||||
|
84,190
|
Series 2014-19A, Class ARR, 3 Mo. CME Term SOFR + CSA +
1.26% (b) (e)
|
5.19%
|
01/15/32
|
84,192
|
|
|
|
Whitebox CLO III Ltd.
|
||||
|
2,000,000
|
Series 2021-3A, Class A1R, 3 Mo. CME Term SOFR +
1.27% (b) (e)
|
4.94%
|
10/15/35
|
2,003,062
|
|
|
|
Total Asset-Backed Securities
|
148,284,861
|
|||
|
|
(Cost $147,890,810)
|
|
|||
|
FOREIGN CORPORATE BONDS AND NOTES — 4.3%
|
|||||
|
|
Apparel — 1.0%
|
|
|||
|
12,500,000
|
Gildan Activewear, Inc. (e)
|
4.70%
|
10/07/30
|
12,376,814
|
|
|
12,000,000
|
Gildan Activewear, Inc. (e)
|
5.40%
|
10/07/35
|
11,754,164
|
|
|
|
|
24,130,978
|
|||
|
|
Banks — 1.7%
|
|
|||
|
2,000,000
|
Banco Santander S.A.
|
5.13%
|
11/06/35
|
1,955,990
|
|
|
3,182,000
|
Barclays PLC (j)
|
4.52%
|
02/24/32
|
3,116,699
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
FOREIGN CORPORATE BONDS AND NOTES (Continued)
|
|||||
|
|
Banks (Continued)
|
|
|||
|
$3,500,000
|
Barclays PLC (j)
|
5.75%
|
08/09/33
|
$3,607,837
|
|
|
3,500,000
|
Cooperatieve Rabobank U.A. (e) (j)
|
5.71%
|
01/21/33
|
3,638,682
|
|
|
8,500,000
|
Credit Agricole S.A. (e) (j)
|
4.82%
|
09/25/33
|
8,339,614
|
|
|
5,000,000
|
ING Groep N.V. (j)
|
4.80%
|
03/23/32
|
4,979,835
|
|
|
3,500,000
|
Lloyds Banking Group PLC (j)
|
4.94%
|
11/04/36
|
3,379,847
|
|
|
2,710,000
|
UBS Group AG (e) (j)
|
4.19%
|
04/01/31
|
2,648,091
|
|
|
6,000,000
|
UBS Group AG (e) (j)
|
4.84%
|
11/06/33
|
5,913,436
|
|
|
2,500,000
|
UBS Group AG (e) (j)
|
5.58%
|
05/09/36
|
2,543,828
|
|
|
|
|
40,123,859
|
|||
|
|
Building Materials — 0.3%
|
|
|||
|
3,000,000
|
Cemex S.A.B. de C.V. (e)
|
5.45%
|
11/19/29
|
3,030,419
|
|
|
3,000,000
|
Cemex S.A.B. de C.V. (e)
|
3.88%
|
07/11/31
|
2,840,675
|
|
|
|
|
5,871,094
|
|||
|
|
Entertainment — 0.3%
|
|
|||
|
1,105,000
|
Flutter Treasury DAC (e)
|
6.38%
|
04/29/29
|
1,124,540
|
|
|
6,378,000
|
Flutter Treasury DAC (e)
|
5.88%
|
06/04/31
|
6,359,121
|
|
|
|
|
7,483,661
|
|||
|
|
Healthcare-Services — 0.4%
|
|
|||
|
3,800,000
|
Icon Investments Six DAC
|
5.85%
|
05/08/29
|
3,872,718
|
|
|
4,915,000
|
Icon Investments Six DAC
|
6.00%
|
05/08/34
|
5,024,993
|
|
|
|
|
8,897,711
|
|||
|
|
Insurance — 0.1%
|
|
|||
|
1,530,000
|
Aon Global Ltd.
|
4.75%
|
05/15/45
|
1,331,679
|
|
|
|
Leisure Time — 0.1%
|
|
|||
|
2,500,000
|
Royal Caribbean Cruises Ltd.
|
4.75%
|
05/15/33
|
2,425,697
|
|
|
|
Packaging & Containers — 0.1%
|
|
|||
|
3,500,000
|
CCL Industries, Inc. (e)
|
3.05%
|
06/01/30
|
3,283,098
|
|
|
|
Software — 0.1%
|
|
|||
|
2,670,000
|
Constellation Software, Inc. (e)
|
5.46%
|
02/16/34
|
2,616,639
|
|
|
|
Transportation — 0.2%
|
|
|||
|
5,500,000
|
Canadian Pacific Railway Co.
|
5.50%
|
03/15/56
|
5,272,823
|
|
|
|
Total Foreign Corporate Bonds and Notes
|
101,437,239
|
|||
|
|
(Cost $102,463,013)
|
|
|||
|
MUNICIPAL BONDS — 1.6%
|
|||||
|
|
New Jersey — 0.3%
|
|
|||
|
6,000,000
|
NJ Transprtn Trust Fund Auth, Ser AA
|
5.00%
|
06/15/50
|
6,233,408
|
|
|
|
New York — 0.7%
|
|
|||
|
4,000,000
|
City of NY, Ser G-1
|
5.25%
|
02/01/50
|
4,207,088
|
|
|
9,140,000
|
NY City Transitional Fin Auth, Ser A
|
5.50%
|
05/01/50
|
9,908,761
|
|
|
3,000,000
|
NY St Dorm Auth, Ser C
|
5.50%
|
03/15/53
|
3,231,245
|
|
|
|
|
17,347,094
|
|||
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
MUNICIPAL BONDS (Continued)
|
|||||
|
|
Texas — 0.6%
|
|
|||
|
$7,000,000
|
Dallas Fort Worth Intl Arpts, Ser A-1, AMT
|
5.25%
|
11/01/46
|
$7,373,503
|
|
|
6,700,000
|
New Hope Cultural Edu Facs Fin Corp TX Hosp Rev Childrens
Hlth Sys of TX, Ser A
|
5.50%
|
08/15/49
|
7,265,795
|
|
|
|
|
14,639,298
|
|||
|
|
Total Municipal Bonds
|
38,219,800
|
|||
|
|
(Cost $37,355,497)
|
|
|||
|
U.S. GOVERNMENT AGENCY SECURITIES — 0.2%
|
|||||
|
4,000,000
|
Tennessee Valley Authority
|
5.25%
|
02/01/55
|
3,901,348
|
|
|
|
(Cost $3,917,442)
|
|
|
|
|
|
Shares
|
Description
|
Value
|
|||
|
EXCHANGE-TRADED FUNDS — 0.0%
|
|||||
|
|
Capital Markets — 0.0%
|
|
|||
|
20,000
|
First Trust AAA CMBS ETF (k)
|
406,442
|
|||
|
|
(Cost $407,187)
|
|
|||
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
U.S. TREASURY BILLS — 1.3%
|
|||||
|
$10,000,000
|
U.S. Treasury Bill
|
(d)
|
05/12/26
|
9,989,094
|
|
|
5,000,000
|
U.S. Treasury Bill
|
(d)
|
05/19/26
|
4,991,036
|
|
|
5,000,000
|
U.S. Treasury Bill
|
(d)
|
05/26/26
|
4,987,569
|
|
|
5,000,000
|
U.S. Treasury Bill
|
(d)
|
06/04/26
|
4,983,041
|
|
|
5,000,000
|
U.S. Treasury Bill
|
(d)
|
06/09/26
|
4,980,554
|
|
|
|
Total U.S. Treasury Bills
|
29,931,294
|
|||
|
|
(Cost $29,931,205)
|
|
|||
|
Shares
|
Description
|
Value
|
|||
|
MONEY MARKET FUNDS — 1.1%
|
|||||
|
25,679,040
|
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional
Class - 3.52% (l)
|
25,679,040
|
|||
|
|
(Cost $25,679,040)
|
|
|||
|
|
Total Investments — 105.0%
|
2,489,090,663
|
|||
|
|
(Cost $2,493,969,180)
|
|
|||
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT — (2.2)%
|
|||||
|
|
Pass-Through Securities — (1.8)%
|
|
|||
|
|
Federal National Mortgage Association
|
|
|||
|
$(9,755,000)
|
Pool TBA (h)
|
3.00%
|
06/15/56
|
(8,536,192
)
|
|
|
(4,964,000)
|
Pool TBA
|
4.50%
|
06/15/56
|
(4,771,301
)
|
|
|
(15,179,000)
|
Pool TBA (h)
|
5.00%
|
06/15/56
|
(14,939,641
)
|
|
|
(4,976,000)
|
Pool TBA
|
3.50%
|
07/15/56
|
(4,521,841
)
|
|
|
(6,470,000)
|
Pool TBA
|
4.50%
|
07/15/56
|
(6,214,795
)
|
|
|
|
Government National Mortgage Association
|
|
|||
|
(3,550,000)
|
Pool TBA (h)
|
3.00%
|
06/15/56
|
(3,159,845
)
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT (Continued)
|
|||||
|
|
Pass-Through Securities (Continued)
|
|
|||
|
|
Government National Mortgage Association (Continued)
|
|
|||
|
|
|
(42,143,615
)
|
|||
|
|
Mortgage-Backed Securities — (0.4)%
|
|
|||
|
|
Federal National Mortgage Association
|
|
|
|
|
|
$(5,437,000)
|
TBA
|
3.00%
|
07/15/56
|
$(4,754,293
)
|
|
|
|
Government National Mortgage Association
|
|
|
|
|
|
(3,583,000)
|
TBA
|
3.00%
|
05/20/56
|
(3,191,597
)
|
|
|
(1,800,000)
|
TBA
|
5.00%
|
05/20/56
|
(1,784,656
)
|
|
|
|
|
(9,730,546
)
|
|||
|
|
Total Investments Sold Short — (2.2)%
|
(51,874,161
)
|
|||
|
|
(Proceeds $52,313,273)
|
|
|||
|
Number of
Contracts
|
Description
|
Notional
Amount
|
Exercise
Price
|
Expiration
Date
|
Value
|
|
WRITTEN OPTIONS — (0.2)%
|
|||||
|
|
Call Options Written — (0.0)%
|
|
|||
|
(247)
|
3 Month SOFR Futures, expiring December 2027
|
$(59,530,087
)
|
$97.50
|
12/10/27
|
(89,537
)
|
|
(127)
|
U.S. 2-Year Treasury Note Futures, expiring June
2026
|
(26,304,875
)
|
105.00
|
05/22/26
|
(1,985
)
|
|
(6)
|
U.S. 2-Year Treasury Note Futures, expiring
September 2026
|
(1,242,750
)
|
104.75
|
08/21/26
|
(844
)
|
|
(48)
|
U.S. 5-Year Treasury Note Futures, expiring June
2026
|
(5,176,125
)
|
109.00
|
05/22/26
|
(1,875
)
|
|
(172)
|
U.S. 5-Year Treasury Note Futures, expiring
September 2026
|
(18,537,031
)
|
109.50
|
08/21/26
|
(45,688
)
|
|
(37)
|
U.S. 5-Year Treasury Note Futures, expiring
September 2026
|
(3,987,617
)
|
110.00
|
08/21/26
|
(7,227
)
|
|
(51)
|
U.S. 5-Year Treasury Note Futures, expiring
September 2026
|
(5,496,445
)
|
111.00
|
08/21/26
|
(5,578
)
|
|
(23)
|
U.S. 10-Year Treasury Note Futures, expiring June
2026
|
(2,543,656
)
|
116.00
|
05/22/26
|
(0
)
|
|
(24)
|
U.S. 10-Year Treasury Note Futures, expiring
September 2026
|
(2,649,000
)
|
109.00
|
08/21/26
|
(51,750
)
|
|
(58)
|
U.S. 10-Year Treasury Note Futures, expiring
September 2026
|
(6,401,750
)
|
113.00
|
08/21/26
|
(22,656
)
|
|
(39)
|
U.S. 10-Year Treasury Note Futures, expiring
September 2026
|
(4,304,625
)
|
114.00
|
08/21/26
|
(9,750
)
|
|
(32)
|
U.S. 10-Year Treasury Note Futures, expiring
September 2026
|
(3,532,000
)
|
115.00
|
08/21/26
|
(5,500
)
|
|
(65)
|
U.S. Treasury Long Bond Futures, expiring June
2026
|
(7,334,844
)
|
120.00
|
05/22/26
|
(1,016
)
|
|
(56)
|
U.S. Treasury Long Bond Futures, expiring June
2026
|
(6,319,250
)
|
121.00
|
05/22/26
|
(875
)
|
|
(314)
|
U.S. Treasury Long Bond Futures, expiring June
2026
|
(35,432,938
)
|
122.00
|
05/22/26
|
(4,906
)
|
|
(68)
|
U.S. Treasury Long Bond Futures, expiring June
2026
|
(7,673,375
)
|
123.00
|
05/22/26
|
(0
)
|
|
(17)
|
U.S. Treasury Long Bond Futures, expiring June
2026
|
(1,918,344
)
|
128.00
|
05/22/26
|
(0
)
|
|
(61)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(6,854,875
)
|
113.00
|
08/21/26
|
(135,344
)
|
|
Number of
Contracts
|
Description
|
Notional
Amount
|
Exercise
Price
|
Expiration
Date
|
Value
|
|
WRITTEN OPTIONS (Continued)
|
|||||
|
|
Call Options Written (Continued)
|
|
|||
|
(68)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
$(7,641,500
)
|
$116.00
|
08/21/26
|
$(74,375
)
|
|
(124)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(13,934,500
)
|
118.00
|
08/21/26
|
(87,187
)
|
|
(244)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(27,419,500
)
|
119.00
|
08/21/26
|
(137,250
)
|
|
(102)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(11,462,250
)
|
120.00
|
08/21/26
|
(47,812
)
|
|
(360)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(40,455,000
)
|
121.00
|
08/21/26
|
(140,625
)
|
|
(6)
|
U.S. Treasury Long Bond Futures, expiring
December 2026
|
(6,000
)
|
120.00
|
11/20/26
|
(4,594
)
|
|
(81)
|
Ultra 10-Year U.S. Treasury Note Futures, expiring
June 2026
|
(81,000
)
|
117.00
|
05/22/26
|
(2,531
)
|
|
(91)
|
Ultra U.S. Treasury Long Bond Futures, expiring
June 2026
|
(91,000
)
|
122.00
|
05/22/26
|
(1,422
)
|
|
(6)
|
Ultra U.S. Treasury Long Bond Futures, expiring
June 2026
|
(6,000
)
|
124.00
|
05/22/26
|
(0
)
|
|
(6)
|
Ultra U.S. Treasury Long Bond Futures, expiring
June 2026
|
(6,000
)
|
125.00
|
05/22/26
|
(0
)
|
|
|
Total Call Options Written
|
(880,327
)
|
|||
|
|
(Premiums received $1,991,754)
|
|
|||
|
|
Put Options Written — (0.2)%
|
|
|||
|
(118)
|
3 Month SOFR Futures, expiring December 2027
|
(28,439,475
)
|
95.50
|
12/10/27
|
(67,112
)
|
|
(275)
|
3 Month SOFR Futures, expiring December 2027
|
(66,278,437
)
|
96.00
|
12/10/27
|
(230,312
)
|
|
(184)
|
3 Month SOFR Futures, expiring December 2027
|
(44,346,300
)
|
96.38
|
12/10/27
|
(212,750
)
|
|
(156)
|
U.S. 2-Year Treasury Note Futures, expiring June
2026
|
(32,311,500
)
|
103.25
|
05/22/26
|
(19,500
)
|
|
(100)
|
U.S. 2-Year Treasury Note Futures, expiring June
2026
|
(20,712,500
)
|
103.50
|
05/22/26
|
(26,563
)
|
|
(113)
|
U.S. 2-Year Treasury Note Futures, expiring June
2026
|
(23,405,125
)
|
103.75
|
05/22/26
|
(60,031
)
|
|
(119)
|
U.S. 2-Year Treasury Note Futures, expiring June
2026
|
(24,647,875
)
|
103.88
|
05/22/26
|
(85,531
)
|
|
(37)
|
U.S. 2-Year Treasury Note Futures, expiring June
2026
|
(7,663,625
)
|
104.00
|
05/22/26
|
(34,688
)
|
|
(49)
|
U.S. 2-Year Treasury Note Futures, expiring June
2026
|
(5,419,094
)
|
107.00
|
05/22/26
|
(766
)
|
|
(114)
|
U.S. 2-Year Treasury Note Futures, expiring
September 2026
|
(23,612,250
)
|
103.00
|
08/21/26
|
(42,750
)
|
|
(79)
|
U.S. 2-Year Treasury Note Futures, expiring
September 2026
|
(16,362,875
)
|
103.25
|
08/21/26
|
(40,734
)
|
|
(89)
|
U.S. 2-Year Treasury Note Futures, expiring
September 2026
|
(18,434,125
)
|
103.50
|
08/21/26
|
(62,578
)
|
|
(6)
|
U.S. 2-Year Treasury Note Futures, expiring
September 2026
|
(1,242,750
)
|
103.75
|
08/21/26
|
(5,719
)
|
|
(248)
|
U.S. 5-Year Treasury Note Futures, expiring June
2026
|
(26,743,312
)
|
108.75
|
05/22/26
|
(242,188
)
|
|
(122)
|
U.S. 5-Year Treasury Note Futures, expiring June
2026
|
(13,155,984
)
|
109.00
|
05/22/26
|
(146,781
)
|
|
(155)
|
U.S. 5-Year Treasury Note Futures, expiring
September 2026
|
(16,704,883
)
|
107.00
|
08/21/26
|
(92,031
)
|
|
Number of
Contracts
|
Description
|
Notional
Amount
|
Exercise
Price
|
Expiration
Date
|
Value
|
|
WRITTEN OPTIONS (Continued)
|
|||||
|
|
Put Options Written (Continued)
|
|
|||
|
(572)
|
U.S. 5-Year Treasury Note Futures, expiring
September 2026
|
$(61,646,406
)
|
$107.50
|
08/21/26
|
$(437,937
)
|
|
(27)
|
U.S. 5-Year Treasury Note Futures, expiring
September 2026
|
(2,909,883
)
|
108.00
|
08/21/26
|
(26,789
)
|
|
(353)
|
U.S. 5-Year Treasury Note Futures, expiring
September 2026
|
(38,044,023
)
|
108.50
|
08/21/26
|
(449,524
)
|
|
(12)
|
U.S. 5-Year Treasury Note Futures, expiring
December 2026
|
(1,293,000
)
|
106.50
|
11/20/26
|
(8,344
)
|
|
(33)
|
U.S. 10-Year Treasury Note Futures, expiring
September 2026
|
(3,642,375
)
|
109.00
|
08/21/26
|
(26,297
)
|
|
(12)
|
U.S. Treasury Long Bond Futures, expiring June
2026
|
(1,354,125
)
|
106.00
|
05/22/26
|
(563
)
|
|
(125)
|
U.S. Treasury Long Bond Futures, expiring June
2026
|
(14,105,469
)
|
109.00
|
05/22/26
|
(19,531
)
|
|
(6)
|
U.S. Treasury Long Bond Futures, expiring June
2026
|
(677,063
)
|
110.00
|
05/22/26
|
(1,594
)
|
|
(361)
|
U.S. Treasury Long Bond Futures, expiring June
2026
|
(40,736,594
)
|
112.00
|
05/22/26
|
(253,828
)
|
|
(206)
|
U.S. Treasury Long Bond Futures, expiring June
2026
|
(23,245,813
)
|
114.00
|
05/22/26
|
(344,406
)
|
|
(6)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(674,250
)
|
106.00
|
08/21/26
|
(4,875
)
|
|
(36)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(4,045,500
)
|
108.00
|
08/21/26
|
(41,625
)
|
|
(222)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(24,947,250
)
|
109.00
|
08/21/26
|
(308,719
)
|
|
(98)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(11,012,750
)
|
110.00
|
08/21/26
|
(163,844
)
|
|
(228)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(25,621,500
)
|
111.00
|
08/21/26
|
(456,000
)
|
|
(48)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(5,394,000
)
|
112.00
|
08/21/26
|
(114,000
)
|
|
(61)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(61,000
)
|
113.00
|
08/21/26
|
(173,469
)
|
|
(217)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(217,000
)
|
116.00
|
08/21/26
|
(1,017,187
)
|
|
(6)
|
U.S. Treasury Long Bond Futures, expiring
December 2026
|
(6,000
)
|
105.00
|
11/20/26
|
(6,375
)
|
|
(51)
|
U.S. Treasury Long Bond Futures, expiring
December 2026
|
(51,000
)
|
110.00
|
11/20/26
|
(121,125
)
|
|
(30)
|
Ultra 10-Year U.S. Treasury Note Futures, expiring
June 2026
|
(30,000
)
|
111.00
|
05/22/26
|
(8,906
)
|
|
(8)
|
Ultra U.S. Treasury Long Bond Futures, expiring
June 2026
|
(8,000
)
|
112.00
|
05/22/26
|
(2,750
)
|
|
(26)
|
Ultra U.S. Treasury Long Bond Futures, expiring
June 2026
|
(26,000
)
|
113.00
|
05/22/26
|
(13,813
)
|
|
Number of
Contracts
|
Description
|
Notional
Amount
|
Exercise
Price
|
Expiration
Date
|
Value
|
|
WRITTEN OPTIONS (Continued)
|
|||||
|
|
Put Options Written (Continued)
|
|
|||
|
(49)
|
Ultra U.S. Treasury Long Bond Futures, expiring
June 2026
|
$(49,000
)
|
$115.00
|
05/22/26
|
$(59,719
)
|
|
(7)
|
Ultra U.S. Treasury Long Bond Futures, expiring
June 2026
|
(7,000
)
|
116.00
|
05/22/26
|
(12,031
)
|
|
|
Total Put Options Written
|
(5,443,285
)
|
|||
|
|
(Premiums received $4,859,282)
|
|
|||
|
|
Total Written Options
|
(6,323,612
)
|
|||
|
|
(Premiums received $6,851,036)
|
|
|||
|
|
Net Other Assets and Liabilities — (2.6)%
|
(60,908,772
)
|
|||
|
|
Net Assets — 100.0%
|
$2,369,984,118
|
|||
|
Futures Contracts Long
|
Number of
Contracts
|
Expiration
Date
|
Notional
Value
|
Unrealized
Appreciation
(Depreciation)/
Value
|
|
U.S. 2-Year Treasury Notes
|
1,873
|
Jun-2026
|
$387,945,125
|
$(2,698,433
)
|
|
U.S. 5-Year Treasury Notes
|
1,169
|
Jun-2026
|
126,060,212
|
(1,280,639
)
|
|
U.S. 10-Year Treasury Notes
|
480
|
Jun-2026
|
53,085,000
|
(658,493
)
|
|
U.S. Treasury Long-Term Bond Futures
|
596
|
Jun-2026
|
67,254,875
|
(859,985
)
|
|
|
|
|
$634,345,212
|
$(5,497,550
)
|
|
Futures Contracts Short
|
|
|
|
|
|
Ultra 10-Year U.S. Treasury Notes
|
1,770
|
Jun-2026
|
$(199,761,094
)
|
$3,967,880
|
|
Ultra U.S. Treasury Bond Futures
|
105
|
Jun-2026
|
(12,078,281
)
|
126,469
|
|
|
|
|
$(211,839,375
)
|
$4,094,349
|
|
|
|
Total
|
$422,505,837
|
$(1,403,201
)
|
|
(a)
|
Step-up security. A security where the coupon increases or steps up at a predetermined
date.
|
|
(b)
|
Floating or variable rate security.
|
|
(c)
|
Inverse floating rate security.
|
|
(d)
|
Zero coupon security.
|
|
(e)
|
This security, sold within the terms of a private placement memorandum, is exempt
from registration upon resale under
Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions
exempt from registration, normally to
qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined
to be liquid by First Trust Advisors L.P., the Fund’s advisor. Although market instability can result in periods of increased overall
market illiquidity, liquidity for each security is determined based on security specific
factors and assumptions, which require
subjective judgment. At April 30, 2026, securities noted as such amounted to $805,420,229
or 34.0% of net assets.
|
|
(f)
|
Weighted Average Coupon security. Coupon is based on the blended interest rate of
the underlying holdings, which may have
different coupons. The coupon may change in any period.
|
|
(g)
|
Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment’s underlying collateral. The
interest rate resets periodically.
|
|
(h)
|
All or a portion of this security is part of a mortgage dollar roll agreement.
|
|
(i)
|
When-issued security. The interest rate shown reflects the rate in effect at April
30, 2026. Interest will begin accruing on the
security’s first settlement date.
|
|
(j)
|
Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects
the fixed rate in effect at April 30, 2026. At a
predetermined date, the fixed rate will change to a floating rate or a variable rate.
|
|
(k)
|
Investment in an affiliated fund.
|
|
(l)
|
Rate shown reflects yield as of April 30, 2026.
|
|
Abbreviations throughout the Portfolio of Investments:
|
|
|
AMT
|
– Alternative Minimum Tax
|
|
CME
|
– Chicago Mercantile Exchange
|
|
CSA
|
– Credit Spread Adjustment
|
|
IO
|
– Interest-Only Security - Principal amount shown represents par value on which interest
payments are based
|
|
PO
|
– Principal-Only Security
|
|
REMIC
|
– Real Estate Mortgage Investment Conduit
|
|
SOFR
|
– Secured Overnight Financing Rate
|
|
STACR
|
– Structured Agency Credit Risk
|
|
STRIPS
|
– Separate Trading of Registered Interest and Principal of Securities
|
|
TBA
|
– To-Be-Announced Security
|
|
ASSETS TABLE
|
||||
|
|
Total
Value at
4/30/2026
|
Level 1
Quoted
Prices
|
Level 2
Significant
Observable
Inputs
|
Level 3
Significant
Unobservable
Inputs
|
|
U.S. Government Agency Mortgage-Backed
Securities
|
$764,781,575
|
$—
|
$764,781,575
|
$—
|
|
Mortgage-Backed Securities
|
476,801,023
|
—
|
476,801,023
|
—
|
|
Corporate Bonds and Notes*
|
462,919,676
|
—
|
462,919,676
|
—
|
|
U.S. Government Bonds and Notes
|
436,728,365
|
—
|
436,728,365
|
—
|
|
Asset-Backed Securities
|
148,284,861
|
—
|
148,284,861
|
—
|
|
Foreign Corporate Bonds and Notes*
|
101,437,239
|
—
|
101,437,239
|
—
|
|
Municipal Bonds**
|
38,219,800
|
—
|
38,219,800
|
—
|
|
U.S. Government Agency Securities
|
3,901,348
|
—
|
3,901,348
|
—
|
|
Exchange-Traded Funds*
|
406,442
|
406,442
|
—
|
—
|
|
U.S. Treasury Bills
|
29,931,294
|
—
|
29,931,294
|
—
|
|
Money Market Funds
|
25,679,040
|
25,679,040
|
—
|
—
|
|
Total Investments
|
2,489,090,663
|
26,085,482
|
2,463,005,181
|
—
|
|
Futures Contracts
|
4,094,349
|
4,094,349
|
—
|
—
|
|
Total
|
$2,493,185,012
|
$30,179,831
|
$2,463,005,181
|
$—
|
|
LIABILITIES TABLE
|
||||
|
|
Total
Value at
4/30/2026
|
Level 1
Quoted
Prices
|
Level 2
Significant
Observable
Inputs
|
Level 3
Significant
Unobservable
Inputs
|
|
U.S. Government Agency Mortgage-Backed
Securities Sold Short
|
$(51,874,161
)
|
$—
|
$(51,874,161
)
|
$—
|
|
Written Options
|
(6,323,612
)
|
(6,323,612
)
|
—
|
—
|
|
Futures Contracts
|
(5,497,550
)
|
(5,497,550
)
|
—
|
—
|
|
Total
|
$(63,695,323
)
|
$(11,821,162
)
|
$(51,874,161
)
|
$—
|
|
*
|
See Portfolio of Investments for industry breakout.
|
|
**
|
See Portfolio of Investments for state breakout.
|
|
Security Name
|
Shares at
4/30/2026
|
Value at
7/31/2025
|
Purchases
|
Sales
|
Change in
Unrealized
Appreciation
(Depreciation)
|
Realized
Gain
(Loss)
|
Value at
4/30/2026
|
Dividend
Income
|
|
First Trust AAA CMBS ETF
|
20,000
|
$406,700
|
$—
|
$—
|
$(258
)
|
$—
|
$406,442
|
$16,060
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES — 88.6%
|
|||||
|
|
Commercial Mortgage-Backed Securities — 88.6%
|
|
|||
|
|
2023-MIC Trust (The)
|
|
|
|
|
|
$530,000
|
Series 2023-MIC, Class A (a) (b)
|
8.73%
|
12/05/38
|
$564,811
|
|
|
|
Arbor Multifamily Mortgage Securities Trust
|
|
|
|
|
|
390,000
|
Series 2020-MF1, Class A4 (a)
|
2.50%
|
05/15/53
|
363,693
|
|
|
150,000
|
Series 2020-MF1, Class AS (a)
|
3.06%
|
05/15/53
|
139,768
|
|
|
390,000
|
Series 2021-MF2, Class A4 (a)
|
2.25%
|
06/15/54
|
349,306
|
|
|
3,791,000
|
Series 2021-MF3, Class XB, IO (a) (b)
|
0.60%
|
10/15/54
|
93,490
|
|
|
|
BANK
|
|
|
|
|
|
2,854,636
|
Series 2018-BN10, Class XA, IO (b)
|
0.83%
|
02/15/61
|
27,210
|
|
|
248,766
|
Series 2018-BN13, Class A4
|
3.95%
|
08/15/61
|
246,145
|
|
|
7,452,962
|
Series 2019-BN19, Class XA, IO (b)
|
1.07%
|
08/15/61
|
186,797
|
|
|
2,995,550
|
Series 2019-BN21, Class XA, IO (b)
|
0.93%
|
10/17/52
|
68,554
|
|
|
4,091,089
|
Series 2019-BN23, Class XA, IO (b)
|
0.80%
|
12/15/52
|
83,064
|
|
|
542,000
|
Series 2020-BN25, Class A5
|
2.65%
|
01/15/63
|
502,690
|
|
|
325,000
|
Series 2020-BN26, Class A3
|
2.16%
|
03/15/63
|
300,488
|
|
|
2,383,519
|
Series 2020-BN26, Class XA, IO (b)
|
1.31%
|
03/15/63
|
79,201
|
|
|
500,170
|
Series 2020-BN29, Class A4
|
2.00%
|
11/15/53
|
442,008
|
|
|
414,000
|
Series 2020-BN30, Class A4
|
1.93%
|
12/15/53
|
366,200
|
|
|
7,500,000
|
Series 2021-BN31, Class XB, IO (b)
|
0.97%
|
02/15/54
|
266,535
|
|
|
318,750
|
Series 2021-BN33, Class A5
|
2.56%
|
05/15/64
|
287,891
|
|
|
8,568,111
|
Series 2023-BNK46, Class XA, IO (b)
|
0.75%
|
08/15/56
|
271,556
|
|
|
5,164,405
|
Series 2025-BNK49, Class XA, IO (b)
|
0.83%
|
03/15/58
|
235,491
|
|
|
|
BBCMS Mortgage Trust
|
|
|
|
|
|
400,000
|
Series 2017-C1, Class A4
|
3.67%
|
02/15/50
|
397,234
|
|
|
543,000
|
Series 2018-TALL, Class A, 1 Mo. CME Term SOFR + CSA +
0.87% (a) (c)
|
4.57%
|
03/15/37
|
514,014
|
|
|
550,000
|
Series 2020-C8, Class A5
|
2.04%
|
10/15/53
|
492,174
|
|
|
300,000
|
Series 2022-C16, Class A5
|
4.60%
|
06/15/55
|
293,257
|
|
|
300,000
|
Series 2022-C18, Class A5
|
5.71%
|
12/15/55
|
312,382
|
|
|
5,789,044
|
Series 2025-C35, Class XA, IO (b)
|
0.86%
|
07/15/58
|
284,221
|
|
|
|
Benchmark Mortgage Trust
|
|
|
|
|
|
329,000
|
Series 2020-B18, Class A5
|
1.93%
|
07/15/53
|
292,303
|
|
|
500,000
|
Series 2021-B25, Class A4
|
2.27%
|
04/15/54
|
456,969
|
|
|
425,000
|
Series 2023-B40, Class ASB
|
6.25%
|
12/15/56
|
454,500
|
|
|
2,442,291
|
Series 2024-V6, Class XA, IO (b)
|
1.58%
|
03/15/57
|
80,667
|
|
|
|
BMO Mortgage Trust
|
|
|
|
|
|
260,000
|
Series 2023-C5, Class ASB
|
5.99%
|
06/15/56
|
271,265
|
|
|
235,000
|
Series 2023-C6, Class ASB
|
6.21%
|
09/15/56
|
248,775
|
|
|
250,000
|
Series 2023-C7, Class A5
|
6.16%
|
12/15/56
|
264,941
|
|
|
300,000
|
Series 2024-C9, Class ASB
|
5.77%
|
07/15/57
|
313,483
|
|
|
250,000
|
Series 2025-C11, Class ASB
|
5.68%
|
02/15/58
|
261,741
|
|
|
350,000
|
Series 2025-C12, Class ASB
|
5.76%
|
06/15/58
|
366,347
|
|
|
3,668,825
|
Series 2025-C13, Class XA, IO (b)
|
1.22%
|
10/15/58
|
277,691
|
|
|
|
BPR Mortgage Trust
|
|
|
|
|
|
250,000
|
Series 2023-STON, Class A (a)
|
7.50%
|
12/05/39
|
257,376
|
|
|
|
BPR Trust
|
|
|
|
|
|
67,321
|
Series 2021-WILL, Class A, 1 Mo. CME Term SOFR + CSA +
1.75% (a) (c)
|
5.52%
|
06/15/38
|
67,300
|
|
|
|
BSTN Commercial Mortgage Trust
|
|
|
|
|
|
551,000
|
Series 2025-1C, Class A (a) (b)
|
5.55%
|
06/15/44
|
562,242
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Commercial Mortgage-Backed Securities (Continued)
|
|
|||
|
|
BWAY Trust
|
|
|
|
|
|
$415,000
|
Series 2025-1535, Class A (a) (b)
|
6.52%
|
05/05/42
|
$420,082
|
|
|
131,000
|
Series 2025-1535, Class B (a) (b)
|
7.71%
|
05/05/42
|
136,223
|
|
|
|
BX Commercial Mortgage Trust
|
|
|
|
|
|
489,000
|
Series 2020-VIV4, Class A (a)
|
2.84%
|
03/09/44
|
454,753
|
|
|
|
BX Trust
|
|
|
|
|
|
600,000
|
Series 2025-DELC, Class A, 1 Mo. CME Term SOFR +
1.55% (a) (c)
|
5.20%
|
12/15/42
|
601,496
|
|
|
260,000
|
Series 2025-GW, Class A, 1 Mo. CME Term SOFR +
1.60% (a) (c)
|
5.26%
|
07/15/42
|
260,547
|
|
|
255,000
|
Series 2025-VOLT, Class A, 1 Mo. CME Term SOFR +
1.70% (a) (c)
|
5.35%
|
12/15/44
|
255,284
|
|
|
|
Cali Mortgage Trust
|
|
|
|
|
|
134,000
|
Series 2024-SUN, Class A, 1 Mo. CME Term SOFR +
1.89% (a) (c)
|
5.55%
|
07/15/41
|
134,382
|
|
|
|
Cantor Commercial Real Estate Lending
|
|
|
|
|
|
359,550
|
Series 2019-CF1, Class A2
|
3.62%
|
05/15/52
|
355,236
|
|
|
|
CENT
|
|
|
|
|
|
550,000
|
Series 2025-CITY, Class A (a) (b)
|
5.09%
|
07/10/40
|
553,032
|
|
|
|
CFCRE Commercial Mortgage Trust
|
|
|
|
|
|
7,284,270
|
Series 2017-C8, Class XA, IO (b)
|
1.60%
|
06/15/50
|
56,189
|
|
|
|
CHI Commercial Mortgage Trust
|
|
|
|
|
|
520,000
|
Series 2025-SFT, Class A (a) (b)
|
5.66%
|
04/15/42
|
527,859
|
|
|
|
Citigroup Commercial Mortgage Trust
|
|
|
|
|
|
351,878
|
Series 2019-GC43, Class AAB
|
2.96%
|
11/10/52
|
342,516
|
|
|
500,000
|
Series 2020-420K, Class A (a)
|
2.46%
|
11/10/42
|
448,823
|
|
|
|
Credit Suisse Mortgage Trust
|
|
|
|
|
|
650,000
|
Series 2019-UVIL, Class A (a)
|
3.16%
|
12/15/41
|
611,284
|
|
|
|
Deutsche Bank Commercial Mortgage Trust
|
|
|
|
|
|
300,000
|
Series 2020-C9, Class A5
|
1.93%
|
08/15/53
|
268,839
|
|
|
|
GGP Trust
|
|
|
|
|
|
500,000
|
Series 2026-2PAK, Class A (b) (d)
|
6.03%
|
04/10/43
|
498,736
|
|
|
|
GS Mortgage Securities Trust
|
|
|
|
|
|
304,877
|
Series 2017-GS6, Class A2
|
3.16%
|
05/10/50
|
301,988
|
|
|
8,421,797
|
Series 2019-GC39, Class XA, IO (b)
|
1.22%
|
05/10/52
|
230,094
|
|
|
300,000
|
Series 2024-FAIR, Class A (a) (b)
|
6.07%
|
07/15/29
|
305,597
|
|
|
|
Hawaii Hotel Trust
|
|
|
|
|
|
257,500
|
Series 2025-MAUI, Class A, 1 Mo. CME Term SOFR +
1.39% (a) (c)
|
5.05%
|
03/15/42
|
257,970
|
|
|
|
Hilton USA Trust
|
|
|
|
|
|
300,000
|
Series 2016-HHV, Class A (a)
|
3.72%
|
11/05/38
|
298,795
|
|
|
300,000
|
Series 2025-NVIL, Class A, 1 Mo. CME Term SOFR +
1.74% (a) (c)
|
5.40%
|
07/15/42
|
300,945
|
|
|
|
Houston Galleria Mall Trust
|
|
|
|
|
|
280,000
|
Series 2025-HGLR, Class A (a) (b)
|
5.64%
|
02/05/45
|
286,876
|
|
|
|
ILPT Trust
|
|
|
|
|
|
325,000
|
Series 2019-SURF, Class A (a)
|
4.15%
|
02/11/41
|
318,511
|
|
|
|
INT Commercial Mortgage Trust
|
|
|
|
|
|
500,000
|
Series 2025-PLAZA, Class A (a) (b)
|
5.04%
|
11/05/37
|
500,002
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Commercial Mortgage-Backed Securities (Continued)
|
|
|||
|
|
IRV Trust
|
|
|
|
|
|
$100,000
|
Series 2025-200P, Class A (a) (b)
|
5.47%
|
03/14/47
|
$101,122
|
|
|
|
JP Morgan Chase Commercial Mortgage Securities Trust
|
|
|
|
|
|
7,263,253
|
Series 2019-COR5, Class XA, IO (b)
|
1.58%
|
06/13/52
|
234,939
|
|
|
500,000
|
Series 2025-PHNY, Class A, 1 Mo. CME Term SOFR +
1.64% (a) (c)
|
5.30%
|
01/15/41
|
501,001
|
|
|
|
JW Trust
|
|
|
|
|
|
260,000
|
Series 2024-BERY, Class A, 1 Mo. CME Term SOFR +
1.59% (a) (c)
|
5.25%
|
11/15/39
|
260,808
|
|
|
|
KRE Commercial Mortgage Trust
|
|
|
|
|
|
300,000
|
Series 2026-ICNA, Class A, 1 Mo. CME Term SOFR +
1.85% (a) (c)
|
5.50%
|
05/15/43
|
301,330
|
|
|
|
Manhattan West Mortgage Trust
|
|
|
|
|
|
287,000
|
Series 2020-1MW, Class A (a)
|
2.13%
|
09/10/39
|
277,191
|
|
|
|
Morgan Stanley Capital I Trust
|
|
|
|
|
|
245,835
|
Series 2018-L1, Class A3
|
4.14%
|
10/15/51
|
244,605
|
|
|
310,015
|
Series 2019-L2, Class A3
|
3.81%
|
03/15/52
|
303,861
|
|
|
12,200,170
|
Series 2019-L2, Class XA, IO (b)
|
1.16%
|
03/15/52
|
281,341
|
|
|
|
MSWF Commercial Mortgage Trust
|
|
|
|
|
|
5,341,758
|
Series 2023-1, Class XA, IO (b)
|
1.09%
|
05/15/56
|
250,127
|
|
|
|
NRTH Commercial Mortgage Trust
|
|
|
|
|
|
275,000
|
Series 2025-PARK, Class A, 1 Mo. CME Term SOFR +
1.39% (a) (c)
|
5.05%
|
10/15/40
|
275,212
|
|
|
|
NY Commercial Mortgage Trust
|
|
|
|
|
|
500,000
|
Series 2025-299P, Class A (a) (b)
|
5.85%
|
02/10/47
|
519,413
|
|
|
|
NYO Commercial Mortgage Trust
|
|
|
|
|
|
375,000
|
Series 2021-1290, Class A, 1 Mo. CME Term SOFR + CSA +
1.10% (a) (c)
|
4.86%
|
11/15/38
|
374,874
|
|
|
|
SFO Commercial Mortgage Trust
|
|
|
|
|
|
319,200
|
Series 2021-555, Class A, 1 Mo. CME Term SOFR + CSA +
1.15% (a) (c)
|
4.92%
|
05/15/38
|
319,255
|
|
|
|
SHOPS Commercial Mortgage Trust
|
|
|
|
|
|
300,000
|
Series 2026-CSTL, Class A (a) (b) (d)
|
4.97%
|
05/15/39
|
298,812
|
|
|
|
SKY Trust
|
|
|
|
|
|
452,583
|
Series 2025-LINE, Class A, 1 Mo. CME Term SOFR +
2.59% (a) (c)
|
6.24%
|
04/15/42
|
454,610
|
|
|
|
SLG Office Trust
|
|
|
|
|
|
323,000
|
Series 2021-OVA, Class A (a)
|
2.59%
|
07/15/41
|
288,501
|
|
|
|
SWCH Commercial Mortgage Trust
|
|
|
|
|
|
555,000
|
Series 2025-DATA, Class A, 1 Mo. CME Term SOFR +
1.44% (a) (c)
|
5.10%
|
02/15/42
|
550,940
|
|
|
|
TEXAS Commercial Mortgage Trust
|
|
|
|
|
|
500,000
|
Series 2025-TWR, Class A, 1 Mo. CME Term SOFR +
1.29% (a) (c)
|
4.95%
|
04/15/42
|
499,039
|
|
|
|
VRTX Trust
|
|
|
|
|
|
500,000
|
Series 2025-HQ, Class A (a) (b)
|
5.09%
|
08/05/42
|
494,985
|
|
|
|
Wells Fargo Commercial Mortgage Trust
|
|
|
|
|
|
375,000
|
Series 2018-C47, Class A4
|
4.44%
|
09/15/61
|
374,401
|
|
|
76,100
|
Series 2018-C47, Class AS
|
4.67%
|
09/15/61
|
75,465
|
|
|
4,044,275
|
Series 2021-C59, Class XA, IO (b)
|
1.61%
|
04/15/54
|
213,799
|
|
|
3,897,425
|
Series 2021-C60, Class XA, IO (b)
|
1.61%
|
08/15/54
|
218,999
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Commercial Mortgage-Backed Securities (Continued)
|
|
|||
|
|
Wells Fargo Commercial Mortgage Trust (Continued)
|
|
|
|
|
|
$380,000
|
Series 2022-C62, Class A4
|
4.00%
|
04/15/55
|
$362,313
|
|
|
350,000
|
Series 2025-B33RP, Class A, 1 Mo. CME Term SOFR +
1.35% (a) (c)
|
5.00%
|
08/15/42
|
350,185
|
|
|
|
WHARF Commercial Mortgage Trust
|
|
|
|
|
|
325,000
|
Series 2025-DC, Class A (a) (b)
|
5.53%
|
07/15/40
|
331,018
|
|
|
|
Total Mortgage-Backed Securities
|
28,827,985
|
|||
|
|
(Cost $28,634,135)
|
|
|||
|
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 6.2%
|
|||||
|
|
Commercial Mortgage-Backed Securities — 5.3%
|
|
|||
|
|
Federal Home Loan Mortgage Corporation Multiclass Certificates
|
|
|
|
|
|
160,000
|
Series 2020-RR05, Class X, IO
|
2.01%
|
01/27/29
|
7,351
|
|
|
1,500,000
|
Series 2020-RR07, Class AX, IO (e)
|
2.47%
|
09/27/28
|
68,031
|
|
|
|
Federal Home Loan Mortgage Corporation Multifamily Structured
Pass Through Certificates
|
|
|
|
|
|
8,649,748
|
Series 2020-K104, Class X1, IO (b)
|
1.23%
|
01/25/30
|
305,063
|
|
|
1,599,344
|
Series 2020-K122, Class X1, IO (b)
|
0.95%
|
11/25/30
|
52,565
|
|
|
1,185,472
|
Series 2025-K546, Class X1, IO (b)
|
1.06%
|
05/25/30
|
37,966
|
|
|
|
Government National Mortgage Association
|
|
|
|
|
|
3,509,782
|
Series 2021-31, Class IO, IO (b)
|
0.94%
|
01/16/61
|
239,277
|
|
|
4,895,992
|
Series 2024-47, Class AI, IO
|
0.75%
|
06/16/64
|
256,375
|
|
|
3,530,475
|
Series 2025-21, Class IO, IO (b)
|
0.95%
|
04/16/65
|
248,441
|
|
|
3,244,675
|
Series 2025-153, Class IO, IO (b)
|
0.85%
|
09/16/67
|
243,439
|
|
|
4,103,855
|
Series 2025-206, Class IO, IO (b)
|
0.80%
|
04/16/64
|
247,960
|
|
|
|
|
1,706,468
|
|||
|
|
Pass-Through Securities — 0.9%
|
|
|||
|
|
Federal National Mortgage Association
|
||||
|
300,000
|
Pool BZ0874
|
4.76%
|
06/01/29
|
304,019
|
|
|
|
Total U.S. Government Agency Mortgage-Backed Securities
|
2,010,487
|
|||
|
|
(Cost $2,018,190)
|
|
|||
|
U.S. TREASURY BILLS — 1.5%
|
|||||
|
500,000
|
U.S. Treasury Bill
|
(f)
|
05/12/26
|
499,455
|
|
|
|
(Cost $499,452)
|
|
|
|
|
|
Shares
|
Description
|
Value
|
|||
|
MONEY MARKET FUNDS — 2.0%
|
|||||
|
650,124
|
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional
Class - 3.52% (g)
|
650,124
|
|||
|
|
(Cost $650,124)
|
|
|||
|
|
|||||
|
|
|||||
|
|
Total Investments — 98.3%
|
31,988,051
|
|||
|
|
(Cost $31,801,901)
|
|
|||
|
|
Net Other Assets and Liabilities — 1.7%
|
541,303
|
|||
|
|
Net Assets — 100.0%
|
$32,529,354
|
|||
|
Futures Contracts Long
|
Number of
Contracts
|
Expiration
Date
|
Notional
Value
|
Unrealized
Appreciation
(Depreciation)/
Value
|
|
U.S. 2-Year Treasury Notes
|
38
|
Jun-2026
|
$7,870,750
|
$(44,762
)
|
|
U.S. 5-Year Treasury Notes
|
2
|
Jun-2026
|
215,672
|
(46
)
|
|
U.S. 10-Year Treasury Notes
|
18
|
Jun-2026
|
1,990,687
|
(42,281
)
|
|
Ultra 10 Year U.S. Treasury Notes
|
13
|
Jun-2026
|
1,467,172
|
(13,270
)
|
|
|
|
Total
|
$11,544,281
|
$(100,359
)
|
|
(a)
|
This security, sold within the terms of a private placement memorandum, is exempt
from registration upon resale under
Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions
exempt from registration, normally to
qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined
to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall
market illiquidity, liquidity for each security is determined based on security specific
factors and assumptions, which require
subjective judgment. At April 30, 2026, securities noted as such amounted to $15,782,757
or 48.5% of net assets.
|
|
(b)
|
Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment’s underlying collateral. The
interest rate resets periodically.
|
|
(c)
|
Floating or variable rate security.
|
|
(d)
|
When-issued security. The interest rate shown reflects the rate in effect at April
30, 2026. Interest will begin accruing on the
security’s first settlement date.
|
|
(e)
|
Weighted Average Coupon security. Coupon is based on the blended interest rate of
the underlying holdings, which may have
different coupons. The coupon may change in any period.
|
|
(f)
|
Zero coupon security.
|
|
(g)
|
Rate shown reflects yield as of April 30, 2026.
|
|
Abbreviations throughout the Portfolio of Investments:
|
|
|
CME
|
– Chicago Mercantile Exchange
|
|
CSA
|
– Credit Spread Adjustment
|
|
IO
|
– Interest-Only Security - Principal amount shown represents par value on which interest
payments are based
|
|
SOFR
|
– Secured Overnight Financing Rate
|
|
ASSETS TABLE
|
||||
|
|
Total
Value at
4/30/2026
|
Level 1
Quoted
Prices
|
Level 2
Significant
Observable
Inputs
|
Level 3
Significant
Unobservable
Inputs
|
|
Mortgage-Backed Securities
|
$28,827,985
|
$—
|
$28,827,985
|
$—
|
|
U.S. Government Agency Mortgage-Backed Securities
|
2,010,487
|
—
|
2,010,487
|
—
|
|
U.S. Treasury Bills
|
499,455
|
—
|
499,455
|
—
|
|
Money Market Funds
|
650,124
|
650,124
|
—
|
—
|
|
Total Investments
|
$31,988,051
|
$650,124
|
$31,337,927
|
$—
|
|
LIABILITIES TABLE
|
||||
|
|
Total
Value at
4/30/2026
|
Level 1
Quoted
Prices
|
Level 2
Significant
Observable
Inputs
|
Level 3
Significant
Unobservable
Inputs
|
|
Futures Contracts
|
$(100,359
)
|
$(100,359
)
|
$—
|
$—
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES — 54.5%
|
|||||
|
|
Collateralized Mortgage Obligations — 44.2%
|
|
|||
|
|
Ajax Mortgage Loan Trust
|
|
|
|
|
|
$913,000
|
Series 2021-E, Class A2 (a)
|
2.69%
|
12/25/60
|
$699,200
|
|
|
|
BRAVO Residential Funding Trust
|
|
|
|
|
|
380,000
|
Series 2024-NQM5, Class B1 (a)
|
7.38%
|
06/25/64
|
386,416
|
|
|
255,000
|
Series 2024-NQM6, Class B1 (a)
|
7.30%
|
08/01/64
|
259,177
|
|
|
|
CIM Trust
|
|
|
|
|
|
1,200,000
|
Series 2019-R5, Class B2 (a) (b)
|
5.00%
|
09/25/59
|
1,159,179
|
|
|
2,752,185
|
Series 2025-NR1, Class A1, steps up to 8.00%
on 03/01/2028 (a) (c)
|
5.00%
|
06/25/64
|
2,734,716
|
|
|
|
Citigroup Mortgage Loan Trust
|
|
|
|
|
|
3,963,100
|
Series 2020-EXP1, Class M1 (a) (b)
|
4.47%
|
05/25/60
|
3,635,513
|
|
|
|
COLT Mortgage Loan Trust
|
|
|
|
|
|
340,000
|
Series 2021-HX1, Class B3A (a) (b)
|
4.12%
|
10/25/66
|
255,048
|
|
|
1,485,000
|
Series 2021-5, Class B2 (a) (b)
|
4.19%
|
11/26/66
|
1,249,320
|
|
|
|
Connecticut Avenue Securities Trust
|
|
|
|
|
|
475,000
|
Series 2021-R02, Class 2B2, 30 Day Average SOFR +
6.20% (a) (d)
|
9.85%
|
11/25/41
|
487,097
|
|
|
480,000
|
Series 2021-R03, Class 1B2, 30 Day Average SOFR +
5.50% (a) (d)
|
9.15%
|
12/25/41
|
491,883
|
|
|
769,000
|
Series 2022-R03, Class 1B2, 30 Day Average SOFR +
9.85% (a) (d)
|
13.50%
|
03/25/42
|
824,038
|
|
|
445,000
|
Series 2022-R06, Class 1B2, 30 Day Average SOFR +
10.60% (a) (d)
|
14.25%
|
05/25/42
|
485,943
|
|
|
1,500,000
|
Series 2023-R06, Class 1B2, 30 Day Average SOFR +
5.90% (a) (d)
|
9.55%
|
07/25/43
|
1,622,911
|
|
|
743,584
|
Series 2025-R02, Class 1A1, 30 Day Average SOFR +
1.00% (a) (d)
|
4.65%
|
02/25/45
|
745,048
|
|
|
1,010,438
|
Series 2025-R03, Class 2A1, 30 Day Average SOFR +
1.45% (a) (d)
|
5.10%
|
03/25/45
|
1,016,373
|
|
|
|
Credit Suisse Mortgage Trust
|
|
|
|
|
|
663,000
|
Series 2021-NQM6, Class B1 (a)
|
3.29%
|
07/25/66
|
483,836
|
|
|
2,300,000
|
Series 2021-NQM7, Class B2 (a) (b)
|
4.37%
|
10/25/66
|
1,952,078
|
|
|
2,792,899
|
Series 2021-NQM8, Class B1 (a)
|
4.21%
|
10/25/66
|
2,260,032
|
|
|
|
Cross Mortgage Trust
|
|
|
|
|
|
450,000
|
Series 2025-H6, Class B1B (a)
|
7.55%
|
07/25/70
|
448,075
|
|
|
|
Deephaven Residential Mortgage Trust
|
|
|
|
|
|
626,000
|
Series 2021-1, Class B1 (a)
|
3.10%
|
05/25/65
|
577,017
|
|
|
1,535,000
|
Series 2021-1, Class B2 (a)
|
3.96%
|
05/25/65
|
1,395,096
|
|
|
700,000
|
Series 2021-2, Class M1 (a)
|
2.22%
|
04/25/66
|
543,254
|
|
|
500,000
|
Series 2022-1, Class B1 (a)
|
4.26%
|
01/25/67
|
418,629
|
|
|
|
Easy Street Mortgage Loan Trust
|
|
|
|
|
|
1,950,000
|
Series 2025-RTL2, Class A1, steps up to 7.50%
on 12/25/2027 (a) (c)
|
5.61%
|
10/25/40
|
1,953,745
|
|
|
|
Ellington Financial Mortgage Trust
|
|
|
|
|
|
289,000
|
Series 2019-2, Class M1 (a)
|
3.47%
|
11/25/59
|
279,005
|
|
|
258,000
|
Series 2024-INV1, Class B2 (a) (b)
|
7.39%
|
03/25/69
|
256,585
|
|
|
3,000,000
|
Series 2025-INV1, Class B2 (a) (b)
|
7.30%
|
03/25/70
|
2,970,641
|
|
|
960,969
|
Series 2025-NQM6, Class A3, steps up to 6.40%
on 12/01/2029 (a) (c)
|
5.40%
|
12/25/70
|
956,318
|
|
|
1,673,000
|
Series 2025-RTL1, Class M1 (a)
|
6.39%
|
11/25/40
|
1,672,040
|
|
|
860,000
|
Series 2025-RTL1, Class M2 (a)
|
8.33%
|
11/25/40
|
864,030
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Collateralized Mortgage Obligations (Continued)
|
|
|||
|
|
FARM Mortgage Trust
|
|
|
|
|
|
$313,026
|
Series 2021-1, Class B (a) (b)
|
3.22%
|
07/25/51
|
$250,582
|
|
|
508,547
|
Series 2024-1, Class B (a) (b)
|
5.08%
|
10/01/53
|
447,817
|
|
|
1,084,905
|
Series 2025-2, Class B (a) (b)
|
5.70%
|
09/25/55
|
948,805
|
|
|
|
Fidelis Mortgage Trust
|
|
|
|
|
|
1,750,000
|
Series 2025-RTL1, Class A2 (a)
|
6.22%
|
02/27/40
|
1,757,388
|
|
|
1,260,000
|
Series 2025-RTL2, Class A1, steps up to 6.57%
on 02/25/2028 (a) (c)
|
5.57%
|
07/25/40
|
1,264,370
|
|
|
2,250,000
|
Series 2025-RTL2, Class A2, steps up to 7.06%
on 02/25/2028 (a) (c)
|
6.06%
|
07/25/40
|
2,256,433
|
|
|
|
Flagstar Mortgage Trust
|
|
|
|
|
|
1,630,483
|
Series 2020-2, Class B3 (a) (b)
|
3.65%
|
08/25/50
|
1,434,737
|
|
|
|
Galton Funding Mortgage Trust
|
|
|
|
|
|
118,855
|
Series 2018-2, Class B2 (a)
|
4.53%
|
10/25/58
|
115,246
|
|
|
|
GCAT Trust
|
|
|
|
|
|
911,731
|
Series 2025-INV5, Class A28, 30 Day Average SOFR +
1.50% (a) (d)
|
5.15%
|
12/25/55
|
916,539
|
|
|
|
GS Mortgage-Backed Securities Trust
|
|
|
|
|
|
1,795,000
|
Series 2020-NQM1, Class B1 (a)
|
5.14%
|
09/27/60
|
1,732,439
|
|
|
1,500,000
|
Series 2022-LTV1, Class A14 (a)
|
3.00%
|
06/25/52
|
1,083,539
|
|
|
1,002,202
|
Series 2025-PJ11, Class A27, 30 Day Average SOFR +
1.35% (a) (d)
|
5.00%
|
05/25/56
|
1,003,708
|
|
|
|
Homeward Opportunities Fund Trust
|
|
|
|
|
|
1,000,000
|
Series 2024-RRTL2, Class M1 (a)
|
8.16%
|
09/25/39
|
1,002,411
|
|
|
654,000
|
Series 2024-RRTL2, Class M2 (a) (b)
|
9.08%
|
09/25/39
|
655,465
|
|
|
|
JP Morgan Mortgage Trust
|
|
|
|
|
|
286,516
|
Series 2020-INV1, Class A15 (a)
|
3.50%
|
08/25/50
|
257,546
|
|
|
267,727
|
Series 2020-INV1, Class B4 (a) (b)
|
4.17%
|
08/25/50
|
240,829
|
|
|
82,378
|
Series 2020-INV1, Class B5 (a) (b)
|
4.17%
|
08/25/50
|
72,758
|
|
|
297,274
|
Series 2020-INV1, Class B6Z (a) (e)
|
7.03%
|
08/25/50
|
272,492
|
|
|
1,515,386
|
Series 2021-12, Class B5 (a) (b)
|
3.16%
|
02/25/52
|
1,228,676
|
|
|
658,960
|
Series 2026-1, Class A11, 30 Day Average SOFR + 1.10% (a) (d)
|
4.75%
|
07/25/56
|
655,123
|
|
|
|
LHOME Mortgage Trust
|
|
|
|
|
|
445,000
|
Series 2024-RTL2, Class A2, steps up to 10.40%
on 10/25/2026 (a) (c)
|
8.90%
|
03/25/29
|
446,175
|
|
|
255,000
|
Series 2024-RTL2, Class M, steps up to 13.08%
on 10/25/2026 (a) (c)
|
11.58%
|
03/25/29
|
256,069
|
|
|
275,000
|
Series 2024-RTL3, Class M, steps up to 12.23%
on 12/25/2026 (a) (c)
|
10.73%
|
05/25/29
|
278,740
|
|
|
3,500,000
|
Series 2024-RTL5, Class M2 (a)
|
8.18%
|
09/25/39
|
3,515,223
|
|
|
|
MFA Trust
|
|
|
|
|
|
1,170,000
|
Series 2024-RTL3, Class A1, steps up to 6.91%
on 04/25/2027 (a) (c)
|
5.91%
|
11/25/39
|
1,175,092
|
|
|
1,000,000
|
Series 2024-RTL3, Class A2, steps up to 7.53%
on 04/25/2027 (a) (c)
|
6.54%
|
11/25/39
|
1,006,567
|
|
|
|
Mill City Mortgage Loan Trust
|
|
|
|
|
|
1,025,000
|
Series 2019-GS2, Class B2 (a) (b)
|
3.25%
|
08/25/59
|
781,125
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Collateralized Mortgage Obligations (Continued)
|
|
|||
|
|
Morgan Stanley Residential Mortgage Loan Trust
|
|
|
|
|
|
$290,000
|
Series 2025-SPL1, Class B1, steps up to 5.25%
on 09/01/2029 (a) (c)
|
4.25%
|
02/25/65
|
$259,207
|
|
|
380,000
|
Series 2025-SPL1, Class M1, steps up to 5.25%
on 09/01/2029 (a) (c)
|
4.25%
|
02/25/65
|
356,096
|
|
|
|
New Residential Mortgage Loan Trust
|
|
|
|
|
|
407,981
|
Series 2014-3A, Class B4 (a) (b)
|
5.32%
|
11/25/54
|
402,124
|
|
|
1,080,000
|
Series 2019-NQM4, Class B2 (a) (e)
|
5.04%
|
09/25/59
|
1,015,388
|
|
|
930,000
|
Series 2021-NQ1R, Class B2 (a)
|
4.33%
|
07/25/55
|
829,680
|
|
|
3,545,000
|
Series 2023-NQM1, Class B2 (a) (b)
|
7.47%
|
10/25/63
|
3,561,818
|
|
|
785,000
|
Series 2024-NQM1, Class B2 (a) (b)
|
7.91%
|
03/25/64
|
793,477
|
|
|
440,000
|
Series 2024-NQM3, Class B2 (a) (b)
|
7.15%
|
11/25/64
|
431,575
|
|
|
|
NLT Trust
|
|
|
|
|
|
334,000
|
Series 2021-INV2, Class B1 (a)
|
3.32%
|
08/25/56
|
259,089
|
|
|
|
OBX Trust
|
|
|
|
|
|
620,000
|
Series 2022-NQM2, Class A1B (a) (c)
|
4.38%
|
01/25/62
|
577,430
|
|
|
|
PMT Loan Trust
|
|
|
|
|
|
954,090
|
Series 2026-J1, Class A25, 30 Day Average SOFR +
1.15% (a) (d)
|
4.80%
|
01/25/57
|
949,124
|
|
|
1,250,000
|
Series 2026-CNF4, Class A23, 30 Day Average SOFR +
1.35% (a) (d)
|
4.99%
|
05/25/57
|
1,253,013
|
|
|
1,363,068
|
Series 2026-INV1, Class A36, 30 Day Average SOFR +
1.30% (a) (d)
|
4.95%
|
01/25/57
|
1,364,614
|
|
|
1,973,451
|
Series 2026-INV3, Class A36, 30 Day Average SOFR +
1.35% (a) (d)
|
5.00%
|
02/25/57
|
1,974,912
|
|
|
|
PRET LLC
|
|
|
|
|
|
375,000
|
Series 2025-NPL11, Class A2, steps up to 11.02%
on 09/25/2029 (a) (c)
|
7.02%
|
10/25/55
|
375,676
|
|
|
665,576
|
Series 2025-NPL6, Class A1, steps up to 8.74%
on 06/25/2028 (a) (c)
|
5.74%
|
06/25/55
|
666,920
|
|
|
300,000
|
Series 2025-NPL6, Class A2, steps up to 12.72%
on 06/25/2029 (a) (c)
|
8.72%
|
06/25/55
|
300,982
|
|
|
268,330
|
Series 2025-NPL7, Class A1, steps up to 8.65%
on 07/25/2028 (a) (c)
|
5.66%
|
07/25/55
|
269,036
|
|
|
500,000
|
Series 2025-NPL9, Class A2, steps up to 11.51%
on 08/25/2029 (a) (c)
|
7.51%
|
08/25/55
|
501,497
|
|
|
1,100,000
|
Series 2026-NPL1, Class A2, steps up to 10.53%
on 12/25/2029 (a) (c)
|
6.54%
|
01/25/56
|
1,088,938
|
|
|
1,045,412
|
Series 2026-NPL2, Class A1, steps up to 8.15%
on 01/25/2029 (a) (c)
|
5.15%
|
02/25/56
|
1,038,666
|
|
|
2,500,000
|
Series 2026-NPL4, Class A1, steps up to 8.51%
on 03/25/2029 (a) (c)
|
5.51%
|
04/25/56
|
2,494,260
|
|
|
2,000,000
|
Series 2026-NPL4, Class A2, steps up to 10.14%
on 03/25/2030 (a) (c)
|
7.14%
|
04/25/56
|
1,990,643
|
|
|
1,000,000
|
Series 2026-NPL5, Class A1, steps up to 8.66%
on 04/25/2029 (a) (c)
|
5.71%
|
04/25/56
|
1,002,490
|
|
|
2,000,000
|
Series 2026-NPL5, Class A2, steps up to 11.38%
on 04/25/2030 (a) (c)
|
7.05%
|
04/25/56
|
2,004,980
|
|
|
|
PRKCM Trust
|
|
|
|
|
|
1,000,000
|
Series 2022-AFC1, Class M1 (a) (b)
|
4.16%
|
04/25/57
|
937,322
|
|
|
371,000
|
Series 2023-AFC1, Class M1 (a) (b)
|
7.35%
|
02/25/58
|
370,567
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Collateralized Mortgage Obligations (Continued)
|
|
|||
|
|
PRPM
|
|
|
|
|
|
$1,500,000
|
Series 2024-NQM3, Class B1 (a) (b)
|
7.34%
|
08/25/69
|
$1,514,860
|
|
|
947,334
|
Series 2025-3, Class A1, steps up to 9.25% on 05/01/2028 (a) (c)
|
6.26%
|
05/25/30
|
945,033
|
|
|
|
PRPM LLC
|
|
|
|
|
|
1,426,000
|
Series 2023-RCF2, Class A3, steps up to 5.00%
on 11/25/2027 (a) (c)
|
4.00%
|
11/25/53
|
1,400,318
|
|
|
400,000
|
Series 2024-8, Class A2, steps up to 11.83%
on 12/25/2027 (a) (c)
|
8.84%
|
12/25/29
|
401,256
|
|
|
2,066,000
|
Series 2024-RCF1, Class A3, steps up to 5.00%
on 01/25/2028 (a) (c)
|
4.00%
|
01/25/54
|
2,022,752
|
|
|
1,550,000
|
Series 2024-RCF4, Class A2, steps up to 5.00%
on 07/25/2028 (a) (c)
|
4.00%
|
07/25/54
|
1,510,484
|
|
|
1,350,000
|
Series 2024-RCF4, Class M1, steps up to 5.00%
on 07/25/2028 (a) (c)
|
4.00%
|
07/25/54
|
1,302,310
|
|
|
1,000,000
|
Series 2024-RCF5, Class A2, steps up to 5.00%
on 08/25/2028 (a) (c)
|
4.00%
|
08/25/54
|
973,549
|
|
|
325,000
|
Series 2024-RPL4, Class M2, steps up to 5.00%
on 12/25/2028 (a) (c)
|
4.00%
|
12/25/54
|
298,129
|
|
|
211,956
|
Series 2025-2, Class A1, steps up to 9.47% on 05/01/2028 (a) (c)
|
6.47%
|
05/25/30
|
211,418
|
|
|
2,000,000
|
Series 2025-5, Class A2, steps up to 11.56%
on 07/01/2028 (a) (c)
|
8.57%
|
07/25/30
|
1,996,985
|
|
|
1,000,000
|
Series 2025-6, Class M1 (a)
|
10.56%
|
08/25/28
|
998,711
|
|
|
451,095
|
Series 2025-7, Class A1, steps up to 8.50% on 08/01/2028 (a) (c)
|
5.50%
|
08/25/30
|
451,224
|
|
|
500,000
|
Series 2025-8, Class A2, steps up to 10.19%
on 10/01/2028 (a) (c)
|
7.20%
|
10/25/30
|
498,489
|
|
|
290,000
|
Series 2025-RCF4, Class M2, steps up to 5.50%
on 08/01/2029 (a) (c)
|
4.50%
|
08/25/55
|
269,755
|
|
|
1,000,000
|
Series 2025-RCF5, Class A3, steps up to 6.46%
on 10/01/2029 (a) (c)
|
5.46%
|
10/25/55
|
1,001,795
|
|
|
600,000
|
Series 2025-RCF6, Class M1, steps up to 6.50%
on 12/01/2029 (a) (c)
|
5.50%
|
12/25/55
|
592,163
|
|
|
350,000
|
Series 2025-RPL3, Class M1, steps up to 4.25%
on 04/01/2028 (a) (c)
|
3.25%
|
04/25/55
|
333,419
|
|
|
2,049,000
|
Series 2026-RCF2, Class M1 (a)
|
5.50%
|
03/25/56
|
2,027,866
|
|
|
1,950,000
|
Series 2026-RCF2, Class M2 (a)
|
5.50%
|
03/25/56
|
1,858,227
|
|
|
|
PRPM Trust
|
|
|
|
|
|
2,150,000
|
Series 2023-NQM3, Class B2 (a) (b)
|
7.34%
|
11/25/68
|
2,164,042
|
|
|
990,000
|
Series 2026-RCF1, Class M2, steps up to 6.50%
on 01/01/2030 (a) (c)
|
5.50%
|
01/25/56
|
942,941
|
|
|
|
Rate Mortgage Trust
|
|
|
|
|
|
927,261
|
Series 2025-J3, Class A27, 30 Day Average SOFR +
1.55% (a) (d)
|
5.20%
|
11/25/55
|
933,557
|
|
|
|
RCO IX Mortgage LLC
|
|
|
|
|
|
574,200
|
Series 2025-4, Class A1, steps up to 8.30% on 10/25/2028 (a) (c)
|
5.31%
|
10/25/30
|
574,519
|
|
|
4,150,000
|
Series 2025-4, Class A2, steps up to 10.90%
on 10/25/2028 (a) (c)
|
6.90%
|
10/25/30
|
4,131,913
|
|
|
|
Redwood Funding Trust
|
|
|
|
|
|
465,813
|
Series 2025-2, Class A (a) (c)
|
7.11%
|
10/25/55
|
472,012
|
|
|
1,029,167
|
Series 2025-3, Class A (a)
|
6.23%
|
12/27/56
|
1,038,395
|
|
|
3,505,000
|
Series 2025-3, Class B (a)
|
7.75%
|
12/27/56
|
3,541,768
|
|
|
2,701,082
|
Series 2026-1, Class A, steps up to 9.00% on 02/27/2028 (a) (c)
|
5.93%
|
09/27/56
|
2,704,450
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Collateralized Mortgage Obligations (Continued)
|
|
|||
|
|
Redwood Funding Trust (Continued)
|
|
|
|
|
|
$2,500,000
|
Series 2026-2, Class A (a) (f)
|
6.26%
|
11/27/56
|
$2,499,996
|
|
|
1,785,000
|
Series 2026-2, Class B (a) (f)
|
8.00%
|
11/27/56
|
1,784,968
|
|
|
|
Residential Mortgage Loan Trust
|
|
|
|
|
|
3,340,000
|
Series 2021-1R, Class B2 (a)
|
4.47%
|
01/25/65
|
3,090,006
|
|
|
|
Saluda Grade Alternative Mortgage Trust
|
|
|
|
|
|
325,000
|
Series 2024-INV1, Class B1 (a) (b)
|
7.10%
|
08/25/59
|
325,118
|
|
|
255,000
|
Series 2024-RTL4, Class A2, steps up to 8.50%
on 07/01/2026 (a) (c)
|
7.50%
|
02/25/30
|
253,924
|
|
|
|
Saluds Grade Alternative Mortgage Trust
|
|
|
|
|
|
500,000
|
Series 2025-RRTL1, Class M2 (a)
|
8.42%
|
10/25/40
|
492,194
|
|
|
|
Sequoia Mortgage Trust
|
|
|
|
|
|
1,668,838
|
Series 2026-HYB1, Class A1B (a)
|
4.67%
|
04/25/56
|
1,633,856
|
|
|
|
SG Residential Mortgage Trust
|
|
|
|
|
|
521,000
|
Series 2019-3, Class B2 (a)
|
5.66%
|
09/25/59
|
507,600
|
|
|
924,443
|
Series 2022-1, Class A1 (a)
|
3.17%
|
03/27/62
|
875,353
|
|
|
|
Starwood Mortgage Residential Trust
|
|
|
|
|
|
895,000
|
Series 2020-3, Class B2 (a) (b)
|
4.75%
|
04/25/65
|
797,417
|
|
|
|
Toorak Mortgage Trust
|
|
|
|
|
|
750,000
|
Series 2024-2, Class A2, steps up to 10.15%
on 04/25/2027 (a) (c)
|
8.65%
|
10/25/31
|
756,119
|
|
|
195,588
|
Series 2024-RRTL1, Class A1, steps up to 7.59%
on 08/25/2026 (a) (c)
|
6.60%
|
02/25/39
|
195,914
|
|
|
|
Towd Point Mortgage Trust
|
|
|
|
|
|
1,250,000
|
Series 2017-4, Class B4 (a)
|
3.63%
|
06/25/57
|
978,806
|
|
|
|
VCAT LLC
|
|
|
|
|
|
2,767,415
|
Series 2026-NPL2, Class A1, steps up to 8.06%
on 02/25/2029 (a) (c)
|
5.06%
|
02/25/56
|
2,760,253
|
|
|
|
Verus Securitization Trust
|
|
|
|
|
|
375,000
|
Series 2021-R2, Class B2 (a)
|
4.26%
|
02/25/64
|
315,428
|
|
|
1,000,000
|
Series 2021-4, Class B2 (a)
|
3.81%
|
07/25/66
|
727,660
|
|
|
367,000
|
Series 2021-5, Class B2 (a)
|
3.94%
|
09/25/66
|
282,204
|
|
|
550,000
|
Series 2021-6, Class B2 (a)
|
4.53%
|
10/25/66
|
447,180
|
|
|
1,500,000
|
Series 2021-8, Class B2 (a)
|
4.33%
|
11/25/66
|
1,193,346
|
|
|
735,000
|
Series 2022-1, Class B1 (a)
|
4.01%
|
01/25/67
|
583,518
|
|
|
3,305,000
|
Series 2022-1, Class B2 (a) (b)
|
3.97%
|
01/25/67
|
2,508,020
|
|
|
3,952,026
|
Series 2022-3, Class A3 (a)
|
4.13%
|
02/25/67
|
3,749,492
|
|
|
265,000
|
Series 2024-2, Class B1 (a)
|
7.86%
|
02/25/69
|
268,853
|
|
|
4,000,000
|
Series 2024-2, Class B2 (a) (b)
|
8.67%
|
02/25/69
|
4,051,462
|
|
|
385,000
|
Series 2024-3, Class B1 (a)
|
8.03%
|
04/25/69
|
392,347
|
|
|
125,000
|
Series 2024-5, Class B1 (a)
|
7.79%
|
06/25/69
|
127,454
|
|
|
248,000
|
Series 2024-6, Class B1 (a) (b)
|
7.22%
|
07/25/69
|
251,467
|
|
|
1,500,000
|
Series 2024-7, Class B2 (a) (b)
|
7.80%
|
09/25/69
|
1,514,207
|
|
|
510,000
|
Series 2024-INV2, Class B2 (a) (b)
|
7.91%
|
08/26/69
|
510,494
|
|
|
315,000
|
Series 2025-1, Class B1 (a)
|
7.01%
|
01/25/70
|
318,502
|
|
|
150,000
|
Series 2025-INV1, Class B1 (a)
|
6.95%
|
02/25/70
|
152,040
|
|
|
|
Visio Trust
|
|
|
|
|
|
330,000
|
Series 2023-2, Class M1 (a) (b)
|
7.71%
|
10/25/58
|
331,058
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Collateralized Mortgage Obligations (Continued)
|
|
|||
|
|
Wells Fargo Mortgage Backed Securities Trust
|
|
|
|
|
|
$852,929
|
Series 2020-1, Class B2 (a) (b)
|
3.36%
|
12/25/49
|
$757,971
|
|
|
|
|
157,754,228
|
|||
|
|
Commercial Mortgage-Backed Securities — 10.3%
|
|
|||
|
|
BANK
|
|
|
|
|
|
2,054,559
|
Series 2019-BN16, Class XA, IO (b)
|
1.09%
|
02/15/52
|
40,039
|
|
|
2,718,444
|
Series 2019-BN21, Class XA, IO (b)
|
0.93%
|
10/17/52
|
62,212
|
|
|
1,046,542
|
Series 2019-BN22, Class XA, IO (b)
|
0.69%
|
11/15/62
|
18,788
|
|
|
478,000
|
Series 2020-BN25, Class A5
|
2.65%
|
01/15/63
|
443,332
|
|
|
7,500,000
|
Series 2021-BN31, Class XB, IO (b)
|
0.97%
|
02/15/54
|
266,535
|
|
|
9,999,286
|
Series 2023-BNK46, Class XA, IO (b)
|
0.75%
|
08/15/56
|
316,915
|
|
|
|
BBCMS Mortgage Trust
|
|
|
|
|
|
3,368,000
|
Series 2018-TALL, Class A, 1 Mo. CME Term SOFR + CSA +
0.87% (a) (d)
|
4.57%
|
03/15/37
|
3,188,213
|
|
|
3,290,853
|
Series 2020-C6, Class XA, IO (b)
|
1.13%
|
02/15/53
|
100,815
|
|
|
1,233,290
|
Series 2020-C7, Class XA, IO (b)
|
1.70%
|
04/15/53
|
48,799
|
|
|
4,998,735
|
Series 2024-5C25, Class XA, IO (b)
|
1.43%
|
03/15/57
|
147,737
|
|
|
|
Benchmark Mortgage Trust
|
|
|
|
|
|
4,926,211
|
Series 2019-B13, Class XA, IO (b)
|
1.21%
|
08/15/57
|
141,883
|
|
|
1,264,587
|
Series 2020-B20, Class XA, IO (b)
|
1.62%
|
10/15/53
|
56,761
|
|
|
4,150,791
|
Series 2021-B29, Class XA, IO (b)
|
1.10%
|
09/15/54
|
135,438
|
|
|
4,435,998
|
Series 2024-V6, Class XA, IO (b)
|
1.58%
|
03/15/57
|
146,517
|
|
|
|
BMO Mortgage Trust
|
|
|
|
|
|
9,496,959
|
Series 2025-C13, Class XA, IO (b)
|
1.22%
|
10/15/58
|
718,819
|
|
|
|
BWAY Trust
|
|
|
|
|
|
415,000
|
Series 2025-1535, Class A (a) (b)
|
6.52%
|
05/05/42
|
420,082
|
|
|
1,000,000
|
Series 2025-1535, Class B (a) (b)
|
7.71%
|
05/05/42
|
1,039,868
|
|
|
|
BX Commercial Mortgage Trust
|
|
|
|
|
|
1,382,973
|
Series 2019-IMC, Class A, 1 Mo. CME Term SOFR + CSA +
1.00% (a) (d)
|
4.70%
|
04/15/34
|
1,376,670
|
|
|
|
BX Trust
|
|
|
|
|
|
2,500,000
|
Series 2025-VOLT, Class A, 1 Mo. CME Term SOFR +
1.70% (a) (d)
|
5.35%
|
12/15/44
|
2,502,786
|
|
|
2,000,000
|
Series 2025-DELC, Class D, 1 Mo. CME Term SOFR +
2.60% (a) (d)
|
6.25%
|
12/15/42
|
2,007,510
|
|
|
600,000
|
Series 2025-DELC, Class E, 1 Mo. CME Term SOFR +
3.05% (a) (d)
|
6.70%
|
12/15/42
|
603,214
|
|
|
|
CALI
|
|
|
|
|
|
300,000
|
Series 2024-SUN, Class D, 1 Mo. CME Term SOFR +
3.63% (a) (d)
|
7.29%
|
07/15/41
|
301,845
|
|
|
|
CFCRE Commercial Mortgage Trust
|
|
|
|
|
|
7,284,270
|
Series 2017-C8, Class XA, IO (b)
|
1.60%
|
06/15/50
|
56,189
|
|
|
|
COMM Mortgage Trust
|
|
|
|
|
|
600,000
|
Series 2024-CBM, Class G (a) (b)
|
8.19%
|
12/10/41
|
545,298
|
|
|
|
GGP Trust
|
|
|
|
|
|
3,500,000
|
Series 2026-2PAK, Class A (b) (g)
|
6.03%
|
04/10/43
|
3,491,155
|
|
|
|
Great Wolf Trust
|
|
|
|
|
|
2,000,000
|
Series 2024-WOLF, Class A, 1 Mo. CME Term SOFR +
1.54% (a) (d)
|
5.20%
|
03/15/39
|
2,005,122
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Commercial Mortgage-Backed Securities (Continued)
|
|
|||
|
|
GS Mortgage Securities Trust
|
|
|
|
|
|
$922,179
|
Series 2020-GC45, Class XA, IO (b)
|
0.73%
|
02/13/53
|
$16,982
|
|
|
1,642,493
|
Series 2020-GC47, Class XA, IO (b)
|
1.24%
|
05/12/53
|
58,758
|
|
|
1,830,000
|
Series 2024-FAIR, Class E (a) (b)
|
9.45%
|
07/15/29
|
1,822,553
|
|
|
|
JP Morgan Chase Commercial Mortgage Securities Trust
|
|
|
|
|
|
4,026,514
|
Series 2019-COR5, Class XA, IO (b)
|
1.58%
|
06/13/52
|
130,242
|
|
|
|
KRE Commercial Mortgage Trust
|
|
|
|
|
|
2,109,750
|
Series 2026-ICNA, Class A, 1 Mo. CME Term SOFR +
1.85% (a) (d)
|
5.50%
|
05/15/43
|
2,119,102
|
|
|
1,000,000
|
Series 2026-ICNA, Class D, 1 Mo. CME Term SOFR +
4.00% (a) (d)
|
7.65%
|
05/15/43
|
1,006,373
|
|
|
|
MCR Mortgage Trust
|
|
|
|
|
|
300,000
|
Series 2024-TWA, Class E (a)
|
8.73%
|
06/12/39
|
301,084
|
|
|
1,715,000
|
Series 2024-TWA, Class F (a)
|
10.38%
|
06/12/39
|
1,733,264
|
|
|
|
Morgan Stanley Capital I Trust
|
|
|
|
|
|
11,192,816
|
Series 2019-L2, Class XA, IO (b)
|
1.16%
|
03/15/52
|
258,111
|
|
|
5,609,722
|
Series 2019-L3, Class XA, IO (b)
|
0.72%
|
11/15/52
|
101,952
|
|
|
|
NRTH Commercial Mortgage Trust
|
|
|
|
|
|
400,000
|
Series 2025-PARK, Class A, 1 Mo. CME Term SOFR +
1.39% (a) (d)
|
5.05%
|
10/15/40
|
400,308
|
|
|
|
NYO Commercial Mortgage Trust
|
|
|
|
|
|
320,000
|
Series 2021-1290, Class D, 1 Mo. CME Term SOFR + CSA +
2.54% (a) (d)
|
6.31%
|
11/15/38
|
318,287
|
|
|
|
SFO Commercial Mortgage Trust
|
|
|
|
|
|
500,000
|
Series 2021-555, Class A, 1 Mo. CME Term SOFR + CSA +
1.15% (a) (d)
|
4.92%
|
05/15/38
|
500,086
|
|
|
1,000,000
|
Series 2021-555, Class D, 1 Mo. CME Term SOFR + CSA +
2.40% (a) (d)
|
6.17%
|
05/15/38
|
994,048
|
|
|
|
SHR Trust
|
|
|
|
|
|
250,000
|
Series 2024-LXRY, Class E, 1 Mo. CME Term SOFR +
4.45% (a) (d)
|
8.10%
|
10/15/41
|
251,865
|
|
|
|
SKY Trust
|
|
|
|
|
|
982,451
|
Series 2025-LINE, Class A, 1 Mo. CME Term SOFR +
2.59% (a) (d)
|
6.24%
|
04/15/42
|
986,853
|
|
|
|
SWCH Commercial Mortgage Trust
|
|
|
|
|
|
3,000,000
|
Series 2025-DATA, Class A, 1 Mo. CME Term SOFR +
1.44% (a) (d)
|
5.10%
|
02/15/42
|
2,978,053
|
|
|
|
VCC
|
|
|
|
|
|
2,000,000
|
Series 2026-MC1, Class A2, steps up to 11.66%
on 01/01/2029 (a) (c)
|
8.67%
|
01/27/31
|
1,990,657
|
|
|
|
Wells Fargo Commercial Mortgage Trust
|
|
|
|
|
|
3,325,884
|
Series 2021-C59, Class XA, IO (b)
|
1.61%
|
04/15/54
|
175,822
|
|
|
10,842,101
|
Series 2021-C60, Class XA, IO (b)
|
1.61%
|
08/15/54
|
609,224
|
|
|
|
|
36,936,166
|
|||
|
|
Total Mortgage-Backed Securities
|
194,690,394
|
|||
|
|
(Cost $195,099,415)
|
|
|||
|
ASSET-BACKED SECURITIES — 28.7%
|
|||||
|
|
AB BSL CLO 1 Ltd.
|
||||
|
2,000,000
|
Series 2020-1A, Class D2R2, 3 Mo. CME Term SOFR +
4.55% (a) (d)
|
8.22%
|
10/15/38
|
1,965,765
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
ASSET-BACKED SECURITIES (Continued)
|
|||||
|
|
AGL CLO 17 Ltd.
|
||||
|
$2,000,000
|
Series 2022-17A, Class DR, 3 Mo. CME Term SOFR +
2.45% (a) (d)
|
6.12%
|
01/21/35
|
$1,962,513
|
|
|
|
AGL CLO 23 Ltd.
|
||||
|
1,000,000
|
Series 2022-23A, Class D1R, 3 Mo. CME Term SOFR +
2.45% (a) (d)
|
6.13%
|
04/20/38
|
944,124
|
|
|
|
Apidos CLO XXIX
|
||||
|
260,000
|
Series 2018-29A, Class D2R, 3 Mo. CME Term SOFR +
4.65% (a) (d)
|
8.32%
|
07/25/38
|
259,697
|
|
|
|
Benefit Street Partners CLO XXIV Ltd.
|
||||
|
375,000
|
Series 2021-24A, Class DR, 3 Mo. CME Term SOFR +
2.40% (a) (d)
|
6.08%
|
10/20/34
|
370,160
|
|
|
|
Birch Grove CLO 8 Ltd.
|
||||
|
1,000,000
|
Series 2024-8A, Class D2R, 3 Mo. CME Term SOFR +
4.80% (a) (d)
|
8.48%
|
04/20/39
|
999,804
|
|
|
|
BlueMountain CLO XXIX Ltd.
|
||||
|
895,439
|
Series 2020-29A, Class D1R, 3 Mo. CME Term SOFR + CSA +
3.15% (a) (d)
|
7.08%
|
07/25/34
|
890,590
|
|
|
|
Carmax Select Receivables Trust
|
||||
|
2,350,000
|
Series 2025-B, Class E (a)
|
6.89%
|
09/15/32
|
2,355,020
|
|
|
|
CarMax Select Receivables Trust
|
||||
|
3,800,000
|
Series 2026-A, Class D
|
4.90%
|
05/17/32
|
3,766,560
|
|
|
|
CBAMR Ltd.
|
||||
|
1,000,000
|
Series 2020-13A, Class D2R, 3 Mo. CME Term SOFR +
5.35% (a) (d)
|
9.02%
|
04/20/39
|
1,019,450
|
|
|
|
CoreVest American Finance Trust
|
||||
|
112,261
|
Series 2021-1, Class A (a)
|
1.57%
|
04/15/53
|
110,405
|
|
|
412,546
|
Series 2021-2, Class A (a)
|
1.41%
|
07/15/54
|
402,725
|
|
|
|
Diameter Capital CLO 4 Ltd.
|
||||
|
1,000,000
|
Series 2022-4A, Class ERR, 3 Mo. CME Term SOFR +
4.55% (a) (d)
|
8.22%
|
01/15/39
|
983,079
|
|
|
|
Diameter Capital CLO 5 Ltd.
|
||||
|
250,000
|
Series 2023-5A, Class C2R, 3 Mo. CME Term SOFR +
3.60% (a) (d)
|
7.27%
|
01/15/39
|
248,746
|
|
|
500,000
|
Series 2023-5A, Class DR, 3 Mo. CME Term SOFR +
4.85% (a) (d)
|
8.52%
|
01/15/39
|
493,853
|
|
|
|
Elmwood CLO 27 Ltd.
|
||||
|
1,000,000
|
Series 2024-3A, Class D2R, 3 Mo. CME Term SOFR +
4.60% (a) (d) (g)
|
|
04/18/39
|
1,001,965
|
|
|
|
Exeter Automobile Receivables Trust
|
||||
|
994,000
|
Series 2024-1A, Class E (a)
|
7.89%
|
08/15/31
|
1,028,281
|
|
|
1,154,000
|
Series 2024-2A, Class E (a)
|
7.98%
|
10/15/31
|
1,196,023
|
|
|
750,000
|
Series 2025-2A, Class E (a)
|
7.81%
|
10/15/32
|
774,688
|
|
|
1,000,000
|
Series 2025-3A, Class E (a)
|
7.52%
|
12/15/32
|
1,022,476
|
|
|
1,000,000
|
Series 2025-5A, Class D
|
5.16%
|
03/15/32
|
1,003,860
|
|
|
|
Exeter Select Automobile Receivables Trust
|
||||
|
750,000
|
Series 2025-1, Class D
|
6.14%
|
09/15/31
|
768,702
|
|
|
337,000
|
Series 2025-1, Class E (a)
|
8.44%
|
12/15/32
|
351,611
|
|
|
350,000
|
Series 2025-2, Class E (a)
|
6.87%
|
02/15/33
|
345,562
|
|
|
500,000
|
Series 2025-3, Class C
|
5.00%
|
03/15/32
|
502,829
|
|
|
2,363,000
|
Series 2025-3, Class D
|
5.54%
|
05/17/32
|
2,380,631
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
ASSET-BACKED SECURITIES (Continued)
|
|||||
|
|
FIGRE Trust
|
||||
|
$1,221,348
|
Series 2026-HF3, Class C, 30 Day Average SOFR +
2.00% (a) (d)
|
5.65%
|
03/25/56
|
$1,220,424
|
|
|
|
FNA VI LLC
|
||||
|
29,228
|
Series 2021-1A, Class A (a)
|
1.35%
|
01/10/32
|
27,210
|
|
|
|
GLS Auto Receivables Issuer Trust
|
||||
|
1,005,000
|
Series 2024-4A, Class E (a)
|
7.51%
|
08/15/31
|
1,039,304
|
|
|
|
GLS Auto Select Receivables Issuer Trust
|
||||
|
1,000,000
|
Series 2026-1A, Class D (a)
|
5.25%
|
04/18/33
|
993,573
|
|
|
500,000
|
Series 2025-4A, Class C (a)
|
5.14%
|
12/15/31
|
503,481
|
|
|
2,700,000
|
Series 2025-4A, Class D (a)
|
5.61%
|
01/18/33
|
2,725,184
|
|
|
|
Golub Capital Partners CLO 60B Ltd.
|
||||
|
3,000,000
|
Series 2022-60A, Class ER, 3 Mo. CME Term SOFR +
6.00% (a) (d)
|
9.67%
|
10/25/34
|
2,790,626
|
|
|
|
Golub Capital Partners CLO 74 B Ltd.
|
||||
|
1,650,000
|
Series 2024-74A, Class D2, 3 Mo. CME Term SOFR +
4.50% (a) (d)
|
8.17%
|
07/25/37
|
1,621,201
|
|
|
|
Gracie Point International Funding LLC
|
||||
|
920,000
|
Series 2025-1A, Class A, 30 Day Average SOFR + 1.50% (a) (d)
|
5.15%
|
08/15/28
|
921,527
|
|
|
1,200,000
|
Series 2025-1A, Class D, 30 Day Average SOFR + 4.50% (a) (d)
|
8.15%
|
08/15/28
|
1,200,280
|
|
|
|
Invesco U.S. CLO Ltd.
|
||||
|
750,000
|
Series 2024-1RA, Class D1R, 3 Mo. CME Term SOFR +
3.75% (a) (d)
|
7.42%
|
04/15/37
|
740,703
|
|
|
|
Island Finance Trust
|
||||
|
2,000,000
|
Series 2025-1A, Class A (a)
|
6.54%
|
03/19/35
|
2,014,197
|
|
|
650,000
|
Series 2025-1A, Class B (a)
|
7.95%
|
03/19/35
|
656,111
|
|
|
300,000
|
Series 2025-1A, Class C (a)
|
10.00%
|
03/19/35
|
303,041
|
|
|
|
Kinetic ABS Issuer LLC
|
||||
|
3,500,000
|
Series 2026-1A, Class C (a)
|
7.65%
|
02/25/56
|
3,577,954
|
|
|
|
LMRK Issuer Co. 2 LLC
|
||||
|
1,000,000
|
Series 2025-1A, Class A (a)
|
5.52%
|
09/15/55
|
997,025
|
|
|
500,000
|
Series 2025-1A, Class C (a)
|
8.12%
|
09/15/55
|
506,328
|
|
|
|
Luxury Lease Partners Auto Lease Trust
|
||||
|
819,212
|
Series 2025-A, Class A (a)
|
5.51%
|
03/15/32
|
819,245
|
|
|
|
Magnetite XLVII Ltd.
|
||||
|
1,000,000
|
Series 2024-47A, Class F, 3 Mo. CME Term SOFR +
7.22% (a) (d)
|
10.89%
|
01/25/38
|
974,483
|
|
|
|
Magnetite XXIII Ltd.
|
||||
|
1,000,000
|
Series 2019-23A, Class ER2, 3 Mo. CME Term SOFR +
4.60% (a) (d)
|
8.27%
|
01/25/35
|
969,214
|
|
|
|
Magnetite XXVII Ltd.
|
||||
|
260,000
|
Series 2020-27A, Class FRR, 3 Mo. CME Term SOFR +
6.84% (a) (d)
|
10.52%
|
10/20/38
|
251,546
|
|
|
|
Magnetite XXVIII Ltd.
|
||||
|
1,000,000
|
Series 2020-28A, Class D2RR, 3 Mo. CME Term SOFR +
3.75% (a) (d)
|
7.42%
|
01/15/38
|
990,549
|
|
|
|
MetroNet Infrastructure Issuer LLC
|
||||
|
3,000,000
|
Series 2026-1A, Class C (a)
|
7.10%
|
04/20/56
|
3,023,704
|
|
|
|
Neuberger Berman CLO XXII Ltd.
|
||||
|
1,000,000
|
Series 2016-22A, Class ER3, 3 Mo. CME Term SOFR +
6.25% (a) (d)
|
9.93%
|
04/17/40
|
1,024,890
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
ASSET-BACKED SECURITIES (Continued)
|
|||||
|
|
Neuberger Berman Loan Advisers CLO 39 Ltd.
|
||||
|
$250,000
|
Series 2020-39A, Class ER, 3 Mo. CME Term SOFR +
7.20% (a) (d)
|
10.88%
|
04/20/38
|
$234,022
|
|
|
|
Neuberger Berman Loan Advisers CLO 47 Ltd.
|
||||
|
250,000
|
Series 2022-47A, Class DR, 3 Mo. CME Term SOFR +
2.80% (a) (d)
|
6.47%
|
04/16/35
|
247,109
|
|
|
|
OCP CLO 2020-20 Ltd.
|
||||
|
1,000,000
|
Series 2020-20A, Class D1R2, 3 Mo. CME Term SOFR +
3.00% (a) (d)
|
6.68%
|
04/18/37
|
1,006,000
|
|
|
|
OHA Credit Partners XV Ltd.
|
||||
|
1,000,000
|
Series 2017-15A, Class D2R2, 3 Mo. CME Term SOFR +
4.50% (a) (d) (g)
|
|
04/20/39
|
1,030,150
|
|
|
|
OHA Credit Partners XVII Ltd.
|
||||
|
1,000,000
|
Series 2024-17A, Class D2, 3 Mo. CME Term SOFR +
3.95% (a) (d)
|
7.63%
|
01/18/38
|
996,172
|
|
|
|
Pagaya AI Debt Grantor Trust
|
||||
|
145,017
|
Series 2024-8, Class D (a)
|
6.53%
|
01/15/32
|
145,502
|
|
|
183,332
|
Series 2024-10, Class E (a)
|
10.41%
|
06/15/32
|
187,026
|
|
|
399,985
|
Series 2025-5, Class C (a)
|
5.64%
|
03/15/33
|
401,262
|
|
|
1,499,733
|
Series 2025-7, Class E (a)
|
8.89%
|
05/15/33
|
1,489,711
|
|
|
2,000,000
|
Series 2026-1, Class E (a)
|
9.23%
|
09/15/33
|
1,985,779
|
|
|
|
Palmer Square CLO Ltd.
|
||||
|
1,000,000
|
Series 2022-4A, Class D2R, 3 Mo. CME Term SOFR +
4.10% (a) (d)
|
7.78%
|
10/20/37
|
984,284
|
|
|
1,000,000
|
Series 2024-2A, Class D2, 3 Mo. CME Term SOFR +
4.35% (a) (d)
|
8.03%
|
07/20/37
|
994,947
|
|
|
|
Regatta 36 Funding Ltd.
|
||||
|
1,000,000
|
Series 2026-1A, Class E, 3 Mo. CME Term SOFR +
6.05% (a) (d)
|
9.72%
|
04/15/39
|
1,018,400
|
|
|
|
Regatta XVIII Funding Ltd.
|
||||
|
2,000,000
|
Series 2021-1A, Class D1R, 3 Mo. CME Term SOFR +
2.60% (a) (d)
|
6.27%
|
04/15/38
|
1,988,957
|
|
|
|
Research-Driven Pagaya Motor Asset Trust
|
||||
|
1,084,934
|
Series 2025-1A, Class A (a)
|
5.04%
|
06/27/33
|
1,087,101
|
|
|
275,000
|
Series 2025-3A, Class A2 (a)
|
5.15%
|
02/27/34
|
276,630
|
|
|
3,500,000
|
Series 2026-1A, Class E (a)
|
11.07%
|
01/25/35
|
3,484,365
|
|
|
3,633,123
|
Series 2026-R1A, Class A (a)
|
5.66%
|
07/25/34
|
3,638,115
|
|
|
|
Research-Driven Pagaya Motor Trust
|
||||
|
250,000
|
Series 2025-5A, Class C (a)
|
5.47%
|
06/26/34
|
246,986
|
|
|
250,000
|
Series 2025-5A, Class D (a)
|
6.01%
|
06/26/34
|
246,185
|
|
|
750,000
|
Series 2025-5A, Class E (a)
|
9.22%
|
06/26/34
|
749,721
|
|
|
725,000
|
Series 2025-6A, Class C (a)
|
5.53%
|
08/25/34
|
715,182
|
|
|
|
Rockland Park CLO Ltd.
|
||||
|
260,000
|
Series 2021-1A, Class FR, 3 Mo. CME Term SOFR +
7.82% (a) (d)
|
11.50%
|
07/20/38
|
230,752
|
|
|
|
Santander Drive Auto Receivables Trust
|
||||
|
3,220,000
|
Series 2026-1, Class D
|
4.75%
|
04/15/32
|
3,176,129
|
|
|
|
Silver Point CLO 11 Ltd.
|
||||
|
275,000
|
Series 2025-11A, Class F, 3 Mo. CME Term SOFR +
6.93% (a) (d)
|
10.60%
|
07/15/38
|
266,458
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
ASSET-BACKED SECURITIES (Continued)
|
|||||
|
|
Sixth Street CLO XVIII Ltd.
|
||||
|
$400,000
|
Series 2021-18A, Class FR, 3 Mo. CME Term SOFR +
8.02% (a) (d)
|
11.70%
|
10/17/38
|
$394,880
|
|
|
|
Trinitas CLO XIX Ltd.
|
||||
|
2,500,000
|
Series 2022-19A, Class D2R, 3 Mo. CME Term SOFR +
3.80% (a) (d)
|
7.48%
|
10/20/33
|
2,470,548
|
|
|
|
Vertical Bridge CC LLC
|
||||
|
2,000,000
|
Series 2025-1A, Class B (a)
|
5.60%
|
08/16/55
|
1,982,720
|
|
|
550,000
|
Series 2025-1A, Class C (a)
|
7.45%
|
08/16/55
|
557,368
|
|
|
2,500,000
|
Series 2025-1A, Class D (a)
|
9.38%
|
08/16/55
|
2,561,601
|
|
|
|
Westlake Automobile Receivables Trust
|
||||
|
3,720,000
|
Series 2026-1A, Class D (a)
|
4.75%
|
07/15/31
|
3,690,103
|
|
|
|
Whitebox CLO V Ltd.
|
||||
|
500,000
|
Series 2025-5A, Class D2, 3 Mo. CME Term SOFR +
4.10% (a) (d)
|
7.78%
|
07/20/38
|
501,205
|
|
|
1,000,000
|
Series 2025-5A, Class E, 3 Mo. CME Term SOFR +
5.25% (a) (d)
|
8.93%
|
07/20/38
|
1,000,840
|
|
|
|
Zayo Issuer LLC
|
||||
|
2,500,000
|
Series 2025-2A, Class C (a)
|
9.49%
|
06/20/55
|
2,650,543
|
|
|
3,000,000
|
Series 2026-1A, Class C (a)
|
7.78%
|
04/20/56
|
3,021,397
|
|
|
|
Total Asset-Backed Securities
|
102,699,069
|
|||
|
|
(Cost $102,819,972)
|
|
|||
|
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES — 16.1%
|
|||||
|
|
Collateralized Mortgage Obligations — 7.0%
|
|
|||
|
|
Federal Home Loan Mortgage Corporation
|
|
|
|
|
|
1,253,341
|
Series 2022-5266, Class FA, 30 Day Average SOFR + 0.82% (d)
|
4.47%
|
09/25/52
|
1,244,472
|
|
|
1,978,977
|
Series 2023-5325, Class SA, (30 Day Average SOFR) ×-2+
11.40% (h)
|
4.11%
|
11/25/52
|
1,801,228
|
|
|
695,658
|
Series 2024-5435, Class BS, (30 Day Average SOFR) ×-2+
11.93% (h)
|
4.63%
|
07/25/54
|
629,954
|
|
|
286,769
|
Series 2024-5460, Class FN, 30 Day Average SOFR + 1.10% (d)
|
4.75%
|
10/25/54
|
289,093
|
|
|
1,249,546
|
Series 2025-5508, Class FE, 30 Day Average SOFR + 1.60% (d)
|
5.25%
|
02/25/55
|
1,268,529
|
|
|
4,835,071
|
Series 2026-5642, Class FN, 30 Day Average SOFR + 0.90% (d)
|
4.55%
|
03/25/56
|
4,835,737
|
|
|
|
Federal Home Loan Mortgage Corporation Seasoned Credit Risk
Transfer Trust
|
|
|
|
|
|
1,081,613
|
Series 2017-4, Class M (a)
|
4.75%
|
06/25/57
|
1,074,061
|
|
|
|
Federal Home Loan Mortgage Corporation STACR REMIC Trust
|
|
|
|
|
|
1,850,000
|
Series 2021-HQA1, Class B2, 30 Day Average SOFR +
5.00% (a) (d)
|
8.65%
|
08/25/33
|
2,174,156
|
|
|
2,500,000
|
Series 2022-HQA1, Class B2, 30 Day Average SOFR +
11.00% (a) (d)
|
14.65%
|
03/25/42
|
2,703,307
|
|
|
500,000
|
Series 2024-DNA2, Class M2, 30 Day Average SOFR +
1.70% (a) (d)
|
5.35%
|
05/25/44
|
502,973
|
|
|
887,125
|
Series 2025-DNA2, Class A1, 30 Day Average SOFR +
1.10% (a) (d)
|
4.75%
|
05/25/45
|
890,463
|
|
|
600,000
|
Series 2025-DNA4, Class M2, 30 Day Average SOFR +
1.55% (a) (d)
|
5.20%
|
10/25/45
|
602,649
|
|
|
|
Federal National Mortgage Association
|
|
|
|
|
|
77,858
|
Series 2016-63, Class AF, 30 Day Average SOFR + CSA +
0.50% (d)
|
4.26%
|
09/25/46
|
76,799
|
|
|
793,498
|
Series 2023-51, Class PO, PO
|
(i)
|
11/25/53
|
678,613
|
|
|
1,022,017
|
Series 2023-54, Class PO, PO
|
(i)
|
11/25/53
|
862,780
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued)
|
|||||
|
|
Collateralized Mortgage Obligations (Continued)
|
|
|||
|
|
Federal National Mortgage Association (Continued)
|
|
|
|
|
|
$795,776
|
Series 2025-6, Class LF, 30 Day Average SOFR + 1.80% (d)
|
5.45%
|
02/25/55
|
$807,694
|
|
|
931,642
|
Series 2025-49, Class FA, 30 Day Average SOFR + 0.80% (d)
|
4.45%
|
06/25/55
|
927,401
|
|
|
|
Government National Mortgage Association
|
|
|
|
|
|
1,286,855
|
Series 2024-79, Class VB, (30 Day Average SOFR) ×-1.50+
10.95% (h)
|
5.49%
|
05/20/54
|
1,229,912
|
|
|
755,665
|
Series 2025-4, Class FY, 30 Day Average SOFR + 1.60% (d)
|
5.24%
|
01/20/55
|
762,231
|
|
|
727,101
|
Series 2025-100, Class JS, (30 Day Average SOFR) ×-2.75+
15.95% (h)
|
5.94%
|
06/20/55
|
692,847
|
|
|
1,134,641
|
Series 2025-164, Class PO, PO
|
(i)
|
08/20/54
|
898,588
|
|
|
|
|
24,953,487
|
|||
|
|
Commercial Mortgage-Backed Securities — 4.5%
|
|
|||
|
|
Federal Home Loan Mortgage Corporation Multiclass Certificates
|
|
|
|
|
|
1,500,000
|
Series 2020-RR07, Class AX, IO (e)
|
2.47%
|
09/27/28
|
68,031
|
|
|
|
Federal Home Loan Mortgage Corporation Multifamily Structured
Pass-Through Certificates
|
|
|
|
|
|
48,883,236
|
Series 2021-K124, Class X1, IO (b)
|
0.80%
|
12/25/30
|
1,366,218
|
|
|
940,000
|
Series 2024-K755, Class X3, IO (b)
|
5.84%
|
02/25/31
|
214,009
|
|
|
|
Federal National Mortgage Association Alternative Credit
Enhancement Securities
|
|
|
|
|
|
3,115,180
|
Series 2026-M4, Class Z (b)
|
2.98%
|
04/25/52
|
1,904,882
|
|
|
|
Government National Mortgage Association
|
|
|
|
|
|
22,021,745
|
Series 2021-31, Class IO, IO (b)
|
0.94%
|
01/16/61
|
1,501,319
|
|
|
1,878,643
|
Series 2024-32, Class IO, IO (b)
|
0.70%
|
06/16/63
|
98,638
|
|
|
27,096,137
|
Series 2024-47, Class AI, IO
|
0.75%
|
06/16/64
|
1,418,873
|
|
|
20,767,611
|
Series 2025-21, Class IO, IO (b)
|
0.95%
|
04/16/65
|
1,461,425
|
|
|
48,977,800
|
Series 2025-78, Class IO, IO (b)
|
1.00%
|
11/16/63
|
3,588,197
|
|
|
15,907,674
|
Series 2025-153, Class IO, IO (b)
|
0.85%
|
09/16/67
|
1,193,508
|
|
|
55,774,859
|
Series 2025-206, Class IO, IO (b)
|
0.80%
|
04/16/64
|
3,369,984
|
|
|
|
|
16,185,084
|
|||
|
|
Pass-Through Securities — 4.6%
|
|
|||
|
|
Federal National Mortgage Association
|
||||
|
734,263
|
Pool MA4271
|
1.50%
|
02/01/51
|
549,141
|
|
|
3,082,000
|
Pool TBA
|
4.50%
|
05/01/56
|
2,965,007
|
|
|
3,255,000
|
Pool TBA (j)
|
3.50%
|
05/15/56
|
2,963,257
|
|
|
1,207,000
|
Pool TBA
|
4.50%
|
06/01/56
|
1,160,145
|
|
|
325,000
|
Pool TBA (j)
|
2.50%
|
06/15/56
|
272,078
|
|
|
1,588,000
|
Pool TBA
|
5.50%
|
06/15/56
|
1,594,286
|
|
|
376,000
|
Pool TBA
|
3.00%
|
07/15/56
|
328,787
|
|
|
4,151,000
|
Pool TBA
|
5.50%
|
07/15/56
|
4,163,217
|
|
|
|
Government National Mortgage Association
|
||||
|
1,355,000
|
Pool TBA
|
5.00%
|
05/15/56
|
1,343,449
|
|
|
132,000
|
Pool TBA
|
3.00%
|
05/20/56
|
117,581
|
|
|
306,000
|
Pool TBA (j)
|
3.50%
|
06/15/56
|
276,356
|
|
|
318,000
|
Pool TBA
|
4.50%
|
06/15/56
|
306,398
|
|
|
141,000
|
Pool TBA
|
5.00%
|
06/15/56
|
139,495
|
|
|
187,000
|
Pool TBA
|
4.00%
|
07/15/56
|
174,345
|
|
|
|
|
16,353,542
|
|||
|
|
Total U.S. Government Agency Mortgage-Backed Securities
|
57,492,113
|
|||
|
|
(Cost $57,868,640)
|
|
|||
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
U.S. TREASURY BILLS — 4.5%
|
|||||
|
$2,000,000
|
U.S. Treasury Bill
|
(i)
|
05/05/26
|
$1,999,214
|
|
|
2,000,000
|
U.S. Treasury Bill
|
(i)
|
05/07/26
|
1,998,802
|
|
|
1,000,000
|
U.S. Treasury Bill
|
(i)
|
05/12/26
|
998,909
|
|
|
2,000,000
|
U.S. Treasury Bill
|
(i)
|
05/14/26
|
1,997,416
|
|
|
2,000,000
|
U.S. Treasury Bill
|
(i)
|
05/26/26
|
1,995,028
|
|
|
1,000,000
|
U.S. Treasury Bill
|
(i)
|
05/28/26
|
997,326
|
|
|
2,000,000
|
U.S. Treasury Bill
|
(i)
|
06/04/26
|
1,993,217
|
|
|
1,000,000
|
U.S. Treasury Bill
|
(i)
|
06/09/26
|
996,111
|
|
|
1,000,000
|
U.S. Treasury Bill
|
(i)
|
06/16/26
|
995,409
|
|
|
1,000,000
|
U.S. Treasury Bill
|
(i)
|
06/18/26
|
995,196
|
|
|
1,000,000
|
U.S. Treasury Bill
|
(i)
|
06/23/26
|
994,658
|
|
|
|
Total U.S. Treasury Bills
|
15,961,286
|
|||
|
|
(Cost $15,961,184)
|
|
|||
|
Shares
|
Description
|
Value
|
|||
|
MONEY MARKET FUNDS — 2.1%
|
|||||
|
7,649,792
|
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional
Class - 3.52% (k)
|
7,649,792
|
|||
|
|
(Cost $7,649,792)
|
|
|||
|
|
Total Investments — 105.9%
|
378,492,654
|
|||
|
|
(Cost $379,399,003)
|
|
|||
|
Number of
Contracts
|
Description
|
Notional
Amount
|
Exercise
Price
|
Expiration
Date
|
Value
|
|
PURCHASED OPTIONS — 0.0%
|
|||||
|
|
Call Options Purchased — 0.0%
|
|
|||
|
1
|
3 Month SOFR Futures, expiring December 2026
|
$240,775
|
$96.75
|
12/11/26
|
269
|
|
|
(Cost $1,153)
|
|
|
|
|
|
Principal
Value
|
Description
|
Stated
Coupon
|
Stated
Maturity
|
Value
|
|
|
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT — (2.0)%
|
|||||
|
|
Pass-Through Securities — (2.0)%
|
|
|||
|
|
Federal National Mortgage Association
|
|
|||
|
$(274,000)
|
Pool TBA
|
3.00%
|
06/15/56
|
(239,765
)
|
|
|
(646,000)
|
Pool TBA
|
3.50%
|
06/15/56
|
(587,696
)
|
|
|
(1,579,000)
|
Pool TBA (j)
|
4.00%
|
06/15/56
|
(1,479,881
)
|
|
|
(3,344,000)
|
Pool TBA (j)
|
5.00%
|
06/15/56
|
(3,291,268
)
|
|
|
(712,000)
|
Pool TBA
|
3.50%
|
07/15/56
|
(647,016
)
|
|
|
(958,000)
|
Pool TBA
|
4.50%
|
07/15/56
|
(920,212
)
|
|
|
|
Government National Mortgage Association
|
|
|||
|
(73,000)
|
Pool TBA
|
4.00%
|
05/20/56
|
(68,125
)
|
|
|
|
Total Investments Sold Short — (2.0)%
|
(7,233,963
)
|
|||
|
|
(Proceeds $7,292,784)
|
|
|||
|
Number of
Contracts
|
Description
|
Notional
Amount
|
Exercise
Price
|
Expiration
Date
|
Value
|
|
WRITTEN OPTIONS — (0.3)%
|
|||||
|
|
Call Options Written — (0.1)%
|
|
|||
|
(13)
|
3 Month SOFR Futures, expiring December 2027
|
$(3,133,163
)
|
$97.50
|
12/10/27
|
(4,712
)
|
|
Number of
Contracts
|
Description
|
Notional
Amount
|
Exercise
Price
|
Expiration
Date
|
Value
|
|
WRITTEN OPTIONS (Continued)
|
|||||
|
|
Call Options Written (Continued)
|
|
|||
|
(2)
|
3 Month SOFR Futures, expiring December 2026
|
$(481,550
)
|
$97.50
|
12/11/26
|
$(237
)
|
|
(11)
|
U.S. 2-Year Treasury Note Futures, expiring June
2026
|
(2,278,375
)
|
105.00
|
05/22/26
|
(172
)
|
|
(10)
|
U.S. 2-Year Treasury Note Futures, expiring
September 2026
|
(2,071,250
)
|
104.50
|
08/21/26
|
(1,875
)
|
|
(1)
|
U.S. 2-Year Treasury Note Futures, expiring
September 2026
|
(207,125
)
|
104.75
|
08/21/26
|
(141
)
|
|
(6)
|
U.S. 5-Year Treasury Note Futures, expiring June
2026
|
(647,016
)
|
109.00
|
05/22/26
|
(234
)
|
|
(37)
|
U.S. 5-Year Treasury Note Futures, expiring
September 2026
|
(3,987,617
)
|
109.50
|
08/21/26
|
(9,828
)
|
|
(9)
|
U.S. 5-Year Treasury Note Futures, expiring
September 2026
|
(969,961
)
|
110.00
|
08/21/26
|
(1,758
)
|
|
(4)
|
U.S. 10-Year Treasury Note Futures, expiring
September 2026
|
(441,500
)
|
109.00
|
08/21/26
|
(8,625
)
|
|
(48)
|
U.S. 10-Year Treasury Note Futures, expiring
September 2026
|
(5,298,000
)
|
113.00
|
08/21/26
|
(18,750
)
|
|
(1)
|
U.S. Treasury Long Bond Futures, expiring June
2026
|
(112,844
)
|
121.00
|
05/22/26
|
(16
)
|
|
(21)
|
U.S. Treasury Long Bond Futures, expiring June
2026
|
(2,369,719
)
|
122.00
|
05/22/26
|
(328
)
|
|
(13)
|
U.S. Treasury Long Bond Futures, expiring June
2026
|
(1,466,969
)
|
123.00
|
05/22/26
|
(0
)
|
|
(8)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(899,000
)
|
113.00
|
08/21/26
|
(17,750
)
|
|
(13)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(1,460,875
)
|
116.00
|
08/21/26
|
(14,219
)
|
|
(53)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(5,955,875
)
|
118.00
|
08/21/26
|
(37,266
)
|
|
(45)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(5,056,875
)
|
119.00
|
08/21/26
|
(25,312
)
|
|
(34)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(3,820,750
)
|
120.00
|
08/21/26
|
(15,937
)
|
|
(70)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(7,866,250
)
|
121.00
|
08/21/26
|
(27,344
)
|
|
(1)
|
U.S. Treasury Long Bond Futures, expiring
December 2026
|
(112,000
)
|
120.00
|
11/20/26
|
(766
)
|
|
(3)
|
Ultra 10-Year U.S. Treasury Note Futures, expiring
June 2026
|
(338,531
)
|
117.00
|
05/22/26
|
(94
)
|
|
(16)
|
Ultra 10-Year U.S. Treasury Note Futures, expiring
June 2026
|
(1,805,500
)
|
118.00
|
05/22/26
|
(250
)
|
|
(6)
|
Ultra U.S. Treasury Long Bond Futures, expiring
June 2026
|
(690,188
)
|
122.00
|
05/22/26
|
(94
)
|
|
(1)
|
Ultra U.S. Treasury Long Bond Futures, expiring
June 2026
|
(115,031
)
|
125.00
|
05/22/26
|
(0
)
|
|
|
Total Call Options Written
|
(185,708
)
|
|||
|
|
(Premiums received $318,105)
|
|
|||
|
|
Put Options Written — (0.2)%
|
|
|||
|
(14)
|
3 Month SOFR Futures, expiring December 2027
|
(3,374,175
)
|
96.00
|
12/10/27
|
(11,725
)
|
|
(16)
|
3 Month SOFR Futures, expiring December 2027
|
(3,856,200
)
|
96.38
|
12/10/27
|
(18,500
)
|
|
(17)
|
U.S. 2-Year Treasury Note Futures, expiring June
2026
|
(3,521,125
)
|
103.25
|
05/22/26
|
(2,125
)
|
|
Number of
Contracts
|
Description
|
Notional
Amount
|
Exercise
Price
|
Expiration
Date
|
Value
|
|
WRITTEN OPTIONS (Continued)
|
|||||
|
|
Put Options Written (Continued)
|
|
|||
|
(6)
|
U.S. 2-Year Treasury Note Futures, expiring June
2026
|
$(1,242,750
)
|
$103.50
|
05/22/26
|
$(1,594
)
|
|
(10)
|
U.S. 2-Year Treasury Note Futures, expiring June
2026
|
(2,071,250
)
|
103.75
|
05/22/26
|
(5,312
)
|
|
(13)
|
U.S. 2-Year Treasury Note Futures, expiring June
2026
|
(2,692,625
)
|
103.88
|
05/22/26
|
(9,344
)
|
|
(7)
|
U.S. 2-Year Treasury Note Futures, expiring June
2026
|
(774,156
)
|
107.00
|
05/22/26
|
(109
)
|
|
(18)
|
U.S. 2-Year Treasury Note Futures, expiring
September 2026
|
(3,728,250
)
|
103.00
|
08/21/26
|
(6,750
)
|
|
(12)
|
U.S. 2-Year Treasury Note Futures, expiring
September 2026
|
(2,485,500
)
|
103.25
|
08/21/26
|
(6,188
)
|
|
(9)
|
U.S. 2-Year Treasury Note Futures, expiring
September 2026
|
(1,864,125
)
|
103.50
|
08/21/26
|
(6,328
)
|
|
(1)
|
U.S. 2-Year Treasury Note Futures, expiring
September 2026
|
(207,125
)
|
103.75
|
08/21/26
|
(953
)
|
|
(5)
|
U.S. 5-Year Treasury Note Futures, expiring June
2026
|
(539,180
)
|
108.25
|
05/22/26
|
(2,969
)
|
|
(21)
|
U.S. 5-Year Treasury Note Futures, expiring June
2026
|
(2,264,555
)
|
108.75
|
05/22/26
|
(20,508
)
|
|
(6)
|
U.S. 5-Year Treasury Note Futures, expiring June
2026
|
(647,016
)
|
109.00
|
05/22/26
|
(7,219
)
|
|
(35)
|
U.S. 5-Year Treasury Note Futures, expiring
September 2026
|
(3,772,070
)
|
107.00
|
08/21/26
|
(20,781
)
|
|
(134)
|
U.S. 5-Year Treasury Note Futures, expiring
September 2026
|
(14,441,641
)
|
107.50
|
08/21/26
|
(102,594
)
|
|
(2)
|
U.S. 5-Year Treasury Note Futures, expiring
September 2026
|
(215,547
)
|
108.00
|
08/21/26
|
(1,984
)
|
|
(21)
|
U.S. 5-Year Treasury Note Futures, expiring
September 2026
|
(2,263,242
)
|
108.50
|
08/21/26
|
(26,742
)
|
|
(2)
|
U.S. 5-Year Treasury Note Futures, expiring
December 2026
|
(215,500
)
|
106.50
|
11/20/26
|
(1,391
)
|
|
(12)
|
U.S. 10-Year Treasury Note Futures, expiring
September 2026
|
(1,324,500
)
|
109.00
|
08/21/26
|
(9,562
)
|
|
(35)
|
U.S. 10-Year Treasury Note Futures, expiring
September 2026
|
(3,863,125
)
|
110.00
|
08/21/26
|
(39,375
)
|
|
(4)
|
U.S. 10-Year Treasury Note Futures, expiring June
2026
|
(442,375
)
|
110.50
|
05/22/26
|
(1,938
)
|
|
(5)
|
U.S. 10-Year Treasury Note Futures, expiring June
2026
|
(552,969
)
|
111.00
|
05/22/26
|
(3,672
)
|
|
(2)
|
U.S. Treasury Long Bond Futures, expiring June
2026
|
(225,688
)
|
106.00
|
05/22/26
|
(94
)
|
|
(6)
|
U.S. Treasury Long Bond Futures, expiring June
2026
|
(677,063
)
|
109.00
|
05/22/26
|
(938
)
|
|
(4)
|
U.S. Treasury Long Bond Futures, expiring June
2026
|
(451,375
)
|
110.00
|
05/22/26
|
(1,063
)
|
|
(36)
|
U.S. Treasury Long Bond Futures, expiring June
2026
|
(4,062,375
)
|
112.00
|
05/22/26
|
(25,312
)
|
|
(1)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(112,375
)
|
106.00
|
08/21/26
|
(813
)
|
|
(6)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(674,250
)
|
108.00
|
08/21/26
|
(6,937
)
|
|
Number of
Contracts
|
Description
|
Notional
Amount
|
Exercise
Price
|
Expiration
Date
|
Value
|
|
WRITTEN OPTIONS (Continued)
|
|||||
|
|
Put Options Written (Continued)
|
|
|||
|
(36)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
$(4,045,500
)
|
$109.00
|
08/21/26
|
$(50,062
)
|
|
(8)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(899,000
)
|
110.00
|
08/21/26
|
(13,375
)
|
|
(76)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(8,540,500
)
|
111.00
|
08/21/26
|
(152,000
)
|
|
(35)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(3,933,125
)
|
112.00
|
08/21/26
|
(83,125
)
|
|
(8)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(899,000
)
|
113.00
|
08/21/26
|
(22,750
)
|
|
(11)
|
U.S. Treasury Long Bond Futures, expiring
September 2026
|
(1,236,125
)
|
116.00
|
08/21/26
|
(51,562
)
|
|
(1)
|
U.S. Treasury Long Bond Futures, expiring
December 2026
|
(112,000
)
|
105.00
|
11/20/26
|
(1,063
)
|
|
(8)
|
U.S. Treasury Long Bond Futures, expiring
December 2026
|
(896,000
)
|
110.00
|
11/20/26
|
(19,000
)
|
|
(13)
|
U.S. Treasury Long Bond Futures, expiring June
2026
|
(1,466,969
)
|
111.00
|
05/22/26
|
(5,687
)
|
|
(3)
|
Ultra 10-Year U.S. Treasury Note Futures, expiring
June 2026
|
(338,531
)
|
111.00
|
05/22/26
|
(891
)
|
|
(8)
|
Ultra U.S. Treasury Long Bond Futures, expiring
June 2026
|
(920,250
)
|
113.00
|
05/22/26
|
(4,250
)
|
|
(4)
|
Ultra U.S. Treasury Long Bond Futures, expiring
June 2026
|
(460,125
)
|
115.00
|
05/22/26
|
(4,875
)
|
|
|
Total Put Options Written
|
(751,460
)
|
|||
|
|
(Premiums received $691,106)
|
|
|||
|
|
Total Written Options
|
(937,168
)
|
|||
|
|
(Premiums received $1,009,211)
|
|
|||
|
|
Net Other Assets and Liabilities — (3.6)%
|
(12,881,159
)
|
|||
|
|
Net Assets — 100.0%
|
$357,440,633
|
|||
|
Futures Contracts Long
|
Number of
Contracts
|
Expiration
Date
|
Notional
Value
|
Unrealized
Appreciation
(Depreciation)/
Value
|
|
U.S. 2-Year Treasury Notes
|
217
|
Jun-2026
|
$44,946,125
|
$(81,533
)
|
|
U.S. 5-Year Treasury Notes
|
388
|
Jun-2026
|
41,840,344
|
(390,664
)
|
|
U.S. 10-Year Treasury Notes
|
240
|
Jun-2026
|
26,542,500
|
(359,871
)
|
|
Ultra 10 Year U.S. Treasury Notes
|
3
|
Jun-2026
|
338,578
|
(3,703
)
|
|
|
|
|
$113,667,547
|
$(835,771
)
|
|
Futures Contracts Short
|
|
|
|
|
|
U.S. Treasury Long-Term Bond Futures
|
82
|
Jun-2026
|
$(9,253,188
)
|
$102,901
|
|
Ultra U.S. Treasury Bond Futures
|
53
|
Jun-2026
|
(6,096,656
)
|
75,787
|
|
|
|
|
$(15,349,844
)
|
$178,688
|
|
|
|
Total
|
$98,317,703
|
$(657,083
)
|
|
(a)
|
This security, sold within the terms of a private placement memorandum, is exempt
from registration upon resale under
Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions
exempt from registration, normally to
qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined
to be liquid by First Trust Advisors L.P., the Fund’s advisor. Although market instability can result in periods of increased overall
market illiquidity, liquidity for each security is determined based on security specific
factors and assumptions, which require
subjective judgment. At April 30, 2026, securities noted as such amounted to $286,195,336
or 80.1% of net assets.
|
|
(b)
|
Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment’s underlying collateral. The
interest rate resets periodically.
|
|
(c)
|
Step-up security. A security where the coupon increases or steps up at a predetermined
date.
|
|
(d)
|
Floating or variable rate security.
|
|
(e)
|
Weighted Average Coupon security. Coupon is based on the blended interest rate of
the underlying holdings, which may have
different coupons. The coupon may change in any period.
|
|
(f)
|
This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of
Trustees, and in accordance with provisions of the Investment Company Act of 1940
and rules thereunder, as amended. At
April 30, 2026, securities noted as such are valued at $4,284,964 or 1.2% of net assets.
|
|
(g)
|
When-issued security. The interest rate shown reflects the rate in effect at April
30, 2026. Interest will begin accruing on the
security’s first settlement date.
|
|
(h)
|
Inverse floating rate security.
|
|
(i)
|
Zero coupon security.
|
|
(j)
|
All or a portion of this security is part of a mortgage dollar roll agreement.
|
|
(k)
|
Rate shown reflects yield as of April 30, 2026.
|
|
Abbreviations throughout the Portfolio of Investments:
|
|
|
CME
|
– Chicago Mercantile Exchange
|
|
CSA
|
– Credit Spread Adjustment
|
|
IO
|
– Interest-Only Security - Principal amount shown represents par value on which interest
payments are based
|
|
PO
|
– Principal-Only Security
|
|
REMIC
|
– Real Estate Mortgage Investment Conduit
|
|
SOFR
|
– Secured Overnight Financing Rate
|
|
STACR
|
– Structured Agency Credit Risk
|
|
TBA
|
– To-Be-Announced Security
|
|
ASSETS TABLE
|
||||
|
|
Total
Value at
4/30/2026
|
Level 1
Quoted
Prices
|
Level 2
Significant
Observable
Inputs
|
Level 3
Significant
Unobservable
Inputs
|
|
Mortgage-Backed Securities
|
$194,690,394
|
$—
|
$194,690,394
|
$—
|
|
Asset-Backed Securities
|
102,699,069
|
—
|
102,699,069
|
—
|
|
U.S. Government Agency Mortgage-Backed Securities
|
57,492,113
|
—
|
57,492,113
|
—
|
|
U.S. Treasury Bills
|
15,961,286
|
—
|
15,961,286
|
—
|
|
Money Market Funds
|
7,649,792
|
7,649,792
|
—
|
—
|
|
Total Investments
|
378,492,654
|
7,649,792
|
370,842,862
|
—
|
|
Purchased Options
|
269
|
269
|
—
|
—
|
|
Futures Contracts
|
178,688
|
178,688
|
—
|
—
|
|
Total
|
$378,671,611
|
$7,828,749
|
$370,842,862
|
$—
|
|
LIABILITIES TABLE
|
||||
|
|
Total
Value at
4/30/2026
|
Level 1
Quoted
Prices
|
Level 2
Significant
Observable
Inputs
|
Level 3
Significant
Unobservable
Inputs
|
|
U.S. Government Agency Mortgage-Backed Securities
Sold Short
|
$(7,233,963
)
|
$—
|
$(7,233,963
)
|
$—
|
|
Written Options
|
(937,168
)
|
(937,168
)
|
—
|
—
|
|
Futures Contracts
|
(835,771
)
|
(835,771
)
|
—
|
—
|
|
Total
|
$(9,006,902
)
|
$(1,772,939
)
|
$(7,233,963
)
|
$—
|