|
Angel Oak Multi-Strategy Income Fund
|
||||||||
|
Consolidated Schedule of Investments
|
||||||||
|
April 30, 2026 (Unaudited)
|
||||||||
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES - 43.1%
|
Par
|
Value
|
||||||
|
Adjustable Rate Mortgage Trust, Series 2007-2, Class 1A21, 4.61%, 06/25/2037 (a)
|
$
|
1,375,915
|
$
|
1,096,428
|
||||
|
American Home Mortgage Assets LLC
|
||||||||
|
Series 2006-1, Class XC, 0.17%, 05/25/2046 (a)(b)
|
12,524,853
|
94,625
|
||||||
|
Series 2006-6, Class XP, 0.04%, 12/25/2046 (a)(b)
|
45,216,494
|
186,703
|
||||||
|
Series 2007-5, Class XP, 0.06%, 06/25/2047 (a)(b)
|
10,382,884
|
83,161
|
||||||
|
American Home Mortgage Investment Trust, Series 2006-3, Class 22A1, 5.93% (6 mo. Term SOFR + 2.18%), 12/25/2036, (11.57% Cap) (c)
|
2,736,021
|
2,334,271
|
||||||
|
AMSR Trust, Series 2023-SFR1, Class C, 4.00%, 04/17/2040 (d)
|
1,000,000
|
975,517
|
||||||
|
Arroyo Mortgage Trust, Series 2022-1, Class M1, 3.65%, 12/25/2056 (d)
|
2,000,000
|
1,623,998
|
||||||
|
ATLX Trust
|
||||||||
|
Series 2024-RPL1, Class A2, 4.40%, 04/25/2064 (a)(d)
|
3,000,000
|
2,943,648
|
||||||
|
Series 2024-RPL1, Class M1, 4.40%, 04/25/2064 (a)(d)
|
4,700,000
|
4,602,047
|
||||||
|
Banc of America Alternative Loan Trust, Series 2006-9, Class 30PO, 0.00%, 01/25/2037 (e)
|
109,434
|
58,703
|
||||||
|
Banc of America Funding Corp.
|
||||||||
|
Series 2007-2, Class 1A16, 4.37% (1 mo. Term SOFR + 0.71%), 03/25/2037, (6.00% Cap)
|
1,807,682
|
1,330,127
|
||||||
|
Series 2007-8, Class 2A1, 7.00%, 10/25/2037 (c)
|
2,563,348
|
1,864,624
|
||||||
|
Series 2007-A, Class 2A2, 4.20% (1 mo. Term SOFR + 0.53%), 02/20/2047, (10.50% Cap)
|
547,913
|
499,672
|
||||||
|
Series 2007-C, Class 7A4, 4.22% (1 mo. Term SOFR + 0.55%), 05/20/2047 (c)
|
1,433,475
|
1,364,919
|
||||||
|
Series 2014-R1, Class A2, 3.56% (1 mo. LIBOR US + 0.15%), 06/26/2037 (d)(f)
|
3,128,814
|
2,877,624
|
||||||
|
Barclays Mortgage Loan Trust, Series 2021-NQM1, Class A1, 1.75%, 09/25/2051 (a)(d)
|
1,637,457
|
1,504,583
|
||||||
|
Bayview Financial Acquisition Trust, Series 2005-D, Class APO, 0.00%, 12/28/2035 (e)
|
106,623
|
85,829
|
||||||
|
BCAP LLC Trust, Series 2013-RR1, Class 6A2, 4.44%, 05/26/2036 (a)(d)
|
2,529,011
|
1,459,592
|
||||||
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-6, Class 1A1, 4.84%, 08/25/2035 (a)
|
1,029,864
|
899,915
|
||||||
|
Bear Stearns Asset Backed Securities Trust, Series 2005-AC5, Class 1A2, 4.77% (1 mo. Term SOFR + 1.11%), 08/25/2035, (5.50% Cap)
|
1,006,627
|
580,457
|
||||||
|
Bellemeade Re Ltd.
|
||||||||
|
Series 2023-1, Class B1, 10.35% (30 day avg SOFR US + 6.70%), 10/25/2033 (d)
|
538,000
|
573,573
|
||||||
|
Series 2024-1, Class M2, 8.25% (30 day avg SOFR US + 4.60%), 08/25/2034 (d)
|
1,000,000
|
1,029,892
|
||||||
|
Series 2025-1, Class B1, 8.70% (30 day avg SOFR US + 5.05%), 10/25/2035 (d)
|
2,600,000
|
2,690,756
|
||||||
|
Series 2025-1, Class M1C, 6.90% (30 day avg SOFR US + 3.25%), 10/25/2035 (d)
|
1,500,000
|
1,521,247
|
||||||
|
Boston Lending Trust, Series 2021-1, Class A, 2.00%, 07/25/2061 (a)(d)
|
3,343,088
|
3,005,656
|
||||||
|
BRAVO Residential Funding Trust
|
||||||||
|
Series 2021-NQM3, Class A2, 1.85%, 04/25/2060 (a)(d)
|
1,277,021
|
1,192,766
|
||||||
|
Series 2024-NQM4, Class A3, 4.35%, 01/25/2060 (d)(g)
|
4,768,842
|
4,610,073
|
||||||
|
Series 2024-NQM8, Class A2, 4.30%, 08/01/2053 (d)(g)
|
1,716,102
|
1,682,578
|
||||||
|
Builder Capital Loan Acquisition Trust, Series 2024-NPL1, Class A1B, 9.00%, 09/25/2029 (d)(g)
|
10,092,000
|
10,088,522
|
||||||
|
Cascade Funding Mortgage Trust, Series 2024-R1, Class M1, 4.00%, 10/25/2054 (d)(g)
|
1,500,000
|
1,420,263
|
||||||
|
Cascade MH Asset Trust, Series 2021-MH1, Class B3, 7.66%, 02/25/2046 (a)(d)
|
3,000,000
|
2,692,815
|
||||||
|
CC Funding Corp.
|
||||||||
|
Series 2005-4A, Class NIO, 0.41%, 04/25/2037 (a)(b)(d)
|
13,510,448
|
182,364
|
||||||
|
Series 2006-1A, Class A1, 3.92% (1 mo. Term SOFR + 0.26%), 12/25/2046 (c)(d)
|
2,104,362
|
1,890,405
|
||||||
|
Chase Mortgage Finance Corp.
|
||||||||
|
Series 2021-CL1, Class B, 10.15% (30 day avg SOFR US + 6.50%), 02/25/2050 (d)
|
2,159,000
|
2,013,060
|
||||||
|
Series 2021-CL1, Class M3, 5.20% (30 day avg SOFR US + 1.55%), 02/25/2050 (d)
|
1,834,516
|
1,802,999
|
||||||
|
Series 2021-CL1, Class M4, 6.30% (30 day avg SOFR US + 2.65%), 02/25/2050 (d)
|
1,897,807
|
1,939,673
|
||||||
|
Series 2021-CL1, Class M5, 6.90% (30 day avg SOFR US + 3.25%), 02/25/2050 (d)
|
759,029
|
679,103
|
||||||
|
Chaseflex Trust, Series 2005-2, Class 5A6, 5.00%, 06/25/2035
|
1,306,327
|
654,340
|
||||||
|
CIM Trust
|
||||||||
|
Series 2019-J1, Class B5, 3.94%, 08/25/2049 (a)(d)
|
613,000
|
426,463
|
||||||
|
Series 2021-J1, Class B4, 2.66%, 03/25/2051 (a)(d)
|
1,225,205
|
627,656
|
||||||
|
Series 2021-J2, Class B4, 2.67%, 04/25/2051 (a)(d)
|
1,468,110
|
795,832
|
||||||
|
Series 2021-J3, Class B4, 2.61%, 06/25/2051 (a)(d)
|
1,281,000
|
636,683
|
||||||
|
Series 2022-R1, Class M3, 4.00%, 01/25/2061 (a)(d)
|
7,425,000
|
5,986,740
|
||||||
|
Citimortgage Alternative Loan Trust
|
||||||||
|
Series 2006-A4, Class 1A3, 6.00%, 09/25/2036 (c)
|
2,244,688
|
2,099,915
|
||||||
|
Series 2006-A6, Class 1APO, 0.00%, 11/25/2036 (e)
|
66,793
|
37,210
|
||||||
|
Series 2006-A7, Class 1A1, 6.00%, 12/25/2036, (7.50% Cap) (a)(c)
|
1,532,251
|
1,366,891
|
||||||
|
Series 2006-A7, Class 1A9, 4.42% (1 mo. Term SOFR + 0.76%), 12/25/2036, (6.00% Cap) (c)
|
3,337,377
|
2,781,326
|
||||||
|
Series 2007-A3, Class 1A2, 4.37% (1 mo. Term SOFR + 0.71%), 03/25/2037, (6.00% Cap) (c)
|
1,706,920
|
1,417,875
|
||||||
|
Series 2007-A3, Class APO, 0.00%, 03/25/2037 (e)
|
79,030
|
40,926
|
||||||
|
Series 2007-A4, Class APO, 0.00%, 04/25/2037 (e)
|
65,473
|
35,247
|
||||||
|
Series 2007-A5, Class 1A3, 4.27% (1 mo. Term SOFR + 0.61%), 05/25/2037, (6.10% Cap) (c)
|
2,747,520
|
2,355,434
|
||||||
|
CitiMortgage, Inc., Series 2005-2, Class 1APO, 0.00%, 03/25/2035 (e)
|
26,882
|
14,104
|
||||||
|
COLT Funding LLC
|
||||||||
|
Series 2020-2R, Class B1, 4.12%, 10/26/2065 (a)(d)
|
3,605,000
|
3,312,497
|
||||||
|
Series 2021-2, Class B2, 3.94%, 08/25/2066 (a)(d)
|
5,250,000
|
4,085,383
|
||||||
|
Series 2021-3R, Class M1, 2.36%, 12/25/2064 (a)(d)
|
2,862,000
|
2,413,697
|
||||||
|
Series 2021-5, Class B1, 4.19%, 11/26/2066 (a)(d)
|
4,085,000
|
3,574,870
|
||||||
|
Series 2021-HX1, Class B3A, 4.12%, 10/25/2066 (a)(d)
|
5,510,000
|
4,133,284
|
||||||
|
Series 2021-RPL1, Class M2, 3.08%, 09/25/2061 (a)(d)
|
2,250,000
|
2,003,962
|
||||||
|
Series 2022-2, Class B1, 3.94%, 02/25/2067 (a)(d)
|
1,750,000
|
1,494,214
|
||||||
|
Series 2022-3, Class B1, 4.22%, 02/25/2067 (a)(d)
|
2,362,000
|
2,082,326
|
||||||
|
Countrywide Alternative Loan Trust
|
||||||||
|
Series 2005-14, Class 2X, 0.07%, 05/25/2035 (a)(b)
|
7,881,773
|
53,060
|
||||||
|
Series 2005-16, Class X2, 0.00%, 06/25/2035 (a)(b)
|
12,674,087
|
127
|
||||||
|
Series 2005-24, Class 1AX, 0.00%, 07/20/2035 (a)(b)
|
5,262,994
|
3,905
|
||||||
|
Series 2005-27, Class 2X1, 0.00%, 08/25/2035 (a)(b)
|
15,332,850
|
153
|
||||||
|
Series 2005-38, Class X, 4.44%, 09/25/2035 (a)(b)
|
28,382,358
|
36,468
|
||||||
|
Series 2005-41, Class 2X2, 0.00%, 09/25/2035 (a)(b)
|
3,272,318
|
6,270
|
||||||
|
Series 2005-44, Class 1X, 0.02%, 10/25/2035 (a)(b)
|
16,011,505
|
33,304
|
||||||
|
Series 2005-44, Class 2X, 4.80%, 10/25/2035 (a)(b)
|
1,249,785
|
226,714
|
||||||
|
Series 2005-56, Class 4X, 0.00%, 11/25/2035 (a)(b)
|
17,107,175
|
141,887
|
||||||
|
Series 2005-58R, Class A, 0.16%, 12/20/2035 (a)(b)(d)
|
30,463,667
|
292,329
|
||||||
|
Series 2005-59R, Class A, 2.21%, 12/20/2035 (a)(b)(d)
|
9,052,689
|
724
|
||||||
|
Series 2005-J11, Class 1A4, 4.17% (1 mo. Term SOFR + 0.51%), 11/25/2035, (5.50% Cap)
|
2,500,197
|
1,147,781
|
||||||
|
Series 2005-J14, Class A8, 5.50%, 12/25/2035
|
1,341,797
|
783,440
|
||||||
|
Series 2006-29T1, Class 2A13, 4.07% (1 mo. Term SOFR + 0.41%), 10/25/2036, (8.00% Cap)
|
1,970,179
|
781,267
|
||||||
|
Series 2006-HY10, Class 1X, 0.48%, 05/25/2036 (a)(b)
|
2,252,837
|
43,885
|
||||||
|
Series 2006-OA1, Class 1X, 0.13%, 03/20/2046 (a)(b)
|
7,313,132
|
65,138
|
||||||
|
Series 2006-OA10, Class XAD, 0.00%, 08/25/2046 (b)(g)
|
17,546,830
|
1,102
|
||||||
|
Series 2006-OA10, Class XNB, 0.00%, 08/25/2046 (a)(b)
|
16,230,792
|
162
|
||||||
|
Series 2006-OA10, Class XPP, 0.00%, 08/25/2046 (a)(b)
|
10,061,511
|
101
|
||||||
|
Series 2006-OA3, Class X, 0.00%, 05/25/2036 (a)(b)
|
9,380,128
|
21,405
|
||||||
|
Countrywide Home Loan Mortgage Pass Through Trust
|
||||||||
|
Series 2004-20, Class X, 0.37%, 10/25/2034 (a)(b)
|
3,869,587
|
155,434
|
||||||
|
Series 2004-25, Class 1X, 0.00%, 02/25/2035 (a)(b)
|
8,462,828
|
85
|
||||||
|
Series 2004-29, Class 1X, 0.00%, 02/25/2035 (a)(b)
|
1,222,611
|
12
|
||||||
|
Series 2005-1, Class 1X, 0.00%, 03/25/2035 (a)(b)
|
2,371,318
|
100
|
||||||
|
Series 2005-11, Class 4X, 0.06%, 04/25/2035 (a)(b)
|
2,887,130
|
140,670
|
||||||
|
Series 2005-2, Class 2X, 0.00%, 03/25/2035 (a)(b)
|
6,114,235
|
61
|
||||||
|
Series 2005-7, Class 3A2, 3.40%, 03/25/2035 (a)(c)
|
2,978,273
|
2,361,779
|
||||||
|
Series 2005-7, Class 3X, 0.86%, 03/25/2035 (a)(b)
|
807,703
|
30,828
|
||||||
|
Series 2006-12, Class X, 0.13%, 07/25/2036 (a)(b)
|
11,580,837
|
58,464
|
||||||
|
Series 2007-18, Class 2A1, 6.50%, 11/25/2037
|
1,880,199
|
555,741
|
||||||
|
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 6A12, 5.50%, 11/25/2035 (c)
|
1,942,856
|
673,238
|
||||||
|
Credit Suisse Management LLC, Series 2002-18, Class 2A1, 7.50%, 06/25/2032
|
1,601,620
|
1,458,024
|
||||||
|
Credit Suisse Mortgage Capital Certificates
|
||||||||
|
Series 2006-4, Class 1A1, 4.47% (1 mo. Term SOFR + 0.81%), 05/25/2036, (6.00% Cap)
|
1,621,048
|
677,682
|
||||||
|
Series 2014-3R, Class 1A1, 2.47% (1 mo. LIBOR US + 0.45%), 03/27/2036, (7.50% Cap) (d)(f)
|
391,142
|
304,628
|
||||||
|
Series 2014-7R, Class 8A2, 4.16%, 07/27/2037 (a)(d)
|
2,105,789
|
1,914,169
|
||||||
|
Series 2017-RPL3, Class B5, 4.33%, 08/01/2057 (a)(d)
|
6,255,489
|
5,779,859
|
||||||
|
Series 2020-RPL4, Class B3, 3.97%, 01/25/2060 (a)(d)
|
10,124,150
|
6,608,498
|
||||||
|
Series 2020-RPL4, Class B4, 3.97%, 01/25/2060 (a)(d)
|
10,125,738
|
5,761,788
|
||||||
|
Series 2020-RPL4, Class XS, 1.46%, 01/25/2060 (a)(b)(d)
|
151,233,517
|
3,701,138
|
||||||
|
Series 2021-AFC1, Class B1, 3.25%, 03/25/2056 (a)(d)
|
3,031,450
|
1,946,467
|
||||||
|
Series 2021-AFC1, Class B2, 4.26%, 03/25/2056 (a)(d)
|
1,539,950
|
1,035,277
|
||||||
|
Series 2021-INV1, Class AIOS, 0.04%, 07/25/2056 (a)(b)(d)
|
93,513,458
|
169,914
|
||||||
|
Series 2021-INV1, Class AX4, 0.40%, 07/25/2056 (a)(b)(d)
|
6,242,403
|
111,851
|
||||||
|
Series 2021-INV1, Class B3, 3.08%, 07/25/2056 (a)(d)
|
3,867,383
|
3,281,138
|
||||||
|
Series 2021-INV2, Class A11X, 0.50% (-1 x 30 day avg SOFR US + 4.15%), 11/25/2056, (5.00% Cap) (b)(d)(h)
|
16,858,737
|
641,682
|
||||||
|
Series 2021-INV2, Class A15X, 0.50%, 11/25/2056 (a)(b)(d)
|
10,100,517
|
294,847
|
||||||
|
Series 2021-INV2, Class AIOS, 0.04%, 11/25/2056 (a)(b)(d)
|
272,143,903
|
641,389
|
||||||
|
Series 2021-INV2, Class AX4, 0.15%, 11/25/2056 (a)(b)(d)
|
15,470,294
|
133,555
|
||||||
|
Series 2021-NQM2, Class M1, 2.28%, 02/25/2066 (a)(d)
|
1,000,000
|
774,484
|
||||||
|
Series 2021-NQM7, Class B1, 3.72%, 10/25/2066 (a)(d)
|
5,417,100
|
4,361,206
|
||||||
|
Series 2021-NQM8, Class A2, 2.30%, 10/25/2066 (a)(d)
|
1,283,242
|
1,137,166
|
||||||
|
Series 2021-NQM8, Class A3, 2.41%, 10/25/2066 (a)(c)(d)
|
12,050,633
|
10,662,676
|
||||||
|
Series 2021-NQM8, Class B1, 4.21%, 10/25/2066 (a)(d)
|
4,346,000
|
3,516,811
|
||||||
|
Series 2022-ATH1, Class B1, 4.57%, 01/25/2067 (a)(d)
|
7,220,300
|
6,754,410
|
||||||
|
Series 2022-ATH2, Class B1, 4.98%, 05/25/2067 (a)(d)
|
4,450,000
|
4,186,516
|
||||||
|
Series 2022-ATH2, Class B2, 4.98%, 05/25/2067 (a)(d)
|
7,000,000
|
6,036,667
|
||||||
|
Series 2022-NQM5, Class M1, 5.17%, 05/25/2067 (a)(d)
|
500,000
|
498,679
|
||||||
|
Deephaven Residential Mortgage Trust
|
||||||||
|
Series 2021-2, Class B2, 3.93%, 04/25/2066 (a)(d)
|
6,528,000
|
5,046,624
|
||||||
|
Series 2021-2, Class M1, 2.22%, 04/25/2066 (a)(d)
|
2,500,000
|
1,940,194
|
||||||
|
Series 2021-3, Class B2, 4.13%, 08/25/2066 (a)(d)
|
4,600,000
|
3,678,435
|
||||||
|
Series 2022-1, Class B1, 4.26%, 01/25/2067 (a)(d)
|
5,000,000
|
4,186,290
|
||||||
|
Series 2022-1, Class B2, 4.26%, 01/25/2067 (a)(d)
|
4,628,000
|
3,615,333
|
||||||
|
Series 2022-3, Class B1, 5.28%, 07/25/2067 (a)(d)
|
5,000,000
|
4,754,585
|
||||||
|
Series 2025-CES1, Class B2, 7.91%, 10/25/2055 (a)(d)
|
3,250,000
|
3,242,193
|
||||||
|
Deutsche ALT-A Securities, Inc.
|
||||||||
|
Series 2005-5, Class 2A4, 5.50%, 11/25/2035 (c)
|
3,180,452
|
1,403,864
|
||||||
|
Series 2006-AB2, Class A8, 5.73%, 06/25/2036 (a)(c)
|
2,084,502
|
1,923,934
|
||||||
|
Series 2007-AR1, Class A1, 4.01% (1 mo. Term SOFR + 0.35%), 01/25/2047, (10.50% Cap) (c)
|
4,535,824
|
4,467,502
|
||||||
|
Series 2007-AR1, Class A2, 4.13% (1 mo. Term SOFR + 0.47%), 01/25/2047, (10.50% Cap)
|
787,762
|
756,078
|
||||||
|
Series 2007-BAR1, Class A4, 4.25% (1 mo. Term SOFR + 0.59%), 03/25/2037 (c)
|
83,950,000
|
6,244,117
|
||||||
|
Downey Savings & Loan Association Mortgage Loan Trust
|
||||||||
|
Series 2004-AR1, Class X2, 0.01%, 09/19/2044 (a)(b)
|
10,067,101
|
3,584
|
||||||
|
Series 2004-AR2, Class C, 0.00%, 11/19/2044 (i)
|
1,000
|
1
|
||||||
|
Series 2004-AR2, Class X2, 0.01%, 11/19/2044 (a)(b)
|
9,239,965
|
16,352
|
||||||
|
Series 2004-AR4, Class X2, 0.00%, 01/19/2045 (a)(b)
|
8,513,482
|
511
|
||||||
|
Series 2005-AR1, Class 1A, 4.32% (1 mo. Term SOFR + 0.65%), 02/19/2045, (10.50% Cap) (c)
|
14,707,017
|
11,102,373
|
||||||
|
Series 2005-AR1, Class C, 0.00%, 02/19/2045 (i)
|
1,000,000
|
10,000
|
||||||
|
Series 2005-AR1, Class X2, 0.00%, 02/19/2045 (a)(b)
|
14,753,708
|
17,188
|
||||||
|
Series 2005-AR2, Class 2A1C, 4.22% (1 mo. Term SOFR + 0.55%), 03/19/2045, (10.50% Cap) (c)
|
880,861
|
859,510
|
||||||
|
Series 2007-AR1, Class 1A1A, 3.92% (1 mo. Term SOFR + 0.25%), 04/19/2047 (c)
|
28,679,365
|
23,967,408
|
||||||
|
DSLA Mortgage Loan Trust, Series 2005-AR2, Class C, 0.00%, 03/19/2045
|
1
|
0
|
||||||
|
Ellington Financial Mortgage Trust
|
||||||||
|
Series 2021-2, Class B1, 3.20%, 06/25/2066 (a)(d)
|
3,320,000
|
2,477,059
|
||||||
|
Series 2021-2, Class M1, 2.30%, 06/25/2066 (a)(d)
|
2,710,000
|
1,929,689
|
||||||
|
Series 2021-3, Class B2, 4.29%, 09/25/2066 (a)(d)
|
2,910,000
|
2,176,318
|
||||||
|
Series 2022-4, Class AIOS, 0.25%, 09/25/2067 (a)(b)(d)
|
236,772,840
|
729,734
|
||||||
|
Series 2022-4, Class B1, 5.84%, 09/25/2067 (a)(d)
|
4,010,100
|
3,987,312
|
||||||
|
Series 2022-4, Class B3, 5.84%, 09/25/2067 (a)(d)
|
20,696,908
|
11,066,864
|
||||||
|
Series 2022-4, Class X, 0.00%, 09/25/2067 (a)(b)(d)
|
236,772,840
|
415,063
|
||||||
|
Series 2024-CES1, Class B3, 8.72%, 01/26/2060 (a)(d)
|
3,588,553
|
3,608,313
|
||||||
|
Series 2024-INV2, Class B3, 7.63%, 10/25/2069 (a)(d)
|
6,155,807
|
6,102,510
|
||||||
|
Series 2024-NQM1, Class B2, 7.47%, 11/25/2069 (a)(d)
|
2,897,500
|
2,883,306
|
||||||
|
Series 2024-NQM1, Class B3, 7.47%, 11/25/2069 (a)(d)
|
2,739,000
|
2,687,247
|
||||||
|
Series 2025-NQM1, Class B3, 7.43%, 01/25/2070 (a)(d)
|
5,008,000
|
4,844,479
|
||||||
|
Series 2026-NQM1, Class B2, 6.88%, 02/25/2071 (a)(d)
|
3,903,000
|
3,751,459
|
||||||
|
Flagstar Mortgage Trust
|
||||||||
|
Series 2018-2, Class B5, 4.00%, 04/25/2048 (a)(d)
|
2,494,281
|
2,255,079
|
||||||
|
Series 2018-6RR, Class B5, 4.90%, 10/25/2048 (a)(d)
|
2,478,000
|
2,006,364
|
||||||
|
Series 2021-1, Class B4, 3.08%, 02/01/2051 (a)(d)
|
2,504,698
|
2,003,657
|
||||||
|
Series 2021-1, Class B5, 3.08%, 02/01/2051 (a)(d)
|
1,222,000
|
638,541
|
||||||
|
Series 2021-10IN, Class B5, 3.49%, 10/25/2051 (a)(d)
|
1,149,119
|
943,166
|
||||||
|
Series 2021-2, Class B4, 2.78%, 04/25/2051 (a)(d)
|
1,340,188
|
721,792
|
||||||
|
Series 2021-2, Class B5, 2.78%, 04/25/2051 (a)(d)
|
1,343,000
|
688,878
|
||||||
|
Series 2021-6INV, Class B5, 3.48%, 08/25/2051 (a)(d)
|
2,849,760
|
2,283,271
|
||||||
|
Series 2021-9INV, Class AX1, 0.45%, 09/25/2041 (a)(b)(d)
|
164,849,094
|
1,846,804
|
||||||
|
Series 2021-9INV, Class B4, 2.95%, 09/25/2041 (a)(d)
|
405,032
|
374,799
|
||||||
|
Series 2021-9INV, Class B5, 2.95%, 09/25/2041 (a)(d)
|
1,211,408
|
797,060
|
||||||
|
GCAT Trust
|
||||||||
|
Series 2021-NQM4, Class A3, 1.56%, 08/25/2066 (a)(d)
|
590,005
|
506,766
|
||||||
|
Series 2021-NQM6, Class M1, 3.41%, 08/25/2066 (a)(d)
|
1,250,000
|
985,327
|
||||||
|
Series 2022-NQM1, Class A1A, 4.17%, 02/25/2067 (d)(g)
|
2,357,619
|
2,302,725
|
||||||
|
Goldman Sachs Mortgage Pass-Through Trust, Series 2022-1, Class PT, 4.24%, 02/25/2053 (a)(d)
|
40,636,396
|
36,618,513
|
||||||
|
Greenpoint Mortgage Funding Trust
|
||||||||
|
Series 2005-AR1, Class X1, 0.16%, 06/25/2045 (a)(b)
|
10,439,433
|
73,974
|
||||||
|
Series 2005-AR3, Class X1, 0.00%, 08/25/2045 (a)(b)
|
20,239,303
|
220,669
|
||||||
|
Series 2005-AR4, Class 4A1A, 4.39% (1 mo. Term SOFR + 0.73%), 10/25/2045, (10.50% Cap)
|
676,275
|
631,700
|
||||||
|
Series 2005-AR4, Class X4, 0.00%, 10/25/2045 (a)(b)
|
5,811,107
|
0
|
||||||
|
Series 2006-AR3, Class 4X, 1.00%, 04/25/2036 (b)
|
13,257,013
|
637,408
|
||||||
|
GS Mortgage Securities Corp.
|
||||||||
|
Series 2014-5R, Class 3B3, 4.09% (1 mo. Term SOFR + 0.26%), 02/26/2037 (d)
|
5,707,000
|
5,437,308
|
||||||
|
Series 2014-5R, Class 3B4, 4.09% (1 mo. Term SOFR + 0.26%), 02/26/2037 (d)
|
5,709,149
|
5,249,849
|
||||||
|
GS Mortgage-Backed Securities Trust
|
||||||||
|
Series 2019-PJ1, Class B4, 4.01%, 08/25/2049 (a)(d)
|
1,500,000
|
1,198,514
|
||||||
|
Series 2019-PJ1, Class B5, 4.01%, 08/25/2049 (a)(d)
|
577,000
|
411,877
|
||||||
|
Series 2019-PJ3, Class AIOS, 0.22%, 03/25/2050 (a)(b)(d)
|
23,702,565
|
231,787
|
||||||
|
Series 2020-PJ5, Class B5, 3.25%, 03/27/2051 (a)(d)
|
1,651,641
|
1,004,328
|
||||||
|
Series 2020-PJ6, Class AX1, 0.02%, 05/25/2051 (a)(b)(d)
|
283,659,191
|
253,790
|
||||||
|
Series 2020-PJ6, Class B4, 2.77%, 05/25/2051 (a)(d)
|
1,657,243
|
1,362,633
|
||||||
|
Series 2020-PJ6, Class B5, 2.77%, 05/25/2051 (a)(d)
|
1,435,831
|
905,902
|
||||||
|
Series 2020-RPL1, Class B1, 3.75%, 07/25/2059 (a)(d)
|
6,323,000
|
5,307,171
|
||||||
|
Series 2021-HP1, Class B3, 3.21%, 01/25/2052 (a)(c)(d)
|
3,379,314
|
2,881,589
|
||||||
|
Series 2021-HP1, Class B4, 3.21%, 01/25/2052 (a)(d)
|
3,388,489
|
2,844,562
|
||||||
|
Series 2021-HP1, Class B5, 3.21%, 01/25/2052 (a)(d)
|
1,360,888
|
1,124,046
|
||||||
|
Series 2021-INV1, Class B3, 3.02%, 12/25/2051 (a)(d)
|
3,822,870
|
3,239,477
|
||||||
|
Series 2021-MM1, Class A2, 2.50%, 04/25/2052 (a)(d)
|
771,519
|
639,182
|
||||||
|
Series 2021-MM1, Class B3, 2.72%, 04/25/2052 (a)(c)(d)
|
2,356,833
|
1,996,415
|
||||||
|
Series 2021-MM1, Class B4, 2.72%, 04/25/2052 (a)(d)
|
1,523,773
|
780,181
|
||||||
|
Series 2021-NQM1, Class A3, 1.53%, 07/25/2061 (a)(d)
|
1,666,534
|
1,551,065
|
||||||
|
Series 2021-PJ1, Class B4, 2.74%, 06/25/2051 (a)(d)
|
2,153,028
|
1,590,806
|
||||||
|
Series 2021-PJ1, Class B5, 2.74%, 06/25/2051 (a)(d)
|
1,039,000
|
536,647
|
||||||
|
Series 2021-PJ11, Class A2, 2.50%, 04/25/2052 (a)(d)
|
1,121,936
|
931,646
|
||||||
|
Series 2021-PJ11, Class B4, 2.85%, 04/25/2052 (a)(d)
|
1,300,000
|
687,340
|
||||||
|
Series 2021-PJ3, Class B4, 2.65%, 08/25/2051 (a)(d)
|
1,150,920
|
931,352
|
||||||
|
Series 2021-PJ3, Class B5, 2.65%, 08/25/2051 (a)(d)
|
1,164,092
|
712,628
|
||||||
|
Series 2021-PJ4, Class AX1, 0.01%, 09/25/2051 (a)(b)(d)
|
405,360,242
|
140,255
|
||||||
|
Series 2021-PJ4, Class B4, 2.61%, 09/25/2051 (a)(d)
|
2,449,662
|
1,411,804
|
||||||
|
Series 2021-PJ5, Class B4, 2.58%, 10/25/2051 (a)(d)
|
3,416,955
|
2,325,480
|
||||||
|
Series 2021-PJ6, Class AX1, 0.02%, 11/25/2051 (a)(b)(d)
|
706,948,897
|
728,864
|
||||||
|
Series 2021-PJ6, Class B4, 2.68%, 11/25/2051 (a)(c)(d)
|
5,073,601
|
4,053,508
|
||||||
|
Series 2021-PJ7, Class B4, 2.72%, 01/25/2052 (a)(c)(d)
|
6,996,378
|
5,606,736
|
||||||
|
Series 2021-PJ8, Class B4, 2.76%, 01/25/2052 (a)(d)
|
3,558,455
|
2,646,252
|
||||||
|
Series 2021-PJ8, Class B5, 2.76%, 01/25/2052 (a)(d)
|
1,237,000
|
639,522
|
||||||
|
Series 2021-PJ9, Class A13, 2.00%, 02/26/2052 (a)(d)
|
1,500,000
|
942,728
|
||||||
|
Series 2021-PJ9, Class B4, 2.92%, 02/26/2052 (a)(d)
|
3,101,365
|
2,535,983
|
||||||
|
Series 2021-PJ9, Class B5, 2.92%, 02/26/2052 (a)(d)
|
1,167,824
|
838,821
|
||||||
|
Series 2022-GR1, Class B4, 3.19%, 06/25/2052 (a)(d)
|
3,535,106
|
2,878,290
|
||||||
|
Series 2022-GR1, Class B5, 3.19%, 06/25/2052 (a)(d)
|
1,109,908
|
864,748
|
||||||
|
Series 2022-LTV1, Class A15X, 0.50% (-1 x 30 day avg SOFR US + 4.15%), 06/25/2052, (5.00% Cap) (b)(d)(h)
|
11,746,475
|
445,238
|
||||||
|
Series 2022-LTV1, Class B2, 3.24%, 06/25/2052 (a)(c)(d)
|
4,447,284
|
3,727,035
|
||||||
|
Series 2022-LTV1, Class B4, 3.24%, 06/25/2052 (a)(d)
|
4,589,987
|
3,737,709
|
||||||
|
Series 2022-LTV1, Class B5, 3.24%, 06/25/2052 (a)(d)
|
717,129
|
552,856
|
||||||
|
Series 2022-PJ3, Class A4, 2.50%, 08/25/2052 (a)(d)
|
3,772,934
|
3,116,357
|
||||||
|
Series 2023-PJ6, Class A16, 6.50%, 04/25/2054 (a)(d)
|
1,436,545
|
1,449,501
|
||||||
|
Series 2024-HE1, Class B2, 7.65% (30 day avg SOFR US + 4.00%), 08/25/2054 (d)
|
2,947,000
|
2,970,894
|
||||||
|
Series 2024-PJ3, Class B4, 5.77%, 08/25/2054 (a)(d)
|
2,340,000
|
1,998,051
|
||||||
|
Series 2024-PJ5, Class B4, 6.90%, 09/25/2054 (a)(d)
|
1,613,000
|
1,539,171
|
||||||
|
Series 2024-PJ6, Class B4, 6.68%, 10/25/2054 (a)(d)
|
1,584,000
|
1,469,973
|
||||||
|
Series 2024-PJ8, Class B4, 6.79%, 02/25/2055 (a)(d)
|
1,734,000
|
1,593,402
|
||||||
|
Series 2024-RPL2, Class M1, 4.11%, 07/25/2061 (a)(d)
|
5,000,000
|
4,760,210
|
||||||
|
Series 2024-RPL4, Class M1, 4.00%, 09/25/2061 (a)(d)
|
3,500,000
|
3,367,752
|
||||||
|
GSAA Trust
|
||||||||
|
Series 2005-14, Class 2A3, 4.47% (1 mo. Term SOFR + 0.81%), 12/25/2035 (c)
|
1,613,357
|
1,470,243
|
||||||
|
Series 2007-2, Class AV1, 3.85% (1 mo. Term SOFR + 0.19%), 03/25/2037
|
3,237,625
|
576,734
|
||||||
|
Series 2007-5, Class 2A1A, 4.01% (1 mo. Term SOFR + 0.35%), 04/25/2047 (c)
|
1,096,915
|
1,029,112
|
||||||
|
GSR Mortgage Loan Trust, Series 2005-6F, Class 3A6, 4.10% (1 mo. Term SOFR + 0.44%), 07/25/2035, (7.25% Cap)
|
1,147,801
|
1,015,650
|
||||||
|
Harborview Mortgage Loan Trust
|
||||||||
|
Series 2004-11, Class X1, 0.00%, 01/19/2035 (a)(b)
|
6,366,717
|
64
|
||||||
|
Series 2004-7, Class X1, 0.50%, 11/19/2034 (a)(b)
|
845,435
|
12,549
|
||||||
|
Series 2004-9, Class 4A2, 4.56% (1 mo. Term SOFR + 0.89%), 12/19/2034 (c)
|
1,358,410
|
1,184,207
|
||||||
|
Series 2005-1, Class X, 0.00%, 03/19/2035 (a)(b)
|
4,093,214
|
5,964
|
||||||
|
Series 2005-10, Class X, 0.00%, 11/19/2035 (a)(b)
|
19,356,700
|
194
|
||||||
|
Series 2005-11, Class X, 0.00%, 08/19/2045 (a)(b)
|
6,109,773
|
61
|
||||||
|
Series 2005-12, Class X2B, 0.11%, 10/19/2035 (a)(b)
|
6,824,101
|
68
|
||||||
|
Series 2005-13, Class X, 0.00%, 02/19/2036 (a)(b)
|
9,477,565
|
95
|
||||||
|
Series 2005-3, Class X2, 0.04%, 06/19/2035 (a)(b)
|
26,345,718
|
263
|
||||||
|
Series 2005-8, Class 2XA1, 0.04%, 09/19/2035 (a)(b)
|
20,812,045
|
208
|
||||||
|
Series 2006-14, Class 2A1A, 4.08% (1 mo. Term SOFR + 0.41%), 01/25/2047 (c)
|
13,938,861
|
13,338,210
|
||||||
|
Series 2007-6, Class 2A1A, 3.97% (1 mo. Term SOFR + 0.30%), 08/19/2037, (10.50% Cap)
|
1,340,746
|
1,213,424
|
||||||
|
Helios Loan Funding Trust, 9.99%, 12/29/2053 (a)
|
65,378,144
|
69,265,659
|
||||||
|
Home RE Ltd., Series 2026-1, Class B1, 7.85% (30 day avg SOFR US + 4.20%), 01/25/2036 (d)
|
1,500,000
|
1,529,037
|
||||||
|
Homebanc Mortgage Trust, Series 2004-2, Class A2, 4.67% (1 mo. Term SOFR + 1.01%), 12/25/2034, (11.50% Cap)
|
675,663
|
649,861
|
||||||
|
Impac Secured Assets CMN Owner Trust, Series 2006-2, Class 1A2C, 4.33% (1 mo. Term SOFR + 0.67%), 08/25/2036, (11.50% Cap) (c)
|
2,679,927
|
2,418,354
|
||||||
|
Imperial Fund Mortgage Trust
|
||||||||
|
Series 2021-NQM1, Class B2, 4.36%, 06/25/2056 (a)(d)
|
2,570,000
|
2,135,670
|
||||||
|
Series 2021-NQM4, Class B2, 4.10%, 01/25/2057 (a)(d)
|
2,500,000
|
1,908,154
|
||||||
|
Series 2022-NQM1, Class B2, 4.08%, 02/25/2067 (a)(d)
|
7,250,000
|
5,285,994
|
||||||
|
Indymac Index Mortgage Loan Trust
|
||||||||
|
Series 2004-AR12, Class AX2, 0.00%, 12/25/2034 (a)(b)
|
1,301,183
|
13
|
||||||
|
Series 2005-16IP, Class AX, 0.00%, 07/25/2045 (a)(b)
|
8,773,306
|
3,966
|
||||||
|
Series 2005-AR10, Class AX, 0.00%, 06/25/2035 (a)(b)
|
21,561,727
|
216
|
||||||
|
Series 2005-AR12, Class AX2, 0.00%, 07/25/2035 (a)(b)
|
35,005,768
|
350
|
||||||
|
Series 2005-AR14, Class 2X, 0.01%, 07/25/2035 (a)(b)
|
16,121,382
|
12,639
|
||||||
|
Series 2005-AR2, Class AX2, 0.00%, 02/25/2035 (a)(b)
|
8,094,863
|
0
|
||||||
|
Series 2005-AR4, Class AX2, 0.00%, 03/25/2035 (a)(b)
|
10,001,157
|
117,534
|
||||||
|
Series 2005-AR8, Class AX2, 0.00%, 05/25/2035 (a)(b)
|
13,404,456
|
134
|
||||||
|
Series 2006-AR25, Class 5A1, 3.62%, 09/25/2036 (a)(c)
|
3,533,349
|
2,777,619
|
||||||
|
Series 2007-AR9, Class 2A1, 3.74%, 04/25/2037 (a)(c)
|
2,652,273
|
1,538,361
|
||||||
|
JP Morgan Chase Commercial Mortgage Securities
|
||||||||
|
Series 2019-LTV1, Class B4, 4.58%, 06/25/2049 (a)(d)
|
3,214,445
|
3,068,387
|
||||||
|
Series 2019-LTV1, Class B5, 4.58%, 06/25/2049 (a)(d)
|
1,752,008
|
1,443,649
|
||||||
|
JP Morgan Mortgage Trust
|
||||||||
|
Series 2005-ALT1, Class 2A1, 5.21%, 10/25/2035 (a)(c)
|
4,012,657
|
2,597,409
|
||||||
|
Series 2006-A6, Class 1A4L, 3.91%, 10/25/2036 (a)
|
1,243,149
|
865,250
|
||||||
|
Series 2007-A4, Class 3A3, 4.82%, 06/25/2037 (a)
|
1,045,260
|
779,941
|
||||||
|
Series 2019-7, Class AX1, 0.00%, 02/25/2050 (a)(b)(d)
|
16,709,227
|
167
|
||||||
|
Series 2019-7, Class B4, 3.97%, 02/25/2050 (a)(d)
|
2,603,553
|
2,141,475
|
||||||
|
Series 2019-7, Class B5, 3.97%, 02/25/2050 (a)(d)
|
1,199,000
|
848,112
|
||||||
|
Series 2019-8, Class AX1, 0.13%, 03/25/2050 (a)(b)(d)
|
36,354,951
|
129,227
|
||||||
|
Series 2019-9, Class B5, 3.80%, 05/25/2050 (a)(d)
|
2,286,172
|
2,049,517
|
||||||
|
Series 2019-LTV3, Class B5, 4.36%, 03/25/2050 (a)(d)
|
1,597,855
|
1,451,065
|
||||||
|
Series 2020-1, Class B5, 3.81%, 06/25/2050 (a)(d)
|
1,953,643
|
1,678,180
|
||||||
|
Series 2020-3, Class B4, 3.83%, 08/25/2050 (a)(d)
|
187,796
|
168,519
|
||||||
|
Series 2020-3, Class B5, 3.83%, 08/25/2050 (a)(d)
|
1,490,677
|
1,318,039
|
||||||
|
Series 2020-5, Class B5, 3.57%, 12/25/2050 (a)(d)
|
1,602,854
|
1,258,239
|
||||||
|
Series 2020-LTV1, Class B5, 4.23%, 06/25/2050 (a)(d)
|
2,569,951
|
2,324,345
|
||||||
|
Series 2020-LTV2, Class B5, 4.00%, 11/25/2050 (a)(d)
|
2,845,816
|
2,476,560
|
||||||
|
Series 2021-10, Class B5, 2.83%, 12/25/2051 (a)(d)
|
2,241,160
|
1,529,256
|
||||||
|
Series 2021-13, Class A5, 2.50%, 04/25/2052 (a)(d)
|
1,500,000
|
1,030,195
|
||||||
|
Series 2021-15, Class B3, 3.11%, 06/25/2052 (a)(c)(d)
|
8,260,217
|
6,904,162
|
||||||
|
Series 2021-15, Class B4, 3.11%, 06/25/2052 (a)(d)
|
4,805,633
|
3,968,564
|
||||||
|
Series 2021-3, Class B4, 2.94%, 07/25/2051 (a)(d)
|
1,921,642
|
1,553,780
|
||||||
|
Series 2021-6, Class B4, 2.83%, 10/25/2051 (a)(d)
|
3,432,871
|
2,735,978
|
||||||
|
Series 2021-7, Class B4, 2.80%, 11/25/2051 (a)(d)
|
1,683,185
|
1,345,944
|
||||||
|
Series 2021-7, Class B5, 2.80%, 11/25/2051 (a)(d)
|
1,683,185
|
955,196
|
||||||
|
Series 2021-8, Class B4, 2.84%, 12/25/2051 (a)(d)
|
2,870,476
|
2,305,653
|
||||||
|
Series 2021-INV6, Class A5A, 2.50%, 04/25/2052 (a)(d)
|
988,492
|
814,618
|
||||||
|
Series 2022-1, Class B4, 3.08%, 07/25/2052 (a)(c)(d)
|
13,576,625
|
10,860,970
|
||||||
|
Series 2023-6, Class AX1, 0.20%, 12/26/2053 (a)(b)(d)
|
102,707,616
|
188,160
|
||||||
|
Series 2023-6, Class B4, 6.07%, 12/26/2053 (a)(d)
|
1,529,467
|
1,327,407
|
||||||
|
Series 2023-7, Class B4, 6.12%, 02/25/2054 (a)(d)
|
1,035,500
|
874,745
|
||||||
|
Series 2023-8, Class B4, 6.09%, 02/25/2054 (a)(d)
|
2,984,551
|
2,653,101
|
||||||
|
Series 2023-9, Class B4, 6.26%, 04/25/2054 (a)(d)
|
2,929,473
|
2,749,796
|
||||||
|
Series 2024-10, Class A11X, 2.60% (-1 x 30 day avg SOFR US + 6.25%), 03/25/2055, (7.50% Cap) (b)(d)(h)
|
80,924,263
|
3,012,729
|
||||||
|
Series 2024-10, Class B6, 6.57%, 03/25/2055 (a)(d)
|
2,843,931
|
1,917,350
|
||||||
|
Series 2024-4, Class B4, 7.05%, 10/25/2054 (a)(d)
|
2,962,489
|
2,977,506
|
||||||
|
Series 2024-5, Class A11X, 3.10% (-1 x 30 day avg SOFR US + 6.75%), 11/25/2054, (8.00% Cap) (b)(d)(h)
|
65,176,757
|
3,122,749
|
||||||
|
Series 2024-5, Class B4, 6.90%, 11/25/2054 (a)(d)
|
2,578,493
|
2,591,298
|
||||||
|
Series 2024-5, Class B5, 6.90%, 11/25/2054 (a)(d)
|
2,366,000
|
2,019,002
|
||||||
|
Series 2024-6, Class B4, 6.88%, 12/25/2054 (a)(d)
|
2,512,639
|
2,384,663
|
||||||
|
Series 2024-6, Class B5, 6.88%, 12/25/2054 (a)(d)
|
1,795,000
|
1,502,244
|
||||||
|
Series 2024-8, Class B4, 6.92%, 01/25/2055 (a)(d)
|
2,611,000
|
2,413,601
|
||||||
|
Series 2024-9, Class B4, 6.96%, 02/25/2055 (a)(d)
|
3,272,524
|
3,186,041
|
||||||
|
Series 2024-9, Class B6, 6.96%, 02/25/2055 (a)(d)
|
2,388,119
|
1,603,746
|
||||||
|
JP Morgan Wealth Management, Series 2020-ATR1, Class A5, 3.00%, 02/25/2050 (a)(d)
|
2,776,727
|
2,420,117
|
||||||
|
JP Morgan Chase Bank NA
|
||||||||
|
Series 2019-CL1, Class M2, 5.47% (1 mo. Term SOFR + 1.81%), 04/25/2047 (d)
|
3,172,988
|
3,216,401
|
||||||
|
Series 2019-CL1, Class M4, 6.37% (1 mo. Term SOFR + 2.71%), 04/25/2047 (d)
|
1,174,739
|
1,208,748
|
||||||
|
Series 2020-CL1, Class B, 13.77% (1 mo. Term SOFR + 10.11%), 10/25/2057 (d)
|
6,690,285
|
7,017,942
|
||||||
|
Series 2020-CL1, Class M2, 6.27% (1 mo. Term SOFR + 2.61%), 10/25/2057 (d)
|
2,397,308
|
2,508,143
|
||||||
|
Series 2020-CL1, Class M4, 8.12% (1 mo. Term SOFR + 4.46%), 10/25/2057 (d)
|
766,512
|
829,740
|
||||||
|
Series 2020-CL1, Class M5, 9.37% (1 mo. Term SOFR + 5.71%), 10/25/2057 (d)
|
1,472,206
|
1,529,880
|
||||||
|
Series 2021-CL1, Class B, 10.55% (30 day avg SOFR US + 6.90%), 03/25/2051 (d)
|
1,150,672
|
1,125,250
|
||||||
|
Series 2021-CL1, Class M5, 7.50% (30 day avg SOFR US + 3.85%), 03/25/2051 (d)
|
344,986
|
348,447
|
||||||
|
Lake Summit Mortgage Trust, 8.67%, 08/15/2049 (a)
|
2,026,536
|
2,006,374
|
||||||
|
Lehman Mortgage Trust, Series 2007-9, Class AP, 0.00%, 10/25/2037 (e)
|
8,403
|
7,108
|
||||||
|
Lehman XS Trust
|
||||||||
|
Series 2005-3, Class 3A3A, 4.65%, 09/25/2035 (g)
|
1,463,940
|
1,277,720
|
||||||
|
Series 2007-12N, Class 1A3A, 4.17% (1 mo. Term SOFR + 0.51%), 07/25/2047
|
1,100,961
|
1,110,780
|
||||||
|
Series 2007-7N, Class 1A1A, 4.21% (1 mo. Term SOFR + 0.55%), 06/25/2047
|
2,193,857
|
2,101,660
|
||||||
|
Series 2007-9, Class WFIO, 0.55%, 04/25/2037 (b)
|
12,138,839
|
121
|
||||||
|
Luminent Mortgage Trust
|
||||||||
|
Series 2006-1, Class X, 0.05%, 04/25/2036 (a)(b)
|
19,933,095
|
71,161
|
||||||
|
Series 2006-2, Class X, 0.00%, 02/25/2046 (a)(b)
|
28,213,086
|
282
|
||||||
|
Series 2006-5, Class X, 0.00%, 07/25/2036 (a)(b)
|
23,413,334
|
234
|
||||||
|
Mastr Adjustable Rate Mortgages Trust, Series 2005-7, Class 2A1, 4.34%, 09/25/2035 (a)
|
816,713
|
760,039
|
||||||
|
MASTR Alternative Loans Trust
|
||||||||
|
Series 2004-6, Class 30PO, 0.00%, 07/25/2034 (e)
|
69,231
|
55,467
|
||||||
|
Series 2007-1, Class 15PO, 0.00%, 05/25/2026 (e)
|
2,913
|
0
|
||||||
|
Series 2007-HF1, Class 4A1, 7.00%, 10/25/2047 (c)
|
9,521,015
|
3,728,999
|
||||||
|
MASTR Asset Securitization Trust
|
||||||||
|
Series 2005-2, Class PO, 0.00%, 11/25/2035 (e)
|
9,603
|
6,407
|
||||||
|
Series 2007-1, Class AP, 0.00%, 11/25/2037 (e)
|
403
|
0
|
||||||
|
Mello Mortgage Capital Acceptance
|
||||||||
|
Series 2018-MTG1, Class B4, 3.66%, 03/25/2048 (a)(d)
|
1,799,000
|
1,350,218
|
||||||
|
Series 2018-MTG1, Class B5, 3.66%, 03/25/2048 (a)(d)
|
1,499,000
|
1,066,837
|
||||||
|
Series 2021-INV4, Class B5, 3.20%, 12/25/2051 (a)(d)
|
1,113,294
|
905,733
|
||||||
|
Series 2021-MTG1, Class B4, 2.65%, 04/25/2051 (a)(d)
|
999,090
|
798,236
|
||||||
|
Series 2021-MTG1, Class B5, 2.65%, 04/25/2051 (a)(d)
|
499,110
|
279,873
|
||||||
|
Series 2021-MTG2, Class B4, 2.67%, 06/25/2051 (a)(d)
|
1,528,631
|
1,146,904
|
||||||
|
Series 2021-MTG3, Class B5, 2.89%, 07/01/2051 (a)(d)
|
488,000
|
229,752
|
||||||
|
Merrill Lynch Mortgage Investors, Inc.
|
||||||||
|
Series 2003-OPT1, Class M3, 6.24% (1 mo. Term SOFR + 2.59%), 07/25/2034
|
1,558,243
|
1,311,136
|
||||||
|
Series 2006-AF1, Class AF2A, 6.25%, 08/25/2036
|
1,595,047
|
559,232
|
||||||
|
MFRA Trust
|
||||||||
|
Series 2021-INV2, Class B1, 4.39%, 11/25/2056 (a)(c)(d)
|
4,000,000
|
3,473,622
|
||||||
|
Series 2021-RPL1, Class A2, 2.07%, 07/25/2060 (a)(d)
|
4,106,000
|
3,506,172
|
||||||
|
Series 2021-RPL1, Class M2, 2.85%, 07/25/2060 (a)(d)
|
4,500,000
|
3,842,474
|
||||||
|
Morgan Stanley Mortgage Loan Trust
|
||||||||
|
Series 2006-3AR, Class 1AX, 1.05%, 03/25/2036 (a)(b)
|
12,620,542
|
365,731
|
||||||
|
Series 2006-5AR, Class AX, 0.48%, 04/25/2036 (a)(b)
|
12,974,347
|
67,194
|
||||||
|
Morgan Stanley Reremic Trust, Series 2015-R4, Class CB3, 4.04%, 08/26/2047 (a)(d)
|
1,010,309
|
865,970
|
||||||
|
Morgan Stanley Residential Mortgage Loan Trust
|
||||||||
|
Series 2021-1, Class B4, 2.95%, 03/25/2051 (a)(d)
|
735,640
|
420,984
|
||||||
|
Series 2021-1, Class B5, 2.95%, 03/25/2051 (a)(d)
|
988,000
|
519,275
|
||||||
|
Series 2021-3, Class B4, 2.78%, 06/25/2051 (a)(d)
|
1,093,000
|
563,278
|
||||||
|
Series 2021-4, Class B4, 2.92%, 07/25/2051 (a)(d)
|
1,240,000
|
662,317
|
||||||
|
Series 2021-5, Class B4, 2.97%, 08/25/2051 (a)(d)
|
1,907,849
|
1,120,235
|
||||||
|
Series 2025-SPL1, Class B1, 4.25%, 02/25/2065 (d)(g)
|
3,410,000
|
3,047,920
|
||||||
|
MortgageIT Trust, Series 2006-1, Class 1X, 0.04%, 04/25/2036 (a)(b)
|
6,374,558
|
0
|
||||||
|
New Residential Mortgage Loan Trust
|
||||||||
|
Series 2017-2A, Class B4, 5.16%, 03/25/2057 (a)(d)
|
2,015,204
|
1,941,687
|
||||||
|
Series 2018-2A, Class B6, 5.16%, 02/25/2058 (a)(d)
|
1,181,795
|
949,621
|
||||||
|
Series 2019-2A, Class B6, 4.69%, 12/25/2057 (a)(d)
|
4,989,122
|
3,837,167
|
||||||
|
Series 2019-6A, Class B5IA, 1.75%, 09/25/2059 (a)(b)(d)
|
11,448,829
|
861,560
|
||||||
|
Series 2021-NQM3, Class B2, 4.05%, 11/27/2056 (a)(d)
|
2,729,000
|
2,268,138
|
||||||
|
Series 2025-NQM2, Class B3, 7.26%, 04/25/2065 (a)(d)
|
11,758,000
|
10,358,763
|
||||||
|
Nomura Resecuritization Trust, Series 2014-3R, Class 4A15, 1.48% (1 mo. Term SOFR + 0.27%), 03/26/2037 (d)
|
3,224,846
|
2,624,900
|
||||||
|
Oceanview Mortgage Trust, Series 2021-5, Class B4, 2.97%, 10/25/2051 (a)(d)
|
1,715,000
|
932,716
|
||||||
|
Onslow Bay Mortgage Loan Trust
|
||||||||
|
Series 2021-J2, Class A1, 2.50%, 07/25/2051 (a)(d)
|
1,450,509
|
1,204,019
|
||||||
|
Series 2021-J3, Class A7, 2.50%, 10/25/2051 (a)(d)
|
2,500,000
|
1,747,407
|
||||||
|
Series 2021-NQM1, Class A1, 1.07%, 02/25/2066 (a)(d)
|
785,938
|
701,764
|
||||||
|
Series 2021-NQM2, Class A3, 1.56%, 05/25/2061 (a)(d)
|
1,663,043
|
1,388,293
|
||||||
|
Series 2021-NQM4, Class A2, 2.16%, 10/25/2061 (a)(d)
|
1,685,525
|
1,460,546
|
||||||
|
PHH Alternative Mortgage Trust, Series 2007-1, Class 21PO, 0.00%, 02/25/2037 (e)
|
9,735
|
7,860
|
||||||
|
Point Securitization Trust
|
||||||||
|
Series 2025-2, Class A1, 5.75%, 10/25/2055 (d)(g)
|
3,243,014
|
3,220,381
|
||||||
|
Series 2025-2, Class B1, 7.00%, 10/25/2055 (d)(g)
|
1,500,000
|
1,323,863
|
||||||
|
Series 2026-1, Class A1, 5.25%, 02/25/2056 (d)(g)
|
2,000,000
|
1,965,811
|
||||||
|
Pretium Mortgage Credit Partners LLC
|
||||||||
|
Series 2025-RPL1, Class M2, 4.00%, 07/25/2069 (d)(g)
|
4,000,000
|
3,704,717
|
||||||
|
Series 2025-RPL2, Class M1, 4.00%, 08/25/2064 (d)(g)
|
2,754,000
|
2,620,614
|
||||||
|
Series 2025-RPL4, Class M2, 4.00%, 03/25/2065 (d)(g)
|
5,500,000
|
4,955,712
|
||||||
|
Progress Residential Trust, Series 2023-SFR2, Class D, 4.50%, 10/17/2040 (d)
|
800,000
|
781,023
|
||||||
|
PRPM LLC
|
||||||||
|
Series 2024-RPL4, Class A3, 4.00%, 12/25/2054 (d)(g)
|
2,936,000
|
2,826,169
|
||||||
|
Series 2025-RCF4, Class M2, 4.50%, 08/25/2055 (d)(g)
|
2,000,000
|
1,860,376
|
||||||
|
Radnor RE Ltd.
|
||||||||
|
Series 2024-1, Class M1C, 7.15% (30 day avg SOFR US + 3.50%), 09/25/2034 (d)
|
500,000
|
505,866
|
||||||
|
Series 2024-1, Class M2, 7.65% (30 day avg SOFR US + 4.00%), 09/25/2034 (d)
|
1,500,000
|
1,534,836
|
||||||
|
RALI Trust
|
||||||||
|
Series 2005-QA13, Class 2A1, 5.15%, 12/25/2035 (a)(c)
|
2,864,421
|
2,529,868
|
||||||
|
Series 2005-QS13, Class AP, 0.00%, 09/25/2035 (e)
|
159,001
|
91,829
|
||||||
|
Series 2005-QS17, Class A1, 6.00%, 12/25/2035 (c)
|
1,338,026
|
1,172,453
|
||||||
|
Series 2005-QS17, Class AP, 0.00%, 12/25/2035 (e)
|
208,377
|
133,023
|
||||||
|
Series 2006-QA7, Class 2A1, 4.14% (1 mo. Term SOFR + 0.48%), 08/25/2036 (c)
|
4,084,789
|
3,792,867
|
||||||
|
Series 2006-QA9, Class A1, 4.13% (1 mo. Term SOFR + 0.47%), 11/25/2036, (11.00% Cap)
|
1,264,301
|
627,596
|
||||||
|
Series 2006-QS11, Class 1A2, 6.00%, 08/25/2036 (c)
|
1,494,882
|
1,221,805
|
||||||
|
Series 2006-QS11, Class 1A8, 6.00%, 08/25/2036 (c)
|
1,489,350
|
1,217,284
|
||||||
|
Series 2006-QS12, Class AP, 0.00%, 09/25/2036 (e)
|
65,144
|
41,281
|
||||||
|
Series 2006-QS14, Class A15, 4.07% (1 mo. Term SOFR + 0.41%), 11/25/2036, (7.50% Cap)
|
1,129,161
|
823,964
|
||||||
|
Series 2006-QS15, Class A5, 6.50%, 10/25/2036
|
780,758
|
689,489
|
||||||
|
Series 2006-QS15, Class AP, 0.00%, 10/25/2036 (e)
|
84,425
|
35,506
|
||||||
|
Series 2006-QS16, Class AP, 0.00%, 11/25/2036 (e)
|
89,710
|
39,299
|
||||||
|
Series 2006-QS3, Class 1A1, 4.47% (1 mo. Term SOFR + 0.81%), 03/25/2036, (5.50% Cap) (c)
|
1,924,774
|
1,654,562
|
||||||
|
Series 2006-QS3, Class 1A8, 4.17% (1 mo. Term SOFR + 0.51%), 03/25/2036, (6.00% Cap)
|
1,038,442
|
881,513
|
||||||
|
Series 2006-QS5, Class AP, 0.00%, 05/25/2036 (e)
|
24,617
|
15,249
|
||||||
|
Series 2006-QS9, Class 1AP, 0.00%, 07/25/2036 (e)
|
14,566
|
7,770
|
||||||
|
Series 2006-QS9, Class 2AP, 0.00%, 07/25/2036 (e)
|
14,951
|
0
|
||||||
|
Series 2007-QA2, Class A3, 4.07% (1 mo. Term SOFR + 0.41%), 02/25/2037, (14.00% Cap) (c)
|
4,091,552
|
3,789,226
|
||||||
|
Series 2007-QS1, Class 1AP, 0.00%, 01/25/2037 (e)
|
13,936
|
11,740
|
||||||
|
Series 2007-QS3, Class AP, 0.00%, 02/25/2037 (e)
|
311,437
|
140,093
|
||||||
|
Series 2007-QS4, Class 4A3, 0.00%, 03/25/2037 (e)
|
487,350
|
0
|
||||||
|
Series 2007-QS5, Class AP, 0.00%, 03/25/2037 (e)
|
145,266
|
69,115
|
||||||
|
Series 2007-QS6, Class AP, 0.00%, 04/25/2037 (e)
|
250,952
|
125,937
|
||||||
|
Series 2007-QS9, Class AP, 0.00%, 07/25/2037 (e)
|
710,599
|
327,017
|
||||||
|
Rate Mortgage Trust
|
||||||||
|
Series 2021-HB1, Class B4, 2.70%, 12/25/2051 (a)(d)
|
2,382,961
|
1,674,643
|
||||||
|
Series 2021-J1, Class B4, 2.70%, 07/25/2051 (a)(d)
|
1,291,000
|
657,045
|
||||||
|
Series 2022-J1, Class B4, 2.75%, 01/25/2052 (a)(d)
|
3,371,219
|
1,954,461
|
||||||
|
Series 2024-J2, Class B5, 6.42%, 07/25/2054 (a)(d)
|
927,000
|
696,975
|
||||||
|
Series 2024-J3, Class B4, 6.38%, 10/25/2054 (a)(d)
|
747,000
|
628,233
|
||||||
|
Series 2024-J3, Class B5, 6.38%, 10/25/2054 (a)(d)
|
935,000
|
699,108
|
||||||
|
RBSSP Resecuritization Trust, Series 2009-3, Class 3A3, 5.75%, 09/26/2035 (a)(d)
|
1,120,818
|
994,097
|
||||||
|
RCKT Mortgage Trust
|
||||||||
|
Series 2021-2, Class B4, 2.56%, 06/25/2051 (a)(d)
|
2,324,986
|
1,643,663
|
||||||
|
Series 2021-2, Class B5, 2.56%, 06/25/2051 (a)(d)
|
1,566,000
|
770,697
|
||||||
|
Series 2021-5, Class A1, 2.50%, 11/25/2051 (a)(c)(d)
|
5,252,787
|
4,418,650
|
||||||
|
Series 2022-1, Class B3, 2.75%, 01/25/2052 (a)(c)(d)
|
9,256,925
|
7,305,973
|
||||||
|
Series 2022-1, Class B4, 2.75%, 01/25/2052 (a)(d)
|
5,197,193
|
3,881,960
|
||||||
|
Series 2022-1, Class B5, 2.75%, 01/25/2052 (a)(d)
|
2,245,000
|
1,041,296
|
||||||
|
Residential Asset Securitization Trust
|
||||||||
|
Series 2005-A11, Class 1A1, 4.22% (1 mo. Term SOFR + 0.56%), 10/25/2035, (5.50% Cap)
|
1,451,294
|
790,831
|
||||||
|
Series 2005-A11, Class 1A3, 5.50%, 10/25/2035
|
1,313,697
|
797,231
|
||||||
|
Series 2005-A11, Class PO, 0.00%, 10/25/2035 (e)
|
513,902
|
125,199
|
||||||
|
Series 2006-A2, Class A5, 4.47% (1 mo. Term SOFR + 0.81%), 01/25/2046, (6.00% Cap)
|
1,848,823
|
497,311
|
||||||
|
Series 2007-A2, Class 2A2, 6.50%, 04/25/2037
|
3,943,420
|
1,022,708
|
||||||
|
Series 2007-A8, Class 1A1, 6.00%, 08/25/2037
|
3,786,751
|
1,630,698
|
||||||
|
RFMSI Trust
|
||||||||
|
Series 2005-S7, Class AP, 0.00%, 11/25/2035 (e)
|
10,576
|
4,678
|
||||||
|
Series 2006-S10, Class 1AP, 0.00%, 10/25/2036 (e)
|
10,714
|
4,466
|
||||||
|
Series 2006-S4, Class AP, 0.00%, 04/25/2036 (e)
|
101,029
|
66,531
|
||||||
|
Series 2006-S5, Class A4, 0.00%, 06/25/2036 (e)
|
24,109
|
12,867
|
||||||
|
Series 2007-S5, Class AP, 0.00%, 05/25/2037 (e)
|
156,305
|
63,278
|
||||||
|
Saluda Grade Mortgage Funding LLC
|
||||||||
|
Series 2020-SEQ1, Class A1, 3.32%, 05/25/2050 (a)(d)
|
1,539,149
|
1,505,605
|
||||||
|
Series 2020-SEQ1, Class C, 0.00%, 05/25/2050 (a)(b)(d)
|
26,202,262
|
5,083,999
|
||||||
|
Series 2021-FIG2, Class M1, 4.25%, 10/25/2051 (a)(d)
|
1,449,524
|
1,468,934
|
||||||
|
Series 2021-FIG2, Class M2, 6.00%, 10/25/2051 (a)(d)
|
1,159,619
|
1,167,844
|
||||||
|
Series 2021-MF1, Class A1, 3.81%, 11/25/2029 (a)(d)
|
6,884,819
|
6,601,963
|
||||||
|
Series 2022-SEQ2, Class B1, 5.50%, 02/25/2052 (a)(d)
|
3,153,250
|
2,877,990
|
||||||
|
Series 2022-SEQ2, Class B2, 6.00%, 02/25/2052 (a)(d)
|
2,011,000
|
1,822,059
|
||||||
|
Series 2022-SEQ2, Class B3, 7.34%, 02/25/2052 (a)(d)
|
2,211,115
|
2,075,488
|
||||||
|
Series 2022-SEQ2, Class CERT, 0.00%, 02/25/2052 (d)
|
38,061,600
|
35,737,863
|
||||||
|
Series 2022-SEQ2, Class M1, 5.00%, 02/25/2052 (a)(d)
|
5,213,750
|
4,886,702
|
||||||
|
Series 2022-SEQ2, Class XS, 0.00%, 02/25/2052 (a)(b)(d)
|
85,254,154
|
1,033,366
|
||||||
|
Series 2022-SG2, Class A, 8.00%, 05/15/2052 (d)(g)
|
15,000,000
|
15,592,305
|
||||||
|
Series 2025-LOC5, Class B1, 7.40% (1 mo. Term SOFR + 3.75%), 10/25/2055 (d)
|
3,029,000
|
3,043,447
|
||||||
|
Series 2025-NPL2, Class A1, 7.77%, 05/25/2030 (d)(g)
|
5,019,378
|
5,056,989
|
||||||
|
Series 2026-HB1, Class A1X, 1.00%, 04/25/2056 (a)(b)(d)
|
122,801,719
|
2,006,212
|
||||||
|
Series 2026-HB1, Class B1, 7.10% (1 mo. Term SOFR + 3.45%), 04/25/2056 (d)
|
2,800,000
|
2,807,386
|
||||||
|
Series 2026-HB1, Class B2, 8.20% (1 mo. Term SOFR + 4.55%), 04/25/2056 (d)
|
5,935,000
|
5,858,967
|
||||||
|
Sequoia Mortgage Trust
|
||||||||
|
Series 2005-2, Class XA, 0.00%, 03/20/2035 (a)(b)
|
2,555,371
|
0
|
||||||
|
Series 2007-1, Class 5A1, 3.89%, 10/20/2046 (a)(c)
|
1,530,920
|
1,076,477
|
||||||
|
Series 2021-1, Class B4, 2.66%, 03/25/2051 (a)(d)
|
2,284,044
|
1,400,914
|
||||||
|
Series 2023-4, Class A10, 5.69%, 11/25/2053 (a)(d)
|
297,276
|
296,866
|
||||||
|
Series 2023-5, Class B4, 5.57%, 12/25/2053 (a)(d)
|
1,191,000
|
983,219
|
||||||
|
Series 2024-8, Class B4, 6.59%, 09/25/2054 (a)(d)
|
2,792,010
|
2,731,111
|
||||||
|
SGR Residential Mortgage Trust
|
||||||||
|
Series 2020-2, Class A1, 1.38%, 05/25/2065 (a)(d)
|
425,483
|
399,468
|
||||||
|
Series 2021-2, Class A2, 1.94%, 12/25/2061 (a)(d)
|
1,476,854
|
1,276,012
|
||||||
|
Shellpoint Asset Funding Trust, Series 2013-1, Class B4, 3.84%, 07/25/2043 (a)(d)
|
782,566
|
685,892
|
||||||
|
Starwood Mortgage Residential Trust
|
||||||||
|
Series 2021-1, Class B1, 3.52%, 05/25/2065 (a)(d)
|
2,743,000
|
2,435,650
|
||||||
|
Series 2021-2, Class A3, 1.43%, 05/25/2065 (a)(d)
|
76,734
|
73,499
|
||||||
|
Series 2021-3, Class B2, 4.10%, 06/25/2056 (a)(d)
|
2,902,000
|
2,309,731
|
||||||
|
Series 2021-3, Class M1, 2.49%, 06/25/2056 (a)(c)(d)
|
5,170,000
|
4,056,149
|
||||||
|
Series 2021-5, Class A3, 2.44%, 09/25/2066 (a)(c)(d)
|
6,385,646
|
5,580,498
|
||||||
|
Series 2021-6, Class B2, 3.94%, 11/25/2066 (a)(d)
|
3,921,000
|
2,895,866
|
||||||
|
Series 2022-3, Class A3, 4.16%, 03/25/2067 (a)(d)
|
2,112,895
|
1,996,613
|
||||||
|
Structured Asset Mortgage Investments, Inc.
|
||||||||
|
Series 2004-AR1, Class X, 0.00%, 03/19/2034 (a)(b)
|
2,824,149
|
28
|
||||||
|
Series 2004-AR7, Class X, 0.59%, 04/19/2035 (a)(b)
|
4,677,232
|
28,157
|
||||||
|
Series 2005-AR2, Class 1X, 0.12%, 05/25/2045 (a)(b)
|
6,092,217
|
5,002
|
||||||
|
Series 2005-AR3, Class 1X, 0.01%, 08/25/2035 (a)(b)
|
7,912,259
|
12,501
|
||||||
|
Series 2006-AR5, Class 1X, 0.00%, 05/25/2046 (a)(b)
|
9,738,534
|
8,619
|
||||||
|
Series 2006-AR5, Class 4X, 0.00%, 05/25/2046 (a)(b)
|
34,634,882
|
8,389
|
||||||
|
Series 2006-AR7, Class X, 0.90%, 08/25/2036 (b)
|
20,588,477
|
718,754
|
||||||
|
Terwin Mortgage Trust, Series 2005-18AL, Class PX, 0.06%, 01/25/2037 (a)(b)(d)
|
20,552,127
|
278,884
|
||||||
|
Towd Point Mortgage Trust
|
||||||||
|
Series 2017-6, Class B4, 3.25%, 10/25/2057 (a)(d)
|
4,500,000
|
3,364,317
|
||||||
|
Series 2018-5, Class B3, 3.47%, 07/25/2058 (a)(d)
|
3,000,000
|
2,098,356
|
||||||
|
Series 2019-1, Class B2, 3.77%, 03/25/2058 (a)(d)
|
3,000,000
|
2,373,302
|
||||||
|
Series 2019-HY2, Class B3, 6.02% (1 mo. Term SOFR + 2.36%), 05/25/2058 (d)
|
2,294,000
|
2,287,718
|
||||||
|
Series 2021-SJ2, Class A2, 2.50%, 12/25/2061 (a)(d)
|
2,548,781
|
2,382,647
|
||||||
|
Series 2024-3, Class M2, 4.98%, 07/25/2065 (a)(d)
|
1,695,000
|
1,560,768
|
||||||
|
Series 2024-4, Class A2, 4.53%, 10/27/2064 (a)(d)
|
2,897,000
|
2,781,983
|
||||||
|
Series 2024-4, Class M1, 4.53%, 10/27/2064 (a)(d)
|
4,966,000
|
4,580,071
|
||||||
|
Triangle Re Ltd., Series 2023-1, Class M1A, 7.05% (30 day avg SOFR US + 3.40%), 11/25/2033 (d)
|
1,176,424
|
1,183,424
|
||||||
|
Unlock Hea Trust
|
||||||||
|
Series 2023-1, Class A, 7.00%, 10/25/2038 (d)
|
1,556,783
|
1,563,320
|
||||||
|
Series 2023-1, Class B, 7.00%, 10/25/2038 (d)
|
16,450,000
|
16,299,614
|
||||||
|
Series 2025-2, Class B, 7.25%, 11/25/2041 (d)
|
4,890,000
|
4,766,388
|
||||||
|
Series 2025-2, Class C, 6.00%, 11/25/2041 (d)
|
500,000
|
403,004
|
||||||
|
UWM Mortgage Trust
|
||||||||
|
Series 2021-INV1, Class B5, 3.15%, 08/25/2051 (a)(d)
|
1,505,867
|
1,223,209
|
||||||
|
Series 2021-INV2, Class B5, 3.23%, 09/25/2051 (a)(d)
|
1,979,474
|
1,617,631
|
||||||
|
Verus Securitization Trust
|
||||||||
|
Series 2021-3, Class B1, 3.20%, 06/25/2066 (a)(d)
|
1,750,000
|
1,376,421
|
||||||
|
Series 2021-3, Class B2, 3.96%, 06/25/2066 (a)(d)
|
2,270,000
|
1,771,259
|
||||||
|
Series 2021-3, Class M1, 2.40%, 06/25/2066 (a)(d)
|
2,500,000
|
2,067,485
|
||||||
|
Series 2021-4, Class A3, 1.35%, 07/25/2066 (a)(d)
|
1,315,640
|
1,133,131
|
||||||
|
Series 2022-2, Class B1, 4.25%, 02/25/2067 (a)(d)
|
6,743,650
|
5,588,043
|
||||||
|
Series 2022-3, Class B2, 4.04%, 02/25/2067 (a)(d)
|
5,296,000
|
4,039,370
|
||||||
|
Series 2022-3, Class M1, 4.04%, 02/25/2067 (a)(d)
|
2,500,000
|
2,154,472
|
||||||
|
Vista Point Securitization Trust
|
||||||||
|
Series 2025-CES2, Class B2, 8.15%, 08/25/2055 (a)(d)
|
3,250,000
|
3,263,810
|
||||||
|
Series 2025-CES3, Class B2, 7.88%, 11/25/2055 (a)(d)
|
2,000,000
|
2,000,431
|
||||||
|
Series 2026-CES1, Class B2, 7.86%, 02/25/2056 (a)(d)
|
5,608,000
|
5,544,450
|
||||||
|
Washington Mutual Alternative Mortgage Pass-Through Certificates
|
||||||||
|
Series 2003-MS7, Class P, 0.00%, 03/25/2033 (e)
|
177
|
140
|
||||||
|
Series 2004-AR10, Class X, 0.02%, 07/25/2044 (a)(b)
|
6,269,712
|
34
|
||||||
|
Series 2005-5, Class CB11, 5.17% (1 mo. Term SOFR + 1.51%), 07/25/2035, (6.00% Cap) (c)
|
2,393,192
|
2,198,291
|
||||||
|
Series 2005-AR6, Class X, 0.00%, 04/25/2045 (a)(b)
|
12,208,376
|
34,635
|
||||||
|
Series 2006-AR8, Class 3X1, 0.03%, 10/25/2046 (a)(b)
|
10,043,765
|
123,448
|
||||||
|
Series 2007-OA4, Class 1XPP, 0.00%, 05/25/2047 (a)(b)
|
50,851,799
|
13,781
|
||||||
|
Series 2007-OA4, Class XPPP, 0.01%, 04/25/2047 (a)(b)
|
16,984,027
|
53,432
|
||||||
|
Series 2007-OA5, Class 1XPP, 0.00%, 06/25/2047 (a)(b)
|
48,667,525
|
3,212
|
||||||
|
Wells Fargo Mortgage Backed Securities Trust
|
||||||||
|
Series 2007-17, Class APO, 0.00%, 01/25/2038 (e)
|
14,176
|
9,038
|
||||||
|
Series 2019-3, Class B4, 3.73%, 07/25/2049 (a)(d)
|
1,627,000
|
1,132,516
|
||||||
|
Series 2019-4, Class B4, 3.51%, 09/25/2049 (a)(d)
|
2,124,000
|
1,377,119
|
||||||
|
Series 2021-1, Class B4, 2.70%, 12/25/2050 (a)(d)
|
1,818,000
|
974,203
|
||||||
|
Series 2021-1, Class B5, 2.70%, 12/25/2050 (a)(d)
|
1,011,000
|
517,998
|
||||||
|
Series 2022-1, Class B4, 2.97%, 08/25/2051 (a)(d)
|
1,443,253
|
1,147,014
|
||||||
|
Series 2022-1, Class B5, 2.97%, 08/25/2051 (a)(d)
|
1,158,000
|
554,794
|
||||||
|
Western Alliance Bancorp
|
||||||||
|
Series 2021-CL2, Class B, 12.15% (30 day avg SOFR US + 8.50%), 07/25/2059 (d)
|
6,600,000
|
6,546,797
|
||||||
|
Series 2021-CL2, Class M4, 9.00% (30 day avg SOFR US + 5.35%), 07/25/2059 (d)
|
10,859,004
|
10,709,606
|
||||||
|
Series 2021-CL2, Class M5, 10.15% (30 day avg SOFR US + 6.50%), 07/25/2059 (d)
|
6,342,945
|
6,180,680
|
||||||
|
WinWater Mortgage Loan Trust
|
||||||||
|
Series 2014-1, Class B5, 3.93%, 06/20/2044 (a)(d)
|
2,370,000
|
1,865,061
|
||||||
|
Series 2014-2, Class B5, 4.07%, 09/20/2044 (a)(d)
|
1,938,000
|
1,532,127
|
||||||
|
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost $1,190,419,351)
|
1,071,188,492
|
|||||||
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY - 15.7%
|
Par
|
Value
|
||||||
|
Federal Home Loan Mortgage Corp.
|
||||||||
|
Pool QJ0225, 6.00%, 07/01/2054
|
9,462,172
|
9,734,296
|
||||||
|
Pool QJ5663, 5.00%, 10/01/2054
|
12,438,692
|
12,326,302
|
||||||
|
Pool QJ6122, 5.00%, 10/01/2054
|
2,807,659
|
2,785,578
|
||||||
|
Pool RA3515, 2.50%, 09/01/2050
|
12,084,200
|
10,250,253
|
||||||
|
Pool RB5118, 2.00%, 07/01/2041
|
6,479,531
|
5,648,732
|
||||||
|
Pool RB5131, 2.00%, 10/01/2041
|
9,000,607
|
7,821,440
|
||||||
|
Pool RB5146, 2.50%, 02/01/2042
|
4,003,423
|
3,594,442
|
||||||
|
Pool RQ0064, 5.50%, 11/01/2055
|
17,021,304
|
17,119,890
|
||||||
|
Pool RQ0094, 5.00%, 02/01/2056
|
17,634,581
|
17,388,445
|
||||||
|
Pool SD1581, 2.50%, 09/01/2052
|
5,525,866
|
4,666,592
|
||||||
|
Pool SD3636, 6.00%, 08/01/2053
|
1,151,272
|
1,190,377
|
||||||
|
Pool SD5781, 6.00%, 07/01/2054
|
5,911,510
|
6,116,910
|
||||||
|
Pool SD6195, 5.00%, 10/01/2053
|
7,601,431
|
7,526,137
|
||||||
|
Pool SD8134, 2.00%, 03/01/2051
|
11,902,990
|
9,619,478
|
||||||
|
Pool SD8322, 4.50%, 05/01/2053
|
325,427
|
314,111
|
||||||
|
Pool SD8469, 5.50%, 10/01/2054
|
4,653,425
|
4,681,474
|
||||||
|
Pool SD8506, 5.50%, 02/01/2055
|
26,644,554
|
26,805,107
|
||||||
|
Pool SD8524, 5.50%, 04/01/2055
|
15,216,368
|
15,308,059
|
||||||
|
Pool SL0817, 6.00%, 04/01/2055
|
3,495,818
|
3,597,201
|
||||||
|
Pool SL1232, 5.00%, 04/01/2055
|
2,645,907
|
2,616,289
|
||||||
|
Pool SL1634, 2.50%, 07/01/2052
|
8,405,260
|
7,096,855
|
||||||
|
Federal National Mortgage Association
|
||||||||
|
Pool BY0126, 5.50%, 04/01/2053
|
2,092,544
|
2,110,544
|
||||||
|
Pool CA7278, 2.50%, 10/01/2050
|
6,384,197
|
5,372,608
|
||||||
|
Pool CB2795, 3.00%, 02/01/2052
|
3,586,124
|
3,149,813
|
||||||
|
Pool CB3349, 2.50%, 04/01/2052
|
3,095,446
|
2,610,234
|
||||||
|
Pool CB4289, 4.50%, 08/01/2052
|
2,722,520
|
2,631,401
|
||||||
|
Pool CB8004, 6.00%, 02/01/2054
|
3,430,718
|
3,548,252
|
||||||
|
Pool CB8710, 6.00%, 06/01/2054
|
3,009,151
|
3,113,412
|
||||||
|
Pool CB9060, 5.50%, 08/01/2054
|
8,346,789
|
8,414,588
|
||||||
|
Pool CB9655, 5.00%, 12/01/2054
|
11,374,169
|
11,228,612
|
||||||
|
Pool DB3770, 5.50%, 05/01/2054
|
3,061,092
|
3,103,881
|
||||||
|
Pool DB6624, 5.50%, 06/01/2054
|
1,009,968
|
1,032,157
|
||||||
|
Pool DC3426, 5.00%, 09/01/2054
|
2,760,976
|
2,753,732
|
||||||
|
Pool DC4050, 5.00%, 10/01/2054
|
19,563,728
|
19,352,568
|
||||||
|
Pool DC5739, 5.50%, 11/01/2054
|
2,462,530
|
2,496,625
|
||||||
|
Pool FA1728, 6.00%, 10/01/2053
|
9,976,888
|
10,234,231
|
||||||
|
Pool FP0069, 2.50%, 01/01/2052
|
11,874,475
|
10,027,031
|
||||||
|
Pool FS6925, 2.50%, 12/01/2051
|
2,167,743
|
1,821,454
|
||||||
|
Pool FS8458, 5.50%, 11/01/2053
|
3,776,026
|
3,828,315
|
||||||
|
Pool MA4520, 2.00%, 01/01/2042
|
3,631,854
|
3,151,487
|
||||||
|
Pool MA4562, 2.00%, 03/01/2052
|
7,893,902
|
6,347,084
|
||||||
|
Pool MA4579, 3.00%, 04/01/2052
|
19,563,669
|
17,180,622
|
||||||
|
Pool MA5320, 4.00%, 03/01/2054
|
8,752,674
|
8,223,440
|
||||||
|
Pool MA5388, 5.50%, 06/01/2054
|
16,303,198
|
16,427,281
|
||||||
|
Pool MA5646, 5.50%, 03/01/2055
|
18,363,072
|
18,473,724
|
||||||
|
Pool MA5760, 5.50%, 07/01/2055
|
17,205,498
|
17,309,180
|
||||||
|
Pool MA5761, 6.00%, 07/01/2055
|
8,356,713
|
8,536,281
|
||||||
|
Pool MA5910, 5.50%, 12/01/2055
|
19,133,006
|
19,243,825
|
||||||
|
Government National Mortgage Association, Pool MA9166, 3.00%, 09/20/2053
|
3,018,597
|
2,695,379
|
||||||
|
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY (Cost $391,188,469)
|
390,625,729
|
|||||||
|
ASSET-BACKED SECURITIES - 12.3%
|
Par
|
Value
|
||||||
|
Automobile - 7.4%
|
||||||||
|
ACC Trust, Series 2022-1, Class D, 6.65%, 10/20/2028 (d)
|
1,500,000
|
15
|
||||||
|
AgoraCapital Auto Securities Trust, Series 2025-1A, Class B, 7.27%, 11/25/2032 (d)
|
2,000,000
|
2,019,563
|
||||||
|
American Credit Acceptance Receivables Trust, Series 2024-4, Class E, 7.19%, 04/12/2032 (d)
|
5,000,000
|
5,111,741
|
||||||
|
American Heritage Auto Receivables Trust, Series 2024-1A, Class D, 6.34%, 01/18/2033 (d)
|
750,000
|
761,964
|
||||||
|
Arivo Acceptance Auto Loan Receivables Trust, Series 2022-1A, Class D, 7.38%, 09/17/2029 (d)
|
500,000
|
502,111
|
||||||
|
Avis Budget Car Rental LLC, Series 2023-4A, Class D, 7.31%, 06/20/2029 (d)
|
5,000,000
|
5,069,628
|
||||||
|
Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class E, 10.37%, 07/15/2030 (d)
|
10,000,000
|
10,691,634
|
||||||
|
CarNow Auto Receivables Trust, Series 2022-1A, Class D, 5.79%, 09/15/2027 (d)
|
1,366,242
|
828,554
|
||||||
|
Carvana Auto Receivables Trust
|
||||||||
|
Series 2021-N1, Class F, 4.55%, 01/10/2028 (d)
|
463,171
|
462,562
|
||||||
|
Series 2021-N4, Class E, 4.53%, 09/11/2028 (d)
|
9,168,733
|
9,065,563
|
||||||
|
Series 2023-N2, Class E, 9.94%, 04/10/2030 (d)
|
6,500,000
|
6,770,642
|
||||||
|
Series 2023-N3, Class E, 9.49%, 09/10/2030 (d)
|
4,000,000
|
4,215,463
|
||||||
|
Corporate One Auto Receivables Trust, Series 2026-1A, Class D, 5.48%, 07/15/2034 (d)
|
750,000
|
745,394
|
||||||
|
CPS Auto Trust
|
||||||||
|
Series 2022-D, Class E, 12.12%, 06/17/2030 (d)
|
4,100,000
|
4,426,324
|
||||||
|
Series 2023-D, Class E, 10.13%, 05/15/2031 (d)
|
6,120,000
|
6,709,594
|
||||||
|
Series 2024-A, Class E, 8.42%, 08/15/2031 (d)
|
1,000,000
|
1,037,668
|
||||||
|
Series 2024-B, Class E, 8.36%, 11/17/2031 (d)
|
6,000,000
|
6,242,018
|
||||||
|
Series 2024-C, Class E, 8.04%, 03/15/2032 (d)
|
4,000,000
|
4,139,065
|
||||||
|
Series 2024-D, Class E, 7.13%, 06/15/2032 (d)
|
2,000,000
|
2,022,246
|
||||||
|
Series 2025-A, Class E, 7.65%, 08/16/2032 (d)
|
1,800,000
|
1,844,264
|
||||||
|
Series 2025-B, Class E, 7.95%, 03/15/2033 (d)
|
2,226,000
|
2,300,076
|
||||||
|
Series 2025-C, Class E, 6.59%, 02/15/2033 (d)
|
4,000,000
|
3,947,214
|
||||||
|
Series 2025-D, Class E, 7.69%, 05/16/2033 (d)
|
2,000,000
|
2,037,860
|
||||||
|
Exeter Automobile Receivables Trust
|
||||||||
|
Series 2022-1A, Class E, 5.02%, 10/15/2029 (d)
|
2,500,000
|
2,478,283
|
||||||
|
Series 2022-2A, Class E, 6.34%, 10/15/2029 (d)
|
10,800,000
|
10,456,511
|
||||||
|
Series 2022-5A, Class E, 10.45%, 04/15/2030 (d)
|
9,436,000
|
9,963,367
|
||||||
|
Series 2022-6A, Class E, 11.61%, 06/17/2030 (d)
|
5,500,000
|
5,760,891
|
||||||
|
Series 2023-3A, Class E, 9.98%, 01/15/2031 (d)
|
3,028,000
|
3,237,735
|
||||||
|
Series 2024-1A, Class E, 7.89%, 08/15/2031 (d)
|
2,375,000
|
2,456,909
|
||||||
|
Series 2024-2A, Class E, 7.98%, 10/15/2031 (d)
|
4,096,000
|
4,245,157
|
||||||
|
Series 2024-3A, Class E, 7.84%, 10/15/2031 (d)
|
11,784,000
|
12,204,957
|
||||||
|
Series 2024-5A, Class E, 7.22%, 05/17/2032 (d)
|
3,000,000
|
3,071,612
|
||||||
|
Series 2026-2A, Class E, 7.54%, 11/15/2033 (d)
|
2,000,000
|
2,025,685
|
||||||
|
FHF Trust
|
||||||||
|
Series 2023-2A, Class D, 9.31%, 10/15/2030 (d)
|
688,000
|
706,937
|
||||||
|
Series 2024-2A, Class D, 7.15%, 09/15/2031 (d)
|
1,128,000
|
1,116,076
|
||||||
|
Series 2024-3A, Class D, 6.01%, 12/15/2031 (d)
|
1,717,000
|
1,626,523
|
||||||
|
Series 2025-1A, Class D, 5.95%, 06/15/2032 (d)
|
600,000
|
569,685
|
||||||
|
Flagship Credit Auto Trust
|
||||||||
|
Series 2021-4, Class E, 4.03%, 03/15/2029 (d)
|
4,000,000
|
2,594,292
|
||||||
|
Series 2022-1, Class E, 5.37%, 06/15/2029 (d)
|
1,000,000
|
693,378
|
||||||
|
Series 2024-1, Class E, 8.60%, 05/15/2031 (d)
|
1,150,000
|
966,110
|
||||||
|
GLS Auto Receivables Trust
|
||||||||
|
Series 2023-1A, Class E, 11.42%, 03/15/2030 (d)
|
7,870,000
|
8,457,613
|
||||||
|
Series 2023-2A, Class E, 9.37%, 01/15/2030 (d)
|
3,000,000
|
3,162,430
|
||||||
|
Series 2023-3A, Class E, 9.27%, 08/15/2030 (d)
|
2,500,000
|
2,638,764
|
||||||
|
Series 2023-4A, Class E, 9.72%, 08/15/2030 (d)
|
5,270,000
|
5,669,562
|
||||||
|
Series 2024-3A, Class E, 7.25%, 06/16/2031 (d)
|
1,000,000
|
1,025,307
|
||||||
|
Series 2024-4A, Class E, 7.51%, 08/15/2031 (d)
|
1,500,000
|
1,551,200
|
||||||
|
Series 2025-1A, Class E, 7.19%, 03/15/2032 (d)
|
1,000,000
|
1,018,929
|
||||||
|
Hertz Corp., Series 2023-4A, Class C, 7.51%, 03/25/2030 (d)
|
800,000
|
834,124
|
||||||
|
Lobel Automobile Receivables Trust, Series 2026-1, Class E, 8.37%, 01/15/2031 (d)
|
2,750,000
|
2,634,085
|
||||||
|
Prestige Auto Receivables Trust, Series 2024-1A, Class E, 7.94%, 04/15/2031 (d)
|
6,682,000
|
6,707,617
|
||||||
|
Research-Driven Pagaya Motor Asset Trust
|
||||||||
|
Series 2025-3A, Class E, 11.09%, 02/27/2034 (d)
|
1,000,000
|
1,003,613
|
||||||
|
Series 2025-6A, Class E, 10.53%, 08/25/2034 (d)
|
500,000
|
498,806
|
||||||
|
Series 2026-1A, Class E, 11.07%, 01/25/2035 (d)
|
1,000,000
|
994,807
|
||||||
|
Santander Holdings USA, Inc., Series 2024-A, Class F, 10.17%, 06/15/2032 (d)
|
802,622
|
823,824
|
||||||
|
Strike Acceptance Auto Funding Trust, Series 2023-1A, Class A, 8.00%, 05/15/2026 (d)
|
536,732
|
538,917
|
||||||
|
US Auto Funding Trust
|
||||||||
|
Series 2022-1A, Class B, 5.13%, 12/15/2026 (d)
|
1,146,230
|
370,500
|
||||||
|
Series 2022-1A, Class D, 9.14%, 07/15/2027 (d)
|
2,053,000
|
21
|
||||||
|
183,055,390
|
||||||||
|
Consumer - 4.3%
|
||||||||
|
ACHD Trust, Series 2025-DS1, Class C, 11.33%, 01/09/2034 (d)
|
3,650,000
|
3,666,907
|
||||||
|
ACHV ABS Trust
|
||||||||
|
Series 2024-3AL, Class E, 7.00%, 12/26/2031 (d)
|
1,213,532
|
1,215,102
|
||||||
|
Series 2025-1PL, Class E, 6.50%, 04/26/2032 (d)
|
2,877,826
|
2,871,794
|
||||||
|
Affirm, Inc.
|
||||||||
|
Series 2024-X1, Class CERT, 0.00%, 05/15/2029 (d)
|
10,885
|
47,819
|
||||||
|
Series 2024-X2, Class CERT, 0.00%, 12/17/2029 (d)
|
9,712
|
98,378
|
||||||
|
Series 2025-X2, Class CERT, 0.00%, 10/15/2030 (b)(d)
|
6,050
|
404,025
|
||||||
|
AMCR ABS Trust, Series 2026-A, Class D, 12.08%, 05/18/2033 (d)
|
750,000
|
754,958
|
||||||
|
Aqua Finance Trust
|
||||||||
|
Series 2019-A, Class D, 6.07%, 07/16/2040 (d)
|
1,454,973
|
1,451,435
|
||||||
|
Series 2021-A, Class C, 3.14%, 07/17/2046 (d)
|
2,028,962
|
1,885,771
|
||||||
|
Bankers Healthcare Group, Inc., Series 2022-C, Class E, 9.73%, 10/17/2035 (d)
|
2,517,000
|
2,658,973
|
||||||
|
Foundation Finance Trust, Series 2025-2A, Class E, 8.35%, 04/15/2052 (d)
|
959,564
|
944,942
|
||||||
|
Goldman Home Improvement Trust
|
||||||||
|
Series 2021-GRN2, Class C, 2.77%, 06/25/2051 (d)
|
4,520,911
|
4,330,763
|
||||||
|
Series 2021-GRN2, Class D, 4.00%, 06/25/2051 (d)
|
1,228,671
|
1,186,309
|
||||||
|
Lendingpoint Asset Securitization Trust, Series 2022-A, Class E, 7.02%, 06/15/2029 (d)
|
3,320,000
|
33
|
||||||
|
LendingPoint Pass-Through Trust, Series 2022-ST3, Class CERT, 0.00%, 05/15/2028 (d)
|
1,576,000
|
142,474
|
||||||
|
Marlette Funding Trust
|
||||||||
|
Series 2021-2A, Class R, 0.00%, 09/15/2031 (d)
|
20,000
|
258,571
|
||||||
|
Series 2023-2A, Class D, 7.92%, 06/15/2033 (d)
|
12,140,000
|
12,328,782
|
||||||
|
Series 2024-1A, Class D, 6.93%, 07/17/2034 (d)
|
500,000
|
508,287
|
||||||
|
Momnt Technologies Trust
|
||||||||
|
Series 2023-1A, Class B, 8.29%, 03/20/2045 (d)
|
400,000
|
410,313
|
||||||
|
Series 2023-1A, Class C, 11.24%, 03/20/2045 (d)
|
900,000
|
355,554
|
||||||
|
Oportun Financial Corp.
|
||||||||
|
Series 2021-C, Class D, 5.57%, 10/08/2031 (d)
|
483,883
|
479,584
|
||||||
|
Series 2024-3, Class D, 9.60%, 08/15/2029 (d)
|
4,300,000
|
4,340,096
|
||||||
|
Series 2025-B, Class E, 9.40%, 05/09/2033 (d)
|
2,000,000
|
2,014,326
|
||||||
|
Series 2025-C, Class E, 9.20%, 07/08/2033 (d)
|
1,000,000
|
998,366
|
||||||
|
Series 2025-D, Class D, 6.97%, 02/08/2033 (d)
|
500,000
|
503,930
|
||||||
|
Pagaya AI Debt Selection Trust
|
||||||||
|
Series 2021-1, Class C, 4.09%, 11/15/2027 (d)
|
277,076
|
275,993
|
||||||
|
Series 2021-3, Class C, 3.27%, 05/15/2029 (d)
|
293,759
|
290,789
|
||||||
|
Series 2021-5, Class C, 3.93%, 08/15/2029 (d)
|
326,447
|
323,997
|
||||||
|
Series 2022-2, Class C, 7.50%, 01/15/2030 (d)
|
1,813,231
|
1,816,337
|
||||||
|
Series 2024-10, Class F, 12.00%, 06/15/2032 (d)
|
3,656,998
|
3,340,712
|
||||||
|
Series 2024-11, Class F, 12.00%, 07/15/2032 (d)
|
1,749,799
|
1,658,845
|
||||||
|
Series 2024-6, Class D, 11.35%, 11/15/2031 (d)
|
214,164
|
214,714
|
||||||
|
Series 2024-7, Class D, 10.90%, 12/15/2031 (d)
|
1,039,778
|
1,055,452
|
||||||
|
Series 2025-1, Class F, 12.00%, 07/15/2032 (d)
|
1,071,235
|
1,053,206
|
||||||
|
Series 2025-2, Class F, 12.00%, 10/15/2032 (d)
|
999,895
|
967,844
|
||||||
|
Series 2025-5, Class F, 12.00%, 03/15/2033 (d)
|
999,961
|
961,847
|
||||||
|
Series 2025-6, Class E, 8.48%, 04/15/2033 (d)
|
6,799,373
|
6,769,916
|
||||||
|
Series 2025-6, Class F2, 12.00%, 04/15/2033 (d)
|
999,908
|
979,358
|
||||||
|
Series 2025-7, Class E, 8.89%, 05/15/2033 (d)
|
999,822
|
993,140
|
||||||
|
Series 2025-8, Class E, 9.57%, 07/15/2033 (d)
|
3,248,882
|
3,250,617
|
||||||
|
Series 2025-R2, Class E, 9.34%, 10/15/2032 (d)
|
2,172,354
|
1,591,392
|
||||||
|
Series 2026-1, Class E, 9.23%, 09/15/2033 (d)
|
2,000,000
|
1,985,779
|
||||||
|
Series 2026-2, Class E, 10.28%, 11/15/2033 (d)
|
3,000,000
|
3,000,893
|
||||||
|
Series 2026-R1, Class E, 9.29%, 12/15/2033 (d)
|
4,500,000
|
4,494,753
|
||||||
|
Series 2026-R2, Class C, 6.22%, 02/15/2034 (d)
|
2,000,000
|
2,001,275
|
||||||
|
PAR Issuer Trust
|
||||||||
|
Series 2026-1A, Class B, 7.84%, 12/15/2032 (d)
|
2,000,000
|
1,997,916
|
||||||
|
Series 2026-1A, Class CERT, 0.00%, 12/15/2032 (d)
|
972,241
|
1,013,281
|
||||||
|
Powerpay Securitization Funding LLC
|
||||||||
|
Series 2024-1A, Class B, 8.46%, 02/18/2039 (d)
|
480,404
|
489,594
|
||||||
|
Series 2025-1A, Class D, 9.19%, 11/18/2041 (d)
|
2,750,000
|
2,443,584
|
||||||
|
Prosper Marketplace Issuance Trust, Series 2024-1A, Class D, 10.98%, 08/15/2029 (d)
|
2,000,000
|
2,019,858
|
||||||
|
RCKT Mortgage Trust, Series 2025-2A, Class E, 7.83%, 11/27/2034 (d)
|
2,261,000
|
2,209,565
|
||||||
|
Republic Finance Issuance Trust
|
||||||||
|
Series 2024-A, Class C, 7.28%, 08/20/2032 (d)
|
600,000
|
603,982
|
||||||
|
Series 2024-A, Class D, 9.49%, 08/20/2032 (d)
|
500,000
|
504,665
|
||||||
|
Series 2025-A, Class E, 7.70%, 11/20/2034 (d)
|
2,000,000
|
2,003,483
|
||||||
|
Sunbit Asset Securitization Trust
|
||||||||
|
Series 2025-1, Class C, 6.12%, 07/15/2030 (d)
|
1,000,000
|
991,620
|
||||||
|
Series 2025-1, Class D, 7.92%, 07/15/2030 (d)
|
750,000
|
745,961
|
||||||
|
Theorem Funding Trust, Series 2022-2A, Class B, 9.27%, 12/15/2028 (d)
|
1,965,215
|
1,968,264
|
||||||
|
Upstart Pass-Through Trust, Series 2021-ST5, Class CERT, 0.00%, 07/20/2027 (d)
|
4,250,000
|
115,783
|
||||||
|
Upstart Pass-Through Trust Series
|
||||||||
|
Series 2021-ST3, Class CERT, 0.00%, 05/20/2027 (d)
|
11,400,000
|
68,248
|
||||||
|
Series 2021-ST4, Class CERT, 0.00%, 07/20/2027 (d)
|
1,475,000
|
21,502
|
||||||
|
Series 2021-ST6, Class CERT, 0.00%, 08/20/2027 (d)
|
9,416,000
|
331,322
|
||||||
|
Series 2021-ST7, Class CERT, 0.00%, 09/20/2029 (d)
|
1,500,000
|
68,788
|
||||||
|
Series 2021-ST8, Class CERT, 0.00%, 10/20/2029 (d)
|
2,370,000
|
139,361
|
||||||
|
Series 2021-ST9, Class CERT, 0.00%, 11/20/2029 (d)
|
1,629,000
|
151,953
|
||||||
|
Series 2022-ST1, Class CERT, 0.00%, 03/20/2030 (d)
|
2,400,000
|
359,535
|
||||||
|
Series 2022-ST2, Class CERT, 0.00%, 04/20/2030 (d)
|
1,500,000
|
245,628
|
||||||
|
Upstart Securitization Trust
|
||||||||
|
Series 2022-1, Class C, 5.71%, 03/20/2032 (d)
|
4,683,916
|
2,086,976
|
||||||
|
Series 2022-2, Class C, 8.43%, 05/20/2032 (d)
|
1,536,745
|
1,216,823
|
||||||
|
Series 2022-4, Class R, 0.00%, 08/20/2032 (d)
|
17,500
|
1,085,399
|
||||||
|
Series 2023-2, Class C, 11.87%, 06/20/2033 (d)
|
2,000,000
|
2,090,324
|
||||||
|
Series 2025-4, Class D, 7.67%, 11/20/2035 (d)
|
1,000,000
|
1,015,233
|
||||||
|
106,872,999
|
||||||||
|
Credit Card - 0.0% (j)
|
||||||||
|
Avant Credit Card Master Trust, Series 2024-1A, Class C, 6.23%, 04/15/2030 (d)
|
500,000
|
502,783
|
||||||
|
Equipment - 0.4%
|
||||||||
|
Octane Receivables Trust
|
||||||||
|
Series 2024-2A, Class E, 9.04%, 07/20/2032 (d)
|
3,500,000
|
3,698,493
|
||||||
|
Series 2024-RPT1, Class R2, 8.71%, 02/22/2030
|
3,243,000
|
3,260,292
|
||||||
|
Series 2024-RVM1, Class E, 8.42%, 01/22/2046 (d)
|
3,288,000
|
3,475,700
|
||||||
|
10,434,485
|
||||||||
|
Property Assessed Clean Energy - 0.1%
|
||||||||
|
Goodgreen Trust, Series 2017-2A, Class A, 3.26%, 10/15/2053 (d)
|
2,591,979
|
2,346,818
|
||||||
|
Solar - 0.1%
|
||||||||
|
GoodLeap Sustainable Home Solutions Trust, Series 2021-3CS, Class A, 2.10%, 05/20/2048 (d)
|
899,132
|
697,352
|
||||||
|
Mosaic Solar Loans LLC, Series 2021-2A, Class B, 2.09%, 04/22/2047 (d)
|
701,755
|
510,350
|
||||||
|
1,207,702
|
||||||||
|
Structured Settlement - 0.0% (j)
|
||||||||
|
Stone Street Receivables Funding, Series 2015-1A, Class C, 5.60%, 12/15/2054 (d)
|
424,466
|
379,612
|
||||||
|
Whole Business - 0.0% (j)
|
||||||||
|
FAT Brands, Inc., Series 2021-1, Class A2, 7.00%, 07/25/2051 (d)(i)
|
1,929,600
|
964,800
|
||||||
|
TOTAL ASSET-BACKED SECURITIES (Cost $334,102,453)
|
305,764,589
|
|||||||
|
CORPORATE OBLIGATIONS - 11.9%
|
Par
|
Value
|
||||||
|
Basic Materials - 0.8%
|
||||||||
|
Capstone Copper Corp., 6.75%, 03/31/2033 (d)
|
1,600,000
|
1,629,370
|
||||||
|
Celanese US Holdings LLC, 7.38%, 02/15/2034
|
1,040,000
|
1,089,622
|
||||||
|
Century Aluminum Co., 6.88%, 08/01/2032 (d)
|
1,050,000
|
1,088,263
|
||||||
|
Cleveland-Cliffs, Inc., 7.63%, 01/15/2034 (d)
|
2,160,000
|
2,183,499
|
||||||
|
Consolidated Energy Finance SA, 12.00%, 02/15/2031 (d)
|
2,080,000
|
2,134,600
|
||||||
|
CVR Partners LP / CVR Nitrogen Finance Corp., 6.13%, 06/15/2028 (d)
|
1,100,000
|
1,100,110
|
||||||
|
First Quantum Minerals Ltd., 7.25%, 02/15/2034 (d)
|
3,180,000
|
3,271,794
|
||||||
|
Magnera Corp., 4.75%, 11/15/2029 (d)
|
1,190,000
|
1,091,021
|
||||||
|
Mercer International, Inc., 5.13%, 02/01/2029
|
1,400,000
|
561,274
|
||||||
|
Methanex US Operations, Inc., 6.25%, 03/15/2032 (d)
|
2,100,000
|
2,162,309
|
||||||
|
Novelis Corp., 4.75%, 01/30/2030 (d)
|
690,000
|
661,505
|
||||||
|
Olin Corp., 6.63%, 04/01/2033 (d)
|
1,290,000
|
1,279,547
|
||||||
|
Taseko Mines Ltd., 8.25%, 05/01/2030 (d)
|
2,060,000
|
2,159,078
|
||||||
|
20,411,992
|
||||||||
|
Communications - 0.6%
|
||||||||
|
Cars.com, Inc., 6.38%, 11/01/2028 (d)
|
2,100,000
|
2,065,823
|
||||||
|
Cogent Communications Group LLC / Cogent Finance, Inc., 6.50%, 07/01/2032 (d)
|
1,750,000
|
1,625,050
|
||||||
|
Directv Financing LLC / Directv Financing Co.-Obligor, Inc., 10.00%, 02/15/2031 (d)
|
3,240,000
|
3,373,618
|
||||||
|
Gen Digital, Inc., 6.25%, 04/01/2033 (d)
|
1,140,000
|
1,111,597
|
||||||
|
Gray Media, Inc., 5.38%, 11/15/2031 (d)
|
2,780,000
|
2,173,835
|
||||||
|
Lamar Media Corp., 4.88%, 01/15/2029
|
520,000
|
517,034
|
||||||
|
Outfront Media Capital LLC / Outfront Media Capital Corp., 4.63%, 03/15/2030 (d)
|
1,130,000
|
1,100,208
|
||||||
|
SV RNO Property Owner 1, LLC, 5.88%, 03/01/2031 (d)
|
550,000
|
539,989
|
||||||
|
Univision Communications, Inc., 4.50%, 05/01/2029 (d)
|
1,150,000
|
1,098,015
|
||||||
|
13,605,169
|
||||||||
|
Consumer, Cyclical - 1.1%
|
||||||||
|
Adient Global Holdings Ltd., 7.50%, 02/15/2033 (d)
|
1,060,000
|
1,084,867
|
||||||
|
American Axle & Manufacturing, Inc., 7.75%, 10/15/2033 (d)
|
2,190,000
|
2,139,526
|
||||||
|
Caesars Entertainment, Inc., 4.63%, 10/15/2029 (d)
|
2,580,000
|
2,491,718
|
||||||
|
Champ Acquisition Corp., 8.38%, 12/01/2031 (d)
|
2,060,000
|
2,175,317
|
||||||
|
Cinemark USA, Inc., 7.00%, 08/01/2032 (d)
|
2,090,000
|
2,161,436
|
||||||
|
Clarios Global LP / Clarios US Finance Co., 6.75%, 09/15/2032 (d)
|
2,560,000
|
2,620,211
|
||||||
|
FirstCash Holdings, Inc., 6.13%, 05/01/2034 (d)(k)
|
235,000
|
234,640
|
||||||
|
FirstCash, Inc., 4.63%, 09/01/2028 (d)
|
1,100,000
|
1,082,139
|
||||||
|
Goodyear Tire & Rubber Co., 6.63%, 07/15/2030
|
1,660,000
|
1,644,248
|
||||||
|
K Hovnanian Enterprises, Inc., 8.38%, 10/01/2033 (d)
|
1,090,000
|
1,096,100
|
||||||
|
Lithia Motors, Inc., 3.88%, 06/01/2029 (d)
|
1,300,000
|
1,246,571
|
||||||
|
NCL Corp. Ltd., 6.25%, 09/15/2033 (d)
|
1,110,000
|
1,075,070
|
||||||
|
New Flyer Holdings, Inc., 9.25%, 07/01/2030 (d)
|
1,160,000
|
1,252,439
|
||||||
|
Newell Brands, Inc., 8.50%, 06/01/2028 (d)
|
1,050,000
|
1,097,869
|
||||||
|
Penn Entertainment, Inc., 6.75%, 04/01/2031 (d)
|
1,120,000
|
1,111,382
|
||||||
|
Phinia, Inc., 6.63%, 10/15/2032 (d)
|
1,060,000
|
1,086,850
|
||||||
|
Resideo Funding, Inc., 6.50%, 07/15/2032 (d)
|
1,090,000
|
1,101,386
|
||||||
|
Sally Holdings LLC / Sally Capital, Inc., 6.75%, 04/01/2032
|
1,060,000
|
1,093,234
|
||||||
|
Viking Cruises Ltd., 5.88%, 10/15/2033 (d)
|
2,160,000
|
2,166,558
|
||||||
|
27,961,561
|
||||||||
|
Consumer, Non-cyclical - 1.4%
|
||||||||
|
Acadia Healthcare Co., Inc., 7.38%, 03/15/2033 (d)
|
2,100,000
|
2,150,698
|
||||||
|
Amneal Pharmaceuticals LLC, 6.88%, 08/01/2032 (d)
|
1,050,000
|
1,091,777
|
||||||
|
B&G Foods, Inc., 8.00%, 09/15/2028 (d)
|
390,000
|
387,016
|
||||||
|
Belron UK Finance PLC, 5.75%, 10/15/2029 (d)
|
540,000
|
545,763
|
||||||
|
Chobani Holdco LLC, 6.38%, 04/15/2034 (d)
|
225,000
|
229,714
|
||||||
|
Concentra Health Services, Inc., 6.88%, 07/15/2032 (d)
|
1,200,000
|
1,245,049
|
||||||
|
DaVita, Inc., 6.88%, 09/01/2032 (d)
|
1,580,000
|
1,631,873
|
||||||
|
Dcli Bidco LLC, 7.75%, 11/15/2029 (d)
|
1,070,000
|
1,102,795
|
||||||
|
EquipmentShare.com, Inc., 8.63%, 05/15/2032 (d)
|
1,570,000
|
1,667,050
|
||||||
|
Fiesta Purchaser, Inc., 9.63%, 09/15/2032 (d)
|
2,090,000
|
2,166,642
|
||||||
|
Hertz Corp.
|
||||||||
|
12.63%, 07/15/2029 (d)
|
1,120,000
|
1,056,579
|
||||||
|
Series 2023-3A, Class D, 9.43%, 02/25/2028 (d)
|
1,500,000
|
1,525,076
|
||||||
|
Medline Borrower LP, 5.25%, 10/01/2029 (d)
|
1,640,000
|
1,633,031
|
||||||
|
Molina Healthcare, Inc., 6.25%, 01/15/2033 (d)
|
1,640,000
|
1,639,226
|
||||||
|
Performance Food Group, Inc., 4.25%, 08/01/2029 (d)
|
1,670,000
|
1,620,266
|
||||||
|
Perrigo Finance Unlimited Co., 6.13%, 09/30/2032
|
2,320,000
|
2,184,786
|
||||||
|
Post Holdings, Inc., 6.38%, 03/01/2033 (d)
|
2,150,000
|
2,150,550
|
||||||
|
Raven Acquisition Holdings LLC, 6.88%, 11/15/2031 (d)
|
2,200,000
|
2,179,049
|
||||||
|
Simmons Foods, Inc., 4.63%, 03/01/2029 (d)
|
2,270,000
|
2,191,681
|
||||||
|
Synergy Infrastructure Holdings LLC, 7.88%, 12/01/2030 (d)
|
1,030,000
|
1,083,976
|
||||||
|
Upbound Group, Inc., 6.38%, 02/15/2029 (d)
|
1,120,000
|
1,107,673
|
||||||
|
US Foods, Inc., 7.25%, 01/15/2032 (d)
|
530,000
|
551,945
|
||||||
|
VT Topco, Inc., 8.50%, 08/15/2030 (d)
|
2,120,000
|
2,172,383
|
||||||
|
Williams Scotsman, Inc., 6.63%, 04/15/2030 (d)
|
1,000,000
|
1,030,636
|
||||||
|
34,345,234
|
||||||||
|
Diversified - 0.1%
|
||||||||
|
Stena International SA, 7.25%, 01/15/2031 (d)
|
1,600,000
|
1,627,901
|
||||||
|
Energy - 1.3%
|
||||||||
|
Alliance Resource Operating Partners LP / Alliance Resource Finance Corp., 8.63%, 06/15/2029 (d)
|
1,580,000
|
1,652,997
|
||||||
|
Antero Midstream Partners LP / Antero Midstream Finance Corp., 6.63%, 02/01/2032 (d)
|
1,200,000
|
1,231,192
|
||||||
|
Archrock Partners LP / Archrock Partners Finance Corp., 6.63%, 09/01/2032 (d)
|
1,070,000
|
1,104,574
|
||||||
|
Borr IHC Ltd. / Borr Finance LLC, 10.38%, 11/15/2030 (d)
|
884,854
|
929,265
|
||||||
|
Bristow Group, Inc., 6.75%, 02/01/2033 (d)
|
540,000
|
549,805
|
||||||
|
Calumet Specialty Products Partners LP / Calumet Finance Corp., 9.75%, 02/15/2031 (d)
|
2,040,000
|
2,163,189
|
||||||
|
Comstock Resources, Inc., 5.88%, 01/15/2030 (d)
|
2,240,000
|
2,171,015
|
||||||
|
CVR Energy, Inc., 7.88%, 02/15/2034 (d)
|
2,160,000
|
2,167,918
|
||||||
|
Genesis Energy LP / Genesis Energy Finance Corp., 8.00%, 05/15/2033
|
2,070,000
|
2,180,157
|
||||||
|
Gulfport Energy Operating Corp., 6.75%, 09/01/2029 (d)
|
1,070,000
|
1,099,062
|
||||||
|
Hilcorp Energy I LP / Hilcorp Finance Co., 5.75%, 02/01/2029 (d)
|
550,000
|
549,944
|
||||||
|
Howard Midstream Energy Partners LLC, 6.63%, 01/15/2034 (d)
|
1,080,000
|
1,099,261
|
||||||
|
Kinetik Holdings LP, 5.88%, 06/15/2030 (d)
|
600,000
|
602,360
|
||||||
|
Kodiak Gas Services LLC, 6.50%, 10/01/2033 (d)
|
1,210,000
|
1,238,359
|
||||||
|
Moss Creek Resources Holdings, Inc., 8.25%, 09/01/2031 (d)
|
800,000
|
810,342
|
||||||
|
PBF Holding Co. LLC / PBF Finance Corp., 7.88%, 09/15/2030 (d)
|
1,230,000
|
1,261,466
|
||||||
|
SunCoke Energy, Inc., 4.88%, 06/30/2029 (d)
|
2,400,000
|
2,214,628
|
||||||
|
Sunoco LP, 7.88% to 09/18/2030 then 5 yr. CMT Rate + 4.23%, Perpetual (d)
|
1,070,000
|
1,108,676
|
||||||
|
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 6.75%, 03/15/2034 (d)
|
2,110,000
|
2,157,108
|
||||||
|
USA Compression Partners LP / USA Compression Finance Corp., 7.13%, 03/15/2029 (d)
|
1,070,000
|
1,106,197
|
||||||
|
Venture Global LNG, Inc., 9.00% to 09/30/2029 then 5 yr. CMT Rate + 5.44%, Perpetual (d)
|
4,950,000
|
4,899,152
|
||||||
|
Wildfire Intermediate Holdings LLC, 7.50%, 10/15/2029 (d)
|
1,060,000
|
1,091,556
|
||||||
|
33,388,223
|
||||||||
|
Financial - 5.0%
|
||||||||
|
A10 Capital LLC, 5.88%, 08/17/2026 (d)
|
1,000,000
|
981,854
|
||||||
|
Apollo Debt Solutions BDC, 5.70%, 01/23/2031 (d)
|
7,895,000
|
7,763,014
|
||||||
|
Ares Capital Corp., 5.10%, 01/15/2031
|
4,990,000
|
4,842,107
|
||||||
|
Asurion LLC and Asurion Co.-Issuer, Inc., 8.00%, 12/31/2032 (d)
|
250,000
|
261,300
|
||||||
|
BankGuam Holding Co., 4.75% to 07/01/2026 then 3 mo. Term SOFR + 4.13%, 07/01/2031 (d)
|
2,000,000
|
1,948,598
|
||||||
|
Blackstone Mortgage Trust, Inc., 7.75%, 12/01/2029 (d)
|
1,020,000
|
1,085,473
|
||||||
|
Blackstone Private Credit Fund
|
||||||||
|
5.05%, 09/10/2030
|
305,000
|
292,424
|
||||||
|
6.00%, 01/29/2032
|
7,681,000
|
7,548,189
|
||||||
|
Brookline Bancorp, Inc., 7.25% (3 mo. Term SOFR + 3.58%), 09/15/2029
|
1,000,000
|
1,004,080
|
||||||
|
Burford Capital Global Finance LLC, 7.50%, 07/15/2033 (d)
|
2,595,000
|
2,135,166
|
||||||
|
Clear Street Holdings LLC, 5.88%, 05/15/2026 (d)
|
2,000,000
|
1,998,597
|
||||||
|
Credit Acceptance Corp., 6.63%, 03/15/2030 (d)
|
1,600,000
|
1,597,656
|
||||||
|
Encore Capital Group, Inc., 6.63%, 04/15/2031 (d)
|
1,090,000
|
1,108,497
|
||||||
|
EZCORP, Inc., 7.38%, 04/01/2032 (d)
|
1,560,000
|
1,653,070
|
||||||
|
Fidelity Financial Corp., 5.00% to 04/30/2027 then 3 mo. Term SOFR + 2.47%, 04/30/2032 (d)
|
3,000,000
|
2,847,003
|
||||||
|
First Bancshares, Inc., 6.40% to 05/01/2028 then 3 mo. Term SOFR + 3.65%, 05/01/2033
|
1,000,000
|
1,015,132
|
||||||
|
First Foundation, Inc., 3.50% to 02/01/2027 then SOFR + 2.04%, 02/01/2032
|
1,000,000
|
940,039
|
||||||
|
First Northwest Bancorp, 6.69% (3 mo. Term SOFR + 3.00%), 03/30/2031
|
1,500,000
|
1,478,793
|
||||||
|
Flushing Financial Corp., 3.13% to 12/01/2026 then 3 mo. Term SOFR + 2.04%, 12/01/2031
|
3,000,000
|
2,715,142
|
||||||
|
Freedom Mortgage Holdings LLC, 7.88%, 04/01/2033 (d)
|
4,470,000
|
4,361,430
|
||||||
|
FS Bancorp, Inc., 7.03% (3 mo. Term SOFR + 3.37%), 02/15/2031
|
1,000,000
|
991,111
|
||||||
|
Georgia Banking Co., Inc., 4.13% to 06/15/2026 then 3 mo. Term SOFR + 3.40%, 06/15/2031 (d)
|
4,000,000
|
3,916,881
|
||||||
|
GGAM Finance Ltd., 5.88%, 03/15/2030 (d)
|
1,620,000
|
1,635,989
|
||||||
|
Global Aircraft Leasing Co. Ltd., 8.75%, 09/01/2027 (d)
|
3,190,000
|
3,239,640
|
||||||
|
goeasy Ltd., 6.88%, 02/15/2031 (d)
|
2,250,000
|
1,870,803
|
||||||
|
Goldman Sachs Private Credit Corp.
|
||||||||
|
5.88%, 01/31/2031 (d)
|
3,750,000
|
3,689,205
|
||||||
|
6.15%, 06/16/2031 (d)
|
4,125,000
|
4,091,420
|
||||||
|
Golub Capital BDC, Inc., 6.00%, 07/15/2029
|
1,690,000
|
1,695,340
|
||||||
|
HA Sustainable Infrastructure Capital, Inc., 7.13% to 11/15/2031 then 5 yr. CMT Rate + 3.48%, 11/15/2056
|
1,070,000
|
1,080,513
|
||||||
|
Jacksonville Bancorp, Inc. Statutory Trust, 7.69% (3 mo. Term SOFR + 4.01%), 09/15/2038 (d)
|
1,200,000
|
1,192,037
|
||||||
|
Jane Street Group / JSG Finance, Inc., 6.75%, 05/01/2033 (d)
|
2,100,000
|
2,158,487
|
||||||
|
Jefferies Finance LLC / JFIN Co.-Issuer Corp., 6.63%, 10/15/2031 (d)
|
1,300,000
|
1,272,640
|
||||||
|
Jefferson Capital Holdings LLC, 8.25%, 05/15/2030 (d)
|
1,560,000
|
1,633,384
|
||||||
|
LD Holdings Group LLC, 6.13%, 04/01/2028 (d)
|
500,000
|
432,221
|
||||||
|
Millrose Properties, Inc., 6.38%, 08/01/2030 (d)
|
1,080,000
|
1,094,584
|
||||||
|
Morgan Stanley Direct Lending Fund, 6.00%, 05/19/2030
|
7,820,000
|
7,816,392
|
||||||
|
Narragansett Financial Corp., 3.88% to 05/15/2026 then 3 mo. Term SOFR + 3.19%, 05/15/2031 (d)
|
2,000,000
|
1,981,305
|
||||||
|
NexBank Capital, Inc., 6.00%, 07/15/2032 (d)
|
1,000,000
|
950,485
|
||||||
|
OneMain Finance Corp., 7.13%, 11/15/2031
|
2,180,000
|
2,211,957
|
||||||
|
Panther Escrow Issuer LLC, 7.13%, 06/01/2031 (d)
|
2,150,000
|
2,161,282
|
||||||
|
PennyMac Financial Services, Inc., 6.75%, 02/15/2034 (d)
|
1,680,000
|
1,627,506
|
||||||
|
PHH Corp., 9.88%, 11/01/2029 (d)
|
1,610,000
|
1,627,201
|
||||||
|
Phoenix Aviation Capital Ltd., 9.25%, 07/15/2030 (d)
|
3,200,000
|
3,268,474
|
||||||
|
PRA Group, Inc., 5.00%, 10/01/2029 (d)
|
1,720,000
|
1,633,946
|
||||||
|
Provident Funding Associates LP / PFG Finance Corp., 9.75%, 09/15/2029 (d)
|
1,560,000
|
1,628,344
|
||||||
|
ReadyCap Holdings LLC, 9.38%, 03/01/2028 (d)
|
3,000,000
|
2,915,207
|
||||||
|
RHP Hotel Properties LP / RHP Finance Corp., 6.50%, 04/01/2032 (d)
|
540,000
|
554,438
|
||||||
|
Rocket Cos., Inc., 7.13%, 02/01/2032 (d)
|
2,090,000
|
2,161,593
|
||||||
|
South Street Securities Funding LLC, 6.25%, 12/30/2026 (d)
|
1,000,000
|
1,000,128
|
||||||
|
Starwood Property Trust, Inc., 5.75%, 01/15/2031 (d)
|
1,100,000
|
1,100,299
|
||||||
|
Stonebriar ABF Issuer LLC, 8.13%, 12/15/2030 (d)
|
520,000
|
546,489
|
||||||
|
Stonex Escrow Issuer LLC, 6.88%, 07/15/2032 (d)
|
2,090,000
|
2,162,220
|
||||||
|
Texas State Bankshares, Inc., 7.49% (3 mo. Term SOFR + 3.81%), 06/15/2029 (d)
|
2,000,000
|
2,000,824
|
||||||
|
Trinitas Capital Management LLC, 7.75%, 11/01/2030 (d)
|
5,000,000
|
4,956,250
|
||||||
|
Uniti Group LP / Uniti Group Finance 2019, Inc. / CSL Capital LLC, 6.50%, 02/15/2029 (d)
|
1,650,000
|
1,622,372
|
||||||
|
UWM Holdings LLC, 6.25%, 03/15/2031 (d)
|
1,170,000
|
1,085,820
|
||||||
|
Velocity Commercial Capital LLC, 9.38%, 02/15/2031 (d)
|
540,000
|
559,064
|
||||||
|
Walker & Dunlop, Inc., 6.63%, 04/01/2033 (d)
|
1,100,000
|
1,094,575
|
||||||
|
124,237,990
|
||||||||
|
Industrial - 1.2%
|
||||||||
|
Advanced Drainage Systems, Inc., 6.38%, 06/15/2030 (d)
|
1,070,000
|
1,086,220
|
||||||
|
AmeriTex HoldCo Intermediate LLC, 7.63%, 08/15/2033 (d)
|
1,570,000
|
1,633,937
|
||||||
|
Axon Enterprise, Inc., 6.25%, 03/15/2033 (d)
|
1,060,000
|
1,088,377
|
||||||
|
Beacon Mobility Corp., 7.25%, 08/01/2030 (d)
|
1,560,000
|
1,625,554
|
||||||
|
Brundage-Bone Concrete Pumping Holdings, Inc., 7.50%, 02/01/2032 (d)
|
1,080,000
|
1,098,381
|
||||||
|
Builders FirstSource, Inc., 6.75%, 05/15/2035 (d)
|
2,120,000
|
2,143,593
|
||||||
|
Clearwater Paper Corp., 4.75%, 08/15/2028 (d)
|
1,400,000
|
1,233,475
|
||||||
|
Clydesdale Acquisition Holdings, Inc., 6.75%, 04/15/2032 (d)
|
1,140,000
|
1,073,478
|
||||||
|
Coherent Corp., 5.00%, 12/15/2029 (d)
|
1,110,000
|
1,098,790
|
||||||
|
Enerflex, Inc., 6.88%, 01/15/2031 (d)
|
1,070,000
|
1,102,868
|
||||||
|
Esab Corp., 5.63%, 04/01/2031 (d)
|
540,000
|
546,323
|
||||||
|
FTAI Aviation Investors LLC, 5.88%, 04/15/2033 (d)
|
1,100,000
|
1,095,047
|
||||||
|
Genesee & Wyoming, Inc., 6.25%, 04/15/2032 (d)
|
540,000
|
553,361
|
||||||
|
Knife River Corp., 7.75%, 05/01/2031 (d)
|
1,060,000
|
1,104,300
|
||||||
|
Owens-Brockway Glass Container, Inc., 7.25%, 05/15/2031 (d)
|
2,210,000
|
2,114,784
|
||||||
|
Quikrete Holdings, Inc., 6.75%, 03/01/2033 (d)
|
1,070,000
|
1,085,702
|
||||||
|
Reworld Holding Corp., 4.88%, 12/01/2029 (d)
|
1,130,000
|
1,085,851
|
||||||
|
Roller Bearing Co. of America, Inc., 4.38%, 10/15/2029 (d)
|
520,000
|
509,098
|
||||||
|
Seaspan Corp., 5.50%, 08/01/2029 (d)
|
1,310,000
|
1,253,234
|
||||||
|
Sensata Technologies, Inc., 3.75%, 02/15/2031 (d)
|
1,160,000
|
1,078,240
|
||||||
|
Smyrna Ready Mix Concrete LLC, 8.88%, 11/15/2031 (d)
|
2,080,000
|
2,179,095
|
||||||
|
Standard Building Solutions, Inc., 6.50%, 08/15/2032 (d)
|
1,080,000
|
1,091,529
|
||||||
|
Stonepeak Nile Parent LLC, 7.25%, 03/15/2032 (d)
|
1,050,000
|
1,099,395
|
||||||
|
Trinity Industries, Inc., 7.75%, 07/15/2028 (d)
|
1,060,000
|
1,088,690
|
||||||
|
Trivium Packaging Finance BV, 12.25%, 01/15/2031 (d)
|
1,010,000
|
1,101,954
|
||||||
|
XPO, Inc., 7.13%, 06/01/2031 (d)
|
530,000
|
549,048
|
||||||
|
30,720,324
|
||||||||
|
Technology - 0.2%
|
||||||||
|
Amkor Technology, Inc., 5.88%, 10/01/2033 (d)
|
1,090,000
|
1,097,287
|
||||||
|
CACI International, Inc., 6.38%, 06/15/2033 (d)
|
750,000
|
767,777
|
||||||
|
Unisys Corp., 10.63%, 01/15/2031 (d)
|
1,970,000
|
1,714,412
|
||||||
|
Zebra Technologies Corp., 6.50%, 06/01/2032 (d)
|
1,080,000
|
1,101,679
|
||||||
|
4,681,155
|
||||||||
|
Utilities - 0.2%
|
||||||||
|
Hawaiian Electric Co., Inc., 6.00%, 10/01/2033 (d)
|
1,100,000
|
1,104,259
|
||||||
|
NRG Energy, Inc., 6.25%, 11/01/2034 (d)
|
2,130,000
|
2,156,157
|
||||||
|
Vistra Operations Co. LLC, 6.88%, 04/15/2032 (d)
|
1,060,000
|
1,107,041
|
||||||
|
VoltaGrid LLC, 7.38%, 11/01/2030 (d)
|
1,060,000
|
1,100,690
|
||||||
|
5,468,147
|
||||||||
|
TOTAL CORPORATE OBLIGATIONS (Cost $295,970,535)
|
296,447,696
|
|||||||
|
COLLATERALIZED LOAN OBLIGATIONS - 7.7%
|
Par
|
Value
|
||||||
|
Abry Liquid Credit CLO Ltd., Series 2026-3A, Class D1, 6.47% (3 mo. Term SOFR + 2.80%), 04/20/2039 (d)
|
4,000,000
|
3,985,600
|
||||||
|
Anchorage Capital CLO Ltd.
|
||||||||
|
Series 2023-26A, Class D1R, 7.08% (3 mo. Term SOFR + 3.40%), 03/19/2038 (d)
|
3,250,000
|
3,259,948
|
||||||
|
Series 2023-26A, Class D2R, 8.43% (3 mo. Term SOFR + 4.75%), 03/19/2038 (d)
|
2,000,000
|
2,009,258
|
||||||
|
Anthelion CLO Ltd.
|
||||||||
|
Series 2025-1A, Class D1, 7.33% (3 mo. Term SOFR + 3.65%), 07/20/2036 (d)
|
4,500,000
|
4,516,169
|
||||||
|
Series 2025-2A, Class D1, 6.87% (3 mo. Term SOFR + 3.20%), 04/20/2039 (d)
|
7,000,000
|
7,022,834
|
||||||
|
Arbor Realty Collateralized Loan Obligation Ltd., Series 2025-BTR1, Class AS, 6.29% (1 mo. Term SOFR + 2.64%), 01/20/2041 (d)
|
4,000,000
|
4,024,468
|
||||||
|
Ares CLO Ltd., Series 2026-81A, Class E, 0.00% (3 mo. Term SOFR + 5.60%), 07/15/2039 (d)
|
1,000,000
|
1,000,000
|
||||||
|
Audax Senior Debt CLO, LLC
|
||||||||
|
Series 2021-6A, Class DR, 6.88% (3 mo. Term SOFR + 3.20%), 10/20/2037 (d)
|
2,000,000
|
1,927,500
|
||||||
|
Series 2023-8A, Class CR, 5.78% (3 mo. Term SOFR + 2.10%), 01/20/2038 (d)
|
1,480,000
|
1,467,479
|
||||||
|
Barings Middle Market CLO Ltd.
|
||||||||
|
Series 2018-II, Class COM, 0.00%, 01/15/2031 (a)
|
428,329
|
12,850
|
||||||
|
Series 2023-IA, Class A1, 6.13% (3 mo. Term SOFR + 2.45%), 01/20/2036 (c)(d)
|
5,806,720
|
5,821,922
|
||||||
|
Battalion CLO Ltd., Series 2025-29A, Class D1, 6.97% (3 mo. Term SOFR + 3.30%), 03/31/2038 (d)
|
5,000,000
|
5,014,335
|
||||||
|
Black Diamond CLO Ltd.
|
||||||||
|
Series 2022-1A, Class D1R, 6.97% (3 mo. Term SOFR + 3.30%), 04/25/2039 (d)
|
3,750,000
|
3,750,000
|
||||||
|
Series 2025-2A, Class D1, 7.22% (3 mo. Term SOFR + 3.55%), 10/15/2038 (d)
|
6,000,000
|
6,008,064
|
||||||
|
Blackrock CLO Ltd.
|
||||||||
|
Series 2021-6A, Class DR, 8.38% (3 mo. Term SOFR + 4.70%), 04/20/2037 (d)
|
7,500,000
|
7,106,250
|
||||||
|
Series 2025-1A, Class C, 6.42% (3 mo. Term SOFR + 2.75%), 07/15/2037 (d)
|
4,000,000
|
3,999,848
|
||||||
|
Series 5A, Class CR, 6.82% (3 mo. Term SOFR + 3.15%), 06/15/2034 (d)
|
5,000,000
|
5,023,280
|
||||||
|
Brightwood Capital MM, Series 2025-1A, Class C1, 6.67% (3 mo. Term SOFR + 3.00%), 04/15/2036 (d)
|
1,000,000
|
1,002,924
|
||||||
|
Canyon CLO Ltd., Series 2025-3A, Class D2, 6.96% (3 mo. Term SOFR + 3.25%), 01/15/2039 (d)
|
5,000,000
|
5,014,710
|
||||||
|
Cerberus Loan Funding LP, Series 2024-2A, Class D, 8.62% (3 mo. Term SOFR + 4.95%), 07/15/2036 (d)
|
3,660,000
|
3,661,552
|
||||||
|
CQS US CLO Ltd.
|
||||||||
|
Series 2025-5A, Class D1, 6.96% (3 mo. Term SOFR + 3.15%), 01/17/2039 (d)
|
2,000,000
|
2,009,212
|
||||||
|
Series 2026-6A, Class D1, 6.88% (3 mo. Term SOFR + 3.20%), 03/31/2039 (d)
|
6,000,000
|
6,000,000
|
||||||
|
Crown City CLO Ltd., Series 2020-1A, Class D1RR, 6.68% (3 mo. Term SOFR + 3.00%), 07/20/2038 (d)
|
2,625,000
|
2,608,279
|
||||||
|
Fortress Credit Opportunities, Series 2023-21A, Class DR, 7.52% (3 mo. Term SOFR + 3.85%), 01/21/2037 (d)
|
1,750,000
|
1,722,627
|
||||||
|
Franklin Park Place CLO LLC, Series 2025-1A, Class D1, 6.77% (3 mo. Term SOFR + 3.10%), 07/15/2038 (d)
|
5,000,000
|
5,015,770
|
||||||
|
Gallatin CLO Ltd.
|
||||||||
|
Series 2023-1A, Class D1R, 7.27% (3 mo. Term SOFR + 3.60%), 10/14/2036 (c)(d)
|
6,000,000
|
6,029,538
|
||||||
|
Series 2024-1A, Class D1, 7.68% (3 mo. Term SOFR + 4.00%), 10/20/2037 (d)
|
3,000,000
|
3,013,191
|
||||||
|
Great Lakes CLO Ltd., Series 2021-6A, Class CR, 7.07% (3 mo. Term SOFR + 3.40%), 07/15/2037 (d)
|
3,000,000
|
3,014,502
|
||||||
|
KKR CLO Trust, Series 32A, Class CR, 6.17% (3 mo. Term SOFR + 2.50%), 04/15/2037 (d)
|
1,300,000
|
1,302,049
|
||||||
|
Kohlberg & Co. LLC, Series 2025-1A, Class A, 5.42% (3 mo. Term SOFR + 1.75%), 07/15/2037 (d)
|
5,000,000
|
4,995,835
|
||||||
|
Man GLG US CLO Ltd.
|
||||||||
|
Series 2023-1A, Class C, 7.68% (3 mo. Term SOFR + 4.00%), 07/20/2035 (d)
|
2,000,000
|
2,008,852
|
||||||
|
Series 2024-1A, Class D2, 8.88% (3 mo. Term SOFR + 5.20%), 07/20/2037 (d)
|
2,000,000
|
2,002,904
|
||||||
|
Maranon Loan Funding Ltd.
|
||||||||
|
Series 2021-3A, Class CR, 6.12% (3 mo. Term SOFR + 2.45%), 10/15/2036 (d)
|
2,000,000
|
1,975,184
|
||||||
|
Series 2025-1A, Class E, 10.67% (3 mo. Term SOFR + 7.00%), 10/15/2037 (d)
|
3,000,000
|
2,921,463
|
||||||
|
Marble Point CLO Ltd.
|
||||||||
|
Series 2020-3A, Class D1R2, 6.68% (3 mo. Term SOFR + 3.00%), 10/19/2038 (d)
|
3,000,000
|
2,999,910
|
||||||
|
Series 2022-1A, Class E, 11.86% (3 mo. Term SOFR + 8.18%), 04/20/2035 (d)
|
3,000,000
|
2,617,854
|
||||||
|
Monroe Capital CLO Ltd.
|
||||||||
|
Series 2019-1A, Class DR, 7.73% (3 mo. Term SOFR + 4.06%), 11/22/2033 (d)
|
3,000,000
|
2,884,338
|
||||||
|
Series 2021-2A, Class C, 6.59% (3 mo. Term SOFR + 2.91%), 09/14/2033 (d)
|
2,000,000
|
2,001,840
|
||||||
|
MP CLO Ltd., Series 2015-2A, Class CRR, 6.23% (3 mo. Term SOFR + 2.56%), 04/28/2034 (d)
|
3,000,000
|
3,000,000
|
||||||
|
NBBLUE, 9.74%, 04/15/2040
|
5,000,000
|
5,138,300
|
||||||
|
Neuberger Berman Loan Advisers Lasalle Street Lending CLO Ltd., Series 2024-2A, Class E, 11.18% (3 mo. Term SOFR + 7.50%), 04/20/2038 (d)
|
5,000,000
|
4,998,465
|
||||||
|
NewStar Arlington Senior Loan Program, Series 2014-1A, Class DR, 7.68% (3 mo. Term SOFR + 4.01%), 04/25/2031 (d)
|
2,000,000
|
1,997,196
|
||||||
|
Oaktree CLO Ltd., Series 2022-2A, Class D1R2, 6.92% (3 mo. Term SOFR + 3.25%), 10/15/2037 (c)(d)
|
10,000,000
|
10,029,990
|
||||||
|
Obra CLO Management LLC, Series 2025-2A, Class D2, 7.93% (3 mo. Term SOFR + 4.25%), 07/20/2038 (d)
|
2,000,000
|
2,006,172
|
||||||
|
Ocean Trails CLO Ltd., Series 2023-14A, Class D1R, 6.78% (3 mo. Term SOFR + 3.10%), 01/20/2038 (d)
|
5,940,000
|
5,903,243
|
||||||
|
OFSI Fund Ltd., Series 2026-16A, Class D1, 6.90% (3 mo. Term SOFR + 3.25%), 03/31/2039 (d)
|
3,000,000
|
2,990,256
|
||||||
|
Owl Rock CLO Ltd., Series 2020-3A, Class AR, 5.53% (3 mo. Term SOFR + 1.85%), 04/20/2036 (c)(d)
|
7,205,000
|
7,208,847
|
||||||
|
Pikes Peak CLO Ltd., Series 2020-5A, Class FR, 11.50% (3 mo. Term SOFR + 7.82%), 10/20/2037 (d)
|
1,000,000
|
924,067
|
||||||
|
Sculptor CLO Ltd.
|
||||||||
|
Series 26A, Class D1AR, 7.08% (3 mo. Term SOFR + 3.40%), 01/20/2038 (d)
|
2,600,000
|
2,607,933
|
||||||
|
Series 29A, Class D1R, 7.06% (3 mo. Term SOFR + 3.40%), 07/22/2038 (d)
|
3,000,000
|
2,990,319
|
||||||
|
Sound Point CLO Ltd., Series 2025-2A, Class D1, 7.97% (3 mo. Term SOFR + 4.30%), 04/15/2038 (c)(d)
|
6,875,000
|
6,901,159
|
||||||
|
Trinitas CLO Ltd., Series 2020-14A, Class DR2, 6.82% (3 mo. Term SOFR + 3.15%), 01/25/2034 (d)
|
2,500,000
|
2,429,545
|
||||||
|
Warwick Capital CLO Ltd., Series 2025-6A, Class D2, 8.41%, 07/20/2038 (d)
|
2,000,000
|
1,992,668
|
||||||
|
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost $192,835,220)
|
191,870,499
|
|||||||
|
COMMERCIAL MORTGAGE-BACKED SECURITIES - 4.3%
|
Par
|
Value
|
||||||
|
ALA Trust
|
||||||||
|
Series 2025-OANA, Class C, 5.75% (1 mo. Term SOFR + 2.09%), 06/15/2040 (d)
|
1,700,000
|
1,708,843
|
||||||
|
Series 2025-OANA, Class D, 6.75% (1 mo. Term SOFR + 3.09%), 06/15/2040 (d)
|
1,300,000
|
1,306,149
|
||||||
|
AREIT CRE Ltd., Series 2024-CRE9, Class AS, 5.89% (1 mo. Term SOFR + 2.24%), 05/17/2041 (d)
|
1,700,000
|
1,702,829
|
||||||
|
ARES Commercial Mortgage Trust
|
||||||||
|
Series 2024-IND, Class D, 6.54% (1 mo. Term SOFR + 2.89%), 07/15/2041 (d)
|
4,500,000
|
4,512,523
|
||||||
|
Series 2024-IND, Class E, 7.59% (1 mo. Term SOFR + 3.94%), 07/15/2041 (d)
|
4,500,000
|
4,518,770
|
||||||
|
ARZ Trust, Series 2024-BILT, Class D, 7.00%, 06/11/2039 (d)
|
850,000
|
869,007
|
||||||
|
Banc of America Re-Remic Trust, Series 2025-ASHF, Class C, 6.66% (1 mo. Term SOFR + 3.00%), 02/15/2042 (d)
|
3,250,000
|
3,275,591
|
||||||
|
Bank-2025, Series 2025-BNK51, Class D, 4.00%, 12/25/2067 (d)
|
2,000,000
|
1,427,964
|
||||||
|
BX Trust
|
||||||||
|
Series 2024-AIRC, Class C, 6.24% (1 mo. Term SOFR + 2.59%), 08/15/2041 (d)
|
1,474,327
|
1,481,998
|
||||||
|
Series 2024-BIO, Class C, 6.29% (1 mo. Term SOFR + 2.64%), 02/15/2041 (d)
|
4,800,000
|
4,794,202
|
||||||
|
Series 2024-BIO, Class D, 7.29% (1 mo. Term SOFR + 3.64%), 02/15/2041 (d)
|
3,300,000
|
3,283,916
|
||||||
|
Series 2024-KING, Class D, 6.14% (1 mo. Term SOFR + 2.49%), 05/15/2034 (d)
|
2,467,516
|
2,498,614
|
||||||
|
Series 2024-PALM, Class D, 6.29% (1 mo. Term SOFR + 2.64%), 06/15/2037 (d)
|
1,038,462
|
1,042,243
|
||||||
|
Series 2024-VLT4, Class E, 6.54% (1 mo. Term SOFR + 2.89%), 06/15/2041 (d)
|
287,850
|
287,005
|
||||||
|
Series 2024-VLT4, Class F, 7.59% (1 mo. Term SOFR + 3.94%), 06/15/2041 (d)
|
4,317,750
|
4,306,472
|
||||||
|
Series 2025-BIO3, Class D, 7.19%, 02/10/2042 (a)(d)
|
1,750,000
|
1,741,990
|
||||||
|
Series 2025-VLT7, Class D, 6.90% (1 mo. Term SOFR + 3.25%), 07/15/2044 (d)
|
3,700,000
|
3,709,220
|
||||||
|
Series 2025-VOLT, Class C, 6.00% (1 mo. Term SOFR + 2.35%), 12/15/2044 (d)
|
3,500,000
|
3,501,589
|
||||||
|
Commercial Mortgage Pass Through Certificates, Series 2024-WCL1, Class C, 6.54% (1 mo. Term SOFR + 2.89%), 06/15/2041 (d)
|
5,500,000
|
5,499,439
|
||||||
|
DBSG Mortgage Trust, Series 2024-ALTA, Class D, 7.30%, 06/10/2037 (a)(d)
|
1,600,000
|
1,613,192
|
||||||
|
DC Commercial Mortgage Trust
|
||||||||
|
Series 2024-HLTN, Class C, 7.29%, 04/13/2040 (a)(d)
|
1,200,000
|
1,203,270
|
||||||
|
Series 2024-HLTN, Class D, 7.98%, 04/13/2040 (a)(d)
|
1,200,000
|
1,205,245
|
||||||
|
Extended Stay America Trust
|
||||||||
|
Series 2025-ESH, Class D, 6.25% (1 mo. Term SOFR + 2.60%), 10/15/2042 (d)
|
963,133
|
970,475
|
||||||
|
Series 2025-ESH, Class E, 7.00% (1 mo. Term SOFR + 3.35%), 10/15/2042 (d)
|
2,600,460
|
2,621,076
|
||||||
|
Gaea Mortgage Loan Trust, Series 2025-A, Class A, 6.75%, 02/25/2030 (a)(d)
|
1,853,623
|
1,818,274
|
||||||
|
GS Mortgage Securities Corp., Series 2018-TWR, Class G, 7.88% (1 mo. Term SOFR + 4.22%), 07/15/2031 (d)(l)
|
500,000
|
17,271
|
||||||
|
Hilton USA Trust
|
||||||||
|
Series 2024-ORL, Class C, 6.09% (1 mo. Term SOFR + 2.44%), 05/15/2037 (d)
|
800,000
|
802,892
|
||||||
|
Series 2024-ORL, Class D, 6.84% (1 mo. Term SOFR + 3.19%), 05/15/2037 (d)
|
800,000
|
805,750
|
||||||
|
HTL Commercial Mortgage Trust
|
||||||||
|
Series 2024-T53, Class D, 8.47%, 05/10/2039 (a)(d)
|
700,000
|
712,828
|
||||||
|
Series 2024-T53, Class F, 12.32%, 05/10/2039 (a)(d)
|
400,000
|
409,680
|
||||||
|
ICNQ Mortgage Trust, Series 2024-MF, Class E, 6.56%, 12/10/2034 (a)(d)
|
3,250,000
|
3,258,398
|
||||||
|
Jackson Park Trust, Series 2019-LIC, Class E, 3.35%, 10/14/2039 (a)(d)
|
5,000,000
|
4,422,100
|
||||||
|
JP Morgan Chase Commercial Mortgage Securities, Series 2018-PTC, Class A, 5.15% (1 mo. Term SOFR + 1.50%), 04/15/2031 (d)(l)
|
3,500,000
|
1,531,054
|
||||||
|
Morgan Stanley, Series 2024-BPR2, Class A, 7.29%, 05/05/2029 (d)
|
2,587,924
|
2,687,569
|
||||||
|
Morgan Stanley Capital I, Inc., Series 2014-150E, Class A, 3.91%, 09/09/2032 (d)
|
3,040,000
|
2,827,705
|
||||||
|
NYC Commercial Mortgage Trust
|
||||||||
|
Series 2025-28L, Class C, 5.62%, 11/05/2038 (a)(d)
|
1,600,000
|
1,603,285
|
||||||
|
Series 2025-28L, Class D, 6.42%, 11/05/2038 (a)(d)
|
1,600,000
|
1,605,067
|
||||||
|
Stellar Management, Series 2025-IP, Class E, 7.07%, 06/10/2042 (a)(d)
|
750,000
|
755,435
|
||||||
|
TX Trust, Series 2024-HOU, Class D, 6.89% (1 mo. Term SOFR + 3.24%), 06/15/2039 (d)
|
500,000
|
501,090
|
||||||
|
Wells Fargo Commercial Mortgage Trust, Series 2025-VTT, Class E, 7.14%, 03/15/2038 (a)(d)
|
5,200,000
|
5,240,170
|
||||||
|
WFLD Mortgage Trust, Series 2014-MONT, Class A, 3.88%, 08/10/2031 (a)(d)
|
1,546,592
|
1,492,807
|
||||||
|
X-Caliber Funding LLC
|
||||||||
|
11.42% (1 mo. Term SOFR + 7.75%), 06/06/2026 (d)
|
628,203
|
625,405
|
||||||
|
6.42% (1 mo. Term SOFR + 2.75%), 06/06/2026 (d)
|
3,350,418
|
3,341,191
|
||||||
|
11.00%, 09/01/2026 (d)(l)
|
3,500,000
|
3,260,677
|
||||||
|
5.00%, 09/01/2026 (d)(l)
|
300,000
|
284,857
|
||||||
|
7.00%, 10/01/2027 (d)(l)
|
3,621,300
|
911,528
|
||||||
|
11.46% (1 mo. LIBOR US + 6.50%), 11/15/2027 (d)(f)(l)
|
1,628,000
|
163
|
||||||
|
Series 2019-1, Class B1, 19.42% (1 mo. Term SOFR + 15.75%), 11/06/2026 (d)(l)
|
5,129,931
|
518
|
||||||
|
Series 2020-5, Class A, 7.04% (1 mo. Term SOFR + 3.37%), 05/29/2026 (d)
|
566,148
|
564,686
|
||||||
|
Series 2020-5, Class B1, 12.04% (1 mo. Term SOFR + 8.37%), 05/29/2026 (d)
|
1,321,012
|
1,314,002
|
||||||
|
Series 2021-10, Class B1, 11.78% (1 mo. Term SOFR + 8.12%), 06/06/2026 (d)
|
2,000,000
|
2,019,112
|
||||||
|
Series 2021-7, Class A, 6.78% (1 mo. Term SOFR + 3.12%), 10/06/2026 (d)
|
3,950,000
|
3,957,884
|
||||||
|
Series 2021-9, Class B1, 11.78% (1 mo. Term SOFR + 8.12%), 10/06/2026 (d)(l)
|
1,215,000
|
95
|
||||||
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $118,361,039)
|
105,853,115
|
|||||||
|
COMMERCIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY - 2.9%
|
Par
|
Value
|
||||||
|
Connecticut Avenue Securities Trust
|
||||||||
|
Series 2019-01, Class B10, 9.26% (30 day avg SOFR US + 5.61%), 10/25/2049 (d)
|
1,500,000
|
1,525,134
|
||||||
|
Series 2019-01, Class CE, 12.51% (30 day avg SOFR US + 8.86%), 10/25/2049 (d)
|
2,000,000
|
2,025,990
|
||||||
|
Series 2020-01, Class CE, 11.26% (30 day avg SOFR US + 7.61%), 03/25/2050 (d)
|
8,000,000
|
8,257,224
|
||||||
|
Federal Home Loan Mortgage Corp.
|
||||||||
|
Series 2017-KF41, Class B, 6.27% (30 day avg SOFR US + 2.61%), 11/25/2026 (d)
|
600,479
|
565,367
|
||||||
|
Series 2019-KF64, Class B, 6.07% (30 day avg SOFR US + 2.41%), 06/25/2026 (d)
|
2,487,563
|
2,498,514
|
||||||
|
Series K-165, Class A2, 4.49%, 09/25/2034
|
14,498,000
|
14,361,182
|
||||||
|
Series K-170, Class A2, 5.00%, 02/25/2035 (a)
|
10,700,000
|
11,002,318
|
||||||
|
Series K-171, Class A2, 4.40%, 06/25/2035 (a)
|
1,750,000
|
1,718,808
|
||||||
|
Series KF169, Class AS, 4.21% (30 day avg SOFR US + 0.56%), 11/25/2035
|
10,000,000
|
10,012,480
|
||||||
|
Series KF170, Class AS, 4.21% (30 day avg SOFR US + 0.56%), 11/25/2035
|
9,999,910
|
10,012,390
|
||||||
|
Series KF171, Class AS, 4.21% (30 day avg SOFR US + 0.56%), 03/25/2036
|
10,000,000
|
10,015,610
|
||||||
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY (Cost $71,773,538)
|
71,995,017
|
|||||||
|
EXCHANGE TRADED FUNDS - 1.1%
|
Shares
|
Value
|
||||||
|
Invesco Senior Loan ETF
|
1,282,171
|
26,387,079
|
||||||
|
TOTAL EXCHANGE TRADED FUNDS (Cost $26,497,327)
|
26,387,079
|
|||||||
|
COMMERCIAL REAL ESTATE - 0.9%
|
Par
|
Value
|
||||||
|
Geary (m)(n)
|
$
|
7,068,750
|
8,180,247
|
|||||
|
Leavenworth (m)(n)
|
2,945,000
|
3,838,001
|
||||||
|
Octavia (m)(n)
|
8,985,212
|
6,982,647
|
||||||
|
TOTAL COMMERCIAL REAL ESTATE (Cost $18,707,750)
|
22,164,250
|
|||||||
|
AFFILIATED EXCHANGE TRADED FUNDS - 0.6%
|
Shares
|
Value
|
||||||
|
Angel Oak High Yield Opportunities ETF (m)
|
595,240
|
6,565,914
|
||||||
|
Angel Oak Mortgage-Backed Securities ETF (m)
|
618,882
|
5,365,707
|
||||||
|
Angel Oak Total Return ETF (m)
|
78,400
|
3,872,638
|
||||||
|
TOTAL AFFILIATED EXCHANGE TRADED FUNDS (Cost $16,040,656)
|
15,804,259
|
|||||||
|
CONSTRUCTION LOANS - 0.4%
|
Par
|
Value
|
||||||
|
Helios Loan Funding Trust, 11.50%, 04/01/2036 (a)(i)
|
$
|
10,6181634
|
10,618,634
|
|||||
|
TOTAL CONSTRUCTION LOANS (Cost $10,618,634)
|
10,618,634
|
|||||||
|
PREFERRED STOCKS - 0.3%
|
Shares
|
Value
|
||||||
|
Financial - 0.2%
|
||||||||
|
Dynex Capital, Inc., Series C, 9.39% (3 mo. Term SOFR + 5.72%), Perpetual
|
173,425
|
4,481,302
|
||||||
|
MFA Financial, Inc., Series C, 9.27% (3 mo. Term SOFR + 5.61%), Perpetual
|
52,942
|
1,262,667
|
||||||
|
5,743,969
|
||||||||
|
Real Estate Investment Trust - 0.1%
|
||||||||
|
AGNC Investment Corp., Series E, 8.92% (3 mo. Term SOFR + 5.25%), Perpetual
|
66,529
|
1,695,159
|
||||||
|
TOTAL PREFERRED STOCKS (Cost $7,322,400)
|
7,439,128
|
|||||||
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER - 0.3%
|
Par
|
Value
|
||||||
|
Federal Home Loan Mortgage Corp., Series 2018-SPI4, Class B, 4.51%, 11/25/2048 (a)(d)
|
$
|
8,985,212
|
6,982,647
|
|||||
|
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER (Cost $8,906,016)
|
6,982,647
|
|||||||
|
WHOLE LOANS - 0.2%
|
Par
|
Value
|
||||||
|
Agency High Balance Residential Mortgages
|
||||||||
|
6.88%, 07/24/2026
|
580,223
|
575,442
|
||||||
|
7.00%, 04/26/2037
|
168,605
|
167,712
|
||||||
|
6.88%, 05/24/2037
|
254,499
|
254,285
|
||||||
|
7.75%, 08/24/2037
|
210,687
|
213,638
|
||||||
|
5.13%, 05/24/2048
|
454,089
|
438,645
|
||||||
|
Savannah Grand, 9.43%, 09/30/2027
|
3,100,747
|
3,096,107
|
||||||
|
TOTAL WHOLE LOANS (Cost $4,747,185)
|
4,745,829
|
|||||||
|
COMMON STOCKS - 0.1%
|
Shares
|
Value
|
||||||
|
Energy - 0.0% (j)
|
||||||||
|
Enviva Escrow (i)(n)
|
100,000
|
0
|
||||||
|
Enviva LLC (n)
|
3,638
|
72,760
|
||||||
|
72,760
|
||||||||
|
Financial - 0.1%
|
||||||||
|
Kingstone Companies, Inc.
|
32,996
|
550,043
|
||||||
|
PennyMac Mortgage Investment Trust
|
81,182
|
988,797
|
||||||
|
1,538,840
|
||||||||
|
Real Estate Investment Trust - 0.0% (j)
|
||||||||
|
Ellington Financial, Inc.
|
103,500
|
1,371,375
|
||||||
|
TOTAL COMMON STOCKS (Cost $3,820,091)
|
2,982,975
|
|||||||
|
SHORT-TERM INVESTMENTS - 1.8%
|
Shares
|
Value
|
||||||
|
Money Market Funds – 1.8%
First American Government Obligations Fund - Class U, 3.60% (o)
|
44,680,290
|
44,680,290
|
||||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $44,680,290)
|
44,680,290
|
|||||||
|
TOTAL INVESTMENTS - 103.6% (Cost $2,735,990,954)
|
2,575,550,228
|
|||||||
|
Liabilities in Excess of Other Assets - (3.6)%
|
(90,020,198
|
)
|
||||||
|
TOTAL NET ASSETS - 100.0%
|
$
|
2,485,530,030
|
||||||
|
Percentages are stated as a percent of net assets.
|
||||||||
|
CMT - Constant Maturity Treasury
|
|
LIBOR - London Interbank Offered Rate
|
|
LP – Limited Partnership
PLC – Public Limited Company
SOFR - Secured Overnight Financing Rate
|
|
(a)
|
Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the
coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of April 30, 2026.
|
|
(b)
|
Interest only security.
|
|
(c)
|
All or a portion of security has been pledged as collateral in connection with open credit agreements. At April 30, 2026, the value of the securities pledged
amounted to $224,013,176.
|
|
(d)
|
Security is exempt from registration under Rule 144A or Section 4(a)(2) of the Securities Act of 1933, as amended. The security may be resold in transactions exempt from registration, normally to qualified
institutional buyers. These securities are determined to be liquid by the Adviser, under the procedures established by the Fund’s Board of Trustees, unless otherwise denoted. As of April 30, 2026, the value of these securities total
$1,715,529,010 or 69.0% of the Fund’s net assets.
|
|
(e)
|
Principal only security.
|
|
(f)
|
Securities referencing LIBOR are expected to transition to an alternative reference rate.
|
|
(g)
|
Step coupon bond. The rate disclosed is as of April 30, 2026.
|
|
(h)
|
Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also
be subject to a cap or floor.
|
|
(i)
|
As of April 30, 2026, the Fund has fair valued these securities under the procedures established by Angel Oak Capital Advisors, LLC as Valuation Designee pursuant to Rule 2a-5 under the Investment Company Act of
1940. The value of these securities amounted to $11,593,435 or 0.5% of net assets. Value determined using significant unobservable inputs.
|
|
(j)
|
Represents less than 0.05% of net assets.
|
|
(k)
|
Security or a portion of the security purchased on a when-issued or delayed delivery basis.
|
|
(l)
|
Issuer is currently in default and not accruing income.
|
|
(m)
|
Affiliated security as defined by the Investment Company Act of 1940.
|
|
(n)
|
Non-income producing security. Income is not being accrued.
|
|
(o)
|
The rate shown represents the 7-day annualized yield as of April 30, 2026.
|
|
Consolidated Schedule of Open Futures Contracts
|
||||||||||||
|
Short Futures Contracts
|
Contracts Sold
|
Expiration Date
|
Notional Value
|
Value / Unrealized
Appreciation
(Depreciation)
|
||||||||
|
U.S. Treasury 10 Year Notes
|
(350)
|
06/18/2026
|
$
|
(38,707,812
|
)
|
$
|
901,119
|
|||||
|
U.S. Treasury 5 Year Note
|
(275)
|
06/30/2026
|
(29,654,883
|
)
|
252,553
|
|||||||
|
Net Unrealized Appreciation (Depreciation)
|
$ –
|
$
|
–
|
$
|
1,153,672
|
|||||||
|
Consolidated Schedule of Centrally Cleared Credit Default Swaps – Buy Protection (a)
|
|
Reference Obligation
|
Implied Credit
Spread at
04/30/26 (b) |
Pay (Receive)
Fixed Rate
|
Payment
Frequency
|
Maturity
Date
|
Counterparty
|
Notional
Amount (c)
|
Value
|
Premiums Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|||||||
|
Markit CDX.NA.IG (d)
|
0.55%
|
1.000%
|
Quarterly
|
06/20/2031
|
Wells Fargo Securities, LLC
|
$300,000,000
|
$(6,636,254)
|
$(4,828,351)
|
$(1,807,903)
|
|
(a)
|
If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of
protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities
equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
|
|
(b)
|
Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on U.S. municipal issues, corporate issues or sovereign
issues of an emerging country as of year-end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular
referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness
and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or
obligation.
|
|
(c)
|
The maximum potential amount the Fund could be required to pay as seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the
terms of that particular swap agreement.
|
|
(d)
|
Centrally cleared swap, clearing agent: Intercontinental Exchange.
The average monthly notional value of long swaps contracts during the period ended April 30, 2026, was $350,000,000.
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Assets
|
||||||||||||||||
|
Residential Mortgage-Backed Securities
|
$
|
–
|
$
|
1,071,178,491
|
$
|
10,001
|
$
|
1,071,188,492
|
||||||||
|
Residential Mortgage-Backed Securities – U.S. Government Agency
|
–
|
390,625,729
|
–
|
390,625,729
|
||||||||||||
|
Asset-Backed Securities
|
–
|
304,799,789
|
964,800
|
305,764,589
|
||||||||||||
|
Corporate Obligations
|
–
|
296,447,696
|
–
|
296,447,696
|
||||||||||||
|
Collateralized Loan Obligations
|
–
|
191,870,499
|
–
|
187,846,031
|
||||||||||||
|
Commercial Mortgage-Backed Securities
|
–
|
105,853,115
|
–
|
109,877,583
|
||||||||||||
|
Commercial Mortgage-Backed Securities – U.S. Government Agency
|
–
|
71,995,017
|
–
|
71,995,017
|
||||||||||||
|
Exchange Traded Funds
|
26,387,079
|
–
|
–
|
26,387,079
|
||||||||||||
|
Commercial Real Estate
|
–
|
22,164,250
|
–
|
22,164,250
|
||||||||||||
|
Affiliated Exchange Traded Funds
|
15,804,259
|
–
|
–
|
15,804,259
|
||||||||||||
|
Construction Loans
|
–
|
–
|
10,618,634
|
10,618,634
|
||||||||||||
|
Preferred Stocks
|
7,439,128
|
–
|
–
|
7,439,128
|
||||||||||||
|
Residential Mortgage-Backed Securities - U.S. Government Agency Credit Risk Transfer
|
–
|
6,982,647
|
–
|
6,982,647
|
||||||||||||
|
Whole Loans
|
–
|
4,745,829
|
–
|
4,745,829
|
||||||||||||
|
Common Stocks
|
2,910,215
|
72,760
|
0
|
2,982,975
|
||||||||||||
|
Short-Term Investments
|
44,680,290
|
–
|
–
|
44,680,290
|
||||||||||||
|
Total
|
$
|
97,220,971
|
$
|
2,466,735,822
|
$
|
11,593,435
|
$
|
2,575,550,228
|
||||||||
|
Other Financial Instruments
|
||||||||||||||||
|
Assets
Futures Contracts *
|
$
|
1,153,672
|
$
|
–
|
$
|
–
|
$
|
1,153,672
|
||||||||
|
Liabilities
|
||||||||||||||||
|
Swaps *
|
$
|
–
|
$
|
(1,807,903
|
)
|
$
|
–
|
$
|
(1,807,903
|
)
|
||||||
|
Total
|
$
|
1,153,672
|
$
|
(1,807,903
|
)
|
$
|
–
|
$
|
(654,231
|
)
|
||||||
|
*Futures and swaps are reflected at the unrealized appreciation (depreciation) on the instrument as presented in the Consolidated Schedule of Open Futures Contracts and Consolidated Schedule of Centrally Cleared Credit Default Swaps - Buy
Protection.
|
||||||||||||||||
|
See the Consolidated Schedule of Investments for further disaggregation of investment Level 3 holdings as of April 30, 2026, are immaterial and no further quantitative information about Level 3 Fair Value
Measurements has been included.
|
||||||||||||||||
|
Security Name
|
Value as of
01/31/26
|
Purchases
|
Sales
|
Net Realized
Gain (Loss)
on
Investments
in Affiliates
|
Net Change in
Unrealized
Appreciation
/Depreciation on Investments
in Affiliates
|
Value as of
04/30/26
|
Share/Par
Balance
|
Dividend
Income
|
||||||||||||||||||||||||
|
Angel Oak High Yield Opportunities ETF
|
$
|
9,810,275
|
$
|
–
|
$
|
(3,154,701
|
)
|
$
|
(117,099
|
)
|
$
|
27,439
|
$
|
6,565,914
|
595,240
|
$
|
128,320
|
|||||||||||||||
|
Angel Oak Mortgage-Backed Securities ETF
|
8,407,717
|
–
|
(2,992,508
|
)
|
37,629
|
(87,131
|
) |
5,365,707
|
618,882
|
90,875
|
||||||||||||||||||||||
| Angel Oak Total Return ETF | 2,388,657 |
1,529,411
|
–
|
–
|
(45,43
|
) |
3,872,638
|
78,400
|
40,781
|
|||||||||||||||||||||||
|
Geary
|
7,887,750
|
–
|
–
|
–
|
292,497
|
8,180,247
|
7,068,750
|
–
|
||||||||||||||||||||||||
|
Leavenworth
|
3,648,000
|
–
|
–
|
–
|
190,001
|
3,838,001
|
2,945,000
|
–
|
||||||||||||||||||||||||
|
Octavia
|
10,089,000
|
–
|
–
|
–
|
57,002
|
10,146,002
|
8,003,750
|
–
|
||||||||||||||||||||||||
|
Total
|
$
|
42,231,399
|
$
|
1,529,411
|
$
|
(6,147,209
|
)
|
$
|
(79,470
|
)
|
$
|
434,378
|
$
|
37,968,509
|
19,310,022
|
$
|
259,976
|
|||||||||||||||